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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 811-3990
Northwestern Mutual Series Fund, Inc.
(Exact name of registrant as specified in charter)
720 East Wisconsin Avenue,
Milwaukee Wisconsin 53202
(Address of principal executive offices) (Zip code)
Barbara E. Courtney, Controller and Chief Accounting Officer Northwestern Mutual Series Fund, Inc.
(Name and address of agent for service)
Registrant’s telephone number, including area code: 414-271-1444
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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REPORT ON FORM N-CSR
RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.
Item 1. | Reports to Stockholders |
(a) The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
(b) Not applicable.
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Semi-Annual Report June 30, 2021
Northwestern Mutual Series Fund, Inc.
A Series Fund Offering 27 Portfolios
• | Growth Stock Portfolio |
• | Focused Appreciation Portfolio |
• | Large Cap Core Stock Portfolio |
• | Large Cap Blend Portfolio |
• | Index 500 Stock Portfolio |
• | Large Company Value Portfolio |
• | Domestic Equity Portfolio |
• | Equity Income Portfolio |
• | Mid Cap Growth Stock Portfolio |
• | Index 400 Stock Portfolio |
• | Mid Cap Value Portfolio |
• | Small Cap Growth Stock Portfolio |
• | Index 600 Stock Portfolio |
• | Small Cap Value Portfolio |
• | International Growth Portfolio |
• | Research International Core Portfolio |
• | International Equity Portfolio |
• | Emerging Markets Equity Portfolio |
• | Government Money Market Portfolio |
• | Short-Term Bond Portfolio |
• | Select Bond Portfolio |
• | Long-Term U.S. Government Bond Portfolio |
• | Inflation Protection Portfolio |
• | High Yield Bond Portfolio |
• | Multi-Sector Bond Portfolio |
• | Balanced Portfolio |
• | Asset Allocation Portfolio |
As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports are no longer sent by mail unless you specifically request paper copies of the reports from Northwestern Mutual, the issuer of your variable annuity and/or variable life insurance contract. Instead, your Fund annual and semi-annual reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change, will continue to receive reports electronically, and you need not take any action. You may elect to receive all future reports in paper free of charge by informing Northwestern Mutual that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all future shareholder reports.
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Northwestern Mutual Series Fund, Inc.
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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements | 231 |
Mason Street Advisors, LLC (“Mason Street Advisors”), adviser to the Northwestern Mutual Series Fund, Inc., is a wholly owned subsidiary of The Northwestern Mutual Life Insurance Company. Mason Street Advisors is the principal investment adviser for all the Portfolios of the Northwestern Mutual Series Fund, Inc., and has engaged and oversees sub-advisers who provide day-to-day management for certain of the Portfolios. Each sub-adviser may be replaced without the approval of shareholders. Please see the Series Fund prospectus for more information.
The views expressed in the portfolio manager commentaries set forth in the following pages reflect those of the portfolio managers only through the end of the period covered by this report and do not necessarily represent the views of any affiliated organization. The views expressed are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein. These views are subject to change at any time based upon market conditions or other events and should not be relied upon as investment advice. Mason Street Advisors disclaims any responsibility to update these views. |
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EXAMPLE
As a shareholder of each Portfolio, you incur two types of costs: (1) transaction costs and (2) 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 Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
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, 2021 to June 30, 2021).
ACTUAL EXPENSES
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the 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 Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below for each Portfolio provides information about hypothetical account values and hypothetical expenses based on each 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 a Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During Period January 1, 2021 to June 30, 2021* | Annualized Expense Ratio | |||||||||||||
Growth Stock Portfolio | ||||||||||||||||
Actual | $1,000.00 | $1,125.42 | $2.21 | 0.42 | % | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.71 | 2.11 | 0.42 | ||||||||||||
Focused Appreciation Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,138.66 | 3.29 | 0.62 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.72 | 3.11 | 0.62 | ||||||||||||
Large Cap Core Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,143.31 | 2.29 | 0.43 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.66 | 2.16 | 0.43 | ||||||||||||
Large Cap Blend Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,102.87 | 4.07 | 0.78 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.93 | 3.91 | 0.78 | ||||||||||||
Index 500 Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,151.34 | 1.07 | 0.20 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.80 | 1.00 | 0.20 |
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Expense Examples (unaudited)
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During Period January 1, 2021 to June 30, 2021* | Annualized Expense Ratio | |||||||||||||
Large Company Value Portfolio | ||||||||||||||||
Actual | $1,000.00 | $1,137.86 | $3.92 | 0.74 | % | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Domestic Equity Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,125.46 | 2.69 | 0.51 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.27 | 2.56 | 0.51 | ||||||||||||
Equity Income Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,184.71 | 3.09 | 0.57 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.97 | 2.86 | 0.57 | ||||||||||||
Mid Cap Growth Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,085.51 | 2.74 | 0.53 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 2.66 | 0.53 | ||||||||||||
Index 400 Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,174.42 | 1.29 | �� | 0.24 | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.60 | 1.20 | 0.24 | ||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,157.48 | 3.85 | 0.72 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 3.61 | 0.72 | ||||||||||||
Small Cap Growth Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,050.57 | 2.80 | 0.55 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Index 600 Stock Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,232.31 | 1.49 | 0.27 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.46 | 1.35 | 0.27 | ||||||||||||
Small Cap Value Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,162.58 | 4.61 | 0.86 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
International Growth Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,095.37 | 3.22 | 0.62 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.72 | 3.11 | 0.62 | ||||||||||||
Research International Core Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,078.75 | 3.81 | 0.74 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
International Equity Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,092.32 | 2.65 | 0.51 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.27 | 2.56 | 0.51 | ||||||||||||
Emerging Markets Equity Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,058.91 | 4.65 | 0.91 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.28 | 4.56 | 0.91 |
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Expense Examples (unaudited)
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During Period January 1, 2021 to June 30, 2021* | Annualized Expense Ratio | |||||||||||||
Government Money Market Portfolio | ||||||||||||||||
Actual | $1,000.00 | $1,000.00 | $0.40 | 0.08 | % | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.40 | 0.40 | 0.08 | ||||||||||||
Short-Term Bond Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,003.72 | 1.89 | 0.38 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.91 | 1.91 | 0.38 | ||||||||||||
Select Bond Portfolio | ||||||||||||||||
Actual | 1,000.00 | 984.63 | 1.48 | 0.30 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Long-Term U.S. Government Bond Portfolio | ||||||||||||||||
Actual | 1,000.00 | 922.57 | 3.19 | 0.67 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.47 | 3.36 | 0.67 | ||||||||||||
Inflation Protection Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,021.43 | 2.71 | 0.54 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
High Yield Bond Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,038.62 | 2.22 | 0.44 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
Multi-Sector Bond Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,003.45 | 3.53 | 0.71 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.27 | 3.56 | 0.71 | ||||||||||||
Balanced Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,052.77 | 0.31 | 0.06 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.50 | 0.30 | 0.06 | ||||||||||||
Asset Allocation Portfolio | ||||||||||||||||
Actual | 1,000.00 | 1,074.25 | 0.41 | 0.08 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.40 | 0.40 | 0.08 |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the direct expenses of the Portfolio and do not include the effect of the underlying Portfolios’ expenses which are disclosed in the Fee and Expense table and described more fully in a footnote to that table in the Prospectus. |
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Growth Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Information Technology | 38.6 | % | ||
Communication Services | 26.5 | % | ||
Consumer Discretionary | 18.6 | % | ||
Health Care | 10.7 | % | ||
Financials | 2.8 | % | ||
Industrials | 2.0 | % | ||
Materials | 0.5 | % | ||
Short-Term Investments & Other Net Assets | 0.3 | % | ||
Consumer Staples | 0.0 | % |
Sector Allocation is subject to change.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
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Growth Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (26.5%) |
| |||||||
Alphabet, Inc. - Class A * | 8,435 | 20,596 | ||||||
Alphabet, Inc. - Class C * | 37,505 | 94,000 | ||||||
Facebook, Inc. - Class A * | 288,135 | 100,187 | ||||||
IAC/InterActiveCorp * | 14,521 | 2,239 | ||||||
Live Nation Entertainment, Inc. * | 33,700 | 2,952 | ||||||
Match Group, Inc. * | 89,273 | 14,395 | ||||||
Netflix, Inc. * | 43,577 | 23,018 | ||||||
Pinterest, Inc. * | 154,696 | 12,213 | ||||||
ROBLOX Corp. * | 5,800 | 522 | ||||||
Sea, Ltd. * | 97,257 | 26,707 | ||||||
Snap, Inc. * | 396,166 | 26,995 | ||||||
Spotify Technology SA * | 21,022 | 5,793 | ||||||
Tencent Holdings, Ltd. | 337,800 | 25,408 | ||||||
T-Mobile US, Inc. * | 21,400 | 3,099 | ||||||
Vimeo, Inc. * | 19,832 | 972 | ||||||
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Total | 359,096 | |||||||
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Consumer Discretionary (18.6%) |
| |||||||
Alibaba Group Holding, Ltd., ADR * | 45,948 | 10,420 | ||||||
Amazon.com, Inc. * | 43,261 | 148,825 | ||||||
Aptiv PLC * | 10,650 | 1,675 | ||||||
Booking Holdings, Inc. * | 4,369 | 9,560 | ||||||
Carvana Co. * | 22,562 | 6,810 | ||||||
Chipotle Mexican Grill, Inc. * | 6,021 | 9,334 | ||||||
Coupang, Inc. * | 7,872 | 329 | ||||||
Dollar General Corp. | 44,932 | 9,723 | ||||||
DoorDash, Inc. * | 33,526 | 5,979 | ||||||
Etsy, Inc. * | 16,652 | 3,428 | ||||||
Expedia, Inc. * | 5,400 | 884 | ||||||
Hilton Worldwide Holdings, | 17,492 | 2,110 | ||||||
JD.com, Inc., ADR * | 11,600 | 926 | ||||||
Lululemon Athletica, Inc. * | 29,006 | 10,586 | ||||||
Marriott International, Inc. - Class A * | 5,838 | 797 | ||||||
McDonald’s Corp. | 4,772 | 1,102 | ||||||
NIKE, Inc. - Class B | 48,994 | 7,569 | ||||||
Pinduoduo, Inc. * | 1,718 | 218 | ||||||
Roku, Inc. * | 6,435 | 2,955 | ||||||
Ross Stores, Inc. | 87,828 | 10,891 | ||||||
Starbucks Corp. | 12,966 | 1,450 | ||||||
The TJX Cos., Inc. | 33,685 | 2,271 | ||||||
The Walt Disney Co. * | 9,300 | 1,635 | ||||||
Wayfair, Inc. - Class A * | 400 | 126 |
Common Stocks (99.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer Discretionary continued |
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Yum! Brands, Inc. | 21,144 | 2,432 | ||||||
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Total | 252,035 | |||||||
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Consumer Staples (0.0%) | ||||||||
The Estee Lauder Cos., Inc. - Class A | 1,350 | 430 | ||||||
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Total | 430 | |||||||
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Financials (2.8%) | ||||||||
The Charles Schwab Corp. | 81,958 | 5,967 | ||||||
Chubb, Ltd. | 2,577 | 409 | ||||||
The Goldman Sachs Group, Inc. | 40,244 | 15,274 | ||||||
Marsh & McLennan Cos., Inc. | 17,394 | 2,447 | ||||||
Morgan Stanley | 12,609 | 1,156 | ||||||
MSCI, Inc. | 3,149 | 1,679 | ||||||
S&P Global, Inc. | 27,496 | 11,286 | ||||||
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Total | 38,218 | |||||||
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Health Care (10.7%) |
| |||||||
Align Technology, Inc. * | 2,828 | 1,728 | ||||||
Anthem, Inc. | 19,879 | 7,590 | ||||||
AstraZeneca PLC, ADR | 50,813 | 3,044 | ||||||
Centene Corp. * | 60,866 | 4,439 | ||||||
Cigna Corp. | 58,366 | 13,837 | ||||||
Danaher Corp. | 54,759 | 14,695 | ||||||
Dentsply Sirona, Inc. | 56,900 | 3,599 | ||||||
Eli Lilly & Co. | 1,222 | 280 | ||||||
Exact Sciences Corp. * | 529 | 66 | ||||||
HCA Healthcare, Inc. | 48,017 | 9,927 | ||||||
Humana, Inc. | 3,385 | 1,499 | ||||||
Incyte Corp. * | 31,152 | 2,621 | ||||||
Intuitive Surgical, Inc. * | 22,501 | 20,693 | ||||||
Stryker Corp. | 61,358 | 15,936 | ||||||
Thermo Fisher Scientific, Inc. | 13,151 | 6,634 | ||||||
UnitedHealth Group, Inc. | 64,521 | 25,837 | ||||||
Veeva Systems, Inc. - Class A * | 13,645 | 4,243 | ||||||
Vertex Pharmaceuticals, Inc. * | 4,788 | 965 | ||||||
Zoetis, Inc. | 38,474 | 7,170 | ||||||
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Total | 144,803 | |||||||
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Industrials (2.0%) | ||||||||
Cintas Corp. | 4,660 | 1,780 | ||||||
Copart, Inc. * | 6,337 | 835 | ||||||
CoStar Group, Inc. * | 74,350 | 6,158 |
Common Stocks (99.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Equifax, Inc. | 7,583 | 1,816 | ||||||
Generac Holdings, Inc. * | 7,700 | 3,197 | ||||||
General Electric Co. | 339,452 | 4,569 | ||||||
Roper Technologies, Inc. | 13,136 | 6,177 | ||||||
TransUnion | 18,122 | 1,990 | ||||||
Union Pacific Corp. | 127 | 28 | ||||||
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Total | 26,550 | |||||||
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Information Technology (38.6%) |
| |||||||
Advanced Micro | ||||||||
Devices, Inc. * | 112,302 | 10,549 | ||||||
Apple, Inc. | 457,496 | 62,659 | ||||||
ASML Holding NV | 15,980 | 11,040 | ||||||
Atlassian Corp. PLC * | 14,419 | 3,704 | ||||||
Automatic Data Processing, Inc. | 456 | 91 | ||||||
Coupa Software, Inc. * | 11,054 | 2,897 | ||||||
CrowdStrike Holdings, Inc. * | 7,863 | 1,976 | ||||||
Datadog, Inc.- Class A * | 21,212 | 2,208 | ||||||
DocuSign, Inc. * | 28,254 | 7,899 | ||||||
Fidelity National Information Services, Inc. | 53,888 | 7,634 | ||||||
Fiserv, Inc. * | 102,662 | 10,974 | ||||||
Fortinet, Inc. * | 28,329 | 6,748 | ||||||
Global Payments, Inc. | 124,644 | 23,376 | ||||||
Intuit, Inc. | 76,177 | 37,340 | ||||||
Marvell Technology, Inc. | 139,398 | 8,131 | ||||||
Mastercard, Inc. - Class A | 77,749 | 28,385 | ||||||
Maxim Integrated Products, Inc. | 18,762 | 1,977 | ||||||
Microchip Technology, Inc. | 17,179 | 2,572 | ||||||
Microsoft Corp. | 290,699 | 78,750 | ||||||
MongoDB, Inc. * | 18,099 | 6,543 | ||||||
Monolithic Power Systems | 1,101 | 411 | ||||||
NVIDIA Corp. | 26,277 | 21,024 | ||||||
Paycom Software, Inc. * | 3,420 | 1,243 | ||||||
PayPal Holdings, Inc. * | 124,448 | 36,274 | ||||||
salesforce.com, Inc. * | 101,511 | 24,796 | ||||||
ServiceNow, Inc. * | 52,543 | 28,875 | ||||||
Shopify, Inc. * | 5,633 | 8,230 | ||||||
Snowflake, Inc. * | 3,356 | 811 | ||||||
Splunk, Inc. * | 23,553 | 3,405 | ||||||
Square, Inc. - Class A * | 6,268 | 1,528 | ||||||
Synopsys, Inc. * | 42,266 | 11,657 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Growth Stock Portfolio
Common Stocks (99.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 1,900 | 228 | ||||||
TE Connectivity, Ltd. | 16,329 | 2,208 | ||||||
Texas Instruments, Inc. | 31,375 | 6,033 | ||||||
Twilio, Inc. - Class A * | 7,191 | 2,834 | ||||||
Visa, Inc. - Class A | 186,881 | 43,697 | ||||||
Workday, Inc. - Class A * | 12,025 | 2,871 | ||||||
Zendesk, Inc. * | 1,617 | 233 | ||||||
Zoom Video Communications, Inc. * | 31,329 | 12,125 | ||||||
|
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Total | 523,936 | |||||||
|
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Materials (0.5%) | ||||||||
Avery Dennison Corp. | 11,600 | 2,439 | ||||||
Linde PLC | 11,655 | 3,370 | ||||||
The Sherwin-Williams Co. | 3,404 | 927 | ||||||
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Total | 6,736 | |||||||
|
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Total Common Stocks |
| |||||||
(Cost: $792,384) | 1,351,804 | |||||||
|
| |||||||
Short-Term Investments (0.6%) | ||||||||
Money Market Funds (0.6%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 8,596,879 | 8,597 | ||||||
|
| |||||||
Total | 8,597 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $8,597) |
| 8,597 | ||||||
|
| |||||||
Total Investments (100.3%) |
| |||||||
(Cost: $800,981)@ |
| 1,360,401 | ||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (-0.3%) |
| (3,806 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| 1,356,595 | ||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $800,981 and the net unrealized appreciation of investments based on that cost was $559,420 which is comprised of $561,757 aggregate gross unrealized appreciation and $2,337 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
6
Table of Contents
Growth Stock Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,351,804 | $ | - | $ | - | ||||||||
Short-Term Investments | 8,597 | - | - | |||||||||||
Total Assets: | $ | 1,360,401 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
7
Table of Contents
Focused Appreciation Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Information Technology | 33.4 | % | ||
Communication Services | 15.7 | % | ||
Health Care | 15.0 | % | ||
Consumer Discretionary | 14.9 | % | ||
Industrials | 10.9 | % | ||
Consumer Staples | 4.3 | % | ||
Financials | 2.6 | % | ||
Short-Term Investments & Other Net Assets | 1.6 | % | ||
Energy | 1.6 | % |
Sector Allocation is subject to change.
As a non-diversified portfolio, the Portfolio may hold fewer securities because of its focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
8
Table of Contents
Focused Appreciation Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.4%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (15.7%) |
| |||||||
Alphabet, Inc. - Class A * | 16,547 | 40,404 | ||||||
Alphabet, Inc. - Class C * | 16,279 | 40,800 | ||||||
Facebook, Inc. - Class A * | 230,905 | 80,288 | ||||||
The Walt Disney Co. * | 240,426 | 42,260 | ||||||
|
| |||||||
Total | 203,752 | |||||||
|
| |||||||
Consumer Discretionary (14.9%) |
| |||||||
Alibaba Group Holding, Ltd., ADR * | 231,266 | 52,447 | ||||||
Amazon.com, Inc. * | 23,401 | 80,503 | ||||||
Starbucks Corp. | 294,743 | 32,955 | ||||||
Yum China Holdings, Inc. | 189,789 | 12,574 | ||||||
Yum! Brands, Inc. | 135,183 | 15,550 | ||||||
|
| |||||||
Total | 194,029 | |||||||
|
| |||||||
Consumer Staples (4.3%) | ||||||||
Colgate-Palmolive Co. | 200,064 | 16,275 | ||||||
Monster Beverage Corp. * | 429,942 | 39,275 | ||||||
|
| |||||||
Total | 55,550 | |||||||
|
| |||||||
Energy (1.6%) | ||||||||
Schlumberger, Ltd. | 636,427 | 20,372 | ||||||
|
| |||||||
Total | 20,372 | |||||||
|
|
Common Stocks (98.4%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials (2.6%) | ||||||||
FactSet Research Systems, Inc. | 49,506 | 16,615 | ||||||
SEI Investments Co. | 279,521 | 17,322 | ||||||
|
| |||||||
Total | 33,937 | |||||||
|
| |||||||
Health Care (15.0%) | ||||||||
Cerner Corp. | 212,439 | 16,604 | ||||||
Illumina, Inc. * | 71,817 | 33,985 | ||||||
Intuitive Surgical, Inc. * | 18,940 | 17,418 | ||||||
Novartis AG, ADR | 411,730 | 37,566 | ||||||
Novo Nordisk A/S, ADR | 147,218 | 12,332 | ||||||
Regeneron Pharmaceuticals, Inc. * | 62,356 | 34,828 | ||||||
Roche Holding AG, ADR | 704,867 | 33,122 | ||||||
Vertex Pharmaceuticals, Inc. * | 44,282 | 8,929 | ||||||
|
| |||||||
Total | 194,784 | |||||||
|
| |||||||
Industrials (10.9%) | ||||||||
The Boeing Co. * | 237,863 | 56,982 | ||||||
Deere & Co. | 149,596 | 52,764 | ||||||
Expeditors International of Washington, Inc. | 255,939 | 32,402 | ||||||
|
| |||||||
Total | 142,148 | |||||||
|
| |||||||
Information Technology (33.4%) |
| |||||||
Autodesk, Inc. * | 190,780 | 55,689 | ||||||
Automatic Data Processing, Inc. | 43,837 | 8,707 | ||||||
Cisco Systems, Inc. | 418,288 | 22,169 |
Common Stocks (98.4%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Microsoft Corp. | 201,997 | 54,721 | ||||||
NVIDIA Corp. | 102,593 | 82,085 | ||||||
Oracle Corp. | 656,082 | 51,069 | ||||||
QUALCOMM, Inc. | 190,260 | 27,194 | ||||||
salesforce.com, Inc. * | 187,703 | 45,850 | ||||||
Visa, Inc. - Class A | 300,965 | 70,372 | ||||||
Workday, Inc. - Class A * | 67,881 | 16,206 | ||||||
|
| |||||||
Total | 434,062 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $589,976) |
| 1,278,634 | ||||||
|
| |||||||
Short-Term Investments (1.3%) | ||||||||
Money Market Funds (1.3%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 17,068,011 | 17,068 | ||||||
|
| |||||||
Total | 17,068 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $17,068) |
| 17,068 | ||||||
|
| |||||||
Total Investments (99.7%) |
| |||||||
(Cost: $607,044)@ |
| 1,295,702 | ||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.3%) | 4,222 | |||||||
|
| |||||||
Net Assets (100.0%) | 1,299,924 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $607,044 and the net unrealized appreciation of investments based on that cost was $688,658 which is comprised of $698,223 aggregate gross unrealized appreciation and $9,565 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
9
Table of Contents
Focused Appreciation Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,278,634 | $ | - | $ | - | ||||||||
Short-Term Investments | 17,068 | - | - | |||||||||||
Total Assets: | $ | 1,295,702 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
10
Table of Contents
Large Cap Core Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||
Information Technology | 21.5 | % | ||||
Health Care | 13.6 | % | ||||
Communication Services | 13.4 | % | ||||
Financials | 12.7 | % | ||||
Consumer Discretionary | 11.2 | % | ||||
Industrials | 9.6 | % | ||||
Consumer Staples | 5.8 | % | ||||
Energy | 3.3 | % | ||||
Utilities | 2.8 | % | ||||
Materials | 2.7 | % | ||||
Real Estate | 2.1 | % | ||||
Investment Companies | 0.8 | % | ||||
Short-Term Investments & Other Net Assets | 0.5 | % |
Sector Allocation is subject to change.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
11
Table of Contents
Large Cap Core Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (13.4%) |
| |||||||
Alphabet, Inc. - Class A * | 15,418 | 37,647 | ||||||
Charter Communications, Inc. - Class A * | 17,997 | 12,984 | ||||||
DISH Network Corp. - Class A * | 64,276 | 2,687 | ||||||
Electronic Arts, Inc. | 18,740 | 2,695 | ||||||
Facebook, Inc. - Class A * | 69,860 | 24,291 | ||||||
Match Group, Inc. * | 24,717 | 3,986 | ||||||
Netflix, Inc. * | 10,177 | 5,375 | ||||||
Omnicom Group, Inc. | 120,367 | 9,628 | ||||||
Snap, Inc. * | 51,979 | 3,542 | ||||||
T-Mobile US, Inc. * | 30,067 | 4,355 | ||||||
|
| |||||||
Total | 107,190 | |||||||
|
| |||||||
Consumer Discretionary (11.2%) |
| |||||||
Airbnb, Inc. * | 34,098 | 5,222 | ||||||
Amazon.com, Inc. * | 11,683 | 40,191 | ||||||
Booking Holdings, Inc. * | 1,513 | 3,311 | ||||||
Caesars Entertainment, Inc. * | 57,206 | 5,935 | ||||||
Carnival Corp. * | 81,226 | 2,141 | ||||||
Chipotle Mexican Grill, Inc. * | 3,111 | 4,823 | ||||||
Hilton Worldwide Holdings, Inc. * | 31,622 | 3,814 | ||||||
Ross Stores, Inc. | 29,993 | 3,719 | ||||||
Starbucks Corp. | 71,340 | 7,977 | ||||||
Tesla Motors, Inc. * | 7,549 | 5,131 | ||||||
The TJX Cos., Inc. | 106,569 | 7,185 | ||||||
|
| |||||||
Total | 89,449 | |||||||
|
| |||||||
Consumer Staples (5.8%) | ||||||||
Archer-Daniels-Midland Co. | 92,214 | 5,588 | ||||||
Constellation Brands, Inc. - Class A | 41,514 | 9,710 | ||||||
The Estee Lauder Cos., Inc. - Class A | 10,844 | 3,449 | ||||||
Mondelez International, Inc. | 128,635 | 8,032 | ||||||
Monster Beverage Corp. * | 58,878 | 5,379 | ||||||
Sysco Corp. | 186,024 | 14,463 | ||||||
|
| |||||||
Total | 46,621 | |||||||
|
| |||||||
Energy (3.3%) | ||||||||
ConocoPhillips | 77,170 | 4,700 | ||||||
Marathon Petroleum Corp. | 49,138 | 2,969 |
Common Stocks (98.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Energy continued | ||||||||
Pioneer Natural Resources Co. | 10,953 | 1,780 | ||||||
Royal Dutch Shell PLC - Class A, ADR | 138,411 | 5,592 | ||||||
Royal Dutch Shell PLC - Class B, ADR | 238,065 | 9,244 | ||||||
Schlumberger, Ltd. | 51,462 | 1,647 | ||||||
|
| |||||||
Total | 25,932 | |||||||
|
| |||||||
Financials (12.7%) | ||||||||
American Express Co. | 53,396 | 8,823 | ||||||
American International Group, Inc. | 96,989 | 4,617 | ||||||
Ares Management Corp. - Class A | 111,581 | 7,095 | ||||||
Athene Holding, Ltd. - Class A * | 40,312 | 2,721 | ||||||
Bank of America Corp. | 571,364 | 23,557 | ||||||
Berkshire Hathaway, Inc. - Class B * | 15,236 | 4,234 | ||||||
The Charles Schwab Corp. | 211,978 | 15,434 | ||||||
Chubb, Ltd. | 28,632 | 4,551 | ||||||
CME Group, Inc. | 29,881 | 6,355 | ||||||
Equitable Holdings, Inc. | 202,723 | 6,173 | ||||||
The Hartford Financial Services Group, Inc. | 45,631 | 2,828 | ||||||
Marsh & McLennan Cos., Inc. | 29,485 | 4,148 | ||||||
The Progressive Corp. | 22,009 | 2,162 | ||||||
Public Storage | 6,166 | 1,854 | ||||||
S&P Global, Inc. | 16,773 | 6,884 | ||||||
|
| |||||||
Total | 101,436 | |||||||
|
| |||||||
Health Care (13.6%) | ||||||||
Align Technology, Inc. * | 4,052 | 2,476 | ||||||
Anthem, Inc. | 10,861 | 4,147 | ||||||
AstraZeneca PLC, ADR | 115,349 | 6,909 | ||||||
Biogen, Inc. * | 3,901 | 1,351 | ||||||
Boston Scientific Corp. * | 123,536 | 5,282 | ||||||
Bristol-Myers Squibb Co. | 98,248 | 6,565 | ||||||
Centene Corp. * | 55,712 | 4,063 | ||||||
Danaher Corp. | 25,432 | 6,825 | ||||||
Edwards Lifesciences Corp. * | 33,860 | 3,507 | ||||||
Eli Lilly & Co. | 49,824 | 11,436 | ||||||
HCA Healthcare, Inc. | 10,448 | 2,160 | ||||||
Humana, Inc. | 8,210 | 3,635 | ||||||
Illumina, Inc. * | 5,186 | 2,454 | ||||||
Incyte Corp. * | 7,519 | 633 | ||||||
Insulet Corp. * | 5,644 | 1,549 |
Common Stocks (98.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Intuitive Surgical, Inc. * | 4,868 | 4,477 | ||||||
Laboratory Corp. of America Holdings * | 6,741 | 1,860 | ||||||
McKesson Corp. | 7,656 | 1,464 | ||||||
Pfizer, Inc. | 268,935 | 10,532 | ||||||
PPD, Inc. * | 20,400 | 940 | ||||||
Regeneron Pharmaceuticals, Inc. * | 2,781 | 1,553 | ||||||
Royalty Pharma PLC | 6,429 | 264 | ||||||
Seattle Genetics, Inc. * | 6,641 | 1,048 | ||||||
Teleflex, Inc. | 9,278 | 3,728 | ||||||
Thermo Fisher Scientific, Inc. | 13,520 | 6,820 | ||||||
UnitedHealth Group, Inc. | 12,277 | 4,916 | ||||||
Vertex Pharmaceuticals, Inc. * | 8,620 | 1,738 | ||||||
Zoetis, Inc. | 31,044 | 5,785 | ||||||
|
| |||||||
Total | 108,117 | |||||||
|
| |||||||
Industrials (9.6%) | ||||||||
The Boeing Co. * | 18,811 | 4,506 | ||||||
CSX Corp. | 68,655 | 2,203 | ||||||
Equifax, Inc. | 8,392 | 2,010 | ||||||
FedEx Corp. | 27,701 | 8,264 | ||||||
Fortive Corp. | 71,230 | 4,968 | ||||||
General Electric Co. | 83,022 | 1,118 | ||||||
IHS Markit, Ltd. | 46,424 | 5,230 | ||||||
Ingersoll-Rand, Inc. * | 95,522 | 4,662 | ||||||
J.B. Hunt Transport Services, Inc. | 30,133 | 4,910 | ||||||
Johnson Controls International PLC | 63,667 | 4,370 | ||||||
Lockheed Martin Corp. | 13,520 | 5,115 | ||||||
Otis Worldwide Corp. | 30,371 | 2,484 | ||||||
Parker Hannifin Corp. | 16,249 | 4,990 | ||||||
Raytheon Co. | 83,509 | 7,124 | ||||||
Southwest Airlines Co. * | 14,739 | 783 | ||||||
Trane Technologies PLC | 13,252 | 2,440 | ||||||
Uber Technologies, Inc. * | 21,393 | 1,072 | ||||||
Wabtec Corp. | 82,527 | 6,792 | ||||||
Waste Management, Inc. | 23,049 | 3,229 | ||||||
|
| |||||||
Total | 76,270 | |||||||
|
| |||||||
Information Technology (21.5%) |
| |||||||
Adobe Systems, Inc. * | 6,664 | 3,903 |
The Accompanying Notes are an Integral Part of the Financial Statements.
12
Table of Contents
Large Cap Core Stock Portfolio
Common Stocks (98.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Advanced Micro Devices, Inc. * | 89,930 | 8,447 | ||||||
Apple, Inc. | 226,083 | 30,964 | ||||||
Cognizant Technology Solutions Corp. - Class A | 53,730 | 3,721 | ||||||
FLEETCOR Technologies, Inc. * | 21,338 | 5,464 | ||||||
Global Payments, Inc. | 57,107 | 10,710 | ||||||
GoDaddy, Inc. * | 22,962 | 1,997 | ||||||
KLA-Tencor Corp. | 11,303 | 3,665 | ||||||
Marvell Technology, Inc. | 137,090 | 7,996 | ||||||
Micron Technology, Inc. * | 82,715 | 7,029 | ||||||
Microsoft Corp. | 155,271 | 42,063 | ||||||
NVIDIA Corp. | 2,477 | 1,982 | ||||||
PayPal Holdings, Inc. * | 28,791 | 8,392 | ||||||
salesforce.com, Inc. * | 31,025 | 7,579 | ||||||
ServiceNow, Inc. * | 5,145 | 2,827 | ||||||
Shopify, Inc. * | 2,870 | 4,193 | ||||||
Skyworks Solutions, Inc. | 9,752 | 1,870 | ||||||
Snowflake, Inc. * | 1,915 | 463 | ||||||
Teradyne, Inc. | 8,877 | 1,189 | ||||||
Texas Instruments, Inc. | 39,028 | 7,505 | ||||||
UiPath, Inc. * | 1,868 | 127 | ||||||
Visa, Inc. - Class A | 27,962 | 6,538 | ||||||
Workday, Inc. - Class A * | 11,466 | 2,737 | ||||||
|
| |||||||
Total | 171,361 | |||||||
|
| |||||||
Materials (2.7%) | ||||||||
Ball Corp. | 23,901 | 1,936 | ||||||
Celanese Corp. - Class A | 31,052 | 4,708 | ||||||
Crown Holdings, Inc. | 19,040 | 1,946 | ||||||
FMC Corp. | 34,366 | 3,718 | ||||||
Linde PLC | 16,453 | 4,757 | ||||||
PPG Industries, Inc. | 25,013 | 4,246 | ||||||
|
| |||||||
Total | 21,311 | |||||||
|
| |||||||
Real Estate (2.1%) | ||||||||
American Tower Corp. | 23,133 | 6,249 | ||||||
Prologis, Inc. | 40,424 | 4,832 | ||||||
Welltower, Inc. | 67,125 | 5,578 | ||||||
|
| |||||||
Total | 16,659 | |||||||
|
| |||||||
Utilities (2.8%) | ||||||||
Duke Energy Corp. | 72,239 | 7,131 | ||||||
Edison International | 68,445 | 3,958 | ||||||
Exelon Corp. | 116,160 | 5,147 |
Common Stocks (98.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Utilities continued | ||||||||
FirstEnergy Corp. | 168,496 | 6,270 | ||||||
|
| |||||||
Total | 22,506 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $552,711) | 786,852 | |||||||
|
| |||||||
Investment Companies (0.8%) | ||||||||
Investment Companies (0.8%) |
| |||||||
SPDR S&P 500 ETF Trust | 15,696 | 6,719 | ||||||
|
| |||||||
Total | 6,719 | |||||||
|
| |||||||
Total Investment Companies |
| |||||||
(Cost: $6,659) | 6,719 | |||||||
|
| |||||||
Short-Term Investments (0.9%) | ||||||||
Money Market Funds (0.9%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 7,128,397 | 7,128 | ||||||
|
| |||||||
Total | 7,128 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $7,128) | 7,128 | |||||||
|
| |||||||
Total Investments (100.4%) |
| |||||||
(Cost: $566,498)@ | 800,699 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (-0.4%) | (3,427 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | 797,272 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
13
Table of Contents
Large Cap Core Stock Portfolio
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $566,498 and the net unrealized appreciation of investments based on that cost was $234,201 which is comprised of $235,907 aggregate gross unrealized appreciation and $1,706 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 786,852 | $ | - | $ | - | ||||||||
Investment Companies | 6,719 | - | - | |||||||||||
Short-Term Investments | 7,128 | - | - | |||||||||||
Total Assets: | $ | 800,699 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
14
Table of Contents
Large Cap Blend Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||||
Financials | 24.2 | % | ||||||
Health Care | 16.8 | % | ||||||
Consumer Discretionary | 16.6 | % | ||||||
Industrials | 14.1 | % | ||||||
Communication Services | 12.9 | % | ||||||
Consumer Staples | 4.6 | % | ||||||
Short-Term Investments & Other Net Assets | 3.1 | % | ||||||
Materials | 3.0 | % | ||||||
Information Technology | 2.9 | % | ||||||
Energy | 1.8 | % |
Sector Allocation is subject to change.
The Portfolio may hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
15
Table of Contents
Large Cap Blend Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (96.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (12.9%) |
| |||||||
Alphabet, Inc. - Class A * | 2,116 | 5,167 | ||||||
Comcast Corp. - Class A | 159,535 | 9,097 | ||||||
Facebook, Inc. - Class A * | 15,371 | 5,345 | ||||||
Omnicom Group, Inc. | 67,490 | 5,398 | ||||||
|
| |||||||
Total | 25,007 | |||||||
|
| |||||||
Consumer Discretionary (16.6%) |
| |||||||
Booking Holdings, Inc. * | 2,775 | 6,072 | ||||||
Dollar General Corp. | 41,591 | 9,000 | ||||||
Dollar Tree, Inc. * | 69,394 | 6,905 | ||||||
Sony Corp., ADR | 78,219 | 7,604 | ||||||
The TJX Cos., Inc. | 38,522 | 2,597 | ||||||
|
| |||||||
Total | 32,178 | |||||||
|
| |||||||
Consumer Staples (4.6%) |
| |||||||
PepsiCo, Inc. | 13,604 | 2,015 | ||||||
Unilever PLC, ADR | 119,707 | 7,003 | ||||||
|
| |||||||
Total | 9,018 | |||||||
|
| |||||||
Energy (1.8%) | ||||||||
Schlumberger, Ltd. | 113,360 | 3,629 | ||||||
|
| |||||||
Total | 3,629 | |||||||
|
| |||||||
Financials (24.2%) | ||||||||
Arch Capital Group, Ltd. * | 74,551 | 2,903 |
Common Stocks (96.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
Berkshire Hathaway, Inc. - Class B * | 47,201 | 13,118 | ||||||
The Charles Schwab Corp. | 114,635 | 8,347 | ||||||
Chubb, Ltd. | 24,818 | 3,945 | ||||||
JPMorgan Chase & Co. | 47,230 | 7,346 | ||||||
Northern Trust Corp. | 51,330 | 5,935 | ||||||
The Progressive Corp. | 54,683 | 5,370 | ||||||
|
| |||||||
Total | 46,964 | |||||||
|
| |||||||
Health Care (16.8%) | ||||||||
Fresenius Medical Care AG & Co. KGaA, ADR | 140,158 | 5,826 | ||||||
Koninklijke Philips NV | 126,353 | 6,280 | ||||||
Quest Diagnostics, Inc. | 60,350 | 7,964 | ||||||
Smith & Nephew PLC, ADR | 123,044 | 5,345 | ||||||
UnitedHealth Group, Inc. | 18,100 | 7,248 | ||||||
|
| |||||||
Total | 32,663 | |||||||
|
| |||||||
Industrials (14.1%) | ||||||||
Dover Corp. | 27,979 | 4,214 | ||||||
Eaton Corp. PLC | 28,852 | 4,275 | ||||||
Emerson Electric Co. | 29,465 | 2,836 | ||||||
Expeditors International of Washington, Inc. | 19,293 | 2,442 | ||||||
Masco Corp. | 165,164 | 9,730 | ||||||
PACCAR, Inc. | 42,896 | 3,828 | ||||||
|
| |||||||
Total | 27,325 | |||||||
|
|
Common Stocks (96.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology (2.9%) |
| |||||||
Micron Technology, Inc. * | 65,696 | 5,583 | ||||||
|
| |||||||
Total | 5,583 | |||||||
|
| |||||||
Materials (3.0%) | ||||||||
PPG Industries, Inc. | 34,715 | 5,894 | ||||||
|
| |||||||
Total | 5,894 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $135,641) |
| 188,261 | ||||||
|
| |||||||
Short-Term Investments (3.1%) | ||||||||
Money Market Funds (3.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 5,930,324 | 5,930 | ||||||
|
| |||||||
Total | 5,930 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $5,930) |
| 5,930 | ||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $141,571)@ | 194,191 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.0%) | 14 | |||||||
|
| |||||||
Net Assets (100.0%) | 194,205 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $141,571 and the net unrealized appreciation of investments based on that cost was $52,620 which is comprised of $55,672 aggregate gross unrealized appreciation and $3,052 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
16
Table of Contents
Large Cap Blend Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 188,261 | $ | - | $ | - | ||||||||
Short-Term Investments | 5,930 | - | - | |||||||||||
Total Assets: | $ | 194,191 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
17
Table of Contents
Index 500 Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||||
Information Technology | 27.1 | % | ||||||
Health Care | 12.8 | % | ||||||
Consumer Discretionary | 12.1 | % | ||||||
Financials | 11.2 | % | ||||||
Communication Services | 11.0 | % | ||||||
Industrials | 8.4 | % | ||||||
Consumer Staples | 5.8 | % | ||||||
Energy | 2.8 | % | ||||||
Materials | 2.6 | % | ||||||
Real Estate | 2.6 | % | ||||||
Utilities | 2.4 | % | ||||||
Short-Term Investments & Other Net Assets | 1.2 | % |
Sector Allocation is subject to change.
“Standard & Poor’s®”, “S&P®”, “S&P 500” and “Standard & Poor’s 500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.
The Portfolio may invest in exchange traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
18
Table of Contents
Index 500 Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (11.0%) |
| |||||||
Activision Blizzard, Inc. | 105,084 | 10,029 | ||||||
Alphabet, Inc. - Class A * | 40,993 | 100,096 | ||||||
Alphabet, Inc. - Class C * | 38,813 | 97,278 | ||||||
AT&T, Inc. | 972,199 | 27,980 | ||||||
Charter Communications, Inc. - Class A * | 18,773 | 13,544 | ||||||
Comcast Corp. - Class A | 623,798 | 35,569 | ||||||
Discovery Communications, Inc. - Class A * | 22,115 | 678 | ||||||
Discovery Communications, Inc. - Class C * | 43,668 | 1,265 | ||||||
DISH Network Corp. - Class A * | 34,111 | 1,426 | ||||||
Electronic Arts, Inc. | 38,968 | 5,605 | ||||||
Facebook, Inc. - Class A * | 326,594 | 113,560 | ||||||
Fox Corp. | 21,340 | 751 | ||||||
Fox Corp. - Class A | 42,670 | 1,584 | ||||||
The Interpublic Group of Companies, Inc. | 53,804 | 1,748 | ||||||
Live Nation Entertainment, Inc. * | 19,725 | 1,728 | ||||||
Lumen Technologies Inc | 136,211 | 1,851 | ||||||
Netflix, Inc. * | 60,381 | 31,894 | ||||||
News Corp. - Class A | 53,931 | 1,390 | ||||||
News Corp. - Class B | 16,798 | 409 | ||||||
Omnicom Group, Inc. | 29,655 | 2,372 | ||||||
Take-Two Interactive Software, Inc. * | 15,867 | 2,809 | ||||||
T-Mobile US, Inc. * | 80,402 | 11,645 | ||||||
Twitter, Inc. * | 107,279 | 7,382 | ||||||
Verizon Communications, Inc. | 564,313 | 31,618 | ||||||
ViacomCBS, Inc. | 82,545 | 3,731 | ||||||
The Walt Disney Co. * | 247,657 | 43,531 | ||||||
|
| |||||||
Total | 551,473 | |||||||
|
| |||||||
Consumer Discretionary (12.1%) |
| |||||||
Advance Auto Parts, Inc. | 9,322 | 1,912 | ||||||
Amazon.com, Inc. * | 58,431 | 201,012 | ||||||
Aptiv PLC * | 36,314 | 5,713 | ||||||
AutoZone, Inc. * | 2,935 | 4,380 | ||||||
Best Buy Co., Inc. | 30,385 | 3,494 | ||||||
Booking Holdings, Inc. * | 5,592 | 12,236 | ||||||
BorgWarner, Inc. | 33,721 | 1,637 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer Discretionary continued |
| |||||||
Caesars Entertainment, Inc. * | 28,539 | 2,961 | ||||||
CarMax, Inc. * | 22,820 | 2,947 | ||||||
Carnival Corp. * | 109,318 | 2,882 | ||||||
Chipotle Mexican Grill, Inc. * | 3,860 | 5,984 | ||||||
D.R. Horton, Inc. | 44,087 | 3,984 | ||||||
Darden Restaurants, Inc. | 17,961 | 2,622 | ||||||
Dollar General Corp. | 32,196 | 6,967 | ||||||
Dollar Tree, Inc. * | 30,986 | 3,083 | ||||||
Domino’s Pizza, Inc. | 5,105 | 2,381 | ||||||
eBay, Inc. | 87,937 | 6,174 | ||||||
Etsy, Inc. * | 17,394 | 3,580 | ||||||
Expedia, Inc. * | 19,534 | 3,198 | ||||||
Ford Motor Co. * | 529,254 | 7,865 | ||||||
The Gap, Inc. | 28,378 | 955 | ||||||
Garmin, Ltd. | 20,577 | 2,976 | ||||||
General Motors Co. * | 176,166 | 10,424 | ||||||
Genuine Parts Co. | 19,901 | 2,517 | ||||||
Hanesbrands, Inc. | 48,050 | 897 | ||||||
Hasbro, Inc. | 17,580 | 1,662 | ||||||
Hilton Worldwide Holdings, Inc. * | 38,273 | 4,616 | ||||||
The Home Depot, Inc. | 144,928 | 46,216 | ||||||
L Brands, Inc. | 32,227 | 2,322 | ||||||
Las Vegas Sands Corp. * | 45,308 | 2,387 | ||||||
Leggett & Platt, Inc. | 18,278 | 947 | ||||||
Lennar Corp. - Class A | 37,952 | 3,771 | ||||||
LKQ Corp. * | 38,624 | 1,901 | ||||||
Lowe’s Companies, Inc. | 96,353 | 18,690 | ||||||
Marriott International, Inc. - Class A * | 36,687 | 5,009 | ||||||
McDonald’s Corp. | 101,537 | 23,454 | ||||||
MGM Resorts International | 56,555 | 2,412 | ||||||
Mohawk Industries, Inc. * | 7,475 | 1,437 | ||||||
Newell Brands, Inc. | 52,092 | 1,431 | ||||||
NIKE, Inc. - Class B | 173,094 | 26,741 | ||||||
Norwegian Cruise Line Holdings, Ltd. * | 49,769 | 1,464 | ||||||
NVR, Inc. * | 450 | 2,238 | ||||||
O’Reilly Automotive, Inc. * | 9,345 | 5,291 | ||||||
Penn National Gaming, Inc. * | 20,370 | 1,558 | ||||||
Pool Corp. | 5,540 | 2,541 | ||||||
PulteGroup, Inc. | 34,275 | 1,870 | ||||||
PVH Corp. * | 9,807 | 1,055 | ||||||
Ralph Lauren Corp. | 6,652 | 784 | ||||||
Ross Stores, Inc. | 47,873 | 5,936 |
Common Stocks (98.8%) | �� | Shares/ Par + | Value $ (000’s) | |||||
Consumer Discretionary continued |
| |||||||
Royal Caribbean Cruises, Ltd. * | 29,997 | 2,558 | ||||||
Starbucks Corp. | 160,670 | 17,965 | ||||||
Tapestry, Inc. * | 38,268 | 1,664 | ||||||
Target Corp. | 67,433 | 16,301 | ||||||
Tesla Motors, Inc. * | 104,972 | 71,349 | ||||||
The TJX Cos., Inc. | 165,803 | 11,178 | ||||||
Tractor Supply Co. | 15,253 | 2,838 | ||||||
Ulta Beauty, Inc. * | 7,330 | 2,535 | ||||||
Under Armour, Inc. - Class A * | 26,008 | 550 | ||||||
Under Armour, Inc. - Class C * | 26,845 | 499 | ||||||
VF Corp. | 44,116 | 3,619 | ||||||
Whirlpool Corp. | 8,628 | 1,881 | ||||||
Wynn Resorts, Ltd. * | 14,416 | 1,763 | ||||||
Yum! Brands, Inc. | 41,585 | 4,784 | ||||||
|
| |||||||
Total | 607,998 | |||||||
|
| |||||||
Consumer Staples (5.8%) |
| |||||||
Altria Group, Inc. | 250,510 | 11,944 | ||||||
Archer-Daniels-Midland Co. | 76,753 | 4,651 | ||||||
Brown-Forman Corp. - Class B | 25,179 | 1,887 | ||||||
Campbell Soup Co. | 27,937 | 1,274 | ||||||
Church & Dwight Co., Inc. | 34,343 | 2,927 | ||||||
The Clorox Co. | 16,542 | 2,976 | ||||||
The Coca-Cola Co. | 528,197 | 28,581 | ||||||
Colgate-Palmolive Co. | 114,509 | 9,315 | ||||||
Conagra Brands, Inc. | 63,449 | 2,308 | ||||||
Constellation Brands, Inc. - Class A | 22,761 | 5,324 | ||||||
Costco Wholesale Corp. | 60,061 | 23,764 | ||||||
The Estee Lauder Cos., Inc. - Class A | 31,728 | 10,092 | ||||||
General Mills, Inc. | 81,964 | 4,994 | ||||||
The Hershey Co. | 19,511 | 3,398 | ||||||
Hormel Foods Corp. | 38,729 | 1,849 | ||||||
The J.M. Smucker Co. | 15,711 | 2,036 | ||||||
Kellogg Co. | 35,087 | 2,257 | ||||||
Kimberly-Clark Corp. | 45,895 | 6,140 | ||||||
The Kraft Heinz Co. | 89,389 | 3,645 | ||||||
The Kroger Co. | 102,967 | 3,945 | ||||||
Lamb Weston Holdings, Inc. | 20,187 | 1,628 | ||||||
McCormick & Co., Inc. | 34,307 | 3,030 | ||||||
Molson Coors Beverage Co. - Class B * | 25,954 | 1,394 | ||||||
Mondelez International, Inc. | 191,186 | 11,938 |
The Accompanying Notes are an Integral Part of the Financial Statements.
19
Table of Contents
Index 500 Stock Portfolio
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer Staples continued |
| |||||||
Monster Beverage Corp. * | 49,385 | 4,511 | ||||||
PepsiCo, Inc. | 188,050 | 27,863 | ||||||
Philip Morris International, Inc. | 211,803 | 20,992 | ||||||
The Procter & Gamble Co. | 333,707 | 45,027 | ||||||
Sysco Corp. | 70,265 | 5,463 | ||||||
Tyson Foods, Inc. - Class A | 40,574 | 2,993 | ||||||
Walgreens Boots Alliance, Inc. | 99,332 | 5,226 | ||||||
Walmart, Inc. | 187,154 | 26,393 | ||||||
|
| |||||||
Total | 289,765 | |||||||
|
| |||||||
Energy (2.8%) | ||||||||
APA Corp. | 52,071 | 1,126 | ||||||
Baker Hughes | 100,594 | 2,301 | ||||||
Cabot Oil & Gas Corp. | 54,982 | 960 | ||||||
Chevron Corp. | 262,626 | 27,507 | ||||||
ConocoPhillips | 184,421 | 11,231 | ||||||
Devon Energy Corp. | 81,620 | 2,382 | ||||||
Diamondback Energy, Inc. | 25,088 | 2,356 | ||||||
EOG Resources, Inc. | 78,760 | 6,572 | ||||||
Exxon Mobil Corp. | 577,053 | 36,401 | ||||||
Halliburton Co. | 121,947 | 2,819 | ||||||
Hess Corp. | 37,700 | 3,292 | ||||||
Kinder Morgan, Inc. | 260,852 | 4,755 | ||||||
Marathon Oil Corp. | 108,892 | 1,483 | ||||||
Marathon Petroleum Corp. | 87,450 | 5,284 | ||||||
NOV, Inc. * | 53,559 | 821 | ||||||
Occidental Petroleum Corp. | 115,612 | 3,615 | ||||||
ONEOK, Inc. | 61,303 | 3,411 | ||||||
Phillips 66 | 58,662 | 5,034 | ||||||
Pioneer Natural Resources Co. | 31,589 | 5,134 | ||||||
Schlumberger, Ltd. | 192,027 | 6,147 | ||||||
Valero Energy Corp. | 56,254 | 4,392 | ||||||
The Williams Cos., Inc. | 162,121 | 4,304 | ||||||
|
| |||||||
Total | 141,327 | |||||||
|
| |||||||
Financials (11.2%) |
| |||||||
AFLAC, Inc. | 84,769 | 4,549 | ||||||
The Allstate Corp. | 40,755 | 5,316 | ||||||
American Express Co. | 88,126 | 14,561 | ||||||
American International Group, Inc. | 115,997 | 5,521 | ||||||
Ameriprise Financial, Inc. | 16,227 | 4,039 | ||||||
Aon PLC | 30,929 | 7,385 | ||||||
Arthur J. Gallagher & Co. | 27,927 | 3,912 | ||||||
Assurant, Inc. | 8,183 | 1,278 | ||||||
Bank of America Corp. | 1,027,877 | 42,379 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
The Bank of New York Mellon Corp. | 109,480 | 5,609 | ||||||
Berkshire Hathaway, Inc. - Class B * | 258,346 | 71,799 | ||||||
BlackRock, Inc. | 19,375 | 16,953 | ||||||
Capital One Financial Corp. | 61,540 | 9,520 | ||||||
CBOE Holdings, Inc. | 14,904 | 1,774 | ||||||
The Charles Schwab Corp. | 205,692 | 14,976 | ||||||
Chubb, Ltd. | 61,465 | 9,769 | ||||||
Cincinnati Financial Corp. | 20,642 | 2,407 | ||||||
Citigroup, Inc. | 281,749 | 19,934 | ||||||
Citizens Financial Group, Inc. | 58,913 | 2,702 | ||||||
CME Group, Inc. | 48,855 | 10,390 | ||||||
Comerica, Inc. | 19,187 | 1,369 | ||||||
Discover Financial Services | 41,086 | 4,860 | ||||||
Everest Re Group, Ltd. | 5,513 | 1,389 | ||||||
Fifth Third Bancorp | 94,613 | 3,617 | ||||||
First Republic Bank | 23,995 | 4,491 | ||||||
Franklin Resources, Inc. | 37,588 | 1,202 | ||||||
Globe Life, Inc. | 13,283 | 1,265 | ||||||
The Goldman Sachs Group, Inc. | 46,373 | 17,600 | ||||||
The Hartford Financial Services Group, Inc. | 49,430 | 3,063 | ||||||
Huntington Bancshares, Inc. | 202,055 | 2,883 | ||||||
Intercontinental Exchange, Inc. | 77,513 | 9,201 | ||||||
Invesco, Ltd. | 51,960 | 1,389 | ||||||
JPMorgan Chase & Co. | 412,613 | 64,178 | ||||||
KeyCorp | 127,936 | 2,642 | ||||||
Lincoln National Corp. | 25,061 | 1,575 | ||||||
Loews Corp. | 32,145 | 1,757 | ||||||
M&T Bank Corp. | 17,698 | 2,572 | ||||||
MarketAxess Holdings, Inc. | 5,237 | 2,428 | ||||||
Marsh & McLennan Cos., Inc. | 68,922 | 9,696 | ||||||
MetLife, Inc. | 100,703 | 6,027 | ||||||
Moody’s Corp. | 21,814 | 7,905 | ||||||
Morgan Stanley | 202,886 | 18,603 | ||||||
MSCI, Inc. | 11,401 | 6,078 | ||||||
Nasdaq, Inc. | 15,840 | 2,785 | ||||||
Northern Trust Corp. | 28,710 | 3,319 | ||||||
People’s United Financial, Inc. | 58,608 | 1,004 | ||||||
PNC Financial Services Group, Inc. | 57,667 | 11,001 | ||||||
Principal Financial Group, Inc. | 32,971 | 2,083 | ||||||
The Progressive Corp. | 79,305 | 7,789 | ||||||
Prudential Financial, Inc. | 53,227 | 5,454 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
Raymond James Financial, Inc. | 16,812 | 2,184 | ||||||
Regions Financial Corp. | 132,491 | 2,674 | ||||||
S&P Global, Inc. | 32,794 | 13,460 | ||||||
State Street Corp. | 46,957 | 3,864 | ||||||
SVB Financial Group * | 7,412 | 4,124 | ||||||
Synchrony Financial | 71,964 | 3,492 | ||||||
T. Rowe Price Group, Inc. | 30,484 | 6,035 | ||||||
The Travelers Cos., Inc. | 34,062 | 5,099 | ||||||
Truist Financial Corp. | 183,602 | 10,190 | ||||||
U.S. Bancorp | 184,036 | 10,484 | ||||||
Unum Group | 28,094 | 798 | ||||||
W.R. Berkley Corp. | 19,422 | 1,446 | ||||||
Wells Fargo & Co. | 563,237 | 25,509 | ||||||
Willis Towers Watson PLC | 17,207 | 3,958 | ||||||
Zions Bancorporation | 22,625 | 1,196 | ||||||
|
| |||||||
Total | 558,511 | |||||||
|
| |||||||
Health Care (12.8%) |
| |||||||
Abbott Laboratories | 241,409 | 27,987 | ||||||
AbbVie, Inc. | 240,698 | 27,112 | ||||||
ABIOMED, Inc. * | 6,234 | 1,946 | ||||||
Agilent Technologies, Inc. | 42,106 | 6,224 | ||||||
Alexion Pharmaceuticals, Inc. * | 30,189 | 5,546 | ||||||
Align Technology, Inc. * | 9,653 | 5,898 | ||||||
AmerisourceBergen Corp. | 20,286 | 2,323 | ||||||
Amgen, Inc. | 78,315 | 19,089 | ||||||
Anthem, Inc. | 33,176 | 12,667 | ||||||
Baxter International, Inc. | 68,719 | 5,532 | ||||||
Becton Dickinson and Co. | 40,041 | 9,738 | ||||||
Biogen, Inc. * | 20,326 | 7,038 | ||||||
Bio-Rad Laboratories, Inc. - Class A * | 2,969 | 1,913 | ||||||
Boston Scientific Corp. * | 193,982 | 8,295 | ||||||
Bristol-Myers Squibb Co. | 304,496 | 20,346 | ||||||
Cardinal Health, Inc. | 37,958 | 2,167 | ||||||
Catalent, Inc. * | 22,697 | 2,454 | ||||||
Centene Corp. * | 79,982 | 5,833 | ||||||
Cerner Corp. | 40,463 | 3,163 | ||||||
Charles River Laboratories International, Inc. * | 6,814 | 2,521 | ||||||
Cigna Corp. | 46,773 | 11,088 | ||||||
The Cooper Cos., Inc. | 6,765 | 2,681 | ||||||
CVS Health Corp. | 180,443 | 15,056 | ||||||
Danaher Corp. | 86,576 | 23,234 | ||||||
DaVita, Inc. * | 9,009 | 1,085 |
The Accompanying Notes are an Integral Part of the Financial Statements.
20
Table of Contents
Index 500 Stock Portfolio
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Dentsply Sirona, Inc. | 30,149 | 1,907 | ||||||
Dexcom, Inc. * | 13,247 | 5,656 | ||||||
Edwards Lifesciences Corp. * | 84,512 | 8,753 | ||||||
Eli Lilly & Co. | 108,145 | 24,821 | ||||||
Gilead Sciences, Inc. | 172,923 | 11,908 | ||||||
HCA Healthcare, Inc. | 35,708 | 7,382 | ||||||
Henry Schein, Inc. * | 19,696 | 1,461 | ||||||
Hologic, Inc. * | 35,454 | 2,366 | ||||||
Humana, Inc. | 17,657 | 7,817 | ||||||
IDEXX Laboratories, Inc. * | 11,519 | 7,275 | ||||||
Illumina, Inc. * | 20,136 | 9,529 | ||||||
Incyte Corp. * | 25,678 | 2,160 | ||||||
Intuitive Surgical, Inc. * | 16,195 | 14,894 | ||||||
IQVIA Holdings, Inc. * | 25,853 | 6,265 | ||||||
Johnson & Johnson | 358,946 | 59,133 | ||||||
Laboratory Corp. of America Holdings * | 13,436 | 3,706 | ||||||
McKesson Corp. | 22,166 | 4,239 | ||||||
Medtronic PLC | 183,348 | 22,759 | ||||||
Merck & Co., Inc. | 344,771 | 26,813 | ||||||
Mettler-Toledo International, | 3,154 | 4,369 | ||||||
Organon & Co. * | 34,671 | 1,049 | ||||||
PerkinElmer, Inc. | 15,447 | 2,385 | ||||||
Perrigo Co. PLC | 18,828 | 863 | ||||||
Pfizer, Inc. | 762,918 | 29,876 | ||||||
Quest Diagnostics, Inc. | 17,444 | 2,302 | ||||||
Regeneron Pharmaceuticals, | 14,186 | 7,923 | ||||||
ResMed, Inc. | 19,991 | 4,928 | ||||||
STERIS PLC | 13,309 | 2,746 | ||||||
Stryker Corp. | 44,520 | 11,563 | ||||||
Teleflex, Inc. | 6,424 | 2,581 | ||||||
Thermo Fisher Scientific, Inc. | 53,572 | 27,025 | ||||||
UnitedHealth Group, Inc. | 128,631 | 51,509 | ||||||
Universal Health Services, Inc. - Class B | 10,722 | 1,570 | ||||||
Vertex Pharmaceuticals, Inc. * | 35,242 | 7,106 | ||||||
Viatris, Inc. | 166,424 | 2,378 | ||||||
Waters Corp. * | 8,129 | 2,809 | ||||||
West Pharmaceutical Services, Inc. | 10,198 | 3,662 | ||||||
Zimmer Biomet Holdings, Inc. | 28,593 | 4,598 | ||||||
Zoetis, Inc. | 64,672 | 12,052 | ||||||
|
| |||||||
Total | 643,074 | |||||||
|
| |||||||
Industrials (8.4%) | ||||||||
3M Co. | 78,839 | 15,660 | ||||||
A.O. Smith Corp. | 18,683 | 1,346 | ||||||
Alaska Air Group, Inc. * | 17,059 | 1,029 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Allegion PLC | 11,636 | 1,621 | ||||||
American Airlines Group, Inc. * | 83,448 | 1,770 | ||||||
AMETEK, Inc. | 31,737 | 4,237 | ||||||
The Boeing Co. * | 74,578 | 17,866 | ||||||
C.H. Robinson Worldwide, Inc. | 17,273 | 1,618 | ||||||
Carrier Global Corp. | 112,383 | 5,462 | ||||||
Caterpillar, Inc. | 75,001 | 16,322 | ||||||
Cintas Corp. | 12,124 | 4,631 | ||||||
Copart, Inc. * | 28,665 | 3,779 | ||||||
CSX Corp. | 307,521 | 9,865 | ||||||
Cummins, Inc. | 19,830 | 4,835 | ||||||
Deere & Co. | 42,424 | 14,963 | ||||||
Delta Air Lines, Inc. * | 87,974 | 3,806 | ||||||
Dover Corp. | 19,879 | 2,994 | ||||||
Eaton Corp. PLC | 54,971 | 8,146 | ||||||
Emerson Electric Co. | 81,009 | 7,796 | ||||||
Equifax, Inc. | 16,780 | 4,019 | ||||||
Expeditors International of Washington, Inc. | 23,350 | 2,956 | ||||||
Fastenal Co. | 79,196 | 4,118 | ||||||
FedEx Corp. | 33,326 | 9,942 | ||||||
Fortive Corp. | 46,515 | 3,244 | ||||||
Fortune Brands Home & Security, Inc. | 19,165 | 1,909 | ||||||
Generac Holdings, Inc. * | 8,613 | 3,576 | ||||||
General Dynamics Corp. | 31,278 | 5,888 | ||||||
General Electric Co. | 1,197,919 | 16,124 | ||||||
Honeywell International, Inc. | 94,639 | 20,759 | ||||||
Howmet Aerospace, Inc. * | 53,833 | 1,856 | ||||||
Huntington Ingalls Industries, Inc. | 5,586 | 1,177 | ||||||
IDEX Corp. | 10,443 | 2,298 | ||||||
IHS Markit, Ltd. | 51,413 | 5,792 | ||||||
Illinois Tool Works, Inc. | 39,102 | 8,742 | ||||||
Ingersoll-Rand, Inc. * | 51,277 | 2,503 | ||||||
J.B. Hunt Transport Services, Inc. | 11,517 | 1,877 | ||||||
Jacobs Engineering Group, Inc. | 17,881 | 2,386 | ||||||
Johnson Controls International PLC | 97,585 | 6,697 | ||||||
Kansas City Southern | 12,787 | 3,623 | ||||||
L3Harris Technologies, Inc. | 27,510 | 5,946 | ||||||
Lockheed Martin Corp. | 33,189 | 12,557 | ||||||
Masco Corp. | 36,146 | 2,129 | ||||||
Nielsen Holdings PLC | 49,247 | 1,215 | ||||||
Norfolk Southern Corp. | 33,961 | 9,014 | ||||||
Northrop Grumman Corp. | 20,404 | 7,415 | ||||||
Old Dominion Freight Line, Inc. | 12,692 | 3,221 | ||||||
Otis Worldwide Corp. | 54,360 | 4,445 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
PACCAR, Inc. | 47,790 | 4,265 | ||||||
Parker Hannifin Corp. | 17,271 | 5,304 | ||||||
Pentair PLC | 22,947 | 1,549 | ||||||
Quanta Services, Inc. | 19,155 | 1,735 | ||||||
Raytheon Co. | 206,099 | 17,582 | ||||||
Republic Services, Inc. | 29,018 | 3,192 | ||||||
Robert Half International, Inc. | 15,724 | 1,399 | ||||||
Rockwell Automation, Inc. | 15,510 | 4,436 | ||||||
Rollins, Inc. | 30,518 | 1,044 | ||||||
Roper Technologies, Inc. | 14,149 | 6,653 | ||||||
Snap-on, Inc. | 7,479 | 1,671 | ||||||
Southwest Airlines Co. * | 81,427 | 4,323 | ||||||
Stanley Black & Decker, Inc. | 22,102 | 4,531 | ||||||
Teledyne Technologies, Inc. * | 6,386 | 2,675 | ||||||
Textron, Inc. | 29,435 | 2,024 | ||||||
Trane Technologies PLC | 33,097 | 6,095 | ||||||
TransDigm Group, Inc. * | 7,509 | 4,861 | ||||||
Union Pacific Corp. | 90,548 | 19,914 | ||||||
United Continental Holdings, Inc. * | 43,638 | 2,282 | ||||||
United Parcel Service, Inc. - Class B | 98,662 | 20,519 | ||||||
United Rentals, Inc. * | 9,951 | 3,174 | ||||||
Verisk Analytics, Inc. | 21,578 | 3,770 | ||||||
W.W. Grainger, Inc. | 5,865 | 2,569 | ||||||
Wabtec Corp. | 24,680 | 2,031 | ||||||
Waste Management, Inc. | 52,591 | 7,369 | ||||||
Xylem, Inc. | 24,862 | 2,982 | ||||||
|
| |||||||
Total | 421,123 | |||||||
|
| |||||||
Information Technology (27.1%) |
| |||||||
Accenture PLC - Class A | 86,362 | 25,459 | ||||||
Adobe Systems, Inc. * | 65,154 | 38,157 | ||||||
Advanced Micro Devices, Inc. * | 165,614 | 15,556 | ||||||
Akamai Technologies, Inc. * | 22,457 | 2,618 | ||||||
Amphenol Corp. - Class A | 80,389 | 5,499 | ||||||
Analog Devices, Inc. | 50,069 | 8,620 | ||||||
ANSYS, Inc. * | 11,847 | 4,112 | ||||||
Apple, Inc. | 2,138,134 | 292,839 | ||||||
Applied Materials, Inc. | 124,926 | 17,789 | ||||||
Arista Networks, Inc. * | 7,515 | 2,723 | ||||||
Autodesk, Inc. * | 30,362 | 8,863 | ||||||
Automatic Data Processing, Inc. | 57,683 | 11,457 | ||||||
Broadcom, Inc. | 55,654 | 26,538 |
The Accompanying Notes are an Integral Part of the Financial Statements.
21
Table of Contents
Index 500 Stock Portfolio
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Broadridge Financial Solutions, Inc. | 15,949 | 2,576 | ||||||
Cadence Design Systems, Inc. * | 37,344 | 5,109 | ||||||
CDW Corp. | 19,727 | 3,445 | ||||||
Cisco Systems, Inc. | 574,418 | 30,444 | ||||||
Citrix Systems, Inc. | 16,985 | 1,992 | ||||||
Cognizant Technology Solutions Corp. - Class A | 71,986 | 4,986 | ||||||
Corning, Inc. | 105,393 | 4,311 | ||||||
DXC Technology Co. * | 35,095 | 1,367 | ||||||
Enphase Energy, Inc. * | 18,769 | 3,447 | ||||||
F5 Networks, Inc. * | 7,722 | 1,441 | ||||||
Fidelity National Information Services, Inc. | 84,652 | 11,993 | ||||||
Fiserv, Inc. * | 81,182 | 8,678 | ||||||
FLEETCOR Technologies, | 11,505 | 2,946 | ||||||
Fortinet, Inc. * | 18,586 | 4,427 | ||||||
Gartner, Inc. * | 11,691 | 2,832 | ||||||
Global Payments, Inc. | 40,455 | 7,587 | ||||||
Hewlett Packard Enterprise Co. | 177,540 | 2,588 | ||||||
HP, Inc. | 163,737 | 4,943 | ||||||
Intel Corp. | 550,400 | 30,899 | ||||||
International Business Machines Corp. | 121,844 | 17,861 | ||||||
Intuit, Inc. | 37,210 | 18,239 | ||||||
IPG Photonics Corp. * | 4,926 | 1,038 | ||||||
Jack Henry & Associates, Inc. | 9,632 | 1,575 | ||||||
Juniper Networks, Inc. | 45,486 | 1,244 | ||||||
Keysight Technologies, Inc. * | 24,570 | 3,794 | ||||||
KLA-Tencor Corp. | 20,850 | 6,760 | ||||||
Lam Research Corp. | 19,353 | 12,593 | ||||||
Leidos Holdings, Inc. | 18,455 | 1,866 | ||||||
Mastercard, Inc. - Class A | 119,238 | 43,533 | ||||||
Maxim Integrated Products, Inc. | 36,874 | 3,885 | ||||||
Microchip Technology, Inc. | 37,849 | 5,667 | ||||||
Micron Technology, Inc. * | 151,779 | 12,898 | ||||||
Microsoft Corp. | 1,026,593 | 278,104 | ||||||
Monolithic Power Systems | 5,845 | 2,183 | ||||||
Motorola Solutions, Inc. | 22,689 | 4,920 | ||||||
NetApp, Inc. | 30,815 | 2,521 | ||||||
NortonLifeLock, Inc. | 76,405 | 2,080 | ||||||
NVIDIA Corp. | 84,954 | 67,972 | ||||||
NXP Semiconductors NV | 37,232 | 7,659 | ||||||
Oracle Corp. | 247,616 | 19,274 | ||||||
Paychex, Inc. | 44,137 | 4,736 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Paycom Software, Inc. * | 6,758 | 2,456 | ||||||
PayPal Holdings, Inc. * | 159,938 | 46,619 | ||||||
PTC, Inc. * | 14,404 | 2,035 | ||||||
Qorvo, Inc. * | 14,926 | 2,920 | ||||||
QUALCOMM, Inc. | 153,752 | 21,976 | ||||||
salesforce.com, Inc. * | 126,219 | 30,831 | ||||||
Seagate Technology Holdings PLC | 27,523 | 2,420 | ||||||
ServiceNow, Inc. * | 26,914 | 14,791 | ||||||
Skyworks Solutions, Inc. | 23,005 | 4,411 | ||||||
Synopsys, Inc. * | 20,497 | 5,653 | ||||||
TE Connectivity, Ltd. | 44,550 | 6,024 | ||||||
Teradyne, Inc. | 22,907 | 3,069 | ||||||
Texas Instruments, Inc. | 125,849 | 24,201 | ||||||
Trimble Navigation, Ltd. * | 34,306 | 2,807 | ||||||
Tyler Technologies, Inc. * | 5,563 | 2,516 | ||||||
VeriSign, Inc. * | 13,187 | 3,003 | ||||||
Visa, Inc. - Class A | 230,602 | 53,919 | ||||||
Western Digital Corp. * | 41,969 | 2,987 | ||||||
Western Union Co. | 56,713 | 1,303 | ||||||
Xilinx, Inc. | 33,814 | 4,891 | ||||||
Zebra Technologies Corp. - Class A * | 7,355 | 3,894 | ||||||
|
| |||||||
Total | 1,359,369 | |||||||
|
| |||||||
Materials (2.6%) | ||||||||
Air Products and Chemicals, Inc. | 30,475 | 8,767 | ||||||
Albemarle Corp. | 15,981 | 2,692 | ||||||
Amcor PLC | 204,147 | 2,340 | ||||||
Avery Dennison Corp. | 11,507 | 2,419 | ||||||
Ball Corp. | 45,124 | 3,656 | ||||||
Celanese Corp. - Class A | 16,102 | 2,441 | ||||||
CF Industries Holdings, Inc. | 29,509 | 1,518 | ||||||
Corteva, Inc. | 99,460 | 4,411 | ||||||
Dow, Inc. | 102,323 | 6,475 | ||||||
DuPont de Nemours, Inc. | 72,190 | 5,588 | ||||||
Eastman Chemical Co. | 18,688 | 2,182 | ||||||
Ecolab, Inc. | 33,574 | 6,915 | ||||||
FMC Corp. | 17,900 | 1,937 | ||||||
Freeport-McMoRan, Inc. | 200,419 | 7,438 | ||||||
International Flavors & Fragrances, Inc. | 33,302 | 4,975 | ||||||
International Paper Co. | 51,904 | 3,182 | ||||||
Linde PLC | 70,907 | 20,499 | ||||||
LyondellBasell Industries NV - Class A | 35,469 | 3,649 | ||||||
Martin Marietta Materials, Inc. | 8,591 | 3,022 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Materials continued | ||||||||
The Mosaic Co. | 47,588 | 1,519 | ||||||
Newmont Mining Corp. | 110,716 | 7,017 | ||||||
Nucor Corp. | 41,090 | 3,942 | ||||||
Packaging Corp. of America | 13,082 | 1,772 | ||||||
PPG Industries, Inc. | 32,584 | 5,532 | ||||||
Sealed Air Corp. | 21,403 | 1,268 | ||||||
The Sherwin-Williams Co. | 32,609 | 8,884 | ||||||
Vulcan Materials Co. | 18,279 | 3,182 | ||||||
WestRock Co. | 36,233 | 1,928 | ||||||
|
| |||||||
Total | 129,150 | |||||||
|
| |||||||
Real Estate (2.6%) | ||||||||
Alexandria Real Estate Equities, Inc. | 18,698 | 3,402 | ||||||
American Tower Corp. | 61,977 | 16,742 | ||||||
AvalonBay Communities, Inc. | 19,259 | 4,019 | ||||||
Boston Properties, Inc. | 19,540 | 2,239 | ||||||
CBRE Group, Inc. * | 46,275 | 3,967 | ||||||
Crown Castle International Corp. | 59,411 | 11,591 | ||||||
Digital Realty Trust, Inc. | 38,648 | 5,815 | ||||||
Duke Realty Corp. | 51,310 | 2,429 | ||||||
Equinix, Inc. | 12,109 | 9,719 | ||||||
Equity Residential | 47,243 | 3,638 | ||||||
Essex Property Trust, Inc. | 8,995 | 2,699 | ||||||
Extra Space Storage, Inc. | 17,940 | 2,939 | ||||||
Federal Realty Investment Trust | 9,496 | 1,113 | ||||||
Healthpeak Properties, Inc. | 74,265 | 2,472 | ||||||
Host Hotels & Resorts, Inc. * | 97,298 | 1,663 | ||||||
Iron Mountain, Inc. | 39,752 | 1,682 | ||||||
Kimco Realty Corp. | 59,663 | 1,244 | ||||||
Mid-America Apartment Communities, Inc. | 15,777 | 2,657 | ||||||
Prologis, Inc. | 100,651 | 12,031 | ||||||
Public Storage | 20,480 | 6,158 | ||||||
Realty Income Corp. | 51,163 | 3,415 | ||||||
Regency Centers Corp. | 21,769 | 1,395 | ||||||
SBA Communications Corp. | 15,277 | 4,869 | ||||||
Simon Property Group, Inc. | 44,113 | 5,756 | ||||||
UDR, Inc. | 40,623 | 1,990 | ||||||
Ventas, Inc. | 51,671 | 2,950 | ||||||
Vornado Realty Trust | 21,635 | 1,010 | ||||||
Welltower, Inc. | 55,757 | 4,633 | ||||||
Weyerhaeuser Co. | 102,968 | 3,544 | ||||||
|
| |||||||
Total | 127,781 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
22
Table of Contents
Index 500 Stock Portfolio
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Utilities (2.4%) | ||||||||
The AES Corp. | 91,753 | 2,392 | ||||||
Alliant Energy Corp. | 34,454 | 1,921 | ||||||
Ameren Corp. | 34,154 | 2,734 | ||||||
American Electric Power Co., Inc. | 68,476 | 5,792 | ||||||
American Water Works Co., Inc. | 25,006 | 3,854 | ||||||
Atmos Energy Corp. | 18,820 | 1,809 | ||||||
CenterPoint Energy, Inc. | 80,804 | 1,981 | ||||||
CMS Energy Corp. | 39,499 | 2,334 | ||||||
Consolidated Edison, Inc. | 47,194 | 3,385 | ||||||
Dominion Resources, Inc. | 110,392 | 8,122 | ||||||
DTE Energy Co. | 26,701 | 3,460 | ||||||
Duke Energy Corp. | 103,901 | 10,257 | ||||||
Edison International | 52,215 | 3,019 | ||||||
Entergy Corp. | 27,621 | 2,754 | ||||||
Evergy, Inc. | 31,291 | 1,891 |
Common Stocks (98.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Eversource Energy | 47,292 | 3,795 | ||||||
Exelon Corp. | 131,462 | 5,825 | ||||||
FirstEnergy Corp. | 74,849 | 2,785 | ||||||
NextEra Energy, Inc. | 266,421 | 19,523 | ||||||
NiSource, Inc. | 52,863 | 1,295 | ||||||
NRG Energy, Inc. | 33,690 | 1,358 | ||||||
Pinnacle West Capital Corp. | 15,533 | 1,273 | ||||||
PPL Corp. | 106,058 | 2,966 | ||||||
Public Service Enterprise Group, Inc. | 67,425 | 4,028 | ||||||
Sempra Energy | 42,946 | 5,690 | ||||||
The Southern Co. | 145,738 | 8,819 | ||||||
WEC Energy Group, Inc. | 43,513 | 3,870 | ||||||
Xcel Energy, Inc. | 72,537 | 4,779 | ||||||
|
| |||||||
Total | 121,711 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $1,666,592) |
| 4,951,282 | ||||||
|
|
Short-Term Investments (1.1%) | Shares/ Par + | Value $ (000’s) | ||||||
Money Market Funds (1.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier | 52,875,161 | 52,875 | ||||||
|
| |||||||
Total | 52,875 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $52,875) |
| 52,875 | ||||||
|
| |||||||
Total Investments (99.9%) |
| |||||||
(Cost: $1,719,467)@ |
| 5,004,157 | ||||||
|
| |||||||
Other Assets, Less |
| |||||||
Liabilities (0.1%) |
| 4,192 | ||||||
|
| |||||||
Net Assets (100.0%) |
| 5,008,349 | ||||||
|
|
Exchange Traded or Centrally Cleared Derivatives Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
E-mini S&P 500 Futures | Long | USD | 13 | 266 | | 9/21 | | $ | 57,038 | $ | 1,362 | $ | 86 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,362 | $ | 86 | |||||||||||||||||||||||||||||
|
|
|
|
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or | $ | - | $ | 86 | $ | 86 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||
Centrally Cleared Derivatives |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
ß | Cash or securities with an aggregate value of $52,875 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,719,467 and the net unrealized appreciation of investments based on that cost was $3,286,052 which is comprised of $3,343,088 aggregate gross unrealized appreciation and $57,036 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
23
Table of Contents
Index 500 Stock Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 4,951,282 | $ | - | $ | - | ||||||||
Short-Term Investments | 52,875 | - | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | 1,362 | - | - | |||||||||||
Total Assets: | $ | 5,005,519 | $ | - | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
Table of Contents
Large Company Value Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||
Financials | 22.2 | % | ||||
Health Care | 22.0 | % | ||||
Consumer Staples | 11.7 | % | ||||
Industrials | 10.6 | % | ||||
Information Technology | 8.7 | % | ||||
Energy | 6.2 | % | ||||
Utilities | 5.3 | % | ||||
Communication Services | 4.6 | % | ||||
Consumer Discretionary | 4.0 | % | ||||
Short-Term Investments & Other Net Assets | 1.8 | % | ||||
Materials | 1.7 | % | ||||
Real Estate | 1.2 | % |
Sector Allocation is subject to change.
The Portfolio may invest in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The Portfolio may invest in a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
25
Table of Contents
Large Company Value Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.2%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (4.6%) |
| |||||||
Verizon Communications, Inc. | 145,812 | 8,170 | ||||||
The Walt Disney Co. * | 13,968 | 2,455 | ||||||
|
| |||||||
Total | 10,625 | |||||||
|
| |||||||
Consumer Discretionary (4.0%) |
| |||||||
Advance Auto Parts, Inc. | 18,893 | 3,876 | ||||||
Dollar Tree, Inc. * | 36,060 | 3,588 | ||||||
Honda Motor Co., Ltd., ADR | 53,831 | 1,732 | ||||||
|
| |||||||
Total | 9,196 | |||||||
|
| |||||||
Consumer Staples (11.7%) |
| |||||||
Colgate-Palmolive Co. | 24,462 | 1,990 | ||||||
Conagra Brands, Inc. | 60,807 | 2,212 | ||||||
Danone SA | 17,726 | 1,248 | ||||||
Kimberly-Clark Corp. | 14,955 | 2,001 | ||||||
Koninklijke Ahold Delhaize NV | 64,969 | 1,931 | ||||||
Mondelez International, Inc. | 51,605 | 3,222 | ||||||
PepsiCo, Inc. | 25,489 | 3,777 | ||||||
The Procter & Gamble Co. | 13,713 | 1,850 | ||||||
Unilever PLC, ADR | 97,393 | 5,698 | ||||||
Walmart, Inc. | 21,748 | 3,067 | ||||||
|
| |||||||
Total | 26,996 | |||||||
|
| |||||||
Energy (6.2%) | ||||||||
Baker Hughes | 76,447 | 1,748 | ||||||
Chevron Corp. | 51,652 | 5,410 | ||||||
ConocoPhillips | 62,258 | 3,792 | ||||||
Total SA, ADR | 75,744 | 3,428 | ||||||
|
| |||||||
Total | 14,378 | |||||||
|
| |||||||
Financials (22.2%) | ||||||||
AFLAC, Inc. | 63,281 | 3,396 | ||||||
The Allstate Corp. | 18,309 | 2,388 | ||||||
Ameriprise Financial, Inc. | 9,453 | 2,353 | ||||||
The Bank of New York Mellon Corp. | 148,152 | 7,590 | ||||||
Berkshire Hathaway, Inc. - Class B * | 31,682 | 8,805 | ||||||
Chubb, Ltd. | 26,611 | 4,229 | ||||||
JPMorgan Chase & Co. | 48,503 | 7,544 | ||||||
MetLife, Inc. | 33,544 | 2,008 | ||||||
Northern Trust Corp. | 21,754 | 2,515 | ||||||
Truist Financial Corp. | 94,917 | 5,268 |
Common Stocks (98.2%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
U.S. Bancorp | 90,034 | 5,129 | ||||||
|
| |||||||
Total | 51,225 | |||||||
|
| |||||||
Health Care (22.0%) | ||||||||
Becton Dickinson and Co. | 14,892 | 3,622 | ||||||
Cerner Corp. | 53,081 | 4,149 | ||||||
Cigna Corp. | 11,262 | 2,670 | ||||||
CVS Health Corp. | 30,583 | 2,552 | ||||||
Johnson & Johnson | 65,041 | 10,715 | ||||||
McKesson Corp. | 9,118 | 1,744 | ||||||
Medtronic PLC | 82,430 | 10,232 | ||||||
Merck & Co., Inc. | 59,272 | 4,610 | ||||||
Pfizer, Inc. | 43,846 | 1,717 | ||||||
Quest Diagnostics, Inc. | 13,855 | 1,828 | ||||||
Roche Holding AG | 4,279 | 1,612 | ||||||
Universal Health Services, Inc. - Class B | 14,780 | 2,164 | ||||||
Zimmer Biomet Holdings, Inc. | 20,063 | 3,226 | ||||||
|
| |||||||
Total | 50,841 | |||||||
|
| |||||||
Industrials (10.6%) | ||||||||
Emerson Electric Co. | 59,934 | 5,768 | ||||||
General Dynamics Corp. | 13,624 | 2,565 | ||||||
Johnson Controls International PLC | 18,882 | 1,296 | ||||||
Norfolk Southern Corp. | 7,403 | 1,965 | ||||||
nVent Electric PLC | 73,619 | 2,300 | ||||||
Raytheon Co. | 44,456 | 3,793 | ||||||
Republic Services, Inc. | 18,034 | 1,984 | ||||||
Siemens AG | 21,721 | 3,441 | ||||||
Southwest Airlines Co. * | 23,818 | 1,264 | ||||||
|
| |||||||
Total | 24,376 | |||||||
|
| |||||||
Information Technology (8.7%) |
| |||||||
Automatic Data Processing, Inc. | 11,858 | 2,355 | ||||||
Cisco Systems, Inc. | 121,066 | 6,417 | ||||||
F5 Networks, Inc. * | 13,055 | 2,437 | ||||||
Oracle Corp. | 46,229 | 3,598 | ||||||
TE Connectivity, Ltd. | 13,085 | 1,769 | ||||||
Texas Instruments, Inc. | 18,112 | 3,483 | ||||||
|
| |||||||
Total | 20,059 | |||||||
|
| |||||||
Materials (1.7%) | ||||||||
Mondi PLC | 61,639 | 1,621 |
Common Stocks (98.2%) | Shares/ Par + | Value $ (000’s) | ||||||
Materials continued | ||||||||
Sonoco Products Co. | 35,522 | 2,376 | ||||||
|
| |||||||
Total | 3,997 | |||||||
|
| |||||||
Real Estate (1.2%) | ||||||||
Healthpeak Properties, Inc. | 79,086 | 2,633 | ||||||
|
| |||||||
Total | 2,633 | |||||||
|
| |||||||
Utilities (5.3%) | ||||||||
Duke Energy Corp. | 25,906 | 2,557 | ||||||
Eversource Energy | 24,184 | 1,941 | ||||||
Pinnacle West Capital Corp. | 52,819 | 4,330 | ||||||
Xcel Energy, Inc. | 52,796 | 3,478 | ||||||
|
| |||||||
Total | 12,306 | |||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost: $189,468) | 226,632 | |||||||
|
| |||||||
Short-Term Investments (1.6%) | ||||||||
Money Market Funds (1.6%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 3,627,410 | 3,627 | ||||||
|
| |||||||
Total | 3,627 | |||||||
|
| |||||||
Total Short-Term |
| |||||||
(Cost: $3,627) | 3,627 | |||||||
|
| |||||||
Total Investments |
| |||||||
(Cost: $193,095)@ | 230,259 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.2%) | 533 | |||||||
|
| |||||||
Net Assets (100.0%) | 230,792 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
26
Table of Contents
Large Company Value Portfolio
Over the Counter Derivatives
Forward Contracts
Type | Counterparty | Currency | Foreign Principal Amount Covered by Contract (000s) | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||
Buy | Morgan Stanley Capital Services, Inc. | CHF | 98 | 106 | 9/30/2021 | $ | - | | $ | (1 | ) | $ | (1 | ) | ||||||||
Sell | Morgan Stanley Capital Services, Inc. | CHF | 1,352 | 1,465 | 9/30/2021 | 9 | - | 9 | ||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | EUR | 7,194 | 8,546 | 9/30/2021 | 32 | - | 32 | ||||||||||||||
Buy | Morgan Stanley Capital Services, Inc. | GBP | 244 | 339 | 9/30/2021 | - | (2 | ) | (2 | ) | ||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | GBP | 4,779 | 6,612 | 9/30/2021 | 28 | - | 28 | ||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | JPY | 164,557 | 1,482 | 9/30/2021 | 6 | - | 6 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 75 | $ | (3 | ) | $ | 72 | ||||||||||||||||
|
|
|
|
|
|
Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||||
Forward Contracts | Swaps | Total | Forward Contracts | Options | Swaps | Total | ||||||||||||||||
Total Over the Counter Derivatives | $ | 75 | - | $ | 75 | $ | (3 | ) | - | - | $ | (3) |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $193,095 and the net unrealized appreciation of investments based on that cost was $37,236 which is comprised of $37,605 aggregate gross unrealized appreciation and $369 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
27
Table of Contents
Large Company Value Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 226,632 | $ | - | $ | - | ||||||||
Short-Term Investments | 3,627 | - | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Currency Contracts | - | 75 | - | |||||||||||
Total Assets: | $ | 230,259 | $ | 75 | $ | - | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Currency Contracts | - | (3 | ) | - | ||||||||||
Total Liabilities: | $ | - | $ | (3 | ) | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
Table of Contents
Domestic Equity Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Information Technology | 18.2 | % | ||
Health Care | 17.4 | % | ||
Financials | 15.3 | % | ||
Industrials | 12.3 | % | ||
Communication Services | 8.7 | % | ||
Consumer Discretionary | 8.6 | % | ||
Consumer Staples | 5.8 | % | ||
Energy | 3.6 | % | ||
Real Estate | 3.3 | % | ||
Materials | 3.1 | % | ||
Utilities | 2.7 | % | ||
Short-Term Investments & Other Net Assets | 1.0 | % |
Sector Allocation is subject to change.
The Portfolio may hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.
29
Table of Contents
Domestic Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (8.7%) |
| |||||||
Comcast Corp. - Class A | 558,411 | 31,840 | ||||||
Verizon Communications, Inc. | 498,300 | 27,920 | ||||||
The Walt Disney Co. * | 171,036 | 30,063 | ||||||
|
| |||||||
Total | 89,823 | |||||||
|
| |||||||
Consumer Discretionary (8.6%) |
| |||||||
Dollar General Corp. | 144,440 | 31,255 | ||||||
Dollar Tree, Inc. * | 262,200 | 26,089 | ||||||
Lowe’s Companies, Inc. | 163,100 | 31,637 | ||||||
|
| |||||||
Total | 88,981 | |||||||
|
| |||||||
Consumer Staples (5.8%) |
| |||||||
Archer-Daniels-Midland Co. | 468,500 | 28,391 | ||||||
Conagra Brands, Inc. | 850,233 | 30,931 | ||||||
|
| |||||||
Total | 59,322 | |||||||
|
| |||||||
Energy (3.6%) | ||||||||
ConocoPhillips | 610,900 | 37,204 | ||||||
|
| |||||||
Total | 37,204 | |||||||
|
| |||||||
Financials (15.3%) | ||||||||
American International Group, Inc. | 654,600 | 31,159 | ||||||
Discover Financial Services | 283,813 | 33,572 | ||||||
MetLife, Inc. | 517,832 | 30,992 | ||||||
Truist Financial Corp. | 541,200 | 30,037 | ||||||
U.S. Bancorp | 563,700 | 32,114 | ||||||
|
| |||||||
Total | 157,874 | |||||||
|
|
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care (17.4%) | ||||||||
Cardinal Health, Inc. | 527,200 | 30,098 | ||||||
Cigna Corp. | 125,603 | 29,777 | ||||||
CVS Health Corp. | 357,200 | 29,805 | ||||||
Johnson & Johnson | 180,700 | 29,768 | ||||||
Merck & Co., Inc. | 409,500 | 31,847 | ||||||
Viatris, Inc. | 1,945,975 | 27,808 | ||||||
|
| |||||||
Total | 179,103 | |||||||
|
| |||||||
Industrials (12.3%) | ||||||||
Caterpillar, Inc. | 100,624 | 21,899 | ||||||
Dover Corp. | 53,962 | 8,127 | ||||||
Honeywell International, Inc. | 140,860 | 30,897 | ||||||
Northrop Grumman Corp. | 88,900 | 32,309 | ||||||
Raytheon Co. | 395,379 | 33,730 | ||||||
|
| |||||||
Total | 126,962 | |||||||
|
| |||||||
Information Technology (18.2%) |
| |||||||
Broadcom, Inc. | 62,200 | 29,660 | ||||||
Cisco Systems, Inc. | 593,800 | 31,471 | ||||||
Cognizant Technology Solutions Corp. - Class A | 438,718 | 30,386 | ||||||
Fidelity National Information Services, Inc. | 209,727 | 29,712 | ||||||
Motorola Solutions, Inc. | 152,100 | 32,983 | ||||||
Oracle Corp. | 425,800 | 33,144 | ||||||
|
| |||||||
Total | 187,356 | |||||||
|
|
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Materials (3.1%) | ||||||||
DuPont de Nemours, Inc. | 406,184 | 31,443 | ||||||
|
| |||||||
Total | 31,443 | |||||||
|
| |||||||
Real Estate (3.3%) | ||||||||
Equity Residential | 446,695 | 34,395 | ||||||
|
| |||||||
Total | 34,395 | |||||||
|
| |||||||
Utilities (2.7%) | ||||||||
Edison International | 485,700 | 28,083 | ||||||
|
| |||||||
Total | 28,083 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $744,202) | 1,020,546 | |||||||
|
| |||||||
Short-Term Investments (1.0%) | ||||||||
Money Market Funds (1.0%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 10,784,534 | 10,785 | ||||||
|
| |||||||
Total | 10,785 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $10,785) | 10,785 | |||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $754,987)@ | 1,031,331 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.0%) | 456 | |||||||
|
| |||||||
Net Assets (100.0%) | 1,031,787 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $754,987 and the net unrealized appreciation of investments based on that cost was $276,344 which is comprised of $280,874 aggregate gross unrealized appreciation and $4,530 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
30
Table of Contents
Domestic Equity Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,020,546 | $ | - | $ | - | ||||||||
Short-Term Investments | 10,785 | - | - | |||||||||||
Total Assets: | $ | 1,031,331 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
31
Table of Contents
Equity Income Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Financials | 22.8 | % | ||
Health Care | 14.8 | % | ||
Industrials | 11.8 | % | ||
Information Technology | 8.9 | % | ||
Utilities | 8.2 | % | ||
Consumer Staples | 6.9 | % | ||
Energy | 6.1 | % | ||
Materials | 5.8 | % | ||
Communication Services | 5.0 | % | ||
Consumer Discretionary | 4.4 | % | ||
Real Estate | 4.1 | % | ||
Short-Term Investments & Other Net Assets | 1.2 | % |
Sector Allocation is subject to change.
The Portfolio invests with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The Portfolio may underperform similar funds that invest without an emphasis on dividend-paying stocks. Dividend-paying stocks may not participate in a broad market advance to the same degree as other stocks.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates or economic downturn could cause a company to unexpectedly reduce or eliminate its dividend.
32
Table of Contents
Equity Income Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (97.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (5.0%) |
| |||||||
AT&T, Inc. | 81,462 | 2,344 | ||||||
Comcast Corp. - Class A | 258,425 | 14,735 | ||||||
Fox Corp. | 169,901 | 5,981 | ||||||
News Corp. - Class A | 417,456 | 10,758 | ||||||
Verizon Communications, Inc. | 32,695 | 1,832 | ||||||
The Walt Disney Co. * | 42,316 | 7,438 | ||||||
|
| |||||||
Total | 43,088 | |||||||
|
| |||||||
Consumer Discretionary (4.4%) |
| |||||||
General Motors Co. * | 21,800 | 1,290 | ||||||
Kohl’s Corp. | 118,506 | 6,531 | ||||||
Las Vegas Sands Corp. * | 147,615 | 7,778 | ||||||
Mattel, Inc. * | 283,553 | 5,699 | ||||||
McDonald’s Corp. | 6,500 | 1,501 | ||||||
The TJX Cos., Inc. | 72,654 | 4,898 | ||||||
Volkswagen Group of America Finance LLC | 404,573 | 10,131 | ||||||
|
| |||||||
Total | 37,828 | |||||||
|
| |||||||
Consumer Staples (6.9%) |
| |||||||
Altria Group, Inc. | 62,089 | 2,960 | ||||||
Bunge, Ltd. | 21,300 | 1,665 | ||||||
The Coca-Cola Co. | 88,000 | 4,762 | ||||||
Conagra Brands, Inc. | 277,977 | 10,113 | ||||||
Kimberly-Clark Corp. | 77,933 | 10,426 | ||||||
Mondelez International, Inc. | 8,400 | 524 | ||||||
Philip Morris International, Inc. | 110,794 | 10,981 | ||||||
Tyson Foods, Inc. - Class A | 196,436 | 14,489 | ||||||
Walmart, Inc. | 24,700 | 3,483 | ||||||
|
| |||||||
Total | 59,403 | |||||||
|
| |||||||
Energy (6.1%) | ||||||||
Chevron Corp. | 17,900 | 1,875 | ||||||
ConocoPhillips | 14,500 | 883 | ||||||
EOG Resources, Inc. | 115,191 | 9,611 | ||||||
Exxon Mobil Corp. | 128,072 | 8,079 | ||||||
Halliburton Co. | 156,600 | 3,620 | ||||||
Hess Corp. | 10,900 | 952 | ||||||
Occidental Petroleum Corp. | 55,186 | 1,726 | ||||||
Targa Resources Corp. | 57,164 | 2,541 | ||||||
TC Energy Corp. | 133,885 | 6,630 | ||||||
Total SA, ADR | 380,526 | 17,223 | ||||||
|
| |||||||
Total | 53,140 | |||||||
|
|
Common Stocks (97.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials (22.8%) | ||||||||
American International Group, Inc. | 381,328 | 18,151 | ||||||
Bank of America Corp. | 83,323 | 3,435 | ||||||
The Bank of New York Mellon Corp. | 90,900 | 4,657 | ||||||
The Charles Schwab Corp. | 62,800 | 4,572 | ||||||
Chubb, Ltd. | 97,246 | 15,456 | ||||||
Citizens Financial Group, Inc. | 80,900 | 3,711 | ||||||
Equitable Holdings, Inc. | 318,804 | 9,708 | ||||||
Fifth Third Bancorp | 357,194 | 13,656 | ||||||
Franklin Resources, Inc. | 68,128 | 2,179 | ||||||
The Goldman Sachs Group, Inc. | 20,200 | 7,667 | ||||||
The Hartford Financial Services Group, Inc. | 38,600 | 2,392 | ||||||
Huntington Bancshares, Inc. | 465,600 | 6,644 | ||||||
JPMorgan Chase & Co. | 49,057 | 7,630 | ||||||
Loews Corp. | 245,002 | 13,389 | ||||||
Marsh & McLennan Cos., Inc. | 16,147 | 2,272 | ||||||
MetLife, Inc. | 298,849 | 17,886 | ||||||
Morgan Stanley | 141,724 | 12,995 | ||||||
PNC Financial Services Group, Inc. | 39,245 | 7,486 | ||||||
Raymond James Financial, Inc. | 40,000 | 5,196 | ||||||
State Street Corp. | 56,489 | 4,648 | ||||||
Wells Fargo & Co. | 725,126 | 32,841 | ||||||
|
| |||||||
Total | 196,571 | |||||||
|
| |||||||
Health Care (14.4%) | ||||||||
AbbVie, Inc. | 123,692 | 13,933 | ||||||
Anthem, Inc. | 44,554 | 17,011 | ||||||
AstraZeneca PLC, ADR | 35,200 | 2,109 | ||||||
Becton Dickinson and Co. | 52,491 | 12,765 | ||||||
Biogen, Inc. * | 8,200 | 2,839 | ||||||
Cardinal Health, Inc. | 48,100 | 2,746 | ||||||
Centene Corp. * | 32,300 | 2,356 | ||||||
Cigna Corp. | 19,084 | 4,524 | ||||||
CVS Health Corp. | 136,199 | 11,364 | ||||||
Gilead Sciences, Inc. | 45,877 | 3,159 | ||||||
GlaxoSmithKline PLC | 74,989 | 1,472 | ||||||
Johnson & Johnson | 63,324 | 10,432 | ||||||
Medtronic PLC | 106,129 | 13,174 | ||||||
Merck & Co., Inc. | 52,768 | 4,104 | ||||||
Organon & Co. * | 3,696 | 112 | ||||||
Pfizer, Inc. | 199,055 | 7,795 | ||||||
Sanofi | 126,106 | 6,641 |
Common Stocks (97.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care continued | ||||||||
UnitedHealth Group, Inc. | 8,600 | 3,444 | ||||||
Zimmer Biomet Holdings, Inc. | 27,300 | 4,390 | ||||||
|
| |||||||
Total | 124,370 | |||||||
|
| |||||||
Industrials (11.8%) | ||||||||
3M Co. | 9,500 | 1,887 | ||||||
Airbus SE * | 3,000 | 97 | ||||||
Alaska Air Group, Inc. * | 17,855 | 1,077 | ||||||
The Boeing Co. * | 40,700 | 9,750 | ||||||
Caterpillar, Inc. | 9,790 | 2,131 | ||||||
Cummins, Inc. | 3,500 | 853 | ||||||
Flowserve Corp. | 23,281 | 939 | ||||||
General Electric Co. | 1,872,840 | 25,208 | ||||||
L3Harris Technologies, Inc. | 61,147 | 13,217 | ||||||
Nielsen Holdings PLC | 259,640 | 6,405 | ||||||
PACCAR, Inc. | 35,000 | 3,124 | ||||||
Siemens AG, ADR | 27,164 | 2,163 | ||||||
Snap-on, Inc. | 23,812 | 5,320 | ||||||
Southwest Airlines Co. * | 34,300 | 1,821 | ||||||
Stericycle, Inc. * | 80,923 | 5,790 | ||||||
United Parcel Service, Inc. - Class B | 107,511 | 22,359 | ||||||
|
| |||||||
Total | 102,141 | |||||||
|
| |||||||
Information Technology (8.9%) |
| |||||||
Applied Materials, Inc. | 79,026 | 11,253 | ||||||
Cisco Systems, Inc. | 151,100 | 8,008 | ||||||
Citrix Systems, Inc. | 63,540 | 7,451 | ||||||
Microsoft Corp. | 45,491 | 12,324 | ||||||
NXP Semiconductors NV | 17,686 | 3,639 | ||||||
QUALCOMM, Inc. | 152,601 | 21,811 | ||||||
TE Connectivity, Ltd. | 18,200 | 2,461 | ||||||
Texas Instruments, Inc. | 50,030 | 9,621 | ||||||
|
| |||||||
Total | 76,568 | |||||||
|
| |||||||
Materials (5.8%) | ||||||||
Akzo Nobel NV, ADR | 76,191 | 3,147 | ||||||
CF Industries Holdings, Inc. | 295,114 | 15,184 | ||||||
DuPont de Nemours, Inc. | 61,397 | 4,753 | ||||||
International Flavors & Fragrances, Inc. | 62,203 | 9,293 | ||||||
International Paper Co. | 259,080 | 15,884 | ||||||
PPG Industries, Inc. | 9,107 | 1,546 | ||||||
|
| |||||||
Total | 49,807 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
33
Table of Contents
Equity Income Portfolio
Common Stocks (97.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Real Estate (4.1%) | ||||||||
CyrusOne, Inc. | 12,800 | 916 | ||||||
Equity Residential | 151,784 | 11,687 | ||||||
Rayonier, Inc. | 188,143 | 6,760 | ||||||
Welltower, Inc. | 32,765 | 2,723 | ||||||
Weyerhaeuser Co. | 388,014 | 13,355 | ||||||
|
| |||||||
Total | 35,441 | |||||||
|
| |||||||
Utilities (7.1%) | ||||||||
Ameren Corp. | 62,500 | 5,002 | ||||||
Dominion Resources, Inc. | 36,300 | 2,671 | ||||||
Edison International | 63,076 | 3,647 | ||||||
Entergy Corp. | 21,000 | 2,094 | ||||||
NextEra Energy, Inc. | 66,788 | 4,894 | ||||||
NiSource, Inc. | 425,336 | 10,421 | ||||||
Sempra Energy | 96,385 | 12,769 | ||||||
The Southern Co. | 327,200 | 19,799 | ||||||
|
| |||||||
Total | 61,297 | |||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost: $610,773) | 839,654 | |||||||
|
| |||||||
Preferred Stocks (0.3%) | ||||||||
Utilities (0.3%) | ||||||||
NiSource, Inc., 7.750%, | 23,878 | 2,454 | ||||||
|
| |||||||
Total | 2,454 | |||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost: $2,388) | 2,454 | |||||||
|
| |||||||
Convertible Preferred Stocks (1.2%) | ||||||||
Health Care (0.4%) | ||||||||
Becton Dickinson and Co., 6.000%, 6/1/23 | 59,093 | 3,162 | ||||||
|
| |||||||
Total | 3,162 | |||||||
|
| |||||||
Utilities (0.8%) | ||||||||
NextEra Energy, Inc., | 49,295 | 2,414 | ||||||
Sempra Energy, 6.750%, 7/15/21 | 11,807 | 1,166 | ||||||
The Southern Co., 6.750%, 8/1/22 | 66,083 | 3,346 | ||||||
|
| |||||||
Total | 6,926 | |||||||
|
| |||||||
Total Convertible Preferred Stocks |
| |||||||
(Cost: $9,833) | 10,088 | |||||||
|
|
Short-Term Investments (1.1%) | Shares/ Par + | Value $ (000’s) | ||||||
Money Market Funds (1.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 9,387,055 | 9,387 | ||||||
|
| |||||||
Total | 9,387 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $9,387) | 9,387 | |||||||
|
| |||||||
Total Investments (99.9%) |
| |||||||
(Cost: $632,381)@ | 861,583 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.1%) | 1,242 | |||||||
|
| |||||||
Net Assets (100.0%) | 862,825 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
34
Table of Contents
Equity Income Portfolio
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $632,381 and the net unrealized appreciation of investments based on that cost was $229,202 which is comprised of $238,379 aggregate gross unrealized appreciation and $9,177 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Preferred Stocks | $ | 2,454 | $ | - | $ | - | ||||||||
Common Stocks | 839,654 | - | - | |||||||||||
Convertible Preferred Stocks | 10,088 | - | - | |||||||||||
Short-Term Investments | 9,387 | - | - | |||||||||||
Total Assets: | $ | 861,583 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
35
Table of Contents
Mid Cap Growth Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||
Information Technology | 25.7 | % | ||||
Health Care | 19.8 | % | ||||
Industrials | 14.8 | % | ||||
Financials | 11.4 | % | ||||
Consumer Discretionary | 11.2 | % | ||||
Real Estate | 6.1 | % | ||||
Utilities | 3.2 | % | ||||
Communication Services | 3.0 | % | ||||
Materials | 2.5 | % | ||||
Consumer Staples | 2.1 | % | ||||
Energy | 0.1 | % | ||||
Short-Term Investments & Other Net Assets | 0.1 | % |
Sector Allocation is subject to change.
Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
36
Table of Contents
Mid Cap Growth Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (3.0%) |
| |||||||
Cable One, Inc. | 9,509 | 18,189 | ||||||
CarGurus, Inc. * | 319,786 | 8,388 | ||||||
Zynex, Inc. * | 1,396,680 | 14,847 | ||||||
|
| |||||||
Total | 41,424 | |||||||
|
| |||||||
Consumer Discretionary (11.2%) |
| |||||||
CarMax, Inc. * | 98,182 | 12,680 | ||||||
Carter’s, Inc. | 131,869 | 13,605 | ||||||
Choice Hotels International, Inc. | 159,277 | 18,932 | ||||||
Etsy, Inc. * | 125,295 | 25,791 | ||||||
Hyatt Hotels Corp. - Class A * | 83,242 | 6,463 | ||||||
NVR, Inc. * | 4,773 | 23,737 | ||||||
PVH Corp. * | 187,029 | 20,122 | ||||||
Under Armour, Inc. - Class C * | 596,811 | 11,083 | ||||||
YETI Holdings, Inc. * | 254,074 | 23,329 | ||||||
|
| |||||||
Total | 155,742 | |||||||
|
| |||||||
Consumer Staples (2.1%) |
| |||||||
Lamb Weston Holdings, Inc. | 204,849 | 16,523 | ||||||
Performance Food Group Co. * | 251,722 | 12,206 | ||||||
|
| |||||||
Total | 28,729 | |||||||
|
| |||||||
Energy (0.1%) |
| |||||||
Cabot Oil & Gas Corp. | 81,973 | 1,431 | ||||||
|
| |||||||
Total | 1,431 | |||||||
|
| |||||||
Financials (11.4%) |
| |||||||
Credit Acceptance Corp. * | 44,004 | 19,983 | ||||||
Cullen / Frost Bankers, Inc. | 105,086 | 11,770 | ||||||
Erie Indemnity Co. | 22,608 | 4,371 | ||||||
First Citizens BancShares, Inc. - Class A | 19,758 | 16,453 | ||||||
First Republic Bank | 84,246 | 15,769 | ||||||
FNF Group | 222,554 | 9,672 | ||||||
Globe Life, Inc. | 85,933 | 8,185 | ||||||
Hamilton Lane, Inc. | 71,891 | 6,551 | ||||||
M&T Bank Corp. | 98,543 | 14,319 | ||||||
Markel Corp. * | 14,601 | 17,327 | ||||||
Prosperity Bancshares, Inc. | 147,384 | 10,582 | ||||||
South State Corp. | 81,550 | 6,668 | ||||||
W.R. Berkley Corp. | 99,654 | 7,417 |
Common Stocks (99.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
White Mountains Insurance Group, Ltd. | 8,899 | 10,216 | ||||||
|
| |||||||
Total | 159,283 | |||||||
|
| |||||||
Health Care (19.8%) |
| |||||||
Allakos, Inc. * | 103,939 | 8,873 | ||||||
Amedisys, Inc. * | 42,445 | 10,396 | ||||||
Apellis Pharmaceuticals, Inc. * | 257,921 | 16,301 | ||||||
Arena Pharmaceuticals, Inc. * | 151,292 | 10,318 | ||||||
Encompass Health Corp. | 151,872 | 11,851 | ||||||
Hill-Rom Holdings, Inc. | 204,769 | 23,260 | ||||||
Icon Public Limited Co. * | 15,384 | 3,180 | ||||||
Integra LifeSciences Holdings Corp. * | 304,007 | 20,745 | ||||||
Iovance Biotherapeutics, Inc. * | 395,971 | 10,303 | ||||||
Jazz Pharmaceuticals PLC * | 87,474 | 15,539 | ||||||
Kodiak Sciences, Inc. * | 95,343 | 8,867 | ||||||
LHC Group, Inc. * | 66,859 | 13,389 | ||||||
Mirati Therapeutics, Inc. * | 42,599 | 6,881 | ||||||
Molina Healthcare, Inc. * | 55,882 | 14,141 | ||||||
NuVasive, Inc. * | 205,868 | 13,954 | ||||||
PRA Health Sciences, Inc. * | 124,498 | 20,568 | ||||||
PTC Therapeutics, Inc. * | 273,355 | 11,555 | ||||||
Reata Pharmaceuticals, Inc. * | 116,435 | 16,479 | ||||||
Sage Therapeutics, Inc. * | 191,204 | 10,862 | ||||||
Syneos Health, Inc. * | 135,151 | 12,095 | ||||||
Teleflex, Inc. | 39,560 | 15,895 | ||||||
|
| |||||||
Total | 275,452 | |||||||
|
| |||||||
Industrials (14.8%) |
| |||||||
AMERCO | 24,654 | 14,531 | ||||||
Dun & Bradstreet Holdings, Inc. * | 375,084 | 8,016 | ||||||
GFL Environmental, Inc. | 472,366 | 15,078 | ||||||
Graco, Inc. | 100,808 | 7,631 | ||||||
IAA Spinco, Inc. * | 227,096 | 12,386 |
Common Stocks (99.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
IDEX Corp. | 99,487 | 21,892 | ||||||
Ingersoll-Rand, Inc. * | 608,407 | 29,696 | ||||||
KAR Auction Services, Inc. * | 500,876 | 8,790 | ||||||
Knight-Swift Transportation Holdings, Inc. | 458,321 | 20,835 | ||||||
Lennox International, Inc. | 61,645 | 21,625 | ||||||
Lincoln Electric Holdings, Inc. | 117,866 | 15,524 | ||||||
The Middleby Corp. * | 44,370 | 7,688 | ||||||
Science Applications International Corp. | 144,120 | 12,644 | ||||||
Watsco, Inc. | 35,202 | 10,090 | ||||||
|
| |||||||
Total | 206,426 | |||||||
|
| |||||||
Information Technology (25.7%) |
| |||||||
Aspen Technology, Inc. * | 74,486 | 10,245 | ||||||
Black Knight, Inc. * | 69,795 | 5,443 | ||||||
CDW Corp. | 96,187 | 16,799 | ||||||
Coherent, Inc. * | 12,869 | 3,402 | ||||||
CommScope Holding Co., Inc. * | 1,225,505 | 26,115 | ||||||
F5 Networks, Inc. * | 154,923 | 28,918 | ||||||
First Solar, Inc. * | 283,789 | 25,686 | ||||||
Flex, Ltd. * | 1,158,341 | 20,700 | ||||||
Genpact, Ltd. | 633,748 | 28,791 | ||||||
Guidewire Software, Inc. * | 122,584 | 13,818 | ||||||
II-VI, Inc. * | 430,091 | 31,220 | ||||||
LiveRamp Holdings, Inc. * | 145,854 | 6,833 | ||||||
Lumentum Holdings, Inc. * | 242,719 | 19,910 | ||||||
MKS Instruments, Inc. | 132,387 | 23,558 | ||||||
National Instruments Corp. | 235,929 | 9,975 | ||||||
Q2 Holdings, Inc. * | 121,526 | 12,466 | ||||||
Shift4 Payments, Inc. * | 143,559 | 13,454 | ||||||
Silicon Laboratories, Inc. * | 102,407 | 15,694 | ||||||
Teradata Corp. * | 337,396 | 16,860 | ||||||
WEX, Inc. * | 144,183 | 27,957 | ||||||
|
| |||||||
Total | 357,844 | |||||||
|
| |||||||
Materials (2.5%) |
| |||||||
Element Solutions, Inc. | 643,852 | 15,053 | ||||||
Packaging Corp. of America | 39,222 | 5,312 | ||||||
Silgan Holdings, Inc. | 200,792 | 8,333 |
The Accompanying Notes are an Integral Part of the Financial Statements.
37
Table of Contents
Mid Cap Growth Stock Portfolio
Common Stocks (99.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Materials continued | ||||||||
Steel Dynamics, Inc. | 113,809 | 6,783 | ||||||
|
| |||||||
Total | 35,481 | |||||||
|
| |||||||
Real Estate (6.1%) |
| |||||||
Douglas Emmett, Inc. | 188,901 | 6,351 | ||||||
Equity Commonwealth | 197,325 | 5,170 | ||||||
Life Storage, Inc. | 215,986 | 23,186 | ||||||
PS Business Parks, Inc. | 31,920 | 4,727 | ||||||
Redfin Corp. * | 186,254 | 11,810 | ||||||
Rexford Industrial Realty, Inc. | 278,750 | 15,875 | ||||||
Store Capital Corp. | 538,448 | 18,582 | ||||||
|
| |||||||
Total | 85,701 | |||||||
|
| |||||||
Utilities (3.2%) |
| |||||||
Black Hills Corp. | 131,538 | 8,633 | ||||||
NiSource, Inc. | 213,236 | 5,224 | ||||||
Pinnacle West Capital Corp. | 107,205 | 8,788 | ||||||
UGI Corp. | 481,739 | 22,309 | ||||||
|
| |||||||
Total | 44,954 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $1,042,828) |
| 1,392,467 | ||||||
|
| |||||||
Short-Term Investments (0.1%) | ||||||||
Money Market Funds (0.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 1,663,214 | 1,663 | ||||||
|
| |||||||
Total | 1,663 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $1,663) |
| 1,663 | ||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $1,044,491)@ |
| 1,394,130 | ||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.0%) | (324 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | 1,393,806 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
38
Table of Contents
Mid Cap Growth Stock Portfolio
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,044,491 and the net unrealized appreciation of investments based on that cost was $349,639 which is comprised of $374,696 aggregate gross unrealized appreciation and $25,057 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,392,467 | $ | - | $ | - | ||||||||
Short-Term Investments | 1,663 | - | - | |||||||||||
Total Assets: | $ | 1,394,130 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
39
Table of Contents
Index 400 Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||
Industrials | 17.1 | % | ||||
Financials | 15.0 | % | ||||
Information Technology | 14.8 | % | ||||
Consumer Discretionary | 14.6 | % | ||||
Health Care | 11.0 | % | ||||
Real Estate | 9.6 | % | ||||
Materials | 6.4 | % | ||||
Consumer Staples | 3.4 | % | ||||
Utilities | 3.3 | % | ||||
Energy | 2.0 | % | ||||
Communication Services | 1.8 | % | ||||
Short-Term Investments & Other Net Assets | 1.0 | % |
Sector Allocation is subject to change.
“Standard & Poor’s®”, “S&P®”, “S&P MidCap 400 Index” and “Standard & Poor’s MidCap 400 Index” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.
Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.
The Portfolio may invest in exchange traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
40
Table of Contents
Index 400 Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (1.8%) |
| |||||||
Cable One, Inc. | 2,925 | 5,595 | ||||||
Cinemark Holdings, Inc. * | 58,970 | 1,294 | ||||||
Iridium Communications, Inc. * | 63,012 | 2,520 | ||||||
John Wiley & Sons, Inc. - Class A | 23,537 | 1,416 | ||||||
The New York Times Co. - Class A | 78,042 | 3,399 | ||||||
TEGNA, Inc. | 118,738 | 2,227 | ||||||
Telephone and Data Systems, Inc. | 53,836 | 1,220 | ||||||
TripAdvisor, Inc. * | 53,006 | 2,136 | ||||||
World Wrestling Entertainment, Inc.- Class A | 24,453 | 1,416 | ||||||
Yelp, Inc. * | 37,477 | 1,498 | ||||||
|
| |||||||
Total | 22,721 | |||||||
|
| |||||||
Consumer Discretionary (14.6%) |
| |||||||
Adient PLC * | 50,834 | 2,298 | ||||||
Adtalem Global Education, Inc. * | 26,377 | 940 | ||||||
American Eagle Outfitters, Inc. | 81,526 | 3,060 | ||||||
AutoNation, Inc. * | 29,125 | 2,761 | ||||||
Boyd Gaming Corp. * | 43,536 | 2,677 | ||||||
Brunswick Corp. | 41,871 | 4,171 | ||||||
Callaway Golf Co. * | 62,816 | 2,119 | ||||||
Capri Holdings, Ltd. * | 81,321 | 4,651 | ||||||
Carter’s, Inc. | 23,582 | 2,433 | ||||||
Choice Hotels International, Inc. | 15,609 | 1,855 | ||||||
Churchill Downs, Inc. | 18,643 | 3,696 | ||||||
Columbia Sportswear Co. | 16,507 | 1,624 | ||||||
Cracker Barrel Old Country Store, Inc. | 12,825 | 1,904 | ||||||
Crocs, Inc. * | 35,037 | 4,083 | ||||||
Dana Holding Corp. | 78,203 | 1,858 | ||||||
Deckers Outdoor Corp. * | 15,000 | 5,761 | ||||||
Dick’s Sporting Goods, Inc. | 35,188 | 3,525 | ||||||
Five Below, Inc. * | 30,098 | 5,817 | ||||||
Foot Locker, Inc. | 55,511 | 3,421 | ||||||
Fox Factory Holding Corp. * | 22,596 | 3,517 | ||||||
Gentex Corp. | 129,769 | 4,294 | ||||||
The Goodyear Tire & Rubber Co. * | 150,482 | 2,581 | ||||||
Graham Holdings Co. - Class B | 2,183 | 1,384 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer Discretionary continued |
| |||||||
Grand Canyon Education, Inc. * | 24,852 | 2,236 | ||||||
H&R Block, Inc. | 97,324 | 2,285 | ||||||
Harley-Davidson, Inc. | 82,917 | 3,799 | ||||||
Helen of Troy, Ltd. * | 13,187 | 3,008 | ||||||
Jack in the Box, Inc. | 11,917 | 1,328 | ||||||
KB Home | 47,635 | 1,940 | ||||||
Kohl’s Corp. | 83,977 | 4,628 | ||||||
Lear Corp. | 29,464 | 5,164 | ||||||
Lithia Motors, Inc. - Class A | 16,036 | 5,511 | ||||||
Marriott Vacations Worldwide Corp. * | 22,991 | 3,662 | ||||||
Mattel, Inc. * | 187,400 | 3,767 | ||||||
Murphy USA, Inc. | 13,415 | 1,789 | ||||||
Nordstrom, Inc. * | 58,857 | 2,152 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. * | 30,477 | 2,564 | ||||||
Papa John’s International, Inc. | 17,800 | 1,859 | ||||||
Polaris Industries, Inc. | 30,980 | 4,243 | ||||||
Restoration Hardware, Inc. * | 9,068 | 6,157 | ||||||
Scientific Games Corp. - Class A * | 30,422 | 2,356 | ||||||
Service Corp. International | 90,355 | 4,842 | ||||||
Six Flags Entertainment Corp. * | 40,975 | 1,773 | ||||||
Skechers USA, Inc. - Class A * | 72,416 | 3,608 | ||||||
Strategic Education, Inc. | 13,195 | 1,004 | ||||||
Taylor Morrison Home Corp. * | 69,643 | 1,840 | ||||||
Tempur Sealy International, Inc. | 98,842 | 3,874 | ||||||
Texas Roadhouse, Inc. | 35,217 | 3,388 | ||||||
Thor Industries, Inc. | 29,810 | 3,369 | ||||||
Toll Brothers, Inc. | 60,298 | 3,486 | ||||||
TopBuild Corp. * | 17,778 | 3,516 | ||||||
Travel + Leisure Co. | 46,450 | 2,761 | ||||||
TRI Pointe Homes, Inc. * | 63,352 | 1,358 | ||||||
Urban Outfitters, Inc. * | 37,001 | 1,525 | ||||||
Visteon Corp. * | 15,090 | 1,825 | ||||||
Weight Watchers International, Inc. * | 25,833 | 934 | ||||||
The Wendy’s Co. | 94,962 | 2,224 | ||||||
Williams-Sonoma, Inc. | 41,009 | 6,547 | ||||||
Wingstop, Inc. | 16,048 | 2,530 | ||||||
Wyndham Hotels & Resorts, Inc. | 50,404 | 3,644 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer Discretionary continued |
| |||||||
YETI Holdings, Inc. * | 40,296 | 3,700 | ||||||
|
| |||||||
Total | 186,626 | |||||||
|
| |||||||
Consumer Staples (3.4%) |
| |||||||
BJ’s Wholesale Club Holdings, Inc. * | 73,640 | 3,504 | ||||||
The Boston Beer Co., Inc. - Class A * | 5,016 | 5,120 | ||||||
Casey’s General Stores, Inc. | 19,847 | 3,863 | ||||||
Coty, Inc. - Class A * | 153,366 | 1,432 | ||||||
Darling Ingredients, Inc. * | 87,974 | 5,938 | ||||||
Energizer Holdings, Inc. | 31,416 | 1,350 | ||||||
Flowers Foods, Inc. | 105,641 | 2,557 | ||||||
Grocery Outlet Holding Corp. * | 46,855 | 1,624 | ||||||
The Hain Celestial Group, Inc. * | 43,808 | 1,758 | ||||||
Ingredion, Inc. | 36,110 | 3,268 | ||||||
Lancaster Colony Corp. | 10,483 | 2,029 | ||||||
Nu Skin Enterprises, Inc. | 26,791 | 1,518 | ||||||
Pilgrim’s Pride Corp. * | 26,331 | 584 | ||||||
Post Holdings, Inc. * | 31,780 | 3,447 | ||||||
Sanderson Farms, Inc. | 10,744 | 2,020 | ||||||
Sprouts Farmers Market, Inc. * | 63,763 | 1,584 | ||||||
Tootsie Roll Industries, Inc. | 9,520 | 323 | ||||||
TreeHouse Foods, Inc. * | 30,215 | 1,345 | ||||||
|
| |||||||
Total | 43,264 | |||||||
|
| |||||||
Energy (2.0%) |
| |||||||
Antero Midstream Corp. | 154,675 | 1,607 | ||||||
ChampionX Corp. * | 100,776 | 2,585 | ||||||
Cimarex Energy Co. | 55,325 | 4,008 | ||||||
CNX Resources Corp. * | 118,765 | 1,622 | ||||||
EQT Corp. * | 149,853 | 3,336 | ||||||
Equitrans Midstream Corp. | 217,945 | 1,855 | ||||||
HollyFrontier Corp. | 80,501 | 2,648 | ||||||
Murphy Oil Corp. | 78,049 | 1,817 | ||||||
Targa Resources Corp. | 123,289 | 5,480 | ||||||
World Fuel Services Corp. | 34,123 | 1,083 | ||||||
|
| |||||||
Total | 26,041 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
41
Table of Contents
Index 400 Stock Portfolio
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials (15.0%) | ||||||||
Affiliated Managers Group, Inc. | 22,472 | 3,465 | ||||||
Alleghany Corp. * | 7,485 | 4,993 | ||||||
American Financial Group, Inc. | 37,182 | 4,637 | ||||||
Associated Banc-Corp. | 82,622 | 1,692 | ||||||
BancorpSouth Bank | 51,746 | 1,466 | ||||||
Bank of Hawaii Corp. | 21,697 | 1,827 | ||||||
Bank OZK | 64,872 | 2,735 | ||||||
Brighthouse Financial, Inc. * | 46,211 | 2,104 | ||||||
Brown & Brown, Inc. | 125,775 | 6,684 | ||||||
Cathay General Bancorp | 40,405 | 1,590 | ||||||
CIT Group, Inc. | 53,357 | 2,753 | ||||||
CNO Financial Group, Inc. | 70,471 | 1,665 | ||||||
Commerce Bancshares, Inc. | 56,734 | 4,230 | ||||||
Cullen / Frost Bankers, Inc. | 30,525 | 3,419 | ||||||
East West Bancorp, Inc. | 76,256 | 5,467 | ||||||
Essent Group, Ltd. | 60,569 | 2,723 | ||||||
Evercore, Inc. - Class A | 22,111 | 3,113 | ||||||
F.N.B. Corp. | 171,258 | 2,112 | ||||||
FactSet Research Systems, Inc. | 20,351 | 6,830 | ||||||
Federated Investors, Inc. - Class B | 50,092 | 1,699 | ||||||
First American Financial Corp. | 59,117 | 3,686 | ||||||
First Financial Bankshares, Inc. | 76,552 | 3,761 | ||||||
First Horizon National Corp. | 296,889 | 5,130 | ||||||
FirstCash, Inc. | 22,184 | 1,696 | ||||||
Fulton Financial Corp. | 87,770 | 1,385 | ||||||
Glacier Bancorp, Inc. | 51,262 | 2,823 | ||||||
Hancock Holding Co. | 46,894 | 2,084 | ||||||
Hanover Insurance Group, Inc. | 19,262 | 2,613 | ||||||
Home BancShares, Inc. | 81,309 | 2,007 | ||||||
Interactive Brokers Group, Inc. - Class A | 43,377 | 2,851 | ||||||
International Bancshares Corp. | 30,112 | 1,293 | ||||||
Janus Henderson Group PLC | 91,628 | 3,556 | ||||||
Jefferies Financial Group, Inc. | 107,413 | 3,673 | ||||||
Kemper Corp. | 32,578 | 2,407 | ||||||
Kinsale Capital Group, Inc. | 11,572 | 1,907 | ||||||
LendingTree, Inc. * | 5,989 | 1,269 | ||||||
Mercury General Corp. | 14,365 | 933 | ||||||
MGIC Investment Corp. | 183,015 | 2,489 | ||||||
Navient Corp. | 96,944 | 1,874 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Financials continued | ||||||||
New York Community Bancorp, Inc. | 249,622 | 2,751 | ||||||
Old Republic International Corp. | 152,923 | 3,809 | ||||||
PacWest Bancorp | 63,141 | 2,599 | ||||||
Pinnacle Financial Partners, Inc. | 40,899 | 3,611 | ||||||
Primerica, Inc. | 21,267 | 3,257 | ||||||
PROG Holdings, Inc. | 36,088 | 1,737 | ||||||
Prosperity Bancshares, Inc. | 50,019 | 3,591 | ||||||
Reinsurance Group of America, Inc. | 36,603 | 4,173 | ||||||
RenaissanceRe Holdings, Ltd. | 26,783 | 3,986 | ||||||
RLI Corp. | 21,477 | 2,246 | ||||||
SEI Investments Co. | 63,673 | 3,946 | ||||||
Selective Insurance Group, Inc. | 32,370 | 2,627 | ||||||
Signature Bank | 31,061 | 7,630 | ||||||
SLM Corp. | 174,261 | 3,649 | ||||||
Sterling Bancorp | 103,342 | 2,562 | ||||||
Stifel Financial Corp. | 56,503 | 3,665 | ||||||
Synovus Financial Corp. | 80,002 | 3,510 | ||||||
Texas Capital Bancshares, Inc. * | 27,284 | 1,732 | ||||||
Trustmark Corp. | 34,280 | 1,056 | ||||||
UMB Financial Corp. | 23,439 | 2,181 | ||||||
Umpqua Holdings Corp. | 119,149 | 2,198 | ||||||
United Bankshares, Inc. | 72,463 | 2,645 | ||||||
Valley National Bancorp | 217,879 | 2,926 | ||||||
Washington Federal, Inc. | 38,709 | 1,230 | ||||||
Webster Financial Corp. | 48,806 | 2,603 | ||||||
Wintrust Financial Corp. | 30,752 | 2,326 | ||||||
|
| |||||||
Total | 190,887 | |||||||
|
| |||||||
Health Care (11.0%) |
| |||||||
Acadia Healthcare Co., Inc. * | 48,449 | 3,040 | ||||||
Amedisys, Inc. * | 17,500 | 4,286 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 56,140 | 4,649 | ||||||
Bio-Techne Corp. | 20,936 | 9,427 | ||||||
Chemed Corp. | 8,568 | 4,066 | ||||||
Emergent Biosolutions, Inc. * | 24,490 | 1,543 | ||||||
Encompass Health Corp. | 53,699 | 4,190 | ||||||
Envista Holdings Corp. * | 86,362 | 3,732 | ||||||
Exelixis, Inc. * | 169,113 | 3,081 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Globus Medical, Inc. - Class A * | 41,776 | 3,239 | ||||||
Haemonetics Corp. * | 27,472 | 1,831 | ||||||
Halozyme Therapeutics, Inc. * | 72,089 | 3,274 | ||||||
HealthEquity, Inc. * | 44,822 | 3,607 | ||||||
Hill-Rom Holdings, Inc. | 35,737 | 4,059 | ||||||
ICU Medical, Inc. * | 10,627 | 2,187 | ||||||
Integra LifeSciences Holdings Corp. * | 38,309 | 2,614 | ||||||
Jazz Pharmaceuticals PLC * | 32,306 | 5,739 | ||||||
LHC Group, Inc. * | 17,078 | 3,420 | ||||||
Ligand Pharmaceuticals, Inc. - Class B * | 8,980 | 1,178 | ||||||
LivaNova PLC * | 26,305 | 2,212 | ||||||
Masimo Corp. * | 27,202 | 6,595 | ||||||
Medpace Holdings, Inc. * | 14,873 | 2,627 | ||||||
Molina Healthcare, Inc. * | 31,477 | 7,966 | ||||||
Nektar Therapeutics * | 98,480 | 1,690 | ||||||
Neogen Corp. * | 58,017 | 2,671 | ||||||
Neurocrine Biosciences, Inc. * | 50,992 | 4,963 | ||||||
NuVasive, Inc. * | 27,773 | 1,882 | ||||||
Patterson Cos., Inc. | 47,014 | 1,429 | ||||||
Penumbra, Inc. * | 18,268 | 5,007 | ||||||
PRA Health Sciences, Inc. * | 34,937 | 5,772 | ||||||
Progyny, Inc. * | 20,157 | 1,189 | ||||||
Quidel Corp. * | 20,817 | 2,667 | ||||||
R1 RCM, Inc. * | 74,322 | 1,653 | ||||||
Repligen Corp. * | 27,461 | 5,482 | ||||||
STAAR Surgical Co. * | 25,308 | 3,859 | ||||||
Syneos Health, Inc. * | 54,621 | 4,888 | ||||||
Tenet Healthcare Corp. * | 57,404 | 3,845 | ||||||
United Therapeutics Corp. * | 24,167 | 4,336 | ||||||
|
| |||||||
Total | 139,895 | |||||||
|
| |||||||
Industrials (17.1%) |
| |||||||
Acuity Brands, Inc. | 19,212 | 3,593 | ||||||
AECOM * | 78,786 | 4,989 | ||||||
AGCO Corp. | 33,222 | 4,331 | ||||||
ASGN, Inc. * | 28,649 | 2,777 | ||||||
Avis Budget Group, Inc. * | 27,733 | 2,160 | ||||||
Axon Enterprise, Inc. * | 34,819 | 6,156 | ||||||
The Brink’s Co. | 26,764 | 2,057 | ||||||
Builders FirstSource, Inc. * | 111,721 | 4,766 | ||||||
Carlisle Cos., Inc. | 28,146 | 5,387 | ||||||
Clean Harbors, Inc. * | 26,930 | 2,508 | ||||||
Colfax Corp. * | 63,705 | 2,918 | ||||||
Crane Co. | 26,726 | 2,469 | ||||||
Curtiss-Wright Corp. | 21,969 | 2,609 |
The Accompanying Notes are an Integral Part of the Financial Statements.
42
Table of Contents
Index 400 Stock Portfolio
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Donaldson Co., Inc. | 67,895 | 4,313 | ||||||
Dycom Industries, Inc. * | 16,550 | 1,233 | ||||||
EMCOR Group, Inc. | 29,301 | 3,610 | ||||||
EnerSys | 23,075 | 2,255 | ||||||
Flowserve Corp. | 69,949 | 2,820 | ||||||
Fluor Corp. * | 67,719 | 1,199 | ||||||
FTI Consulting, Inc. * | 18,360 | 2,508 | ||||||
GATX Corp. | 18,975 | 1,679 | ||||||
Graco, Inc. | 91,340 | 6,914 | ||||||
Healthcare Services Group, Inc. | 40,391 | 1,275 | ||||||
Herman Miller, Inc. | 31,882 | 1,503 | ||||||
Hexcel Corp. * | 45,190 | 2,820 | ||||||
Hubbell, Inc. | 29,246 | 5,464 | ||||||
IAA Spinco, Inc. * | 72,436 | 3,951 | ||||||
Insperity, Inc. | 19,459 | 1,759 | ||||||
ITT, Inc. | 46,258 | 4,237 | ||||||
JetBlue Airways Corp. * | 170,083 | 2,854 | ||||||
KAR Auction Services, Inc. * | 67,310 | 1,181 | ||||||
Kennametal, Inc. | 45,157 | 1,622 | ||||||
Kirby Corp. * | 32,480 | 1,970 | ||||||
Knight-Swift Transportation Holdings, Inc. | 65,958 | 2,998 | ||||||
Landstar System, Inc. | 20,623 | 3,259 | ||||||
Lennox International, Inc. | 18,516 | 6,495 | ||||||
Lincoln Electric Holdings, Inc. | 32,115 | 4,230 | ||||||
ManpowerGroup, Inc. | 29,321 | 3,487 | ||||||
MasTec, Inc. * | 30,327 | 3,218 | ||||||
Mercury Systems, Inc. * | 30,348 | 2,011 | ||||||
The Middleby Corp. * | 29,965 | 5,192 | ||||||
MSA Safety, Inc. | 19,651 | 3,254 | ||||||
MSC Industrial Direct Co., Inc. - Class A | 25,254 | 2,266 | ||||||
Nordson Corp. | 29,112 | 6,390 | ||||||
nVent Electric PLC | 89,993 | 2,811 | ||||||
Oshkosh Corp. | 37,011 | 4,613 | ||||||
Owens Corning, Inc. | 56,148 | 5,497 | ||||||
Regal Beloit Corp. | 21,809 | 2,912 | ||||||
Ryder System, Inc. | 29,027 | 2,158 | ||||||
Simpson Manufacturing Co., Inc. | 23,426 | 2,587 | ||||||
Stericycle, Inc. * | 49,294 | 3,527 | ||||||
Sunrun, Inc. * | 86,941 | 4,850 | ||||||
Terex Corp. | 37,517 | 1,787 | ||||||
Tetra Tech, Inc. | 29,086 | 3,550 | ||||||
The Timken Co. | 36,833 | 2,968 | ||||||
The Toro Co. | 57,560 | 6,325 | ||||||
Trex Co., Inc. * | 62,018 | 6,339 | ||||||
Trinity Industries, Inc. | 43,255 | 1,163 | ||||||
Univar Solutions, Inc. * | 91,565 | 2,232 | ||||||
Valmont Industries, Inc. | 11,468 | 2,707 | ||||||
Watsco, Inc. | 17,713 | 5,077 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Werner Enterprises, Inc. | 30,884 | 1,375 | ||||||
Woodward, Inc. | 31,560 | 3,878 | ||||||
XPO Logistics, Inc. * | 54,731 | 7,656 | ||||||
|
| |||||||
Total | 218,699 | |||||||
|
| |||||||
Information Technology (14.8%) |
| |||||||
ACI Worldwide, Inc. * | 63,829 | 2,371 | ||||||
Alliance Data Systems Corp. | 26,691 | 2,781 | ||||||
Amkor Technology, Inc. | 57,877 | 1,370 | ||||||
Arrow Electronics, Inc. * | 39,855 | 4,537 | ||||||
Aspen Technology, Inc. * | 36,682 | 5,045 | ||||||
Avnet, Inc. | 53,762 | 2,155 | ||||||
Belden, Inc. | 24,141 | 1,221 | ||||||
Blackbaud, Inc. * | 26,401 | 2,021 | ||||||
Brooks Automation, Inc. | 39,909 | 3,803 | ||||||
CACI International, Inc. - Class A * | 12,713 | 3,243 | ||||||
CDK Global, Inc. | 65,526 | 3,256 | ||||||
Ceridian HCM Holding, Inc. * | 70,616 | 6,773 | ||||||
Ciena Corp. * | 83,272 | 4,737 | ||||||
Cirrus Logic, Inc. * | 30,857 | 2,627 | ||||||
Cognex Corp. | 94,975 | 7,983 | ||||||
Coherent, Inc. * | 13,240 | 3,500 | ||||||
CommVault Systems, Inc. * | 24,776 | 1,937 | ||||||
Concentrix Corp. * | 22,477 | 3,614 | ||||||
Cree, Inc. * | 62,162 | 6,088 | ||||||
Envestnet, Inc. * | 29,414 | 2,231 | ||||||
Fair Isaac Corp. * | 15,511 | 7,797 | ||||||
First Solar, Inc. * | 45,906 | 4,155 | ||||||
Genpact, Ltd. | 93,589 | 4,252 | ||||||
II-VI, Inc. * | 56,433 | 4,096 | ||||||
j2 Global, Inc. * | 22,777 | 3,133 | ||||||
Jabil Circuit, Inc. | 72,041 | 4,187 | ||||||
KBR, Inc. | 76,133 | 2,904 | ||||||
Lattice Semiconductor Corp. * | 73,345 | 4,120 | ||||||
Littelfuse, Inc. | 13,205 | 3,364 | ||||||
LiveRamp Holdings, Inc. * | 37,040 | 1,735 | ||||||
Lumentum Holdings, Inc. * | 40,972 | 3,361 | ||||||
Manhattan Associates, Inc. * | 34,187 | 4,952 | ||||||
MAXIMUS, Inc. | 32,998 | 2,903 | ||||||
MKS Instruments, Inc. | 29,773 | 5,298 | ||||||
National Instruments Corp. | 70,643 | 2,987 | ||||||
NCR Corp. * | 70,327 | 3,208 | ||||||
NetScout Systems, Inc. * | 39,700 | 1,133 | ||||||
Paylocity Holding Corp. * | 20,280 | 3,869 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Qualys, Inc. * | 18,037 | 1,816 | ||||||
Sabre Corp. * | 171,533 | 2,141 | ||||||
SailPoint Technologies Holdings, Inc. * | 49,897 | 2,548 | ||||||
Science Applications International Corp. | 31,114 | 2,730 | ||||||
Semtech Corp. * | 34,820 | 2,396 | ||||||
Silicon Laboratories, Inc. * | 24,155 | 3,702 | ||||||
SolarEdge Technologies, Inc. * | 28,020 | 7,744 | ||||||
Synaptics, Inc. * | 19,014 | 2,958 | ||||||
SYNNEX Corp. | 22,313 | 2,717 | ||||||
Teradata Corp. * | 58,921 | 2,944 | ||||||
Universal Display Corp. | 23,111 | 5,138 | ||||||
ViaSat, Inc. * | 36,609 | 1,825 | ||||||
Vishay Intertechnology, Inc. | 71,214 | 1,606 | ||||||
Vontier Corp. | 91,108 | 2,968 | ||||||
WEX, Inc. * | 24,132 | 4,679 | ||||||
Xerox Holdings Corp. | 87,169 | 2,048 | ||||||
|
| |||||||
Total | 188,707 | |||||||
|
| |||||||
Materials (6.4%) |
| |||||||
AptarGroup, Inc. | 35,441 | 4,991 | ||||||
Ashland Global Holdings, Inc. | 29,319 | 2,565 | ||||||
Avient Corp. | 48,977 | 2,408 | ||||||
Cabot Corp. | 30,380 | 1,730 | ||||||
The Chemours Co. | 89,284 | 3,107 | ||||||
Cleveland-Cliffs, Inc. * | 247,272 | 5,331 | ||||||
CMC Materials, Inc. | 15,766 | 2,377 | ||||||
Commercial Metals Co. | 64,905 | 1,994 | ||||||
Compass Minerals International, Inc. | 18,366 | 1,088 | ||||||
Eagle Materials, Inc. | 22,877 | 3,251 | ||||||
Grief, Inc. - Class A | 14,339 | 868 | ||||||
Ingevity Corp. * | 21,440 | 1,744 | ||||||
Louisiana-Pacific Corp. | 55,202 | 3,328 | ||||||
Minerals Technologies, Inc. | 18,050 | 1,420 | ||||||
NewMarket Corp. | 3,955 | 1,273 | ||||||
Olin Corp. | 77,184 | 3,571 | ||||||
Reliance Steel & Aluminum Co. | 34,274 | 5,172 | ||||||
Royal Gold, Inc. | 35,316 | 4,030 | ||||||
RPM International, Inc. | 69,627 | 6,175 | ||||||
The Scotts Miracle-Gro Co. - Class A | 21,921 | 4,207 | ||||||
Sensient Technologies Corp. | 22,662 | 1,962 | ||||||
Silgan Holdings, Inc. | 42,240 | 1,753 | ||||||
Sonoco Products Co. | 54,066 | 3,617 | ||||||
Steel Dynamics, Inc. | 107,973 | 6,435 | ||||||
United States Steel Corp. | 145,494 | 3,492 | ||||||
Valvoline, Inc. | 97,546 | 3,166 |
The Accompanying Notes are an Integral Part of the Financial Statements.
43
Table of Contents
Index 400 Stock Portfolio
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Materials continued | ||||||||
Worthington Industries, Inc. | 18,973 | 1,161 | ||||||
|
| |||||||
Total | 82,216 | |||||||
|
| |||||||
Real Estate (9.6%) | ||||||||
American Campus Communities, Inc. | 74,056 | 3,460 | ||||||
Apartment Income REIT Corp. | 84,612 | 4,013 | ||||||
Brixmor Property Group, Inc. | 159,681 | 3,655 | ||||||
Camden Property Trust | 52,604 | 6,979 | ||||||
CoreSite Realty Corp. | 23,119 | 3,112 | ||||||
Corporate Office Properties Trust | 60,200 | 1,685 | ||||||
Cousins Properties, Inc. | 79,802 | 2,935 | ||||||
CyrusOne, Inc. | 66,084 | 4,726 | ||||||
Douglas Emmett, Inc. | 88,552 | 2,977 | ||||||
EastGroup Properties, Inc. | 21,599 | 3,552 | ||||||
EPR Properties * | 40,416 | 2,129 | ||||||
First Industrial Realty Trust, Inc. | 69,480 | 3,629 | ||||||
Healthcare Realty Trust, Inc. | 76,548 | 2,312 | ||||||
Highwoods Properties, Inc. | 56,175 | 2,537 | ||||||
Hudson Pacific Properties, Inc. | 80,967 | 2,252 | ||||||
JBG SMITH Properties | 59,206 | 1,866 | ||||||
Jones Lang LaSalle, Inc. * | 27,666 | 5,408 | ||||||
Kilroy Realty Corp. | 57,000 | 3,969 | ||||||
Lamar Advertising Co. - Class A | 46,756 | 4,882 | ||||||
Life Storage, Inc. | 41,460 | 4,451 | ||||||
The Macerich Co. | 90,212 | 1,646 | ||||||
Medical Properties Trust, Inc. | 317,096 | 6,374 | ||||||
National Retail Properties, Inc. | 94,367 | 4,424 | ||||||
National Storage Affiliates Trust | 37,298 | 1,886 | ||||||
OMEGA Healthcare Investors, Inc. | 126,952 | 4,607 | ||||||
Park Hotels & Resorts, Inc. * | 126,906 | 2,615 | ||||||
Pebblebrook Hotel Trust | 70,984 | 1,672 | ||||||
Physicians Realty Trust | 116,465 | 2,151 | ||||||
Potlatch Corp. | 36,174 | 1,923 | ||||||
PS Business Parks, Inc. | 10,848 | 1,606 | ||||||
Rayonier, Inc. | 75,108 | 2,699 | ||||||
Rexford Industrial Realty, Inc. | 72,327 | 4,119 | ||||||
Sabra Health Care REIT, Inc. | 116,748 | 2,125 |
Common Stocks (99.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Real Estate continued | ||||||||
SL Green Realty Corp. | 37,228 | 2,978 | ||||||
Spirit Realty Capital, Inc. | 61,712 | 2,952 | ||||||
Store Capital Corp. | 131,316 | 4,532 | ||||||
Urban Edge Properties | 59,463 | 1,136 | ||||||
Weingarten Realty Investors | 64,315 | 2,063 | ||||||
|
| |||||||
Total | 122,037 | |||||||
|
| |||||||
Utilities (3.3%) | ||||||||
ALLETE, Inc. | 28,097 | 1,966 | ||||||
Black Hills Corp. | 33,944 | 2,228 | ||||||
Essential Utilities, Inc. | 120,379 | 5,501 | ||||||
Hawaiian Electric Industries, Inc. | 58,579 | 2,477 | ||||||
IDACORP, Inc. | 27,281 | 2,660 | ||||||
MDU Resources Group, Inc. | 108,590 | 3,403 | ||||||
National Fuel Gas Co. | 48,922 | 2,556 | ||||||
New Jersey Resources Corp. | 52,029 | 2,059 | ||||||
NorthWestern Corp. | 27,176 | 1,637 | ||||||
OGE Energy Corp. | 107,640 | 3,622 | ||||||
ONE Gas, Inc. | 28,550 | 2,116 | ||||||
PNM Resources, Inc. | 46,029 | 2,245 | ||||||
Southwest Gas Holdings, Inc. | 31,360 | 2,076 | ||||||
Spire, Inc. | 27,929 | 2,018 | ||||||
UGI Corp. | 112,308 | 5,201 | ||||||
|
| |||||||
Total | 41,765 | |||||||
|
| |||||||
Total Common Stocks | 1,262,858 | |||||||
|
| |||||||
Short-Term Investments (1.0%) | ||||||||
Money Market Funds (0.9%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 11,745,254 | 11,745 | ||||||
|
| |||||||
Total | 11,745 | |||||||
|
| |||||||
US Government & Agencies (0.1%) |
| |||||||
US Treasury 0.010%, 7/15/21 b | 915,000 | 915 | ||||||
|
| |||||||
Total | 915 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $12,660) | 12,660 | |||||||
|
|
Short-Term Investments (1.0%) | Shares/ Par + | Value $ (000’s) | ||||||
US Government & Agencies continued |
| |||||||
Total Investments (100.0%) | ||||||||
(Cost: $828,696)@ | 1,275,518 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.0%) | 469 | |||||||
|
| |||||||
Net Assets (100.0%) | 1,275,987 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
44
Table of Contents
Index 400 Stock Portfolio
Exchange Traded or Centrally Cleared Derivatives Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||
S&P 400 Mini Index Futures | Long | USD | 5 | 52 | 9/21 | $14,000 | $(114) | $10 | ||||||||
$(114) | $10 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $– | $10 | $10 | $– | $– | $– | $– |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
b | Cash or securities with an aggregate value of $915 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $828,696 and the net unrealized appreciation of investments based on that cost was $446,708 which is comprised of $474,108 aggregate gross unrealized appreciation and $27,400 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,262,858 | $ | - | $ | - | ||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 11,745 | - | - | |||||||||||
All Others | - | 915 | - | |||||||||||
Total Assets: | $ | 1,274,603 | $ | 915 | $ | - | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (114 | ) | - | - | ||||||||||
Total Liabilities: | $ | (114 | ) | $ | - | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
45
Table of Contents
Mid Cap Value Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Financials | 19.3% | |||
Industrials | 17.1% | |||
Health Care | 16.3% | |||
Consumer Discretionary | 8.0% | |||
Consumer Staples | 8.0% | |||
Utilities | 7.6% | |||
Information Technology | 5.9% | |||
Materials | 5.3% | |||
Real Estate | 5.1% | |||
Energy | 4.6% | |||
Short-Term Investments & Other Net Assets | 1.4% | |||
Communication Services | 1.4% |
Sector Allocation is subject to change.
Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks. The value of securities acquired in an IPO may rise or fall more rapidly than investments in more established issuers.
The Portfolio may invest in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
46
Table of Contents
Mid Cap Value Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communication Services (1.4%) |
| |||||||
Fox Corp. | 257,588 | 9,067 | ||||||
|
| |||||||
Total | 9,067 | |||||||
|
| |||||||
Consumer Discretionary (8.0%) |
| |||||||
Advance Auto Parts, Inc. | 65,067 | 13,348 | ||||||
BorgWarner, Inc. | 153,118 | 7,432 | ||||||
Bridgestone Corp. | 75,600 | 3,440 | ||||||
Dollar Tree, Inc. * | 91,065 | 9,061 | ||||||
Genuine Parts Co. | 20,573 | 2,602 | ||||||
Honda Motor Co., Ltd., ADR | 215,752 | 6,943 | ||||||
Polaris Industries, Inc. | 32,885 | 4,504 | ||||||
Sodexo SA * | 73,556 | 6,864 | ||||||
|
| |||||||
Total | 54,194 | |||||||
|
| |||||||
Consumer Staples (8.0%) | ||||||||
Conagra Brands, Inc. | 358,135 | 13,029 | ||||||
General Mills, Inc. | 66,000 | 4,021 | ||||||
The J.M. Smucker Co. | 43,173 | 5,594 | ||||||
Kellogg Co. | 69,167 | 4,450 | ||||||
Kimberly-Clark Corp. | 44,784 | 5,991 | ||||||
Koninklijke Ahold Delhaize NV | 409,000 | 12,158 | ||||||
Orkla ASA | 499,954 | 5,092 | ||||||
Sysco Corp. | 47,339 | 3,681 | ||||||
|
| |||||||
Total | 54,016 | |||||||
|
| |||||||
Energy (4.6%) | ||||||||
Baker Hughes | 237,601 | 5,434 | ||||||
Cimarex Energy Co. | 44,824 | 3,248 | ||||||
ConocoPhillips | 197,916 | 12,053 | ||||||
Devon Energy Corp. | 120,703 | 3,523 | ||||||
Pioneer Natural Resources Co. | 40,111 | 6,519 | ||||||
|
| |||||||
Total | 30,777 | |||||||
|
| |||||||
Financials (19.3%) | ||||||||
AFLAC, Inc. | 202,132 | 10,846 | ||||||
The Allstate Corp. | 42,453 | 5,538 | ||||||
Ameriprise Financial, Inc. | 33,965 | 8,453 | ||||||
Arthur J. Gallagher & Co. | 19,079 | 2,673 | ||||||
The Bank of New York Mellon Corp. | 333,365 | 17,078 | ||||||
Capitol Federal Financial, Inc. | 184,733 | 2,176 | ||||||
Chubb, Ltd. | 84,920 | 13,497 | ||||||
Commerce Bancshares, Inc. | 22,884 | 1,706 |
Common Stocks (98.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Eastern Bankshares, Inc. | 38,823 | 799 | ||||||
First Hawaiian, Inc. | 126,921 | 3,597 | ||||||
The Hartford Financial Services Group, Inc. | 52,559 | 3,257 | ||||||
M&T Bank Corp. | 45,252 | 6,576 | ||||||
Northern Trust Corp. | 127,427 | 14,733 | ||||||
Prosperity Bancshares, Inc. | 51,386 | 3,689 | ||||||
Reinsurance Group of America, Inc. | 90,027 | 10,263 | ||||||
State Street Corp. | 53,689 | 4,418 | ||||||
T. Rowe Price Group, Inc. | 39,726 | 7,865 | ||||||
Truist Financial Corp. | 160,845 | 8,927 | ||||||
Westamerica Bancorporation | 69,917 | 4,057 | ||||||
|
| |||||||
Total | 130,148 | |||||||
|
| |||||||
Health Care (16.3%) | ||||||||
Baxter International, Inc. | 45,599 | 3,671 | ||||||
Becton Dickinson and Co. | 29,621 | 7,203 | ||||||
Cardinal Health, Inc. | 192,192 | 10,972 | ||||||
Centene Corp. * | 68,554 | 5,000 | ||||||
Cerner Corp. | 163,976 | 12,816 | ||||||
Envista Holdings Corp. * | 77,824 | 3,363 | ||||||
Henry Schein, Inc. * | 134,960 | 10,013 | ||||||
Koninklijke Philips NV | 58,964 | 2,930 | ||||||
McKesson Corp. | 42,181 | 8,067 | ||||||
Quest Diagnostics, Inc. | 96,484 | 12,733 | ||||||
Universal Health Services, Inc. - Class B | 86,500 | 12,666 | ||||||
Zimmer Biomet Holdings, Inc. | 126,049 | 20,271 | ||||||
|
| |||||||
Total | 109,705 | |||||||
|
| |||||||
Industrials (17.1%) | ||||||||
BAE Systems PLC | 980,646 | 7,081 | ||||||
Beacon Roofing Supply, Inc. * | 39,898 | 2,125 | ||||||
Crane Co. | 45,221 | 4,177 | ||||||
Cummins, Inc. | 14,434 | 3,519 | ||||||
Emerson Electric Co. | 147,063 | 14,153 | ||||||
General Dynamics Corp. | 47,963 | 9,030 | ||||||
Heartland Express, Inc. | 271,215 | 4,646 | ||||||
Hubbell, Inc. | 46,887 | 8,760 | ||||||
IMI, PLC | 139,446 | 3,318 |
Common Stocks (98.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Johnson Controls International PLC | 57,127 | 3,921 | ||||||
MSC Industrial Direct Co., Inc. - Class A | 110,405 | 9,907 | ||||||
nVent Electric PLC | 386,360 | 12,070 | ||||||
Oshkosh Corp. | 46,767 | 5,829 | ||||||
PACCAR, Inc. | 54,452 | 4,860 | ||||||
Republic Services, Inc. | 78,232 | 8,606 | ||||||
Southwest Airlines Co. * | 206,767 | 10,977 | ||||||
Textron, Inc. | 32,982 | 2,268 | ||||||
|
| |||||||
Total | 115,247 | |||||||
|
| |||||||
Information Technology (5.9%) |
| |||||||
Amdocs, Ltd. | 49,788 | 3,852 | ||||||
CDK Global, Inc. | 85,262 | 4,237 | ||||||
Euronet Worldwide, Inc. * | 21,314 | 2,885 | ||||||
F5 Networks, Inc. * | 37,161 | 6,936 | ||||||
HP, Inc. | 257,784 | 7,783 | ||||||
Juniper Networks, Inc. | 164,726 | 4,505 | ||||||
Open Text Corp. | 111,658 | 5,672 | ||||||
TE Connectivity, Ltd. | 26,229 | 3,546 | ||||||
|
| |||||||
Total | 39,416 | |||||||
|
| |||||||
Materials (5.3%) | ||||||||
Amcor PLC | 301,959 | 3,460 | ||||||
Axalta Coating Systems, Ltd. * | 187,799 | 5,726 | ||||||
Mondi PLC | 375,631 | 9,878 | ||||||
Packaging Corp. of America | 33,146 | 4,489 | ||||||
Sonoco Products Co. | 184,212 | 12,324 | ||||||
|
| |||||||
Total | 35,877 | |||||||
|
| |||||||
Real Estate (5.1%) | ||||||||
Equinix, Inc. | 6,034 | 4,843 | ||||||
Essex Property Trust, Inc. | 20,613 | 6,184 | ||||||
Healthcare Trust of America, Inc. | 208,466 | 5,566 | ||||||
Healthpeak Properties, Inc. | 255,742 | 8,514 | ||||||
MGM Growth Properties LLC - Class A | 196,949 | 7,212 | ||||||
Weyerhaeuser Co. | 62,152 | 2,139 | ||||||
|
| |||||||
Total | 34,458 | |||||||
|
| |||||||
Utilities (7.6%) | ||||||||
Atmos Energy Corp. | 54,613 | 5,249 | ||||||
Edison International | 198,602 | 11,483 |
The Accompanying Notes are an Integral Part of the Financial Statements.
47
Table of Contents
Mid Cap Value Portfolio
Common Stocks (98.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Evergy, Inc. | 60,269 | 3,642 | ||||||
Eversource Energy | 49,254 | 3,952 | ||||||
NorthWestern Corp. | 158,426 | 9,541 | ||||||
Pinnacle West Capital Corp. | 130,829 | 10,724 | ||||||
Spire, Inc. | 71,676 | 5,180 | ||||||
Xcel Energy, Inc. | 26,110 | 1,720 | ||||||
|
| |||||||
Total | 51,491 | |||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost: $555,375) | 664,396 | |||||||
|
| |||||||
Short-Term Investments (1.3%) | ||||||||
Money Market Funds (1.3%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier | 8,581,156 | 8,581 | ||||||
|
| |||||||
Total | 8,581 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $8,581) | 8,581 | |||||||
|
| |||||||
Total Investments (99.9%) | ||||||||
(Cost: $563,956)@ | 672,977 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (0.1%) | 779 | |||||||
|
| |||||||
Net Assets (100.0%) | 673,756 | |||||||
|
|
Over the Counter Derivatives Forward Contracts
Type | Counterparty | Currency | Foreign by Contract (000s) | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Appreciation/ | ||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | EUR | 15,273 | 18,143 | 09/30/2021 | $ | 68 | $ | — | $ | 68 | |||||||||||
Buy | Morgan Stanley Capital Services, Inc. | GBP | 310 | 429 | 09/30/2021 | — | (3 | ) | (3 | ) | ||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | GBP | 12,951 | 17,919 | 09/30/2021 | 77 | — | 77 | ||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | JPY | 696,509 | 6,274 | 09/30/2021 | 25 | — | 25 | ||||||||||||||
Buy | Morgan Stanley Capital Services, Inc. | NOK | 933 | 108 | 09/30/2021 | — | (1 | ) | (1 | ) | ||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | NOK | 38,768 | 4,504 | 09/30/2021 | 3 | — | 3 | ||||||||||||||
$ | 173 | $ | (4 | ) | $ | 169 |
The Accompanying Notes are an Integral Part of the Financial Statements.
48
Table of Contents
Mid Cap Value Portfolio
Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||||||||||
Forward Contracts | Swaps | Total | Forward Contracts | Options | Swaps | Total | ||||||||||||||||||||||
Total Over the Counter | $ | 173 | — | $ | 173 | $ | (4 | ) | — | — | $ | (4 | ) | |||||||||||||||
Derivatives |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $563,956 and the net unrealized appreciation of investments based on that cost was $109,190 which is comprised of $113,207 aggregate gross unrealized appreciation and $4,017 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||||
Description | Level 1—Quoted Prices | Level 2—Other Observable Inputs | Level 3—Significant Unobservable Inputs | |||||||||||||
(Amounts in thousands) | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 664,396 | $ | - | $ | - | ||||||||||
Short-Term Investments | 8,581 | - | - | |||||||||||||
Other Financial Instruments^ | ||||||||||||||||
Forward Currency Contracts | - | 173 | - | |||||||||||||
Total Assets: | $ | 672,977 | $ | 173 | $ | - | ||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments^ | ||||||||||||||||
Forward Currency Contracts | - | (4 | ) | - | ||||||||||||
Total Liabilities: | $ | - | $ | (4 | ) | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
49
Table of Contents
Small Cap Growth Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Health Care | 29.4 | % | ||
Information Technology | 23.3 | % | ||
Industrials | 15.4 | % | ||
Consumer Discretionary | 14.4 | % | ||
Financials | 4.6 | % | ||
Consumer Staples | 4.1 | % | ||
Real Estate | 3.6 | % | ||
Communication Services | 1.9 | % | ||
Materials | 1.8 | % | ||
Short-Term Investments & Other Net Assets | 1.5 | % |
Sector Allocation is subject to change.
Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.
The Portfolio may invest in exchange-traded funds (“ETFs”) for cash management purposes. Investing in ETFs may expose the Portfolio to greater risk of loss and price fluctuation than investing directly in an equity security. The market prices of ETFs may trade at a premium or discount to their net asset value and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
50
Table of Contents
Small Cap Growth Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communication Services (1.9%) |
| |||||||
Bandwidth, Inc.* | 27,287 | 3,764 | ||||||
Cardlytics, Inc.* | 97,709 | 12,402 | ||||||
|
| |||||||
Total | 16,166 | |||||||
|
| |||||||
Consumer Discretionary (14.4%) |
| |||||||
BJ’s Restaurants, Inc.* | 103,581 | 5,090 | ||||||
Churchill Downs, Inc. | 34,617 | 6,863 | ||||||
Deckers Outdoor Corp.* | 17,342 | 6,661 | ||||||
Floor & Decor Holdings, Inc.* | 56,787 | 6,002 | ||||||
Foot Locker, Inc. | 121,672 | 7,499 | ||||||
Fox Factory Holding Corp.* | 66,873 | 10,409 | ||||||
GAN, Ltd.* | 231,752 | 3,810 | ||||||
Lithia Motors, Inc. - Class A | 10,607 | 3,645 | ||||||
Mister Car Wash, Inc.* | 122,800 | 2,644 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 100,269 | 8,436 | ||||||
Patrick Industries, Inc. | 88,953 | 6,494 | ||||||
Penn National Gaming, Inc.* | 65,305 | 4,995 | ||||||
PVH Corp.* | 54,421 | 5,855 | ||||||
Shutterstock, Inc. | 66,866 | 6,564 | ||||||
Thor Industries, Inc. | 61,322 | 6,929 | ||||||
TopBuild Corp.* | 52,884 | 10,459 | ||||||
Under Armour, Inc. - Class C* | 194,294 | 3,608 | ||||||
Wingstop, Inc. | 67,169 | 10,588 | ||||||
YETI Holdings, Inc.* | 70,905 | 6,511 | ||||||
|
| |||||||
Total | 123,062 | |||||||
|
| |||||||
Consumer Staples (4.1%) |
| |||||||
BellRing Brands, Inc.* | 85,088 | 2,667 | ||||||
Celsius Holdings, Inc.* | 65,163 | 4,958 | ||||||
Freshpet, Inc.* | 46,043 | 7,503 | ||||||
Hostess Brands, Inc.* | 206,670 | 3,346 | ||||||
Lancaster Colony Corp. | 8,746 | 1,692 | ||||||
Performance Food Group Co.* | 192,519 | 9,335 | ||||||
The Simply Good Foods Co.* | 140,885 | 5,144 | ||||||
|
| |||||||
Total | 34,645 | |||||||
|
| |||||||
Financials (4.6%) | ||||||||
James River Group Holdings, Ltd. | 102,355 | 3,840 | ||||||
Kemper Corp. | 50,704 | 3,747 | ||||||
MGIC Investment Corp. | 405,132 | 5,510 | ||||||
OneMain Holdings, Inc. | 102,980 | 6,170 | ||||||
Stifel Financial Corp. | 94,620 | 6,137 |
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Synovus Financial Corp. | 108,147 | 4,745 | ||||||
Triumph Bancorp, Inc.* | 72,616 | 5,392 | ||||||
Western Alliance Bancorporation | 43,661 | 4,054 | ||||||
|
| |||||||
Total | 39,595 | |||||||
|
| |||||||
Health Care (29.4%) | ||||||||
Aclaris Therapeutics, Inc.* | 160,836 | 2,824 | ||||||
AdaptHealth LLC* | 197,614 | 5,417 | ||||||
Allakos, Inc.* | 40,832 | 3,486 | ||||||
ALX Oncology Holdings, Inc.* | 60,613 | 3,314 | ||||||
Amedisys, Inc.* | 15,019 | 3,679 | ||||||
Apellis Pharmaceuticals, Inc.* | 95,250 | 6,020 | ||||||
Arena Pharmaceuticals, Inc.* | 47,441 | 3,235 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 55,977 | 4,636 | ||||||
Arvinas, Inc.* | 43,867 | 3,378 | ||||||
AtriCure, Inc.* | 81,872 | 6,495 | ||||||
BioAtla, Inc.* | 49,948 | 2,117 | ||||||
Biohaven Pharmaceutical Holding Co., Ltd.* | 27,979 | 2,716 | ||||||
Blueprint Medicines Corp.* | 45,230 | 3,978 | ||||||
Cardiovascular Systems, Inc.* | 85,314 | 3,639 | ||||||
Celldex Therapeutics, Inc.* | 116,376 | 3,892 | ||||||
Covetrus, Inc.* | 158,304 | 4,274 | ||||||
Dicerna Pharmaceuticals, Inc.* | 128,359 | 4,790 | ||||||
Dyne Therapeutics, Inc.* | 159,570 | 3,357 | ||||||
Fate Therapeutics, Inc.* | 27,555 | 2,391 | ||||||
Glaukos Corp.* | 52,943 | 4,491 | ||||||
Globus Medical, Inc. - Class A* | 89,872 | 6,968 | ||||||
Health Catalyst, Inc.* | 104,402 | 5,795 | ||||||
Heron Therapeutics, Inc.* | 217,348 | 3,373 | ||||||
Homology Medicines, Inc.* | 254,726 | 1,852 | ||||||
ImmunoGen, Inc.* | 421,661 | 2,779 |
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Integer Holdings Corp.* | 71,843 | 6,768 | ||||||
Integra LifeSciences Holdings Corp.* | 107,182 | 7,314 | ||||||
Intellia Therapeutics, Inc.* | 20,100 | 3,254 | ||||||
KalVista Pharmaceuticals, Inc.* | 107,875 | 2,585 | ||||||
Karuna Therapeutics, Inc.* | 27,384 | 3,121 | ||||||
Kodiak Sciences, Inc.* | 40,681 | 3,783 | ||||||
Kura Oncology, Inc.* | 143,047 | 2,983 | ||||||
Kymera Therapeutics, Inc.* | 69,577 | 3,374 | ||||||
LHC Group, Inc.* | 40,509 | 8,112 | ||||||
Madrigal Pharmaceuticals, Inc.* | 35,062 | 3,415 | ||||||
Mersana Therapeutics, Inc.* | 232,788 | 3,161 | ||||||
Mirati Therapeutics, Inc.* | 19,192 | 3,100 | ||||||
ModivCare, Inc.* | 49,136 | 8,357 | ||||||
Nanostring Technologies, Inc.* | 79,007 | 5,119 | ||||||
NeoGenomics, Inc.* | 125,187 | 5,655 | ||||||
Nevro Corp.* | 40,809 | 6,766 | ||||||
Omnicell, Inc.* | 85,433 | 12,939 | ||||||
OraSure Technologies, Inc.* | 170,443 | 1,728 | ||||||
Owens & Minor, Inc. | 25,200 | 1,067 | ||||||
PTC Therapeutics, Inc.* | 82,234 | 3,476 | ||||||
R1 RCM, Inc.* | 387,525 | 8,619 | ||||||
Radius Health, Inc.* | 161,292 | 2,942 | ||||||
RAPT Therapeutics, Inc.* | 80,231 | 2,551 | ||||||
Reata Pharmaceuticals, Inc.* | 23,832 | 3,373 | ||||||
Revance Therapeutics, Inc.* | 135,872 | 4,027 | ||||||
Revolution Medicines, Inc.* | 57,160 | 1,814 | ||||||
Rocket Pharmaceuticals, Inc.* | 87,284 | 3,866 | ||||||
Syndax Pharmaceuticals, Inc.* | 149,321 | 2,564 | ||||||
Tandem Diabetes Care, Inc.* | 56,616 | 5,514 | ||||||
TCR2 Therapeutics, Inc.* | 140,621 | 2,308 |
The Accompanying Notes are an Integral Part of the Financial Statements.
51
Table of Contents
Small Cap Growth Stock Portfolio
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Health Care continued | ||||||||
TG Therapeutics, Inc.* | 112,853 | 4,378 | ||||||
Theravance Biopharma, Inc.* | 179,224 | 2,602 | ||||||
Turning Point Therapeutics, Inc.* | 47,634 | 3,716 | ||||||
Veracyte, Inc.* | 92,146 | 3,684 | ||||||
Y-mAbs Therapeutics, Inc.* | 102,833 | 3,476 | ||||||
|
| |||||||
Total | 250,407 | |||||||
|
| |||||||
Industrials (15.4%) | ||||||||
Altra Industrial Motion Corp. | 60,652 | 3,944 | ||||||
Applied Industrial Technologies, Inc. | 68,110 | 6,202 | ||||||
Armstrong World Industries, Inc. | 37,765 | 4,051 | ||||||
ASGN, Inc.* | 80,896 | 7,841 | ||||||
Boise Cascade Co. | 49,459 | 2,886 | ||||||
Builders FirstSource, Inc.* | 137,419 | 5,862 | ||||||
BWX Technologies, Inc. | 78,532 | 4,564 | ||||||
CACI International, Inc. - Class A* | 32,087 | 8,186 | ||||||
Clean Harbors, Inc.* | 32,498 | 3,027 | ||||||
Curtiss-Wright Corp. | 38,566 | 4,580 | ||||||
EnerSys | 39,764 | 3,886 | ||||||
Exponent, Inc. | 59,532 | 5,311 | ||||||
Hydrofarm Holdings Group, Inc.* | 133,792 | 7,908 | ||||||
Insperity, Inc. | 71,025 | 6,419 | ||||||
ITT, Inc. | 65,502 | 5,999 | ||||||
John Bean Technologies Corp. | 62,834 | 8,961 | ||||||
Marten Transport, Ltd. | 137,606 | 2,269 | ||||||
Mercury Systems, Inc.* | 47,447 | 3,145 | ||||||
Rexnord Corp. | 124,977 | 6,254 | ||||||
Science Applications International Corp. | 54,708 | 4,800 | ||||||
SPX Corp.* | 89,961 | 5,495 | ||||||
SPX Flow, Inc. | 89,983 | 5,870 | ||||||
Tetra Tech, Inc. | 59,192 | 7,224 | ||||||
Trex Co., Inc.* | 28,564 | 2,920 | ||||||
Viad Corp.* | 66,746 | 3,327 | ||||||
|
| |||||||
Total | 130,931 | |||||||
|
| |||||||
Information Technology (23.3%) |
| |||||||
Alarm.com Holdings, Inc.* | 73,099 | 6,191 | ||||||
Axcelis Technologies, Inc.* | 108,271 | �� | 4,376 | |||||
Blackbaud, Inc.* | 64,948 | 4,973 | ||||||
Cirrus Logic, Inc.* | 67,089 | 5,711 | ||||||
Concentrix Corp.* | 50,233 | 8,077 | ||||||
Digital Turbine, Inc.* | 116,122 | 8,829 | ||||||
Everbridge, Inc.* | 35,893 | 4,884 |
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
ExlService Holdings, Inc.* | 84,330 | 8,961 | ||||||
Five9, Inc.* | 22,966 | 4,212 | ||||||
II-VI, Inc.* | 127,790 | 9,276 | ||||||
Insight Enterprises, Inc.* | 65,542 | 6,555 | ||||||
j2 Global, Inc.* | 65,497 | 9,009 | ||||||
Lattice Semiconductor Corp.* | 172,455 | 9,689 | ||||||
LiveRamp Holdings, Inc.* | 91,201 | 4,273 | ||||||
Lumentum Holdings, Inc.* | 62,349 | 5,114 | ||||||
Manhattan Associates, Inc.* | 45,310 | 6,563 | ||||||
Medallia, Inc.* | 153,400 | 5,177 | ||||||
Mimecast, Ltd.* | 90,365 | 4,794 | ||||||
Momentive Global, Inc.* | 142,806 | 3,009 | ||||||
Paylocity Holding Corp.* | 12,799 | 2,442 | ||||||
Perficient, Inc.* | 116,582 | 9,376 | ||||||
Power Integrations, Inc. | 98,019 | 8,043 | ||||||
Q2 Holdings, Inc.* | 58,248 | 5,975 | ||||||
Rapid7, Inc.* | 91,149 | 8,625 | ||||||
Repay Holdings Corp.* | 226,770 | 5,452 | ||||||
SentinelOne, Inc.* | 7,900 | 336 | ||||||
Sprinklr, Inc.* | 116,400 | 2,397 | ||||||
Sprout Social, Inc.* | 83,098 | 7,431 | ||||||
Synaptics, Inc.* | 51,749 | 8,051 | ||||||
Telos Corp.* | 162,406 | 5,523 | ||||||
Varonis Systems, Inc.* | 132,085 | 7,611 | ||||||
Verra Mobility Corp.* | 515,877 | 7,929 | ||||||
|
| |||||||
Total | 198,864 | |||||||
|
| |||||||
Materials (1.8%) | ||||||||
Axalta Coating Systems, Ltd.* | 163,318 | 4,980 | ||||||
Ingevity Corp.* | 48,866 | 3,976 | ||||||
Louisiana-Pacific Corp. | 86,739 | 5,229 | ||||||
Ranpak Holdings Corp.* | 55,246 | 1,383 | ||||||
|
| |||||||
Total | 15,568 | |||||||
|
| |||||||
Real Estate (3.6%) | ||||||||
Essential Properties Realty Trust, Inc. | 226,731 | 6,131 | ||||||
Independence Realty Trust, Inc. | 310,623 | 5,662 | ||||||
PS Business Parks, Inc. | 45,928 | 6,801 | ||||||
Rexford Industrial Realty, Inc. | 110,182 | 6,275 |
Common Stocks (98.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Real Estate continued | ||||||||
Ryman Hospitality Properties, Inc.* | 75,836 | 5,988 | ||||||
|
| |||||||
Total | 30,857 | |||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost: $592,722) | 840,095 | |||||||
|
| |||||||
Short-Term Investments (1.7%) | ||||||||
Money Market Funds (1.7%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 14,246,831 | 14,247 | ||||||
|
| |||||||
Total | 14,247 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $14,247) | 14,247 | |||||||
|
| |||||||
Total Investments (100.2%) |
| |||||||
(Cost: $606,969)@ | 854,342 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (-0.2%) | (2,064 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | 852,278 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
52
Table of Contents
Small Cap Growth Stock Portfolio
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $606,969 and the net unrealized appreciation of investments based on that cost was $247,373 which is comprised of $271,399 aggregate gross unrealized appreciation and $24,026 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 840,095 | $ | - | $ | - | ||||||||
Short-Term Investments | 14,247 | - | - | |||||||||||
Total Assets: | $ | 854,342 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
53
Table of Contents
Index 600 Stock Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Financials | 17.0 | % | ||
Industrials | 16.2 | % | ||
Consumer Discretionary | 14.4 | % | ||
Information Technology | 13.3 | % | ||
Health Care | 11.6 | % | ||
Real Estate | 7.6 | % | ||
Materials | 5.2 | % | ||
Energy | 4.6 | % | ||
Consumer Staples | 4.0 | % | ||
Communication Services | 2.0 | % | ||
Utilities | 1.5 | % | ||
Investment Companies | 1.4 | % | ||
Short-Term Investments & Other Net Assets | 1.2 | % |
Sector Allocation is subject to change.
“Standard & Poor’s®”, “S&P®”, “S&P SmallCap 600” and “Standard & Poor’s SmallCap 600” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.
Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.
The Portfolio may invest in exchange-traded funds and derivative instruments such as equity index futures for cash management and liquidity purposes and to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
54
Table of Contents
Index 600 Stock Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communication Services (2.0%) |
| |||||||
AMC Networks, Inc. - Class A* | 11,916 | 796 | ||||||
ATN International, Inc. | 4,256 | 194 | ||||||
Cincinnati Bell, Inc.* | 19,733 | 304 | ||||||
Cogent Communications Holdings, Inc. | 16,406 | 1,262 | ||||||
Consolidated Communications Holdings, Inc.* | 28,500 | 251 | ||||||
The E.W. Scripps Co. - Class A | 22,372 | 456 | ||||||
Gannett Co., Inc.* | 52,486 | 288 | ||||||
The Marcus Corp.* | 9,336 | 198 | ||||||
Meredith Corp.* | 15,741 | 684 | ||||||
QuinStreet, Inc.* | 19,128 | 355 | ||||||
Scholastic Corp. | 11,647 | 441 | ||||||
Shenandoah Telecommunications Co. | 19,363 | 939 | ||||||
Spok Holdings, Inc. | 6,891 | 66 | ||||||
TechTarget, Inc.* | 9,165 | 710 | ||||||
Vonage Holdings Corp.* | 91,607 | 1,320 | ||||||
|
| |||||||
Total | 8,264 | |||||||
|
| |||||||
Consumer Discretionary (14.4%) |
| |||||||
Aaron’s Holdings Company, Inc. | 13,245 | 424 | ||||||
Abercrombie & Fitch Co. - Class A* | 24,018 | 1,115 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 44,121 | 457 | ||||||
American Public Education, Inc.* | 7,236 | 205 | ||||||
America’s Car-Mart, Inc.* | 2,394 | 339 | ||||||
Asbury Automotive Group, Inc.* | 7,501 | 1,285 | ||||||
Barnes & Noble Education, Inc.* | 12,345 | 89 | ||||||
Bed Bath & Beyond, Inc.* | 41,345 | 1,376 | ||||||
Big Lots, Inc. | 12,388 | 818 | ||||||
BJ’s Restaurants, Inc.* | 9,029 | 444 | ||||||
Bloomin’ Brands, Inc.* | 31,378 | 852 | ||||||
Boot Barn Holdings, Inc.* | 11,343 | 953 | ||||||
Brinker International, Inc.* | 17,741 | 1,097 | ||||||
The Buckle, Inc. | 11,204 | 557 | ||||||
Caleres, Inc. | 14,859 | 406 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer Discretionary continued |
| |||||||
The Cato Corp. - Class A | 7,521 | 127 | ||||||
Cavco Industries, Inc.* | 3,308 | 735 | ||||||
Century Communities, Inc. | 11,379 | 757 | ||||||
The Cheesecake Factory, Inc.* | 17,870 | 968 | ||||||
Chico’s FAS, Inc.* | 47,501 | 313 | ||||||
The Children’s Place, Inc.* | 5,681 | 529 | ||||||
Chuy’s Holdings, Inc.* | 7,751 | 289 | ||||||
Conn’s, Inc.* | 7,510 | 192 | ||||||
Cooper-Standard Holding, Inc.* | 6,570 | 191 | ||||||
Core-Mark Holding Co., Inc. | 17,512 | 788 | ||||||
Dave & Buster’s Entertainment, Inc.* | 18,526 | 752 | ||||||
Designer Brands, Inc.* | 22,985 | 380 | ||||||
DineEquity, Inc.* | 6,652 | 594 | ||||||
Dorman Products, Inc.* | 11,074 | 1,148 | ||||||
El Pollo Loco Holdings, Inc.* | 7,358 | 135 | ||||||
Ethan Allen Interiors, Inc. | 8,504 | 235 | ||||||
Fiesta Restaurant Group, Inc.* | 6,851 | 92 | ||||||
Fossil Group, Inc.* | 18,371 | 262 | ||||||
GameStop Corp. - Class A* | 21,525 | 4,609 | ||||||
Genesco, Inc.* | 5,509 | 351 | ||||||
Gentherm, Inc.* | 12,829 | 911 | ||||||
G-III Apparel Group, Ltd.* | 16,883 | 555 | ||||||
Group 1 Automotive, Inc. | 6,627 | 1,023 | ||||||
Guess?, Inc. | 14,855 | 392 | ||||||
Haverty Furniture Cos., Inc. | 6,564 | 281 | ||||||
Hibbett Sports, Inc.* | 6,286 | 563 | ||||||
Installed Building Products, Inc. | 8,753 | 1,071 | ||||||
iRobot Corp.* | 10,894 | 1,017 | ||||||
Kontoor Brands, Inc. | 18,326 | 1,034 | ||||||
La-Z-Boy, Inc. | 17,963 | 665 | ||||||
LCI Industries | 9,790 | 1,287 | ||||||
LGI Homes, Inc.* | 8,509 | 1,378 | ||||||
Liquidity Services, Inc.* | 10,518 | 268 | ||||||
Lumber Liquidators Holdings, Inc.* | 11,299 | 238 | ||||||
M.D.C. Holdings, Inc. | 21,534 | 1,090 | ||||||
M/I Homes, Inc.* | 11,318 | 664 | ||||||
Macy’s, Inc.* | 120,873 | 2,292 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer Discretionary continued |
| |||||||
MarineMax, Inc.* | 8,595 | 419 | ||||||
Meritage Homes Corp.* | 14,678 | 1,381 | ||||||
Monarch Casino & Resort, Inc.* | 5,023 | 332 | ||||||
Monro, Inc. | 12,988 | 825 | ||||||
Motorcar Parts of America, Inc.* | 7,388 | 166 | ||||||
Movado Group, Inc. | 6,526 | 205 | ||||||
The ODP Corporation* | 20,753 | 996 | ||||||
Oxford Industries, Inc. | 6,549 | 647 | ||||||
Perdoceo Education Corp.* | 27,310 | 335 | ||||||
PetMed Express, Inc. | 7,857 | 250 | ||||||
Red Robin Gourmet Burgers, Inc.* | 6,100 | 202 | ||||||
Regis Corp.* | 9,418 | 88 | ||||||
Rent-A-Center, Inc. | 23,140 | 1,228 | ||||||
Ruth’s Hospitality Group, Inc.* | 12,399 | 286 | ||||||
Sally Beauty Holdings, Inc.* | 43,810 | 967 | ||||||
Shake Shack, Inc. - Class A* | 14,098 | 1,509 | ||||||
Shoe Carnival, Inc. | 3,352 | 240 | ||||||
Shutterstock, Inc. | 8,646 | 849 | ||||||
Signet Jewelers, Ltd.* | 20,306 | 1,641 | ||||||
Sleep Number Corp.* | 9,487 | 1,043 | ||||||
Sonic Automotive, Inc. - Class A | 9,061 | 405 | ||||||
Stamps.com, Inc.* | 7,103 | 1,423 | ||||||
Standard Motor Products, Inc. | 7,744 | 336 | ||||||
Steven Madden, Ltd. | 29,838 | 1,306 | ||||||
Sturm, Ruger & Co., Inc. | 6,818 | 613 | ||||||
Tupperware Brands Corp.* | 19,262 | 457 | ||||||
Unifi, Inc.* | 5,806 | 141 | ||||||
Universal Electronics, Inc.* | 5,332 | 259 | ||||||
Vera Bradley, Inc.* | 8,594 | 106 | ||||||
Vista Outdoor, Inc.* | 22,392 | 1,036 | ||||||
Winnebago Industries, Inc. | 13,032 | 886 | ||||||
Wolverine World Wide, Inc. | 32,128 | 1,081 | ||||||
Zumiez, Inc.* | 8,185 | 401 | ||||||
|
| |||||||
Total | 60,652 | |||||||
|
| |||||||
Consumer Staples (4.0%) |
| |||||||
The Andersons, Inc. | 12,146 | 371 | ||||||
B&G Foods, Inc. | 25,110 | 824 | ||||||
Calavo Growers, Inc. | 6,455 | 409 |
The Accompanying Notes are an Integral Part of the Financial Statements.
55
Table of Contents
Index 600 Stock Portfolio
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer Staples continued |
| |||||||
Cal-Maine Foods, Inc. | 14,524 | 526 | ||||||
Celsius Holdings, Inc.* | 12,753 | 970 | ||||||
Central Garden & Pet Co.* | 19,235 | 947 | ||||||
The Chefs’ Warehouse, Inc.* | 12,639 | 402 | ||||||
Coca-Cola Consolidated, Inc. | 1,799 | 724 | ||||||
e.l.f. Beauty, Inc.* | 15,017 | 408 | ||||||
Edgewell Personal Care Co. | 21,080 | 925 | ||||||
Fresh Del Monte Produce, Inc. | 11,809 | 388 | ||||||
Inter Parfums, Inc. | 6,873 | 495 | ||||||
J & J Snack Foods Corp. | 5,831 | 1,017 | ||||||
John B. Sanfilippo & Son, Inc. | 3,447 | 305 | ||||||
Medifast, Inc. | 4,561 | 1,291 | ||||||
MGP Ingredients, Inc. | 5,105 | 345 | ||||||
National Beverage Corp. | 9,044 | 427 | ||||||
PriceSmart, Inc. | 9,060 | 825 | ||||||
Seneca Foods Corp. - Class A* | 2,605 | 133 | ||||||
The Simply Good Foods Co.* | 32,681 | 1,193 | ||||||
SpartanNash Co. | 14,056 | 271 | ||||||
United Natural Foods, Inc.* | 21,833 | 807 | ||||||
Universal Corp. | 9,513 | 542 | ||||||
USANA Health Sciences, Inc.* | 4,474 | 458 | ||||||
Vector Group, Ltd. | 49,628 | 702 | ||||||
WD-40 Co. | 5,316 | 1,363 | ||||||
|
| |||||||
Total | 17,068 | |||||||
|
| |||||||
Energy (4.6%) | ||||||||
Archrock, Inc. | 50,026 | 446 | ||||||
Bonanza Creek Energy, Inc. | 7,401 | 348 | ||||||
Bristow Group, Inc.* | 8,985 | 230 | ||||||
Callon Petroleum Co.* | 17,937 | 1,035 | ||||||
CONSOL Energy, Inc.* | 11,740 | 217 | ||||||
Core Laboratories NV | 17,935 | 698 | ||||||
DMC Global, Inc.* | 7,241 | 407 | ||||||
Dorian LPG, Ltd.* | 10,498 | 148 | ||||||
Dril-Quip, Inc.* | 13,704 | 464 | ||||||
Green Plains, Inc.* | 16,439 | 553 | ||||||
Helix Energy Solutions Group, Inc.* | 54,841 | 313 | ||||||
Helmerich & Payne, Inc. | 41,776 | 1,363 | ||||||
Laredo Petroleum, Inc.* | 3,747 | 348 | ||||||
Matador Resources Co. | 42,562 | 1,533 | ||||||
Matrix Service Co.* | 10,240 | 107 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
Nabors Industries, Ltd.* | 2,526 | 289 | ||||||
Oceaneering International, Inc.* | 38,689 | 602 | ||||||
Oil States International, Inc.* | 23,676 | 186 | ||||||
Par Pacific Holdings, Inc.* | 17,252 | 290 | ||||||
Patterson-UTI Energy, Inc. | 72,733 | 723 | ||||||
PBF Energy, Inc.* | 37,277 | 570 | ||||||
PDC Energy, Inc. | 38,499 | 1,763 | ||||||
Penn Virginia Corp.* | 5,931 | 140 | ||||||
ProPetro Holding Corp.* | 31,671 | 290 | ||||||
Range Resources Corp.* | 100,649 | 1,687 | ||||||
Renewable Energy Group, Inc.* | 18,480 | 1,152 | ||||||
REX American Resources Corp.* | 2,041 | 184 | ||||||
RPC, Inc.* | 22,561 | 112 | ||||||
SM Energy Co. | 42,473 | 1,046 | ||||||
Southwestern Energy Co.* | 251,980 | 1,429 | ||||||
Talos Energy, Inc.* | 12,329 | 193 | ||||||
US Silica Holdings, Inc.* | 28,826 | 333 | ||||||
|
| |||||||
Total | 19,199 | |||||||
|
| |||||||
Financials (17.0%) | ||||||||
Allegiance Bancshares, Inc. | 7,184 | 276 | ||||||
Ambac Financial Group, Inc.* | 17,892 | 280 | ||||||
American Equity Investment Life Holding Co. | 33,304 | 1,076 | ||||||
Ameris Bancorp | 27,040 | 1,369 | ||||||
AMERISAFE, Inc. | 7,493 | 447 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 49,892 | 796 | ||||||
ARMOUR Residential REIT, Inc. | 27,626 | 315 | ||||||
Assured Guaranty, Ltd. | 29,241 | 1,388 | ||||||
Axos Financial, Inc.* | 19,979 | 927 | ||||||
B. Riley Financial, Inc. | 6,858 | 518 | ||||||
Banc of California, Inc. | 17,309 | 304 | ||||||
BancFirst Corp. | 7,253 | 453 | ||||||
The Bancorp, Inc.* | 19,759 | 455 | ||||||
BankUnited, Inc. | 36,179 | 1,544 | ||||||
Banner Corp. | 13,496 | 732 | ||||||
Berkshire Hills Bancorp, Inc. | 19,877 | 545 | ||||||
Blucora, Inc.* | 18,785 | 325 | ||||||
Boston Private Financial Holdings, Inc. | 31,974 | 472 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Brightsphere Investment Group, Inc. | 23,080 | 541 | ||||||
Brookline Bancorp, Inc. | 30,319 | 453 | ||||||
Cadence Bancorp | 48,373 | 1,010 | ||||||
Capitol Federal Financial, Inc. | 50,045 | 589 | ||||||
Capstead Mortgage Corp. | 37,522 | 230 | ||||||
Central Pacific Financial Corp. | 10,976 | 286 | ||||||
City Holding Co. | 6,079 | 457 | ||||||
Columbia Banking System, Inc. | 27,826 | 1,073 | ||||||
Community Bank System, Inc. | 20,892 | 1,580 | ||||||
Customers Bancorp, Inc.* | 11,502 | 448 | ||||||
CVB Financial Corp. | 49,538 | 1,020 | ||||||
Dime Community Bancshares, Inc. | 13,704 | 461 | ||||||
Donnelley Financial Solutions, Inc.* | 11,537 | 381 | ||||||
Eagle Bancorp, Inc. | 12,374 | 694 | ||||||
eHealth, Inc.* | 10,135 | 592 | ||||||
Ellington Financial, Inc. | 16,974 | 325 | ||||||
Employers Holdings, Inc. | 11,063 | 473 | ||||||
Encore Capital Group, Inc.* | 12,023 | 570 | ||||||
Enova International, Inc.* | 14,257 | 488 | ||||||
EZCORP, Inc. - Class A* | 20,404 | 123 | ||||||
FB Financial Corp. | 13,044 | 487 | ||||||
First Bancorp | 94,678 | 1,449 | ||||||
First Commonwealth Financial Corp. | 37,306 | 525 | ||||||
First Financial Bancorp | 37,731 | 892 | ||||||
First Hawaiian, Inc. | 50,560 | 1,433 | ||||||
First Midwest Bancorp, Inc. | 44,357 | 880 | ||||||
Flagstar Bancorp, Inc. | 18,413 | 778 | ||||||
Genworth Financial, Inc. - Class A* | 196,522 | 766 | ||||||
Granite Point Mortgage Trust, Inc. | 21,360 | 315 | ||||||
Great Western Bancorp, Inc. | 21,375 | 701 | ||||||
Green Dot Corp. - Class A* | 21,104 | 989 | ||||||
Greenhill & Co., Inc. | 5,619 | 87 | ||||||
Hanmi Financial Corp. | 11,908 | 227 | ||||||
HCI Group, Inc. | 2,531 | 252 | ||||||
Heritage Financial Corp. of Washington | 13,984 | 350 | ||||||
Hilltop Holdings, Inc. | 25,238 | 919 | ||||||
HomeStreet, Inc. | 8,285 | 338 | ||||||
Hope Bancorp, Inc. | 47,929 | 680 |
The Accompanying Notes are an Integral Part of the Financial Statements.
56
Table of Contents
Index 600 Stock Portfolio
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Horace Mann Educators Corp. | 16,086 | 602 | ||||||
Independent Bank Corp. | 12,808 | 967 | ||||||
Independent Bank Group, Inc. | 14,238 | 1,053 | ||||||
Invesco Mortgage Capital, Inc. | 110,118 | 429 | ||||||
Investors Bancorp, Inc. | 87,391 | 1,246 | ||||||
James River Group Holdings, Ltd. | 14,450 | 542 | ||||||
KKR Real Estate Finance Trust, Inc. | 10,563 | 228 | ||||||
Meta Financial Group, Inc. | 12,380 | 627 | ||||||
Mr. Cooper Group, Inc.* | 26,388 | 872 | ||||||
National Bank Holding Corp. - Class A | 11,935 | 450 | ||||||
NBT Bancorp, Inc. | 16,839 | 606 | ||||||
New York Mortgage Trust, Inc. | 147,062 | 657 | ||||||
NMI Holdings, Inc. - Class A* | 33,223 | 747 | ||||||
Northfield Bancorp, Inc. | 17,881 | 293 | ||||||
Northwest Bancshares, Inc. | 49,327 | 673 | ||||||
OFG Bancorp | 20,012 | 443 | ||||||
Old National Bancorp | 64,275 | 1,132 | ||||||
Pacific Premier Bancorp, Inc. | 36,702 | 1,552 | ||||||
Palomar Holdings, Inc.* | 8,433 | 636 | ||||||
Park National Corp. | 5,515 | 648 | ||||||
PennyMac Mortgage Investment Trust | 37,978 | 800 | ||||||
Piper Jaffray Cos., Inc. | 5,592 | 724 | ||||||
PRA Group, Inc.* | 17,761 | 683 | ||||||
Preferred Bank | 5,258 | 333 | ||||||
ProAssurance Corp. | 20,922 | 476 | ||||||
Provident Financial Services, Inc. | 28,124 | 644 | ||||||
Ready Capital Corp. | 22,358 | 355 | ||||||
Redwood Trust, Inc. | 43,817 | 529 | ||||||
Renasant Corp. | 21,847 | 874 | ||||||
S&T Bancorp, Inc. | 15,260 | 478 | ||||||
Safety Insurance Group, Inc. | 5,510 | 431 | ||||||
Seacoast Banking Corp. of Florida | 21,440 | 732 | ||||||
Selectquote, Inc.* | 17,111 | 330 | ||||||
ServisFirst Bancshares, Inc. | 18,268 | 1,242 | ||||||
Simmons First National Corp. - Class A | 42,011 | 1,233 | ||||||
SiriusPoint, Ltd.* | 29,397 | 296 | ||||||
Southside Bancshares, Inc. | 12,000 | 459 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Stewart Information Services Corp. | 10,402 | 590 | ||||||
StoneX Group, Inc.* | 6,455 | 392 | ||||||
Tompkins Financial Corp. | 4,679 | 363 | ||||||
Triumph Bancorp, Inc.* | 8,782 | 652 | ||||||
Trupanion, Inc.* | 13,045 | 1,501 | ||||||
TrustCo Bank Corp. | 7,472 | 257 | ||||||
Two Harbors Investment Corp. | 105,925 | 801 | ||||||
United Community Banks, Inc. | 33,663 | 1,078 | ||||||
United Fire Group, Inc. | 8,379 | 232 | ||||||
United Insurance Holdings Corp. | 7,898 | 45 | ||||||
Universal Insurance Holdings, Inc. | 10,983 | 152 | ||||||
Veritex Holdings, Inc. | 19,176 | 679 | ||||||
Virtus Investment Partners, Inc. | 2,788 | 774 | ||||||
Walker & Dunlop, Inc. | 11,467 | 1,197 | ||||||
Westamerica Bancorporation | 10,416 | 604 | ||||||
WisdomTree Investments, Inc. | 43,475 | 270 | ||||||
World Acceptance Corp.* | 1,523 | 244 | ||||||
WSFS Financial Corp. | 18,432 | 859 | ||||||
|
| |||||||
Total | 71,796 | |||||||
|
| |||||||
Health Care (11.6%) | ||||||||
Addus HomeCare Corp.* | 5,856 | 511 | ||||||
Allscripts Healthcare Solutions, Inc.* | 54,742 | 1,013 | ||||||
AMN Healthcare Services, Inc.* | 18,325 | 1,777 | ||||||
Amphastar Pharmaceuticals, Inc.* | 14,231 | 287 | ||||||
AngioDynamics, Inc.* | 14,794 | 401 | ||||||
ANI Pharmaceuticals, Inc.* | 3,845 | 135 | ||||||
Anika Therapeutics, Inc.* | 5,592 | 242 | ||||||
Apollo Medical Holdings, Inc.* | 5,116 | 321 | ||||||
Avanos Medical, Inc.* | 18,644 | 678 | ||||||
Cara Therapeutics, Inc.* | 16,690 | 238 | ||||||
Cardiovascular Systems, Inc.* | 15,565 | 664 | ||||||
Coherus Biosciences, Inc.* | 25,862 | 358 | ||||||
Collegium Pharmaceutical, Inc.* | 13,660 | 323 | ||||||
Community Health Systems, Inc.* | 48,170 | 744 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Computer Programs and Systems, Inc. | 4,965 | 165 | ||||||
CONMED Corp. | 11,283 | 1,551 | ||||||
Corcept Therapeutics, Inc.* | 40,703 | 895 | ||||||
CorVel Corp.* | 3,531 | 474 | ||||||
Covetrus, Inc.* | 38,665 | 1,044 | ||||||
Cross Country Healthcare, Inc.* | 13,585 | 224 | ||||||
CryoLife, Inc.* | 15,169 | 431 | ||||||
Cutera, Inc.* | 6,887 | 338 | ||||||
Cytokinetics, Inc.* | 27,820 | 551 | ||||||
Eagle Pharmaceuticals, Inc.* | 4,525 | 194 | ||||||
Enanta Pharmaceuticals, Inc.* | 6,968 | 307 | ||||||
Endo International PLC* | 90,456 | 423 | ||||||
Ensign Group, Inc. | 20,030 | 1,736 | ||||||
Fulgent Genetics, Inc.* | 6,861 | 633 | ||||||
Glaukos Corp.* | 17,946 | 1,522 | ||||||
Hanger, Inc.* | 14,938 | 378 | ||||||
HealthStream, Inc.* | 9,774 | 273 | ||||||
Heska Corp.* | 3,841 | 882 | ||||||
Innoviva, Inc.* | 24,360 | 327 | ||||||
Inogen, Inc.* | 7,209 | 470 | ||||||
Integer Holdings Corp.* | 12,789 | 1,205 | ||||||
Invacare Corp.* | 13,552 | 109 | ||||||
The Joint Corp.* | 5,118 | 429 | ||||||
Lantheus Holdings, Inc.* | 26,166 | 723 | ||||||
LeMaitre Vascular, Inc. | 6,631 | 405 | ||||||
Luminex Corp. | 17,063 | 628 | ||||||
Magellan Health, Inc.* | 9,026 | 850 | ||||||
MEDNAX, Inc.* | 33,424 | 1,008 | ||||||
Meridian Bioscience, Inc.* | 16,821 | 373 | ||||||
Merit Medical Systems, Inc.* | 19,113 | 1,236 | ||||||
Mesa Laboratories, Inc. | 1,892 | 513 | ||||||
ModivCare, Inc.* | 4,729 | 804 | ||||||
Myriad Genetics, Inc.* | 29,880 | 914 | ||||||
Natus Medical, Inc.* | 13,191 | 343 | ||||||
NeoGenomics, Inc.* | 45,724 | 2,065 | ||||||
NextGen Healthcare, Inc.* | 21,553 | 358 | ||||||
Omnicell, Inc.* | 16,748 | 2,536 | ||||||
OraSure Technologies, Inc.* | 27,905 | 283 | ||||||
Organogenesis Holdings, Inc.* | 19,401 | 322 | ||||||
Orthofix Medical, Inc.* | 7,595 | 305 | ||||||
Owens & Minor, Inc. | 29,141 | 1,233 | ||||||
Pacira Biosciences, Inc.* | 17,084 | 1,037 | ||||||
The Pennant Group, Inc.* | 9,878 | 404 |
The Accompanying Notes are an Integral Part of the Financial Statements.
57
Table of Contents
Index 600 Stock Portfolio
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Phibro Animal Health Corp. - Class A | 7,881 | 228 | ||||||
Prestige Brands Holdings, Inc.* | 19,347 | 1,008 | ||||||
RadNet, Inc.* | 16,959 | 571 | ||||||
REGENXBIO, Inc.* | 13,514 | 525 | ||||||
Select Medical Holdings Corp. | 41,828 | 1,768 | ||||||
Simulations Plus, Inc. Spectrum | 5,932 | 326 | ||||||
Pharmaceuticals, Inc.* | 62,587 | 235 | ||||||
Supernus Pharmaceuticals, Inc.* | 20,563 | 633 | ||||||
Surmodics, Inc.* | 5,374 | 292 | ||||||
Tabula Rasa HealthCare, Inc.* | 8,747 | 437 | ||||||
Tactile Systems Technology, Inc.* | 7,620 | 396 | ||||||
Tivity Health, Inc.* | 14,699 | 387 | ||||||
US Physical Therapy, Inc. | 5,006 | 580 | ||||||
Vanda Pharmaceuticals, Inc.* | 21,548 | 463 | ||||||
Varex Imaging Corp.* | 15,264 | 409 | ||||||
Vericel Corp.* | 17,977 | 944 | ||||||
Xencor, Inc.* | 22,570 | 778 | ||||||
Zynex, Inc.* | 7,567 | 117 | ||||||
|
| |||||||
Total | 48,690 | |||||||
|
| |||||||
Industrials (16.2%) | ||||||||
AAON, Inc. | 15,858 | 993 | ||||||
AAR Corp.* | 12,872 | 499 | ||||||
ABM Industries, Inc. | 26,017 | 1,154 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 28,876 | 1,394 | ||||||
Aerovironment, Inc.* | 8,707 | 872 | ||||||
Alamo Group, Inc. | 3,844 | 587 | ||||||
Albany International Corp. - Class A | 11,904 | 1,063 | ||||||
Allegiant Travel Co.* | 5,650 | 1,096 | ||||||
American Woodmark Corp.* | 6,596 | 539 | ||||||
Apogee Enterprises, Inc. | 9,994 | 407 | ||||||
Applied Industrial Technologies, Inc. | 15,073 | 1,373 | ||||||
ArcBest Corp. | 9,848 | 573 | ||||||
Arcosa, Inc. | 18,681 | 1,097 | ||||||
Astec Industries, Inc. | 8,809 | 554 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 10,687 | 728 | ||||||
AZZ, Inc. | 9,701 | 502 | ||||||
Barnes Group, Inc. | 18,061 | 926 | ||||||
Brady Corp. - Class A | 18,811 | 1,054 | ||||||
Chart Industries, Inc.* | 13,800 | 2,019 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrials continued | ||||||||
CIRCOR International, Inc.* | 7,849 | 256 | ||||||
Comfort Systems USA, Inc. | 14,073 | 1,109 | ||||||
Deluxe Corp. | 16,370 | 782 | ||||||
DXP Enterprises, Inc.* | 6,849 | 228 | ||||||
Echo Global Logistics, Inc.* | 10,329 | 318 | ||||||
Encore Wire Corp. | 8,002 | 606 | ||||||
Enerpac Tool Group Corp. | 23,313 | 621 | ||||||
EnPro Industries, Inc. | 7,985 | 776 | ||||||
ESCO Technologies, Inc. | 10,102 | 948 | ||||||
Exponent, Inc. | 20,209 | 1,803 | ||||||
Federal Signal Corp. | 23,470 | 944 | ||||||
Forrester Research, Inc.* | 4,304 | 197 | ||||||
Forward Air Corp. | 10,594 | 951 | ||||||
Franklin Electric Co., Inc. | 14,949 | 1,205 | ||||||
Gibraltar Industries, Inc.* | 12,655 | 966 | ||||||
GMS, Inc.* | 16,618 | 800 | ||||||
Granite Construction, Inc. | 17,762 | 738 | ||||||
The Greenbrier Cos., Inc. | 12,731 | 555 | ||||||
Griffon Corp. | 17,605 | 451 | ||||||
Harsco Corp.* | 30,736 | 628 | ||||||
Hawaiian Holdings, Inc.* | 19,811 | 483 | ||||||
Heartland Express, Inc. | 18,870 | 323 | ||||||
Heidrick & Struggles International, Inc. | 7,557 | 337 | ||||||
Hillenbrand, Inc. | 29,180 | 1,286 | ||||||
HNI Corp. | 16,884 | 742 | ||||||
Hub Group, Inc. - Class A* | 13,099 | 864 | ||||||
Insteel Industries, Inc. | 7,537 | 242 | ||||||
Interface, Inc. | 22,821 | 349 | ||||||
John Bean Technologies Corp. | 12,311 | 1,756 | ||||||
Kaman Corp. | 10,780 | 543 | ||||||
Kelly Services, Inc. - Class A* | 12,984 | 311 | ||||||
Korn Ferry | 20,941 | 1,519 | ||||||
Lindsay Corp. | 4,230 | 699 | ||||||
Lydall, Inc.* | 6,635 | 402 | ||||||
Marten Transport, Ltd. | 22,782 | 376 | ||||||
Matson, Inc. | 16,845 | 1,078 | ||||||
Matthews International Corp. - Class A | 12,278 | 442 | ||||||
Meritor, Inc.* | 28,150 | 659 | ||||||
Moog, Inc. - Class A | 11,347 | 954 | ||||||
Mueller Industries, Inc. | 22,160 | 960 | ||||||
MYR Group, Inc.* | 6,525 | 593 | ||||||
National Presto Industries, Inc. | 2,019 | 205 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrials continued | ||||||||
NOW, Inc.* | 42,822 | 406 | ||||||
Park Aerospace Corp. | 7,229 | 108 | ||||||
Patrick Industries, Inc. | 8,668 | 633 | ||||||
PGT Innovations, Inc.* | 23,137 | 537 | ||||||
Pitney Bowes, Inc. | 68,046 | 597 | ||||||
Powell Industries, Inc. | 3,434 | 106 | ||||||
Proto Labs, Inc.* | 10,738 | 986 | ||||||
Quanex Building Products Corp. | 13,035 | 324 | ||||||
Raven Industries, Inc. | 13,926 | 806 | ||||||
Resideo Technologies, Inc.* | 55,762 | 1,673 | ||||||
Resources Connection, Inc. | 11,933 | 171 | ||||||
Saia, Inc.* | 10,213 | 2,140 | ||||||
SkyWest, Inc.* | 19,528 | 841 | ||||||
SPX Corp.* | 17,559 | 1,072 | ||||||
SPX Flow, Inc. | 16,371 | 1,068 | ||||||
Standex International Corp. | 4,753 | 451 | ||||||
Team, Inc.* | 11,969 | 80 | ||||||
Tennant Co. | 7,209 | 576 | ||||||
Titan International, Inc.* | 19,607 | 166 | ||||||
Triumph Group, Inc.* | 23,650 | 491 | ||||||
TrueBlue, Inc.* | 13,748 | 386 | ||||||
UFP Industries, Inc. | 23,986 | 1,783 | ||||||
UniFirst Corp. | 5,907 | 1,386 | ||||||
US Ecology, Inc.* | 12,216 | 458 | ||||||
Veritiv Corp.* | 4,737 | 291 | ||||||
Viad Corp.* | 7,940 | 396 | ||||||
Vicor Corp.* | 8,249 | 872 | ||||||
Wabash National Corp. | 20,125 | 322 | ||||||
Watts Water Technologies, Inc. - Class A | 10,680 | 1,558 | ||||||
|
| |||||||
Total | 68,119 | |||||||
|
| |||||||
Information Technology (13.3%) |
| |||||||
3D Systems Corp.* | 48,486 | 1,938 | ||||||
8x8, Inc.* | 42,614 | 1,183 | ||||||
ADTRAN, Inc. | 18,762 | 387 | ||||||
Advanced Energy Industries, Inc. | 14,895 | 1,679 | ||||||
Agilysys, Inc.* | 7,965 | 453 | ||||||
Alarm.com Holdings, Inc.* | 17,557 | 1,487 | ||||||
Applied Optoelectronics, Inc.* | 9,566 | 81 | ||||||
Arlo Technologies, Inc.* | 31,550 | 214 | ||||||
Axcelis Technologies, Inc.* | 13,031 | 527 | ||||||
Badger Meter, Inc. | 11,315 | 1,110 | ||||||
Bel Fuse, Inc. - Class B | 3,912 | 56 | ||||||
Benchmark Electronics, Inc. | 13,895 | 395 |
The Accompanying Notes are an Integral Part of the Financial Statements.
58
Table of Contents
Index 600 Stock Portfolio
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
BM Technologies, Inc.*,Æ,d | 1,673 | 19 | ||||||
Bottomline Technologies, Inc.* | 15,244 | 565 | ||||||
CalAmp Corp.* | 13,642 | 174 | ||||||
CEVA, Inc.* | 8,844 | 418 | ||||||
Cohu, Inc.* | 18,784 | 691 | ||||||
Comtech Telecommunications Corp. | 10,102 | 244 | ||||||
CSG Systems International, Inc. | 12,730 | 601 | ||||||
CTS Corp. | 12,538 | 466 | ||||||
Daktronics, Inc.* | 14,269 | 94 | ||||||
Diebold, Inc.* | 30,334 | 390 | ||||||
Digi International, Inc.* | 13,185 | 265 | ||||||
Diodes, Inc.* | 16,437 | 1,311 | ||||||
DSP Group, Inc.* | 8,638 | 128 | ||||||
Ebix, Inc. | 9,115 | 309 | ||||||
ePlus, Inc.* | 5,230 | 453 | ||||||
EVERTEC, Inc. | 23,218 | 1,013 | ||||||
ExlService Holdings, Inc.* | 12,971 | 1,378 | ||||||
Extreme Networks, Inc.* | 48,877 | 545 | ||||||
Fabrinet* | 14,299 | 1,371 | ||||||
FARO Technologies, Inc.* | 7,035 | 547 | ||||||
FormFactor, Inc.* | 30,106 | 1,098 | ||||||
Harmonic, Inc.* | 39,168 | 334 | ||||||
Ichor Holdings, Ltd.* | 10,890 | 586 | ||||||
Insight Enterprises, Inc.* | 13,698 | 1,370 | ||||||
InterDigital, Inc. | 11,930 | 871 | ||||||
Itron, Inc.* | 17,499 | 1,750 | ||||||
Knowles Corp.* | 35,965 | 710 | ||||||
Kulicke and Soffa Industries, Inc. | 24,063 | 1,473 | ||||||
LivePerson, Inc.* | 24,861 | 1,572 | ||||||
ManTech International Corp. - Class A | 10,638 | 921 | ||||||
MaxLinear, Inc. - Class A* | 26,597 | 1,130 | ||||||
Methode Electronics, Inc. - Class A | 14,907 | 734 | ||||||
MicroStrategy, Inc. - Class A* | 3,018 | 2,005 | ||||||
NETGEAR, Inc.* | 11,813 | 453 | ||||||
OneSpan, Inc.* | 13,102 | 335 | ||||||
Onto Innovation, Inc.* | 19,018 | 1,389 | ||||||
OSI Systems, Inc.* | 6,482 | 659 | ||||||
PC Connection, Inc. | 4,264 | 197 | ||||||
PDF Solutions, Inc.* | 11,444 | 208 | ||||||
Perficient, Inc.* | 12,809 | 1,030 | ||||||
Photronics, Inc.* | 24,572 | 325 | ||||||
Plantronics, Inc.* | 14,767 | 616 | ||||||
Plexus Corp.* | 11,091 | 1,014 | ||||||
Power Integrations, Inc. | 23,521 | 1,930 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Information Technology continued |
| |||||||
Progress Software Corp. | 17,051 | 789 | ||||||
Rambus, Inc.* | 43,616 | 1,034 | ||||||
Rogers Corp.* | 7,256 | 1,457 | ||||||
Sanmina Corp.* | 25,251 | 984 | ||||||
ScanSource, Inc.* | 9,874 | 278 | ||||||
SMART Global Holdings, Inc.* | 5,271 | 251 | ||||||
SPS Commerce, Inc.* | 13,905 | 1,388 | ||||||
Sykes Enterprises, Inc.* | 15,405 | 827 | ||||||
TTEC Holdings, Inc. | 7,076 | 729 | ||||||
TTM Technologies, Inc.* | 38,673 | 553 | ||||||
Ultra Clean Holdings, Inc.* | 16,986 | 913 | ||||||
Unisys Corp.* | 25,978 | 658 | ||||||
Veeco Instruments, Inc.* | 19,452 | 468 | ||||||
Viavi Solutions, Inc.* | 88,605 | 1,565 | ||||||
Xperi Holding Corp. | 40,668 | 904 | ||||||
|
| |||||||
Total | 56,000 | |||||||
|
| |||||||
Materials (5.2%) | ||||||||
AdvanSix, Inc.* | 10,879 | 325 | ||||||
Allegheny Technologies, Inc.* | 49,327 | 1,028 | ||||||
American Vanguard Corp. | 10,484 | 183 | ||||||
Arconic Corp.* | 37,974 | 1,353 | ||||||
Balchem Corp. | 12,576 | 1,651 | ||||||
Boise Cascade Co. | 15,273 | 891 | ||||||
Carpenter Technology Corp. | 18,625 | 749 | ||||||
Century Aluminum Co.* | 19,569 | 252 | ||||||
Clearwater Paper Corp.* | 6,470 | 187 | ||||||
Domtar Corp.* | 19,482 | 1,071 | ||||||
Ferro Corp.* | 32,024 | 691 | ||||||
FutureFuel Corp. | 9,934 | 95 | ||||||
GCP Applied Technologies, Inc.* | 18,783 | 437 | ||||||
Glatfelter Corp. | 17,238 | 241 | ||||||
H.B. Fuller Co. | 20,262 | 1,289 | ||||||
Hawkins, Inc. | 7,347 | 241 | ||||||
Haynes International, Inc. | 4,914 | 174 | ||||||
Innospec, Inc. | 9,542 | 865 | ||||||
Kaiser Aluminum Corp. | 6,146 | 759 | ||||||
Koppers Holdings, Inc.* | 8,228 | 266 | ||||||
Kraton Corp.* | 12,466 | 402 | ||||||
Livent Corp.* | 61,809 | 1,197 | ||||||
Materion Corp. | 7,919 | 597 | ||||||
Mercer International, Inc. | 15,364 | 196 | ||||||
Myers Industries, Inc. | 14,001 | 294 | ||||||
Neenah Paper, Inc. | 6,532 | 328 |
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Materials continued | ||||||||
O-I Glass, Inc.* | 61,237 | 1,000 | ||||||
Olympic Steel, Inc. | 3,542 | 104 | ||||||
Quaker Chemical Corp. | 5,128 | 1,216 | ||||||
Rayonier Advanced Materials, Inc.* | 24,667 | 165 | ||||||
Schweitzer-Mauduit International, Inc. | 12,188 | 492 | ||||||
Stepan Co. | 8,295 | 998 | ||||||
SunCoke Energy, Inc. | 32,192 | 230 | ||||||
TimkenSteel Corp.* | 14,909 | 211 | ||||||
Tredegar Corp. | 10,048 | 138 | ||||||
Trinseo SA | 15,025 | 899 | ||||||
US Concrete, Inc.* | 6,253 | 461 | ||||||
Warrior Met Coal, Inc. | 19,922 | 343 | ||||||
|
| |||||||
Total | 22,019 | |||||||
|
| |||||||
Real Estate (7.6%) | ||||||||
Acadia Realty Trust | 33,467 | 735 | ||||||
Agree Realty Corp. | 26,397 | 1,861 | ||||||
Alexander & Baldwin, Inc. | 28,063 | 514 | ||||||
American Assets Trust, Inc. | 19,459 | 726 | ||||||
Armada Hoffler Properties, Inc. | 23,394 | 311 | ||||||
Brandywine Realty Trust | 66,258 | 908 | ||||||
CareTrust REIT, Inc. | 37,541 | 872 | ||||||
Centerspace REIT | 5,029 | 397 | ||||||
Chatham Lodging Trust* | 18,845 | 243 | ||||||
Community Healthcare Trust, Inc. | 8,902 | 422 | ||||||
CoreCivic, Inc.* | 46,621 | �� | 488 | |||||
DiamondRock Hospitality Co.* | 81,519 | 791 | ||||||
Diversified Healthcare Trust | 92,398 | 386 | ||||||
Easterly Government Properties, Inc. | 32,517 | 685 | ||||||
Essential Properties Realty Trust, Inc. | 45,564 | 1,232 | ||||||
Four Corners Property Trust, Inc. | 29,537 | 815 | ||||||
Franklin Street | ||||||||
Properties Corp. | 37,446 | 197 | ||||||
The GEO Group, Inc. | 47,153 | 336 | ||||||
Getty Realty Corp. | 14,458 | 450 | ||||||
Global Net Lease, Inc. | 37,001 | 685 | ||||||
Hersha Hospitality Trust* | 14,257 | 153 | ||||||
Independence Realty Trust, Inc. | 39,642 | 723 | ||||||
Industrial Logistics Properties Trust | 25,327 | 662 | ||||||
Innovative Industrial Properties, Inc. | 9,279 | 1,772 | ||||||
iStar, Inc. | 28,409 | 589 | ||||||
Kite Realty Group Trust | 32,765 | 721 |
The Accompanying Notes are an Integral Part of the Financial Statements.
59
Table of Contents
Index 600 Stock Portfolio
Common Stocks (97.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Real Estate continued | ||||||||
Lexington Realty Trust | 107,659 | 1,287 | ||||||
LTC Properties, Inc. | 15,291 | 587 | ||||||
Mack-Cali Realty Corp. | 33,420 | 573 | ||||||
Marcus & Millichap, Inc.* | 9,359 | 364 | ||||||
NexPoint Residential Trust, Inc. | 8,782 | 483 | ||||||
Office Properties Income Trust | 18,732 | 549 | ||||||
RE/MAX Holdings, Inc. - Class A | 7,326 | 244 | ||||||
Realogy Holdings Corp.* | 45,152 | 823 | ||||||
Retail Opportunity Investments Corp. | 129,324 | 1,767 | ||||||
RPT Realty | 31,471 | 408 | ||||||
Safehold, Inc. | 5,575 | 438 | ||||||
Saul Centers, Inc. | 5,014 | 228 | ||||||
Service Properties Trust | 63,910 | 805 | ||||||
SITE Centers Corp. | 65,465 | 986 | ||||||
The St. Joe Co. | 12,103 | 540 | ||||||
Summit Hotel Properties, Inc.* | 41,160 | 384 | ||||||
Tanger Factory Outlet Centers, Inc. | 39,092 | 737 | ||||||
Uniti Group, Inc. | 90,531 | 959 | ||||||
Universal Health Realty Income Trust | 4,965 | 306 | ||||||
Urstadt Biddle | ||||||||
Properties, Inc. - Class A | 11,673 | 226 | ||||||
Washington Real Estate Investment Trust | 32,787 | 754 | ||||||
Whitestone REIT | 15,423 | 127 | ||||||
Xenia Hotels & Resorts, Inc.* | 44,128 | 826 | ||||||
|
| |||||||
Total | 32,075 | |||||||
|
| |||||||
Utilities (1.5%) | ||||||||
American States Water Co. | 14,314 | 1,139 | ||||||
Avista Corp. | 26,884 | 1,147 | ||||||
California Water Service Group | 19,716 | 1,095 | ||||||
Chesapeake Utilities Corp. | 6,806 | 819 | ||||||
Northwest Natural Holding Co. | 11,892 | 625 | ||||||
South Jersey Industries, Inc. | 43,585 | 1,130 | ||||||
Unitil Corp. | 5,835 | 309 | ||||||
|
| |||||||
Total | 6,264 | |||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost: $279,762) | 410,146 | |||||||
|
|
Investment Companies (1.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Investment Companies (1.4%) |
| |||||||
iShares Core S&P Small-Cap ETF | 51,247 | 5,790 | ||||||
|
| |||||||
Total | 5,790 | |||||||
|
| |||||||
Total Investment Companies |
| |||||||
(Cost: $5,119) |
| 5,790 | ||||||
|
| |||||||
Warrants (0.0%) | ||||||||
Energy (0.0%) | ||||||||
Nabors Industries, Ltd.* | 1,013 | 10 | ||||||
|
| |||||||
Total | 10 | |||||||
|
| |||||||
Total Warrants (Cost: $–) |
| 10 | ||||||
|
| |||||||
Short-Term Investments (1.2%) | ||||||||
Money Market Funds (1.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 4,597,982 | 4,598 | ||||||
|
| |||||||
Total | 4,598 | |||||||
|
| |||||||
US Government & Agencies (0.1%) |
| |||||||
US Treasury 0.010%, 7/15/21 b | 420,000 | 420 | ||||||
|
| |||||||
Total | 420 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $5,018) | 5,018 | |||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $289,899)@ |
| 420,964 | ||||||
|
| |||||||
Other Assets, Less |
| |||||||
Liabilities (0.0%) |
| 68 | ||||||
|
| |||||||
Net Assets (100.0%) |
| 421,032 | ||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
60
Table of Contents
Index 600 Stock Portfolio
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||
E-mini Russell 2000 Index Futures | Long | USD | 2 | 45 | 9/21 | $5,193 | $ | (20 | ) | $ | 7 | |||||||||
$ | (20 | ) | $ | 7 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | – | $ | 7 | $ | 7 | $ | – | $ | – | $ | – | $ | – |
Restricted Securities
Description | Acquisition Date | Cost (000’s) | Value (000’s) | Value as a Percentage of Net Assets | ||||||||||
BM Technologies, Inc. | 1/8/21 | $ | 20 | $ | 19 | – | % |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
Æ | Security valued using significant unobservable inputs. |
d | Restricted security – see accompanying table for additional details |
# | 7-Day yield as of 6/30/2021. |
b | Cash or securities with an aggregate value of $420 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $289,899 and the net unrealized appreciation of investments based on that cost was $131,045 which is comprised of $143,638 aggregate gross unrealized appreciation and $12,593 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
61
Table of Contents
Index 600 Stock Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | ||||||||||||||
Information Technology | $ | 55,981 | $ | - | $ | 19 | ||||||||
All Others | 354,146 | - | - | |||||||||||
Investment Companies | 5,790 | - | - | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 4,598 | - | - | |||||||||||
All Others | - | 420 | - | |||||||||||
Warrants | 10 | - | ||||||||||||
Total Assets: | $ | 420,525 | $ | 420 | $ | 19 | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (20 | ) | - | - | ||||||||||
Total Liabilities: | $ | (20 | ) | $ | - | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.
The Accompanying Notes are an Integral Part of the Financial Statements.
62
Table of Contents
Small Cap Value Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Financials | 25.9 | % | ||
Industrials | 16.2 | % | ||
Consumer Discretionary | 10.7 | % | ||
Real Estate | 8.7 | % | ||
Health Care | 8.2 | % | ||
Information Technology | 6.7 | % | ||
Energy | 6.5 | % | ||
Materials | 5.6 | % | ||
Utilities | 4.0 | % | ||
Consumer Staples | 3.0 | % | ||
Communication Services | 2.4 | % | ||
Short-Term Investments & Other Net Assets | 1.9 | % | ||
Technology | 0.1 | % | ||
Industrial | 0.1 | % |
Sector Allocation is subject to change.
Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.
The Portfolio may invest a portion of its assets in other investment companies, including open-end and closed-end funds, exchange-traded funds (“ETFs”), and business development companies (“BDCs”), and will bear its pro rata portion of such expenses. The market prices of ETFs, closed-end funds and BDCs may trade at a premium or discount to their net asset values and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio. BDCs in particular may be less liquid and more adversely affected by poor economic or market conditions.
The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.
63
Table of Contents
Small Cap Value Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communication Services (2.4%) |
| |||||||
Advantage Solutions, Inc.* | 230,586 | 2,488 | ||||||
Boston Omaha Corp.* | 114,347 | 3,626 | ||||||
Cable One, Inc. | 2,488 | 4,759 | ||||||
Scholastic Corp. | 76,319 | 2,892 | ||||||
Thryv Holdings, Inc.* | 66,553 | 2,380 | ||||||
|
| |||||||
Total | 16,145 | |||||||
|
| |||||||
Consumer Discretionary (10.7%) |
| |||||||
Aaron’s Holdings Company, Inc. | 50,896 | 1,628 | ||||||
Bally’s Corp.* | 16,714 | 904 | ||||||
BJ’s Restaurants, Inc.* | 73,437 | 3,609 | ||||||
Cavco Industries, Inc.* | 23,280 | 5,173 | ||||||
Dorman Products, Inc.* | 36,114 | 3,744 | ||||||
The Goodyear Tire & Rubber Co.* | 94,800 | 1,626 | ||||||
Hanesbrands, Inc. | 147,607 | 2,756 | ||||||
Hibbett Sports, Inc.* | 35,814 | 3,210 | ||||||
LCI Industries | 27,112 | 3,563 | ||||||
Lumber Liquidators Holdings, Inc.* | 149,970 | 3,164 | ||||||
Marriott Vacations Worldwide Corp.* | 26,461 | 4,215 | ||||||
Meritage Homes Corp.* | 34,865 | 3,280 | ||||||
Monro, Inc. | 55,033 | 3,495 | ||||||
Papa John’s International, Inc. | 36,618 | 3,824 | ||||||
Petco Health & Wellness Co., Inc.* | 105,876 | 2,373 | ||||||
Planet Fitness, Inc.* | 30,962 | 2,330 | ||||||
Pool Corp. | 8,519 | 3,907 | ||||||
Poshmark, Inc. - Class A* | 31,348 | 1,497 | ||||||
Red Robin Gourmet Burgers, Inc.* | 79,978 | 2,648 | ||||||
Steven Madden, Ltd. | 120,743 | 5,284 | ||||||
Strategic Education, Inc. | 76,032 | 5,783 | ||||||
Visteon Corp.* | 29,457 | 3,562 | ||||||
|
| |||||||
Total | 71,575 | |||||||
|
| |||||||
Consumer Staples (3.0%) |
| |||||||
Coca-Cola Consolidated, Inc. | 10,336 | 4,156 | ||||||
Grocery Outlet Holding Corp.* | 69,330 | 2,403 | ||||||
Nomad Foods, Ltd.* | 231,798 | 6,553 | ||||||
Post Holdings, Inc.* | 34,273 | 3,718 |
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer Staples continued |
| |||||||
The Simply Good Foods Co.* | 85,983 | 3,139 | ||||||
|
| |||||||
Total | 19,969 | |||||||
|
| |||||||
Energy (6.5%) | ||||||||
Cactus, Inc. | 143,461 | 5,268 | ||||||
ChampionX Corp.* | 302,154 | 7,750 | ||||||
Devon Energy Corp. | 242,094 | 7,067 | ||||||
International Seaways, Inc. | 102,951 | 1,975 | ||||||
Liberty Oilfield Services, Inc.* | 351,383 | 4,975 | ||||||
Magnolia Oil & Gas Corp.* | 345,401 | 5,399 | ||||||
Matador Resources Co. | 230,345 | 8,295 | ||||||
REX American Resources Corp.* | 34,526 | 3,113 | ||||||
|
| |||||||
Total | 43,842 | |||||||
|
| |||||||
Financials (25.9%) | ||||||||
Atlantic Capital Bancshares, Inc.* | 50,429 | 1,284 | ||||||
BankUnited, Inc. | 176,706 | 7,544 | ||||||
BRP Group, Inc.* | 136,487 | 3,637 | ||||||
Columbia Banking System, Inc. | 122,069 | 4,707 | ||||||
CrossFirst Bankshares, Inc.* | 168,396 | 2,315 | ||||||
Eastern Bankshares, Inc. | 137,730 | 2,833 | ||||||
FB Financial Corp. | 122,169 | 4,559 | ||||||
Glacier Bancorp, Inc. | 88,228 | 4,860 | ||||||
Green Dot Corp. - Class A* | 70,069 | 3,283 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 123,814 | 6,952 | ||||||
HarborOne Bancorp, Inc. | 273,711 | 3,925 | ||||||
Hercules Capital, Inc. | 197,548 | 3,370 | ||||||
Heritage Financial Corp. of Washington | 66,634 | 1,667 | ||||||
Home BancShares, Inc. | 335,141 | 8,271 | ||||||
Houlihan Lokey, Inc. | 62,432 | 5,106 | ||||||
Howard Bancorp, Inc.* | 206,512 | 3,331 | ||||||
Independent Bank Corp. | 34,016 | 2,568 | ||||||
James River Group Holdings, Ltd. | 88,569 | 3,323 | ||||||
Live Oak Bancshares, Inc. | 107,823 | 6,362 |
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financials continued | ||||||||
Meridian Bancorp, Inc. | 171,513 | 3,509 | ||||||
National Bank Holding Corp. - Class A | 113,714 | 4,292 | ||||||
Origin Bancorp, Inc. | 94,360 | 4,007 | ||||||
Palomar Holdings, Inc.* | 31,269 | 2,360 | ||||||
PCSB Financial Corp. | 77,169 | 1,402 | ||||||
PennyMac Financial Services, Inc. | 58,543 | 3,613 | ||||||
PennyMac Mortgage Investment Trust | 187,023 | 3,939 | ||||||
Pinnacle Financial Partners, Inc. | 104,511 | 9,227 | ||||||
Popular, Inc. | 67,291 | 5,050 | ||||||
PRA Group, Inc.* | 36,625 | 1,409 | ||||||
ProAssurance Corp. | 123,758 | 2,815 | ||||||
PROG Holdings, Inc. | 91,701 | 4,414 | ||||||
Radian Group, Inc. | 213,479 | 4,750 | ||||||
Southern First Bancshares, Inc.* | 68,570 | 3,508 | ||||||
State Auto Financial Corp. | 117,754 | 2,016 | ||||||
StepStone Group, Inc. | 33,826 | 1,164 | ||||||
TowneBank | 171,168 | 5,207 | ||||||
Virtus Investment Partners, Inc. | 21,277 | 5,910 | ||||||
Walker & Dunlop, Inc. | 25,609 | 2,673 | ||||||
Webster Financial Corp. | 89,608 | 4,780 | ||||||
Western Alliance Bancorporation | 115,044 | 10,682 | ||||||
WSFS Financial Corp. | 154,560 | 7,201 | ||||||
|
| |||||||
Total | 173,825 | |||||||
|
| |||||||
Health Care (8.2%) | ||||||||
Acceleron Pharma, Inc.* | 18,349 | 2,303 | ||||||
Agiliti, Inc.* | 101,213 | 2,214 | ||||||
Arvinas, Inc.* | 18,211 | 1,402 | ||||||
Atrion Corp. | 7,107 | 4,413 | ||||||
Blueprint Medicines Corp.* | 19,150 | 1,684 | ||||||
C4 Therapeutics, Inc.* | 34,700 | 1,313 | ||||||
Ensign Group, Inc. | 46,883 | 4,063 | ||||||
Envista Holdings Corp.* | 95,820 | 4,140 | ||||||
FIGS, Inc.* | 5,584 | 280 | ||||||
Insmed, Inc.* | 56,110 | 1,597 | ||||||
Karuna Therapeutics, Inc.* | 10,019 | 1,142 | ||||||
Kodiak Sciences, Inc.* | 14,317 | 1,331 | ||||||
Kymera Therapeutics, Inc.* | 15,900 | 771 |
The Accompanying Notes are an Integral Part of the Financial Statements.
64
Table of Contents
Small Cap Value Portfolio
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Health Care continued | ||||||||
Molina Healthcare, Inc.* | 4,643 | 1,175 | ||||||
MultiPlan Corp.* | 45,042 | 429 | ||||||
Option Care Health, Inc.* | 198,998 | 4,352 | ||||||
Ortho Clinical Diagnostics Holdings PLC* | 70,512 | 1,510 | ||||||
The Pennant Group, Inc.* | 60,543 | 2,476 | ||||||
Phreesia, Inc.* | 50,550 | 3,099 | ||||||
Quidel Corp.* | 7,357 | 943 | ||||||
Replimune Group, Inc.* | 42,810 | 1,645 | ||||||
Select Medical Holdings Corp. | 192,212 | 8,123 | ||||||
Turning Point Therapeutics, Inc.* | 14,900 | 1,162 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 24,353 | 2,322 | ||||||
Xencor, Inc.* | 36,557 | 1,261 | ||||||
|
| |||||||
Total | 55,150 | |||||||
|
| |||||||
Industrial (0.1%) | ||||||||
Xometry, Inc.* | 6,139 | 537 | ||||||
|
| |||||||
Total | 537 | |||||||
|
| |||||||
Industrials (16.2%) | ||||||||
ABM Industries, Inc. | 36,500 | 1,619 | ||||||
Air Lease Corp. | 39,379 | 1,644 | ||||||
Alamo Group, Inc. | 13,018 | 1,988 | ||||||
Allegiant Travel Co.* | 7,788 | 1,511 | ||||||
Ameresco, Inc.* | 25,867 | 1,622 | ||||||
Beacon Roofing Supply, Inc.* | 108,875 | 5,798 | ||||||
Blue Bird Corp.* | 97,002 | 2,411 | ||||||
Brady Corp. - Class A | 65,334 | 3,661 | ||||||
Chart Industries, Inc.* | 10,959 | 1,604 | ||||||
CIRCOR International, Inc.* | 85,581 | 2,790 | ||||||
Enerpac Tool Group Corp. | 130,111 | 3,464 | ||||||
ESCO Technologies, Inc. | 50,273 | 4,716 | ||||||
FTI Consulting, Inc.* | 12,280 | 1,678 | ||||||
Helios Technologies, Inc. | 74,189 | 5,790 | ||||||
JELD-WEN Holding, Inc.* | 96,282 | 2,528 | ||||||
Kelly Services, Inc. - Class A* | 52,022 | 1,247 | ||||||
Korn Ferry | 72,121 | 5,232 | ||||||
Landstar System, Inc. | 28,192 | 4,455 | ||||||
Matson, Inc. | 32,734 | 2,095 | ||||||
McGrath RentCorp | 51,427 | 4,195 | ||||||
MSA Safety, Inc. | 21,057 | 3,487 | ||||||
Parsons Corp.* | 58,981 | 2,321 |
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrials continued | ||||||||
Resideo Technologies, Inc.* | 77,600 | 2,328 | ||||||
Rush Enterprises, Inc. | 40,255 | 1,741 | ||||||
Ryder System, Inc. | 27,720 | 2,060 | ||||||
Shoals Technologies Group, Inc.* | 72,633 | 2,578 | ||||||
SPX Corp.* | 61,674 | 3,767 | ||||||
Stericycle, Inc.* | 67,098 | 4,801 | ||||||
Thermon Group Holdings, Inc.* | 125,569 | 2,140 | ||||||
The Timken Co. | 37,324 | 3,008 | ||||||
Triumph Group, Inc.* | 310,844 | 6,450 | ||||||
UFP Industries, Inc. | 114,129 | 8,484 | ||||||
UniFirst Corp. | 7,743 | 1,817 | ||||||
Univar Solutions, Inc.* | 142,226 | 3,467 | ||||||
|
| |||||||
Total | 108,497 | |||||||
|
| |||||||
Information Technology (6.7%) |
| |||||||
Belden, Inc. | 158,884 | 8,035 | ||||||
Ceridian HCM Holding, Inc.* | 44,277 | 4,247 | ||||||
DoubleVerify Holdings, Inc.* | 8,621 | 365 | ||||||
Entegris, Inc. | 32,304 | 3,972 | ||||||
Harmonic, Inc.* | 682,555 | 5,815 | ||||||
i3 Verticals, Inc.* | 82,481 | 2,493 | ||||||
Knowles Corp.* | 25,729 | 508 | ||||||
Littelfuse, Inc. | 35,355 | 9,008 | ||||||
MaxLinear, Inc. - Class A* | 72,811 | 3,094 | ||||||
nCino, Inc.* | 24,737 | 1,482 | ||||||
Onto Innovation, Inc.* | 27,412 | 2,002 | ||||||
Semtech Corp.* | 27,671 | 1,904 | ||||||
Workiva, Inc.* | 18,244 | 2,031 | ||||||
|
| |||||||
Total | 44,956 | |||||||
|
| |||||||
Materials (5.6%) | ||||||||
Alcoa Corp.* | 21,117 | 778 | ||||||
American Vanguard Corp. | 101,816 | 1,783 | ||||||
Atotech, Ltd.* | 145,383 | 3,712 | ||||||
Carpenter Technology Corp. | 102,377 | 4,118 | ||||||
Clearwater Paper Corp.* | 110,197 | 3,192 | ||||||
Constellium SE* | 345,342 | 6,544 | ||||||
Minerals Technologies, Inc. | 48,708 | 3,832 | ||||||
Myers Industries, Inc. | 134,798 | 2,831 | ||||||
Orion Engineered Carbons SA* | 208,662 | 3,962 | ||||||
Quaker Chemical Corp. | 15,652 | 3,713 | ||||||
Reliance Steel & Aluminum Co. | 22,806 | 3,441 | ||||||
|
| |||||||
Total | 37,906 | |||||||
|
|
Common Stocks (98.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Real Estate (8.7%) | ||||||||
American Campus Communities, Inc. | 65,257 | 3,049 | ||||||
Apartment Investment & Management Co. - Class A | 233,943 | 1,570 | ||||||
EastGroup Properties, Inc. | 32,998 | 5,426 | ||||||
Essential Properties Realty Trust, Inc. | 80,423 | 2,175 | ||||||
Healthcare Realty Trust, Inc. | 126,864 | 3,831 | ||||||
JBG SMITH Properties | 155,436 | 4,898 | ||||||
Potlatch Corp. | 94,908 | 5,044 | ||||||
PS Business Parks, Inc. | 25,235 | 3,737 | ||||||
Safehold, Inc. | 34,752 | 2,728 | ||||||
Saul Centers, Inc. | 95,333 | 4,333 | ||||||
The St. Joe Co. | 142,428 | 6,354 | ||||||
Sunstone Hotel Investors, Inc.* | 482,631 | 5,994 | ||||||
Terreno Realty Corp. | 104,363 | 6,733 | ||||||
Washington Real Estate Investment Trust | 116,262 | 2,674 | ||||||
|
| |||||||
Total | 58,546 | |||||||
|
| |||||||
Technology (0.1%) | ||||||||
Integral Ad Science Holding Corp.* | 32,646 | 672 | ||||||
|
| |||||||
Total | 672 | |||||||
|
| |||||||
Utilities (4.0%) | ||||||||
California Water Service Group | 72,215 | 4,011 | ||||||
Chesapeake Utilities Corp. | 64,189 | 7,724 | ||||||
IDACORP, Inc. | 39,088 | 3,811 | ||||||
MGE Energy, Inc. | 60,921 | 4,535 | ||||||
NorthWestern Corp. | 35,000 | 2,108 | ||||||
ONE Gas, Inc. | 64,998 | 4,817 | ||||||
|
| |||||||
Total | 27,006 | |||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost: $429,885) | 658,626 | |||||||
|
| |||||||
Warrants (0.0%) | ||||||||
Communication Services (0.0%) |
| |||||||
Advantage Solutions, Inc.* | 19,088 | 47 | ||||||
|
| |||||||
Total | 47 | |||||||
|
| |||||||
Total Warrants (Cost: $24) | 47 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
65
Table of Contents
Small Cap Value Portfolio
Short-Term Investments (2.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Money Market Funds (2.1%) |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% # | 13,777,604 | 13,778 | ||||||
|
| |||||||
Total | 13,778 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $13,778) | 13,778 | |||||||
|
| |||||||
Total Investments (100.2%) |
| |||||||
(Cost: $443,687)@ | 672,451 | |||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (-0.2%) | (1,048 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | 671,403 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,687 and the net unrealized appreciation of investments based on that cost was $228,764 which is comprised of $235,806 aggregate gross unrealized appreciation and $7,042 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 658,626 | $ | - | $ | - | ||||||||
Short-Term Investments | 13,778 | - | - | |||||||||||
Warrants | 47 | - | - | |||||||||||
Total Assets: | $ | 672,451 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
66
Table of Contents
International Growth Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Industrials | 24.6 | % | ||
Information Technology | 24.4 | % | ||
Financials | 14.0 | % | ||
Health Care | 11.1 | % | ||
Consumer Discretionary | 8.4 | % | ||
Consumer Staples | 5.8 | % | ||
Materials | 4.8 | % | ||
Communication Services | 4.5 | % | ||
Telecommunication Services | 0.8 | % | ||
Real Estate | 0.8 | % | ||
Energy | 0.6 | % | ||
Short-Term Investments & Other Net Assets | 0.2 | % |
Sector Allocation is subject to change.
Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.
The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.
67
Table of Contents
International Growth Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.8%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Communication Services (4.5%) |
| |||||||||||
Adevinta ASA - Class B* | Norway | 252,057 | 4,830 | |||||||||
Alphabet, Inc. - Class A* | | United States | | 4,400 | 10,744 | |||||||
Rightmove PLC | | United Kingdom | | 527,500 | 4,739 | |||||||
Safaricom, Ltd. | Kenya | 16,324,600 | 6,355 | |||||||||
Schibsted ASA - Class B | Norway | 162,799 | 6,780 | |||||||||
Tencent Holdings, Ltd. | | Cayman Islands | | 165,700 | 12,463 | |||||||
|
| |||||||||||
Total | 45,911 | |||||||||||
|
| |||||||||||
Consumer Discretionary (8.4%) |
| |||||||||||
Alibaba Group Holding, Ltd.* | | Cayman Islands | | 38,000 | 1,077 | |||||||
Alibaba Group Holding, Ltd., ADR* | | Cayman Islands | | 41,879 | 9,497 | |||||||
Autoliv, Inc. | | United States | | 42,500 | 4,155 | |||||||
Compass Group PLC* | | United Kingdom | | 579,000 | 12,190 | |||||||
InterContinental Hotels Group PLC, ADR* | | United Kingdom | | 75,884 | 5,061 | |||||||
LVMH Moet Hennessy Louis Vuitton SE | France | 52,300 | 41,010 | |||||||||
PRADA SPA | Italy | 940,000 | 7,137 | |||||||||
USS Co., Ltd. | Japan | 315,100 | 5,497 | |||||||||
|
| |||||||||||
Total | 85,624 | |||||||||||
|
| |||||||||||
Consumer Staples (5.8%) | ||||||||||||
Clicks Group, Ltd. | | South Africa | | 217,852 | 3,748 | |||||||
Nestle SA | Switzerland | 426,569 | 53,120 | |||||||||
PriceSmart, Inc. | | United States | | 29,000 | 2,639 | |||||||
|
| |||||||||||
Total | 59,507 | |||||||||||
|
| |||||||||||
Energy (0.6%) | ||||||||||||
Reliance Industries, Ltd. | India | 60,000 | 1,705 | |||||||||
Reliance Industries, Ltd., GDR | India | 72,000 | 4,075 | |||||||||
|
| |||||||||||
Total | 5,780 | |||||||||||
|
| |||||||||||
Financials (14.0%) | ||||||||||||
AIA Group, Ltd. | Hong Kong | 2,607,688 | 32,410 | |||||||||
Deutsche Borse Aktiengesellschaft | Germany | 48,500 | 8,465 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | Hong Kong | 265,500 | 15,826 | |||||||||
Housing Development Finance Corp., Ltd. | India | 125,663 | 4,189 | |||||||||
Kotak Mahindra Bank, Ltd.* | India | 173,500 | 3,980 | |||||||||
London Stock Exchange Group PLC | | United Kingdom | | 101,800 | 11,223 | |||||||
Marsh & McLennan Cos., Inc. | | United States | | 114,823 | 16,153 | |||||||
Moody’s Corp. | | United States | | 47,200 | 17,104 | |||||||
MSCI, Inc. | | United States | | 32,500 | 17,325 | |||||||
S&P Global, Inc. | | United States | | 38,400 | 15,761 | |||||||
|
| |||||||||||
Total | 142,436 | |||||||||||
|
|
Common Stocks (99.8%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Health Care (11.1%) | ||||||||||||
CSL, Ltd. | Australia | 90,795 | 19,419 | |||||||||
Dechra Pharmaceuticals PLC | | United Kingdom | | 65,200 | 3,942 | |||||||
Hoya Corp. | Japan | 174,900 | 23,190 | |||||||||
ResMed, Inc. | | United States | | 69,500 | 17,133 | |||||||
Roche Holding AG | Switzerland | 104,652 | 39,423 | |||||||||
Sanofi | France | 33,700 | 3,531 | |||||||||
UCB SA | Belgium | 63,500 | 6,638 | |||||||||
|
| |||||||||||
Total | 113,276 | |||||||||||
|
| |||||||||||
Industrials (24.6%) | ||||||||||||
Airbus SE* | Netherlands | 96,000 | 12,344 | |||||||||
Assa Abloy AB - Class B | Sweden | 695,300 | 20,945 | |||||||||
Atlas Copco AB - Class A | Sweden | 379,200 | 23,218 | |||||||||
Auckland International Airport, Ltd.* | | New Zealand | | 482,455 | 2,452 | |||||||
CAE, Inc.* | Canada | 182,000 | 5,606 | |||||||||
Canadian Pacific Railway, Ltd. | Canada | 134,000 | 10,304 | |||||||||
Edenred | France | 148,800 | 8,478 | |||||||||
Epiroc AB | Sweden | 593,200 | 13,516 | |||||||||
Experian PLC | Jersey | 430,200 | 16,579 | |||||||||
FANUC Corp. | Japan | 76,100 | 18,354 | |||||||||
Interpump Group SpA | Italy | 135,400 | 8,018 | |||||||||
KONE Oyj | Finland | 126,700 | 10,336 | |||||||||
Legrand SA | France | 121,700 | 12,881 | |||||||||
MISUMI Group, Inc. | Japan | 496,300 | 16,797 | |||||||||
Nabtesco Corp. | Japan | 68,500 | 2,590 | |||||||||
OSG Corp. | Japan | 150,600 | 2,611 | |||||||||
Recruit Holdings Co., Ltd. | Japan | 517,600 | 25,485 | |||||||||
Safran SA | France | 87,500 | 12,131 | |||||||||
Schindler Holding AG | Switzerland | 32,693 | 10,000 | |||||||||
Schindler Holding AG - Registered Shares | Switzerland | 6,085 | 1,778 | |||||||||
SHO-BOND Holdings Co., Ltd. | Japan | 134,761 | 5,610 | |||||||||
Vestas Wind Systems A/S | Denmark | 264,000 | 10,305 | |||||||||
|
| |||||||||||
Total | 250,338 | |||||||||||
|
| |||||||||||
Information Technology (24.4%) |
| |||||||||||
Amadeus IT Group SA* | Spain | 279,000 | 19,625 | |||||||||
ASML Holding NV | Netherlands | 83,000 | 57,023 | |||||||||
Azbil Corp. | Japan | 275,800 | 11,432 | |||||||||
Black Knight, Inc.* | | United States | | 60,500 | 4,718 | |||||||
Dlocal, Ltd.* | | Cayman Islands | | 23,700 | 1,245 | |||||||
Keyence Corp. | Japan | 59,800 | 30,181 | |||||||||
Lam Research Corp. | | United States | | 21,000 | 13,665 | |||||||
Lasertec Corp. | Japan | 60,900 | 11,835 | |||||||||
Mastercard, Inc. - Class A | | United States | | 52,250 | 19,076 | |||||||
NICE, Ltd.* | Israel | 49,100 | 12,150 | |||||||||
SAP SE | Germany | 129,419 | 18,237 | |||||||||
Spectris PLC | | United Kingdom | | 160,500 | 7,189 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 743,000 | 15,867 | |||||||||
Temenos AG | Switzerland | 41,100 | 6,601 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Common Stocks (99.8%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Information Technology continued |
| |||||||||||
Visa, Inc. - Class A | | United States | | 85,225 | 19,927 | |||||||
|
| |||||||||||
Total | 248,771 | |||||||||||
|
| |||||||||||
Materials (4.8%) | ||||||||||||
CRH PLC, ADR | Ireland | 200,900 | 10,214 | |||||||||
Franco-Nevada Corp. | Canada | 48,900 | 7,096 | |||||||||
Linde PLC | Ireland | 81,355 | 23,475 | |||||||||
The Sherwin-Williams Co. | | United States | | 30,700 | 8,364 | |||||||
|
| |||||||||||
Total | 49,149 | |||||||||||
|
| |||||||||||
Real Estate (0.8%) | ||||||||||||
Vonovia SE | Germany | 119,600 | 7,732 | |||||||||
|
| |||||||||||
Total | 7,732 | |||||||||||
|
|
Common Stocks (99.8%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Telecommunication Services (0.8%) |
| |||||||||||
Cellnex Telecom SA | Spain | 132,739 | 8,455 | |||||||||
|
| |||||||||||
Total | 8,455 | |||||||||||
|
| |||||||||||
Total Common Stocks | ||||||||||||
(Cost: $640,171) |
| 1,016,979 | ||||||||||
|
| |||||||||||
Short-Term Investments (0.4%) | ||||||||||||
Money Market Funds (0.4%) |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | | United States | | 4,104,671 | 4,105 | |||||||
|
| |||||||||||
Total | 4,105 | |||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $4,105) |
| 4,105 | ||||||||||
|
| |||||||||||
Total Investments (100.2%) |
| |||||||||||
(Cost: $644,276)@ |
| 1,021,084 | ||||||||||
|
| |||||||||||
Other Assets, Less |
| |||||||||||
Liabilities (-0.2%) |
| (2,252 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| 1,018,832 | ||||||||||
|
|
Investments Percentage by Country is based on Net Assets: | ||||||
United States | 16.6% | |||||
Japan | 15.3% | |||||
Switzerland | 10.9% | |||||
France | 7.6% | |||||
Netherlands | 6.8% | |||||
Sweden | 5.7% | |||||
Other | 37.3% | |||||
Total | 100.2% |
Over the Counter Derivatives
Forward Contracts
Type | Counterparty | Currency | Foreign Principal Amount Covered by Contract (000s) | USD Principal Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||
Buy | Morgan Stanley Capital Services, Inc. | CAD | 18 | 14 | 7/2/21 | $ -p | $ - | $ -P | ||||||||
|
|
| ||||||||||||||
$ -p | $ - | $ -P | ||||||||||||||
|
|
|
Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||
Forward Contracts | Swaps | Total | Forward Contracts | Options | Swaps | Total | ||||||||
Total Over the Counter Derivatives | - | - | - | - | - | - | - |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $644,276 and the net unrealized appreciation of investments based on that cost was $376,808 which is comprised of $380,505 aggregate gross unrealized appreciation and $3,697 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
p | Amount is less than one thousand. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Observable Inputs | Level 3 –Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,016,979 | $ | - | $ | - | ||||||||
Short-Term Investments | 4,105 | - | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Currency Contracts | - | - | p | - | ||||||||||
Total Assets: | $ | 1,021,084 | $ | - | p | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
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Research International Core Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Financials | 16.4 | % | ||
Industrials | 15.6 | % | ||
Health Care | 11.8 | % | ||
Consumer Discretionary | 11.3 | % | ||
Consumer Staples | 9.4 | % | ||
Information Technology | 9.4 | % | ||
Materials | 9.3 | % | ||
Communication Services | 6.5 | % | ||
Utilities | 3.2 | % | ||
Energy | 2.9 | % | ||
Real Estate | 2.7 | % | ||
Short-Term Investments & Other Net Assets | 0.9 | % | ||
Telecommunication Services | 0.6 | % |
Sector Allocation is subject to change.
Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.
The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.
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SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (99.1%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Communication Services (6.5%) |
| |||||||||||
Advanced Info Service PCL - Foreign Shares | Thailand | 667,600 | 3,562 | |||||||||
carsales.com, Ltd. | Australia | 150,964 | 2,237 | |||||||||
Hellenic Telecommunications Organization SA | Greece | 227,586 | 3,818 | |||||||||
KDDI Corp. | Japan | 280,400 | 8,746 | |||||||||
NAVER Corp. | | South Korea | | 23,671 | 8,776 | |||||||
NetEase, Inc., ADR | | Cayman Islands | | 113,498 | 13,081 | |||||||
SEEK, Ltd. | Australia | 91,205 | 2,267 | |||||||||
SoftBank Group Corp. | Japan | 108,100 | 7,565 | |||||||||
Tele2 AB | Sweden | 98,218 | 1,338 | |||||||||
Tencent Holdings, Ltd. | | Cayman Islands | | 116,000 | 8,725 | |||||||
|
| |||||||||||
Total | 60,115 | |||||||||||
|
| |||||||||||
Consumer Discretionary (11.3%) |
| |||||||||||
adidas AG | Germany | 32,381 | 12,052 | |||||||||
Bridgestone Corp. | Japan | 119,900 | 5,456 | |||||||||
Burberry Group PLC* | | United Kingdom | | 109,936 | 3,142 | |||||||
Cie Financiere Richemont SA | Switzerland | 60,168 | 7,280 | |||||||||
Continental AG | Germany | 42,247 | 6,211 | |||||||||
Flutter Entertainment PLC* | Ireland | 35,269 | 6,413 | |||||||||
Koito Manufacturing Co., Ltd. | Japan | 121,700 | 7,570 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | France | 26,382 | 20,687 | |||||||||
Naspers, Ltd. - Class N | | South Africa | | 21,521 | 4,518 | |||||||
Ocado Group PLC* | | United Kingdom | | 61,506 | 1,704 | |||||||
Techtronic Industries Co., Ltd. | Hong Kong | 712,500 | 12,443 | |||||||||
Toyota Industries Corp. | Japan | 73,300 | 6,341 | |||||||||
Yamaha Corp. | Japan | 70,900 | 3,848 | |||||||||
Yum China Holdings, Inc. | | United States | | 93,308 | 6,182 | |||||||
ZOZO, Inc. | Japan | 56,500 | 1,920 | |||||||||
|
| |||||||||||
Total | 105,767 | |||||||||||
|
| |||||||||||
Consumer Staples (9.4%) | ||||||||||||
British American Tobacco PLC | | United Kingdom | | 276,809 | 10,721 | |||||||
Danone SA | France | 126,392 | 8,898 | |||||||||
Diageo PLC | | United Kingdom | | 349,026 | 16,710 | |||||||
Japan Tobacco, Inc. | Japan | 267,100 | 5,045 | |||||||||
Kao Corp. | Japan | 110,900 | 6,823 | |||||||||
Nestle SA | Switzerland | 224,026 | 27,898 | |||||||||
Reckitt Benckiser Group PLC | | United Kingdom | | 97,355 | 8,615 | |||||||
Sugi Holdings Co. | Japan | 46,100 | 3,361 | |||||||||
|
| |||||||||||
Total | 88,071 | |||||||||||
|
| |||||||||||
Energy (2.9%) | ||||||||||||
Cairn Energy PLC | | United Kingdom | | 1,308,239 | 2,637 | |||||||
Eni SpA | Italy | 386,283 | 4,704 | |||||||||
Galp Energia SGPS SA | Portugal | 563,328 | 6,113 | |||||||||
Idemitsu Kosan Co., Ltd. | Japan | 192,200 | 4,642 |
Common Stocks (99.1%) | Country | Shares/ Par+ | Value $(000’s) | |||||||||
Energy continued | ||||||||||||
Oil Search, Ltd. | | Papua New Guinea | | 1,303,396 | 3,724 | |||||||
TC Energy Corp. | Canada | 101,051 | 5,000 | |||||||||
|
| |||||||||||
Total | 26,820 | |||||||||||
|
| |||||||||||
Financials (16.4%) | ||||||||||||
AIA Group, Ltd. | Hong Kong | 1,370,600 | 17,035 | |||||||||
AIB Group PLC* | Ireland | 1,464,830 | 3,774 | |||||||||
Aon PLC | Ireland | 68,436 | 16,340 | |||||||||
Bank of Ireland Group PLC* | Ireland | 235,656 | 1,262 | |||||||||
Beazley PLC* | | United Kingdom | | 266,738 | 1,227 | |||||||
BNP Paribas SA | France | 233,583 | 14,644 | |||||||||
Credit Suisse Group AG | Switzerland | 667,673 | 6,994 | |||||||||
Euronext NV | Netherlands | 103,657 | 11,271 | |||||||||
HDFC Bank, Ltd. | India | 586,851 | 11,819 | |||||||||
Hiscox, Ltd.* | Bermuda | 302,708 | 3,482 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | Hong Kong | 123,700 | 7,373 | |||||||||
ING Groep NV | Netherlands | 617,359 | 8,155 | |||||||||
Julius Baer Group, Ltd. | Switzerland | 120,338 | 7,853 | |||||||||
Macquarie Group, Ltd. | Australia | 57,643 | 6,762 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | Japan | 1,631,000 | 8,810 | |||||||||
Natwest Group PLC | | United Kingdom | | 3,072,646 | 8,637 | |||||||
UBS Group AG | Switzerland | 637,273 | 9,753 | |||||||||
Zurich Insurance Group AG | Switzerland | 20,626 | 8,275 | |||||||||
|
| |||||||||||
Total | 153,466 | |||||||||||
|
| |||||||||||
Health Care (11.8%) | ||||||||||||
Bayer AG | Germany | 95,249 | 5,784 | |||||||||
EssilorLuxottica SA | France | 20,370 | 3,759 | |||||||||
Koninklijke Philips NV | Netherlands | 248,101 | 12,294 | |||||||||
Kyowa Hakko Kirin Co., Ltd. | Japan | 358,600 | 12,718 | |||||||||
Novo Nordisk AS - Class B | Denmark | 281,953 | 23,622 | |||||||||
Qiagen NV* | Netherlands | 165,597 | 8,003 | |||||||||
Roche Holding AG | Switzerland | 77,059 | 29,029 | |||||||||
Santen Pharmaceutical Co., Ltd. | Japan | 617,500 | 8,504 | |||||||||
Terumo Corp. | Japan | 160,500 | 6,504 | |||||||||
|
| |||||||||||
Total | 110,217 | |||||||||||
|
| |||||||||||
Industrials (15.6%) | ||||||||||||
51job, Inc.* | | Cayman Islands | | 41,739 | 3,246 | |||||||
Brambles, Ltd. | Australia | 825,599 | 7,083 | |||||||||
Daikin Industries, Ltd. | Japan | 70,000 | 13,037 | |||||||||
GEA Group AG | Germany | 209,692 | 8,494 | |||||||||
Hitachi, Ltd. | Japan | 296,500 | 16,977 | |||||||||
Kubota Corp. | Japan | 528,100 | 10,681 | |||||||||
Legrand SA | France | 106,471 | 11,269 | |||||||||
MTU Aero Engines AG | Germany | 18,087 | 4,480 | |||||||||
Persol Holdings Co., Ltd. | Japan | 134,700 | 2,661 | |||||||||
Ritchie Bros Auctioneers, Inc. | Canada | 128,237 | 7,603 | |||||||||
Ryanair Holdings PLC* | Ireland | 40,491 | 4,382 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Common Stocks (99.1%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Industrials continued | ||||||||||||
Schindler Holding AG | Switzerland | 30,600 | 9,359 | |||||||||
Schneider Electric SE | France | 150,530 | 23,682 | |||||||||
SMC Corp. | Japan | 17,000 | 10,046 | |||||||||
Wolters Kluwer NV | Netherlands | 120,141 | 12,069 | |||||||||
|
| |||||||||||
Total | 145,069 | |||||||||||
|
| |||||||||||
Information Technology (9.4%) |
| |||||||||||
Amadeus IT Group SA* | Spain | 107,852 | 7,586 | |||||||||
Cadence Design Systems, Inc.* | | United States | | 36,796 | 5,034 | |||||||
Constellation Software, Inc. | Canada | 4,024 | 6,095 | |||||||||
EPAM Systems, Inc.* | | United States | | 17,119 | 8,747 | |||||||
Fujitsu, Ltd. | Japan | 62,300 | 11,664 | |||||||||
Kyocera Corp. | Japan | 91,800 | 5,675 | |||||||||
Nomura Research Institute, Ltd. | Japan | 212,400 | 7,026 | |||||||||
NXP Semiconductors NV | Netherlands | 42,094 | 8,660 | |||||||||
Samsung Electronics Co., Ltd. | South Korea | 96,050 | 6,883 | |||||||||
Scout24 AG* | Germany | 66,449 | 5,604 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 365,189 | 7,799 | |||||||||
Visa, Inc. - Class A | | United States | | 30,981 | 7,244 | |||||||
|
| |||||||||||
Total | 88,017 | |||||||||||
|
| |||||||||||
Materials (9.3%) | ||||||||||||
Akzo Nobel NV | Netherlands | 107,481 | 13,280 | |||||||||
Croda International PLC | | United Kingdom | | 113,704 | 11,589 | |||||||
Glencore PLC* | Jersey | 1,265,636 | 5,418 | |||||||||
Kansai Paint Co., Ltd. | Japan | 184,300 | 4,696 | |||||||||
Linde PLC | Ireland | 77,684 | 22,416 | |||||||||
Nitto Denko Corp. | Japan | 97,400 | 7,268 | |||||||||
Sika AG | Switzerland | 34,757 | 11,363 | |||||||||
Symrise AG | Germany | 75,427 | 10,509 | |||||||||
|
| |||||||||||
Total | 86,539 | |||||||||||
|
| |||||||||||
Real Estate (2.7%) | ||||||||||||
ESR Cayman, Ltd.* | | Cayman Islands | | 1,371,800 | 4,629 | |||||||
Grand City Properties SA* | Luxembourg | 361,081 | 9,753 | |||||||||
LEG Immobilien AG | Germany | 76,306 | 10,989 | |||||||||
|
| |||||||||||
Total | 25,371 | |||||||||||
|
|
Common Stocks (99.1%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Telecommunication Services (0.6%) |
| |||||||||||
Cellnex Telecom SA | Spain | 92,865 | 5,915 | |||||||||
|
| |||||||||||
Total | 5,915 | |||||||||||
|
| |||||||||||
Utilities (3.2%) | ||||||||||||
APA Group | Australia | 429,022 | 2,864 | |||||||||
China Resources Gas Group, Ltd. | Bermuda | 814,000 | 4,885 | |||||||||
CLP Holdings, Ltd. | Hong Kong | 482,000 | 4,768 | |||||||||
E.ON SE | Germany | 398,972 | 4,614 | |||||||||
Iberdrola SA | Spain | 724,777 | 8,835 | |||||||||
Orsted A/S | Denmark | 30,319 | 4,254 | |||||||||
|
| |||||||||||
Total | 30,220 | |||||||||||
|
| |||||||||||
Total Common Stocks | ||||||||||||
(Cost: $678,082) |
| 925,587 | ||||||||||
|
| |||||||||||
Warrants (0.0%) | ||||||||||||
Consumer Discretionary (0.0%) |
| |||||||||||
Cie Financiere Richemont SA* | Switzerland | 136,342 | 91 | |||||||||
|
| |||||||||||
Total | 91 | |||||||||||
|
| |||||||||||
Total Warrants | ||||||||||||
(Cost: $–) |
| 91 | ||||||||||
|
| |||||||||||
Short-Term Investments (0.5%) | ||||||||||||
Money Market Funds (0.5%) |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | | United States | | 4,341,579 | 4,342 | |||||||
|
| |||||||||||
Total | 4,342 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | ||||||||||||
(Cost: $4,342) |
| 4,342 | ||||||||||
|
| |||||||||||
Total Investments (99.6%) |
| |||||||||||
(Cost: $682,424)@ |
| 930,020 | ||||||||||
|
| |||||||||||
Other Assets, Less Liabilities (0.4%) |
| 3,669 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | 933,689 | |||||||||||
|
|
Investments Percentage by Country is based on Net Assets: | ||||||
Japan | 20.1% | |||||
Switzerland | 12.6% | |||||
France | 8.9% | |||||
Netherlands | 7.9% | |||||
Germany | 7.4% | |||||
United Kingdom | 6.9% | |||||
Ireland | 5.9% | |||||
Other | 29.9% | |||||
Total | 99.6% |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $682,424 and the net unrealized appreciation of investments based on that cost was $247,596 which is comprised of $271,470 aggregate gross unrealized appreciation and $23,874 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Observable Inputs | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 925,587 | $ | - | $ | - | ||||||||
Short-Term Investments | 4,342 | - | - | |||||||||||
Warrants | 91 | - | - | |||||||||||
Total Assets: | $ | 930,020 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
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International Equity Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Consumer Discretionary | 19.5 | % | ||
Industrials | 16.0 | % | ||
Materials | 10.7 | % | ||
Health Care | 10.1 | % | ||
Financials | 9.9 | % | ||
Information Technology | 9.7 | % | ||
Energy | 7.3 | % | ||
Utilities | 6.6 | % | ||
Communication Services | 4.0 | % | ||
Consumer Staples | 3.5 | % | ||
Short-Term Investments & Other Net Assets | 2.6 | % | ||
Governments | 0.1 | % |
Sector Allocation is subject to change.
Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.
The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.
75
Table of Contents
International Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (97.3%) | Country | Shares/ Par + | Value $ (000’s) | |||||||||
Communication Services (4.0%) |
| |||||||||||
Deutsche Telekom AG | Germany | 3,662,920 | 77,363 | |||||||||
|
| |||||||||||
Total | 77,363 | |||||||||||
|
| |||||||||||
Consumer Discretionary (19.5%) |
| |||||||||||
adidas AG | Germany | 91,480 | 34,049 | |||||||||
Alibaba Group Holding, Ltd. * | Cayman Islands | 1,163,680 | 32,973 | |||||||||
Burberry Group PLC * | United Kingdom | 770,290 | 22,014 | |||||||||
Compass Group PLC * | United Kingdom | 1,031,410 | 21,715 | |||||||||
Continental AG | Germany | 139,670 | 20,533 | |||||||||
Honda Motor Co., Ltd. | Japan | 1,282,310 | 40,976 | |||||||||
Informa PLC * | United Kingdom | 1,587,990 | 11,018 | |||||||||
Isuzu Motors, Ltd. | Japan | 3,522,240 | 46,511 | |||||||||
Just Eat Takeaway.com NV * | Netherlands | 262,520 | 24,240 | |||||||||
Restaurant Brands International, Inc. | Canada | 361,050 | 23,263 | |||||||||
Sony Corp. | Japan | 460,440 | 44,823 | |||||||||
WH Smith PLC * | United Kingdom | 618,890 | 13,771 | |||||||||
Yum China Holdings, Inc. | United States | 562,610 | 36,993 | |||||||||
|
| |||||||||||
Total | 372,879 | |||||||||||
|
| |||||||||||
Consumer Staples (3.5%) | ||||||||||||
Anheuser-Busch InBev SA/ NV | Belgium | 402,190 | 29,000 | |||||||||
Danone SA | France | 409,380 | 28,819 | |||||||||
Unilever PLC | United Kingdom | 160,540 | 9,395 | |||||||||
|
| |||||||||||
Total | 67,214 | |||||||||||
|
| |||||||||||
Energy (7.3%) | ||||||||||||
BP PLC | United Kingdom | 10,971,150 | 47,805 | |||||||||
Equinor ASA | Norway | 1,170,100 | 24,758 | |||||||||
Royal Dutch Shell PLC - Class B | United Kingdom | 1,238,720 | 23,972 | |||||||||
TOTAL SA | France | 933,150 | 42,218 | |||||||||
|
| |||||||||||
Total | 138,753 | |||||||||||
|
| |||||||||||
Financials (9.9%) | ||||||||||||
AIA Group, Ltd. | Hong Kong | 4,211,850 | 52,348 | |||||||||
Deutsche Borse Aktiengesellschaft | Germany | 114,070 | 19,910 | |||||||||
KB Financial Group, Inc., ADR * | South Korea | 403,410 | 19,888 | |||||||||
Shinhan Financial Group Co., Ltd. * | South Korea | 537,740 | 19,386 | |||||||||
Standard Chartered PLC | United Kingdom | 4,111,122 | 26,217 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | Japan | 1,524,870 | 52,570 | |||||||||
|
| |||||||||||
Total | 190,319 | |||||||||||
|
| |||||||||||
Health Care (10.1%) | ||||||||||||
AstraZeneca PLC | United Kingdom | 302,460 | 36,329 | |||||||||
Fresenius Medical Care AG & Co. | Germany | 482,620 | 40,082 |
Common Stocks (97.3%) | Country | Shares/ Par + | Value $ (000’s) | |||||||||
Health Care continued | ||||||||||||
GlaxoSmithKline PLC | United Kingdom | 1,736,450 | 34,094 | |||||||||
Icon Public Limited Co. * | Ireland | 89,280 | 18,455 | |||||||||
Richter Gedeon Nyrt | Hungary | 328,290 | 8,740 | |||||||||
Roche Holding AG | Switzerland | 93,280 | 35,139 | |||||||||
Smith & Nephew PLC | United Kingdom | 909,530 | 19,659 | |||||||||
|
| |||||||||||
Total | 192,498 | |||||||||||
|
| |||||||||||
Industrials (16.0%) | ||||||||||||
Adecco Group AG | Switzerland | 250,400 | 17,012 | |||||||||
BAE Systems PLC | United Kingdom | 6,375,240 | 46,035 | |||||||||
CK Hutchison Holdings, Ltd. | Cayman Islands | 3,285,990 | 25,605 | |||||||||
Eiffage SA | France | 269,060 | 27,373 | |||||||||
Hitachi, Ltd. | Japan | 1,220,260 | 69,869 | |||||||||
International Consolidated Airlines Group, SA * | Spain | 8,060,730 | 19,426 | |||||||||
Komatsu, Ltd. | Japan | 1,259,280 | 31,291 | |||||||||
Mitsubishi Electric Corp. | Japan | 2,484,900 | 36,067 | |||||||||
Taisei Corp. | Japan | 1,032,700 | 33,836 | |||||||||
|
| |||||||||||
Total | 306,514 | |||||||||||
|
| |||||||||||
Information Technology (9.7%) |
| |||||||||||
Infineon Technologies AG | Germany | 470,050 | 18,850 | |||||||||
Kyocera Corp. | Japan | 703,600 | 43,497 | |||||||||
NXP Semiconductors NV | Netherlands | 97,680 | 20,095 | |||||||||
Samsung Electronics Co., Ltd. * | South Korea | 826,650 | 59,238 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 2,028,625 | 43,321 | |||||||||
|
| |||||||||||
Total | 185,001 | |||||||||||
|
| |||||||||||
Materials (10.7%) | ||||||||||||
ArcelorMittal SA | Luxembourg | 470,080 | 14,409 | |||||||||
Barrick Gold Corp. | Canada | 1,059,530 | 21,911 | |||||||||
Covestro AG | Germany | 364,260 | 23,522 | |||||||||
CRH PLC | Ireland | 614,410 | 30,963 | |||||||||
DS Smith PLC | United Kingdom | 5,769,250 | 33,351 | |||||||||
Sumitomo Metal Mining Co., Ltd. | Japan | 637,350 | 24,812 | |||||||||
Wheaton Precious Metals Corp. | Canada | 838,490 | 36,960 | |||||||||
Yara International ASA | Norway | 367,740 | 19,356 | |||||||||
|
| |||||||||||
Total | 205,284 | |||||||||||
|
| |||||||||||
Utilities (6.6%) | ||||||||||||
E.ON SE | Germany | 4,788,900 | 55,388 | |||||||||
Red Electrica Corp SA | Spain | 1,615,270 | 29,984 | |||||||||
Veolia Environnement SA | France | 1,357,840 | 41,008 | |||||||||
|
| |||||||||||
Total | 126,380 | |||||||||||
|
| |||||||||||
Total Common Stocks | ||||||||||||
(Cost: $1,539,170) |
| 1,862,205 | ||||||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
76
Table of Contents
International Equity Portfolio
Governments (0.1%) | Country | Shares/ Par + | Value $ (000’s) | |||||||||
Governments (0.1%) | ||||||||||||
Federal Home Loan Bank 0.010%, 7/1/21 |
| 1,300,000 | 1,300 | |||||||||
|
| |||||||||||
Total | 1,300 | |||||||||||
|
| |||||||||||
Total Governments | ||||||||||||
(Cost: $1,300) |
| 1,300 | ||||||||||
|
|
Short-Term Investments (2.3%) | Country | Shares/ Par + | Value $ (000’s) | |||||||||
Money Market Funds (2.3%) |
| |||||||||||
State Street Institutional U.S. | | United States | | 43,976,157 | 43,976 | |||||||
|
| |||||||||||
Total | 43,976 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | ||||||||||||
(Cost: $43,976) |
| 43,976 | ||||||||||
|
| |||||||||||
Total Investments (99.7%) |
| |||||||||||
(Cost: $1,584,446)@ |
| 1,907,481 | ||||||||||
|
| |||||||||||
Other Assets, Less Liabilities (0.3%) |
| 6,159 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | 1,913,640 | |||||||||||
|
|
Investments Percentage by Country is based on Net Assets: | ||||||
Japan | 22.3% | |||||
United Kingdom | 18.1% | |||||
Germany | 15.1% | |||||
France | 7.2% | |||||
South Korea | 5.1% | |||||
Other | 31.9% | |||||
Total | 99.7% |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,584,446 and the net unrealized appreciation of investments based on that cost was $323,035 which is comprised of $348,510 aggregate gross unrealized appreciation and $25,475 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 1,862,205 | $ | - | $ | - | ||||||||
Governments | - | 1,300 | - | |||||||||||
Short-Term Investments | 43,976 | - | - | |||||||||||
Total Assets: | $ | 1,906,181 | $ | 1,300 | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
77
Table of Contents
Emerging Markets Equity Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Information Technology | 27.5 | % | ||
Consumer Discretionary | 18.5 | % | ||
Financials | 17.6 | % | ||
Materials | 10.3 | % | ||
Communication Services | 5.6 | % | ||
Industrials | 5.1 | % | ||
Consumer Staples | 4.6 | % | ||
Health Care | 3.3 | % | ||
Energy | 3.1 | % | ||
Short-Term Investments & Other Net Assets | 1.9 | % | ||
Real Estate | 1.4 | % | ||
Utilities | 1.1 | % |
Sector Allocation is subject to change.
Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.
The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.
78
Table of Contents
Emerging Markets Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (93.9%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Communication Services (5.6%) |
| |||||||||||
Sea, Ltd.* | Cayman Islands | 27,912 | 7,665 | |||||||||
Tencent Holdings, Ltd. | Cayman Islands | 619,500 | 46,596 | |||||||||
Yandex NV* | Netherlands | 78,220 | 5,534 | |||||||||
|
| |||||||||||
Total | 59,795 | |||||||||||
|
| |||||||||||
Consumer Discretionary (18.5%) |
| |||||||||||
Alibaba Group Holding, Ltd.* | Cayman Islands | 1,920,400 | 54,414 | |||||||||
Allegro.eu SA* | Luxembourg | 489,201 | 8,419 | |||||||||
China Tourism Group Duty Free Corp, Ltd. - Class A | China | 300,597 | 13,961 | |||||||||
Li Ning Co., Ltd. | Cayman Islands | 889,500 | 10,860 | |||||||||
Meituan Dianping - Class B* | Cayman Islands | 372,100 | 15,355 | |||||||||
MercadoLibre, Inc.* | United States | 7,619 | 11,869 | |||||||||
Midea Group Co., Ltd. - Class A | China | 961,267 | 10,618 | |||||||||
Naspers, Ltd. - Class N | South Africa | 137,632 | 28,897 | |||||||||
New Oriental Education & Technology Group, Inc.* | Cayman Islands | 563,240 | 4,643 | |||||||||
Prosus NV* | Netherlands | 72,106 | 7,051 | |||||||||
Sands China, Ltd.* | Cayman Islands | 3,306,400 | 13,925 | |||||||||
Shenzhou International Group Holdings, Ltd. | Cayman Islands | 702,100 | 17,733 | |||||||||
|
| |||||||||||
Total | 197,745 | |||||||||||
|
| |||||||||||
Consumer Staples (4.6%) | ||||||||||||
Budweiser Brewing Co. APAC, Ltd. | Cayman Islands | 3,062,400 | 9,663 | |||||||||
Fomento Economico Mexicano SAB de CV, ADR | Mexico | 158,900 | 13,429 | |||||||||
Hindustan Unilever, Ltd. | India | 283,719 | 9,447 | |||||||||
ITC, Ltd. | India | 3,534,357 | 9,638 | |||||||||
Kweichow Moutai Co., Ltd. - Class A | China | 23,280 | 7,410 | |||||||||
|
| |||||||||||
Total | 49,587 | |||||||||||
|
| |||||||||||
Energy (3.1%) | ||||||||||||
LUKOIL PJSC, ADR | Russia | 151,355 | 13,964 | |||||||||
Novatek PJSC | Russia | 853,998 | 18,756 | |||||||||
|
| |||||||||||
Total | 32,720 | |||||||||||
|
| |||||||||||
Financials (17.6%) | ||||||||||||
AIA Group, Ltd. | Hong Kong | 1,324,200 | 16,458 | |||||||||
B3 SA - Brasil, Bolsa, Balcao | Brazil | 1,658,300 | 5,608 | |||||||||
Banco Bradesco SA, ADR | Brazil | 3,479,920 | 17,852 | |||||||||
Bank Central Asia Tbk PT | Indonesia | 5,457,100 | 11,338 | |||||||||
Bank of the Philippine Islands | Philippines | 2,680,376 | 4,870 | |||||||||
China Merchants Bank Co., Ltd. - Class H | China | 2,353,000 | 20,077 | |||||||||
Grupo Financiero Banorte SAB de CV | Mexico | 2,409,150 | 15,513 |
Common Stocks (93.9%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Financials continued | ||||||||||||
Hong Kong Exchanges & Clearing, Ltd. | Hong Kong | 234,492 | 13,977 | |||||||||
Housing Development Finance Corp., Ltd. | India | 803,284 | 26,777 | |||||||||
Kotak Mahindra Bank, Ltd.* | India | 512,593 | 11,757 | |||||||||
Ping An Insurance Group Co. of China, Ltd. - Class H | China | 867,500 | 8,497 | |||||||||
PT Bank Rakyat Indonesia Persero Tbk | Indonesia | 32,733,800 | 8,895 | |||||||||
Sberbank of Russia PJSC | Russia | 2,992,876 | 12,470 | |||||||||
SBI Life Insurance Co., Ltd. | India | 972,100 | 13,172 | |||||||||
|
| |||||||||||
Total | 187,261 | |||||||||||
|
| |||||||||||
Health Care (3.3%) | ||||||||||||
Hangzhou Tigermed Consulting Co., Ltd. - Class A | China | 198,999 | 5,953 | |||||||||
Hangzhou Tigermed Consulting Co., Ltd. - Class H | China | 92,100 | 2,159 | |||||||||
Wuxi Biologics Cayman, Inc.* | Cayman Islands | 1,468,000 | 26,905 | |||||||||
|
| |||||||||||
Total | 35,017 | |||||||||||
|
| |||||||||||
Industrials (5.1%) | ||||||||||||
China Conch Venture Holdings, Ltd. | Cayman Islands | 1,655,500 | 6,972 | |||||||||
Grupo Aeroportuario del Sureste SAB de CV - Class B* | Mexico | 298,110 | 5,489 | |||||||||
NARI Technology Co., Ltd. - Class A | China | 3,258,615 | 11,720 | |||||||||
Rumo SA* | Brazil | 1,425,330 | 5,488 | |||||||||
Shanghai International Airport Co., Ltd. - Class A | China | 919,281 | 6,848 | |||||||||
Sungrow Power Supply Co., Ltd. - Class A | China | 519,097 | 9,244 | |||||||||
WEG SA | Brazil | 848,533 | 5,747 | |||||||||
Xinjiang Goldwind Science & Technology Co., Ltd. - Class H | China | 1,684,000 | 2,633 | |||||||||
|
| |||||||||||
Total | 54,141 | |||||||||||
|
| |||||||||||
Information Technology (23.3%) |
| |||||||||||
ASML Holding NV | Netherlands | 24,205 | 16,630 | |||||||||
Delta Electronics, Inc. | Taiwan | 797,000 | 8,667 | |||||||||
GDS Holdings, Ltd.* | Cayman Islands | 212,000 | 2,100 | |||||||||
Hon Hai Precision Industry Co., Ltd. | Taiwan | 2,702,000 | 10,861 | |||||||||
LONGi Green Energy Technology Co., Ltd. - Class A | China | 2,011,108 | 27,651 | |||||||||
Samsung Electronics Co., Ltd. | South Korea | 655,892 | 47,001 |
The Accompanying Notes are an Integral Part of the Financial Statements.
79
Table of Contents
Emerging Markets Equity Portfolio
Common Stocks (93.9%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Information Technology continued |
| |||||||||||
Samsung SDI Co., Ltd. | South Korea | 25,952 | 16,085 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 4,444,290 | 94,907 | |||||||||
Tata Consultancy Services, Ltd. | India | 537,665 | 24,240 | |||||||||
|
| |||||||||||
Total | 248,142 | |||||||||||
|
| |||||||||||
Materials (10.3%) | ||||||||||||
Anglo American Platinum, Ltd. | South Africa | 107,387 | 12,404 | |||||||||
Grupo Mexico SAB de CV | Mexico | 1,889,682 | 8,907 | |||||||||
LG Chem, Ltd. | South Korea | 28,823 | 21,755 | |||||||||
Mondi PLC | | United Kingdom | | 525,774 | 13,844 | |||||||
UltraTech Cement, Ltd. | India | 142,589 | 12,987 | |||||||||
Vale SA, ADR | Brazil | 1,337,960 | 30,519 | |||||||||
Yunnan Energy New Material Co., Ltd. - Class A | China | 253,395 | 9,180 | |||||||||
|
| |||||||||||
Total | 109,596 | |||||||||||
|
| |||||||||||
Real Estate (1.4%) | ||||||||||||
China Resources Land, Ltd. | Cayman Islands | 3,640,000 | 14,744 | |||||||||
|
| |||||||||||
Total | 14,744 | |||||||||||
|
|
Common Stocks (93.9%) | Country | Shares/ Par+ | Value $ (000’s) | |||||||||
Utilities (1.1%) | ||||||||||||
China Resources Gas Group, Ltd. | Bermuda | 1,916,000 | 11,500 | |||||||||
|
| |||||||||||
Total | 11,500 | |||||||||||
|
| |||||||||||
Total Common Stocks | ||||||||||||
(Cost: $682,511) |
| 1,000,248 | ||||||||||
|
| |||||||||||
Preferred Stocks (4.2%) | ||||||||||||
Information Technology (4.2%) |
| |||||||||||
Samsung Electronics Co., Ltd. | South Korea | 687,434 | 44,989 | |||||||||
|
| |||||||||||
Total | 44,989 | |||||||||||
|
| |||||||||||
Total Preferred Stocks | ||||||||||||
(Cost: $24,675) |
| 44,989 | ||||||||||
|
| |||||||||||
Short-Term Investments (2.1%) | ||||||||||||
Money Market Funds (2.1%) |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | United States | 22,132,091 | 22,132 | |||||||||
|
| |||||||||||
Total | 22,132 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | ||||||||||||
(Cost: $22,132) |
| 22,132 | ||||||||||
|
| |||||||||||
Total Investments (100.2%) |
| |||||||||||
(Cost: $729,318)@ |
| 1,067,369 | ||||||||||
|
| |||||||||||
Other Assets, Less | ||||||||||||
Liabilities (-0.2%) | (2,368 | ) | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | 1,065,001 | |||||||||||
|
|
Investments Percentage by Country is based on Net Assets: | ||||||
Cayman Islands | 21.7 | % | ||||
China | 12.9 | % | ||||
South Korea | 12.1 | % | ||||
Taiwan | 10.7 | % | ||||
India | 10.1 | % | ||||
Brazil | 6.1 | % | ||||
Other | 26.6 | % | ||||
Total | 100.2 | % |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $729,318 and the net unrealized appreciation of investments based on that cost was $338,051 which is comprised of $371,201 aggregate gross unrealized appreciation and $33,150 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
80
Table of Contents
Emerging Markets Equity Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Preferred Stocks | $ | 44,989 | $ | - | $ | - | ||||||||
Common Stocks | 1,000,248 | - | - | |||||||||||
Short-Term Investments | 22,132 | - | - | |||||||||||
Total Assets: | $ | 1,067,369 | $ | - | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
81
Table of Contents
Government Money Market Portfolio (unaudited)
Not all obligations of the U.S. government, its agencies and instrumentalities are backed by the full faith and credit of the U.S. Treasury. Some obligations are backed only by the credit of the issuing agency or instrumentality, and in some cases there may be some risk of default by the issuer. Any guarantee by the U.S. government or its agencies or instrumentalities of a security held by the Portfolio does not apply to the market value of such security or to shares of the Portfolio itself.
If the other party to a repurchase agreement defaults on its obligation under the agreement, the Portfolio may suffer delays and incur costs or lose money in exercising its rights under the agreement. These risks may be heightened if the other party is located outside the U.S. If the seller fails to repurchase the security and the market value of the security declines, the Portfolio may lose money.
You could lose money investing in the Government Money Market Portfolio. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Portfolio’s sponsor has no legal obligation to provide financial support to the Portfolio, and you should not expect that the sponsor will provide financial support to the Portfolio at any time.
82
Table of Contents
Government Money Market Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Money Market Investments (103.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Money Market Funds (0.0%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.030% # | 48,898 | 49 | ||||||
|
| |||||||
Total | 49 | |||||||
|
| |||||||
Repurchase Agreements (31.5%) | ||||||||
Tri-Party Bank of Montreal, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $20,000,028, collateralized by various US Treasury obligations, 0.000% to 2.000%, due from 2/15/2029 to 2/15/2050, aggregate par and fair value of $23,206,878 and $20,400,087, respectively) | 20,000,000 | 20,000 | ||||||
Tri-Party Bank of Nova Scotia, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $12,000,017, collateralized by various US Treasury obligations, 0.125% to 2.375%, due from 7/31/2022 to 2/15/2051, aggregate par and fair value of $11,651,546 and $12,240,047, respectively) | 12,000,000 | 12,000 | ||||||
Tri-Party BNP Paribas, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $30,000,042, collateralized by various US Treasury obligations, 0.000% to 3.000%, due from 12/2/2021 to 8/15/2048, aggregate par and fair value of $39,154,153 and $30,600,001, respectively) | 30,000,000 | 30,000 | ||||||
Tri-Party BNP Paribas, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US government sponsored agency obligations, 1.625% to 6.500%, due from 12/15/2033 to 6/20/2051, aggregate par and fair value of $9,542,439 and $10,200,000, respectively) | 10,000,000 | 10,000 | ||||||
Tri-Party Citigroup Global Markets, Inc., 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $6,000,008, collateralized by various US Treasury obligations, 0.125% to 2.125%, due from 4/30/2022 to 10/15/2024, aggregate par and fair value of $5,684,366 and $6,120,004, respectively) | 6,000,000 | 6,000 | ||||||
Tri-Party Citigroup Global Markets, Inc., 0.060%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $15,000,025, collateralized by US Treasury Note, 1.500%, due 9/30/2021, par and fair value of $15,244,639 and $15,300,038, respectively) | 15,000,000 | 15,000 |
Money Market Investments (103.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Repurchase Agreements continued | ||||||||
Tri-Party Goldman Sachs Group LP, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $15,000,021, collateralized by US government sponsored agency, 4.000%, due 12/20/2049, par and fair value of $14,431,648 and $15,300,000, respectively) | 15,000,000 | 15,000 | ||||||
Tri-Party Mitsubishi UFJ, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 4.375%, due from 12/29/2027 to 10/15/2060, aggregate par and fair value of $9,996,875 and $10,200,000, respectively) | 10,000,000 | 10,000 | ||||||
Tri-Party Mizuho Securities, 0.055%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $22,000,034, collateralized by US Treasury Inflation Index Note, 0.125%, due 4/15/2026, par and fair value of $20,649,378 and $22,440,030, respectively) | 22,000,000 | 22,000 | ||||||
Tri-Party Natixis S.A., 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US Treasury obligations, 0.125% to 4.375%, due from 6/30/2023 to 2/15/2050, aggregate par and fair value of $10,081,897 and $10,200,001, respectively) | 10,000,000 | 10,000 | ||||||
Tri-Party TD Securities, 0.060%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $19,000,032, collateralized by various US government sponsored agency obligations, 0.065% to 0.090%, due from 12/21/2022 to 4/10/2023, aggregate par and fair value of $19,387,745 and $19,380,965, respectively) | 19,000,000 | 19,000 | ||||||
|
| |||||||
Total | 169,000 | |||||||
|
| |||||||
US Government & Agencies (71.5%) | ||||||||
Federal Farm Credit Bank, 0.000%, 7/1/21 | 5,645,000 | 5,645 | ||||||
Federal Farm Credit Bank, 0.000%, 8/31/21 | 1,520,000 | 1,520 | ||||||
Federal Farm Credit Bank, 0.000%, 9/22/21 | 3,580,000 | 3,579 | ||||||
Federal Farm Credit Bank, 0.000%, 11/16/21 | 3,660,000 | 3,659 | ||||||
Federal Farm Credit Bank, 0.000%, 11/17/21 | 4,305,000 | 4,304 | ||||||
Federal Farm Credit Bank, 0.100%, (US SOFR plus 0.050%), 5/5/22 | 3,000,000 | 3,000 | ||||||
Federal Farm Credit Bank, 0.100%, (US SOFR plus 0.050%), 2/17/23 | 2,270,000 | 2,270 | ||||||
Federal Farm Credit Bank, 0.110%, (US SOFR plus 0.060%), 1/20/23 | 550,000 | 550 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Government Money Market Portfolio
Money Market Investments (103.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
US Government & Agencies continued | ||||||||
Federal Farm Credit Bank, 0.125%, (US SOFR plus 0.075%), 11/3/22 | 1,050,000 | 1,050 | ||||||
Federal Farm Credit Bank, 0.135%, (US SOFR plus 0.085%), 10/7/22 | 1,985,000 | 1,985 | ||||||
Federal Farm Credit Bank, 0.145%, (US SOFR plus 0.095%), 9/2/22 | 2,535,000 | 2,535 | ||||||
Federal Farm Credit Bank, 0.165%, (US Treasury 3 Month Bill Money Market Yield plus 0.120%), 5/2/22 | 735,000 | 735 | ||||||
Federal Farm Credit Bank, 0.183%, (ICE LIBOR USD 1 Month plus 0.110%), 11/12/21 | 500,000 | 500 | ||||||
Federal Farm Credit Bank, 0.200%, (US Treasury 3 Month Bill Money Market Yield plus 0.150%), 12/13/21 | 1,195,000 | 1,194 | ||||||
Federal Farm Credit Bank, 0.230%, (US SOFR plus 0.180%), 1/14/22 | 1,940,000 | 1,940 | ||||||
Federal Farm Credit Bank, 0.240%, (US SOFR plus 0.190%), 11/18/21 | 835,000 | 835 | ||||||
Federal Farm Credit Bank, 0.240%, (US SOFR plus 0.190%), 7/14/22 | 1,630,000 | 1,630 | ||||||
Federal Farm Credit Bank, 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 7/1/21 | 1,450,000 | 1,450 | ||||||
Federal Farm Credit Bank, 0.270%, (US Treasury 3 Month Bill Money Market Yield plus 0.225%), 7/8/21 | 1,015,000 | 1,015 | ||||||
Federal Farm Credit Bank, 0.280%, (US SOFR plus 0.180%), 7/20/22 | 5,575,000 | 5,574 | ||||||
Federal Home Loan Bank, 0.000%, 7/14/21 | 560,000 | 560 | ||||||
Federal Home Loan Bank, 0.000%, 7/28/21 | 1,265,000 | 1,265 | ||||||
Federal Home Loan Bank, 0.000%, 8/4/21 | 750,000 | 750 | ||||||
Federal Home Loan Bank, 0.000%, 8/11/21 | 1,090,000 | 1,090 | ||||||
Federal Home Loan Bank, 0.000%, 8/12/21 | 810,000 | 810 | ||||||
Federal Home Loan Bank, 0.000%, 9/17/21 | 3,610,000 | 3,610 | ||||||
Federal Home Loan Bank, 0.000%, 9/23/21 | 2,705,000 | 2,705 | ||||||
Federal Home Loan Bank, 0.000%, 9/29/21 | 13,015,000 | 13,013 | ||||||
Federal Home Loan Bank, 0.000%, 11/5/21 | 1,605,000 | 1,605 | ||||||
Federal Home Loan Bank, 0.040%, 10/15/21 | 1,100,000 | 1,100 | ||||||
Federal Home Loan Bank, 0.050%, 12/23/21 | 1,330,000 | 1,330 | ||||||
Federal Home Loan Bank, 0.060%, (US SOFR plus 0.010%), 3/28/22 | 385,000 | 385 | ||||||
Federal Home Loan Bank, 0.060%, (US SOFR plus 0.010%), 3/30/22 | 615,000 | 615 | ||||||
Federal Home Loan Bank, 0.065%, (US SOFR plus 0.015%), 12/10/21 | 10,000,000 | 10,000 | ||||||
Federal Home Loan Bank, 0.065%, (US SOFR plus 0.015%), 12/16/22 | 5,915,000 | 5,915 | ||||||
Federal Home Loan Bank, 0.115%, (US SOFR plus 0.065%), 4/28/22 | 945,000 | 945 | ||||||
Federal Home Loan Bank, 0.125%, (US SOFR plus 0.075%), 7/8/21 | 1,465,000 | 1,465 | ||||||
Federal Home Loan Bank, 0.125%, (US SOFR plus 0.075%), 7/23/21 | 950,000 | 950 | ||||||
Federal Home Loan Bank, 0.135%, (US SOFR plus 0.085%), 9/10/21 | 4,415,000 | 4,415 | ||||||
Federal Home Loan Bank, 0.170%, (US SOFR plus 0.120%), 2/28/22 | 2,695,000 | 2,695 |
Money Market Investments (103.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
US Government & Agencies continued | ||||||||
Federal Home Loan Mortgage Corp., 0.115%, (US SOFR plus 0.065%), 11/10/22 | 1,605,000 | 1,605 | ||||||
Federal Home Loan Mortgage Corp., 0.230%, (US SOFR plus 0.180%), 12/13/21 | 2,275,000 | 2,275 | ||||||
Federal Home Loan Mortgage Corp., 0.240%, (US SOFR plus 0.190%), 6/2/22 | 6,140,000 | 6,140 | ||||||
Federal Home Loan Mortgage Corp., 0.370%, (US SOFR plus 0.320%), 9/23/21 | 3,065,000 | 3,065 | ||||||
Federal National Mortgage Association, 0.340%, (US SOFR plus 0.290%), 10/4/21 | 8,000,000 | 8,000 | ||||||
Federal National Mortgage Association, 0.350%, (US SOFR plus 0.300%), 4/28/22 | 5,000,000 | 5,000 | ||||||
Federal National Mortgage Association, 0.400%, (US SOFR plus 0.350%), 4/7/22 | 2,740,000 | 2,740 | ||||||
Federal National Mortgage Association, 0.440%, (US SOFR plus 0.390%), 4/15/22 | 3,090,000 | 3,090 | ||||||
Federal National Mortgage Association, 1.375%, 10/7/21 | 1,280,000 | 1,284 | ||||||
US Treasury, 0.000%, 7/1/21 | 3,835,000 | 3,835 | ||||||
US Treasury, 0.000%, 7/8/21 | 16,115,000 | 16,115 | ||||||
US Treasury, 0.000%, 7/13/21 | 20,000,000 | 20,000 | ||||||
US Treasury, 0.000%, 7/22/21 | 4,969,000 | 4,969 | ||||||
US Treasury, 0.000%, 7/27/21 | 9,600,000 | 9,600 | ||||||
US Treasury, 0.000%, 7/29/21 | 15,000,000 | 15,000 | ||||||
US Treasury, 0.000%, 8/5/21 | 55,000,000 | 54,998 | ||||||
US Treasury, 0.000%, 8/10/21 | 2,040,000 | 2,040 | ||||||
US Treasury, 0.000%, 8/12/21 | 2,190,000 | 2,190 | ||||||
US Treasury, 0.000%, 8/24/21 | 10,000,000 | 9,999 | ||||||
US Treasury, 0.000%, 9/30/21 | 12,000,000 | 11,998 | ||||||
US Treasury, 0.000%, 10/5/21 | 9,380,000 | 9,379 | ||||||
US Treasury, 0.000%, 10/19/21 | 1,140,000 | 1,140 | ||||||
US Treasury, 0.000%, 11/2/21 | 1,863,600 | 1,863 | ||||||
US Treasury, 0.000%, 11/4/21 | 2,760,700 | 2,759 | ||||||
US Treasury, 0.000%, 11/12/21 | 925,000 | 925 | ||||||
US Treasury, 0.000%, 12/2/21 | 12,398,500 | 12,393 | ||||||
US Treasury, 0.000%, 12/9/21 | 8,987,400 | 8,986 | ||||||
US Treasury, 0.000%, 12/16/21 | 10,233,000 | 10,231 | ||||||
US Treasury, 0.000%, 12/23/21 | 16,360,000 | 16,356 | ||||||
US Treasury, 0.000%, 12/30/21 | 14,155,000 | 14,147 | ||||||
US Treasury, 0.000%, 1/27/22 | 8,376,900 | 8,373 | ||||||
US Treasury, 0.099%, (US Treasury 3 Month Bill Money Market Yield plus 0.049%), 1/31/23 | 9,500,000 | 9,501 | ||||||
US Treasury, 0.125%, 6/30/22 | 410,000 | 410 | ||||||
US Treasury, 0.270%, (US Treasury 3 Month Bill Money Market Yield plus 0.220%), 7/31/21 | 2,000,000 | 2,000 | ||||||
US Treasury, 0.375%, 3/31/22 | 135,000 | 135 | ||||||
US Treasury, 1.750%, 2/28/22 | 135,000 | 136 | ||||||
US Treasury, 1.750%, 6/15/22 | 110,000 | 112 | ||||||
US Treasury, 2.125%, 5/15/22 | 920,000 | 936 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Government Money Market Portfolio
Money Market Investments (103.0%) | Shares/ Par + | Value $ (000’s) | ||||||
US Government & Agencies continued | ||||||||
US Treasury, 2.500%, 2/15/22 | 130,000 | 132 | ||||||
|
| |||||||
Total | 384,050 | |||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $553,099) |
| 553,099 | ||||||
|
| |||||||
Total Investments (103.0%) |
| |||||||
(Cost: $553,099) | 553,099 | |||||||
|
| |||||||
Other Assets, Less | (16,189 | ) | ||||||
|
| |||||||
Liabilities (-3.0%) | ||||||||
Net Assets (100.0%) | 536,910 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
# | 7-Day yield as of 6/30/2021. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | $ | 49 | $ | - | $ | - | ||||||||
All Others | - | 553,050 | - | |||||||||||
Total Assets: | $ | 49 | $ | 553,050 | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Table of Contents
Short-Term Bond Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||||
Corporate Bonds | 49.2 | % | ||||||
Structured Products | 32.5 | % | ||||||
Governments | 14.5 | % | ||||||
Short-Term Investments & Other Net Assets | 3.0 | % | ||||||
Municipal Bonds | 0.8 | % |
Sector Allocation is subject to change.
Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.
Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.
Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.
The Portfolio may invest in derivative instruments to adjust the Portfolio’s duration and yield curve exposure, to hedge foreign currency exposure or for any other permissible purpose keeping with its investment objective. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
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Short-Term Bond Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Basic Materials (0.3%) | ||||||||
LYB International Finance III, LLC | 380,000 | 379 | ||||||
Nucor Corp. | 155,000 | 161 | ||||||
POSCO | 810,000 | 827 | ||||||
|
| |||||||
Total | 1,367 | |||||||
|
| |||||||
Communications (3.1%) | ||||||||
AT&T, Inc. | 1,060,000 | 1,062 | ||||||
Baidu, Inc. | 405,000 | 414 | ||||||
3.500%, 11/28/22 b | 345,000 | 358 | ||||||
Charter Communications Operating LLC / | ||||||||
Charter Communications Operating Capital Corp. | 2,107,000 | 2,181 | ||||||
4.908%, 7/23/25 b | 995,000 | 1,127 | ||||||
Comcast Corp. | 125,000 | 135 | ||||||
3.700%, 4/15/24 b | 460,000 | 499 | ||||||
Cox Communications, Inc. | 298,000 | 318 | ||||||
Crown Castle Towers LLC | 300,000 | 310 | ||||||
Expedia, Inc. | 565,000 | 600 | ||||||
Fox Corp. | 420,000 | 428 | ||||||
NBN Co. Ltd. | 1,000,000 | 1,002 | ||||||
NTT Finance Corp. | 660,000 | 660 | ||||||
0.583%, 3/1/24 144A | 265,000 | 265 | ||||||
The Priceline Group, Inc. | 150,000 | 156 | ||||||
Sky, Ltd. | 310,000 | 339 | ||||||
T-Mobile USA, Inc. | 470,000 | 473 | ||||||
3.500%, 4/15/25 | 515,000 | 558 | ||||||
Verizon Communications, Inc. | 405,000 | 407 | ||||||
0.850%, 11/20/25 | 500,000 | 494 | ||||||
1.450%, 3/20/26 | 650,000 | 656 | ||||||
3.376%, 2/15/25 | 230,000 | 250 | ||||||
WPP Finance 2010 | 140,000 | 145 | ||||||
|
| |||||||
Total | 12,837 | |||||||
|
|
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer Staples (0.2%) | ||||||||
China Mengniu Dairy Co., Ltd. | 856,000 | 862 | ||||||
|
| |||||||
Total | 862 | |||||||
|
| |||||||
Consumer, Cyclical (4.7%) | ||||||||
7-Eleven, Inc. | 180,000 | 180 | ||||||
0.625%, 2/10/23 144A | 200,000 | 200 | ||||||
0.800%, 2/10/24 144A | 325,000 | 324 | ||||||
American Airlines Pass Through Trust, | 268,222 | 260 | ||||||
AutoZone, Inc. | 235,000 | 257 | ||||||
Daimler Finance North America LLC | 815,000 | 832 | ||||||
Ford Motor Credit Co. LLC | 220,000 | 222 | ||||||
5.875%, 8/2/21 | 200,000 | 201 | ||||||
General Motors Co. | 530,000 | 577 | ||||||
5.400%, 10/2/23 | 500,000 | 551 | ||||||
General Motors Financial Co., Inc. | 845,000 | 894 | ||||||
Harley-Davidson Financial Services, Inc. | 210,000 | 213 | ||||||
4.050%, 2/4/22 144A | 560,000 | 572 | ||||||
Hasbro, Inc. | 395,000 | 406 | ||||||
3.000%, 11/19/24 | 525,000 | 559 | ||||||
Hyundai Capital America | 390,000 | 388 | ||||||
0.875%, 6/14/24 144A | 510,000 | 507 | ||||||
1.150%, 11/10/22 144A | 385,000 | 387 | ||||||
2.375%, 2/10/23 144A | 865,000 | 888 | ||||||
2.850%, 11/1/22 144A | 228,000 | 234 | ||||||
3.000%, 6/20/22 144A | 470,000 | 481 | ||||||
3.950%, 2/1/22 144A | 245,000 | 250 | ||||||
Marriott International, Inc. | 170,000 | 175 | ||||||
3.600%, 4/15/24 | 585,000 | 624 | ||||||
McDonald’s Corp. | 270,000 | 275 | ||||||
3.300%, 7/1/25 | 155,000 | 168 | ||||||
3.350%, 4/1/23 | 305,000 | 320 | ||||||
Nissan Motor Acceptance Corp. | 1,010,000 | 1,031 | ||||||
2.650%, 7/13/22 144A | 120,000 | 122 | ||||||
3.650%, 9/21/21 144A | 405,000 | 408 | ||||||
Nissan Motor Co., Ltd. | 525,000 | 547 | ||||||
Nordstrom Inc. | 85,000 | 85 | ||||||
O’Reilly Automotive, Inc. | 195,000 | 201 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
Panasonic Corp. | 335,000 | 342 | ||||||
QVC, Inc. | 710,000 | 749 | ||||||
Ralph Lauren Corp. | 100,000 | 101 | ||||||
Ross Stores, Inc. | 245,000 | 240 | ||||||
4.600%, 4/15/25 | 1,100,000 | 1,242 | ||||||
Starbucks Corp. | 205,000 | 209 | ||||||
Toyota Industries Corp. | 435,000 | 443 | ||||||
Toyota Motor Credit Corp. | 875,000 | 892 | ||||||
United Airlines Pass Through Trust, Series 2019-2, | 161,242 | 160 | ||||||
Volkswagen Group of America Finance LLC | 360,000 | 361 | ||||||
0.875%, 11/22/23 144A | 345,000 | 346 | ||||||
2.500%, 9/24/21 144A | 200,000 | 201 | ||||||
2.700%, 9/26/22 144A | 290,000 | 298 | ||||||
2.900%, 5/13/22 144A | 200,000 | 204 | ||||||
3.125%, 5/12/23 144A | 200,000 | 209 | ||||||
|
| |||||||
Total | 19,336 | |||||||
|
| |||||||
Consumer, Non-cyclical (7.9%) | ||||||||
AbbVie, Inc. | 1,935,000 | 2,040 | ||||||
2.900%, 11/6/22 b | 775,000 | 801 | ||||||
3.200%, 11/6/22 b | 85,000 | 88 | ||||||
3.250%, 10/1/22 b | 80,000 | 82 | ||||||
3.450%, 3/15/22 b | 265,000 | 269 | ||||||
Aetna, Inc. | 275,000 | 286 | ||||||
AmerisourceBergen Corp. | 1,050,000 | 1,052 | ||||||
Archer-Daniels-Midland Co. | 240,000 | 256 | ||||||
Astrazeneca Finance LLC | 575,000 | 574 | ||||||
1.200%, 5/28/26 b | 805,000 | 802 | ||||||
AstraZeneca PLC | 825,000 | 823 | ||||||
3.500%, 8/17/23 b | 205,000 | 218 | ||||||
BAT International Finance PLC | 475,000 | 475 | ||||||
Baxalta, Inc. 3.600%, 6/23/22 b | 125,000 | 128 | ||||||
Bayer US Finance II LLC | 505,000 | 541 | ||||||
Becton Dickinson and Co. | 1,127,000 | 1,152 | ||||||
3.363%, 6/6/24 b | 695,000 | 745 | ||||||
3.734%, 12/15/24 b | 110,000 | 120 | ||||||
Bristol-Myers Squibb Co. | 268,000 | 286 | ||||||
3.250%, 2/20/23 b | 91,000 | 95 |
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
Bunge, Ltd. Finance Corp. | 1,880,000 | 1,931 | ||||||
4.350%, 3/15/24 b | 55,000 | 60 | ||||||
Cardinal Health, Inc. | 34,000 | 35 | ||||||
3.079%, 6/15/24 b | 310,000 | 329 | ||||||
3.200%, 3/15/23 b | 395,000 | 412 | ||||||
3.500%, 11/15/24 b | 525,000 | 565 | ||||||
Cargill, Inc. | 300,000 | 305 | ||||||
Cigna Corp. | 190,000 | 190 | ||||||
3.000%, 7/15/23 b | 320,000 | 335 | ||||||
3.750%, 7/15/23 b | 179,000 | 191 | ||||||
Coca-Cola European Partners PLC | 1,135,000 | 1,131 | ||||||
CommonSpirit Health | 365,000 | 368 | ||||||
CVS Health Corp. | 150,000 | 158 | ||||||
3.700%, 3/9/23 b | 164,000 | 173 | ||||||
Diageo Capital PLC | 300,000 | 305 | ||||||
EMD Finance LLC | 190,000 | 193 | ||||||
Equifax, Inc. | 285,000 | 285 | ||||||
3.600%, 8/15/21 b | 275,000 | 276 | ||||||
Gilead Sciences, Inc. | 1,115,000 | 1,115 | ||||||
Global Payments, Inc. | 345,000 | 363 | ||||||
Health Care Service Corp., a Mutual Legacy Reserve Co. | 780,000 | 792 | ||||||
Humana, Inc. | 140,000 | 145 | ||||||
3.150%, 12/1/22 | 150,000 | 155 | ||||||
3.850%, 10/1/24 | 355,000 | 385 | ||||||
4.500%, 4/1/25 | 565,000 | 633 | ||||||
IHS Markit, Ltd. | 380,000 | 408 | ||||||
Imperial Brands Finance PLC | 245,000 | 258 | ||||||
3.500%, 2/11/23 144A | 1,010,000 | 1,044 | ||||||
3.750%, 7/21/22 144A | 2,059,000 | 2,113 | ||||||
Moody’s Corp. | 505,000 | 554 | ||||||
PayPal Holdings, Inc. | 710,000 | 723 | ||||||
PeaceHealth Obligated Group | 105,000 | 106 | ||||||
Perrigo Company PLC | 200,000 | 209 | ||||||
Perrigo Finance Unlimited Co. | 2,160,000 | 2,326 | ||||||
Philip Morris International, Inc. | 220,000 | 223 |
The Accompanying Notes are an Integral Part of the Financial Statements.
90
Table of Contents
Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
Prosperous Ray, Ltd. | 650,000 | 698 | ||||||
RELX Capital, Inc. | 270,000 | 283 | ||||||
Royalty Pharma PLC | 425,000 | 426 | ||||||
Shire Acquisitions Investments Ireland DAC | 1,005,000 | 1,052 | ||||||
Stryker Corp. | 190,000 | 190 | ||||||
Thermo Fisher Scientific, Inc. | 180,000 | 199 | ||||||
Tyson Foods, Inc. | 280,000 | 280 | ||||||
|
| |||||||
Total | 32,755 | |||||||
|
| |||||||
Diversified (0.2%) | ||||||||
CK Hutchison International 17 II, Ltd. | 650,000 | 674 | ||||||
|
| |||||||
Total | 674 | |||||||
|
| |||||||
Energy (6.9%) | ||||||||
Aker BP ASA | 445,000 | 467 | ||||||
BP Capital Markets America, Inc. | 470,000 | 490 | ||||||
Canadian Natural Resources, Ltd. | 760,000 | 781 | ||||||
Cenovus Energy, Inc. | 1,125,000 | 1,148 | ||||||
3.800%, 9/15/23 b | 305,000 | 322 | ||||||
Cheniere Corpus Christi Holdings LLC | 425,000 | 487 | ||||||
7.000%, 6/30/24 b | 1,110,000 | 1,272 | ||||||
Diamondback Energy, Inc. | 830,000 | 877 | ||||||
4.750%, 5/31/25 b | 660,000 | 743 | ||||||
Enbridge, Inc. | 205,000 | 205 | ||||||
2.500%, 1/15/25 b | 565,000 | 592 | ||||||
4.000%, 10/1/23 b | 365,000 | 390 | ||||||
Energy Transfer Operating LP | 115,000 | 121 | ||||||
3.600%, 2/1/23 b | 175,000 | 182 | ||||||
4.200%, 9/15/23 b | 135,000 | 144 | ||||||
4.250%, 3/15/23 b | 780,000 | 818 | ||||||
4.900%, 2/1/24 b | 425,000 | 462 | ||||||
5.875%, 1/15/24 b | 1,054,000 | 1,168 | ||||||
Eni SpA | 755,000 | 806 | ||||||
Enterprise Products Operating LLC | 500,000 | 510 | ||||||
EOG Resources, Inc. | 140,000 | 145 | ||||||
EQT Corp. | 1,020,000 | 1,042 | ||||||
Equinor ASA | 880,000 | 940 |
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
Exxon Mobil Corp. | 1,025,000 | 1,099 | ||||||
Florida Gas Transmission Co., LLC | 250,000 | 256 | ||||||
Gray Oak Pipeline LLC | 295,000 | 301 | ||||||
2.600%, 10/15/25 144A | 205,000 | 211 | ||||||
Husky Energy, Inc. | 470,000 | 478 | ||||||
Kinder Morgan Energy Partners LP | 70,000 | 72 | ||||||
MPLX LP | 380,000 | 380 | ||||||
Occidental Petroleum Corp. | 430,000 | 430 | ||||||
Pioneer Natural Resources Co. | 350,000 | 350 | ||||||
0.750%, 1/15/24 | 370,000 | 370 | ||||||
Plains All American Pipeline LP / PAA | 725,000 | 744 | ||||||
Reliance Industries, Ltd. | 800,000 | 822 | ||||||
Sabine Pass Liquefaction LLC | 890,000 | 956 | ||||||
6.250%, 3/15/22 | 1,300,000 | 1,333 | ||||||
Saudi Arabian Oil Co. | 805,000 | 819 | ||||||
Schlumberger Finance Canada, Ltd. | 155,000 | 157 | ||||||
Schlumberger Holdings Corp. | 865,000 | 931 | ||||||
4.000%, 12/21/25 144A | 170,000 | 189 | ||||||
Shell International Finance BV | 570,000 | 599 | ||||||
Suncor Energy, Inc. | 395,000 | 411 | ||||||
Sunoco Logistics Partners Operations LP | 55,000 | 57 | ||||||
4.250%, 4/1/24 | 35,000 | 38 | ||||||
Valero Energy Corp. | 380,000 | 383 | ||||||
2.700%, 4/15/23 | 810,000 | 840 | ||||||
3.650%, 3/15/25 | 110,000 | 120 | ||||||
Western Midstream Operating LP | 800,000 | 813 | ||||||
The Williams Cos., Inc. | 979,000 | 1,019 | ||||||
Williams Partners LP | 95,000 | 97 | ||||||
4.300%, 3/4/24 | 145,000 | 158 | ||||||
|
| |||||||
Total | 28,545 | |||||||
|
| |||||||
Financial (17.6%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global | 475,000 | 483 | ||||||
4.125%, 7/3/23 b | 960,000 | 1,019 | ||||||
4.450%, 12/16/21 b | 605,000 | 614 | ||||||
4.500%, 9/15/23 b | 485,000 | 520 | ||||||
4.875%, 1/16/24 b | 150,000 | 163 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
AIA Group, Ltd. | 765,000 | 765 | ||||||
Air Lease Corp. | 360,000 | 370 | ||||||
3.500%, 1/15/22 b | 265,000 | 269 | ||||||
American International Group, Inc. | 650,000 | 686 | ||||||
4.875%, 6/1/22 b | 335,000 | 349 | ||||||
American Tower Corp. | 225,000 | 250 | ||||||
Aon Corp. | 180,000 | 184 | ||||||
Avolon Holdings Funding, Ltd. | 610,000 | 607 | ||||||
2.875%, 2/15/25 144A | 435,000 | 448 | ||||||
3.625%, 5/1/22 144A | 670,000 | 685 | ||||||
3.950%, 7/1/24 144A | 130,000 | 139 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,000,000 | 1,003 | ||||||
Banco del Estado de Chile | 260,000 | 270 | ||||||
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico 4.125%, 11/9/22 § | 775,000 | 805 | ||||||
Banco Santander SA 0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24 b | 600,000 | 601 | ||||||
Bank of America Corp. | 695,000 | 698 | ||||||
0.976%, (US SOFR plus 0.690%), 4/22/25 b | 605,000 | 607 | ||||||
1.348%, (ICE LIBOR USD 3 Month plus 1.160%), 1/20/23 b | 665,000 | 669 | ||||||
2.503%, 10/21/22 b | 280,000 | 282 | ||||||
Bank of Ireland Group PLC | 1,340,000 | 1,448 | ||||||
Banque Federative du Credit Mutuel SA | 505,000 | 504 | ||||||
2.125%, 11/21/22 144A | 630,000 | 645 | ||||||
Barclays Bank PLC | 285,000 | 288 | ||||||
Barclays PLC 4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24 b | 370,000 | 394 | ||||||
BDO Unibank, Inc. | 800,000 | 826 | ||||||
BPCE SA | 280,000 | 283 | ||||||
5.700%, 10/22/23 144A | 1,070,000 | 1,185 | ||||||
Brighthouse Financial Global Funding | 1,315,000 | 1,315 | ||||||
1.000%, 4/12/24 144A | 495,000 | 496 | ||||||
Brixmor Operating Partnership LP | 820,000 | 861 |
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Capital One Financial Corp. | 345,000 | 359 | ||||||
3.500%, 6/15/23 b | 245,000 | 259 | ||||||
3.900%, 1/29/24 b | 240,000 | 259 | ||||||
CC Holdings GS V LLC | 1,360,000 | 1,440 | ||||||
The Charles Schwab Corp. | 525,000 | 587 | ||||||
Citigroup, Inc. | 500,000 | 501 | ||||||
2.312%, (US SOFR plus 0.867%), 11/4/22 b | 575,000 | 579 | ||||||
2.900%, 12/8/21 b | 675,000 | 681 | ||||||
3.106%, (US SOFR plus 2.750%), 4/8/26 b | 650,000 | 696 | ||||||
Citizens Bank NA | 290,000 | 295 | ||||||
Cooperatieve Rabobank UA | 1,190,000 | 1,246 | ||||||
Credit Agricole SA | 315,000 | 319 | ||||||
Credit Suisse AG | 485,000 | 483 | ||||||
1.000%, 5/5/23 b | 860,000 | 869 | ||||||
2.800%, 4/8/22 b | 610,000 | 622 | ||||||
Credit Suisse Group AG | 500,000 | 516 | ||||||
Creditcorp, Ltd. | 200,000 | 203 | ||||||
Crown Castle International Corp. | 615,000 | 601 | ||||||
Danske Bank A/S | 880,000 | 889 | ||||||
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144A | 725,000 | 729 | ||||||
5.000%, 1/12/22 144A | 665,000 | 680 | ||||||
Discover Bank | 470,000 | 470 | ||||||
Eastern Creation II Investment Holdings, Ltd. 1.000%, 9/10/23 § | 900,000 | 898 | ||||||
Equitable Financial Life Global Funding | 1,145,000 | 1,147 | ||||||
First Niagara Financial Group, Inc. | 245,000 | 253 | ||||||
The Goldman Sachs Group, Inc. | 385,000 | 385 | ||||||
0.627%, (US SOFR plus 0.538%), 11/17/23 | 115,000 | 115 | ||||||
0.657%, (US SOFR plus 0.505%), 9/10/24 | 335,000 | 334 | ||||||
0.673%, (US SOFR plus 0.572%), 3/8/24 | 335,000 | 336 | ||||||
0.966%, (ICE LIBOR USD 3 Month plus 0.780%), 10/31/22 | 330,000 | 331 | ||||||
3.500%, 4/1/25 | 490,000 | 532 | ||||||
5.750%, 1/24/22 | 825,000 | 851 | ||||||
Highwoods Realty LP | 740,000 | 765 | ||||||
HPHT Finance 17, Ltd. | 520,000 | 532 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
HSBC Holdings PLC | 210,000 | 210 | ||||||
1.645%, (US SOFR plus 1.538%), 4/18/26 | 910,000 | 922 | ||||||
2.099%, (US SOFR plus 1.929%), 6/4/26 | 810,000 | 832 | ||||||
ING Groep NV | 335,000 | 338 | ||||||
JPMorgan Chase & Co. | 560,000 | 559 | ||||||
0.902%, (US SOFR plus 0.885%), 4/22/27 | 350,000 | 354 | ||||||
2.083%, (US SOFR plus 1.850%), 4/22/26 | 890,000 | 920 | ||||||
KeyBank NA | 580,000 | 589 | ||||||
LeasePlan Corp. NV | 200,000 | 210 | ||||||
Lincoln National Corp. | 130,000 | 139 | ||||||
Lloyds Banking Group PLC | 200,000 | 202 | ||||||
LSEGA Financing PLC | 765,000 | 764 | ||||||
Marsh & McLennan Cos., Inc. | 345,000 | 374 | ||||||
Metropolitan Life Global Funding | 430,000 | 429 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 390,000 | 392 | ||||||
3.218%, 3/7/22 | 535,000 | 546 | ||||||
Mizuho Financial Group Cayman 2 Ltd. | 930,000 | 963 | ||||||
Morgan Stanley | 450,000 | 450 | ||||||
0.560%, (US SOFR plus 0.466%), 11/10/23 | 640,000 | 641 | ||||||
0.731%, (US SOFR plus 0.616%), 4/5/24 | 560,000 | 561 | ||||||
2.750%, 5/19/22 | 485,000 | 496 | ||||||
4.100%, 5/22/23 | 160,000 | 170 | ||||||
4.875%, 11/1/22 | 375,000 | 396 | ||||||
Nasdaq, Inc. | 415,000 | 415 | ||||||
Nationwide Building Society | 615,000 | 631 | ||||||
3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A | 260,000 | 273 | ||||||
NatWest Group PLC | 520,000 | 555 | ||||||
NatWest Markets PLC | 390,000 | 388 | ||||||
2.375%, 5/21/23 144A | 640,000 | 662 | ||||||
New York Life Global Funding | 585,000 | 585 | ||||||
Park Aerospace Holdings, Ltd. | 230,000 | 242 | ||||||
5.250%, 8/15/22 144A | 375,000 | 392 |
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
PNC Bank NA | 325,000 | 332 | ||||||
2.950%, 1/30/23 | 335,000 | 348 | ||||||
Principal Life Global Funding II | 530,000 | 530 | ||||||
Public Storage | 280,000 | 280 | ||||||
QNB Finance Ltd. | 880,000 | 938 | ||||||
SBA Tower Trust | 280,000 | 280 | ||||||
1.884%, 1/15/26 144A | 160,000 | 162 | ||||||
2.836%, 1/15/25 144A | 440,000 | 462 | ||||||
Simon Property Group LP 2.000%, 9/13/24 | 225,000 | 233 | ||||||
3.375%, 10/1/24 | 450,000 | 484 | ||||||
Standard Chartered PLC | 220,000 | 219 | ||||||
1.319%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.170%), 10/14/23 144A | 455,000 | 459 | ||||||
1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 1/20/23 144A | 435,000 | 437 | ||||||
2.744%, (ICE LIBOR USD 3 Month plus 1.200%), 9/10/22 144A | 670,000 | 673 | ||||||
3.950%, 1/11/23 144A | 600,000 | 626 | ||||||
State Street Corp. | 160,000 | 163 | ||||||
SunTrust Bank | 480,000 | 490 | ||||||
Svenska Handelsbanken AB | 420,000 | 418 | ||||||
1.418%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.630%), 6/11/27 144A | 400,000 | 399 | ||||||
Swedbank AB | 505,000 | 512 | ||||||
Synchrony Bank | 250,000 | 256 | ||||||
Synchrony Financial | 2,066,000 | 2,115 | ||||||
4.250%, 8/15/24 | 545,000 | 596 | ||||||
The Toronto-Dominion Bank | 1,015,000 | 1,014 | ||||||
Trininty Acquisition PLC | 315,000 | 316 | ||||||
Truist Financial Corp. | 410,000 | 410 | ||||||
UBS Group AG | 620,000 | 624 | ||||||
1.370%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A | 415,000 | 419 | ||||||
Wells Fargo & Co. | 410,000 | 419 | ||||||
2.188%, (US SOFR plus 2.000%), 4/30/26 | 400,000 | 415 | ||||||
3.500%, 3/8/22 | 56,000 | 57 |
The Accompanying Notes are an Integral Part of the Financial Statements.
91
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Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Wells Fargo Bank NA | 490,000 | 492 | ||||||
Western Union Co. | 570,000 | 603 | ||||||
Yongda Investment, Ltd. | 643,000 | 645 | ||||||
|
| |||||||
Total | 72,919 | |||||||
|
| |||||||
Industrial (2.5%) | ||||||||
Amphenol Corp. | 405,000 | 421 | ||||||
Avnet, Inc. | 180,000 | 190 | ||||||
Boral Finance, Ltd. | 65,000 | 67 | ||||||
Carrier Global Corp. | 835,000 | 868 | ||||||
Caterpillar Financial Services Corp. | 285,000 | 285 | ||||||
2.950%, 2/26/22 b | 495,000 | 504 | ||||||
CNH Industrial Capital LLC | 460,000 | 464 | ||||||
DAE Funding LLC | 265,000 | 265 | ||||||
5.250%, 11/15/21 144A | 305,000 | 307 | ||||||
Deere & Co. | 195,000 | 208 | ||||||
GATX Corp. | 360,000 | 380 | ||||||
General Electric Co. | 240,000 | 257 | ||||||
Guangzhou Metro Investment Finance BVI, Ltd. | 800,000 | 791 | ||||||
Heathrow Funding, Ltd. | 725,000 | 726 | ||||||
Honeywell International, Inc. | 435,000 | 443 | ||||||
Martin Marietta Materials, Inc. | 475,000 | 476 | ||||||
Otis Worldwide Corp. | 485,000 | 504 | ||||||
Republic Services, Inc. | 375,000 | 394 | ||||||
Roper Technologies, Inc. | 100,000 | 100 | ||||||
1.000%, 9/15/25 | 115,000 | 114 | ||||||
2.350%, 9/15/24 | 165,000 | 173 | ||||||
3.125%, 11/15/22 | 660,000 | 680 | ||||||
3.650%, 9/15/23 | 125,000 | 134 | ||||||
Siemens Financieringsmaatschappij NV | 390,000 | 390 | ||||||
SMBC Aviation Capital Finance DAC | 200,000 | 212 | ||||||
4.125%, 7/15/23 144A | 200,000 | 213 |
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrial continued | ||||||||
Sydney Airport Finance Co. Pty Ltd. | 643,000 | 677 | ||||||
|
| |||||||
Total | 10,243 | |||||||
|
| |||||||
Real Estate (0.2%) | ||||||||
SBA Tower Trust | 775,000 | 790 | ||||||
|
| |||||||
Total | 790 | |||||||
|
| |||||||
Technology (2.9%) | ||||||||
Analog Devices, Inc. | 140,000 | 150 | ||||||
Fidelity National Information Services, Inc. | 650,000 | 649 | ||||||
0.600%, 3/1/24 | 310,000 | 310 | ||||||
Fiserv, Inc. | 800,000 | 844 | ||||||
Fortinet, Inc. | 380,000 | 376 | ||||||
HCL America, Inc. | 1,000,000 | 994 | ||||||
International Business Machines Corp. | 510,000 | 517 | ||||||
2.850%, 5/13/22 | 350,000 | 358 | ||||||
2.875%, 11/9/22 | 155,000 | 160 | ||||||
Microchip Technology, Inc. | 685,000 | 685 | ||||||
0.983%, 9/1/24 144A | 560,000 | 557 | ||||||
2.670%, 9/1/23 | 640,000 | 667 | ||||||
Micron Technology, Inc. | 1,335,000 | 1,380 | ||||||
4.640%, 2/6/24 | 410,000 | 449 | ||||||
NXP BV / NXP Funding LLC | 665,000 | 690 | ||||||
4.625%, 6/1/23 144A | 945,000 | 1,016 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | 90,000 | 95 | ||||||
Oracle Corp. | 745,000 | 772 | ||||||
2.500%, 4/1/25 | 1,250,000 | 1,313 | ||||||
Skyworks Solutions, Inc. | 175,000 | 175 | ||||||
|
| |||||||
Total | 12,157 | |||||||
|
| |||||||
Utilities (2.7%) | ||||||||
AES Corp. | 365,000 | 390 | ||||||
American Electric Power Co., Inc. | 85,000 | 86 | ||||||
Edison International | 310,000 | 320 | ||||||
3.125%, 11/15/22 b | 290,000 | 299 | ||||||
Enel Finance International NV | 200,000 | 210 | ||||||
2.750%, 4/6/23 144A | 260,000 | 270 | ||||||
2.875%, 5/25/22 144A | 835,000 | 853 | ||||||
4.250%, 9/14/23 144A | 1,035,000 | 1,115 | ||||||
FirstEnergy Corp. | 320,000 | 325 |
The Accompanying Notes are an Integral Part of the Financial Statements.
92
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Short-Term Bond Portfolio
Corporate Bonds (49.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Hero Asia Investment, Ltd. | 950,000 | 950 | ||||||
Korea Hydro & Nuclear Power Co., Ltd. | 795,000 | 791 | ||||||
NextEra Energy Capital Holdings, Inc. | 610,000 | 610 | ||||||
NRG Energy, Inc. | 270,000 | 288 | ||||||
Pacific Gas & Electric Co. | 555,000 | 582 | ||||||
San Diego Gas & Electric Co. | 30,716 | 31 | ||||||
Saudi Electricity Global Sukuk Co. | 800,000 | 837 | ||||||
Sempra Energy | 265,000 | 271 | ||||||
Sinosing Services Pte, Ltd. | 1,000,000 | 1,018 | ||||||
Southern California Edison Co. | 180,000 | 182 | ||||||
Vistra Operations Co. LLC | 1,445,000 | 1,526 | ||||||
|
| |||||||
Total | 10,954 | |||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost: $199,453) | 203,439 | |||||||
|
| |||||||
Governments (14.5%) | ||||||||
Governments (14.5%) | ||||||||
US Treasury | 6,820,000 | 6,817 | ||||||
0.125%, 11/30/22 | 13,390,000 | 13,381 | ||||||
0.125%, 12/31/22 | 1,935,000 | 1,933 | ||||||
0.125%, 1/31/23 | 5,450,000 | 5,445 | ||||||
0.125%, 3/31/23 | 1,000,000 | 999 | ||||||
0.125%, 4/30/23 | 22,860,000 | 22,817 | ||||||
0.125%, 5/31/23 | 2,250,000 | 2,245 | ||||||
0.125%, 6/30/23 | 6,170,000 | 6,155 | ||||||
|
| |||||||
Total | 59,792 | |||||||
|
| |||||||
Total Governments | 59,792 | |||||||
|
| |||||||
(Cost: $59,823) | ||||||||
Municipal Bonds (0.8%) | ||||||||
Municipal Bonds (0.8%) | ||||||||
Chicago Transit Authority | 20,000 | 20 | ||||||
1.838%, 12/1/23 RB b | 20,000 | 20 | ||||||
2.064%, 12/1/24 RB b | 55,000 | 57 | ||||||
City of Houston TX Airport System Revenue 0.883%, 7/1/22 RB b | 40,000 | 40 | ||||||
1.054%, 7/1/23 RB b | 65,000 | 66 | ||||||
1.272%, 7/1/24 RB b | 215,000 | 218 | ||||||
Dallas/Fort Worth International Airport | 110,000 | 111 | ||||||
Florida State Board of Administration Finance Corp. 1.258%, 7/1/25 RB | 735,000 | 742 | ||||||
Long Island Power Authority | 160,000 | 161 |
Municipal Bonds (0.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Municipal Bonds continued | ||||||||
Port Authority of New York & New Jersey | 625,000 | 633 | ||||||
State of Connecticut | 125,000 | 130 | ||||||
2.000%, 7/1/23 GO | 50,000 | 52 | ||||||
2.098%, 7/1/25 GO | 85,000 | 89 | ||||||
State of Illinois | 885,000 | 893 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost: $3,190) | 3,232 | |||||||
|
| |||||||
Structured Products (32.5%) | ||||||||
Asset Backed Securities (14.3%) | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C 2.710%, 8/18/22 b | 6,921 | 7 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D 3.130%, 1/18/23 b | 620,000 | 625 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C 2.690%, 6/19/23 b | 122,355 | 123 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D 3.820%, 3/18/24 b | 790,000 | 821 | ||||||
Americredit Automobile Receivables Trust, Series 2018-3, Class A3 3.380%, 7/18/23 b | 172,052 | 173 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25 b | 240,000 | 245 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25 b | 320,000 | 325 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25 b | 315,000 | 322 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26 b | 245,000 | 247 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26 b | 430,000 | 429 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26 b | 270,000 | 269 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27 b | 575,000 | 580 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A | 585,575 | 600 | ||||||
Ares CLO, Ltd., Series 2020-57A, Class A 1.496%, (ICE LIBOR USD 3 Month plus 1.320%), 10/25/31 144A | 495,000 | 495 | ||||||
ARI Fleet Lease Trust, Series 2017-A, Class A3 2.280%, 4/15/26 144A | 236,495 | 237 |
The Accompanying Notes are an Integral Part of the Financial Statements.
93
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Short-Term Bond Portfolio
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
ARI Fleet Lease Trust, Series 2020-A, Class B 2.060%, 11/15/28 144A | 345,000 | 352 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A | 425,000 | 441 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B 3.330%, 3/20/24 144A | 435,000 | 450 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A | 195,000 | 211 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class B 3.700%, 3/20/23 144A | 120,000 | 122 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A | 340,000 | 365 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A | 250,000 | 261 | ||||||
Babson CLO, Ltd., Series 2017-IA, Class AR 0.988%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A | 651,270 | 652 | ||||||
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A 3.500%, (AFC), 1/28/58 144A | 351,311 | 355 | ||||||
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A 3.500%, (AFC), 6/28/57 144A | 306,579 | 314 | ||||||
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A 3.500%, (AFC), 1/28/55 144A | 103,914 | 107 | ||||||
BlueMountain CLO, Series 2015-2, Class A 1.120%, (ICE LIBOR USD 3 Month plus 0.930%), 7/18/27 144A | 344,466 | 345 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A | 171,920 | 180 | ||||||
Capital Auto Receivables Asset Trust, Series 2017-1, Class C 2.700%, 9/20/22 144A | 77,918 | 78 | ||||||
Capital Auto Receivables Asset Trust, Series 2018-1, Class D 3.700%, 6/20/25 144A | 575,000 | 581 | ||||||
Capital Auto Receivables Asset Trust, Series 2018-2, Class C 3.690%, 12/20/23 144A | 122,108 | 122 | ||||||
Carlyle Global Market Strategies, Series 2015-3A, Class A1R 1.184%, (ICE LIBOR USD 3 Month plus 1.000%), 7/28/28 144A | 346,419 | 346 | ||||||
CarMax Auto Owner Trust, Series 2017-4, Class C 2.700%, 10/16/23 b | 95,000 | 96 | ||||||
CarMax Auto Owner Trust, Series 2019-2, Class B 3.010%, 12/16/24 b | 455,000 | 474 | ||||||
CarMax Auto Owner Trust, Series 2019-4, Class A4 2.130%, 7/15/25 b | 345,000 | 357 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25 b | 430,000 | 444 | ||||||
CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25 b | 190,000 | 196 | ||||||
CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27 b | 300,000 | 303 | ||||||
Cayuga Park CLO, Ltd., Series 2020-1A, Class A 1.790%, (ICE LIBOR USD 3 Month plus 1.600%), 7/17/31 144A | 550,000 | 550 | ||||||
Cedar Funding, Ltd., Series 2021-14A, Class A 1.225%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A | 695,000 | 693 | ||||||
CIFC Funding, Ltd., Series 2014-2RA, Class A1 1.226%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A | 915,000 | 915 | ||||||
CIFC Funding, Ltd., Series 2020-1A, Class A1 1.884%, (ICE LIBOR USD 3 Month plus 1.700%), 7/15/32 144A | 655,000 | 655 | ||||||
CIFC Funding, Ltd., Series 2020-3A, Class A1 1.538%, (ICE LIBOR USD 3 Month plus 1.350%), 10/20/31 144A | 435,000 | 436 | ||||||
CIFC Funding, Ltd., Series 2021-4A, Class A 1.238%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A | 905,000 | 904 | ||||||
CNH Equipment Trust, Series 2020-A, Class A4 1.510%, 4/15/27 b | 260,000 | 266 | ||||||
Daimler Trucks Retail Trust, Series 2020-1, Class A4 1.370%, 6/15/27 b | 855,000 | 862 | ||||||
Drive Auto Receivables Trust, Series 2020-1, Class C 2.360%, 3/16/26 b | 380,000 | 387 | ||||||
Dryden Senior Loan Fund, Series 2020- 86A, Class A 1.840%, (ICE LIBOR USD 3 Month plus 1.650%), 7/17/30 144A | 895,000 | 896 | ||||||
Dryden Senior Loan Fund, Series 2020-86A, Class AR1 1.260%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A | 610,000 | 610 | ||||||
Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A | 62,696 | 64 | ||||||
Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A | 147,354 | 152 | ||||||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 3.140%, 2/20/24 144A | 16,347 | 16 | ||||||
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 2.980%, 10/22/24 144A | 90,229 | 91 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Enterprise Fleet Financing LLC, Series 2019-3, Class A2 2.060%, 5/20/25 144A | 219,907 | 223 | ||||||
Exeter Automobile Receivables Trust, Series 2021-2A, Class C 0.980%, 6/15/26 b | 265,000 | 266 | ||||||
Ford Credit Auto Owner Trust, Series 2020- 2, Class C 1.740%, 4/15/33 144A | 310,000 | 311 | ||||||
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C 1.420%, 9/15/25 | 440,000 | 445 | ||||||
GM Financial Automobile Leasing Trust, Series 2020-2, Class C 2.560%, 7/22/24 | 265,000 | 273 | ||||||
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26 | 225,000 | 226 | ||||||
GM Financial Securitized Term, Series 2017- 3A, Class C 2.520%, 3/16/23 144A | 475,000 | 476 | ||||||
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A 2.700%, 4/15/24 144A | 355,000 | 362 | ||||||
Golub Capital Partners CLO, Series 2018- 39A, Class A1 1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 10/20/28 144A | 392,479 | 393 | ||||||
GS Mortgage Securities Trust, Series 2020- 2, Class A3 1.490%, 12/16/24 | 160,000 | 162 | ||||||
Hardee’s Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A | 306,338 | 325 | ||||||
Hilton Grand Vacations Trust, Series 2017- AA, Class A 2.660%, 12/26/28 144A | 651,669 | 667 | ||||||
Hilton Grand Vacations Trust, Series 2017- AA, Class B 2.960%, (EXE), 12/26/28 144A | 142,205 | 145 | ||||||
Hilton Grand Vacations Trust, Series 2020- AA, Class A 2.740%, 2/25/39 144A | 204,621 | 212 | ||||||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A3 1.410%, 11/15/24 | 350,000 | 355 | ||||||
Hyundai Auto Receivables Trust, Series 2019-A, Class B 2.940%, 5/15/25 | 325,000 | 337 | ||||||
KKR Financial CLO, Ltd., Series 2013, Class A1R 0.984%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A | 543,129 | 542 | ||||||
KKR Financial CLO, Ltd., Series 2029, Class A 1.341%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A | 1,000,000 | 1,000 | ||||||
Kubota Credit Owner Trust, Series 2020-1A, Class A3 1.960%, 3/15/24 144A | 185,000 | 189 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Madison Park Funding XXIII, Ltd. 1.095%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A | 715,000 | 714 | ||||||
1.675%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A | 460,000 | 459 | ||||||
Madison Park Funding, Ltd., Series 2015- 18A, Class A1R 1.376%, (ICE LIBOR USD 3 Month plus 1.190%), 10/21/30 144A | 690,000 | 690 | ||||||
Magnetite CLO, Ltd., Series 2020-25A, Class A 1.455%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A | 405,000 | 406 | ||||||
Magnetite XVI, Ltd., Series 2015-16A, Class AR 0.990%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A | 948,821 | 949 | ||||||
MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A | 124,707 | 127 | ||||||
Mill City Mortgage Loan Trust, Series 2016- 1, Class A1 2.500%, (AFC), 4/25/57 144A | 14,989 | 15 | ||||||
Mill City Mortgage Loan Trust, Series 2017- 2, Class A1 2.750%, (AFC), 7/25/59 144A | 162,521 | 165 | ||||||
MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A | 228,977 | 234 | ||||||
MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A | 24,103 | 25 | ||||||
MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A | 26,513 | 27 | ||||||
MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A | 136,076 | 138 | ||||||
MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A | 241,838 | 246 | ||||||
MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A | 181,285 | 182 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A | 428,118 | 439 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A | 292,752 | 305 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A | 606,807 | 620 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A | 380,000 | 392 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A | 1,205,000 | 1,238 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A | 353,615 | 357 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A | 223,709 | 225 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Navient Student Loan Trust, Series 2019-2A, Class A1 0.362%, (ICE LIBOR USD 1 Month plus 0.270%), 2/27/68 144A | 40,341 | 40 | ||||||
Navient Student Loan Trust, Series 2019- GA, Class A 2.400%, 10/15/68 144A | 848,243 | 866 | ||||||
Navient Student Loan Trust, Series 2020- HA, Class A 1.310%, 1/15/69 144A | 130,331 | 131 | ||||||
Navient Student Loan Trust, Series 2021- BA, Class A 0.940%, 7/15/69 144A | 565,922 | 566 | ||||||
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 7/25/25 144A | 395,000 | 398 | ||||||
Nelnet Student Loan Trust, Series 2020-1A, Class A 0.832%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A | 160,835 | 160 | ||||||
Neuberger Berman CLO, Ltd., Series 2019- 32A, Class AR 1.180%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A | 955,000 | 955 | ||||||
Neuberger Berman CLO, Ltd., Series 2020- 38A, Class A 1.488%, (ICE LIBOR USD 3 Month plus 1.300%), 10/20/32 144A | 455,000 | 456 | ||||||
Neuberger Berman CLO, Ltd., Series 2021- 40A, Class A 1.248%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A | 270,000 | 271 | ||||||
Nissan Auto Lease Trust, Series 2020-A, Class A3 1.380%, 12/16/24 | 205,000 | 208 | ||||||
Nissan Master Owner Trust Receivables, Series 2019-A, Class A 0.633%, (ICE LIBOR USD 1 Month plus 0.560%), 2/15/24 | 650,000 | 652 | ||||||
Nissan Master Owner Trust Receivables, Series 2019-B, Class A 0.503%, (ICE LIBOR USD 1 Month plus 0.430%), 11/15/23 | 785,000 | 786 | ||||||
OZLM VIII, Ltd., Series 2014-8A, Class A1RR 1.360%, (ICE LIBOR USD 3 Month plus 1.170%), 10/17/29 144A | 481,213 | 481 | ||||||
Palmer Square CLO, Ltd., Series 2020-2A, Class A1A 1.884%, (ICE LIBOR USD 3 Month plus 1.700%), 7/15/31 144A | 390,000 | 390 | ||||||
Reese Park CLO, Ltd., Series 2020-1A, Class A1 1.504%, (ICE LIBOR USD 3 Month plus 1.320%), 10/15/32 144A | 445,000 | 445 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-1, Class C 3.420%, 4/15/25 | 245,674 | 248 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Santander Drive Auto Receivables Trust, Series 2019-2, Class B 2.790%, 1/16/24 | 71,278 | 71 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-3, Class B 2.280%, 9/15/23 | 152,469 | 153 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-C, Class A3 1.860%, 2/21/23 144A | 295,000 | 298 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-C, Class B 2.170%, 11/20/23 144A | 215,000 | 219 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-C, Class C 2.390%, 11/20/23 144A | 360,000 | 367 | ||||||
Santander Drive Auto Receivables Trust, Series 2019-C, Class D 2.880%, 6/20/24 144A | 425,000 | 437 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-3, Class B 0.690%, 3/17/25 | 650,000 | 652 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-4, Class C 1.010%, 1/15/26 | 400,000 | 402 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A | 650,000 | 656 | ||||||
Santander Retail Auto Lease Trust, Series 2019-A, Class A3 2.770%, 6/20/22 144A | 208,079 | 209 | ||||||
Santander Retail Auto Lease Trust, Series 2019-A, Class C 3.300%, 5/22/23 144A | 330,000 | 335 | ||||||
Santander Retail Auto Lease Trust, Series 2019-B, Class C 2.770%, 8/21/23 144A | 305,000 | 311 | ||||||
Santander Retail Auto Lease Trust, Series 2020-A, Class D 2.520%, 11/20/24 144A | 320,000 | 329 | ||||||
Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A | 1,030,000 | 1,028 | ||||||
Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A | 440,000 | 438 | ||||||
Sierra Receivables Funding Co. LLC, Series 2016-3A, Class A 2.430%, 10/20/33 144A | 73,761 | 74 | ||||||
3.510%, 7/20/37 144A | 180,487 | 186 | ||||||
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A 2.910%, 3/20/34 144A | 143,728 | 145 | ||||||
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A | 92,678 | 96 | ||||||
Sierra Receivables Funding Co. LLC, Series 2019-2, Class A 2.590%, 5/20/36 144A | 308,415 | 316 | ||||||
Sierra Receivables Funding Co. LLC, Series 2019-3, Class A 2.340%, 7/15/38 144A | 777,416 | 796 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
SLM Student Loan Trust, Series 2007-7, Class A4 0.506%, (ICE LIBOR USD 3 Month plus 0.330%), 1/25/22 | 166,608 | 163 | ||||||
SLM Student Loan Trust, Series 2008-1, Class A4 0.826%, (ICE LIBOR USD 3 Month plus 0.650%), 1/25/22 | 498,071 | 483 | ||||||
SMB Private Education Loan Trust, Series 2014-A, Class A3 1.573%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A | 665,000 | 671 | ||||||
SMB Private Education Loan Trust, Series 2015-A, Class A2B 1.073%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A | 37,293 | 37 | ||||||
SMB Private Education Loan Trust, Series 2016-C, Class A2B 1.201%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A | 348,343 | 351 | ||||||
SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A | 204,654 | 217 | ||||||
SMB Private Education Loan Trust, Series 2018-B, Class A2B 0.821%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A | 489,708 | 491 | ||||||
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A | 207,722 | 208 | ||||||
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A | 1,010,000 | 1,006 | ||||||
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A | 1,460,000 | 1,471 | ||||||
Symphony CLO XXVI, Ltd., Series 2021- 26A, Class AR 1.189%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A | 285,000 | 285 | ||||||
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/28/58 144A | 117,932 | 121 | ||||||
Towd Point Mortgage Trust, Series 2015-5, Class A1B 2.750%, (AFC), 5/25/55 144A | 5,944 | 6 | ||||||
Towd Point Mortgage Trust, Series 2016-1, Class A1B 2.750%, (AFC), 2/25/55 144A | 10,121 | 10 | ||||||
Towd Point Mortgage Trust, Series 2016-1, Class A3B 3.000%, (AFC), 2/25/55 144A | 37,891 | 38 | ||||||
Towd Point Mortgage Trust, Series 2016-2, Class A1A 2.750%, (AFC), 8/25/55 144A | 24,890 | 25 | ||||||
Towd Point Mortgage Trust, Series 2016-3, Class A1 2.250%, (AFC), 4/25/56 144A | 13,388 | 13 | ||||||
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A | 141,535 | 144 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A | 91,713 | 93 | ||||||
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A | 224,250 | 229 | ||||||
Towd Point Mortgage Trust, Series 2017-4, Class A1 2.750%, (AFC), 6/25/57 144A | 137,013 | 141 | ||||||
Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144A | 503,161 | 515 | ||||||
Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144A | 672,557 | 697 | ||||||
Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144A | 455,094 | 464 | ||||||
Verizon Owner Trust, Series 2018-1A, Class C 3.200%, 9/20/22 144A | 450,000 | 451 | ||||||
Volvo Financial Equipment LLC, Series 2018-1A, Class B 2.910%, 1/17/23 144A | 210,000 | 212 | ||||||
World Omni Auto Receivables Trust, Series 2019-C, Class C 2.400%, 6/15/26 | 380,000 | 391 | ||||||
World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26 | 225,000 | 229 | ||||||
World Omni Select Auto Trust, Series 2020- A, Class B 0.840%, 6/15/26 | 270,000 | 270 | ||||||
World Omni Select Auto Trust, Series 2020- A, Class C 1.250%, 10/15/26 | 310,000 | 312 | ||||||
|
| |||||||
Total | 59,324 | |||||||
|
| |||||||
Mortgage Securities (18.2%) | ||||||||
Angel Oak Mortgage Trust LLC, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A | 223,057 | 225 | ||||||
Angel Oak Mortgage Trust LLC, Series 2019-2, Class A1 3.628%, (AFC), 3/25/49 144A | 137,115 | 139 | ||||||
Angel Oak Mortgage Trust LLC, Series 2019-2, Class M1 4.065%, (AFC), 3/25/49 144A | 270,000 | 273 | ||||||
Angel Oak Mortgage Trust LLC, Series 2020-3, Class A1 1.691%, (AFC), 4/25/65 144A | 412,102 | 416 | ||||||
Angel Oak Mortgage Trust LLC, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A | 153,769 | 156 | ||||||
Angel Oak Mortgage Trust LLC, Series 2020-5, Class A2 1.579%, (AFC), 5/25/65 144A | 227,121 | 228 | ||||||
Angel Oak Mortgage Trust LLC, Series 2020-6, Class A1 1.261%, (AFC), 5/25/65 144A | 292,533 | 293 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Angel Oak Mortgage Trust LLC, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A | 805,848 | 804 | ||||||
Angel Oak Mortgage Trust LLC, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A | 235,753 | 235 | ||||||
Angel Oak Mortgage Trust LLC, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A | 600,127 | 600 | ||||||
Angel Oak Mortgage Trust LLC, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A | 189,271 | 189 | ||||||
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A 1.003%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A | 520,000 | 520 | ||||||
Austin Fairmont Hotel Trust , Series 2019- FAIR, Class A 1.123%, (ICE LIBOR USD 1 Month plus 1.050%), 9/15/32 144A | 545,000 | 545 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 0.923%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A | 460,000 | 460 | ||||||
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class A1 1.957%, 2/15/50 b | 25,488 | 26 | ||||||
BANK, Series 2017-BNK4, Class A1 2.002%, 5/15/50 b | 67,808 | 68 | ||||||
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62 b | 185,645 | 189 | ||||||
Beneria Cowen & Pritzer Collateral Funding Corp. 0.899%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A | 290,000 | 289 | ||||||
BX Commercial Mortgage Trust, Series 2019-XL, Class A 0.993%, (ICE LIBOR USD 1 Month plus 0.920%), 10/15/36 144A | 307,790 | 308 | ||||||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class C 1.193%, (ICE LIBOR USD 1 Month plus 1.120%), 12/15/36 144A | 349,376 | 349 | ||||||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class D 1.323%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/36 144A | 334,818 | 335 | ||||||
BX Trust, Series 2018-GW, Class A 0.873%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A | 1,095,000 | 1,097 | ||||||
BX Trust, Series 2019-XL, Class B 1.153%, (ICE LIBOR USD 1 Month plus 1.080%), 10/15/36 144A | 339,475 | 340 | ||||||
BX Trust, Series 2021-SOAR, Class D 1.500%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A | 375,000 | 375 | ||||||
BX Trust, Series 2021-VIEW, Class A 1.430%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/23 144A | 255,000 | 255 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
CD Commercial Mortgage Trust, Series 2017-CD3, Class A1 1.965%, 2/10/50 b | 10,990 | 11 | ||||||
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D 1.723%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A | 660,000 | 659 | ||||||
CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A | 483,907 | 492 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.635%, (CSTR), 5/10/35 144A | 435,000 | 451 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.635%, (CSTR), 5/10/35 144A | 255,000 | 261 | ||||||
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1 2.720%, (AFC), 7/25/49 144A | 182,918 | 185 | ||||||
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A3 2.500%, 8/25/50 144A | 533,685 | 540 | ||||||
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A4 2.500%, (AFC), 8/25/50 144A | 741,230 | 752 | ||||||
Cold Storage Trust, Series 2020-ICE5, Class B 1.373%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A | 953,501 | 956 | ||||||
COLT Funding LLC, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A | 135,384 | 136 | ||||||
COLT Mortgage Loan Trust, Series 2019-3, Class A1 2.764%, (AFC), 8/25/49 144A | 220,956 | 221 | ||||||
COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A | 418,841 | 418 | ||||||
COMM Mortgage Trust, Series 2013-300P, Class A1 4.353%, 8/10/30 144A | 275,000 | 291 | ||||||
COMM Mortgage Trust, Series 2020-CBM, Class D 3.754%, (CSTR), 11/13/39 144A | 235,000 | 229 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class B 4.815%, (CSTR), 2/10/47 b | 435,000 | 472 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR19, Class D 4.865%, (CSTR), 8/10/47 144A | 185,000 | 183 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class B 4.701%, 3/10/47 b | 480,000 | 517 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4 3.838%, 9/10/47 b | 630,000 | 683 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class C 4.244%, (CSTR), 3/10/48 b | 440,000 | 469 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48 b | 235,000 | 253 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2 3.221%, 10/10/48 b | 413,221 | 417 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1 2.111%, 9/10/50 b | 60,877 | 61 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C 1.503%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A | 515,000 | 517 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A | 405,000 | 406 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class A 2.256%, 8/15/37 144A | 205,000 | 212 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class D 3.828%, (CSTR), 8/15/37 144A | 445,000 | 467 | ||||||
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48 b | 305,000 | 333 | ||||||
CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A1 2.024%, 9/15/50 b | 26,021 | 26 | ||||||
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52 b | 199,210 | 204 | ||||||
Deephaven Residential Mortgage Trust, Series 2019-3A, Class A1 2.964%, (AFC), 7/25/59 144A | 243,371 | 244 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-1A, Class A3 1.128%, (AFC), 5/25/65 144A | 225,121 | 225 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-2, Class A1 0.899%, (AFC), 4/25/66 144A | 200,906 | 201 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A | 225,407 | 225 | ||||||
Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A | 141,732 | 144 | ||||||
Ellington Financial Mortgage Trust, Series 2020-1, Class A1 2.006%, (AFC), 6/25/65 144A | 393,498 | 398 | ||||||
Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A | 176,142 | 176 | ||||||
Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A | 146,069 | 146 | ||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A | 265,551 | 265 | ||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A | 255,716 | 255 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Extended Stay America Trust, Series 2021- ESH, Class C 1.000%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A | 480,000 | 482 | ||||||
FDIC Guaranteed Notes Trust, Series 2010- S2, Class 2A 2.570%, 7/29/47 144A | 8,566 | 9 | ||||||
Federal Home Loan Bank | 145,300 | 158 | ||||||
4.500%, 5/1/50 b | 107,765 | 117 | ||||||
Federal Home Loan Mortgage Corp. | 845,307 | 874 | ||||||
3.000%, 11/1/34 b | 55,606 | 59 | ||||||
3.500%, 3/1/46 b | 49,249 | 53 | ||||||
3.500%, 12/1/47 b | 510,465 | 540 | ||||||
5.000%, 12/1/41 b | 197,464 | 219 | ||||||
5.500%, 5/1/22 b | 5,777 | 6 | ||||||
6.000%, 9/1/34 b | 1,311 | 2 | ||||||
6.000%, 2/1/35 b | 30,733 | 36 | ||||||
6.000%, 9/1/35 b | 9,586 | 11 | ||||||
6.000%, 1/1/38 b | 2,310 | 3 | ||||||
7.000%, 3/1/39 b | 62,304 | 72 | ||||||
7.500%, 6/1/38 b | 60,414 | 70 | ||||||
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1 4.092%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24 b | 115,736 | 118 | ||||||
Federal Home Loan Mortgage Corp., Series 2016-DNA2, Class M3 4.742%, (ICE LIBOR USD 1 Month plus 4.650%), 10/25/28 b | 327,759 | 342 | ||||||
Federal Home Loan Mortgage Corp., Series 2016-DNA3, Class M3 4.792%, (ICE LIBOR USD 1 Month plus 4.700%), 4/25/28 b | 430,274 | 445 | ||||||
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 10/25/29 b | 91,197 | 91 | ||||||
Federal Home Loan Mortgage Corp., Series 2017-DNA3, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 3/25/30 b | 40,412 | 40 | ||||||
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.847%, (CSTR), 5/25/47 144A | 32,487 | 33 | ||||||
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/30 144A | 108,869 | 109 | ||||||
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A | 30,677 | 31 | ||||||
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40 b | 148,545 | 152 | ||||||
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27 b | 434,262 | 440 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Federal National Mortgage Association | 65,409 | 68 | ||||||
2.500%, 12/1/22 b | 18,255 | 19 | ||||||
2.500%, 11/1/50 b | 169,239 | 175 | ||||||
3.000%, 6/1/22 b | 12,146 | 13 | ||||||
3.000%, 4/1/24 b | 83,146 | 87 | ||||||
3.000%, 9/1/28 b | 288,720 | 305 | ||||||
3.000%, 12/1/34 b | 130,753 | 139 | ||||||
3.000%, 3/1/35 b | 52,958 | 56 | ||||||
3.500%, 5/1/27 b | 308,926 | 333 | ||||||
3.500%, 4/1/46 b | 325,250 | 347 | ||||||
3.500%, 2/1/48 b | 610,879 | 646 | ||||||
4.000%, 1/1/47 b | 99,924 | 107 | ||||||
4.000%, 2/1/49 b | 25,908 | 28 | ||||||
4.000%, 11/1/49 b | 73,949 | 79 | ||||||
4.000%, 12/1/49 b | 29,867 | 32 | ||||||
4.500%, 5/1/40 b | 67,622 | 75 | ||||||
4.500%, 9/1/40 | 62,019 | 68 | ||||||
4.500%, 5/1/41 b | 115,067 | 128 | ||||||
4.500%, 8/1/48 b | 46,056 | 50 | ||||||
4.500%, 9/1/48 b | 46,896 | 51 | ||||||
4.500%, 10/1/48 b | 274,428 | 299 | ||||||
4.500%, 11/1/48 b | 69,783 | 75 | ||||||
4.500%, 12/1/48 | 352,587 | 380 | ||||||
4.500%, 5/1/49 b | 174,435 | 190 | ||||||
4.500%, 1/1/50 b | 32,095 | 35 | ||||||
5.000%, 10/1/33 b | 99,248 | 113 | ||||||
5.000%, 6/1/40 | 59,428 | 67 | ||||||
5.000%, 7/1/45 b | 96,916 | 110 | ||||||
5.000%, 9/1/48 b | 102,513 | 112 | ||||||
5.000%, 2/1/49 b | 59,497 | 65 | ||||||
5.000%, 8/1/49 b | 42,457 | 46 | ||||||
5.500%, 8/1/37 b | 57,817 | 67 | ||||||
5.500%, 2/1/38 b | 219,359 | 254 | ||||||
6.000%, 8/1/22 b | 4,284 | 4 | ||||||
6.000%, 3/1/34 b | 49,879 | 59 | ||||||
6.000%, 8/1/34 b | 139,501 | 161 | ||||||
6.000%, 11/1/34 b | 5,106 | 6 | ||||||
6.000%, 12/1/34 b | 1,811 | 2 | ||||||
6.000%, 4/1/35 b | 3,217 | 4 | ||||||
6.000%, 5/1/38 b | 2,210 | 3 | ||||||
6.000%, 10/1/40 b | 108,509 | 128 | ||||||
6.000%, 2/1/49 b | 467,013 | 560 | ||||||
6.500%, 7/1/32 b | 16,362 | 19 | ||||||
6.500%, 12/1/32 b | 16,235 | 19 | ||||||
Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26 | 82,355 | 85 | ||||||
Federal National Mortgage Association, Series 2013-74, Class AD 2.000%, 7/25/23 | 44,855 | 45 | ||||||
Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47 | 280,666 | 298 | ||||||
Federal National Mortgage Association, Series 2017-C02, Class 2ED3 1.442%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29 | 183,044 | 184 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Federal National Mortgage Association, Series 2017-C04, Class 2ED2 1.192%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29 | 591,082 | 578 | ||||||
Federal National Mortgage Association, Series 2017-C05, Class 1ED3 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30 | 249,507 | 246 | ||||||
Federal National Mortgage Association, Series 2018-44, Class PC 4.000%, 6/25/44 | 136,925 | 139 | ||||||
Federal National Mortgage Association, Series 2018-C01, Class 1ED2 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/30 | 399,168 | 399 | ||||||
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30 | 660,000 | 657 | ||||||
Flagstar Mortgage Trust, Series 2020-1INV, Class A11 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A | 196,362 | 196 | ||||||
FWD Securitization Trust, Series 2020-INV1, Class A-1 2.240%, (AFC), 1/25/50 144A | 499,584 | 506 | ||||||
Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A | 100,414 | 102 | ||||||
Galton Funding Mortgage Trust, Series 2019-1, Class A21 4.500%, (AFC), 2/25/59 144A | 160,627 | 164 | ||||||
Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A | 69,883 | 71 | ||||||
Galton Funding Mortgage Trust, Series 2019-H1, Class M1 3.339%, (AFC), 10/25/59 144A | 260,000 | 263 | ||||||
Galton Funding Mortgage Trust, Series 2020-H1, Class A1 2.310%, (AFC), 1/25/60 144A | 116,084 | 118 | ||||||
Galton Funding Mortgage Trust, Series 2020-H1, Class M1 2.832%, (AFC), 1/25/60 144A | 285,000 | 287 | ||||||
GCAT LLC, Series 2021-GCTA, Class A 0.873%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A | 335,000 | 335 | ||||||
Government National Mortgage Association | 4,790 | 5 | ||||||
3.500%, 9/20/43 | 66,027 | 71 | ||||||
3.500%, 8/20/44 | 136,737 | 147 | ||||||
3.500%, 10/20/46 | 990 | 1 | ||||||
3.500%, 11/20/46 | 60,068 | 64 | ||||||
3.500%, 1/20/47 | 64,818 | 69 | ||||||
3.500%, 7/1/47 | 1,390,000 | 1,459 | ||||||
4.000%, 3/20/48 | 117,082 | 126 | ||||||
4.000%, 4/20/50 | 360,897 | 392 | ||||||
4.000%, 10/20/50 | 330,001 | 349 | ||||||
5.000%, 3/20/34 | 286,609 | 320 | ||||||
5.000%, 1/20/48 | 57,608 | 63 | ||||||
5.000%, 2/20/48 | 290,094 | 316 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
5.500%, 6/20/37 | 60,328 | 71 | ||||||
5.500%, 9/15/45 | 192,182 | 227 | ||||||
5.500%, 3/20/48 | 41,514 | 46 | ||||||
5.500%, 12/20/48 | 30,515 | 34 | ||||||
5.500%, 2/20/49 | 353,580 | 390 | ||||||
Great Wolf Trust, Series 2019-WOLF, Class A 1.107%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A | 255,000 | 255 | ||||||
Great Wolf Trust, Series 2019-WOLF, Class C 1.706%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A | 270,000 | 270 | ||||||
GS Mortgage Securities Trust, Series 2019- SOHO, Class A 0.973%, (ICE LIBOR USD 1 Month plus 0.900%), 6/15/36 144A | 345,000 | 345 | ||||||
GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8 2.500%, 10/25/51 144A | 874,562 | 895 | ||||||
GS Mortgage Backed Securities Trust, Series NQM1, Class A1 1.017%, (AFC), 7/25/61 144A | 324,034 | 324 | ||||||
GS Mortgage Securities Trust, Series 2014- EB1A, Class 2A1 1.673%, (CSTR), 7/25/44 144A | 6,995 | 7 | ||||||
GS Mortgage Securities Trust, Series 2021- ROSS, Class B 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A | 390,000 | 390 | ||||||
Homeward Opportunities Fund I Trust, Series 2019-3, Class A1 2.675%, (AFC), 11/25/59 144A | 129,850 | 131 | ||||||
Homeward Opportunities Fund I Trust, Series 2020-2, Class A1 1.657%, (AFC), 5/25/65 144A | 218,857 | 220 | ||||||
Hundred Acre Wood Trust, Series 2021- INV1, Class A9 2.500%, 7/25/51 144A | 586,022 | 602 | ||||||
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A 1.023%, (ICE LIBOR USD 1 Month plus 0.700%), 1/15/33 144A | 115,000 | 115 | ||||||
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C 1.573%, (ICE LIBOR USD 1 Month plus 1.250%), 1/15/33 144A | 100,000 | 100 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp, Series 2020-609M, Class C 2.243%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A | 440,000 | 441 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B 1.843%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A | 540,000 | 542 | ||||||
JP Morgan Mortgage Trust, Series 2020- INV1, Class A11 0.922%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A | 100,699 | 101 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
JP Morgan Mortgage Trust, Series 2020- INV1, Class A15 3.500%, (AFC), 8/25/50 144A | 163,929 | 167 | ||||||
JP Morgan Mortgage Trust, Series 2020- LTV1, Class A4 3.500%, (AFC), 6/25/50 144A | 129,349 | 130 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47 | 540,000 | 588 | ||||||
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 1.423%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144A | 790,000 | 790 | ||||||
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A | 250,000 | 250 | ||||||
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class C 1.073%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A | 210,000 | 210 | ||||||
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class D 1.323%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A | 155,000 | 155 | ||||||
Merit, Series 2020-HILL, Class B 1.473%, (ICE LIBOR USD 1 Month plus 1.400%), 8/15/37 144A | 425,000 | 427 | ||||||
Merit, Series 2020-HILL, Class C 1.773%, (ICE LIBOR USD 1 Month plus 1.700%), 8/15/37 144A | 185,000 | 186 | ||||||
Merit, Series 2020-HILL, Class D 2.423%, (ICE LIBOR USD 1 Month plus 2.350%), 8/15/37 144A | 250,000 | 251 | ||||||
MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A | 338,408 | 337 | ||||||
MHC Commercial Mortgage Trust, Series 2021-MHC2, Class B 1.173%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A | 380,000 | 381 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS 4.110%, (AFC), 10/15/47 | 185,000 | 199 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A1 1.389%, 9/15/49 | 2,931 | 3 | ||||||
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A 3.912%, 9/9/32 144A | 610,000 | 655 | ||||||
Morgan Stanley Capital I Trust, Series 2019- MEAD, Class D 3.283%, (CSTR), 11/10/36 144A | 480,000 | 478 | ||||||
Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D 3.300%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A | 315,000 | 316 | ||||||
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A | 197,990 | 203 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
New Orleans Hotel Trust, Series 2019- HNLA, Class B 1.362%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A | 790,000 | 786 | ||||||
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 1.650%, (AFC), 5/24/60 144A | 297,850 | 301 | ||||||
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1 2.710%, (AFC), 11/25/59 144A | 320,428 | 324 | ||||||
New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1 2.464%, (AFC), 1/26/60 144A | 287,013 | 290 | ||||||
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A1 0.943%, (AFC), 7/25/55 144A | 582,916 | 583 | ||||||
OBX Trust, Series 2019-EXP2, Class 2A1A 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/59 144A | 89,458 | 90 | ||||||
OBX Trust, Series 2019-EXP2, Class 2A2 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A | 246,051 | 245 | ||||||
OBX Trust, Series 2019-EXP3, Class 2A1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A | 305,994 | 306 | ||||||
OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A | 98,493 | 100 | ||||||
OBX Trust, Series 2021-NQM1, Class A1 1.072%, (AFC), 2/25/66 144A | 712,392 | 711 | ||||||
ONE Park Mortgage Trust, Series 2021- PARK, Class B 1.023%, (ICE LIBOR USD 1 Month plus 0.950%), 3/15/36 144A | 755,000 | 754 | ||||||
ONE Park Mortgage Trust, Series 2021- PARK, Class C 1.173%, (ICE LIBOR USD 1 Month plus 1.100%), 3/15/36 144A | 405,000 | 405 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP1, Class 1A8 3.500%, 2/25/60 144A | 283,602 | 292 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP1, Class 2A1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A | 422,226 | 423 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP1, Class 2A2 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A | 251,263 | 250 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP2, Class A8 3.000%, (AFC), 5/25/60 144A | 423,625 | 432 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP2, Class A9 3.000%, (AFC), 5/25/60 144A | 105,906 | 108 | ||||||
Onslow Bay Financial LLC, Series 2020- EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A | 355,133 | 360 | ||||||
Onslow Bay Financial LLC, Series 2021-J1, Class A4 2.500%, (AFC), 5/25/51 144A | 653,895 | 670 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
PSMC Trust, Series 2021-1, Class A11 2.500%, (AFC), 3/25/51 144A | 987,225 | 1,012 | ||||||
PSMC Trust, Series 2021-2, Class A3 2.500%, (AFC), 5/25/51 144A | 755,000 | 775 | ||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A | 72,925 | 74 | ||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A | 168,213 | 171 | ||||||
Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A | 36,457 | 37 | ||||||
Sequoia Mortgage Trust, Series 2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A | 53,561 | 54 | ||||||
SG Residential Mortgage Trust, Series 2019- 3, Class A2 2.877%, (AFC), 9/25/59 144A | 353,225 | 355 | ||||||
SG Residential Mortgage Trust, Series 2020- 2, Class A1 1.381%, (AFC), 5/25/65 144A | 274,188 | 275 | ||||||
Slide, Series 2018-FUN, Class D 2.173%, (ICE LIBOR USD 1 Month plus 1.850%), 6/15/31 144A | 359,550 | 356 | ||||||
STACR Trust, Series 2018-DNA2, Class M2 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 12/25/30 144A | 460,000 | 460 | ||||||
STACR Trust, Series 2018-DNA3, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/48 144A | 874 | 1 | ||||||
STACR Trust, Series 2018-DNA3, Class M2 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 9/25/48 144A | 340,000 | 340 | ||||||
STACR Trust, Series 2018-HRP2, Class M2 1.342%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A | 226,411 | 226 | ||||||
STACR Trust, Series 2020-DNA2, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/50 144A | 39,464 | 39 | ||||||
STACR Trust, Series 2020-DNA5, Class M1 1.318%, (US 30 Day Average SOFR plus 1.300%), 10/25/50 144A | 58,072 | 58 | ||||||
STACR Trust, Series 2020-DNA6, Class M1 0.918%, (US 30 Day Average SOFR plus 0.900%), 12/25/50 144A | 129,439 | 129 | ||||||
STACR Trust, Series 2020-HQA2, Class M1 1.192%, (ICE LIBOR USD 1 Month plus 1.100%), 3/25/50 144A | 61,927 | 62 | ||||||
STACR Trust, Series 2020-HQA5, Class M1 1.118%, (US 30 Day Average SOFR plus 1.100%), 11/25/50 144A | 144,887 | 145 | ||||||
STACR Trust, Series 2021-DNA1, Class M1 0.668%, (US 30 Day Average SOFR plus 0.650%), 1/25/51 144A | 205,683 | 206 | ||||||
STACR Trust, Series 2021-DNA2, Class M1 0.818%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A | 485,000 | 486 | ||||||
STACR Trust, Series 2021-DNA3, Class M2 2.118%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A | 395,000 | 403 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
STACR Trust, Series 2021-HQA1, Class M1 0.718%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A | 760,000 | 760 | ||||||
Starvest Emerging Markets CBO I, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A | 417,049 | 417 | ||||||
Starwood Mortgage Residential Trust, Series 2018-IMC2, Class A3 4.376%, (AFC), 10/25/48 144A | 230,519 | 233 | ||||||
Starwood Mortgage Residential Trust, Series 2019-1, Class A1 2.941%, (AFC), 6/25/49 144A | 169,167 | 170 | ||||||
Starwood Mortgage Residential Trust, Series 2019-1, Class A3 3.299%, (AFC), 6/25/49 144A | 237,019 | 238 | ||||||
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1 2.610%, (AFC), 9/27/49 144A | 39,303 | 40 | ||||||
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A | 181,793 | 184 | ||||||
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A | 208,100 | 210 | ||||||
Uniform Mortgage Backed Security TBA | 245,000 | 248 | ||||||
3.000%, 7/14/50 | 485,000 | 506 | ||||||
4.000%, 7/1/44 | 340,000 | 362 | ||||||
Verus Securitization Trust, Series 2019-4, Class A3 3.000%, (AFC), 11/25/59 144A S | 501,656 | 510 | ||||||
Verus Securitization Trust, Series 2019- INV2, Class A1 2.913%, (AFC), 7/25/59 144A | 352,703 | 359 | ||||||
Verus Securitization Trust, Series 2019- INV2, Class A2 3.117%, (AFC), 7/25/59 144A | 370,190 | 377 | ||||||
Verus Securitization Trust, Series 2019- INV3, Class A3 | 71,818 | 73 | ||||||
3.100%, (AFC), 11/25/59 144A | 303,378 | 309 | ||||||
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S | 379,652 | 385 | ||||||
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A S | 303,936 | 307 | ||||||
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A | 568,398 | 573 | ||||||
Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A S | 178,990 | 179 | ||||||
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A | 210,908 | 211 | ||||||
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A | 172,170 | 172 |
Structured Products (32.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A | 356,514 | 357 | ||||||
Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A | 292,689 | 292 | ||||||
Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A | 184,400 | 184 | ||||||
Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A | 435,691 | 436 | ||||||
Vista Point Securitization Trust, Series 2020- 1, Class A1 1.763%, (AFC), 3/25/65 144A | 161,951 | 163 | ||||||
Vista Point Securitization Trust, Series 2020- 2, Class A3 2.496%, (AFC), 4/25/65 144A | 150,285 | 152 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58 | 149,535 | 153 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A1 1.975%, 9/15/50 | 48,273 | 49 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A | 80,871 | 82 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A | 900,000 | 922 | ||||||
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class B 4.697%, 4/15/45 | 385,000 | 392 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 3.917%, 10/15/57 | 575,000 | 627 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47 | 325,000 | 350 | ||||||
|
| |||||||
Total | 75,274 | |||||||
|
| |||||||
Total Structured Products |
| |||||||
(Cost: $133,551) | 134,598 | |||||||
|
| |||||||
Short-Term Investments (3.9%) | ||||||||
Commercial Paper (0.8%) | ||||||||
AT&T, Inc. | 1,300,000 | 1,299 | ||||||
Jabil, Inc. | 1,125,000 | 1,125 | ||||||
0.000%, 8/9/21 | 764,000 | 763 | ||||||
|
| |||||||
Total | 3,187 | |||||||
|
| |||||||
Consumer, Cyclical (0.0%) | ||||||||
Marriott International, Inc. | 50,000 | 51 | ||||||
|
| |||||||
Total | 51 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
Short-Term Investments (3.9%) | Shares/ Par + | Value $ (000’s) | ||||||
Financial (0.5%) | ||||||||
Deutsche Bank AG | 1,165,000 | 1,178 | ||||||
UniCredit SPA | 1,010,000 | 1,034 | ||||||
|
| |||||||
Total | 2,212 | |||||||
|
| |||||||
Money Market Funds (1.8%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 7,296,997 | 7,297 | ||||||
|
| |||||||
Total | 7,297 | |||||||
|
| |||||||
Utilities (0.8%) | ||||||||
Pacific Gas & Electric Co. 1.531%, (ICE LIBOR USD 3 Month plus | 1,225,000 | 1,227 | ||||||
1.750%, 6/16/22 | 2,200,000 | 2,199 | ||||||
|
| |||||||
Total | 3,426 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $16,169) |
| 16,173 | ||||||
|
| |||||||
Total Investments (100.9%) |
| |||||||
(Cost: $412,186)@ |
| 417,234 | ||||||
|
| |||||||
Other Assets, Less |
| |||||||
Liabilities (-0.9%) | (3,607 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | 413,627 | |||||||
|
|
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Five-Year US Treasury Note Future | Short | USD | 59,266 | 112 | 9/21 | $ | 13,824 | $ | 20 | $ | (9 | ) | ||||||||||||||||||||
Ten-Year US Treasury Note Future | Short | USD | 11,395 | 86 | 9/21 | 11,395 | (66 | ) | (18 | ) | ||||||||||||||||||||||
Two-Year US Treasury Note Future | Long | USD | 13,824 | 269 | 9/21 | 59,266 | (79 | ) | 6 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (125 | ) | $ | (21 | ) | |||||||||||||||||||||||||||
|
|
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | - | $ | 6 | $ | 6 | $ | - | $ | (27 | ) | $ | (27 | ) | $ | - |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $159,331 representing 38.4% of the net assets. |
b | Cash or securities with an aggregate value of $83,121 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
§ | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2021, the aggregate value of these securities was $12,259 (in thousands), representing 3.0% of net assets. |
S | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
# | 7-Day yield as of 6/30/2021. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Short-Term Bond Portfolio
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $412,186 and the net unrealized appreciation of investments based on that cost was $4,924 which is comprised of $5,418 aggregate gross unrealized appreciation and $494 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Municipal Bonds | $ | - | $ | 3,232 | $ | - | ||||||||
Corporate Bonds | - | 203,439 | - | |||||||||||
Governments | - | 59,792 | - | |||||||||||
Structured Products | - | 134,598 | - | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 7,297 | - | - | |||||||||||
All Others | - | 8,876 | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | 20 | - | - | |||||||||||
Total Assets: | $ | 7,317 | $ | 409,937 | $ | - | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (145 | ) | - | - | ||||||||||
Total Liabilities: | $ | (145 | ) | $ | - | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
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Select Bond Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Structured Products | 40.0 | % | ||
Governments | 37.3 | % | ||
Corporate Bonds | 27.8 | % | ||
Municipal Bonds | 0.3 | % | ||
Short-Term Investments & Other Net Assets | -5.4 | % |
Sector Allocation is subject to change.
Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.
Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.
Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.
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SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Basic Materials (0.6%) | ||||||||
LYB International Finance III, LLC | 3,212,000 | 3,325 | ||||||
3.625%, 4/1/51 | 2,598,000 | 2,743 | ||||||
3.800%, 10/1/60 | 531,000 | 561 | ||||||
NewMarket Corp. | 2,708,000 | 2,708 | ||||||
Newmont Corp. | 1,946,000 | 1,941 | ||||||
Teck Resources, Ltd. | 965,000 | 1,040 | ||||||
6.125%, 10/1/35 | 1,088,000 | 1,401 | ||||||
6.250%, 7/15/41 | 1,233,000 | 1,611 | ||||||
Westlake Chemical Corp. | 1,173,000 | 1,278 | ||||||
4.375%, 11/15/47 | 2,286,000 | 2,681 | ||||||
5.000%, 8/15/46 | 26,000 | 33 | ||||||
|
| |||||||
Total | 19,322 | |||||||
|
| |||||||
Communications (3.3%) | ||||||||
Amazon.com, Inc. | 7,263,000 | 7,264 | ||||||
1.650%, 5/12/28 | 3,300,000 | 3,328 | ||||||
2.100%, 5/12/31 | 8,326,000 | 8,466 | ||||||
2.700%, 6/3/60 | 498,000 | 477 | ||||||
3.100%, 5/12/51 | 1,113,000 | 1,169 | ||||||
3.250%, 5/12/61 | 1,113,000 | 1,173 | ||||||
AT&T, Inc. | 2,488,000 | 2,442 | ||||||
3.100%, 2/1/43 | 543,000 | 532 | ||||||
3.500%, 6/1/41 | 1,146,000 | 1,190 | ||||||
3.500%, 9/15/53 144A | 4,561,000 | 4,582 | ||||||
3.550%, 9/15/55 144A | 1,124,000 | 1,128 | ||||||
3.800%, 12/1/57 144A | 2,055,000 | 2,141 | ||||||
3.850%, 6/1/60 | 1,661,000 | 1,751 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | 2,179,000 | 2,194 | ||||||
3.900%, 6/1/52 | 4,157,000 | 4,233 | ||||||
4.400%, 12/1/61 | 1,568,000 | 1,685 | ||||||
4.464%, 7/23/22 | 1,025,000 | 1,061 | ||||||
4.800%, 3/1/50 | 2,088,000 | 2,398 | ||||||
Comcast Corp. | 2,762,000 | 2,617 | ||||||
3.750%, 4/1/40 | 2,165,000 | 2,441 | ||||||
Discovery Communications LLC | 1,324,000 | 1,401 | ||||||
4.650%, 5/15/50 | 334,000 | 391 | ||||||
Netflix, Inc. | 1,913,000 | 2,054 | ||||||
5.875%, 11/15/28 | 2,055,000 | 2,522 | ||||||
NTT Finance Corp. | 5,229,000 | 5,217 | ||||||
Telefonica Emisiones SA | 834,000 | 1,085 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications continued | ||||||||
Tencent Holdings, Ltd. | 2,197,000 | 2,365 | ||||||
T-Mobile USA, Inc. | 12,616,000 | 12,711 | ||||||
2.250%, 2/15/26 | 2,483,000 | 2,502 | ||||||
2.875%, 2/15/31 | 1,885,000 | 1,871 | ||||||
3.375%, 4/15/29 144A | 7,158,000 | 7,387 | ||||||
3.500%, 4/15/31 144A | 4,752,000 | 4,916 | ||||||
Verizon Communications, Inc. | 1,018,000 | 1,041 | ||||||
2.650%, 11/20/40 | 4,505,000 | 4,335 | ||||||
2.875%, 11/20/50 | 861,000 | 818 | ||||||
3.400%, 3/22/41 | 2,165,000 | 2,290 | ||||||
3.550%, 3/22/51 | 2,493,000 | 2,664 | ||||||
3.700%, 3/22/61 | 1,573,000 | 1,685 | ||||||
4.329%, 9/21/28 | 744,000 | 866 | ||||||
ViacomCBS, Inc. | 113,000 | 130 | ||||||
4.600%, 1/15/45 | 208,000 | 247 | ||||||
4.950%, 1/15/31 | 593,000 | 715 | ||||||
4.950%, 5/19/50 | 500,000 | 631 | ||||||
5.850%, 9/1/43 | 390,000 | 534 | ||||||
|
| |||||||
Total | 112,650 | |||||||
|
| |||||||
Consumer, Cyclical (2.0%) | ||||||||
Delta Air Lines, Inc./SkyMiles IP, Ltd. | 4,357,000 | 4,682 | ||||||
4.750%, 10/20/28 144A | 6,325,000 | 7,032 | ||||||
Ford Motor Co. | 873,000 | 928 | ||||||
Ford Motor Credit Co. LLC | 5,781,000 | 5,893 | ||||||
4.000%, 11/13/30 | 1,593,000 | 1,669 | ||||||
General Motors Co. | 921,000 | 1,173 | ||||||
The Home Depot, Inc. | 1,370,000 | 1,267 | ||||||
2.700%, 4/15/30 | 1,332,000 | 1,424 | ||||||
3.125%, 12/15/49 | 4,171,000 | 4,419 | ||||||
3.300%, 4/15/40 | 443,000 | 485 | ||||||
3.350%, 4/15/50 | 1,074,000 | 1,187 | ||||||
Hyundai Capital America | 3,398,000 | 3,383 | ||||||
1.250%, 9/18/23 144A | 1,672,000 | 1,687 | ||||||
1.300%, 1/8/26 144A | 3,338,000 | 3,299 | ||||||
1.800%, 10/15/25 144A | 2,662,000 | 2,701 | ||||||
2.000%, 6/15/28 144A | 2,656,000 | 2,634 | ||||||
Lowe’s Companies, Inc. | 2,697,000 | 2,787 | ||||||
3.500%, 4/1/51 | 591,000 | 634 | ||||||
Marriott International, Inc. | 4,823,000 | 4,898 | ||||||
4.625%, 6/15/30 | 421,000 | 485 | ||||||
5.750%, 5/1/25 | 1,984,000 | 2,290 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
Nissan Motor Acceptance Corp. | 1,139,000 | 1,149 | ||||||
Southwest Airlines Co. | 2,302,000 | 2,469 | ||||||
5.125%, 6/15/27 | 3,442,000 | 4,049 | ||||||
Starbucks Corp. | 1,365,000 | 1,377 | ||||||
3.350%, 3/12/50 | 1,677,000 | 1,754 | ||||||
3.500%, 11/15/50 | 2,660,000 | 2,866 | ||||||
Walmart, Inc. | 1,009,000 | 1,105 | ||||||
|
| |||||||
Total | 69,726 | |||||||
|
| |||||||
Consumer, Non-cyclical (4.4%) | ||||||||
AbbVie, Inc. | 3,349,000 | 3,437 | ||||||
3.750%, 11/14/23 | 295,000 | 316 | ||||||
4.050%, 11/21/39 | 1,244,000 | 1,445 | ||||||
4.250%, 11/21/49 | 3,261,000 | 3,908 | ||||||
4.300%, 5/14/36 | 778,000 | 923 | ||||||
4.450%, 5/14/46 | 789,000 | 953 | ||||||
Adani International Container Terminal Private, Ltd. 3.000%, 2/16/31 144A | 922,000 | 889 | ||||||
Adani Ports & Special Economic Zone, Ltd. | 1,876,000 | 1,954 | ||||||
Aetna, Inc. | 850,000 | 951 | ||||||
Altria Group, Inc. | 466,000 | 487 | ||||||
2.450%, 2/4/32 | 1,266,000 | 1,224 | ||||||
3.400%, 2/4/41 | 3,469,000 | 3,307 | ||||||
3.700%, 2/4/51 | 1,135,000 | 1,077 | ||||||
3.875%, 9/16/46 | 2,225,000 | 2,210 | ||||||
4.000%, 2/4/61 | 289,000 | 277 | ||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | 3,036,000 | 3,726 | ||||||
4.900%, 2/1/46 | 2,724,000 | 3,448 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 981,000 | 1,062 | ||||||
4.375%, 4/15/38 | 3,190,000 | 3,814 | ||||||
4.600%, 4/15/48 | 1,595,000 | 1,947 | ||||||
Astrazeneca Finance LLC | 2,183,000 | 2,176 | ||||||
1.750%, 5/28/28 | 1,647,000 | 1,645 | ||||||
AstraZeneca PLC | 671,000 | 635 | ||||||
3.000%, 5/28/51 | 1,098,000 | 1,132 | ||||||
BAT Capital Corp. | 576,000 | 572 | ||||||
2.726%, 3/25/31 | 3,530,000 | 3,485 | ||||||
3.557%, 8/15/27 | 2,143,000 | 2,295 | ||||||
4.906%, 4/2/30 | 586,000 | 673 | ||||||
Bristol-Myers Squibb Co. | 3,327,000 | 3,181 | ||||||
Bunge, Ltd. Finance Corp. | 1,869,000 | 1,891 | ||||||
2.750%, 5/14/31 | 6,670,000 | 6,743 | ||||||
3.750%, 9/25/27 | 5,432,000 | 5,983 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
CVS Health Corp. | 1,694,000 | 1,642 | ||||||
3.000%, 8/15/26 | 1,156,000 | 1,247 | ||||||
3.700%, 3/9/23 | 389,000 | 410 | ||||||
4.300%, 3/25/28 | 2,137,000 | 2,455 | ||||||
4.780%, 3/25/38 | 1,688,000 | 2,077 | ||||||
5.050%, 3/25/48 | 2,016,000 | 2,619 | ||||||
Danaher Corp. | 1,573,000 | 1,504 | ||||||
DH Europe Finance II SARL | 1,710,000 | 1,749 | ||||||
2.200%, 11/15/24 | 2,943,000 | 3,070 | ||||||
2.600%, 11/15/29 | 2,181,000 | 2,280 | ||||||
The Estee Lauder Co., Inc. | 3,228,000 | 3,230 | ||||||
Genentech, Inc. | 1,332,000 | 1,760 | ||||||
Gilead Sciences, Inc. | 536,000 | 522 | ||||||
2.600%, 10/1/40 | 1,858,000 | 1,789 | ||||||
2.800%, 10/1/50 | 2,396,000 | 2,308 | ||||||
4.000%, 9/1/36 | 959,000 | 1,109 | ||||||
Molson Coors Beverage Co. | 2,987,000 | 3,328 | ||||||
Pfizer, Inc. | 3,733,000 | 3,754 | ||||||
2.700%, 5/28/50 | 762,000 | 758 | ||||||
2.800%, 3/11/22 | 1,030,000 | 1,049 | ||||||
Regeneron Pharmaceuticals, Inc. | 3,540,000 | 3,354 | ||||||
2.800%, 9/15/50 | 1,326,000 | 1,207 | ||||||
Royalty Pharma PLC | 2,516,000 | 2,503 | ||||||
Shire Acquisitions Investments Ireland DAC | 2,231,000 | 2,335 | ||||||
Sodexo, Inc. | 3,000,000 | 3,022 | ||||||
2.718%, 4/16/31 144A | 2,758,000 | 2,814 | ||||||
STERIS Irish FinCo Unlimited Co. | 2,987,000 | 3,171 | ||||||
Takeda Pharmaceutical Co., Ltd. | 4,021,000 | 3,989 | ||||||
3.175%, 7/9/50 | 3,621,000 | 3,660 | ||||||
4.400%, 11/26/23 | 1,858,000 | 2,017 | ||||||
Thermo Fisher Scientific, Inc. | 3,672,000 | 4,372 | ||||||
UnitedHealth Group, Inc. | 3,360,000 | 3,441 | ||||||
2.750%, 5/15/40 | 822,000 | 832 | ||||||
2.900%, 5/15/50 | 811,000 | 819 | ||||||
3.050%, 5/15/41 | 559,000 | 585 | ||||||
3.250%, 5/15/51 | 1,912,000 | 2,040 | ||||||
Yale University | 1,918,000 | 1,930 | ||||||
1.482%, 4/15/30 | 1,644,000 | 1,620 | ||||||
|
| |||||||
Total | 150,137 | |||||||
|
| |||||||
Energy (2.1%) | ||||||||
Aker BP ASA | 1,473,000 | 1,618 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
BP Capital Markets America, Inc. | 2,500,000 | 2,513 | ||||||
Devon Energy Corp. | 1,146,000 | 1,293 | ||||||
5.000%, 6/15/45 | 1,967,000 | 2,311 | ||||||
5.250%, 9/15/24 144A | 6,474,000 | 7,211 | ||||||
5.600%, 7/15/41 | 866,000 | 1,071 | ||||||
5.850%, 12/15/25 | 1,025,000 | 1,203 | ||||||
Enable Midstream Partners LP | 295,000 | 313 | ||||||
4.150%, 9/15/29 | 1,261,000 | 1,381 | ||||||
4.400%, 3/15/27 | 2,127,000 | 2,345 | ||||||
4.950%, 5/15/28 | 3,607,000 | 4,130 | ||||||
Energy Transfer Operating LP | 334,000 | 391 | ||||||
6.000%, 6/15/48 | 438,000 | 554 | ||||||
6.050%, 6/1/41 | 498,000 | 631 | ||||||
6.125%, 12/15/45 | 959,000 | 1,222 | ||||||
Equinor ASA | 789,000 | 838 | ||||||
Galaxy Pipeline Assets Bidco, Ltd. | 3,335,000 | 3,368 | ||||||
2.160%, 3/31/34 144A | 2,403,000 | 2,358 | ||||||
2.625%, 3/31/36 144A | 1,480,000 | 1,452 | ||||||
2.940%, 9/30/40 144A | 1,632,000 | 1,620 | ||||||
Lundin Energy Finance B.V. | 5,516,000 | 5,525 | ||||||
3.100%, 7/15/31 144A | 4,151,000 | 4,193 | ||||||
Marathon Oil Corp. | 2,494,000 | 2,991 | ||||||
Oleoducto Central SA | 1,181,000 | 1,218 | ||||||
ONEOK, Inc. | 757,000 | 791 | ||||||
3.400%, 9/1/29 | 718,000 | 764 | ||||||
4.000%, 7/13/27 | 454,000 | 502 | ||||||
4.450%, 9/1/49 | 1,787,000 | 1,975 | ||||||
4.950%, 7/13/47 | 213,000 | 250 | ||||||
5.850%, 1/15/26 | 273,000 | 323 | ||||||
Petroleos del Peru SA | 1,545,000 | 1,647 | ||||||
Petroleos Mexicanos | 2,888,550 | 3,017 | ||||||
Pioneer Natural Resources Co. | 2,878,000 | 2,773 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | 465,000 | 505 | ||||||
Qatar Petroleum | 2,676,000 | 2,648 | ||||||
3.125%, 7/12/41 144A | 1,455,000 | 1,450 | ||||||
3.300%, 7/12/51 144A | 1,970,000 | 1,970 | ||||||
Sunoco Logistics Partners Operations LP | 822,000 | 951 | ||||||
6.100%, 2/15/42 | 559,000 | 695 | ||||||
|
| |||||||
Total | 72,011 | |||||||
|
| |||||||
Financial (9.1%) | ||||||||
Agree LP | 2,333,000 | 2,314 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
American International Group, Inc. | 2,417,000 | 2,650 | ||||||
4.375%, 6/30/50 | 1,431,000 | 1,739 | ||||||
American Tower Corp. | 2,165,000 | 2,188 | ||||||
2.700%, 4/15/31 | 1,622,000 | 1,673 | ||||||
The Andrew W. Mellon Foundation | 1,310,000 | 1,274 | ||||||
Antares Holdings LP | 2,214,000 | 2,304 | ||||||
ANZ New Zealand International, Ltd. | 3,199,000 | 3,184 | ||||||
Assured Guaranty US Holdings, Inc. | 1,661,000 | 1,723 | ||||||
Athene Global Funding | 4,325,000 | 4,433 | ||||||
Athene Holding, Ltd. | 811,000 | 865 | ||||||
3.950%, 5/25/51 | 437,000 | 468 | ||||||
4.125%, 1/12/28 | 2,165,000 | 2,415 | ||||||
Banco Santander SA | 5,200,000 | 5,210 | ||||||
Bank of America Corp. | 5,826,000 | 5,845 | ||||||
1.197%, (US SOFR plus 1.010%), 10/24/26 | 8,194,000 | 8,115 | ||||||
1.319%, (US SOFR plus 1.150%), 6/19/26 | 4,845,000 | 4,856 | ||||||
1.658%, (US SOFR plus 0.910%), 3/11/27 | 10,831,000 | 10,917 | ||||||
1.734%, (US SOFR plus 0.960%), 7/22/27 | 5,843,000 | 5,888 | ||||||
1.898%, (US SOFR plus 1.530%), 7/23/31 | 2,119,000 | 2,060 | ||||||
1.922%, (US SOFR plus 1.370%), 10/24/31 | 1,798,000 | 1,752 | ||||||
2.015%, (ICE LIBOR USD 3 Month plus 0.640%), 2/13/26 | 547,000 | 564 | ||||||
2.456%, (ICE LIBOR USD 3 Month plus 0.870%), 10/22/25 | 2,976,000 | 3,113 | ||||||
2.496%, (ICE LIBOR USD 3 Month plus 0.990%), 2/13/31 | 3,020,000 | 3,083 | ||||||
2.592%, (US SOFR plus 2.150%), 4/29/31 | 3,469,000 | 3,576 | ||||||
2.687%, (US SOFR plus 1.320%), 4/22/32 | 10,595,000 | 10,900 | ||||||
3.004%, (ICE LIBOR USD 3 Month plus 0.790%), 12/20/23 | 4,248,000 | 4,402 | ||||||
3.500%, 4/19/26 | 547,000 | 603 | ||||||
3.559%, (ICE LIBOR USD 3 Month plus 1.060%), 4/23/27 | 2,653,000 | 2,906 | ||||||
Barclays PLC | 4,199,000 | 4,214 | ||||||
3.564%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 2.900%), 9/23/35 | 5,829,000 | 6,073 | ||||||
BNP Paribas SA | 3,818,000 | 3,772 | ||||||
2.871%, (US SOFR plus 1.387%), 4/19/32 144A | 3,294,000 | 3,383 | ||||||
Brighthouse Financial, Inc. | 1,630,000 | 1,810 | ||||||
Brixmor Operating Partnership LP | 751,000 | 750 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Select Bond Portfolio
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Credit Suisse Group AG | 2,829,000 | 2,915 | ||||||
Crown Castle International Corp. | 3,217,000 | 3,142 | ||||||
2.100%, 4/1/31 | 5,947,000 | 5,795 | ||||||
2.500%, 7/15/31 | 2,340,000 | 2,357 | ||||||
2.900%, 4/1/41 | 1,502,000 | 1,461 | ||||||
4.000%, 3/1/27 | 536,000 | 600 | ||||||
Deutsche Bank AG | 2,744,000 | 2,731 | ||||||
2.129%, (US SOFR plus 1.870%), 11/24/26 | 5,681,000 | 5,765 | ||||||
3.035%, (US SOFR plus 1.718%), 5/28/32 | 1,679,000 | 1,707 | ||||||
3.729%, (US SOFR plus 2.757%), 1/14/32 | 1,323,000 | 1,346 | ||||||
DNB Bank ASA | 2,812,000 | 2,817 | ||||||
Essex Portfolio LP | 2,812,000 | 2,761 | ||||||
2.550%, 6/15/31 | 1,107,000 | 1,121 | ||||||
F&G Global Funding | 2,648,000 | 2,659 | ||||||
Federal Realty Investment Trust | 1,485,000 | 1,592 | ||||||
FS KKR Capital Corp. | 1,594,000 | 1,576 | ||||||
3.400%, 1/15/26 | 4,236,000 | 4,380 | ||||||
GE Capital Funding, LLC | 1,232,000 | 1,341 | ||||||
4.400%, 5/15/30 | 1,880,000 | 2,191 | ||||||
GE Capital International Funding Co. Unlimited Co. | 4,581,000 | 5,490 | ||||||
GLP Capital LP / GLP Financing II, Inc. | 888,000 | 953 | ||||||
5.300%, 1/15/29 | 1,085,000 | 1,264 | ||||||
The Goldman Sachs Group, Inc. | 7,969,000 | 7,956 | ||||||
1.542%, (US SOFR plus 0.818%), 9/10/27 | 5,313,000 | 5,298 | ||||||
Golub Capital BDC, Inc. | 1,946,000 | 2,030 | ||||||
JPMorgan Chase & Co. | 4,927,000 | 4,918 | ||||||
1.040%, (US SOFR plus 0.695%), 2/4/27 | 10,754,000 | 10,577 | ||||||
1.045%, (US SOFR plus 0.800%), 11/19/26 | 5,996,000 | 5,920 | ||||||
2.069%, (US SOFR plus 1.015%), 6/1/29 | 5,359,000 | 5,401 | ||||||
2.083%, (US SOFR plus 1.850%), 4/22/26 | 4,703,000 | 4,863 | ||||||
2.182%, (US SOFR plus 1.890%), 6/1/28 | 3,294,000 | 3,373 | ||||||
Macquarie Group, Ltd. | 4,786,000 | 4,750 | ||||||
Mid-America Apartments LP | 1,080,000 | 1,224 | ||||||
4.000%, 11/15/25 | 1,315,000 | 1,460 | ||||||
4.300%, 10/15/23 | 1,102,000 | 1,183 | ||||||
Morgan Stanley | 11,159,000 | 11,120 | ||||||
0.864%, (US SOFR plus 0.745%), 10/21/25 | 3,875,000 | 3,874 | ||||||
0.985%, (US SOFR plus 0.720%), 12/10/26 | 5,470,000 | 5,384 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Oaktree Specialty Lending Corp. | 1,669,000 | 1,670 | ||||||
Owl Rock Capital Corp. | 1,116,000 | 1,108 | ||||||
3.400%, 7/15/26 | 4,625,000 | 4,820 | ||||||
Regency Centers LP | 2,335,000 | 2,459 | ||||||
SBL Holdings, LLC | 3,722,000 | 4,009 | ||||||
Scentre Group Trust 1/2 | 1,694,000 | 1,852 | ||||||
Societe Generale SA | 2,494,000 | 2,524 | ||||||
3.653%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.000%), 7/8/35 144A | 2,060,000 | 2,137 | ||||||
Spirit Realty LP | 2,138,000 | 2,129 | ||||||
2.700%, 2/15/32 | 1,178,000 | 1,168 | ||||||
3.200%, 2/15/31 | 2,543,000 | 2,650 | ||||||
3.400%, 1/15/30 | 1,294,000 | 1,379 | ||||||
4.000%, 7/15/29 | 618,000 | 686 | ||||||
4.450%, 9/15/26 | 137,000 | 153 | ||||||
Store Capital Corp. | 1,902,000 | 1,915 | ||||||
4.500%, 3/15/28 | 4,056,000 | 4,582 | ||||||
4.625%, 3/15/29 | 1,370,000 | 1,558 | ||||||
Svensk Exportkredit AB | 4,511,000 | 4,545 | ||||||
Trust Fibra Uno | 1,646,000 | 1,852 | ||||||
TrustCo Bank Corp. | 1,811,000 | 2,119 | ||||||
UBS Group AG | 1,426,000 | 1,397 | ||||||
VEREIT Operating Partnership LP | 1,151,000 | 1,168 | ||||||
2.850%, 12/15/32 | 1,557,000 | 1,626 | ||||||
3.400%, 1/15/28 | 1,140,000 | 1,240 | ||||||
Vornado Realty LP | 1,326,000 | 1,344 | ||||||
3.400%, 6/1/31 | 662,000 | 684 | ||||||
Westpac Banking Corp. | 3,809,000 | 3,747 | ||||||
|
| |||||||
Total | 312,838 | |||||||
|
| |||||||
Industrial (1.6%) | ||||||||
The Boeing Co. | 4,067,000 | 4,106 | ||||||
3.250%, 2/1/28 | 2,302,000 | 2,440 | ||||||
3.250%, 2/1/35 | 1,315,000 | 1,330 | ||||||
3.625%, 2/1/31 | 2,313,000 | 2,488 | ||||||
3.750%, 2/1/50 | 2,342,000 | 2,416 | ||||||
5.705%, 5/1/40 | 651,000 | 838 |
The Accompanying Notes are an Integral Part of the Financial Statements.
110
Table of Contents
Select Bond Portfolio
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrial continued |
| |||||||
5.805%, 5/1/50 | 171,000 | 230 | ||||||
Burlington Northern Santa Fe LLC | 1,074,000 | 1,118 | ||||||
3.300%, 9/15/51 | 2,050,000 | 2,239 | ||||||
3.550%, 2/15/50 | 543,000 | 614 | ||||||
Crowley Conro LLC | 1,373,094 | 1,622 | ||||||
DAE Funding LLC | 5,257,000 | 5,246 | ||||||
2.625%, 3/20/25 144A | 1,745,000 | 1,775 | ||||||
3.375%, 3/20/28 144A | 557,000 | 569 | ||||||
Flex, Ltd. | 1,310,000 | 1,520 | ||||||
General Electric Co. | 2,127,000 | 2,338 | ||||||
GXO Logistics, Inc. | 2,780,000 | 2,766 | ||||||
2.650%, 7/15/31 144A | 445,000 | 441 | ||||||
John Deere Capital Corp. | 3,289,000 | 3,302 | ||||||
1.200%, 4/6/23 | 2,532,000 | 2,570 | ||||||
Northrop Grumman Corp. | 153,000 | 163 | ||||||
3.250%, 8/1/23 | 3,135,000 | 3,315 | ||||||
3.250%, 1/15/28 | 1,935,000 | 2,114 | ||||||
5.150%, 5/1/40 | 1,135,000 | 1,489 | ||||||
Union Pacific Corp. | 1,699,000 | 1,762 | ||||||
2.400%, 2/5/30 | 2,105,000 | 2,173 | ||||||
2.950%, 3/1/22 | 1,907,000 | 1,942 | ||||||
3.150%, 3/1/24 | 910,000 | 971 | ||||||
3.750%, 2/5/70 | 340,000 | 375 | ||||||
|
| |||||||
Total | 54,272 | |||||||
|
| |||||||
Metals/Mining (0.0%) | ||||||||
Teck Resources, Ltd. | 1,266,000 | 1,489 | ||||||
|
| |||||||
Total | 1,489 | |||||||
|
| |||||||
Pharmaceuticals (0.0%) | ||||||||
AbbVie, Inc. | 269,000 | 327 | ||||||
|
| |||||||
Total | 327 | |||||||
|
| |||||||
Pipelines (0.0%) | ||||||||
Energy Transfer Partners LP | 547,000 | 633 | ||||||
|
| |||||||
Total | 633 | |||||||
|
| |||||||
Technology (2.0%) | ||||||||
Apple, Inc. | 1,074,000 | 1,041 | ||||||
2.550%, 8/20/60 | 2,516,000 | 2,347 | ||||||
2.650%, 5/11/50 | 2,647,000 | 2,599 | ||||||
2.650%, 2/8/51 | 2,686,000 | 2,626 | ||||||
2.800%, 2/8/61 | 1,074,000 | 1,046 | ||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. | 811,000 | 896 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Technology continued | ||||||||
Broadcom, Inc. | 1,875,000 | 1,843 | ||||||
3.150%, 11/15/25 | 1,403,000 | 1,504 | ||||||
3.419%, 4/15/33 144A | 7,317,000 | 7,684 | ||||||
3.469%, 4/15/34 144A | 2,768,000 | 2,928 | ||||||
4.150%, 11/15/30 | 1,907,000 | 2,138 | ||||||
Dell International LLC / EMC Corp. | 547,000 | 631 | ||||||
6.100%, 7/15/27 | 1,088,000 | 1,333 | ||||||
8.350%, 7/15/46 | 1,151,000 | 1,883 | ||||||
HP, Inc. | 3,453,000 | 3,584 | ||||||
Intel Corp. | 466,000 | 476 | ||||||
KLA-Tencor Corp. | 1,458,000 | 1,543 | ||||||
Microsoft Corp. | 1,085,000 | 1,152 | ||||||
NVIDIA Corp. | 1,583,000 | 1,583 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | 1,069,000 | 1,143 | ||||||
3.250%, 5/11/41 144A | 1,173,000 | 1,206 | ||||||
3.875%, 6/18/26 144A | 2,231,000 | 2,471 | ||||||
Oracle Corp. | 3,300,000 | 3,345 | ||||||
2.300%, 3/25/28 | 1,169,000 | 1,199 | ||||||
2.800%, 4/1/27 | 3,278,000 | 3,476 | ||||||
2.875%, 3/25/31 | 3,497,000 | 3,637 | ||||||
2.950%, 11/15/24 | 762,000 | 812 | ||||||
3.650%, 3/25/41 | 2,203,000 | 2,336 | ||||||
3.950%, 3/25/51 | 1,540,000 | 1,681 | ||||||
4.100%, 3/25/61 | 438,000 | 486 | ||||||
salesforce.com, Inc. | 2,115,000 | 2,116 | ||||||
2.900%, 7/15/51 | 1,163,000 | 1,174 | ||||||
3.050%, 7/15/61 | 740,000 | 750 | ||||||
Salesforce.com, Inc. | 952,000 | 956 | ||||||
VMware, Inc. | 427,000 | 474 | ||||||
4.700%, 5/15/30 | 2,154,000 | 2,549 | ||||||
|
| |||||||
Total | 68,648 | |||||||
|
| |||||||
Utilities (2.7%) | ||||||||
AES Corp. | 2,313,000 | 2,290 | ||||||
Baltimore Gas & Electric Co. | 1,594,000 | 1,609 | ||||||
Black Hills Corp. | 778,000 | 828 | ||||||
3.875%, 10/15/49 | 965,000 | 1,042 | ||||||
Consumers Energy Co. | 910,000 | 820 | ||||||
Dominion Energy, Inc. | 2,404,000 | 2,421 | ||||||
3.300%, 4/15/41 | 866,000 | 909 | ||||||
DTE Electric Co. | 2,373,000 | 2,427 |
The Accompanying Notes are an Integral Part of the Financial Statements.
111
Table of Contents
Select Bond Portfolio
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
DTE Energy Co. | 1,113,000 | 1,113 | ||||||
2.950%, 3/1/30 | 1,436,000 | 1,514 | ||||||
3.800%, 3/15/27 | 2,165,000 | 2,409 | ||||||
Duke Energy Carolinas LLC | 1,085,000 | 1,126 | ||||||
Duke Energy Corp. | 4,250,000 | 4,301 | ||||||
3.500%, 6/15/51 | 637,000 | 659 | ||||||
Duke Energy Progress LLC | 1,611,000 | 1,485 | ||||||
Entergy Arkansas LLC | 1,436,000 | 1,359 | ||||||
Entergy Corp. | 2,149,000 | 2,146 | ||||||
Evergy, Inc. | 2,006,000 | 2,101 | ||||||
2.900%, 9/15/29 | 1,425,000 | 1,510 | ||||||
3.450%, 4/15/50 | 1,798,000 | 1,970 | ||||||
Eversource Energy | 1,611,000 | 1,653 | ||||||
Interstate Power & Light Co. | 822,000 | 886 | ||||||
ITC Holdings Corp. | 2,170,000 | 2,231 | ||||||
Jersey Central Power & Light Co. | 1,520,000 | 1,543 | ||||||
Metropolitan Edison Co. | 2,401,000 | 2,688 | ||||||
Mid-Atlantic Interstate Transmission LLC | 309,000 | 348 | ||||||
Mississippi Power Co. | 1,903,000 | 1,913 | ||||||
3.950%, 3/30/28 | 2,647,000 | 2,978 | ||||||
4.250%, 3/15/42 | 730,000 | 860 | ||||||
NextEra Energy Capital Holdings, Inc. | 2,124,000 | 2,147 | ||||||
Northern States Power Co. | 1,069,000 | 1,100 | ||||||
3.200%, 4/1/52 | 1,080,000 | 1,151 | ||||||
NSTAR Electric Co. | 984,000 | 1,018 | ||||||
Pacific Gas & Electric Co. | 3,669,000 | 3,563 | ||||||
2.500%, 2/1/31 | 2,960,000 | 2,775 | ||||||
3.300%, 8/1/40 | 82,000 | 74 | ||||||
3.500%, 8/1/50 | 383,000 | 341 | ||||||
3.950%, 12/1/47 | 2,066,000 | 1,922 | ||||||
4.200%, 6/1/41 | 926,000 | 912 | ||||||
4.500%, 7/1/40 | 548,000 | 548 | ||||||
4.750%, 2/15/44 | 537,000 | 542 | ||||||
4.950%, 7/1/50 | 1,074,000 | 1,105 | ||||||
Pennsylvania Electric Co. | 910,000 | 956 | ||||||
Piedmont Natural Gas Company, Inc. | 1,611,000 | 1,636 | ||||||
PPL Capital Funding, Inc. | 1,416,000 | 1,522 | ||||||
Public Service Company of Colorado | 2,461,000 | 2,447 |
Corporate Bonds (27.8%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Public Service Electric & Gas Co. | 443,000 | 382 | ||||||
2.700%, 5/1/50 | 2,384,000 | 2,359 | ||||||
Southern California Edison Co. | 1,200,000 | 1,279 | ||||||
The Southern Co. | 1,606,000 | 1,585 | ||||||
Southern Co. Gas Capital Corp. | 1,677,000 | 1,586 | ||||||
Tampa Electric Co. | 1,617,000 | 1,652 | ||||||
3.450%, 3/15/51 | 1,294,000 | 1,418 | ||||||
Trans-Allegheny Interstate Line Co. | 756,000 | 817 | ||||||
Virginia Electric & Power Co. | 1,568,000 | 1,445 | ||||||
WEC Energy Group, Inc. | 2,713,000 | 2,719 | ||||||
1.375%, 10/15/27 | 1,557,000 | 1,521 | ||||||
Wisconsin Electric Power Co. | 1,069,000 | 1,072 | ||||||
|
| |||||||
Total | 90,733 | |||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost: $935,292) | 952,786 | |||||||
|
| |||||||
Governments (37.3%) | ||||||||
Governments (37.3%) | ||||||||
Colombia Government International Bond | 841,000 | 824 | ||||||
3.875%, 2/15/61 | 2,657,000 | 2,377 | ||||||
Japan Bank for International Cooperation | 2,974,000 | 3,074 | ||||||
Republic of Chile | 733,000 | 746 | ||||||
3.100%, 5/7/41 | 1,879,000 | 1,881 | ||||||
Republic of Italy Government International Bond | 1,922,000 | 2,065 | ||||||
Republic of Paraguay | 1,412,000 | 1,373 | ||||||
5.400%, 3/30/50 144A | 2,650,000 | 3,089 | ||||||
Republic of Peru | 2,242,000 | 2,314 | ||||||
2.783%, 1/23/31 | 4,694,000 | 4,782 | ||||||
3.300%, 3/11/41 | 2,987,000 | 3,014 | ||||||
United Mexican States | 3,792,000 | 3,467 | ||||||
3.771%, 5/24/61 | 601,000 | 559 | ||||||
4.280%, 8/14/41 | 4,223,000 | 4,433 | ||||||
4.350%, 1/15/47 | 771,000 | 804 | ||||||
4.500%, 4/22/29 | 5,086,000 | 5,747 | ||||||
4.750%, 3/8/44 | 1,096,000 | 1,210 | ||||||
US Treasury | 10,084,000 | 10,087 | ||||||
0.125%, 9/30/22 | 16,289,000 | 16,286 | ||||||
0.125%, 10/31/22 | 36,571,000 | 36,555 | ||||||
0.125%, 12/31/22 | 42,449,000 | 42,413 | ||||||
0.125%, 1/31/23 | 42,606,000 | 42,564 | ||||||
0.125%, 3/31/23 | 47,589,000 | 47,517 |
The Accompanying Notes are an Integral Part of the Financial Statements.
112
Table of Contents
Select Bond Portfolio
Governments (37.3%) | Shares/ Par+ | Value $ (000’s) | ||||||
Governments continued | ||||||||
0.125%, 6/30/23 | 23,614,000 | 23,558 | ||||||
0.125%, 9/15/23 | 7,029,000 | 7,003 | ||||||
0.125%, 1/15/24 | 42,168,000 | 41,913 | ||||||
0.250%, 6/15/23 | 10,120,000 | 10,121 | ||||||
0.250%, 5/15/24 b | 74,601,000 | 74,193 | ||||||
0.250%, 6/15/24 | 21,585,000 | 21,453 | ||||||
0.250%, 9/30/25 | 18,471,000 | 18,082 | ||||||
0.250%, 10/31/25 | 34,529,000 | 33,759 | ||||||
0.375%, 4/15/24 | 4,080,000 | 4,075 | ||||||
0.375%, 11/30/25 | 41,731,000 | 40,980 | ||||||
0.375%, 12/31/25 | 52,938,000 | 51,935 | ||||||
0.500%, 2/28/26 | 44,380,000 | 43,707 | ||||||
0.500%, 8/31/27 | 25,638,000 | 24,723 | ||||||
0.500%, 10/31/27 | 10,712,000 | 10,538 | ||||||
0.750%, 5/31/26 | 50,687,000 | 50,398 | ||||||
0.750%, 1/31/28 | 24,411,000 | 23,765 | ||||||
0.875%, 6/30/26 b | 109,943,000 | 109,891 | ||||||
1.125%, 2/15/31 | 7,498,000 | 7,279 | ||||||
1.125%, 5/15/40 | 54,471,000 | 47,024 | ||||||
1.125%, 8/15/40 | 47,044,000 | 40,473 | ||||||
1.250%, 6/30/28 | 6,959,000 | 6,970 | ||||||
1.375%, 11/15/40 b | 59,347,000 | 53,310 | ||||||
1.375%, 8/15/50 | 16,828,000 | 14,186 | ||||||
1.500%, 11/30/24 | 20,490,000 | 21,142 | ||||||
1.625%, 5/15/31 | 40,225,000 | 40,841 | ||||||
1.625%, 11/15/50 | 15,650,000 | 14,056 | ||||||
1.750%, 11/30/21 | 2,820,000 | 2,840 | ||||||
1.750%, 2/28/22 | 1,821,000 | 1,841 | ||||||
1.875%, 2/15/41 | 39,434,000 | 38,602 | ||||||
1.875%, 2/15/51 | 21,425,000 | 20,448 | ||||||
1.875%, 2/28/22 | 35,716,000 | 36,146 | ||||||
2.000%, 2/15/22 | 27,034,000 | 27,361 | ||||||
2.125%, 8/15/21 | 5,678,000 | 5,693 | ||||||
2.250%, 5/15/41 | 27,350,000 | 28,457 | ||||||
2.375%, 5/15/51 | 12,946,000 | 13,822 | ||||||
2.500%, 2/15/45 | 7,522,000 | 8,138 | ||||||
2.875%, 10/31/23 | 20,602,000 | 21,825 | ||||||
|
| |||||||
Total | 1,277,729 | |||||||
|
| |||||||
Total Governments | ||||||||
(Cost: $1,288,404) | 1,277,729 | |||||||
|
| |||||||
Municipal Bonds (0.3%) | ||||||||
Municipal Bonds (0.3%) | ||||||||
County of Clark Department of Aviation 6.820%, 7/1/45 RB | 1,780,000 | 2,771 | ||||||
North Texas Tollway Authority, Series 2009-B 6.718%, 1/1/49 RB | 1,950,000 | 3,220 | ||||||
The Ohio State University 4.800%, 6/1/11 RB | 1,070,000 | 1,517 | ||||||
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB | 3,110,000 | 4,080 | ||||||
The University of Texas System 2.439%, 8/15/49 RB | 925,000 | 889 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost: $10,537) | 12,477 | |||||||
|
|
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities (8.0%) | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A2A 0.600%, 12/18/23 | 2,482,141 | 2,485 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A 3.070%, 9/20/23 144A | 1,041,000 | 1,069 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A 2.360%, 3/20/26 144A | 2,229,000 | 2,332 | ||||||
BA Credit Card Trust, Series 2021-A1, Class A1 0.440%, 9/15/26 | 3,581,000 | 3,571 | ||||||
College Avenue Student Loans LLC, Series 2017-A, Class A1 1.742%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A | 1,149,018 | 1,171 | ||||||
College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A | 968,960 | 1,020 | ||||||
College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A | 1,794,185 | 1,852 | ||||||
College Avenue Student Loans LLC, Series 2021-A, Class A2 1.600%, 7/25/51 144A | 2,573,203 | 2,566 | ||||||
Ford Credit Auto Owner Trust, Series 2018-1, Class A 3.190%, 7/15/31 144A | 1,949,000 | 2,103 | ||||||
Ford Credit Auto Owner Trust, Series 2019- REV1, Class A 3.520%, 7/15/30 144A | 4,691,000 | 5,039 | ||||||
Ford Credit Auto Owner Trust, Series 2021-1, Class A 1.370%, 10/17/33 144A | 5,502,000 | 5,540 | ||||||
Hertz Vehicle Financing II LP, Series 2021-1A, Class A 1.210%, 12/26/25 144A | 1,797,000 | 1,796 | ||||||
Hertz Vehicle Financing II LP, Series 2021-2A, Class A 1.680%, 12/27/27 144A | 5,286,000 | 5,279 | ||||||
Navient Private Education Loan Trust, Series 2014-AA, Class A3 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A | 1,539,000 | 1,565 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A | 407,886 | 415 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A | 3,042,126 | 3,202 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A | 3,986,322 | 4,086 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A | 2,943,212 | 3,008 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A | 5,070,095 | 5,280 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A | 4,048,000 | 4,180 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2 2.120%, 1/15/69 144A | 2,305,130 | 2,339 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A | 1,563,568 | 1,579 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A | 5,617,775 | 5,641 | ||||||
Navient Private Education Refi Loan Trust, Series 2021-A, Class A 0.840%, 5/15/69 144A | 1,151,774 | 1,150 | ||||||
Navient Student Loan Trust, Series 2016-AA, | 922,553 | 949 | ||||||
Navient Student Loan Trust, Series 2019-BA, | 4,046,857 | 4,228 | ||||||
Navient Student Loan Trust, Series 2019-FA, | 3,920,071 | 3,996 | ||||||
Navient Student Loan Trust, Series 2019-GA, | 1,982,603 | 2,023 | ||||||
Navient Student Loan Trust, Series 2020-EA, | 412,231 | 419 | ||||||
Navient Student Loan Trust, Series 2020-HA, | 2,463,629 | 2,480 | ||||||
Navient Student Loan Trust, Series 2020-IA, | 8,776,428 | 8,758 | ||||||
Navient Student Loan Trust, Series 2021-BA, | 5,798,168 | 5,795 | ||||||
Navient Student Loan Trust, Series 2021-CA, | 11,457,000 | 11,481 | ||||||
Nelnet Student Loan Trust, Series 2004-3, Class A5 0.356%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36 | 597,788 | 589 | ||||||
Nelnet Student Loan Trust, Series 2004-4, Class A5 0.336%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37 | 3,089,733 | 3,055 | ||||||
Nelnet Student Loan Trust, Series 2005-1, Class A5 0.286%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33 | 9,078,186 | 8,942 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5 0.235%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37 | 8,774,002 | 8,634 |
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Nelnet Student Loan Trust, Series 2005-3, Class A5 0.255%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35 | 6,776,553 | 6,672 | ||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4 0.315%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32 | 1,145,553 | 1,110 | ||||||
Nissan Auto Owner Trust Receivables, Series 2021-A, Class A3 0.330%, 10/15/25 | 2,882,000 | 2,879 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A 0.620%, 5/15/23 | 484,908 | 485 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-3, Class A3 0.520%, 7/15/24 | 1,929,000 | 1,931 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-4, Class A3 0.480%, 7/15/24 | 1,741,000 | 1,744 | ||||||
Santander Retail Auto Lease Trust, Series 2020-1, Class A3 2.030%, 2/15/24 | 1,209,259 | 1,215 | ||||||
Santander Retail Auto Lease Trust, Series 2021-B, Class A3 0.510%, 8/20/24 144A | 1,646,000 | 1,642 | ||||||
Santander Revolving Auto Loan Trust, Series 2019-A, Class A 2.510%, 1/26/32 144A | 1,838,000 | 1,937 | ||||||
SLM Student Loan Trust, Series 2003-1, Class A5C 0.869%, (ICE LIBOR USD 3 Month plus 0.750%), 12/15/32 144A | 1,300,099 | 1,267 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A4 0.789%, (ICE LIBOR USD 3 Month plus 0.670%), 12/17/68 144A | 5,473,000 | 5,485 | ||||||
SLM Student Loan Trust, Series 2007-2, Class A4 0.236%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22 | 8,709,298 | 8,481 | ||||||
SLM Student Loan Trust, Series 2012-1, Class A3 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 9/25/28 | 5,530,389 | 5,468 | ||||||
SLM Student Loan Trust, Series 2012-2, Class A 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 1/25/29 | 4,796,298 | 4,713 | ||||||
SLM Student Loan Trust, Series 2012-6, Class A3 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 5/26/26 | 2,104,136 | 2,083 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A2A 2.700%, 5/15/31 144A | 2,628,820 | 2,695 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A | 1,328,052 | 1,361 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2B 1.523%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A | 1,246,854 | 1,264 | ||||||
SMB Private Education Loan Trust, Series 2016-C, Class A2B 1.201%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A | 1,366,538 | 1,379 | ||||||
SMB Private Education Loan Trust, Series 2018-C, Class A2A 3.630%, 11/15/35 144A | 1,642,806 | 1,730 | ||||||
SMB Private Education Loan Trust, Series 2019-A, Class A2A 3.440%, 7/15/36 144A | 6,815,407 | 7,145 | ||||||
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A | 5,291,816 | 5,309 | ||||||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A 1.600%, 9/15/54 144A | 5,477,000 | 5,530 | ||||||
SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A | 13,284,570 | 13,085 | ||||||
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A | 5,645,000 | 5,623 | ||||||
SMB Private Education Loan Trust, Series 2021-C, Class A1 0.490%, (ICE LIBOR USD 1 Month plus 0.400%), 1/15/53 144A | 2,755,000 | 2,755 | ||||||
SMB Private Education Loan Trust, Series 2021-C, Class A2 0.800%, (ICE LIBOR USD 1 Month plus 0.800%), 1/15/53 144A | 4,242,000 | 4,242 | ||||||
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A | 14,591,000 | 14,700 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 2.760%, 12/26/36 144A | 557,695 | 564 | ||||||
SoFi Professional Loan Program LLC, Series 2016-D, Class A1 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 1/25/39 144A | 109,256 | 110 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A1 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/39 144A | 147,842 | 148 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class A1 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 3/26/40 144A | 187,357 | 188 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A | 144,747 | 148 | ||||||
SoFi Professional Loan Program LLC, Series 2017-E, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 11/26/40 144A | 87,170 | 87 |
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B 2.720%, 11/26/40 144A | 2,506,415 | 2,550 | ||||||
SoFi Professional Loan Program LLC, Series 2018-A, Class A2B 2.950%, 2/25/42 144A | 1,015,343 | 1,035 | ||||||
SoFi Professional Loan Program LLC, Series 2018-B, Class A2FX 3.340%, 8/26/47 144A | 2,986,631 | 3,062 | ||||||
SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX 2.540%, 5/15/46 144A | 4,500,000 | 4,649 | ||||||
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A | 3,320,423 | 3,369 | ||||||
SoFi Professional Loan Program LLC, Series 2021-A, Class AFX 1.030%, 8/17/43 144A | 1,946,000 | 1,945 | ||||||
Tesla Auto Lease Trust, Series 2021-A, Class A3 0.560%, 3/20/25 144A | 1,251,000 | 1,254 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A 1.070%, 2/27/34 144A | 6,001,000 | 6,004 | ||||||
Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A | 1,308,878 | 1,316 | ||||||
Verizon Owner Trust, Series 2021-1, Class A 0.500%, 5/20/27 | 5,328,000 | 5,316 | ||||||
|
| |||||||
Total | 275,292 | |||||||
|
| |||||||
Mortgage Securities (32.0%) | ||||||||
Angel Oak Mortgage Trust I LLC, Series 2020-2, | 2,185,587 | 2,223 | ||||||
Angel Oak Mortgage Trust I LLC, Series 2020-5, | 851,073 | 854 | ||||||
Angel Oak Mortgage Trust LLC, Series 2019- 2, | 551,594 | 558 | ||||||
BBCMS Trust, Series 2021-C10, Class A5 2.492%, 7/15/54 | 2,617,000 | 2,716 | ||||||
Benchmark Mortgage Trust, Series 2021-B26, Class A5 2.613%, 6/15/54 | 1,561,000 | 1,638 | ||||||
Benchmark Mortgage Trust, Series 2021-B27, Class A5 2.390%, 7/15/54 | 953,000 | 981 | ||||||
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A ∑ | 1,756,985 | 1,783 | ||||||
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A ∑ | 1,884,330 | 1,919 | ||||||
CD Mortgage Trust, Series 2019-CD8, Class A4 2.912%, 8/15/57 | 1,349,000 | 1,439 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50 | 1,013,000 | 1,086 | ||||||
Citigroup Mortgage Loan Trust, Series 2005- 1, Class 3A1 6.500%, 4/25/35 | 116,455 | 123 | ||||||
COLT Funding LLC, Series 2019-4, Class A1 2.579%, (AFC), 11/25/49 144A | 1,173,002 | 1,177 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2013-CR10, Class A4 4.210%, (AFC), 8/10/46 | 52,000 | 56 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2013-CR11, Class A4 4.258%, 8/10/50 | 6,049,000 | 6,489 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2013-CR6, Class A4 3.101%, 3/10/46 | 4,482,000 | 4,599 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS4, Class A4 3.420%, 8/10/47 | 2,348,000 | 2,473 | ||||||
Commercial Mortgage Trust, Series 2015- LC21, Class A4 3.708%, 7/10/48 | 980,000 | 1,070 | ||||||
Commercial Mortgage Trust, Series 2015- LC23, Class A3 3.521%, 10/10/48 | 1,230,000 | 1,315 | ||||||
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4 3.504%, 6/15/57 | 1,424,000 | 1,537 | ||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A4 3.807%, 11/15/48 | 1,085,000 | 1,195 | ||||||
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4 2.763%, 9/15/52 | 1,424,000 | 1,495 | ||||||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 2.805%, 3/17/54 | 3,146,000 | 3,327 | ||||||
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A3 3.329%, 6/15/52 | 2,966,000 | 3,240 | ||||||
Federal Home Loan Mortgage Corp. | 3,314,683 | 3,357 | ||||||
2.500%, 1/1/36 | 9,676,825 | 10,217 | ||||||
2.827%, (ICE LIBOR USD 12 Month plus 1.641%), 5/1/49 | 1,986,722 | 2,068 | ||||||
3.500%, 4/1/49 | 1,975,926 | 2,148 | ||||||
4.000%, 1/1/35 | 71,239 | 78 | ||||||
4.000%, 1/1/36 | 133,663 | 146 | ||||||
4.000%, 10/1/36 | 803,715 | 876 | ||||||
4.000%, 3/1/37 | 396,298 | 433 | ||||||
4.000%, 8/1/38 | 3,652,385 | 3,912 | ||||||
4.000%, 11/1/48 | 4,678,530 | 5,118 | ||||||
4.000%, 7/1/49 | 6,238,517 | 6,951 | ||||||
4.500%, 6/1/39 | 99,976 | 112 | ||||||
4.500%, 7/1/39 | 129,634 | 148 | ||||||
4.500%, 11/1/48 | 2,527,789 | 2,792 | ||||||
4.500%, 8/1/49 | 10,260,534 | 11,300 | ||||||
5.000%, 5/1/48 | 3,291,015 | 3,707 | ||||||
5.000%, 3/1/49 | 6,501,826 | 7,225 |
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42 | 4,539,495 | 4,740 | ||||||
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47 | 4,016,574 | 4,162 | ||||||
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA 3.000%, 3/15/48 | 1,475,859 | 1,576 | ||||||
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32 | 246,531 | 283 | ||||||
Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43 | 1,375,754 | 1,421 | ||||||
Federal Home Loan Mortgage Corp., Series 4426, Class QC 1.750%, 7/15/37 | 2,361,789 | 2,421 | ||||||
Federal Home Loan Mortgage Corp., Series 4705, Class A 4.500%, 9/15/42 | 486,392 | 498 | ||||||
Federal Home Loan Mortgage Corp., Series 4763, Class CA 3.000%, 9/15/38 | 637,116 | 680 | ||||||
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50 | 3,063,536 | 3,273 | ||||||
Federal Home Loan Mortgage Corp., Series 4897, Class F 0.423%, (ICE LIBOR USD 1 Month plus 0.350%), 12/15/48 | 438,139 | 436 | ||||||
Federal National Mortgage Association | 3,254,963 | 3,379 | ||||||
2.000%, 7/1/36 | 6,805,000 | 7,025 | ||||||
2.000%, 4/1/51 | 19,677,509 | 19,922 | ||||||
2.500%, 12/1/35 | 9,016,316 | 9,567 | ||||||
2.500%, 2/1/36 | 6,541,482 | 6,933 | ||||||
2.500%, 3/1/36 | 13,493,938 | 14,308 | ||||||
2.500%, 4/1/36 | 1,999,595 | 2,122 | ||||||
2.500%, 5/1/36 | 24,273,162 | 25,743 | ||||||
2.500%, 9/1/50 | 18,314,961 | 19,043 | ||||||
2.500%, 10/1/50 | 17,768,719 | 18,431 | ||||||
2.695%, (ICE LIBOR USD 12 Month plus 1.586%), 1/1/46 | 4,677,114 | 4,881 | ||||||
2.760%, (ICE LIBOR USD 12 Month plus 1.580%), 6/1/45 | 1,444,701 | 1,504 | ||||||
3.000%, 1/1/43 | 3,377,689 | 3,607 | ||||||
3.000%, 12/1/54 | 15,597,271 | 16,581 | ||||||
3.000%, 7/1/60 | 34,432,387 | 36,694 | ||||||
3.500%, 6/1/49 | 529,490 | 562 | ||||||
4.000%, 9/1/33 | 1,396,066 | 1,492 | ||||||
4.000%, 12/1/36 | 140,349 | 153 | ||||||
4.000%, 10/1/37 | 849,097 | 924 | ||||||
4.000%, 9/1/45 | 781,103 | 871 | ||||||
4.000%, 1/1/46 | 3,442,999 | 3,837 | ||||||
4.000%, 2/1/47 | 2,130,886 | 2,346 | ||||||
4.000%, 4/1/47 | 927,022 | 1,018 | ||||||
4.000%, 10/1/47 | 637,007 | 707 | ||||||
4.000%, 7/1/48 | 11,198,925 | 12,250 | ||||||
4.000%, 9/1/48 | 2,395,346 | 2,609 | ||||||
4.000%, 10/1/48 | 2,010,642 | 2,197 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
4.000%, 11/1/48 | 2,129,750 | 2,326 | ||||||
4.000%, 12/1/48 | 1,830,379 | 2,033 | ||||||
4.000%, 2/1/49 | 3,180,565 | 3,500 | ||||||
4.000%, 5/1/49 | 1,848,611 | 2,054 | ||||||
4.000%, 12/1/49 | 1,913,652 | 2,105 | ||||||
4.000%, 8/1/59 | 6,284,196 | 7,003 | ||||||
4.500%, 5/1/34 | 51,823 | 57 | ||||||
4.500%, 6/1/41 | 113,764 | 128 | ||||||
4.500%, 3/1/43 | 1,454,955 | 1,639 | ||||||
4.500%, 10/1/45 | 2,314,901 | 2,608 | ||||||
4.500%, 2/1/46 | 70,127 | 78 | ||||||
4.500%, 7/1/48 | 2,766,646 | 3,096 | ||||||
4.500%, 8/1/48 | 4,109,774 | 4,527 | ||||||
4.500%, 10/1/48 | 9,462,085 | 10,429 | ||||||
4.500%, 11/1/48 | 1,279,301 | 1,440 | ||||||
4.500%, 1/1/49 | 6,787,440 | 7,540 | ||||||
4.500%, 2/1/49 | 3,673,119 | 4,079 | ||||||
4.500%, 6/1/49 | 2,913,849 | 3,225 | ||||||
4.500%, 7/1/49 | 7,532,832 | 8,350 | ||||||
4.500%, 8/1/49 | 2,737,557 | 3,040 | ||||||
4.500%, 3/1/50 | 3,366,940 | 3,747 | ||||||
4.500%, 4/1/50 | 1,958,227 | 2,205 | ||||||
4.500%, 1/1/59 | 5,586,388 | 6,294 | ||||||
5.000%, 7/1/44 | 172,004 | 192 | ||||||
5.000%, 10/1/48 | 622,449 | 695 | ||||||
5.000%, 12/1/48 | 2,155,256 | 2,383 | ||||||
5.000%, 6/1/49 | 14,515,354 | 16,185 | ||||||
5.000%, 8/1/49 | 30,948,374 | 34,749 | ||||||
5.000%, 11/1/49 | 3,011,921 | 3,315 | ||||||
5.500%, 12/1/48 | 2,266,376 | 2,580 | ||||||
5.500%, 6/1/49 | 6,254,131 | 7,172 | ||||||
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42 PO | 3,844,940 | 4,167 | ||||||
Federal National Mortgage Association TBA 2.000%, 7/19/36 b | 76,000,000 | 78,388 | ||||||
2.000%, 7/14/51 | 6,600,000 | 6,664 | ||||||
2.000%, 8/12/51 | 27,900,000 | 28,116 | ||||||
2.500%, 7/14/51 b | 76,900,000 | 79,537 | ||||||
2.500%, 8/12/51 | 33,400,000 | 34,480 | ||||||
2.500%, 9/14/51 | 51,200,000 | 52,742 | ||||||
Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43 | 1,615,516 | 1,631 | ||||||
Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43 | 4,989,075 | 5,060 | ||||||
Federal National Mortgage Association, Series 2013-30, Class CA 1.500%, 4/25/43 | 518,318 | 524 | ||||||
Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43 | 1,827,069 | 1,883 | ||||||
Federal National Mortgage Association, Series 2014-73, Class MA 2.500%, 11/25/44 | 1,124,789 | 1,192 | ||||||
Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33 | 6,080,225 | 6,276 |
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38 | 6,159,855 | 6,409 | ||||||
Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46 | 11,893,920 | 12,036 | ||||||
Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46 | 1,919,292 | 2,015 | ||||||
Federal National Mortgage Association, Series 2017-42, Class H 3.000%, 11/25/43 | 1,272,488 | 1,313 | ||||||
Federal National Mortgage Association, Series 2017-M7, Class A2 2.961%, (AFC), 2/25/27 | 1,064,000 | 1,155 | ||||||
Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48 | 3,612,455 | 3,854 | ||||||
Federal National Mortgage Association, Series 2018-15, Class AB 3.000%, 3/25/48 | 769,120 | 820 | ||||||
Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47 | 2,072,033 | 2,163 | ||||||
Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48 | 4,176,023 | 4,425 | ||||||
Federal National Mortgage Association, Series 2019-35, Class A 3.000%, 7/25/49 | 1,541,659 | 1,609 | ||||||
Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50 | 2,623,958 | 2,678 | ||||||
Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50 | 8,661,829 | 8,801 | ||||||
Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51 | 9,741,879 | 9,808 | ||||||
Freddie Mac, Series 5091, Class AB 1.500%, 3/25/51 | 6,468,790 | 6,478 | ||||||
Freddie Mac, Series 5092, Class DT 1.500%, 11/25/49 | 6,934,444 | 6,978 | ||||||
Freddie Mac, Series 5119, Class AB 1.500%, 8/25/49 | 3,097,791 | 3,124 | ||||||
GCAT LLC, Series 2019-NQM1, Class A1 2.985%, (AFC), 2/25/59 144A S | 603,085 | 605 | ||||||
Government National Mortgage Association | 57,030,000 | 59,157 | ||||||
3.500%, 1/20/48 | 2,121,475 | 2,284 | ||||||
4.000%, 6/20/47 | 16,625,320 | 17,809 | ||||||
4.000%, 3/20/48 | 563,678 | 607 | ||||||
4.000%, 4/20/48 | 2,088,717 | 2,240 | ||||||
4.000%, 5/20/49 | 961,508 | 1,036 | ||||||
4.000%, 6/20/49 | 2,696,605 | 2,907 | ||||||
4.000%, 7/20/49 | 2,491,625 | 2,686 | ||||||
4.500%, 8/15/47 | 421,039 | 471 | ||||||
4.500%, 6/20/48 | 3,279,125 | 3,523 | ||||||
4.500%, 2/20/49 | 3,035,570 | 3,376 | ||||||
4.500%, 3/20/49 | 317,150 | 344 | ||||||
4.500%, 4/20/49 | 448,401 | 488 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
4.500%, 5/20/49 | 1,176,879 | 1,281 | ||||||
5.000%, 12/20/39 | 76,278 | 85 | ||||||
5.000%, 11/20/45 | 189,174 | 210 | ||||||
5.000%, 3/20/48 | 5,132,632 | 5,606 | ||||||
5.000%, 5/20/48 | 2,488,253 | 2,684 | ||||||
5.000%, 6/20/48 | 7,684,175 | 8,291 | ||||||
5.000%, 7/20/48 | 1,680,008 | 1,819 | ||||||
5.000%, 8/20/48 | 2,613,270 | 2,823 | ||||||
5.000%, 12/20/48 | 1,771,708 | 1,909 | ||||||
5.000%, 1/20/49 | 3,058,709 | 3,334 | ||||||
5.000%, 2/20/49 | 304,301 | 336 | ||||||
5.000%, 3/20/49 | 784,517 | 865 | ||||||
Government National Mortgage Association TBA 2.500%, 7/21/51 | 10,300,000 | 10,659 | ||||||
Government National Mortgage Association, Series 2012-141, Class WA 4.529%, 11/16/41 | 599,219 | 668 | ||||||
Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44 | 2,181,222 | 2,260 | ||||||
Government National Mortgage Association, Series 2018-11, Class PC 2.750%, 12/20/47 | 3,043,798 | 3,131 | ||||||
Government National Mortgage Association, Series 2019-31, Class JC 3.500%, 3/20/49 | 1,568,908 | 1,682 | ||||||
Government National Mortgage Association, Series 2019-32, Class NA 3.500%, 9/20/49 | 2,624,310 | 2,788 | ||||||
Government National Mortgage Association, Series 2021-23, Class MG 1.500%, 2/20/51 | 6,483,826 | 6,567 | ||||||
GS Mortgage Securities Trust, Series 2014- GC18, Class A4 4.074%, 1/10/47 | 3,116,000 | 3,335 | ||||||
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53 | 2,669,000 | 2,614 | ||||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010- 1, Class A1 5.314%, 1/25/51 144A | 3,242,758 | 3,456 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47 | 954,968 | 1,017 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48 | 5,537,242 | 5,733 | ||||||
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1 5.250%, 12/25/24 | 70,997 | 72 | ||||||
Mello Warehouse Securitization Trust, Series 2020-2, Class A 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 11/25/53 144A | 3,220,000 | 3,224 | ||||||
Mello Warehouse Securitization Trust, Series 2021-1, Class A 0.806%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/55 144A | 941,000 | 941 |
Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Mello Warehouse Securitization Trust, Series 2021-2, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 4/25/55 144A | 2,577,000 | 2,578 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A4 3.176%, 8/15/45 | 692,000 | 704 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 3.249%, 2/15/48 | 434,000 | 464 | ||||||
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53 | 1,911,000 | 1,885 | ||||||
Morgan Stanley Capital I Trust, Series 2021- L6, Class A4 2.444%, 7/15/31 | 1,586,000 | 1,634 | ||||||
MSG III Securitization Trust, Series 2021-1, Class A 0.841%, (ICE LIBOR USD 1 Month plus 0.750%), 6/25/54 144A Æ | 1,625,000 | 1,625 | ||||||
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A | 1,183,806 | 1,195 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A | 6,710,000 | 6,720 | ||||||
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1 4.500%, 10/25/25 | 2,120 | 1 | ||||||
Starvest Emerging Markets CBO I, Series 2020-INV1, Class A1 1.027%, (AFC), 11/25/55 144A | 1,801,706 | 1,801 | ||||||
Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A | 2,499,095 | 2,527 | ||||||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A | 2,197,515 | 2,217 | ||||||
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A | 2,050,313 | 2,056 | ||||||
Verus Securitization Trust, Series 2019-3, Class A1 2.784%, (AFC), 7/25/59 144A S | 2,446,518 | 2,477 | ||||||
Verus Securitization Trust, Series 2019-4, Class A1 2.642%, (AFC), 11/25/59 144A S | 3,237,370 | 3,291 | ||||||
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A | 1,402,872 | 1,426 | ||||||
Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A | 980,509 | 999 | ||||||
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S | 776,231 | 786 | ||||||
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A | 2,935,277 | 2,960 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (40.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Verus Securitization Trust, Series 2020-5, Class A1 1.218%, (AFC), 5/25/65 144A S | 703,538 | 705 | ||||||
Verus Securitization Trust, Series 2021-2, Class A1 | ||||||||
0.815%, (AFC), 1/25/66 144A | 2,385,416 | 2,383 | ||||||
1.031%, (AFC), 2/25/66 144A | 4,147,446 | 4,149 | ||||||
Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A | 2,813,000 | 2,813 | ||||||
Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A | 2,878,197 | 2,876 | ||||||
Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A | 2,752,311 | 2,749 | ||||||
Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A | 1,952,232 | 1,956 | ||||||
|
| |||||||
Total | 1,095,077 | |||||||
|
| |||||||
Total Structured Products | ||||||||
(Cost: $1,358,755) |
| 1,370,369 | ||||||
|
| |||||||
Short-Term Investments (3.3%) | ||||||||
Money Market Funds (3.1%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 106,296,678 | 106,297 | ||||||
|
| |||||||
Total | 106,297 | |||||||
|
| |||||||
Structured Products (0.1%) | ||||||||
SLM Student Loan Trust, Series 2007-3, Class A4 0.236%, (ICE LIBOR USD 3 Month plus 0.060%), 1/25/22 | 2,600,926 | 2,533 | ||||||
|
| |||||||
Total | 2,533 | |||||||
|
| |||||||
Utilities (0.1%) | ||||||||
Dominion Resources, Inc. 2.000%, 8/15/21 | 1,513,000 | 1,514 |
Short-Term Investments (3.3%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Duke Energy Corp. 1.800%, 9/1/21 | 2,264,000 | 2,266 | ||||||
|
| |||||||
Total | 3,780 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $112,612) |
| 112,610 | ||||||
|
| |||||||
Total Investments (108.7%) | ||||||||
(Cost: $3,705,600)@ |
| 3,725,971 | ||||||
|
| |||||||
Other Assets, Less | ||||||||
Liabilities (-8.7%) |
| (298,286 | ) | |||||
|
| |||||||
Net Assets (100.0%) | 3,427,685 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $476,759 representing 13.9% of the net assets. |
b | Cash or securities with an aggregate value of $454,476 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
S | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
Æ | Security valued using significant unobservable inputs. |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,705,600 and the net unrealized appreciation of investments based on that cost was $20,371 which is comprised of $43,736 aggregate gross unrealized appreciation and $23,365 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Municipal Bonds | $ | - | $ | 12,477 | $ | - | ||||||||
Corporate Bonds | - | 952,786 | - | |||||||||||
Governments | - | 1,277,729 | - | |||||||||||
Structured Products | ||||||||||||||
Mortgage Securities | - | 1,093,452 | 1,625 | |||||||||||
All Others | - | 275,292 | - | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 106,297 | - | - | |||||||||||
All Others | - | 6,313 | - | |||||||||||
Total Assets: | $ | 106,297 | $ | 3,618,049 | $ | 1,625 |
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.
The Accompanying Notes are an Integral Part of the Financial Statements.
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Long-Term U.S. Government Bond Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Total Investments | |||
Governments | 88.5 | % | ||
Structured Products | 9.8 | % | ||
Short-Term Investments | 0.9 | % | ||
Corporate Bonds | 0.8 | % |
Sector Allocation is subject to change.
Consistent with the Portfolio’s stated parameters, no more than 10% of the Portfolio is invested in securities rated A by Moody’s or S&P and no more than 25% of the Portfolio is invested in securities rated Aa by Moody’s or AA by S&P.
Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.
The Portfolio may invest in securities that are issued or guaranteed by the U.S. Government or its agencies, and in derivatives designed to replicate such securities. This guarantee provides for the timely repayment of the principal and interest as applicable under the terms of the instrument, if it is held to maturity, and does not apply to derivative securities held by the Portfolio. A guarantee by the U.S. Government or its agencies does not eliminate market risk.
The Portfolio may also use derivative instruments for hedging or other purposes as part of its investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that the Portfolio could not close out a position when it would be most advantageous to do so. The potential leverage created by use of derivatives may cause the Portfolio to be more sensitive to interest rate movements and thus more volatile than other long-term U.S. Government bond funds that do not use derivatives. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
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SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Corporate Bonds (0.9%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical (0.2%) | ||||||||
United Airlines Pass Through Trust, Series 2016-2, | 162,997 | 165 | ||||||
United Airlines Pass Through Trust, Series 2016-2, | 162,997 | 166 | ||||||
|
| |||||||
Total | 331 | |||||||
|
| |||||||
Consumer, Non-cyclical (0.2%) | ||||||||
Automatic Data Processing, Inc. 1.700%, 5/15/28 | 300,000 | 302 | ||||||
|
| |||||||
Total | 302 | |||||||
|
| |||||||
Industrial (0.3%) | ||||||||
Vessel Management Services, Inc. 3.432%, 8/15/36 | 431,000 | 475 | ||||||
|
| |||||||
Total | 475 | |||||||
|
| |||||||
Utilities (0.2%) | ||||||||
Duke Energy Florida LLC 2.500%, 12/1/29 | 200,000 | 210 | ||||||
|
| |||||||
Total | 210 | |||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost: $1,256) | 1,318 | |||||||
|
| |||||||
Governments (107.0%) | ||||||||
Governments (107.0%) | ||||||||
Federal National Mortgage Association 5.625%, 4/17/28 | 100,000 | 129 | ||||||
Resolution Funding Corp. Stripped | 4,800,000 | 4,152 | ||||||
0.000%, 4/15/28 IO | 400,000 | 365 | ||||||
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO | 500,000 | 431 | ||||||
US Treasury | 5,100,000 | 5,069 | ||||||
1.125%, 2/15/31 | 3,200,000 | 3,106 | ||||||
1.125%, 5/15/40 | 6,790,000 | 5,862 | ||||||
1.125%, 8/15/40 b | 65,580,000 | 56,419 | ||||||
1.125%, 2/29/28 | 190,000 | 189 | ||||||
1.375%, 11/15/40 | 11,700,000 | 10,510 | ||||||
1.375%, 8/15/50 | 3,300,000 | 2,782 | ||||||
1.375%, 8/31/26 | 100,000 | 102 | ||||||
1.625%, 11/15/50 | 1,700,000 | 1,527 | ||||||
1.875%, 2/15/41 | 1,900,000 | 1,860 | ||||||
2.000%, 2/15/50 | 44,180,000 | 43,403 | ||||||
2.000%, 10/31/21 b | 83,000 | 84 | ||||||
2.000%, 6/30/24 b | 700,000 | 732 | ||||||
2.125%, 3/31/24 b | 1,000,000 | 1,047 | ||||||
2.125%, 5/15/25 | 410,000 | 433 | ||||||
2.375%, 5/15/51 | 2,300,000 | 2,456 | ||||||
2.500%, 2/15/46 | 940,000 | 1,018 | ||||||
2.875%, 5/15/49 | 1,350,000 | 1,581 | ||||||
3.000%, 11/15/45 | 370,000 | 437 |
Governments (107.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Governments continued | ||||||||
3.000%, 2/15/48 | 330,000 | 393 | ||||||
3.000%, 8/15/48 | 700,000 | 836 | ||||||
3.125%, 5/15/48 | 2,430,000 | 2,964 | ||||||
3.500%, 2/15/39 | 50,000 | 63 | ||||||
4.375%, 2/15/38 | 2,240,000 | 3,083 | ||||||
4.500%, 5/15/38 | 1,440,000 | 2,011 | ||||||
US Treasury Stripped | 850,000 | 667 | ||||||
0.000%, 11/15/43 PO | 700,000 | 438 | ||||||
|
| |||||||
Total | 154,149 | |||||||
|
| |||||||
Total Governments | ||||||||
(Cost: $164,886) | 154,149 | |||||||
|
| |||||||
Structured Products (11.9%) | ||||||||
Asset Backed Securities (0.4%) | ||||||||
ECMC Group Student Loan Trust, Series 2018-1A, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A | 63,342 | 64 | ||||||
Massachusetts Educational Financing Authority, Series 2008-1, Class A1 1.126%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38 | 32,352 | 32 | ||||||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A 3.430%, 12/16/24 144A | 163,545 | 164 | ||||||
SLM Student Loan Trust, Series 2003-7A, Class A5A 1.319%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A | 92,771 | 93 | ||||||
Towd Point Mortgage Trust, Series 2019-4, Class A1 2.900%, (AFC), 10/25/59 144A | 138,556 | 143 | ||||||
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 3.000%, (AFC), 11/25/59 144A | 117,905 | 119 | ||||||
|
| |||||||
Total | 615 | |||||||
|
| |||||||
Mortgage Securities (11.5%) | ||||||||
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A | 300,000 | 321 | ||||||
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.871%, (CSTR), 11/10/31 144A | 600,000 | 621 | ||||||
COMM Mortgage Trust, Series 2018-HOME, Class A 3.942%, (AFC), 4/10/33 144A | 200,000 | 219 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A 3.140%, 10/10/36 144A | 700,000 | 742 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 2.148%, (CSTR), 7/25/33 | 380 | – | p |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (11.9%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
DBWF Mortgage Trust, Series 2016-85T, Class A 3.791%, 12/10/36 144A | 800,000 | 885 | ||||||
Extended Stay America Trust, Series 2021- ESH, Class A 1.155%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A | 400,000 | 401 | ||||||
Federal Home Loan Mortgage Corp., Series 2752, | 168,449 | 192 | ||||||
Federal Home Loan Mortgage Corp., Series 3759, Class FB 0.573%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40 | 30,643 | 31 | ||||||
Federal Home Loan Mortgage Corp., Series 4092, | 2,200,000 | 2,319 | ||||||
Federal Home Loan Mortgage Corp., Series 4387, | 2,618,753 | 2,866 | ||||||
Federal Home Loan Mortgage Corp., Series 4398, | 783,016 | 913 | ||||||
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53 | 736,327 | 753 | ||||||
Federal Home Loan Mortgage Corp., Series T-61, | 6,283 | 6 | ||||||
Federal National Mortgage Association | 591,913 | 684 | ||||||
5.000%, 6/1/35 | 32,773 | 37 | ||||||
5.000%, 2/1/36 | 50,974 | 58 | ||||||
5.500%, 5/1/49 | 41,505 | 46 | ||||||
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37 | 125,759 | 135 | ||||||
Federal National Mortgage Association, Series 2012-101, Class FC 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42 | 42,284 | 42 | ||||||
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46 | 900,000 | 951 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.322%, (CSTR), 10/25/52 144A | 571,412 | 657 | ||||||
Government National Mortgage Association, Series 2010-26, Class OW 0.010%, 2/20/40 PO | 407,839 | 385 | ||||||
Government National Mortgage Association, Series 2010-75, Class OA 0.010%, 9/20/35 PO | 280,930 | 258 | ||||||
GS Mortgage Securities Trust, Series 2015- 590M, | 300,000 | 314 | ||||||
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A | 300,000 | 328 |
Structured Products (11.9%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Hilton USA Trust, Series 2016-HHV, Class C 4.333%, (CSTR), 11/5/38 144A | 400,000 | 435 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 2.309%, (CSTR, AFC), 5/25/33 | 925 | 1 | ||||||
MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A | 700,000 | 756 | ||||||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A | 156,971 | 162 | ||||||
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 0.753%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34 | 2,918 | 3 | ||||||
VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A | 800,000 | 882 | ||||||
Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A | 100,000 | 109 | ||||||
|
| |||||||
Total | 16,512 | |||||||
|
| |||||||
Total Structured Products | ||||||||
(Cost: $16,139) |
| 17,127 | ||||||
|
| |||||||
Short-Term Investments (1.1%) | ||||||||
Governments (0.0%) | ||||||||
US Treasury 0.000%, 9/7/21 | 1,000 | 1 | ||||||
|
| |||||||
Total | 1 | |||||||
|
| |||||||
Money Market Funds (1.1%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 1,632,871 | 1,633 | ||||||
|
| |||||||
Total | 1,633 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $1,634) |
| 1,634 | ||||||
|
| |||||||
Total Investments (120.9%) |
| |||||||
(Cost: $183,915)@ |
| 174,228 | ||||||
|
| |||||||
Other Assets, Less |
| |||||||
Liabilities (-20.9%) |
| (30,106 | ) | |||||
|
| |||||||
Net Assets (100.0%) | 144,122 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
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Securities Sold Short
Description | Coupon | Maturity Date | Principal Amount (000’s) | Proceeds (000’s) | Value (000’s) | |||||||||||||
Uniform Mortgage Backed Security TBA | 2.000 | % | 7/14/51 | $ | (5,300 | ) | $ | (5,349 | ) | $ | (5,351 | ) | ||||||
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$ | (5,300 | ) | $ | (5,349 | ) | $ | (5,351 | ) | ||||||||||
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Exchange Traded or Centrally Cleared Derivatives Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Five-Year US Treasury Note Future | Short | USD | 2,500 | 25 | 9/21 | $ | 3,086 | $ | 18 | $ | (2 | ) | ||||||||||||||||||||
Ten-Year US Treasury Note Future | Long | USD | 800 | 8 | 9/21 | 1,060 | 6 | 2 | ||||||||||||||||||||||||
Ultra Long Term US Treasury Bond Future | Long | USD | 4,400 | 44 | 9/21 | 8,478 | 387 | 50 | ||||||||||||||||||||||||
Ultra Ten-Year US Treasury Note Future | Short | USD | 3,100 | 31 | 9/21 | 4,563 | (80 | ) | (15 | ) | ||||||||||||||||||||||
US Treasury Long Bond Future | Short | USD | 8,300 | 83 | 9/21 | 13,342 | (422 | ) | (54 | ) | ||||||||||||||||||||||
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$ | (91 | ) | $ | (19 | ) | |||||||||||||||||||||||||||
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Centrally Cleared Interest Rate Swaps - Receive Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ | Market Value (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||
3-Month USD-LIBOR | 0.400% | 3/26 | 6,300 | USD | $ | 19 | $ | 133 | $ | 152 | $ | (2 | ) | |||||||||||||||||
3-Month USD-LIBOR | 0.750% | 3/31 | 1,100 | USD | 10 | 58 | 68 | (2 | ) | |||||||||||||||||||||
3-Month USD-LIBOR | 1.250% | 6/41 | 6,010 | USD | 135 | 362 | 497 | (24 | ) | |||||||||||||||||||||
3-Month USD-LIBOR | 1.150% | 3/51 | 5,100 | USD | 117 | 638 | 755 | (25 | ) | |||||||||||||||||||||
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$ | 281 | $ | 1,191 | $ | 1,472 | $ | (53 | ) | ||||||||||||||||||||||
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Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ | Market Value (000’s) | Variation Margin (000’s) | ||||||||||||||||||
3-Month USD-LIBOR | 1.000% | 12/25 | 9,700 | USD | $ | 199 | $ | (146 | ) | $ | 53 | $ | 3 | |||||||||||||
3-Month USD-LIBOR | 1.000% | 12/30 | 100 | USD | (1 | ) | (3 | ) | (4 | ) | - | p | ||||||||||||||
3-Month USD-LIBOR | 1.250% | 12/50 | 2,100 | USD | (183 | ) | (90 | ) | (273 | ) | 10 | |||||||||||||||
3-Month USD-LIBOR | 1.000% | 3/51 | 4,520 | USD | (500 | ) | (333 | ) | (833 | ) | 21 | |||||||||||||||
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$ | (485 | ) | $ | (572 | ) | $ | (1,057 | ) | $ | 34 | ||||||||||||||||
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Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | 34 | $ | 52 | $ | 86 | $ | (53 | ) | $ | (71 | ) | $ | (124 | ) | $ | - |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
b | Cash or securities with an aggregate value of $58,282 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $7,415 representing 5.2% of the net assets. |
p | Amount is less than one thousand. |
# | 7-Day yield as of 6/30/2021. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $165,395 and the net unrealized appreciation of investments based on that cost was $3,805 which is comprised of $17,856 aggregate gross unrealized appreciation and $14,051 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Corporate Bonds | $ | - | $ | 1,318 | $ | - | ||||||||
Governments | - | 154,149 | - | |||||||||||
Structured Products | - | 17,127 | - | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 1,633 | - | - | |||||||||||
All Others | - | 1 | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | 411 | - | - | |||||||||||
Interest Rate Swaps | - | 1,525 | - | |||||||||||
Total Assets: | $ | 2,044 | $ | 174,120 | $ | - | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (502 | ) | - | - | ||||||||||
Interest Rate Swaps | - | (1,110 | ) | - | ||||||||||
Securities Sold Short | - | (5,351 | ) | - | ||||||||||
Total Liabilities: | $ | (502 | ) | $ | (6,461 | ) | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
The Accompanying Notes are an Integral Part of the Financial Statements.
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Inflation Protection Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Governments | 62.5 | % | ||
Structured Products | 19.7 | % | ||
Corporate Bonds | 7.5 | % | ||
Short-Term Investments & Other Net Assets | 6.5 | % | ||
Investment Companies | 3.8 | % | ||
Municipal Bonds | 0.0 | % |
Sector Allocation is subject to change.
Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities.
Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.
The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.
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SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Corporate Bonds (7.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications (1.4%) | ||||||||
Amazon.com, Inc. | 600,000 | 610 | ||||||
2.875%, 5/12/41 | 515,000 | 531 | ||||||
AT&T, Inc. | 565,000 | 560 | ||||||
3.550%, 9/15/55 144A | 1,064,000 | 1,067 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | 585,000 | 589 | ||||||
6.484%, 10/23/45 | 530,000 | 730 | ||||||
Comcast Corp. 3.750%, 4/1/40 | 100,000 | 113 | ||||||
Cox Communications, Inc. 2.600%, 6/15/31 144A | 307,000 | 312 | ||||||
Verizon Communications, Inc. | 745,000 | 714 | ||||||
2.650%, 11/20/40 | 822,000 | 791 | ||||||
4.329%, 9/21/28 | 326,000 | 379 | ||||||
ViacomCBS, Inc. 4.375%, 3/15/43 | 350,000 | 405 | ||||||
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Total | 6,801 | |||||||
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Consumer, Cyclical (0.2%) | ||||||||
Ford Motor Credit Co. LLC 4.389%, 1/8/26 | 300,000 | 324 | ||||||
General Motors Co. 5.150%, 4/1/38 | 650,000 | 793 | ||||||
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Total | 1,117 | |||||||
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Consumer, Non-cyclical (0.7%) | ||||||||
AbbVie, Inc. | 350,000 | 423 | ||||||
4.550%, 3/15/35 | 270,000 | 328 | ||||||
Block Financial LLC 2.500%, 7/15/28 | 387,000 | 389 | ||||||
Cigna Corp. 4.900%, 12/15/48 | 200,000 | 258 | ||||||
CVS Health Corp. 4.780%, 3/25/38 | 180,000 | 221 | ||||||
Duke University Health System, Inc. 3.920%, 6/1/47 | 268,000 | 322 | ||||||
Gilead Sciences, Inc. 3.650%, 3/1/26 | 200,000 | 220 | ||||||
The Kroger Co. 3.875%, 10/15/46 | 400,000 | 441 | ||||||
Mondelez International, Inc. 2.750%, 4/13/30 | 153,000 | 161 | ||||||
Viatris, Inc. | 130,000 | 131 | ||||||
4.000%, 6/22/50 144A | 140,000 | 148 | ||||||
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Total | 3,042 | |||||||
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Corporate Bonds (7.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy (0.4%) | ||||||||
Chevron Corp. 1.995%, 5/11/27 | 260,000 | 268 | ||||||
Enterprise Products Operating LLC 4.850%, 3/15/44 | 100,000 | 122 | ||||||
MPLX LP 4.500%, 4/15/38 | 107,000 | 123 | ||||||
Petroleos Mexicanos | 130,000 | 133 | ||||||
4.875%, 1/18/24 | 400,000 | 420 | ||||||
Sabine Pass Liquefaction LLC 5.625%, 3/1/25 | 500,000 | 571 | ||||||
Transcontinental Gas Pipe Line Co. LLC 3.250%, 5/15/30 | 260,000 | 281 | ||||||
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Total | 1,918 | |||||||
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Financial (3.7%) | ||||||||
American Homes 4 Rent, LP 2.375%, 7/15/31 | 120,000 | 118 | ||||||
Ares Capital Corp. 2.875%, 6/15/28 | 426,000 | 432 | ||||||
Banco Santander SA 2.958%, 3/25/31 | 800,000 | 824 | ||||||
Bank of America Corp. | 715,000 | 721 | ||||||
2.676%, (US SOFR plus 1.930%), 6/19/41 | 980,000 | 951 | ||||||
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 | 485,000 | 528 | ||||||
4.183%, 11/25/27 | 585,000 | 655 | ||||||
Barclays PLC 5.200%, 5/12/26 | 750,000 | 857 | ||||||
Blue Owl Finance LLC 3.125%, 6/10/31 144A | 400,000 | 397 | ||||||
BNP Paribas 4.375%, 9/28/25 144A | 980,000 | 1,084 | ||||||
Brighthouse Financial Global Funding 2.000%, 6/28/28 144A | 702,000 | 702 | ||||||
Citigroup, Inc. | 700,000 | 697 | ||||||
3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28 | 664,000 | 727 | ||||||
Crown Castle International Corp. 3.800%, 2/15/28 | 737,000 | 819 | ||||||
Global Atlantic Finance Co. 3.125%, 6/15/31 144A | 265,000 | 267 | ||||||
The Goldman Sachs Group, Inc. | 320,000 | 335 | ||||||
HSBC Holdings PLC | 540,000 | 541 | ||||||
2.804%, (US SOFR plus 1.187%), 5/24/32 | 280,000 | 287 | ||||||
Huntington Bancshares, Inc. 4.350%, 2/4/23 | 355,000 | 375 | ||||||
JPMorgan Chase & Co. | 330,000 | 332 | ||||||
2.182%, (US SOFR plus 1.890%), 6/1/28 | 530,000 | 543 | ||||||
3.157%, (US SOFR plus 1.460%), 4/22/42 | 720,000 | 749 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (7.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Lexington Realty Trust 2.700%, 9/15/30 | 445,000 | 452 | ||||||
Macquarie Group, Ltd. 1.629%, (US SOFR plus 0.910%), 9/23/27 144A | 192,000 | 191 | ||||||
Morgan Stanley 1.593%, (US SOFR plus 0.879%), 5/4/27 | 1,288,000 | 1,297 | ||||||
3.217%, (US SOFR plus 1.485%), 4/22/42 | 109,000 | 116 | ||||||
National Australia Bank, Ltd. 2.990%, 5/21/31 144A | 590,000 | 599 | ||||||
Security Benefit Global Funding 1.250%, 5/17/24 144A | 600,000 | 601 | ||||||
Societe Generale SA 2.889%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.300%), 6/9/32 144A | 480,000 | 486 | ||||||
Sun Communities Operating LP 2.700%, 7/15/31 | 227,000 | 227 | ||||||
Truist Financial Corp. 1.887%, (US SOFR plus 0.862%), 6/7/29 | 220,000 | 221 | ||||||
Wells Fargo & Co. | 14,000 | 15 | ||||||
2.393%, (US SOFR plus 2.100%), 6/2/28 | 455,000 | 472 | ||||||
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Total | 17,618 | |||||||
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Industrial (0.2%) | ||||||||
DAE Funding LLC 1.550%, 8/1/24 144A | 200,000 | 199 | ||||||
Lockheed Martin Corp. 3.800%, 3/1/45 | 200,000 | 233 | ||||||
United Technologies Corp. 4.125%, 11/16/28 | 530,000 | 610 | ||||||
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Total | 1,042 | |||||||
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Technology (0.5%) | ||||||||
Apple, Inc. 2.650%, 2/8/51 | 250,000 | 244 | ||||||
HP, Inc. 2.650%, 6/17/31 144A | 320,000 | 319 | ||||||
Oracle Corp. 3.600%, 4/1/40 | 705,000 | 744 | ||||||
Salesforce.com, Inc. | 466,000 | 465 | ||||||
2.700%, 7/15/41 | 360,000 | 362 | ||||||
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Total | 2,134 | |||||||
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Utilities (0.4%) | ||||||||
Dominion Resources, Inc. 4.900%, 8/1/41 | 320,000 | 404 | ||||||
Duke Energy Florida LLC 1.750%, 6/15/30 | 400,000 | 392 | ||||||
Essential Utilities, Inc. 2.704%, 4/15/30 | 370,000 | 384 | ||||||
NextEra Energy Capital Holdings, Inc. | 200,000 | 221 | ||||||
Sempra Energy 3.250%, 6/15/27 | 250,000 | 271 |
Corporate Bonds (7.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
Southern Co. Gas Capital Corp. 3.950%, 10/1/46 | 200,000 | 222 | ||||||
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Total | 1,894 | |||||||
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Total Corporate Bonds | ||||||||
(Cost: $34,319) | 35,566 | |||||||
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Investment Companies (3.8%) | ||||||||
Investment Companies (3.8%) | ||||||||
Vanguard Intermediate-Term Corporate Bond ETF | 94,300 | 8,965 | ||||||
Vanguard Short-Term Corporate Bond ETF | 106,100 | 8,775 | ||||||
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Total | 17,740 | |||||||
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Total Investment Companies | ||||||||
(Cost: $17,521) |
| 17,740 | ||||||
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Governments (62.5%) | ||||||||
Governments (62.5%) | ||||||||
Canadian Government Real Return Bond | 11,666,380 | 13,806 | ||||||
4.250%, 12/1/26 CAD ¥ | 20,364,555 | 21,194 | ||||||
Tennessee Valley Authority 4.700%, 7/15/33 | 1,658,000 | 2,152 | ||||||
US Treasury | 34,357,600 | 37,807 | ||||||
0.125%, 10/15/25 | 6,945,413 | 7,558 | ||||||
0.125%, 4/15/26 | 16,746,758 | 18,216 | ||||||
0.250%, 7/15/29 | 1,983,106 | 2,206 | ||||||
US Treasury Inflation Index Bond | 23,399,910 | 25,685 | ||||||
0.125%, 7/15/30 | 14,578,200 | 16,081 | ||||||
0.125%, 2/15/51 b | 1,025,470 | 1,126 | ||||||
0.125%, 7/15/26 | 5,067,836 | 5,549 | ||||||
0.250%, 2/15/50 | 6,563,004 | 7,423 | ||||||
0.250%, 1/15/25 | 4,553,888 | 4,929 | ||||||
0.375%, 7/15/25 | 4,390,698 | 4,821 | ||||||
0.375%, 1/15/27 b | 11,494,496 | 12,722 | ||||||
0.375%, 7/15/27 | 4,092,825 | 4,564 | ||||||
0.500%, 1/15/28 | 8,117,700 | 9,100 | ||||||
0.625%, 2/15/43 | 7,722,246 | 9,219 | ||||||
0.625%, 1/15/26 | 17,584,497 | 19,527 | ||||||
0.750%, 2/15/42 | 7,591,395 | 9,242 | ||||||
0.750%, 2/15/45 | 11,167,635 | 13,766 | ||||||
0.750%, 7/15/28 | 1,595,400 | 1,830 | ||||||
0.875%, 2/15/47 | 2,820,326 | 3,626 | ||||||
1.000%, 2/15/46 | 1,295,786 | 1,693 | ||||||
1.000%, 2/15/48 | 1,245,071 | 1,660 | ||||||
1.000%, 2/15/49 | 2,757,487 | 3,711 | ||||||
1.375%, 2/15/44 | 6,506,724 | 8,974 | ||||||
1.750%, 1/15/28 | 3,307,068 | 3,996 | ||||||
2.000%, 1/15/26 | 3,295,618 | 3,877 | ||||||
2.125%, 2/15/40 | 2,593,983 | 3,865 | ||||||
2.125%, 2/15/41 | 4,614,445 | 6,951 | ||||||
2.375%, 1/15/25 | 1,487,189 | 1,728 | ||||||
2.375%, 1/15/27 | 761,237 | 932 | ||||||
2.500%, 1/15/29 b | 889,110 | 1,145 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Governments (62.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Governments continued | ||||||||
3.625%, 4/15/28 | 2,476,020 | 3,338 | ||||||
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Total | 294,019 | |||||||
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Total Governments | ||||||||
(Cost: $271,766) | 294,019 | |||||||
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Municipal Bonds (0.0%) | ||||||||
Municipal Bonds (0.0%) | ||||||||
Santa Clara Valley Transportation Authority 5.876%, 4/1/32 RB | 50,000 | 63 | ||||||
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Total Municipal Bonds | ||||||||
(Cost: $59) | 63 | |||||||
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Structured Products (19.7%) | ||||||||
Asset Backed Securities (10.5%) | ||||||||
Bean Creek CLO, Ltd., Series 2018-1A, Class AR 1.208%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A | 1,250,000 | 1,247 | ||||||
Blackbird Capital Aircraft 2.443%, 7/15/46 144A Æ | 1,000,000 | 1,000 | ||||||
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A | 186,400 | 191 | ||||||
Drive Auto Receivables Trust, Series 2019-4, | 1,200,000 | 1,217 | ||||||
Dryden Senior Loan Fund, Series 2016-43A, | 2,000,000 | 2,012 | ||||||
Dryden Senior Loan Fund, Series 2018-64A, | 2,300,000 | 2,300 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, | 1,300,000 | 1,295 | ||||||
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 1.308%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A | 1,125,000 | 1,125 | ||||||
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A | 910,448 | 938 | ||||||
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A | 586,111 | 590 | ||||||
Hilton Grand Vacations Trust, Series 2017- AA, Class A 2.660%, 12/26/28 144A | 741,938 | 760 | ||||||
Hilton Grand Vacations Trust, Series 2019- AA, | 1,162,727 | 1,190 | ||||||
Instar Leasing III, LLC, Series 21-1A, | 1,669,884 | 1,676 | ||||||
KKR CLO, Ltd., Series 2018-22A, Class A 1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A | 1,500,000 | 1,500 | ||||||
KKR Financial CLO, Ltd., Series 2019-A2, Class A2 1.684%, (ICE LIBOR USD 3 Month plus 1.500%), 10/15/30 144A | 2,200,000 | 2,200 |
Structured Products (19.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Magnetite CLO, Ltd., Series 2014-8A, Class AR2 1.164%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A | 1,750,000 | 1,751 | ||||||
Magnetite CLO, Ltd., Series 2021-29A, Class B 1.504%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A | 1,650,000 | 1,648 | ||||||
Mosaic Solar Loans LLC, Series 2021-1, Class A 1.510%, 12/20/46 144A | 1,572,651 | 1,557 | ||||||
MVW Owner Trust, Series 2016-1A, Class A 2.250%, 12/20/33 144A | 104,264 | 105 | ||||||
MVW Owner Trust, Series 2019-2A, Class A 2.220%, 10/20/38 144A | 883,044 | 899 | ||||||
Progress Residential Trust, Series 2019- SFR1, Class A 3.422%, 8/17/35 144A | 1,998,027 | 2,027 | ||||||
Progress Residential Trust, Series 2019- SFR4, Class B 2.937%, 11/17/36 144A | 2,400,000 | 2,443 | ||||||
Progress Residential Trust, Series 2021- SFR1, Class D 1.805%, 4/17/38 144A | 1,000,000 | 985 | ||||||
Progress Residential Trust, Series 2021- SFR2, Class C 1.997%, 4/19/38 144A | 5,050,000 | 5,053 | ||||||
Rockford Tower CLO, Ltd., Series 2017-1A, Class BR2A 1.834%, (ICE LIBOR USD 3 Month plus 1.650%), 4/20/34 144A | 2,000,000 | 1,997 | ||||||
Rockford Tower CLO, Ltd., Series 2020-1A, Class B 2.051%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A | 1,350,000 | 1,351 | ||||||
Rockford Tower CLO, Ltd., Series 2021-2A, Class B 1.000%, (ICE LIBOR USD 3 Month plus 1.750%), 7/20/34 144A | 1,325,000 | 1,325 | ||||||
Sierra Timeshare Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A | 438,114 | 453 | ||||||
Sierra Timeshare Receivables Funding Co. LLC, Series 2019-3, Class B 2.750%, 7/15/38 144A | 1,694,947 | 1,741 | ||||||
Sierra Timeshare Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A | 3,270,958 | 3,274 | ||||||
Treman Park CLO, Ltd., Series 2015-1A, Class ARR 1.258%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A | 1,121,733 | 1,122 | ||||||
Tricon American Homes, Series 2020-SFR2, Class B 1.832%, 11/17/39 144A | 1,400,000 | 1,391 | ||||||
Wendys Funding LLC, Series 2021-1A, Class A2II 2.775%, 6/15/51 144A | 1,200,000 | 1,211 | ||||||
|
| |||||||
Total | 49,574 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (19.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities (9.2%) | ||||||||
Agate Bay Mortgage Trust, Series 2014-3, Class A2 3.500%, (AFC), 11/25/44 144A | 122,707 | 124 | ||||||
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A | 301,925 | 305 | ||||||
Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A | 198,695 | 201 | ||||||
Agate Bay Mortgage Trust, Series 2016-3, Class A3 3.500%, (AFC), 8/25/46 144A | 185,122 | 188 | ||||||
Angel Oak Mortgage Trust LLC, Series 2019- 4, Class A 3.301%, (AFC), 7/26/49 144A | 330,805 | 334 | ||||||
Angel Oak Mortgage Trust LLC, Series 2019- 6, Class A3 2.927%, (AFC), 11/25/59 144A | 906,705 | 912 | ||||||
Arroyo Mortgage Trust, Series 2019-2, Class A3 3.800%, (AFC), 4/25/49 144A | 1,170,207 | 1,187 | ||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR), 10/25/48 144A Æ | 650,000 | 650 | ||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR), 10/25/48 144A Æ | 500,000 | 500 | ||||||
BXMT, Ltd., Series 2020-FL2, Class B 1.524%, (ICE LIBOR USD 1 Month plus 1.400%), 2/15/38 144A | 1,600,000 | 1,598 | ||||||
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1 2.720%, (AFC), 7/25/49 144A | 537,187 | 543 | ||||||
COLT Funding LLC, Series 2020-1, Class A3 2.897%, (AFC), 2/25/50 144A | 479,747 | 482 | ||||||
Connecticut Avenue Securities, Series 2014- C04, Class 2M2 5.092%, (ICE LIBOR USD 1 Month plus 5.000%), 11/25/24 ß | 153,384 | 157 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2020-SPT1, Class A2 2.300%, (AFC), 4/25/65 144A ∑ | 1,400,000 | 1,420 | ||||||
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A | 125,342 | 127 | ||||||
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A | 575,822 | 576 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2 3.690%, 1/25/29 | 3,000,000 | 3,463 | ||||||
Federal Home Loan Mortgage Corp., Series K108, Class A2 1.517%, 3/25/30 | 4,000,000 | 4,010 | ||||||
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 2.692%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24 | 535,916 | 541 | ||||||
GCAT LLC, Series 2019-NQM1, Class A3 3.395%, (AFC), 2/25/59 144A ∑ | 824,270 | 826 |
Structured Products (19.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3 1.617%, (AFC), 6/25/56 144A | 611,589 | 611 | ||||||
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2 2.500%, (AFC), 3/25/43 144A | 257,936 | 261 | ||||||
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.910%, (AFC), 10/25/29 144A | 586,069 | 603 | ||||||
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A | 1,165,420 | 1,191 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.498%, (AFC), 1/25/47 144A | 532,390 | 540 | ||||||
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 2.891%, (AFC), 5/24/60 144A | 1,383,000 | 1,429 | ||||||
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A | 2,083,073 | 2,118 | ||||||
Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A | 3,750,000 | 3,856 | ||||||
Sequoia Mortgage Trust, Series 2021-5, Class A4 2.500%, (AFC), 7/25/51 144A | 2,000,000 | 2,046 | ||||||
SG Residential Mortgage Trust, Series 2021- 1, | 1,215,000 | 1,214 | ||||||
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A | 2,503,000 | 2,501 | ||||||
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A | 2,071,645 | 2,077 | ||||||
Verus Securitization Trust, Series 2019-4, Class A3 3.000%, (AFC), 11/25/59 144A | 1,232,136 | 1,252 | ||||||
Verus Securitization Trust, Series 2020-1, Class A2 2.642%, (AFC), 1/25/60 144A ∑ | 1,899,601 | 1,925 | ||||||
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A | 759,840 | 769 | ||||||
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A | 1,635,616 | 1,634 | ||||||
Vista Point Securitization Trust, Series 2020- 2, | 976,850 | 986 | ||||||
|
| |||||||
Total | 43,157 | |||||||
|
| |||||||
Total Structured Products | ||||||||
(Cost: $92,212) |
| 92,731 | ||||||
|
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The Accompanying Notes are an Integral Part of the Financial Statements.
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Inflation Protection Portfolio
Short-Term Investments (5.9%) | Shares/ Par+ | Value $ (000’s) | ||||||
Money Market Funds (5.9%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 27,621,513 | 27,622 | ||||||
|
| |||||||
Total | 27,622 | |||||||
|
|
Short-Term Investments (5.9%) | Shares/ Par+ | Value $ (000’s) | ||||||
Money Market Funds continued | ||||||||
Total Short-Term Investments | ||||||||
(Cost: $27,622) |
| 27,622 | ||||||
|
| |||||||
Total Investments (99.4%) |
| |||||||
(Cost: $443,499)@ |
| 467,741 | ||||||
|
| |||||||
Other Assets, Less Liabilities (0.6%) | 2,914 | |||||||
|
| |||||||
Net Assets (100.0%) | 470,655 | |||||||
|
|
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Five-Year US Treasury Note Future | Long | USD | 30,600 | 306 | 9/21 | $ | 37,769 | $ | (144 | ) | $ | 19 | ||||||||||||||||||||
Ten-Year US Treasury Note Future | Short | USD | 10,900 | 109 | 9/21 | 14,443 | (50 | ) | (26 | ) | ||||||||||||||||||||||
US Treasury Long Bond Future | Short | USD | 9,600 | 96 | 9/21 | 15,432 | (339 | ) | (63 | ) | ||||||||||||||||||||||
US Treasury Ultra Future | Short | USD | 3,100 | 31 | 9/21 | 5,973 | (200 | ) | (35 | ) | ||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||
$ | (733 | ) | $ | (105 | ) | |||||||||||||||||||||||||||
|
|
|
|
Total Return Swaps—Receive Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
CPURNSA | 1.777% | 6/24 | 11,000 | USD | $ | - | $ | 483 | $ | 483 | $ | 5 | ||||||||||||||||||||
CPURNSA | 1.715% | 6/24 | 7,400 | USD | - | 343 | 343 | 4 | ||||||||||||||||||||||||
CPURNSA | 1.860% | 7/24 | 7,500 | USD | - | 289 | 289 | 5 | ||||||||||||||||||||||||
CPURNSA | 1.858% | 8/24 | 12,700 | USD | - | 491 | 491 | 9 | ||||||||||||||||||||||||
CPURNSA | 1.616% | 10/24 | 7,500 | USD | - | 402 | 402 | 4 | ||||||||||||||||||||||||
CPURNSA | 2.073% | 8/27 | 3,500 | USD | - | 161 | 161 | 3 | ||||||||||||||||||||||||
CPURNSA | 2.145% | 11/27 | 5,000 | USD | (1 | ) | 178 | 177 | 5 | |||||||||||||||||||||||
CPURNSA | 1.793% | 10/29 | 3,700 | USD | - | 285 | 285 | 5 | ||||||||||||||||||||||||
CPURNSA | 1.800% | 10/29 | 3,700 | USD | - | 284 | 284 | 5 | ||||||||||||||||||||||||
CPURNSA | 1.884% | 11/29 | 2,000 | USD | - | 137 | 137 | 2 | ||||||||||||||||||||||||
CPURNSA | 2.333% | 2/26 | 13,000 | USD | 1 | 361 | 362 | 10 | ||||||||||||||||||||||||
CPURNSA | 2.210% | 1/24 | 8,000 | USD | - | 238 | 238 | 5 | ||||||||||||||||||||||||
CPURNSA | 2.273% | 1/24 | 10,000 | USD | - | 278 | 278 | 6 | ||||||||||||||||||||||||
CPURNSA | 2.260% | 2/25 | 8,000 | USD | 1 | 238 | 239 | 4 | ||||||||||||||||||||||||
CPURNSA | 2.243% | 1/26 | 6,000 | USD | - | 197 | 197 | 6 | ||||||||||||||||||||||||
CPURNSA | 1.078% | 6/25 | 3,000 | USD | - | 271 | 271 | 3 | ||||||||||||||||||||||||
CPURNSA | 1.291% | 5/30 | 2,000 | USD | - | 267 | 267 | 3 | ||||||||||||||||||||||||
CPURNSA | 1.629% | 6/30 | 2,000 | USD | - | 222 | 222 | 2 | ||||||||||||||||||||||||
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$ | 1 | $ | 5,125 | $ | 5,126 | $ | 86 | |||||||||||||||||||||||||
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Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | 86 | $ | 19 | $ | 105 | $ | - | $ | (124 | ) | $ | (124 | ) | $ | - | ||||||||||||
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The Accompanying Notes are an Integral Part of the Financial Statements.
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Table of Contents
Inflation Protection Portfolio
Over the Counter Derivatives
Forward Contracts
Type | Counterparty | Currency | Foreign Principal Covered by Contract (000s) | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | CAD | 42,893 | 34,601 | 9/15/21 | $ | 818 | $ | - | $ | 818 | |||||||||||||||
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$ | 818 | $ | - | $ | 818 | |||||||||||||||||||||
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Total Return Swaps
Reference Entity | Counterparty | Payment made by the Fund | Expiration Date | Notional Amount (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | ||||||||||
CPURNSA | Bank of America NA | 2.670% | 4/22 | 3,000 | $ | (328 | ) | $ | (328 | ) | ||||||
CPURNSA | Bank of America NA | 2.763% | 3/23 | 700 | (68 | ) | (68 | ) | ||||||||
CPURNSA | Bank of America NA | 2.528% | 8/24 | 2,750 | (165 | ) | (165 | ) | ||||||||
CPURNSA | Bank of America NA | 2.140% | 7/25 | 2,900 | 55 | 55 | ||||||||||
CPURNSA | Bank of America NA | 1.790% | 8/25 | 1,500 | 83 | 83 | ||||||||||
CPURNSA | Bank of America NA | 2.240% | 4/27 | 3,500 | 65 | 65 | ||||||||||
CPURNSA | Bank of America NA | 2.218% | 4/27 | 2,000 | 42 | 42 | ||||||||||
CPURNSA | Bank of America NA | 2.235% | 4/27 | 2,000 | 39 | 39 | ||||||||||
CPURNSA | Bank of America NA | 2.235% | 5/27 | 5,000 | 99 | 99 | ||||||||||
CPURNSA | Barclays Bank PLC | 2.526% | 5/23 | 5,500 | (393 | ) | (393 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.535% | 5/23 | 1,000 | (72 | ) | (72 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.589% | 7/24 | 1,400 | (95 | ) | (95 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.385% | 9/24 | 4,000 | (166 | ) | (166 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.363% | 9/24 | 3,500 | (133 | ) | (133 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.310% | 9/24 | 1,400 | (44 | ) | (44 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.895% | 12/27 | 1,700 | (423 | ) | (423 | ) | ||||||||
CPURNSA | Barclays Bank PLC | 2.784% | 7/44 | 1,400 | (323 | ) | (323 | ) | ||||||||
CPURNSA | Goldman Sachs International | 1.870% | 5/26 | 8,500 | 565 | 565 | ||||||||||
CPURNSA | Goldman Sachs International | 1.920% | 5/26 | 7,000 | 426 | 426 | ||||||||||
CPURNSA | Goldman Sachs International | 1.770% | 6/26 | 6,000 | 463 | 463 | ||||||||||
CPURNSA | Goldman Sachs International | 2.245% | 11/26 | 3,000 | 66 | 66 | ||||||||||
CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 3,000 | 54 | 54 | ||||||||||
CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 4,000 | 71 | 71 | ||||||||||
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$ | (182 | ) | $ | (182 | ) | |||||||||||
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Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||||||||||
Forward Contracts | Swaps | Total | Forward Contracts | Options | Swaps | Total | ||||||||||||||||||||||
Total Over the Counter Derivatives | $ | 818 | $ | 2,028 | $ | 2,846 | - | - | $ | (2,210 | ) | $ | (2,210 | ) | ||||||||||||||
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+ | All par is stated in U.S. Dollar unless otherwise noted. |
144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $90,406 representing 19.2% of the net assets. |
¥ | Foreign Bond — par value is foreign denominated |
b | Cash or securities with an aggregate value of $78,642 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
Æ | Security valued using significant unobservable inputs. |
S | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,499 and the net unrealized appreciation of investments based on that cost was $29,271 which is comprised of $32,808 aggregate gross unrealized appreciation and $3,537 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
132
Table of Contents
Inflation Protection Portfolio
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1– Quoted Prices | Level 2– Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Municipal Bonds | $ | - | $ | 63 | $ | - | ||||||||
Corporate Bonds | - | 35,566 | - | |||||||||||
Governments | - | 294,019 | - | |||||||||||
Structured Products | ||||||||||||||
Asset Backed Securities | - | 48,574 | 1,000 | |||||||||||
Mortgage Securities | - | 40,793 | 2,364 | |||||||||||
Investment Companies | 17,740 | - | - | |||||||||||
Short-Term Investments | 27,622 | - | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Currency Contracts | - | 818 | - | |||||||||||
Total Return Swaps | - | 7,154 | - | |||||||||||
Total Assets: | $ | 45,362 | $ | 426,987 | $ | 3,364 | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (733 | ) | - | - | ||||||||||
Total Return Swaps | - | (2,209 | ) | - | ||||||||||
Total Liabilities: | $ | (733 | ) | $ | (2,209 | ) | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.
The Accompanying Notes are an Integral Part of the Financial Statements.
133
Table of Contents
High Yield Bond Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||||||
Consumer, Non-Cyclical | 17.9 | % | ||||||
Communications | 16.6 | % | ||||||
Energy | 15.6 | % | ||||||
Consumer, Cyclical | 15.5 | % | ||||||
Industrial | 11.3 | % | ||||||
Financial | 7.2 | % | ||||||
Technology | 7.2 | % | ||||||
Basic Materials | 4.2 | % | ||||||
Utilities | 2.3 | % | ||||||
Short-Term Investments & Other Net Assets | 1.6 | % | ||||||
Health Care | 0.4 | % | ||||||
Diversified | 0.2 | % | ||||||
Materials | 0.0 | % | ||||||
Other Holdings | 0.0 | % |
Sector Allocation is subject to change.
Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.
Investing in bonds issued by foreign corporations carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
134
Table of Contents
High Yield Bond Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (0.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications (0.1%) | ||||||||
iHeartMedia, Inc. * | 22,266 | 599 | ||||||
|
| |||||||
Total | 599 | |||||||
|
| |||||||
Energy (0.5%) | ||||||||
Oasis Petroleum, Inc. | 16,044 | 1,613 | ||||||
Superior Energy Services, Inc. *,Æ | 60,602 | 2,394 | ||||||
|
| |||||||
Total | 4,007 | |||||||
|
| |||||||
Materials (0.0%) | ||||||||
Hexion Holdings Corp. * | 27,876 | 502 | ||||||
|
| |||||||
Total | 502 | |||||||
|
| |||||||
Total Common Stocks (Cost: $3,160) | 5,108 | |||||||
|
| |||||||
Corporate Bonds (97.6%) | ||||||||
Basic Materials (4.2%) | ||||||||
Axalta Coating Systems LLC 3.375%, 2/15/29 144A | 625,000 | 611 | ||||||
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A | 350,000 | 367 | ||||||
Clearwater Paper Corp. | 150,000 | 150 | ||||||
5.375%, 2/1/25 144A | 2,775,000 | 2,955 | ||||||
Cleveland-Cliffs, Inc. | 1,900,000 | 1,999 | ||||||
4.875%, 3/1/31 144A | 2,225,000 | 2,336 | ||||||
Coeur Mining, Inc. 5.125%, 2/15/29 144A | 1,500,000 | 1,485 | ||||||
Compass Minerals International, Inc. | 2,225,000 | 2,297 | ||||||
6.750%, 12/1/27 144A | 1,425,000 | 1,532 | ||||||
Element Solutions, Inc. 3.875%, 9/1/28 144A | 1,650,000 | 1,684 | ||||||
Freeport-McMoRan, Inc. | 350,000 | 365 | ||||||
4.375%, 8/1/28 | 1,950,000 | 2,060 | ||||||
4.625%, 8/1/30 | 1,475,000 | 1,615 | ||||||
5.000%, 9/1/27 | 625,000 | 660 | ||||||
5.250%, 9/1/29 | 725,000 | 800 | ||||||
5.400%, 11/14/34 | 925,000 | 1,117 | ||||||
H.B. Fuller Co. 4.250%, 10/15/28 | 525,000 | 543 | ||||||
Herens Holdco SARL 4.750%, 5/15/28 144A | 1,550,000 | 1,542 | ||||||
Hexion, Inc. 7.875%, 7/15/27 144A | 2,400,000 | 2,589 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 9.000%, 7/1/28 144A | 725,000 | 808 | ||||||
INEOS Quattro Finance 2 PLC 3.375%, 1/15/26 144A | 225,000 | 228 | ||||||
Polar US Borrower LLC 6.750%, 5/15/26 144A | 1,700,000 | 1,702 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Basic Materials continued | ||||||||
PQ Corp. 5.750%, 12/15/25 144A | 1,000,000 | 1,026 | ||||||
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/1/26 144A | 3,775,000 | 4,002 | ||||||
W.R. Grace & Co. 4.875%, 6/15/27 144A | 875,000 | 928 | ||||||
|
| |||||||
Total | 35,401 | |||||||
|
| |||||||
Communications (16.5%) | ||||||||
AMC Networks, Inc. | 1,625,000 | 1,639 | ||||||
4.750%, 8/1/25 | 1,200,000 | 1,232 | ||||||
5.000%, 4/1/24 | 910,000 | 922 | ||||||
Cars.com, Inc. 6.375%, 11/1/28 144A | 1,900,000 | 2,026 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | 250,000 | 255 | ||||||
4.500%, 8/15/30 144A | 2,175,000 | 2,265 | ||||||
4.500%, 5/1/32 | 1,050,000 | 1,088 | ||||||
4.500%, 6/1/33 144A | 1,175,000 | 1,202 | ||||||
4.750%, 3/1/30 144A | 3,600,000 | 3,807 | ||||||
5.000%, 2/1/28 144A | 2,000,000 | 2,097 | ||||||
5.125%, 5/1/27 144A | 2,975,000 | 3,120 | ||||||
5.375%, 6/1/29 144A | 1,350,000 | 1,476 | ||||||
5.500%, 5/1/26 144A | 550,000 | 569 | ||||||
5.750%, 2/15/26 144A | 1,444,000 | 1,492 | ||||||
CSC Holdings LLC | 825,000 | 780 | ||||||
4.125%, 12/1/30 144A | 950,000 | 944 | ||||||
4.500%, 11/15/31 144A | 1,775,000 | 1,786 | ||||||
4.625%, 12/1/30 144A | 1,650,000 | 1,619 | ||||||
5.250%, 6/1/24 | 1,650,000 | 1,788 | ||||||
5.500%, 4/15/27 144A | 2,425,000 | 2,546 | ||||||
5.750%, 1/15/30 144A | 2,975,000 | 3,090 | ||||||
6.500%, 2/1/29 144A | 675,000 | 748 | ||||||
7.500%, 4/1/28 144A | 1,925,000 | 2,113 | ||||||
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A | 1,751,000 | 1,832 | ||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. | 1,775,000 | 1,149 | ||||||
6.625%, 8/15/27 144A | 2,150,000 | 1,056 | ||||||
DISH DBS Corp. | 2,700,000 | 2,666 | ||||||
5.875%, 11/15/24 | 1,250,000 | 1,342 | ||||||
7.375%, 7/1/28 | 750,000 | 807 | ||||||
7.750%, 7/1/26 | 1,350,000 | 1,529 | ||||||
Entercom Media Corp. | 2,250,000 | 2,340 | ||||||
6.750%, 3/31/29 144A | 1,575,000 | 1,634 | ||||||
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A | 1,625,000 | 1,706 | ||||||
Gray Escrow, Inc. 7.000%, 5/15/27 144A | 750,000 | 811 |
The Accompanying Notes are an Integral Part of the Financial Statements.
135
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High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications continued | ||||||||
Gray Television, Inc. | 525,000 | 523 | ||||||
5.875%, 7/15/26 144A | 2,575,000 | 2,659 | ||||||
iHeartCommunications, Inc. | 425,000 | 437 | ||||||
5.250%, 8/15/27 144A | 1,075,000 | 1,124 | ||||||
6.375%, 5/1/26 | 375,901 | 400 | ||||||
8.375%, 5/1/27 | 4,928,194 | 5,279 | ||||||
Intelsat Jackson Holdings SA | 1,525,000 | 873 | ||||||
8.500%, 10/15/24 144A j | 800,000 | 472 | ||||||
9.750%, 7/15/25 144A j | 475,000 | 277 | ||||||
Lamar Media Corp. | 425,000 | 415 | ||||||
4.000%, 2/15/30 | 100,000 | 101 | ||||||
4.875%, 1/15/29 | 675,000 | 712 | ||||||
Match Group, Inc. | 2,675,000 | 2,722 | ||||||
4.625%, 6/1/28 144A | 1,450,000 | 1,508 | ||||||
5.000%, 12/15/27 144A | 825,000 | 867 | ||||||
Nexstar Broadcasting, Inc. | 2,275,000 | 2,338 | ||||||
5.625%, 7/15/27 144A | 3,225,000 | 3,418 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | 1,150,000 | 1,157 | ||||||
4.625%, 3/15/30 144A | 1,100,000 | 1,116 | ||||||
Scripps Escrow II, Inc. | 500,000 | 496 | ||||||
5.375%, 1/15/31 144A | 1,175,000 | 1,171 | ||||||
Scripps Escrow, Inc. | 1,925,000 | 1,993 | ||||||
SFR Group SA 7.375%, 5/1/26 144A | 2,122,000 | 2,207 | ||||||
Sinclair Television Group, Inc. | 3,800,000 | 3,814 | ||||||
5.500%, 3/1/30 144A | 500,000 | 510 | ||||||
5.875%, 3/15/26 144A | 825,000 | 852 | ||||||
Sirius XM Radio, Inc. | 725,000 | 747 | ||||||
4.125%, 7/1/30 144A | 1,775,000 | 1,791 | ||||||
4.625%, 7/15/24 144A | 1,825,000 | 1,873 | ||||||
5.375%, 7/15/26 144A | 1,675,000 | 1,729 | ||||||
5.500%, 7/1/29 144A | 925,000 | 1,008 | ||||||
Sprint Corp. 7.625%, 2/15/25 | 700,000 | 832 | ||||||
TEGNA, Inc. | 600,000 | 622 | ||||||
5.000%, 9/15/29 | 3,800,000 | 3,977 | ||||||
5.500%, 9/15/24 144A | 208,000 | 212 | ||||||
Telenet Finance Luxembourg Notes SARL | 4,400,000 | 4,629 | ||||||
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A | 5,025,000 | 5,433 | ||||||
T-Mobile USA, Inc. | 1,950,000 | 1,965 | ||||||
2.875%, 2/15/31 | 650,000 | 645 | ||||||
3.375%, 4/15/29 144A | 1,025,000 | 1,058 | ||||||
4.500%, 2/1/26 | 675,000 | 688 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications continued | ||||||||
Townsquare Media, Inc. 6.875%, 2/1/26 144A | 525,000 | 562 | ||||||
Univision Communications, Inc. 4.500%, 5/1/29 144A | 1,175,000 | 1,184 | ||||||
UPC Broadband Finco BV 4.875%, 7/15/31 144A | 3,450,000 | 3,458 | ||||||
Urban One, Inc. 7.375%, 2/1/28 144A | 1,900,000 | 2,052 | ||||||
Virgin Media Finance PLC 5.000%, 7/15/30 144A | 2,700,000 | 2,728 | ||||||
Virgin Media Secured Finance PLC | 425,000 | 438 | ||||||
5.500%, 5/15/29 144A | 475,000 | 511 | ||||||
Virgin Media Vendor Financing Notes IV 5.000%, 7/15/28 144A | 1,550,000 | 1,581 | ||||||
Vmed O2 UK Financing I PLC | 875,000 | 860 | ||||||
4.750%, 7/15/31 144A | 925,000 | 939 | ||||||
Ziggo Bond Co. BV | 575,000 | 589 | ||||||
6.000%, 1/15/27 144A | 2,200,000 | 2,299 | ||||||
Ziggo BV | 200,000 | 205 | ||||||
5.500%, 1/15/27 144A | 1,936,000 | 2,011 | ||||||
|
| |||||||
Total | 139,543 | |||||||
|
| |||||||
Consumer, Cyclical (15.5%) | ||||||||
1011778 BC ULC / New Red Finance, Inc. | 525,000 | 518 | ||||||
3.875%, 1/15/28 144A | 1,125,000 | 1,139 | ||||||
4.000%, 10/15/30 144A | 5,775,000 | 5,587 | ||||||
4.250%, 5/15/24 144A | 723,000 | 731 | ||||||
4.375%, 1/15/28 144A | 1,175,000 | 1,191 | ||||||
Academy, Ltd. 6.000%, 11/15/27 144A | 850,000 | 908 | ||||||
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A | 3,050,000 | 3,139 | ||||||
Affinity Gaming 6.875%, 12/15/27 144A | 1,975,000 | 2,096 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. | 2,200,000 | 2,329 | ||||||
5.750%, 4/20/29 144A | 1,700,000 | 1,838 | ||||||
American Axle & Manufacturing, Inc. | 275,000 | 284 | ||||||
6.500%, 4/1/27 | 1,175,000 | 1,245 | ||||||
American Builders & Contractors Supply Co., Inc. | ||||||||
4.000%, 1/15/28 144A | 725,000 | 743 | ||||||
Aramark Services, Inc. | 1,025,000 | 1,051 | ||||||
5.000%, 2/1/28 144A | 225,000 | 236 | ||||||
6.375%, 5/1/25 144A | 2,525,000 | 2,683 | ||||||
BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A | 3,425,000 | 3,508 | ||||||
Boyd Gaming Corp. | 1,400,000 | 1,449 | ||||||
4.750%, 6/15/31 144A | 575,000 | 597 | ||||||
8.625%, 6/1/25 144A | 200,000 | 220 |
The Accompanying Notes are an Integral Part of the Financial Statements.
136
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Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
Caesars Entertainment, Inc. | 275,000 | 290 | ||||||
6.250%, 7/1/25 144A | 1,600,000 | 1,696 | ||||||
8.125%, 7/1/27 144A | 1,975,000 | 2,197 | ||||||
CCM Merger, Inc. 6.375%, 5/1/26 144A | 275,000 | 289 | ||||||
CD&R Waterworks Merger Sub LLC 6.125%, 8/15/25 144A | 3,875,000 | 3,952 | ||||||
Clarios Global LP 6.750%, 5/15/25 144A | 135,000 | 144 | ||||||
CRC Escrow Issuer LLC / CRC Finco, Inc. 5.250%, 10/15/25 144A | 2,100,000 | 2,126 | ||||||
Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A | 650,000 | 670 | ||||||
Dana, Inc. 5.625%, 6/15/28 | 175,000 | 189 | ||||||
Ford Motor Credit Co. LLC | 3,250,000 | 3,370 | ||||||
3.813%, 10/12/21 | 1,900,000 | 1,914 | ||||||
4.000%, 11/13/30 | 2,225,000 | 2,331 | ||||||
4.063%, 11/1/24 | 1,700,000 | 1,808 | ||||||
4.125%, 8/17/27 | 1,350,000 | 1,432 | ||||||
4.140%, 2/15/23 | 800,000 | 829 | ||||||
4.271%, 1/9/27 | 1,675,000 | 1,795 | ||||||
4.389%, 1/8/26 | 1,975,000 | 2,133 | ||||||
5.113%, 5/3/29 | 2,950,000 | 3,302 | ||||||
5.125%, 6/16/25 | 1,600,000 | 1,762 | ||||||
Foundation Building Materials, Inc. 6.000%, 3/1/29 144A | 2,025,000 | 2,005 | ||||||
GYP Holdings III Corp. 4.625%, 5/1/29 144A | 200,000 | 201 | ||||||
H&E Equipment Services, Inc. 3.875%, 12/15/28 144A | 2,775,000 | 2,731 | ||||||
Hawaiian Brand Intellectual Property, Ltd. / Hawaiian Miles Loyalty, Ltd. 5.750%, 1/20/26 144A | 225,000 | 242 | ||||||
Hilton Domestic Operating Co., Inc. | 900,000 | 889 | ||||||
3.750%, 5/1/29 144A | 1,150,000 | 1,162 | ||||||
4.875%, 1/15/30 | 500,000 | 534 | ||||||
5.750%, 5/1/28 144A | 550,000 | 595 | ||||||
IHO Verwaltungs GmbH | 2,375,000 | 2,428 | ||||||
6.000%, 5/15/27 144A | 800,000 | 838 | ||||||
6.375%, 5/15/29 144A | 900,000 | 981 | ||||||
Interface, Inc. 5.500%, 12/1/28 144A | 625,000 | 654 | ||||||
JB Poindexter & Co., Inc. 7.125%, 4/15/26 144A | 2,600,000 | 2,746 | ||||||
KAR Auction Services, Inc. 5.125%, 6/1/25 144A | 2,650,000 | 2,719 | ||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A | 550,000 | 575 | ||||||
Levi Strauss & Co. 3.500%, 3/1/31 144A | 250,000 | 249 | ||||||
MGM Resorts International | 115,000 | 121 | ||||||
4.750%, 10/15/28 | 825,000 | 877 | ||||||
5.500%, 4/15/27 | 262,000 | 288 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
6.000%, 3/15/23 | 1,725,000 | 1,845 | ||||||
6.750%, 5/1/25 | 675,000 | 723 | ||||||
Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A | 950,000 | 951 | ||||||
Mohegan Gaming & Entertainment | 550,000 | 576 | ||||||
8.000%, 2/1/26 144A | 3,825,000 | 3,997 | ||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC 7.125%, 4/1/26 144A | 1,200,000 | 1,281 | ||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. | 270,000 | 288 | ||||||
8.500%, 5/15/27 144A | 5,925,000 | 6,459 | ||||||
Party City Holdings, Inc. 5.750%, (ICE LIBOR USD 6 Month plus 5.000%), 7/15/25 144A | 440,456 | 418 | ||||||
Penn National Gaming, Inc. | 575,000 | 574 | ||||||
5.625%, 1/15/27 144A | 250,000 | 260 | ||||||
Raptor Acquisition Corp / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A | 200,000 | 203 | ||||||
Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A | 3,650,000 | 3,786 | ||||||
Red Rock Resorts, Inc. 5.000%, 10/1/25 144A | 1,374,000 | 1,395 | ||||||
Scientific Games International, Inc. | 1,250,000 | 1,410 | ||||||
8.250%, 3/15/26 144A | 875,000 | 938 | ||||||
8.625%, 7/1/25 144A | 375,000 | 411 | ||||||
Six Flags Entertainment Corp. | 2,400,000 | 2,475 | ||||||
7.000%, 7/1/25 144A | 275,000 | 296 | ||||||
SRS Distribution, Inc. 6.125%, 7/1/29 144A | 375,000 | 386 | ||||||
Stars Group Holdings BV 7.000%, 7/15/26 144A | 3,950,000 | 4,088 | ||||||
Station Casinos LLC 4.500%, 2/15/28 144A | 2,000,000 | 2,034 | ||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. | 1,500,000 | 1,536 | ||||||
5.875%, 3/1/27 | 900,000 | 945 | ||||||
Twin River Worldwide Holdings, Inc. 6.750%, 6/1/27 144A | 825,000 | 879 | ||||||
White Cap Buyer LLC 6.875%, 10/15/28 144A | 1,750,000 | 1,873 | ||||||
White Cap Parent, LLC 8.250%, 3/15/26 144A Þ | 1,450,000 | 1,500 | ||||||
The William Carter Co. | 400,000 | 423 | ||||||
5.625%, 3/15/27 144A | 225,000 | 237 | ||||||
WMG Acquisition Corp. 3.875%, 7/15/30 144A | 325,000 | 328 | ||||||
Wyndham Hotels & Resorts, Inc. 4.375%, 8/15/28 144A | 550,000 | 571 | ||||||
Yum! Brands, Inc. | 1,625,000 | 1,706 | ||||||
4.750%, 1/15/30 144A | 725,000 | 785 | ||||||
7.750%, 4/1/25 144A | 350,000 | 381 | ||||||
|
| |||||||
Total | 130,514 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
137
Table of Contents
High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical (17.7%) | ||||||||
Acadia Healthcare Co., Inc. 5.000%, | 225,000 | 235 | ||||||
5.500%, 7/1/28 144A | 225,000 | 240 | ||||||
AdaptHealth LLC 4.625%, 8/1/29 144A | 825,000 | 835 | ||||||
AHP Health Partners, Inc. 5.750%, 7/15/29 144A | 475,000 | 482 | ||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC | 350,000 | 355 | ||||||
3.500%, 2/15/23 144A | 325,000 | 334 | ||||||
3.500%, 3/15/29 144A | 2,050,000 | 2,027 | ||||||
4.875%, 2/15/30 144A | 450,000 | 480 | ||||||
5.750%, 3/15/25 | 732,000 | 748 | ||||||
5.875%, 2/15/28 144A | 700,000 | 754 | ||||||
7.500%, 3/15/26 144A | 625,000 | 686 | ||||||
Allied Universal Holdco LLC | 500,000 | 507 | ||||||
6.625%, 7/15/26 144A | 1,275,000 | 1,352 | ||||||
9.750%, 7/15/27 144A | 6,100,000 | 6,718 | ||||||
Avantor, Inc. 4.625%, 7/15/28 144A | 2,675,000 | 2,824 | ||||||
Bausch Health Cos., Inc. | 350,000 | 358 | ||||||
5.000%, 1/30/28 144A | 1,300,000 | 1,233 | ||||||
5.000%, 2/15/29 144A | 625,000 | 583 | ||||||
5.250%, 1/30/30 144A | 1,900,000 | 1,767 | ||||||
5.250%, 2/15/31 144A | 625,000 | 583 | ||||||
5.750%, 8/15/27 144A | 775,000 | 823 | ||||||
6.250%, 2/15/29 144A | 1,775,000 | 1,756 | ||||||
7.250%, 5/30/29 144A | 2,200,000 | 2,248 | ||||||
The Brink’s Co. 5.500%, 7/15/25 144A | 400,000 | 425 | ||||||
Centene Corp. | 375,000 | 385 | ||||||
3.375%, 2/15/30 | 900,000 | 941 | ||||||
4.250%, 12/15/27 | 2,775,000 | 2,924 | ||||||
4.625%, 12/15/29 | 2,425,000 | 2,667 | ||||||
5.375%, 6/1/26 144A | 2,150,000 | 2,247 | ||||||
5.375%, 8/15/26 144A | 800,000 | 836 | ||||||
Charles River Laboratories International, Inc. | 525,000 | 532 | ||||||
4.000%, 3/15/31 144A | 550,000 | 572 | ||||||
CHS / Community Health Systems, Inc. | 750,000 | 801 | ||||||
6.000%, 1/15/29 144A | 225,000 | 241 | ||||||
6.125%, 4/1/30 144A | 750,000 | 761 | ||||||
6.625%, 2/15/25 144A | 525,000 | 555 | ||||||
6.875%, 4/15/29 144A | 2,700,000 | 2,825 | ||||||
8.000%, 3/15/26 144A | 1,125,000 | 1,212 | ||||||
DaVita HealthCare Partners, Inc. 4.625%, 6/1/30 144A | 1,250,000 | 1,285 | ||||||
Edgewell Personal Care Co. | 1,000,000 | 1,010 | ||||||
5.500%, 6/1/28 144A | 875,000 | 927 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
Endo Finance LLC / Endo Finco, Inc. | 2,253,000 | 1,519 | ||||||
9.500%, 7/31/27 144A | 1,225,000 | 1,249 | ||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. | 650,000 | 637 | ||||||
Garda World Security Corp. | 875,000 | 879 | ||||||
6.000%, 6/1/29 144A | 1,300,000 | 1,290 | ||||||
Gartner, Inc. | 550,000 | 563 | ||||||
4.500%, 7/1/28 144A | 250,000 | 264 | ||||||
Global Medical Response, Inc. 6.500%, 10/1/25 144A | 3,925,000 | 4,038 | ||||||
GW B-CR Security Corp. 9.500%, 11/1/27 144A | 4,969,000 | 5,503 | ||||||
HCA, Inc. | 2,300,000 | 2,450 | ||||||
5.375%, 2/1/25 | 2,150,000 | 2,425 | ||||||
5.375%, 9/1/26 | 1,325,000 | 1,525 | ||||||
5.875%, 5/1/23 | 1,120,000 | 1,217 | ||||||
5.875%, 2/15/26 | 2,225,000 | 2,571 | ||||||
5.875%, 2/1/29 | 550,000 | 664 | ||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC | 1,250,000 | 1,312 | ||||||
5.000%, 6/15/28 144A | 1,000,000 | 1,084 | ||||||
Jazz Securities DAC 4.375%, 1/15/29 144A | 1,600,000 | 1,659 | ||||||
Kraft Heinz Foods Co. | 250,000 | 284 | ||||||
4.375%, 6/1/46 | 3,150,000 | 3,570 | ||||||
5.200%, 7/15/45 | 2,175,000 | 2,700 | ||||||
Lamb Weston Holdings, Inc. 4.875%, 11/1/26 144A | 700,000 | 724 | ||||||
LifePoint Health, Inc. | 625,000 | 632 | ||||||
5.375%, 1/15/29 144A | 150,000 | 146 | ||||||
6.750%, 4/15/25 144A | 825,000 | 879 | ||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC | 4,600,000 | 3,197 | ||||||
5.625%, 10/15/23 144A *,j | 2,775,000 | 1,943 | ||||||
MEDNAX, Inc. 6.250%, 1/15/27 144A | 1,700,000 | 1,800 | ||||||
Molina Healthcare, Inc. 3.875%, 11/15/30 144A | 375,000 | 390 | ||||||
MPH Acquisition Holdings LLC 5.750%, 11/1/28 144A | 4,500,000 | 4,522 | ||||||
The Nielsen Co. Luxembourg SARL 5.000%, 2/1/25 144A | 1,275,000 | 1,312 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | 475,000 | 476 | ||||||
4.750%, 7/15/31 144A | 475,000 | 476 | ||||||
5.625%, 10/1/28 144A | 875,000 | 924 | ||||||
5.875%, 10/1/30 144A | 975,000 | 1,061 | ||||||
Organon Finance 1 LLC | 425,000 | 433 | ||||||
5.125%, 4/30/31 144A | 450,000 | 464 |
The Accompanying Notes are an Integral Part of the Financial Statements.
138
Table of Contents
High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
Post Holdings, Inc. | 850,000 | 849 | ||||||
4.625%, 4/15/30 144A | 1,550,000 | 1,576 | ||||||
5.500%, 12/15/29 144A | 375,000 | 402 | ||||||
5.625%, 1/15/28 144A | 975,000 | 1,034 | ||||||
5.750%, 3/1/27 144A | 3,775,000 | 3,950 | ||||||
Prestige Brands, Inc. | 700,000 | 675 | ||||||
5.125%, 1/15/28 144A | 425,000 | 447 | ||||||
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A | 3,325,000 | 3,579 | ||||||
Signal Parent, Inc. 6.125%, 4/1/29 144A | 1,950,000 | 1,872 | ||||||
Syneos Health, Inc. 3.625%, 1/15/29 144A | 925,000 | 916 | ||||||
Team Health Holdings, Inc. 6.375%, 2/1/25 144A | 2,350,000 | 2,235 | ||||||
Teleflex, Inc. | 250,000 | 261 | ||||||
4.625%, 11/15/27 | 450,000 | 479 | ||||||
Tenet Healthcare Corp. | 625,000 | 633 | ||||||
4.625%, 7/15/24 | 1,400,000 | 1,421 | ||||||
4.625%, 6/15/28 144A | 125,000 | 129 | ||||||
4.875%, 1/1/26 144A | 1,200,000 | 1,245 | ||||||
5.125%, 11/1/27 144A | 1,450,000 | 1,521 | ||||||
6.125%, 10/1/28 144A | 1,525,000 | 1,625 | ||||||
6.250%, 2/1/27 144A | 450,000 | 470 | ||||||
6.750%, 6/15/23 | 2,100,000 | 2,292 | ||||||
United Rentals North America, Inc. | 325,000 | 341 | ||||||
3.875%, 2/15/31 | 275,000 | 280 | ||||||
4.875%, 1/15/28 | 1,225,000 | 1,299 | ||||||
5.250%, 1/15/30 | 425,000 | 466 | ||||||
5.500%, 5/15/27 | 800,000 | 848 | ||||||
5.875%, 9/15/26 | 850,000 | 880 | ||||||
US Foods, Inc. 4.750%, 2/15/29 144A | 1,200,000 | 1,224 | ||||||
Valeant Pharmaceuticals International, Inc. | 725,000 | 744 | ||||||
6.125%, 4/15/25 144A | 5,137,000 | 5,265 | ||||||
8.500%, 1/31/27 144A | 2,175,000 | 2,364 | ||||||
9.000%, 12/15/25 144A | 850,000 | 911 | ||||||
9.250%, 4/1/26 144A | 525,000 | 571 | ||||||
Vizient, Inc. 6.250%, 5/15/27 144A | 675,000 | 714 | ||||||
|
| |||||||
Total | 149,374 | |||||||
|
| |||||||
Diversified (0.2%) | ||||||||
Stena International SA 6.125%, 2/1/25 144A | 1,375,000 | 1,430 | ||||||
|
| |||||||
Total | 1,430 | |||||||
|
| |||||||
Energy (15.1%) | ||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | 2,200,000 | 2,293 | ||||||
5.750%, 3/1/27 144A | 2,275,000 | 2,366 | ||||||
5.750%, 1/15/28 144A | 2,600,000 | 2,736 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
7.875%, 5/15/26 144A | 675,000 | 754 | ||||||
Antero Resources Corp. | 925,000 | 944 | ||||||
7.625%, 2/1/29 144A | 300,000 | 333 | ||||||
8.375%, 7/15/26 144A | 325,000 | 370 | ||||||
Apache Corp. | 325,000 | 351 | ||||||
4.875%, 11/15/27 | 700,000 | 758 | ||||||
Archrock Partners LP | 1,900,000 | 1,983 | ||||||
6.875%, 4/1/27 144A | 3,100,000 | 3,290 | ||||||
Ascent Resources Utica Holdings LLC / ARU Finance Corp. | 425,000 | 425 | ||||||
7.000%, 11/1/26 144A | 1,650,000 | 1,726 | ||||||
8.250%, 12/31/28 144A | 425,000 | 467 | ||||||
9.000%, 11/1/27 144A | 414,000 | 572 | ||||||
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A | 1,200,000 | 1,218 | ||||||
Callon Petroleum Co. 6.375%, 7/1/26 | 1,050,000 | 1,005 | ||||||
Carrizo Oil & Gas, Inc. | 500,000 | 501 | ||||||
8.250%, 7/15/25 | 425,000 | 423 | ||||||
Centennial Resource Production LLC 6.875%, 4/1/27 144A | 1,400,000 | 1,432 | ||||||
Cheniere Energy Partners LP | 1,500,000 | 1,567 | ||||||
4.500%, 10/1/29 | 1,150,000 | 1,236 | ||||||
5.625%, 10/1/26 | 1,200,000 | 1,245 | ||||||
Cheniere Energy, Inc. 4.625%, 10/15/28 144A | 975,000 | 1,029 | ||||||
Chesapeake Energy Corp. | 200,000 | 211 | ||||||
5.875%, 2/1/29 144A | 225,000 | 244 | ||||||
CNX Midstream Finance Corp. 6.500%, 3/15/26 144A | 3,200,000 | 3,357 | ||||||
Comstock Resources, Inc. | 400,000 | 408 | ||||||
6.750%, 3/1/29 144A | 2,400,000 | 2,557 | ||||||
Continental Resources, Inc. | 1,050,000 | 1,162 | ||||||
5.750%, 1/15/31 144A | 1,450,000 | 1,736 | ||||||
CrownRock LP / CrownRock Finance, Inc. | 325,000 | 341 | ||||||
5.625%, 10/15/25 144A | 3,025,000 | 3,131 | ||||||
DT Midstream, Inc. 4.375%, 6/15/31 144A | 950,000 | 971 | ||||||
Endeavor Energy Resources LP / EER Finance, Inc. | 200,000 | 208 | ||||||
5.750%, 1/30/28 144A | 850,000 | 906 | ||||||
6.625%, 7/15/25 144A | 775,000 | 829 | ||||||
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A | 4,150,000 | 4,337 | ||||||
EQM Midstream Partners, LP | 1,050,000 | 1,068 | ||||||
4.750%, 7/15/23 | 219,000 | 229 | ||||||
4.750%, 1/15/31 144A | 1,325,000 | 1,365 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
5.500%, 7/15/28 | 1,925,000 | 2,080 | ||||||
6.000%, 7/1/25 144A | 900,000 | 979 | ||||||
6.500%, 7/1/27 144A | 1,825,000 | 2,035 | ||||||
6.500%, 7/15/48 | 1,025,000 | 1,097 | ||||||
EQT Corp. | 750,000 | 769 | ||||||
3.625%, 5/15/31 144A | 500,000 | 521 | ||||||
3.900%, 10/1/27 | 425,000 | 455 | ||||||
5.000%, 1/15/29 | 350,000 | 390 | ||||||
7.625%, 2/1/25 | 350,000 | 408 | ||||||
8.500%, 2/1/30 | 250,000 | 326 | ||||||
Hess Midstream Partners LP 5.125%, 6/15/28 144A | 1,300,000 | 1,363 | ||||||
Holly Energy Partners LP / Holly Energy Finance Corp. 5.000%, 2/1/28 144A | 1,225,000 | 1,253 | ||||||
Nabors Industries, Ltd. | 1,300,000 | 1,274 | ||||||
7.500%, 1/15/28 144A | 850,000 | 816 | ||||||
NuStar Logistics LP | 2,700,000 | 2,891 | ||||||
6.000%, 6/1/26 | 600,000 | 651 | ||||||
Oasis Midstream Partners LP / OMP Finance Corp. 8.000%, 4/1/29 144A | 1,200,000 | 1,276 | ||||||
Oasis Petroleum, Inc. 6.375%, 6/1/26 144A | 300,000 | 313 | ||||||
Occidental Petroleum Corp. | 1,475,000 | 1,508 | ||||||
3.200%, 8/15/26 | 425,000 | 428 | ||||||
3.400%, 4/15/26 | 300,000 | 307 | ||||||
3.500%, 6/15/25 | 1,600,000 | 1,636 | ||||||
4.100%, 2/15/47 | 675,000 | 629 | ||||||
4.300%, 8/15/39 | 1,525,000 | 1,456 | ||||||
4.400%, 8/15/49 | 975,000 | 936 | ||||||
5.875%, 9/1/25 | 1,225,000 | 1,363 | ||||||
6.450%, 9/15/36 | 1,500,000 | 1,793 | ||||||
6.625%, 9/1/30 | 1,400,000 | 1,680 | ||||||
8.000%, 7/15/25 | 625,000 | 748 | ||||||
8.875%, 7/15/30 | 1,825,000 | 2,441 | ||||||
PDC Energy, Inc. | 1,525,000 | 1,593 | ||||||
6.125%, 9/15/24 | 425,000 | 435 | ||||||
Precision Drilling Corp. | 300,000 | 309 | ||||||
7.125%, 1/15/26 144A | 1,025,000 | 1,056 | ||||||
Range Resources Corp. | 350,000 | 362 | ||||||
5.000%, 3/15/23 | 113,000 | 117 | ||||||
8.250%, 1/15/29 144A | 875,000 | 987 | ||||||
9.250%, 2/1/26 | 825,000 | 910 | ||||||
Rattler Midstream LP 5.625%, 7/15/25 144A | 875,000 | 920 | ||||||
Shelf Drilling Holdings, Ltd. 8.250%, 2/15/25 144A | 1,050,000 | 834 | ||||||
SM Energy Co. | 1,000,000 | 990 | ||||||
6.500%, 7/15/28 | 200,000 | 205 | ||||||
6.625%, 1/15/27 | 250,000 | 257 | ||||||
6.750%, 9/15/26 | 1,100,000 | 1,119 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
Southwestern Energy Co. 8.375%, 9/15/28 | 1,100,000 | 1,243 | ||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. | 1,225,000 | 1,210 | ||||||
5.750%, 4/15/25 | 1,850,000 | 1,697 | ||||||
Sunoco LP / Sunoco Finance Corp. 5.500%, 2/15/26 | 550,000 | 567 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 950,000 | 977 | ||||||
5.000%, 1/15/28 | 1,675,000 | 1,767 | ||||||
5.375%, 2/1/27 | 2,150,000 | 2,239 | ||||||
5.500%, 3/1/30 | 2,250,000 | 2,474 | ||||||
5.875%, 4/15/26 | 1,350,000 | 1,418 | ||||||
6.500%, 7/15/27 | 300,000 | 325 | ||||||
TerraForm Power Operating LLC | 175,000 | 180 | ||||||
4.750%, 1/15/30 144A | 1,725,000 | 1,767 | ||||||
5.000%, 1/31/28 144A | 1,775,000 | 1,879 | ||||||
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26 | 1,175,000 | 1,201 | ||||||
Ultra Resources, Inc. Contingent Value Rights 0.000%, 4/15/25 *,Æ | 1,325,000 | – | ||||||
USA Compression Finance Corp. 6.875%, 4/1/26 | 3,550,000 | 3,719 | ||||||
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27 | 1,475,000 | 1,576 | ||||||
Western Gas Partners LP | 1,100,000 | 1,174 | ||||||
5.300%, 3/1/48 | 3,675,000 | 3,914 | ||||||
5.450%, 4/1/44 | 650,000 | 700 | ||||||
5.500%, 8/15/48 | 400,000 | 435 | ||||||
Western Midstream Operating LP | 850,000 | 864 | ||||||
4.650%, 7/1/26 | 175,000 | 187 | ||||||
5.300%, 2/1/30 | 325,000 | 364 | ||||||
|
| |||||||
Total | 127,877 | |||||||
|
| |||||||
Financial (7.2%) | ||||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750%, 10/15/27 144A | 3,900,000 | 4,099 | ||||||
AmWINS Group, Inc. 7.750%, 7/1/26 144A | 4,375,000 | 4,640 | ||||||
Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A Þ | 1,930,771 | 2,114 | ||||||
AssuredPartners, Inc. | 125,000 | 125 | ||||||
7.000%, 8/15/25 144A | 3,250,000 | 3,319 | ||||||
BroadStreet Partners, Inc. 5.875%, 4/15/29 144A | 2,050,000 | 2,091 | ||||||
Cushman & Wakefield US Borrower LLC 6.750%, 5/15/28 144A | 400,000 | 431 | ||||||
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A | 1,550,000 | 1,651 |
The Accompanying Notes are an Integral Part of the Financial Statements.
140
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High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
HUB International, Ltd. 7.000%, 5/1/26 144A | 9,775,000 | 10,138 | ||||||
LD Holdings Group LLC 6.125%, 4/1/28 144A | 1,575,000 | 1,573 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. | 200,000 | 203 | ||||||
4.500%, 9/1/26 | 450,000 | 480 | ||||||
4.625%, 6/15/25 144A | 400,000 | 427 | ||||||
5.625%, 5/1/24 | 475,000 | 514 | ||||||
5.750%, 2/1/27 | 300,000 | 334 | ||||||
Navient Corp. | 450,000 | 466 | ||||||
5.875%, 10/25/24 | 1,850,000 | 1,996 | ||||||
6.125%, 3/25/24 | 750,000 | 809 | ||||||
6.750%, 6/25/25 | 1,625,000 | 1,799 | ||||||
6.750%, 6/15/26 | 350,000 | 391 | ||||||
NFP Corp. 6.875%, 8/15/28 144A | 5,850,000 | 6,158 | ||||||
Quicken Loans LLC | 875,000 | 864 | ||||||
3.875%, 3/1/31 144A | 1,300,000 | 1,310 | ||||||
Quicken Loans, Inc. 5.250%, 1/15/28 144A | 2,225,000 | 2,336 | ||||||
United Shore Financial Services LLC 5.500%, 11/15/25 144A | 3,475,000 | 3,599 | ||||||
United Wholesale Mortgage LLC 5.500%, 4/15/29 144A | 1,175,000 | 1,175 | ||||||
USIS Merger Sub, Inc. 6.875%, 5/1/25 144A | 4,525,000 | 4,582 | ||||||
VICI Properties LP / VICI Note Co., Inc. | 125,000 | 128 | ||||||
4.125%, 8/15/30 144A | 400,000 | 411 | ||||||
4.250%, 12/1/26 144A | 1,125,000 | 1,170 | ||||||
4.625%, 12/1/29 144A | 1,350,000 | 1,434 | ||||||
|
| |||||||
Total | 60,767 | |||||||
|
| |||||||
Health Care (0.4%) | ||||||||
IQVIA, Inc. | 2,250,000 | 2,329 | ||||||
5.000%, 5/15/27 144A | 750,000 | 785 | ||||||
|
| |||||||
Total | 3,114 | |||||||
|
| |||||||
Industrial (11.3%) | ||||||||
ARD Finance SA 6.500%, 6/30/27 144A | 3,750,000 | 3,938 | ||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | 1,350,000 | 1,339 | ||||||
5.250%, 8/15/27 144A | 3,200,000 | 3,264 | ||||||
6.000%, 2/15/25 144A | 2,600,000 | 2,682 | ||||||
Ball Corp. 2.875%, 8/15/30 | 1,575,000 | 1,546 | ||||||
Berry Global Escrow Corp. | 1,125,000 | 1,190 | ||||||
5.625%, 7/15/27 144A | 1,150,000 | 1,216 | ||||||
Berry Plastics Corp. 5.125%, 7/15/23 | 329,000 | 329 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrial continued | ||||||||
BWAY Holding Co. | 1,525,000 | 1,540 | ||||||
7.250%, 4/15/25 144A | 3,250,000 | 3,185 | ||||||
CFX Escrow Corp. 6.375%, 2/15/26 144A | 338,000 | 357 | ||||||
Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A | 800,000 | 858 | ||||||
CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A | 2,900,000 | 3,005 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26 | 1,175,000 | 1,219 | ||||||
Energizer Holdings, Inc. | 1,725,000 | 1,727 | ||||||
4.750%, 6/15/28 144A | 900,000 | 922 | ||||||
Flex Acquisition Co., Inc. | 4,050,000 | 4,111 | ||||||
7.875%, 7/15/26 144A | 4,175,000 | 4,342 | ||||||
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A | 4,550,000 | 4,766 | ||||||
Graphic Packaging International LLC | 425,000 | 428 | ||||||
3.500%, 3/1/29 144A | 450,000 | 446 | ||||||
4.750%, 7/15/27 144A | 500,000 | 540 | ||||||
Koppers, Inc. 6.000%, 2/15/25 144A | 4,075,000 | 4,205 | ||||||
Madison IAQ LLC | 250,000 | 253 | ||||||
5.875%, 6/30/29 144A | 2,175,000 | 2,213 | ||||||
Owens-Brockway Glass Container, Inc. | 2,075,000 | 2,205 | ||||||
5.875%, 8/15/23 144A | 900,000 | 971 | ||||||
6.375%, 8/15/25 144A | 1,250,000 | 1,386 | ||||||
6.625%, 5/13/27 144A | 500,000 | 544 | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU | 2,175,000 | 2,160 | ||||||
Sealed Air Corp. 5.125%, 12/1/24 144A | 1,950,000 | 2,123 | ||||||
Standard Industries, Inc. | 725,000 | 694 | ||||||
4.375%, 7/15/30 144A | 550,000 | 567 | ||||||
4.750%, 1/15/28 144A | 1,325,000 | 1,387 | ||||||
5.000%, 2/15/27 144A | 3,375,000 | 3,495 | ||||||
Terex Corp. 5.000%, 5/15/29 144A | 825,000 | 860 | ||||||
TransDigm UK Holdings PLC 6.875%, 5/15/26 | 1,775,000 | 1,873 | ||||||
TransDigm, Inc. | 2,275,000 | 2,276 | ||||||
4.875%, 5/1/29 144A | 775,000 | 782 | ||||||
5.500%, 11/15/27 | 1,250,000 | 1,303 | ||||||
6.250%, 3/15/26 144A | 3,000,000 | 3,165 | ||||||
6.375%, 6/15/26 | 1,850,000 | 1,917 | ||||||
7.500%, 3/15/27 | 675,000 | 718 | ||||||
Trident TPI Holdings, Inc. | 2,225,000 | 2,281 | ||||||
9.250%, 8/1/24 144A | 1,450,000 | 1,515 |
The Accompanying Notes are an Integral Part of the Financial Statements.
141
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High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrial continued | ||||||||
Trivium Packaging Finance BV | 525,000 | 552 | ||||||
8.500%, 8/15/27 144A | 2,825,000 | 3,071 | ||||||
TTM Technologies, Inc. 4.000%, 3/1/29 144A | 700,000 | 704 | ||||||
Vertical Holdco GmbH 7.625%, 7/15/28 144A | 1,250,000 | 1,356 | ||||||
Vertical U.S. Newco, Inc. 5.250%, 7/15/27 144A | 1,750,000 | 1,844 | ||||||
Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A | 2,150,000 | 2,301 | ||||||
WESCO Distribution, Inc. | 1,750,000 | 1,774 | ||||||
7.125%, 6/15/25 144A | 525,000 | 567 | ||||||
7.250%, 6/15/28 144A | 1,075,000 | 1,197 | ||||||
|
| |||||||
Total | 95,209 | |||||||
|
| |||||||
Other Holdings (0.0%) | ||||||||
Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 * | 1,000,000 | 28 | ||||||
|
| |||||||
Total | 28 | |||||||
|
| |||||||
Technology (7.2%) | ||||||||
AMG AG 7.000%, 7/31/25 144A | 1,275,000 | 1,374 | ||||||
Banff Merger Sub, Inc. 9.750%, 9/1/26 144A | 2,225,000 | 2,342 | ||||||
Black Knight InfoServ LLC 3.625%, 9/1/28 144A | 1,075,000 | 1,070 | ||||||
Booz Allen Hamilton, Inc. | 400,000 | 408 | ||||||
4.000%, 7/1/29 144A | 250,000 | 256 | ||||||
Boxer Parent Co., Inc. 9.125%, 3/1/26 144A | 375,000 | 396 | ||||||
BY Crown Parent LLC / BY Bond Finance, Inc. 4.250%, 1/31/26 144A | 575,000 | 602 | ||||||
CDW LLC / CDW Finance Corp. | 650,000 | 659 | ||||||
4.250%, 4/1/28 | 300,000 | 315 | ||||||
5.500%, 12/1/24 | 275,000 | 307 | ||||||
Clarivate Science Holdings Corp. | 350,000 | 353 | ||||||
4.875%, 6/30/29 144A | 700,000 | 718 | ||||||
Dell International LLC / EMC Corp. 7.125%, 6/15/24 144A | 4,625,000 | 4,744 | ||||||
Diebold Nixdorf, Inc. 9.375%, 7/15/25 144A | 325,000 | 360 | ||||||
Elastic NV 4.125%, 7/15/29 144A | 550,000 | 550 | ||||||
Entegris, Inc. 3.625%, 5/1/29 144A | 950,000 | 962 | ||||||
Helios Software Holdings, Inc. 4.625%, 5/1/28 144A | 1,125,000 | 1,101 | ||||||
JDA Escrow LLC / JDA Bond Finance, Inc. | 3,300,000 | 3,359 | ||||||
Logan Merger Sub, Inc. 5.500%, 9/1/27 144A | 1,900,000 | 1,967 | ||||||
NCR Corp. | 875,000 | 905 |
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Technology continued | ||||||||
5.125%, 4/15/29 144A | 1,475,000 | 1,521 | ||||||
5.250%, 10/1/30 144A | 1,425,000 | 1,478 | ||||||
5.750%, 9/1/27 144A | 1,025,000 | 1,085 | ||||||
6.125%, 9/1/29 144A | 650,000 | 708 | ||||||
8.125%, 4/15/25 144A | 325,000 | 355 | ||||||
Nuance Communications, Inc. 5.625%, 12/15/26 | 1,050,000 | 1,094 | ||||||
ON Semiconductor Corp. 3.875%, 9/1/28 144A | 675,000 | 695 | ||||||
Open Text Corp. | 800,000 | 811 | ||||||
4.125%, 2/15/30 144A | 800,000 | 816 | ||||||
PTC, Inc. | 125,000 | 129 | ||||||
4.000%, 2/15/28 144A | 500,000 | 516 | ||||||
Qorvo, Inc. | 700,000 | 730 | ||||||
4.375%, 10/15/29 | 1,350,000 | 1,471 | ||||||
Rackspace Technology Global, Inc. | 1,825,000 | 1,766 | ||||||
5.375%, 12/1/28 144A | 1,475,000 | 1,512 | ||||||
Rocket Software, Inc. 6.500%, 2/15/29 144A | 2,550,000 | 2,530 | ||||||
Science Applications International Corp. 4.875%, 4/1/28 144A | 325,000 | 341 | ||||||
Seagate HDD Cayman | 1,475,000 | 1,429 | ||||||
3.375%, 7/15/31 144A | 1,225,000 | 1,184 | ||||||
Sensata Technologies, Inc. | 225,000 | 222 | ||||||
4.375%, 2/15/30 144A | 325,000 | 342 | ||||||
SS&C Technologies, Inc. 5.500%, 9/30/27 144A | 3,600,000 | 3,815 | ||||||
Star Merger Sub, Inc. | 584,000 | 619 | ||||||
10.250%, 2/15/27 144A | 2,655,000 | 2,932 | ||||||
Synaptics, Inc. 4.000%, 6/15/29 144A | 575,000 | 578 | ||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.750%, 6/1/25 144A | 6,075,000 | 6,178 | ||||||
Veritas US, Inc. / Veritas Bermuda, Ltd. | 2,800,000 | 2,915 | ||||||
|
| |||||||
Total | 60,520 | |||||||
|
| |||||||
Utilities (2.3%) | ||||||||
Allied Universal Holdco LLC 4.375%, 5/1/29 144A | 725,000 | 729 | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | 425,000 | 464 | ||||||
5.750%, 5/20/27 | 550,000 | 613 | ||||||
5.875%, 8/20/26 | 2,350,000 | 2,631 | ||||||
Calpine Corp. | 1,250,000 | 1,190 | ||||||
4.500%, 2/15/28 144A | 1,575,000 | 1,607 | ||||||
4.625%, 2/1/29 144A | 200,000 | 197 | ||||||
5.000%, 2/1/31 144A | 200,000 | 199 | ||||||
5.125%, 3/15/28 144A | 1,075,000 | 1,094 | ||||||
5.250%, 6/1/26 144A | 604,000 | 621 |
The Accompanying Notes are an Integral Part of the Financial Statements.
142
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High Yield Bond Portfolio
Corporate Bonds (97.6%) | Shares/ Par+ | Value $ (000’s) | ||||||
Utilities continued | ||||||||
NRG Energy, Inc. | 775,000 | 824 | ||||||
5.750%, 1/15/28 | 225,000 | 240 | ||||||
6.625%, 1/15/27 | 2,050,000 | 2,122 | ||||||
7.250%, 5/15/26 | 1,525,000 | 1,581 | ||||||
Pattern Energy Operations LP / Pattern Energy Operations, Inc. 4.500%, 8/15/28 144A | 600,000 | 621 | ||||||
Solaris Midstream Holdings, LLC 7.625%, 4/1/26 144A | 425,000 | 451 | ||||||
Vistra Operations Co. LLC | 1,100,000 | 1,129 | ||||||
5.500%, 9/1/26 144A | 900,000 | 928 | ||||||
5.625%, 2/15/27 144A | 1,925,000 | 1,997 | ||||||
|
| |||||||
Total | 19,238 | |||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost: $791,124) | 823,015 | |||||||
|
| |||||||
Warrants (0.0%) | ||||||||
Energy (0.0%) | ||||||||
Chesapeake Energy Corp. * | 10,342 | 278 | ||||||
|
| |||||||
Total | 278 | |||||||
|
| |||||||
Total Warrants | ||||||||
(Cost: $258) | 278 | |||||||
|
| |||||||
Bank Loan Obligations (0.2%) | ||||||||
Consumer, Non-cyclical (0.2%) | ||||||||
Envision Healthcare Corp., 5.500%, (ICE LIBOR USD 1 Month plus 4.500%), 10/10/25Þ | 1,819,425 | 1,450 | ||||||
|
| |||||||
Total Bank Loan Obligations | ||||||||
(Cost: $2,796) |
| 1,450 | ||||||
|
|
Short-Term Investments (1.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Money Market Funds (1.2%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 9,843,609 | 9,844 | ||||||
|
| |||||||
Total | 9,844 | |||||||
|
| |||||||
Total Short-Term Investments |
| |||||||
(Cost: $9,844) | 9,844 | |||||||
|
| |||||||
Total Investments (99.6%) |
| |||||||
(Cost: $807,182)@ |
| 839,695 | ||||||
|
| |||||||
Other Assets, Less Liabilities (0.4%) |
| 3,556 | ||||||
|
| |||||||
Net Assets (100.0%) |
| 843,251 | ||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
Æ | Security valued using significant unobservable inputs. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $632,967 representing 75.1% of the net assets. |
f | Defaulted Security |
Þ | PIK - Payment In Kind. PIK rate of Ardonagh Midco 2 PLC 12.750%. |
b | Cash or securities with an aggregate value of $501 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $807,182 and the net unrealized appreciation of investments based on that cost was $32,513 which is comprised of $40,893 aggregate gross unrealized appreciation and $8,380 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Observable Inputs | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Bank Loan Obligations | $ | - | $ | 1,450 | $ | - | ||||||||
Common Stocks | ||||||||||||||
Energy | 1,613 | - | 2,394 | |||||||||||
All Others | 1,101 | - | - | |||||||||||
Corporate Bonds | - | 823,015 | - | |||||||||||
Short-Term Investments | 9,844 | - | - | |||||||||||
Warrants | 278 | - | - | |||||||||||
Total Assets: | $ | 12,836 | $ | 824,465 | $ | 2,394 |
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.
The Accompanying Notes are an Integral Part of the Financial Statements.
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Sector Allocation 6/30/21
Sector | % of Net Assets | |||||||
Corporate Bonds | 55.0 | % | ||||||
Short-Term Investments & Other Net Assets | 17.1 | % | ||||||
Governments | 16.8 | % | ||||||
Structured Products | 7.7 | % | ||||||
Bank Loan Obligations | 2.2 | % | ||||||
Municipal Bonds | 0.7 | % | ||||||
Convertible Corporate Bonds | 0.4 | % | ||||||
Energy | 0.1 | % |
Sector Allocation is subject to change.
Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.
Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.
The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.
The Portfolio may invest a portion of its assets in fixed- and floating-rate loans, including senior loans, through loan participations and assignments. Investing in loans may expose the Portfolio to additional risks, including credit risk, interest rate risk, liquidity risk, call risk, settlement risk, and risks associated with being a lender.
The Portfolio may also invest in municipal securities, which may be more sensitive to certain adverse conditions than other fixed income securities, may be or become illiquid, and may have yields which move differently and adversely compared to the yields of the overall debt securities markets.
The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.
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SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Common Stocks (0.1%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy (0.1%) | ||||||||
Noble Corp. PLC *,Æ | 2,440 | 61 | ||||||
Noble Finance Co. *,d | 20,347 | 503 | ||||||
Valaris, Ltd. * | 1,429 | 41 | ||||||
|
| |||||||
Total | 605 | |||||||
|
| |||||||
Total Common Stocks (Cost: $258) | 605 | |||||||
|
| |||||||
Corporate Bonds (55.0%) | ||||||||
Basic Materials (2.3%) | ||||||||
ALROSA Finance SA | 8,500,000 | 8,713 | ||||||
4.650%, 4/9/24 144A | 500,000 | 540 | ||||||
Georgia-Pacific LLC 8.875%, 5/15/31 | 200,000 | 316 | ||||||
INEOS Finance PLC | 2,700,000 | 3,260 | ||||||
2.875%, 5/1/26 EUR §,¥ | 3,400,000 | 4,105 | ||||||
INEOS Styrolution Group GmbH 2.250%, 1/16/27 144A EUR ¥ | 200,000 | 234 | ||||||
MMK International Capital DAC | 1,400,000 | 1,500 | ||||||
Sappi Papier Holding GmbH | 300,000 | 357 | ||||||
Sasol Financing USA LLC 5.875%, 3/27/24 | 500,000 | 534 | ||||||
Syngenta Finance NV | 200,000 | 211 | ||||||
4.892%, 4/24/25 144A | 5,900,000 | 6,538 | ||||||
5.182%, 4/24/28 144A | 2,800,000 | 3,200 | ||||||
|
| |||||||
Total | 29,508 | |||||||
|
| |||||||
Communications (4.8%) | ||||||||
Altice Financing SA | 200,000 | 225 | ||||||
7.500%, 5/15/26 144A | 5,171,000 | 5,385 | ||||||
7.500%, 5/15/26 § | 200,000 | 208 | ||||||
Altice France Holding SA | 1,700,000 | 1,693 | ||||||
8.000%, 5/15/27 EUR §,¥ | 1,000,000 | 1,279 | ||||||
Altice France SA | 1,850,000 | 2,179 | ||||||
8.125%, 2/1/27 144A | 3,200,000 | 3,486 | ||||||
AT&T, Inc. | 1,800,000 | 1,764 | ||||||
3.500%, 9/15/53 144A | 237,000 | 238 | ||||||
3.650%, 9/15/59 144A | 6,663,000 | 6,757 | ||||||
3.800%, 12/1/57 144A | 115,000 | 120 | ||||||
Baidu, Inc. 3.875%, 9/29/23 | 200,000 | 213 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 4.500%, 6/1/33 144A | 800,000 | 819 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Communications continued | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | 1,700,000 | 1,924 | ||||||
4.800%, 3/1/50 | 200,000 | 230 | ||||||
5.125%, 7/1/49 b | 3,300,000 | 3,930 | ||||||
5.375%, 4/1/38 | 100,000 | 123 | ||||||
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A | 1,800,000 | 1,903 | ||||||
Deutsche Telekom International Finance 8.750%, 6/15/30 | 475,000 | 712 | ||||||
Intelsat Jackson Holdings SA | 700,000 | 401 | ||||||
8.500%, 10/15/24 144A j | 200,000 | 118 | ||||||
9.750%, 7/15/25 144A j | 100,000 | 58 | ||||||
Lumen Technologies, Inc. 4.000%, 2/15/27 144A | 100,000 | 102 | ||||||
Qwest Corp. 7.250%, 9/15/25 | 500,000 | 592 | ||||||
SFR Group SA 7.375%, 5/1/26 144A | 3,342,000 | 3,475 | ||||||
Sprint Communications, Inc. 11.500%, 11/15/21 | 400,000 | 415 | ||||||
Sprint Corp. | 100,000 | 115 | ||||||
7.250%, 9/15/21 | 700,000 | 710 | ||||||
7.875%, 9/15/23 | 500,000 | 568 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A | 1,300,000 | 1,495 | ||||||
Summer (BC) Bidco B LLC 5.500%, 10/31/26 144A | 400,000 | 407 | ||||||
Time Warner Cable LLC | 300,000 | 388 | ||||||
6.750%, 6/15/39 | 200,000 | 278 | ||||||
UPC Broadband Finco BV 4.875%, 7/15/31 144A | 4,800,000 | 4,811 | ||||||
Virgin Media Secured Finance PLC | 1,200,000 | 1,644 | ||||||
4.250%, 1/15/30 144A GBP ¥ | 3,200,000 | 4,407 | ||||||
5.000%, 4/15/27 GBP §,¥ | 500,000 | 718 | ||||||
Vmed O2 UK Financing I PLC 4.750%, 7/15/31 144A | 1,100,000 | 1,116 | ||||||
VMED O2 UK Financing I PLC | 1,200,000 | 1,426 | ||||||
4.000%, 1/31/29 144A GBP ¥ | 2,600,000 | 3,554 | ||||||
4.500%, 7/15/31 144A GBP ¥ | 400,000 | 555 | ||||||
Vodafone Group PLC 7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79 | 1,700,000 | 2,060 | ||||||
|
| |||||||
Total | 62,601 | |||||||
|
| |||||||
Consumer, Cyclical (7.8%) | ||||||||
Adient Global Holdings, Ltd. | 400,000 | 488 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
Air Canada Pass Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A | 937,148 | 1,016 | ||||||
Alaska Airlines Pass Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A | 192,161 | 213 | ||||||
American Airlines Pass Through Trust, Series 2014-1, Class A 3.700%, 4/1/28 | 195,286 | 198 | ||||||
American Airlines Pass Through Trust, Series 2015-1, Class A 3.375%, 11/1/28 | 350,821 | 348 | ||||||
American Airlines Pass Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29 | 864,182 | 880 | ||||||
American Airlines Pass Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31 | 167,527 | 170 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A | 300,000 | 318 | ||||||
BMW Finance NV 2.250%, 8/12/22 144A | 400,000 | 408 | ||||||
British Airways Pass Through Trust, Series 2020-1, Class A 4.250%, 5/15/34 144A | 118,536 | 128 | ||||||
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A | 400,000 | 421 | ||||||
Delta Air Lines, Inc. 7.000%, 5/1/25 144A | 1,500,000 | 1,750 | ||||||
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.500%, 10/20/25 144A | 300,000 | 322 | ||||||
FCE Bank PLC 0.869%, 9/13/21 EUR §,¥ | 400,000 | 475 | ||||||
Ford Motor Credit Co. LLC | 400,000 | 471 | ||||||
0.157%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ¥ | 1,300,000 | 1,499 | ||||||
0.189%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ¥ | 100,000 | 117 | ||||||
1.068%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21 | 200,000 | 200 | ||||||
1.391%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23 | 600,000 | 598 | ||||||
1.744%, 7/19/24 EUR ¥ | 200,000 | 240 | ||||||
2.330%, 11/25/25 EUR ¥ | 100,000 | 122 | ||||||
2.386%, 2/17/26 EUR ¥ | 100,000 | 123 | ||||||
2.748%, 6/14/24 GBP ¥ | 700,000 | 982 | ||||||
3.021%, 3/6/24 EUR ¥ | 900,000 | 1,118 | ||||||
3.096%, 5/4/23 | 500,000 | 510 | ||||||
3.250%, 9/15/25 EUR ¥ | 300,000 | 381 | ||||||
3.340%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22 | 200,000 | 202 | ||||||
3.350%, 11/1/22 | 1,400,000 | 1,435 | ||||||
3.625%, 6/17/31 | 2,600,000 | 2,650 | ||||||
4.063%, 11/1/24 b | 3,200,000 | 3,404 | ||||||
4.134%, 8/4/25 | 200,000 | 214 | ||||||
4.389%, 1/8/26 | 800,000 | 864 | ||||||
4.535%, 3/6/25 GBP ¥ | 100,000 | 148 | ||||||
5.584%, 3/18/24 | 600,000 | 657 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
5.596%, 1/7/22 | 1,500,000 | 1,531 | ||||||
Fortune Star BVI, Ltd. 5.050%, 1/27/27 § | 2,000,000 | 2,021 | ||||||
General Motors Financial Co., Inc. 5.100%, 1/17/24 | 1,200,000 | 1,321 | ||||||
Hawaiian Airlines, Series 2020-1, Class A 7.375%, 9/15/27 144A | 942,613 | 1,074 | ||||||
Hyatt Hotels Corp. 3.135%, (ICE LIBOR USD 3 Month plus 3.000%), 9/1/22 | 700,000 | 703 | ||||||
IHO Verwaltungs GmbH | 800,000 | 963 | ||||||
3.750%, 9/15/26 EUR §,¥ | 4,600,000 | 5,563 | ||||||
Jaguar Land Rover Automotive PLC | 100,000 | 141 | ||||||
5.875%, 11/15/24 144A EUR ¥ | 1,600,000 | 2,084 | ||||||
5.875%, 11/15/24 EUR §,¥ | 700,000 | 912 | ||||||
JetBlue Airways Corp. 4.000%, 5/15/34 | 870,553 | 960 | ||||||
John Lewis PLC 4.250%, 12/18/34 GBP §,¥ | 1,000,000 | 1,439 | ||||||
Las Vegas Sands Corp. | 100,000 | 106 | ||||||
3.900%, 8/8/29 | 100,000 | 106 | ||||||
Marks & Spencer PLC | 400,000 | 592 | ||||||
6.000%, 6/12/25 GBP §,¥ | 1,000,000 | 1,555 | ||||||
Marriott Ownership Resorts, Inc. 6.500%, 9/15/26 | 150,000 | 156 | ||||||
Mattel, Inc. 3.375%, 4/1/26 144A | 100,000 | 104 | ||||||
Melco Resorts Finance, Ltd. | 400,000 | 409 | ||||||
5.375%, 12/4/29 144A | 700,000 | 738 | ||||||
MGM Resorts International 7.750%, 3/15/22 | 300,000 | 314 | ||||||
Mileage Plus Holdings LLC 6.500%, 6/20/27 144A | 700,000 | 771 | ||||||
Mitchells & Butlers Finance PLC | 1,119,602 | 1,452 | ||||||
0.569%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 § | 203,564 | 191 | ||||||
6.469%, 9/15/32 GBP §,¥ | 200,000 | 315 | ||||||
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A | 400,000 | 403 | ||||||
Nissan Motor Co., Ltd. | 100,000 | 129 | ||||||
3.201%, 9/17/28 144A EUR ¥ | 500,000 | 671 | ||||||
4.345%, 9/17/27 144A | 6,400,000 | 7,035 | ||||||
4.810%, 9/17/30 144A | 500,000 | 565 | ||||||
QVC, Inc. 4.375%, 3/15/23 | 1,075,000 | 1,134 | ||||||
Renault SA | 900,000 | 1,051 | ||||||
2.375%, 5/25/26 EUR §,¥ | 4,800,000 | 5,768 | ||||||
Sands China, Ltd. | 1,700,000 | 1,816 | ||||||
4.600%, 8/8/23 | 300,000 | 319 | ||||||
5.400%, 8/8/28 b | 3,200,000 | 3,714 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Cyclical continued | ||||||||
Southwest Airlines Co. | 1,000,000 | 1,176 | ||||||
5.250%, 5/4/25 | 1,000,000 | 1,141 | ||||||
Toll Brothers Finance Corp. | 100,000 | 110 | ||||||
4.875%, 3/15/27 | 1,200,000 | 1,362 | ||||||
Travis Perkins PLC 4.500%, 9/7/23 GBP §,¥ | 1,900,000 | 2,802 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000%, 10/11/27 | 669,544 | 706 | ||||||
United Airlines Pass-Through Trust, Series 2019-2, Class A 2.900%, 11/1/29 | 95,568 | 95 | ||||||
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29 | 2,759,785 | 3,062 | ||||||
United Airlines, Inc. | 200,000 | 207 | ||||||
4.625%, 4/15/29 144A | 500,000 | 517 | ||||||
US Airways Pass-Through Trust, Series 2012- 1, Class A 5.900%, 4/1/26 | 729,827 | 763 | ||||||
Volkswagen Bank GmbH 1.250%, 6/10/24 EUR §,¥ | 3,000,000 | 3,687 | ||||||
Volkswagen Financial Services Aktiengesellschaft 0.875%, 4/12/23 EUR §,¥ | 200,000 | 241 | ||||||
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR §,¥ | 1,800,000 | 2,279 | ||||||
Wynn Macau, Ltd. | 200,000 | 202 | ||||||
5.125%, 12/15/29 144A | 1,100,000 | 1,133 | ||||||
5.500%, 1/15/26 144A | 200,000 | 210 | ||||||
5.500%, 1/15/26 § | 500,000 | 524 | ||||||
5.500%, 10/1/27 144A | 200,000 | 208 | ||||||
5.500%, 10/1/27 § | 200,000 | 208 | ||||||
5.625%, 8/26/28 144A | 300,000 | 313 | ||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A | 800,000 | 845 | ||||||
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,¥ | 2,000,000 | 2,396 | ||||||
ZF Finance GmbH 2.750%, 5/25/27 EUR §,¥ | 4,300,000 | 5,296 | ||||||
|
| |||||||
Total | 100,679 | |||||||
|
| |||||||
Consumer, Non-cyclical (3.9%) | ||||||||
AA Bond Co., Ltd. | 100,000 | 140 | ||||||
2.875%, 7/31/43 GBP §,¥ | 2,900,000 | 4,029 | ||||||
4.875%, 7/31/43 GBP §,¥ | 1,200,000 | 1,765 | ||||||
AbbVie, Inc. 1.500%, 11/15/23 EUR ¥ | 400,000 | 492 | ||||||
Abertis Infraestructuras SA | 500,000 | 623 | ||||||
1.875%, 3/26/32 EUR §,¥ | 600,000 | 757 | ||||||
3.000%, 3/27/31 EUR §,¥ | 600,000 | 831 | ||||||
3.375%, 11/27/26 GBP §,¥ | 2,100,000 | 3,146 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Consumer, Non-cyclical continued | ||||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR ¥ | 1,400,000 | 1,645 | ||||||
Atlantia SpA | 1,200,000 | 1,459 | ||||||
1.875%, 7/13/27 EUR §,¥ | 400,000 | 491 | ||||||
1.875%, 2/12/28 EUR §,¥ | 4,400,000 | 5,358 | ||||||
Bacardi, Ltd. 4.700%, 5/15/28 144A | 2,900,000 | 3,374 | ||||||
BAT Capital Corp. | 100,000 | 106 | ||||||
3.557%, 8/15/27 | 500,000 | 535 | ||||||
Bausch Health Cos., Inc. 4.875%, 6/1/28 144A | 300,000 | 307 | ||||||
Bellis Acquisition Co. PLC 3.250%, 2/16/26 144A GBP ¥ | 4,000,000 | 5,540 | ||||||
Centene Corp. | 200,000 | 211 | ||||||
4.625%, 12/15/29 | 500,000 | 550 | ||||||
Constellation Brands, Inc. 3.700%, 12/6/26 | 200,000 | 222 | ||||||
CVS Pass-Through Trust | 648,814 | 784 | ||||||
7.507%, 1/10/32 144A | 66,147 | 84 | ||||||
DaVita HealthCare Partners, Inc. 4.625%, 6/1/30 144A | 1,900,000 | 1,954 | ||||||
Gruenenthal GmbH 3.625%, 11/15/26 144A EUR ¥ | 400,000 | 488 | ||||||
HCA, Inc. 4.750%, 5/1/23 | 2,655,000 | 2,845 | ||||||
Imperial Brands Finance PLC 3.500%, 7/26/26 144A | 200,000 | 214 | ||||||
Loxam SAS | 100,000 | 119 | ||||||
3.250%, 1/14/25 EUR §,¥ | 900,000 | 1,074 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | 600,000 | 602 | ||||||
4.750%, 7/15/31 144A | 900,000 | 902 | ||||||
Organon Finance 1 LLC | 400,000 | 481 | ||||||
4.125%, 4/30/28 144A | 1,100,000 | 1,122 | ||||||
Perrigo Finance Unlimited Co. 3.150%, 6/15/30 | 200,000 | 204 | ||||||
Q-Park Holding I BV 2.000%, 3/1/27 EUR §,¥ | 800,000 | 902 | ||||||
Sysco Corp. 5.650%, 4/1/25 | 1,100,000 | 1,274 | ||||||
Teva Pharmaceutical Finance Co. BV 3.650%, 11/10/21 | 2,800,000 | 2,807 | ||||||
Teva Pharmaceutical Finance IV BV 3.650%, 11/10/21 | 700,000 | 705 | ||||||
Teva Pharmaceutical Finance Netherlands II BV | 600,000 | 667 | ||||||
1.250%, 3/31/23 EUR §,¥ | 720,000 | 835 | ||||||
4.500%, 3/1/25 EUR ¥ | 800,000 | 979 | ||||||
6.000%, 1/31/25 EUR ¥ | 200,000 | 255 | ||||||
|
| |||||||
Total | 50,878 | |||||||
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Diversified (0.1%) | ||||||||
CVS Pass-Through Trust 4.704%, 1/10/36 144A | 384,883 | 436 | ||||||
Stena International SA 6.125%, 2/1/25 144A | 400,000 | 416 | ||||||
|
| |||||||
Total | 852 | |||||||
|
| |||||||
Energy (9.1%) | ||||||||
Aker BP ASA 3.750%, 1/15/30 144A | 400,000 | 432 | ||||||
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A | 100,000 | 105 | ||||||
Boardwalk Pipelines LP 3.400%, 2/15/31 | 200,000 | 212 | ||||||
Cheniere Corpus Christi Holdings LLC | 100,000 | 116 | ||||||
Cheniere Energy Partners LP 4.000%, 3/1/31 144A | 1,400,000 | 1,463 | ||||||
Constellation Oil Services Holding SA | 253,248 | 63 | ||||||
Continental Resources, Inc. 4.375%, 1/15/28 | 1,400,000 | 1,549 | ||||||
Dolphin Energy, Ltd. 5.500%, 12/15/21 144A | 1,000,000 | 1,021 | ||||||
El Paso Natural Gas Co. LLC 8.375%, 6/15/32 | 200,000 | 294 | ||||||
Enable Midstream Partners LP 4.950%, 5/15/28 | 1,200,000 | 1,374 | ||||||
Energy Transfer Operating LP | 100,000 | 105 | ||||||
3.600%, 2/1/23 | 100,000 | 104 | ||||||
3.750%, 5/15/30 | 200,000 | 217 | ||||||
5.000%, 5/15/50 | 200,000 | 231 | ||||||
5.250%, 4/15/29 | 100,000 | 118 | ||||||
6.625%, 10/15/36 | 500,000 | 664 | ||||||
7.500%, 7/1/38 | 1,700,000 | 2,394 | ||||||
EQT Corp. 7.375%, 2/1/25 b | 5,500,000 | 6,416 | ||||||
Gazprom Neft OAO Via GPN Capital SA | 3,000,000 | 3,303 | ||||||
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A | 500,000 | 526 | ||||||
Greenko Solar Mauritius, Ltd. | 1,000,000 | 1,028 | ||||||
Indigo Natural Resources LLC 5.375%, 2/1/29 144A | 100,000 | 105 | ||||||
Kinder Morgan Energy Partners LP | 2,382,000 | 3,348 | ||||||
Kinder Morgan, Inc. 7.750%, 1/15/32 | 1,216,000 | 1,744 | ||||||
Midwest Connector Capital Company LLC | 300,000 | 305 | ||||||
3.900%, 4/1/24 144A | 200,000 | 209 | ||||||
MPLX LP 4.250%, 12/1/27 | 100,000 | 113 | ||||||
Newfield Exploration Co. 5.625%, 7/1/24 | 2,100,000 | 2,338 | ||||||
NGPL PipeCo LLC 7.768%, 12/15/37 144A | 3,900,000 | 5,579 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
Noble Corp. PLC | 32,532 | 36 | ||||||
11.000%, 2/15/28 | 45,537 | 50 | ||||||
NuStar Logistics LP | 1,400,000 | 1,499 | ||||||
6.000%, 6/1/26 | 200,000 | 217 | ||||||
Occidental Petroleum Corp. | 400,000 | 403 | ||||||
3.400%, 4/15/26 | 500,000 | 511 | ||||||
3.500%, 8/15/29 | 2,140,000 | 2,148 | ||||||
5.500%, 12/1/25 b | 4,300,000 | 4,752 | ||||||
5.875%, 9/1/25 | 700,000 | 779 | ||||||
Odebrecht Drilling Norbe VIII/IX, Ltd. | 34,023 | 34 | ||||||
7.350%, 12/1/26 §,Þ | 1,655,121 | 844 | ||||||
Odebrecht Oil & Gas Finance, Ltd. | 782,000 | 8 | ||||||
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 600,000 | 627 | ||||||
Pertamina Persero PT 6.500%, 11/7/48 144A | 3,800,000 | 5,039 | ||||||
Petrobras Global Finance BV | 1,800,000 | 2,731 | ||||||
5.500%, 6/10/51 | 100,000 | 100 | ||||||
6.250%, 12/14/26 GBP ¥ | 200,000 | 316 | ||||||
6.625%, 1/16/34 GBP ¥ | 300,000 | 477 | ||||||
6.900%, 3/19/49 | 300,000 | 358 | ||||||
Petroleos de Venezuela SA | 6,500,000 | 276 | ||||||
5.500%, 4/12/37 §,j | 4,300,000 | 183 | ||||||
Petroleos Mexicanos | 1,100,000 | 1,216 | ||||||
3.750%, 2/21/24 EUR §,¥ | 400,000 | 489 | ||||||
4.750%, 2/26/29 EUR §,¥ | 3,500,000 | 4,114 | ||||||
4.875%, 2/21/28 EUR §,¥ | 600,000 | 721 | ||||||
5.625%, 1/23/46 | 378,000 | 308 | ||||||
5.950%, 1/28/31 b | 4,300,000 | 4,177 | ||||||
6.490%, 1/23/27 | 700,000 | 739 | ||||||
6.500%, 3/13/27 b | 3,200,000 | 3,378 | ||||||
6.625%, 6/15/35 b | 4,200,000 | 4,056 | ||||||
6.625%, 6/15/38 | 2,000,000 | 1,850 | ||||||
6.750%, 9/21/47 | 2,900,000 | 2,567 | ||||||
6.840%, 1/23/30 | 1,600,000 | 1,649 | ||||||
7.690%, 1/23/50 | 1,880,000 | 1,810 | ||||||
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A | 200,000 | 205 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. 6.650%, 1/15/37 | 277,000 | 363 | ||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A | 2,210,530 | 2,531 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. | 300,000 | 322 | ||||||
5.000%, 10/1/22 | 1,100,000 | 1,147 | ||||||
5.875%, 3/1/22 | 800,000 | 817 | ||||||
Rio Oil Finance Trust, Series 2014-1 | 1,049,843 | 1,160 | ||||||
9.250%, 7/6/24 § | 918,612 | 1,015 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Energy continued | ||||||||
Rio Oil Finance Trust, Series 2014-3 9.750%, 1/6/27 § | 380,776 | 449 | ||||||
SA Global Sukuk, Ltd. 2.694%, 6/17/31 144A | 500,000 | 506 | ||||||
Sabine Pass Liquefaction LLC | 700,000 | 808 | ||||||
5.625%, 3/1/25 b | 4,900,000 | 5,600 | ||||||
5.750%, 5/15/24 | 800,000 | 898 | ||||||
5.875%, 6/30/26 | 400,000 | 474 | ||||||
Santos Finance, Ltd. 3.649%, 4/29/31 144A | 700,000 | 716 | ||||||
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A | 8,400,000 | 8,547 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30 | 1,200,000 | 1,320 | ||||||
Transocean Guardian, Ltd. 5.875%, 1/15/24 144A | 1,486,250 | 1,445 | ||||||
Transocean Poseidon, Ltd. 6.875%, 2/1/27 144A | 200,000 | 201 | ||||||
Valaris, Ltd. 8.250%, 4/30/28 | 10,000 | 10 | ||||||
Western Midstream Operating, LP | 1,200,000 | 1,268 | ||||||
6.500%, 2/1/50 b | 1,900,000 | 2,200 | ||||||
Williams Partners LP 3.600%, 3/15/22 | 2,500,000 | 2,542 | ||||||
|
| |||||||
Total | 118,482 | |||||||
|
| |||||||
Financial (22.8%) | ||||||||
ADLER Group SA 2.750%, 11/13/26 EUR §,¥ | 1,400,000 | 1,679 | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3,600,000 | 3,779 | ||||||
3.650%, 7/21/27 | 500,000 | 534 | ||||||
4.450%, 4/3/26 | 900,000 | 988 | ||||||
4.625%, 10/15/27 | 500,000 | 560 | ||||||
4.875%, 1/16/24 | 1,200,000 | 1,306 | ||||||
Aircastle, Ltd. | 600,000 | 603 | ||||||
4.250%, 6/15/26 | 300,000 | 326 | ||||||
5.250%, 8/11/25 144A | 2,400,000 | 2,696 | ||||||
Ally Financial, Inc. | 400,000 | 417 | ||||||
8.000%, 11/1/31 | 1,371,000 | 1,970 | ||||||
Athora Netherlands NV | 700,000 | 866 | ||||||
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,¥ | 200,000 | 272 | ||||||
Aviation Capital Group LLC 5.500%, 12/15/24 144A | 1,000,000 | 1,130 | ||||||
Avolon Holdings Funding, Ltd. | 500,000 | 541 | ||||||
5.500%, 1/15/23 144A | 800,000 | 850 | ||||||
Banca Monte dei Paschi di Siena SpA | 300,000 | 353 | ||||||
2.625%, 4/28/25 EUR §,¥ | 3,300,000 | 3,967 | ||||||
3.625%, 9/24/24 EUR §,¥ | 3,800,000 | 4,691 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,¥ | 5,700,000 | 5,542 | ||||||
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,¥ | 500,000 | 544 | ||||||
Banco Bilbao Vizcaya Argentaria SA 6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,¥ | 1,600,000 | 2,075 | ||||||
Banco Bradesco SA 2.850%, 1/27/23 144A | 600,000 | 612 | ||||||
Banco BTG Pactual SA 4.500%, 1/10/25 144A | 500,000 | 524 | ||||||
Banco de Sabadell SA | 200,000 | 244 | ||||||
1.750%, 5/10/24 EUR §,¥ | 900,000 | 1,107 | ||||||
Banco do Brasil SA 4.625%, 1/15/25 144A | 1,100,000 | 1,174 | ||||||
Banco Votorantim SA 4.500%, 9/24/24 § | 200,000 | 211 | ||||||
Bank of America Corp. | 973,000 | 1,060 | ||||||
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ,b | 4,500,000 | 5,150 | ||||||
Barclays Bank PLC 7.625%, 11/21/22 | 488,000 | 532 | ||||||
Barclays PLC | 200,000 | 283 | ||||||
3.250%, 2/12/27 GBP §,¥ | 1,500,000 | 2,257 | ||||||
3.375%, (1 Year EUR Annual Swap Rate plus 3.700%), 4/2/25 EUR §,¥ | 1,200,000 | 1,550 | ||||||
3.650%, 3/16/25 b | 3,100,000 | 3,357 | ||||||
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus | 500,000 | 554 | ||||||
7.875%, (5 Year GBP Swap Rate plus 6.099%), 9/15/22 GBP §,µ,¥ | 400,000 | 594 | ||||||
7.875%, (5 Year GBP Swap Rate plus 6.772%), 3/15/22 GBP §,µ | 900,000 | 938 | ||||||
BNP Paribas SA | 1,100,000 | 1,092 | ||||||
2.219%, (US SOFR plus 2.074%), 6/9/26 144A | 200,000 | 206 | ||||||
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A | 6,400,000 | 6,982 | ||||||
BPCE SA 2.375%, 1/14/25 144A | 200,000 | 208 | ||||||
Cantor Fitzgerald LP | 100,000 | 110 | ||||||
6.500%, 6/17/22 144A | 200,000 | 211 | ||||||
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ¥ | 200,000 | 246 | ||||||
CIT Group, Inc. | 272,000 | 284 | ||||||
5.000%, 8/1/23 | 100,000 | 108 | ||||||
Citigroup, Inc. | 200,000 | 247 | ||||||
3.400%, 5/1/26 | 400,000 | 437 |
The Accompanying Notes are an Integral Part of the Financial Statements.
150
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Multi-Sector Bond Portfolio
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Corestate Capital Holding SA | 700,000 | 717 | ||||||
Country Garden Holdings Co., Ltd. | 4,600,000 | 4,615 | ||||||
4.750%, 1/17/23 § | 200,000 | 205 | ||||||
6.500%, 4/8/24 § | 600,000 | 636 | ||||||
CPI Property Group SA | 700,000 | 853 | ||||||
2.125%, 10/4/24 EUR §,¥ | 400,000 | 498 | ||||||
4.750%, 3/8/23 § | 1,300,000 | 1,386 | ||||||
Credit Agricole SA 1.907%, (SOFR Index plus 1.676%), 6/16/26 144A | 500,000 | 510 | ||||||
Credit Suisse AG | 7,400,000 | 8,174 | ||||||
6.500%, 8/8/23 § | 1,700,000 | 1,878 | ||||||
DAE Sukuk (DIFC), Ltd. 3.750%, 2/15/26 144A | 1,000,000 | 1,057 | ||||||
Deutsche Annington Finance BV 5.000%, 10/2/23 144A | 300,000 | 325 | ||||||
Deutsche Bank AG | 2,900,000 | 2,930 | ||||||
1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,¥ | 2,500,000 | 3,006 | ||||||
1.625%, 1/20/27 EUR §,¥ | 100,000 | 125 | ||||||
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,¥ | 6,700,000 | 8,390 | ||||||
2.625%, 12/16/24 GBP §,¥ | 500,000 | 722 | ||||||
3.035%, (US SOFR plus 1.718%), 5/28/32 | 200,000 | 203 | ||||||
3.547%, (US SOFR plus 3.043%), 9/18/31 | 1,300,000 | 1,384 | ||||||
3.729%, (US SOFR plus 2.757%), 1/14/32 | 1,500,000 | 1,526 | ||||||
3.961%, (US SOFR plus 2.581%), 11/26/25 | 1,000,000 | 1,081 | ||||||
5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,¥ | 4,500,000 | 6,312 | ||||||
5.882%, (US SOFR plus 5.438%), 7/8/31 | 400,000 | 468 | ||||||
The Doctors Co. 6.500%, 10/15/23 144A | 300,000 | 322 | ||||||
EPR Properties 3.750%, 8/15/29 | 100,000 | 100 | ||||||
Fairfax Financial Holdings, Ltd. | 500,000 | 650 | ||||||
2.750%, 3/29/28 EUR §,¥ | 1,200,000 | 1,561 | ||||||
Fairstone Financial, Inc. 7.875%, 7/15/24 144A | 100,000 | 104 | ||||||
Fidelity National Financial, Inc. 3.400%, 6/15/30 | 200,000 | 215 | ||||||
Freedom Mortgage Corp. | 500,000 | 503 | ||||||
7.625%, 5/1/26 144A | 2,100,000 | 2,186 | ||||||
8.125%, 11/15/24 144A | 3,690,000 | 3,815 | ||||||
8.250%, 4/15/25 144A | 1,000,000 | 1,044 | ||||||
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35 | 200,000 | 240 | ||||||
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ¥ | 800,000 | 1,513 | ||||||
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR §,¥ | 3,900,000 | 4,960 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
GLP Capital LP / GLP Financing II, Inc. | 100,000 | 106 | ||||||
5.750%, 6/1/28 | 400,000 | 476 | ||||||
The Goldman Sachs Group, Inc. | 900,000 | 1,069 | ||||||
0.082%, (Euribor 3 Month ACT/360 plus 0.620%), 9/26/23 EUR §,¥ | 300,000 | 357 | ||||||
2.125%, 9/30/24 EUR §,¥ | 1,200,000 | 1,518 | ||||||
3.375%, 3/27/25 EUR §,¥ | 200,000 | 266 | ||||||
Growthpoint Properties International Pty, Ltd. | 300,000 | 321 | ||||||
5.872%, 5/2/23 § | 1,600,000 | 1,713 | ||||||
Hospitality Properties Trust | 200,000 | 201 | ||||||
4.750%, 10/1/26 b | 4,900,000 | 4,839 | ||||||
HSBC Holdings PLC | 200,000 | 203 | ||||||
2.099%, (US SOFR plus 1.929%), 6/4/26 | 200,000 | 205 | ||||||
2.804%, (US SOFR plus 1.187%), 5/24/32 b | 3,300,000 | 3,387 | ||||||
3.900%, 5/25/26 | 2,600,000 | 2,891 | ||||||
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30 b | 4,900,000 | 5,484 | ||||||
4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.222%), 3/9/26 µ | 200,000 | 203 | ||||||
4.300%, 3/8/26 b | 3,000,000 | 3,384 | ||||||
Huarong Finance 2019 Co., Ltd. | 3,800,000 | 2,831 | ||||||
2.125%, 9/30/23 § | 600,000 | 456 | ||||||
2.500%, 2/24/23 § | 800,000 | 616 | ||||||
ING Groep NV | 1,800,000 | 1,994 | ||||||
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ | 900,000 | 992 | ||||||
6.875%, (5 Year ICE Swap Rate plus 5.124%), 4/16/22 §,µ | 200,000 | 208 | ||||||
International Lease Finance Corp. | 400,000 | 423 | ||||||
8.625%, 1/15/22 | 400,000 | 417 | ||||||
Intesa Sanpaolo SpA | 300,000 | 319 | ||||||
4.000%, 9/23/29 144A | 200,000 | 219 | ||||||
5.017%, 6/26/24 144A | 2,700,000 | 2,938 | ||||||
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,¥ | 4,050,000 | 5,282 | ||||||
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,¥ | 300,000 | 404 | ||||||
Itau Unibanco Holding SA 2.900%, 1/24/23 144A | 200,000 | 204 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. 6.250%, 6/3/26 144A | 1,400,000 | 1,463 | ||||||
Kaisa Group Holdings, Ltd. | 400,000 | 378 | ||||||
9.750%, 9/28/23 § | 600,000 | 592 | ||||||
10.875%, 7/23/23 § | 400,000 | 400 | ||||||
11.250%, 4/16/25 § | 3,500,000 | 3,309 |
The Accompanying Notes are an Integral Part of the Financial Statements.
151
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Multi-Sector Bond Portfolio
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
Kennedy Wilson Europe Real Estate PLC 3.950%, 6/30/22 GBP §,¥ | 1,604,843 | 2,265 | ||||||
LeasePlan Corp. NV 2.875%, 10/24/24 144A | 300,000 | 315 | ||||||
Liberty Mutual Finance Europe DAC 1.750%, 3/27/24 EUR §,¥ | 100,000 | 124 | ||||||
Lincoln Financing SARL 3.625%, 4/1/24 EUR §,¥ | 4,800,000 | 5,750 | ||||||
Lloyds Banking Group PLC | 500,000 | 708 | ||||||
2.250%, 10/16/24 GBP §,¥ | 2,000,000 | 2,880 | ||||||
3.500%, (1 Year EUR Annual Swap Rate plus 3.750%), 4/1/26 EUR §,¥ | 200,000 | 267 | ||||||
4.450%, 5/8/25 | 2,800,000 | 3,142 | ||||||
Logicor Financing SARL | 600,000 | 827 | ||||||
Marsh & McLennan Cos., Inc. | 100,000 | 125 | ||||||
Morgan Stanley 4.000%, 7/23/25 b | 3,600,000 | 4,004 | ||||||
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A | 4,500,000 | 4,827 | ||||||
NatWest Group PLC | 1,600,000 | 1,925 | ||||||
2.500%, 3/22/23 EUR §,¥ | 100,000 | 124 | ||||||
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24 | 200,000 | 215 | ||||||
4.800%, 4/5/26 b | 2,800,000 | 3,206 | ||||||
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 b | 3,700,000 | 4,333 | ||||||
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.625%), 12/29/25 µ | 500,000 | 557 | ||||||
8.625%, (USD 5 Year Swap Rate plus 7.598%), 8/15/21 µ | 2,100,000 | 2,115 | ||||||
Navient Corp. 7.250%, 1/25/22 | 400,000 | 415 | ||||||
New Metro Global, Ltd. 4.500%, 5/2/26 § | 1,700,000 | 1,667 | ||||||
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 1/15/26 EUR §,µ,¥ | 2,600,000 | 3,524 | ||||||
OMEGA Healthcare Investors, Inc. | 100,000 | 109 | ||||||
4.950%, 4/1/24 | 100,000 | 109 | ||||||
OneMain Finance Corp. | 1,100,000 | 1,108 | ||||||
4.000%, 9/15/30 | 700,000 | 694 | ||||||
Oxford Finance LLC / Oxford Finance Co- Issuer II, Inc. 6.375%, 12/15/22 144A | 200,000 | 201 | ||||||
Pacific Life Global Funding II 1.200%, 6/24/25 144A | 200,000 | 200 | ||||||
Park Aerospace Holdings, Ltd. | 3,900,000 | 4,100 | ||||||
5.250%, 8/15/22 144A | 650,000 | 680 | ||||||
5.500%, 2/15/24 144A | 400,000 | 440 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
RLJ Lodging Trust LP 3.750%, 7/1/26 144A | 200,000 | 202 | ||||||
Santander UK Group Holdings PLC | 400,000 | 479 | ||||||
2.896%, (US SOFR plus 1.475%), 3/15/32 | 800,000 | 824 | ||||||
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 b | 4,000,000 | 4,399 | ||||||
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,¥ | 1,390,000 | 2,144 | ||||||
Sberbank of Russia Via SB Capital SA 6.125%, 2/7/22 § | 1,700,000 | 1,754 | ||||||
Seazen Group, Ltd. 6.000%, 8/12/24 § | 200,000 | 208 | ||||||
Sitka Holdings LLC 1.000%, (ICE LIBOR USD 3 Month plus 4.500%), 7/6/26 144A | 600,000 | 599 | ||||||
Societe Generale SA 7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ | 300,000 | 328 | ||||||
Springleaf Finance Corp. | 500,000 | 538 | ||||||
6.875%, 3/15/25 | 1,900,000 | 2,144 | ||||||
7.125%, 3/15/26 | 1,700,000 | 1,980 | ||||||
Standard Chartered PLC 7.500%, (USD 5 Year Swap Rate plus 6.301%), 4/2/22 144A µ | 200,000 | 208 | ||||||
Sunac China Holdings, Ltd. | 2,000,000 | 1,965 | ||||||
6.650%, 8/3/24 § | 600,000 | 602 | ||||||
7.250%, 6/14/22 § | 2,800,000 | 2,859 | ||||||
7.350%, 7/19/21 § | 200,000 | 200 | ||||||
8.350%, 4/19/23 § | 1,600,000 | 1,657 | ||||||
Synovus Bank 2.289%, (US SOFR plus 0.945%), 2/10/23 | 250,000 | 252 | ||||||
Tesco Property Finance 3 PLC | 94,921 | 176 | ||||||
Tesco Property Finance 6 PLC | 2,618,614 | 4,728 | ||||||
TP ICAP PLC 5.250%, 1/26/24 GBP §,¥ | 3,700,000 | 5,599 | ||||||
TrustCo Bank Corp. 6.390%, 1/15/50 144A | 200,000 | 234 | ||||||
UBS AG 7.625%, 8/17/22 | 2,400,000 | 2,582 | ||||||
UBS Group Funding AG 4.125%, 9/24/25 144A | 700,000 | 781 | ||||||
UniCredit SpA | 300,000 | 378 | ||||||
2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A | 2,900,000 | 2,940 | ||||||
4.086%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A | 1,550,000 | 1,578 | ||||||
6.572%, 1/14/22 144A | 700,000 | 722 | ||||||
7.830%, 12/4/23 144A | 5,650,000 | 6,516 | ||||||
Unipol Gruppo SpA 3.250%, 9/23/30 EUR §,¥ | 3,900,000 | 5,199 | ||||||
The Unique Pub Finance Co. PLC 5.659%, 6/30/27 GBP §,¥ | 382,342 | 588 |
The Accompanying Notes are an Integral Part of the Financial Statements.
152
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Multi-Sector Bond Portfolio
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Financial continued | ||||||||
7.395%, 3/28/24 GBP §,¥ | 369,920 | 540 | ||||||
Virgin Money UK PLC | 100,000 | 145 | ||||||
3.375%, (1 Year GBP Swap Rate plus 1.868%), 4/24/26 GBP §,¥ | 100,000 | 147 | ||||||
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,¥ | 500,000 | 757 | ||||||
4.000%, (1 Year UK Gilts plus | 200,000 | 306 | ||||||
Wells Fargo & Co. 1.338%, (Euribor 3 Month ACT/360 plus 1.670%), 5/4/25 EUR §,¥ | 1,500,000 | 1,844 | ||||||
Weyerhaeuser Co. 7.375%, 3/15/32 b | 1,500,000 | 2,165 | ||||||
Yango Justice International, Ltd. 7.500%, 4/15/24 § | 4,200,000 | 4,045 | ||||||
|
| |||||||
Total | 296,517 | |||||||
|
| |||||||
Industrial (1.7%) | ||||||||
Aeropuerto Internacional de Tocumen SA 6.000%, 11/18/48 144A | 295,873 | 321 | ||||||
Berry Global, Inc. 1.570%, 1/15/26 144A | 100,000 | 100 | ||||||
Bombardier, Inc. | 200,000 | 200 | ||||||
6.125%, 1/15/23 144A | 161,000 | 170 | ||||||
7.500%, 12/1/24 144A | 200,000 | 209 | ||||||
DAE Funding LLC | 1,700,000 | 1,697 | ||||||
1.625%, 2/15/24 144A | 1,000,000 | 1,014 | ||||||
2.625%, 3/20/25 144A | 500,000 | 509 | ||||||
3.375%, 3/20/28 144A | 700,000 | 715 | ||||||
5.000%, 8/1/24 144A | 400,000 | 411 | ||||||
Empresa de Transporte de Pasajeros Metro SA | 1,400,000 | 1,582 | ||||||
Flex, Ltd. 3.750%, 2/1/26 | 700,000 | 765 | ||||||
Fortress Transportation & Infrastructure | 400,000 | 416 | ||||||
6.500%, 10/1/25 144A | 1,500,000 | 1,558 | ||||||
General Electric Co. | 100,000 | 122 | ||||||
4.125%, 9/19/35 EUR §,¥ | 500,000 | 800 | ||||||
5.250%, 12/7/28 GBP ¥ | 300,000 | 517 | ||||||
5.550%, 1/5/26 | 200,000 | 237 | ||||||
5.625%, 9/16/31 GBP ¥ | 200,000 | 360 | ||||||
6.875%, 1/10/39 | 14,000 | 21 | ||||||
Greif, Inc. 6.500%, 3/1/27 144A | 300,000 | 316 | ||||||
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A | 308,019 | 359 | ||||||
Rolls-Royce PLC | 5,300,000 | 6,186 | ||||||
4.625%, 2/16/26 144A EUR ¥ | 200,000 | 259 | ||||||
4.625%, 2/16/26 EUR §,¥ | 200,000 | 259 | ||||||
5.750%, 10/15/27 144A | 300,000 | 372 | ||||||
SIG Combibloc PurchaseCo SARL 2.125%, 6/18/25 144A EUR ¥ | 300,000 | 376 |
Corporate Bonds (55.0%) | Shares/ Par+ | Value $ (000’s) | ||||||
Industrial continued | ||||||||
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A | 200,000 | 202 | ||||||
Standard Industries, Inc. | 1,300,000 | 1,533 | ||||||
4.750%, 1/15/28 144A | 950,000 | 994 | ||||||
|
| |||||||
Total | 22,580 | |||||||
|
| |||||||
Technology (1.1%) | ||||||||
Broadcom, Inc. 2.450%, 2/15/31 144A | 700,000 | 688 | ||||||
Dell International LLC / EMC Corp. | 4,300,000 | 5,189 | ||||||
5.450%, 6/15/23 | 1,100,000 | 1,193 | ||||||
6.020%, 6/15/26 | 400,000 | 480 | ||||||
8.100%, 7/15/36 | 300,000 | 457 | ||||||
Lenovo Group, Ltd. 3.421%, 11/3/30 144A | 400,000 | 418 | ||||||
NXP BV / NXP Funding LLC | 1,700,000 | 1,872 | ||||||
5.350%, 3/1/26 144A | 1,600,000 | 1,867 | ||||||
VMware, Inc. | 300,000 | 335 | ||||||
4.650%, 5/15/27 | 1,400,000 | 1,607 | ||||||
4.700%, 5/15/30 | 100,000 | 118 | ||||||
|
| |||||||
Total | 14,224 | |||||||
|
| |||||||
Utilities (1.4%) | ||||||||
Adani Electricity Mumbai, Ltd. 3.949%, 2/12/30 144A | 300,000 | 299 | ||||||
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A | 300,000 | 310 | ||||||
Edison International 5.750%, 6/15/27 | 100,000 | 114 | ||||||
Electricite de France SA 4.500%, 9/21/28 144A | 900,000 | 1,048 | ||||||
FEL Energy VI SARL 5.750%, 12/1/40 § | 3,282,236 | 3,479 | ||||||
FirstEnergy Corp. 7.375%, 11/15/31 | 400,000 | 548 | ||||||
Nakilat, Inc. | 974,151 | 1,192 | ||||||
6.267%, 12/31/33 144A | 491,348 | 604 | ||||||
National Fuel Gas Co. 5.200%, 7/15/25 | 300,000 | 338 | ||||||
Pacific Gas & Electric Co. | 1,600,000 | 1,600 | ||||||
1.750%, 6/16/22 | 800,000 | 800 | ||||||
2.100%, 8/1/27 | 100,000 | 97 | ||||||
2.500%, 2/1/31 | 100,000 | 94 | ||||||
2.950%, 3/1/26 | 100,000 | 102 | ||||||
3.150%, 1/1/26 | 1,600,000 | 1,650 | ||||||
3.250%, 6/15/23 | 100,000 | 103 | ||||||
3.300%, 3/15/27 | 200,000 | 207 | ||||||
3.300%, 12/1/27 | 500,000 | 514 | ||||||
3.300%, 8/1/40 | 200,000 | 181 | ||||||
3.450%, 7/1/25 | 300,000 | 314 | ||||||
3.500%, 6/15/25 | 1,500,000 | 1,573 | ||||||
3.750%, 7/1/28 | 100,000 | 105 | ||||||
4.200%, 6/1/41 | 100,000 | 98 | ||||||
4.250%, 8/1/23 | 200,000 | 212 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Corporate Bonds (55.0%) | Shares/ Par + | Value $ (000’s) | ||||||
Utilities continued | ||||||||
4.250%, 3/15/46 | 100,000 | 95 | ||||||
4.450%, 4/15/42 | 300,000 | 297 | ||||||
4.550%, 7/1/30 | 500,000 | 535 | ||||||
Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A | 1,500,000 | 1,502 | ||||||
Puget Energy, Inc. 5.625%, 7/15/22 | 200,000 | 208 | ||||||
|
| |||||||
Total | 18,219 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $677,792) | 714,540 | |||||||
|
| |||||||
Convertible Corporate Bonds (0.4%) | ||||||||
Financial (0.4%) | ||||||||
Corestate Capital Holding SA 1.375%, 11/28/22 EUR §,¥ | 5,700,000 | 5,677 | ||||||
|
| |||||||
Total | 5,677 | |||||||
|
| |||||||
Total Convertible Corporate Bonds (Cost: $5,857) |
| 5,677 | ||||||
|
| |||||||
Governments (16.8%) | ||||||||
Governments (16.8%) | ||||||||
Abu Dhabi Government International Bond | 3,700,000 | 3,351 | ||||||
3.875%, 4/16/50 144A | 1,500,000 | 1,727 | ||||||
Albania Government International Bond 3.500%, 6/16/27 144A EUR ¥ | 1,400,000 | 1,782 | ||||||
Arab Republic of Egypt | 1,550,000 | 1,845 | ||||||
7.500%, 2/16/61 144A | 1,900,000 | 1,778 | ||||||
Argentine Republic Government International Bond | 5,922,164 | 1,874 | ||||||
0.125%, 7/9/41 ∑,b | 13,420,196 | 4,771 | ||||||
1.000%, 7/9/29 | 405,455 | 153 | ||||||
1.750%, 7/9/30 ∑ | 866,857 | 311 | ||||||
Australian Government 4.250%, 4/21/26 AUD §,¥ | 2,400,000 | 2,099 | ||||||
Autonomous Community of Catalonia 4.900%, 9/15/21 EUR ¥ | 800,000 | 958 | ||||||
Banque Centrale de Tunisie International Bond 5.625%, 2/17/24 EUR §,¥ | 300,000 | 332 | ||||||
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ¥ | 500,000 | 621 | ||||||
Colombia Government International Bond 5.000%, 6/15/45 b | 6,000,000 | 6,373 | ||||||
Dominican Republic International Bond | 550,000 | 566 | ||||||
4.875%, 9/23/32 § | 1,700,000 | 1,751 | ||||||
6.500%, 2/15/48 144A | 2,800,000 | 3,055 | ||||||
6.500%, 2/15/48 § | 900,000 | 982 | ||||||
6.875%, 1/29/26 § | 500,000 | 579 | ||||||
Ecuador Government International Bond | 323,958 | 179 | ||||||
0.500%, 7/31/35 144A | 2,674,620 | 1,832 | ||||||
0.500%, 7/31/40 144A | 1,225,800 | 758 | ||||||
Egypt Government International Bond | 600,000 | 742 | ||||||
6.375%, 4/11/31 144A EUR ¥ | 400,000 | 494 |
Governments (16.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Governments continued | ||||||||
6.375%, 4/11/31 EUR §,¥ | 2,100,000 | 2,593 | ||||||
Export-Import Bank of India 3.375%, 8/5/26 § | 600,000 | 639 | ||||||
Federal Republic of Nigeria | 700,000 | 700 | ||||||
7.875%, 2/16/32 § | 2,800,000 | 3,014 | ||||||
Ghana Government International Bond | 600,000 | 634 | ||||||
8.125%, 3/26/32 144A | 400,000 | 405 | ||||||
8.950%, 3/26/51 144A | 600,000 | 593 | ||||||
8.950%, 3/26/51 § | 200,000 | 198 | ||||||
Ivory Coast Government International Bond | 500,000 | 619 | ||||||
5.875%, 10/17/31 144A EUR ¥ | 300,000 | 382 | ||||||
6.625%, 3/22/48 144A EUR ¥ | 900,000 | 1,118 | ||||||
6.625%, 3/22/48 EUR §,¥ | 800,000 | 994 | ||||||
6.875%, 10/17/40 144A EUR ¥ | 400,000 | 517 | ||||||
Japan Government Thirty Year Bond 0.400%, 3/20/50 JPY ¥ | 40,000,000 | 335 | ||||||
Kingdom of Jordan | 300,000 | 311 | ||||||
5.850%, 7/7/30 144A | 400,000 | 416 | ||||||
Morocco Government International Bond 4.000%, 12/15/50 144A | 500,000 | 463 | ||||||
North Macedonia 3.675%, 6/3/26 144A EUR ¥ | 500,000 | 653 | ||||||
Oman Government International Bond | 3,200,000 | 3,435 | ||||||
6.500%, 3/8/47 § | 500,000 | 489 | ||||||
6.750%, 1/17/48 § | 4,100,000 | 4,074 | ||||||
Panama Government International Bond | 1,900,000 | 2,577 | ||||||
8.125%, 4/28/34 | 100,000 | 144 | ||||||
Perusahaan Penerbit SBSN Indonesia III 3.400%, 3/29/22 144A | 600,000 | 612 | ||||||
Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,¥ | 740,000 | 4 | ||||||
Republic of Belarus Ministry of Finance 5.875%, 2/24/26 144A | 600,000 | 554 | ||||||
Republic of Indonesia | 1,700,000 | 2,036 | ||||||
1.400%, 10/30/31 EUR ¥ | 200,000 | 241 | ||||||
1.450%, 9/18/26 EUR ¥ | 700,000 | 863 | ||||||
3.375%, 7/30/25 144A EUR ¥ | 800,000 | 1,060 | ||||||
3.750%, 6/14/28 144A EUR ¥ | 1,900,000 | 2,672 | ||||||
3.750%, 6/14/28 EUR §,¥ | 2,200,000 | 3,094 | ||||||
4.625%, 4/15/43 § | 2,700,000 | 3,122 | ||||||
5.125%, 1/15/45 § | 1,800,000 | 2,226 | ||||||
Republic of Paraguay | 600,000 | 705 | ||||||
6.100%, 8/11/44 § | 300,000 | 373 | ||||||
Republic of Peru 3.300%, 3/11/41 | 2,700,000 | 2,724 | ||||||
Republic of Serbia 1.650%, 3/3/33 144A EUR ¥ | 700,000 | 812 | ||||||
Republic of South Africa Government International Bond | 1,200,000 | 1,272 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Governments (16.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Governments continued | ||||||||
4.875%, 4/14/26 | 600,000 | 651 | ||||||
5.000%, 10/12/46 | 500,000 | 474 | ||||||
5.750%, 9/30/49 b | 4,500,000 | 4,599 | ||||||
Romanian Government International Bond | 1,400,000 | 1,646 | ||||||
4.125%, 3/11/39 EUR §,¥ | 1,500,000 | 2,104 | ||||||
Russian Federation 5.625%, 4/4/42 § | 2,000,000 | 2,568 | ||||||
Saudi International Bond | 300,000 | 321 | ||||||
4.000%, 4/17/25 § | 3,900,000 | 4,305 | ||||||
4.500%, 10/26/46 § | 9,300,000 | 10,893 | ||||||
Sri Lanka Government International Bond | 1,600,000 | 997 | ||||||
7.850%, 3/14/29 § | 500,000 | 315 | ||||||
State of Qatar | 1,200,000 | 1,461 | ||||||
4.400%, 4/16/50 § | 2,400,000 | 2,921 | ||||||
4.500%, 4/23/28 § | 1,100,000 | 1,298 | ||||||
4.817%, 3/14/49 § | 800,000 | 1,029 | ||||||
5.103%, 4/23/48 § | 1,200,000 | 1,593 | ||||||
Turkey Government International Bond | 1,200,000 | 1,176 | ||||||
4.750%, 1/26/26 | 2,200,000 | 2,163 | ||||||
4.875%, 4/16/43 | 1,900,000 | 1,511 | ||||||
4.875%, 10/9/26 b | 4,000,000 | 3,912 | ||||||
5.125%, 2/17/28 b | 4,300,000 | 4,174 | ||||||
5.600%, 11/14/24 | 400,000 | 411 | ||||||
5.750%, 5/11/47 | 2,300,000 | 1,964 | ||||||
6.125%, 10/24/28 | 400,000 | 406 | ||||||
Ukraine Government International Bond | 1,600,000 | 1,770 | ||||||
4.375%, 1/27/30 EUR §,¥ | 1,700,000 | 1,880 | ||||||
6.750%, 6/20/26 144A EUR ¥ | 600,000 | 776 | ||||||
6.876%, 5/21/29 144A | 900,000 | 934 | ||||||
7.375%, 9/25/32 § | 300,000 | 315 | ||||||
7.750%, 9/1/21 § | 4,600,000 | 4,637 | ||||||
8.994%, 2/1/24 144A | 1,000,000 | 1,108 | ||||||
United Mexican States | 1,000,000 | 999 | ||||||
3.771%, 5/24/61 b | 5,400,000 | 5,019 | ||||||
US Treasury | 7,310,000 | 7,626 | ||||||
2.125%, 3/31/24 b | 3,970,000 | 4,156 | ||||||
2.125%, 11/30/24 b | 3,400,000 | 3,581 | ||||||
2.250%, 11/15/24 b | 15,910,000 | 16,819 | ||||||
2.250%, 2/15/27 | 150,000 | 160 | ||||||
2.375%, 8/15/24 b | 3,700,000 | 3,917 | ||||||
2.500%, 1/31/24 b | 10,590,000 | 11,173 | ||||||
2.750%, 2/15/24 b | 8,700,000 | 9,239 | ||||||
2.875%, 11/30/23 b | 4,230,000 | 4,489 | ||||||
Venezuela Government International Bond | 32,000 | 3 | ||||||
7.000%, 3/31/38 §,j | 204,000 | 21 | ||||||
7.650%, 4/21/25 §,j | 1,955,000 | 196 | ||||||
8.250%, 10/13/24 §,j | 356,000 | 37 | ||||||
9.000%, 5/7/23 §,j | 32,000 | 3 | ||||||
9.250%, 5/7/28 §,j | 1,241,000 | 127 |
Governments (16.8%) | Shares/ Par + | Value $ (000’s) | ||||||
Governments continued | ||||||||
9.375%, 1/13/34 j | 1,400,000 | 140 | ||||||
|
| |||||||
Total | 218,603 | |||||||
|
| |||||||
Total Governments (Cost: $216,423) | 218,603 | |||||||
|
| |||||||
Municipal Bonds (0.7%) | ||||||||
Municipal Bonds (0.7%) | ||||||||
American Municipal Power, Inc., Series 2010-B 7.834%, 2/15/41 RB | 100,000 | 166 | ||||||
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB | 200,000 | 301 | ||||||
City of Riverside CA Electric Revenue 7.605%, 10/1/40 RB | 200,000 | 318 | ||||||
Irvine Ranch California Water District 6.622%, 5/1/40 RB | 100,000 | 151 | ||||||
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB | 200,000 | 325 | ||||||
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB | 100,000 | 150 | ||||||
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB | 97,000 | 149 | ||||||
New York City Transitional Finance Authority 5.508%, 8/1/37 RB | 300,000 | 401 | ||||||
New York State Urban Development Corp. 5.770%, 3/15/39 RB | 100,000 | 125 | ||||||
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB | 1,100,000 | 1,550 | ||||||
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB | 200,000 | 277 | ||||||
State of Illinois | 245,000 | 306 | ||||||
6.725%, 4/1/35 GO | 95,000 | 120 | ||||||
7.350%, 7/1/35 GO | 200,000 | 258 | ||||||
Texas Public Finance Authority 8.250%, 7/1/24 RB | 125,000 | 126 | ||||||
Tobacco Settlement Financing Corp. of Virginia, Series 2007-A 6.706%, 6/1/46 RB b | 3,125,000 | 3,283 | ||||||
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB | 800,000 | 1,096 | ||||||
|
| |||||||
Total Municipal Bonds (Cost: $6,452) | 9,102 | |||||||
|
| |||||||
Structured Products (7.7%) | ||||||||
Asset Backed Securities (6.7%) | ||||||||
Accredited Mortgage Loan Trust, Series 2005- 3, Class M3 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35 | 250,000 | 249 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34 | 63,407 | 62 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 0.887%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35 | 41,244 | 41 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35 | 58,213 | 58 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36 | 7,491,273 | 2,794 | ||||||
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 1.092%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35 | 108,831 | 107 | ||||||
AlbaCore EURO CLO I DAC, Series 1A, Class A 1.530%, (Euribor 3 Month ACT/360 plus 1.530%), 7/18/31 144A EUR ¥ | 250,000 | 297 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 0.962%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34 | 19,365 | 19 | ||||||
Ares European CLO, Series 10A, Class AR 0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ¥ | 1,100,000 | 1,304 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1 1.318%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33 | 24,301 | 25 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35 | 170,662 | 172 | ||||||
Bain Capital Euro CLO, Series 2018-2A, Class AR 1.000%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ¥ | 300,000 | 355 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36 | 16,319 | 16 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1 0.202%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31 | 813 | 4 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 1.342%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37 | 110,914 | 111 | ||||||
Cairn CLO BV, Series 2014-A4, Class ARRR 0.600%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ¥ | 300,000 | 355 | ||||||
Cairn CLO X BV, Series 2018-10A, Class AR 0.907%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ¥ | 700,000 | 830 | ||||||
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 0.700%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ¥ | 900,000 | 1,067 |
Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C 0.302%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36 | 100,000 | 96 | ||||||
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 0.617%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36 | 1,500,000 | 1,459 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 1.667%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34 | 100,000 | 99 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35 | 456 | – | p | |||||
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36 | 82,716 | 78 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.558%, (AFC), 7/25/36 ∑ | 100,000 | 100 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37 | 471,167 | 444 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 7/25/36 | 12,981 | 13 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36 | 38,356 | 38 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37 | 900,000 | 818 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37 | 22,039 | 22 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 0.932%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47 | 1,643,801 | 1,627 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47 | 889,849 | 829 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 0.642%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A | 1,370,755 | 1,201 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 0.712%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32 | 3,732 | 4 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 0.650%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ¥ | 800,000 | 947 | ||||||
Ellington Loan Acquisition Trust, Series 2007-2, Class A1 1.142%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A | 266,057 | 267 | ||||||
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 0.620%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ¥ | 300,000 | 355 | ||||||
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36 | 12,040 | 12 | ||||||
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5 04/25/36 | 149,577 | 148 | ||||||
Fremont Home Loan Trust, Series 2005-2, Class M4 1.022%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35 | 300,000 | 294 | ||||||
GSAA Home Equity Trust, Series 2006-17, Class A1 0.212%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36 | 52,277 | 19 | ||||||
GSAMP Trust, Series 2004-WF, Class M2 1.742%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34 | 14,664 | 15 | ||||||
GSAMP Trust, Series 2007-FM2, Class A2B 0.182%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37 | 177,827 | 128 | ||||||
GSAMP Trust, Series 2007-NC1, Class A2A 0.142%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46 | 14,302 | 9 | ||||||
Harvest CLO XX DAC, Series 2020-A, Class AR 0.960%, (Euribor 3 Month ACT/360 plus 0.960%), 10/20/31 144A EUR ¥ | 600,000 | 710 | ||||||
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37 | 500,000 | 420 | ||||||
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 0.872%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35 | 201,936 | 201 | ||||||
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37 | 358,220 | 242 | ||||||
KKR Financial CLO, Ltd., Series 9, Class AR2 1.140%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A | 2,200,000 | 2,197 | ||||||
Laurelin 2016-1 DAC, Series 2016-1A, Class ARR 0.720%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ¥ | 400,000 | 474 |
Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
LCM XV LP, Series 2015-A, Class AR2 1.188%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A | 1,800,000 | 1,800 | ||||||
Lehman XS Trust, Series 2005-4, Class 1A3 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35 | 4,855 | 5 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 0.692%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36 | 60,325 | 55 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 0.632%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46 | 296,939 | 135 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 0.392%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36 | 1,198,870 | 812 | ||||||
Man GLG EURO CLO III DAC, Series 3A, Class AR 0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ¥ | 400,000 | 475 | ||||||
Marathon CLO, Ltd., Series 2017-9A, Class A1AR 1.334%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A | 2,200,000 | 2,200 | ||||||
Marble Point CLO X, Ltd., Series 2017-1A, Class AR 1.224%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A | 5,200,000 | 5,200 | ||||||
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34 | 108,606 | 108 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 0.392%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 b | 11,075,607 | 10,307 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36 | 2,132,745 | 853 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36 | 916,815 | 400 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 0.542%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47 | 853,583 | 606 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35 | 784,058 | 778 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 0.797%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35 | 162,120 | 157 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 1.082%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35 | 216,738 | 218 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36 | 66,875 | 38 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36 | 61,955 | 37 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 0.342%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37 | 63,079 | 34 | ||||||
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 1.667%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32 | 40,310 | 40 | ||||||
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 1.442%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33 | 22,192 | 22 | ||||||
Mountain View CLO, Ltd., Series 2019-1A, Class A1 1.298%, (ICE LIBOR USD 3 Month plus 1.120%), 4/15/29 144A | 1,500,000 | 1,500 | ||||||
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37 | 361,659 | 357 | ||||||
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 0.740%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ¥ | 1,200,000 | 1,420 | ||||||
OZLM Funding, Ltd., Series 2021-1A, Class A1R3 1.154%, (ICE LIBOR USD 3 Month plus 0.970%), 7/22/29 144A | 1,600,000 | 1,599 | ||||||
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2 0.887%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35 | 8,457 | 8 | ||||||
Popular Mortgage Pass Through Trust, Series 2006-A, Class M1 0.482%, (ICE LIBOR USD 1 Month plus 0.390%), (AFC), 2/25/36 | 101,505 | 101 | ||||||
RAAC Series, Series 2007-RP4, Class A 0.442%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A | 222,435 | 215 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3 0.812%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35 | 56,054 | 56 | ||||||
Residential Asset Securities Corp., Series 2006-EMX1, Class M1 0.707%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36 | 15,961 | 16 |
Structured Products (7.7%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Residential Asset Securities Corp., Series 2007-KS1, Class A3 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37 | 56,823 | 56 | ||||||
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37 | 1,600,000 | 1,542 | ||||||
Saxon Asset Securities Trust, Series 2006-1, Class M1 0.557%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36 | 284,257 | 283 | ||||||
Sculptor CLO XXV, Ltd., Series 25A, Class A1 1.410%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A | 2,100,000 | 2,098 | ||||||
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 1.052%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36 | 53,903 | 48 | ||||||
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 1.163%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A | 689,202 | 689 | ||||||
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 1.156%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A | 5,200,000 | 5,196 | ||||||
Soundview Home Loan Trust, Series 2005-3, Class M3 0.917%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35 | 24,302 | 25 | ||||||
Soundview Home Loan Trust, Series 2006-2, Class M2 0.617%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36 | 336,731 | 336 | ||||||
Soundview Home Loan Trust, Series 2006-3, Class A3 0.412%, (ICE LIBOR USD 1 Month plus 0.320%), 11/25/36 | 41,449 | 41 | ||||||
Soundview Home Loan Trust, Series 2006- OPT2, Class A4 0.652%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36 | 175,191 | 174 | ||||||
Soundview Home Loan Trust, Series 2006- OPT3, Class M1 0.402%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36 b | 6,629,500 | 6,351 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35 | 178,281 | 178 | ||||||
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33 | 76,933 | 77 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 0.857%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35 | 428,616 | 424 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Asset Backed Securities continued | ||||||||
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36 | 13,055 | 13 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36 | 237,966 | 234 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 0.302%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37 | 80,196 | 77 | ||||||
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 0.352%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A | 838,271 | 832 | ||||||
Vendome Funding DAC, Series 2020-1A, Class A 1.860%, (Euribor 3 Month ACT/360 plus 1.860%), 7/20/31 144A EUR ¥ | 500,000 | 593 | ||||||
Venture CDO, Ltd., Series 2018-33A, Class A1LR 1.244%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A | 1,000,000 | 999 | ||||||
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 1.165%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A | 5,500,000 | 5,499 | ||||||
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 1.208%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A | 4,857,579 | 4,853 | ||||||
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 1.228%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A | 300,000 | 300 | ||||||
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37 | 137,200 | 127 | ||||||
Wellfleet CLO, Ltd., Series 2017-1, Class 1A 1.078%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A | 5,700,000 | 5,689 | ||||||
|
| |||||||
Total | 87,418 | |||||||
|
| |||||||
Mortgage Securities (1.0%) | ||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 1.671%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45 | 544 | 1 | ||||||
Banc of America Funding Trust, Series 2005-H, Class 5A1 2.529%, (CSTR), 11/20/35 | 122,194 | 113 | ||||||
Banc of America Funding Trust, Series 2006-J, Class 4A1 3.348%, (CSTR), 1/20/47 | 43,060 | 41 | ||||||
Banc of America Funding Trust, Series 2007-6, Class A1 0.382%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37 | 56,137 | 54 |
Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Barclays Capital LLC, Series 2009-RR14, Class 2A2 3.293%, (CSTR), 7/26/36 144A | 19,806 | 19 | ||||||
Barclays Capital LLC, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A | 2,237,324 | 1,276 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 2.849%, (CSTR), 7/25/34 | 2,018 | 2 | ||||||
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.344%, (CSTR), 11/25/36 | 144,282 | 100 | ||||||
Bear Stearns ARM Trust, Series 2007-4, Class 22A1 3.341%, (CSTR), 6/25/47 | 81,334 | 81 | ||||||
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37 | 2,439 | 2 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 3.234%, (CSTR), 9/25/37 | 9,283 | 9 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 4.212%, (CSTR), 9/25/37 | 35,090 | 36 | ||||||
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.252%, (CSTR), 3/25/37 | 368,251 | 348 | ||||||
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35 | 13,625 | 14 | ||||||
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35 | 296,181 | 204 | ||||||
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 0.751%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35 | 5,304 | 5 | ||||||
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 1.596%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36 | 14,490 | 15 | ||||||
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36 | 144,038 | 118 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35 | 133,849 | 136 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32 | 2,707 | 3 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35 | 180,831 | 142 | ||||||
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37 | 118,538 | 67 | ||||||
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36 | 397,739 | 134 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 2.748%, (CSTR), 5/25/36 | 9,947 | 9 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 0.283%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46 | 12,393 | 11 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 0.288%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46 | 28,537 | 25 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 0.513%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46 | 359,952 | 310 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 0.513%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46 | 8,783 | 7 | ||||||
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37 | 230,228 | 146 | ||||||
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47 | 34,163 | 31 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1 2.350%, (CSTR), 10/25/35 | 10,260 | 9 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1 2.647%, (CSTR), 12/20/35 | 4,054 | 4 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36 | 18,114 | 11 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36 | 114,034 | 82 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1 1.076%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46 | 37,081 | 15 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2 0.632%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46 | 982,651 | 362 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1 2.949%, (CSTR), 3/25/37 | 8,494 | 8 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33 | 803 | 1 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35 | 389,261 | 384 | ||||||
EMF-NL BV, Series 2008-APRX, Class A2 0.263%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,¥ | 123,704 | 141 |
Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Eurosail-NL BV, Series 2007-NL2X, Class A 0.963%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,¥ | 62,806 | 75 | ||||||
Federal National Mortgage Association, Series 2003-W6, Class F 0.442%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42 | 18,699 | 19 | ||||||
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37 | 194,837 | 129 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 2.793%, (CSTR), 9/25/35 | 2,025 | 2 | ||||||
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36 | 88,197 | 62 | ||||||
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 2.927%, (CSTR), 1/25/36 | 1,407 | 1 | ||||||
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 2.863%, (CSTR), 3/25/47 | 8,295 | 7 | ||||||
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A 0.713%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35 | 9,312 | 8 | ||||||
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A 0.573%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35 | 15,213 | 15 | ||||||
HomeBanc Mortgage Trust, Series 2005-1, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35 | 4,824 | 4 | ||||||
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 0.532%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35 | 982,908 | 925 | ||||||
Impac Secured Assets Trust, Series 2007-1, Class A2 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37 | 35,089 | 35 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 3.009%, (CSTR), 10/25/34 | 18,463 | 19 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35 | 1,599 | 2 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 0.692%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35 | 10,286 | 10 | ||||||
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1 2.588%, (CSTR), 10/25/35 | 8,574 | 8 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 2.761%, (CSTR), 7/25/35 | 6,244 | 6 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 2.633%, (CSTR), 6/25/37 | 44,826 | 37 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3 0.852%, (ICE LIBOR USD 1 Month plus 0.760%), 8/25/35 | 120 | –p | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1 2.945%, (CSTR), 12/25/35 | 87,682 | 75 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 2.123%, (CSTR), 2/25/36 | 2,181 | 2 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 2.842%, (CSTR), 5/25/36 | 9,568 | 9 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A 2.296%, (CSTR), 7/25/35 | 13,995 | 13 | ||||||
New Residential Mortgage Loan Trust , Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A | 1,814,926 | 1,816 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 3.134%, (CSTR), 8/25/35 | 2,590 | 3 | ||||||
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 0.472%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36 | 6,794 | 7 | ||||||
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 0.472%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36 | 18,009 | 17 | ||||||
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37 | 12,625 | 12 | ||||||
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37 | 3,300,638 | 1,392 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 0.412%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35 | 47,398 | 47 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 1.979%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36 | 439,755 | 435 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 0.452%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46 | 206,103 | 183 | ||||||
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1 0.742%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35 | 12,112 | 10 | ||||||
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 1.111%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP ¥ | 1,938,810 | 2,694 |
Structured Products (7.7%) | Shares/ Par+ | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 2.572%, (CSTR, AFC), 2/25/33 | 805 | 1 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.250%, (CSTR), 10/25/36 | 19,855 | 19 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 2.931%, (CSTR), 3/25/36 | 157,038 | 157 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 3.181%, (CSTR), 8/25/36 | 9,260 | 9 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.115%, (CSTR), 2/25/37 | 3,224 | 3 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 0.816%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47 | 300,485 | 264 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 2.705%, (CSTR), 7/25/37 | 43,298 | 40 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 2.633%, (CSTR), 4/25/36 | 41,107 | 41 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 2.844%, (CSTR), 11/25/37 | 32,367 | 32 | ||||||
|
| |||||||
Total | 13,121 | |||||||
|
| |||||||
Total Structured Products | ||||||||
(Cost: $96,956) | 100,539 | |||||||
|
| |||||||
Bank Loan Obligations (2.2%) | ||||||||
Bank Loan Obligations (2.2%) | ||||||||
Adient U.S. LLC, 3.650%, (ICE LIBOR USD 1 Month plus 3.500%), 4/8/28 | 300,000 | 300 | ||||||
Altice Financing SA, 2.900%, 1/31/26 | 1,178,626 | 1,157 | ||||||
Altice France SA, 2.900%, (US LIBOR plus 2.750%), 7/31/25 | 195,420 | 192 | ||||||
Avolon TLB Borrower 1 LLC, 2.650%, (ICE LIBOR USD 1 Month plus 2.500%), 12/31/27 | 1,194,000 | 1,193 | ||||||
Casino Guichard Perrachon SA, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR ¥ | 1,300,000 | 1,545 | ||||||
CenturyLink, Inc., 2.400%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27 b | 5,312,325 | 5,239 | ||||||
Charter Communications Operating LLC, 1.900%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27 b | 3,398,467 | 3,371 | ||||||
CommScope, Inc., 3.400%, (US LIBOR plus 3.250%), 4/6/26 | 491,250 | 488 | ||||||
Connect Finco SARL, 3.650%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26 | 1,185,000 | 1,186 | ||||||
Coty, Inc., 1.710%, (Euribor 3 Month ACT/360 plus 1.750%), 4/5/23 EUR ¥ | 86,448 | 102 | ||||||
Dell International LLC, 1.900%, (ICE LIBOR USD 1 Month plus 1.750%), 9/19/25 | 974,876 | 975 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Bank Loan Obligations (2.2%) | Shares/ Par+ | Value $ (000’s) | ||||||
Bank Loan Obligations continued | ||||||||
Enterprise Merger Sub, Inc., 3.900%, (US LIBOR plus 3.750%), 10/10/25 | 487,500 | 416 | ||||||
Grifols SA, 2.210%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR ¥ | 1,970,000 | 2,320 | ||||||
Hilton Worldwide Finance LLC, 1.900%, (US LIBOR plus 1.750%), 6/22/26 | 1,120,295 | 1,111 | ||||||
INEOS Quattro Finance 2 PLC, 2.900%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26 b | 3,400,000 | 3,389 | ||||||
Jefferies Finance LLC, 3.150%, (ICE LIBOR USD 3 Month plus 3.000%), 6/3/26 | 98,001 | 97 | ||||||
MPH Acquisition Holdings LLC, 2.900%, (ICE LIBOR USD 3 Month plus 2.750%), 6/7/23 | 863,838 | 861 | ||||||
Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR ¥ | 1,600,000 | 1,846 | ||||||
Summer BC Holdco B SARL, 4.650%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26 | 1,000,000 | 1,000 | ||||||
Valeant Pharmaceuticals International, Inc., 3.150%, (US LIBOR plus 3.000%), 6/2/25 | 293,043 | 292 | ||||||
Ziggo Finance Partnership BV, 2.650%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28 | 1,555,228 | 1,539 | ||||||
|
| |||||||
Total Bank Loan Obligations | ||||||||
(Cost: $28,684) | 28,619 | |||||||
|
| |||||||
Short-Term Investments (15.3%) | ||||||||
Consumer, Non-cyclical (0.1%) | ||||||||
Teva Pharmaceutical Finance Netherlands III BV 2.200%, 7/21/21 | 400,000 | 400 | ||||||
|
| |||||||
Total | 400 | |||||||
|
|
Short-Term Investments (15.3%) | Shares/ Par+ | Value $ (000’s) | ||||||
Governments (14.9%) | ||||||||
Federal Home Loan Bank 0.034%, 10/8/21 b | 4,600,000 | 4,599 | ||||||
Republic of Argentina 0.000%, 9/13/21 ARS ¥ | 7,778,000 | 60 | ||||||
US Treasury | 5,400,000 | 5,400 | ||||||
0.000%, 7/13/21 b | 37,300,000 | 37,300 | ||||||
0.000%, 8/24/21 b | 9,700,000 | 9,699 | ||||||
0.000%, 8/31/21 b | 33,900,000 | 33,897 | ||||||
0.000%, 9/9/21 b | 35,300,000 | 35,297 | ||||||
0.000%, 9/21/21 b | 5,100,000 | 5,100 | ||||||
0.000%, 9/23/21 b | 13,800,000 | 13,798 | ||||||
0.000%, 9/30/21 b | 13,900,000 | 13,898 | ||||||
0.000%, 10/19/21 b | 11,700,000 | 11,698 | ||||||
0.000%, 11/12/21 b | 5,100,000 | 5,099 | ||||||
0.000%, 11/26/21 b | 9,400,000 | 9,398 | ||||||
0.000%, 12/2/21 b | 2,300,000 | 2,300 | ||||||
1.125%, 8/31/21 b | 6,300,000 | 6,311 | ||||||
|
| |||||||
Total | 193,854 | |||||||
|
| |||||||
Money Market Funds (0.3%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%#,b | 4,331,296 | 4,331 | ||||||
|
| |||||||
Total | 4,331 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $198,585) |
| 198,585 | ||||||
|
| |||||||
Total Investments (98.2%) | ||||||||
(Cost: $1,231,007)@ |
| 1,276,270 | ||||||
|
| |||||||
Other Assets, Less Liabilities (1.8%) | 23,652 | |||||||
|
| |||||||
Net Assets (100.0%) | 1,299,922 | |||||||
|
|
Reverse Repurchase Agreements
Reference Entity | Counterparty | Interest Rate | Borrowing Date | Maturity Date | Currency | Amount Borrowed (000’s) | Payable for Reverse Repurchase Agreements (000s) | |||||||||||||||||||
Huarong Finance 2019 Co., Ltd. | Barclays Bank PLC | (0.750)% | 6/14/2021 | 6/14/2023 | USD | (2,194) | $ | (2,194 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||
$ | (2,194 | ) | ||||||||||||||||||||||||
|
|
Exchange Traded or Centrally Cleared Derivatives Futures
Issuer | Long/ Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Euro-Bobl Future | Short | EUR | 300 | 3 | 9/21 | $ | 477 | $ | – | p | $ | (1 | ) | |||||||||||||||||||
Euro-Bund Future | Long | EUR | 15,500 | 155 | 9/21 | 31,724 | 293 | 99 | ||||||||||||||||||||||||
Five-Year US Treasury Note Future | Long | USD | 10,500 | 105 | 9/21 | 12,960 | (48 | ) | 7 | |||||||||||||||||||||||
Ten-Year US Treasury Note Future | Long | USD | 122,600 | 1,226 | 9/21 | 162,445 | 506 | 287 | ||||||||||||||||||||||||
Two-Year US Treasury Note Future | Long | USD | 88,800 | 444 | 9/21 | 97,822 | (23 | ) | 3 | |||||||||||||||||||||||
Ultra Long Term US Treasury Bond Future | Long | USD | 27,600 | 276 | 9/21 | 53,182 | 2,302 | 311 | ||||||||||||||||||||||||
Ultra Ten-Year US Treasury Note Future | Long | USD | 25,900 | 259 | 9/21 | 38,126 | 421 | 125 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
$ | 3,451 | $ | 831 | |||||||||||||||||||||||||||||
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
162
Table of Contents
Multi-Sector Bond Portfolio
Centrally Cleared Interest Rate Swaps - Receive Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
1-Day GBP-SONIO Compounded-OIS | 0.500 | % | 9/26 | 6,300 | GBP | $ | (13 | ) | $ | 13 | $ | – | p | $ | (5 | ) | ||||||||||||||||
1-Day GBP-SONIO Compounded-OIS | 0.750 | % | 9/31 | 2,400 | GBP | (2 | ) | (4 | ) | (6 | ) | (5 | ) | |||||||||||||||||||
3-Month USD-LIBOR | 2.500 | % | 12/24 | 7,000 | USD | (230 | ) | (211 | ) | (441 | ) | (1 | ) | |||||||||||||||||||
3-Month USD-LIBOR | 1.250 | % | 6/25 | 1,400 | USD | (49 | ) | 23 | (26 | ) | – | p | ||||||||||||||||||||
3-Month USD-LIBOR | 1.000 | % | 12/25 | 48,330 | USD | (1,125 | ) | 838 | (287 | ) | (16 | ) | ||||||||||||||||||||
6-Month EUR-EURIBOR | 0.500 | % | 9/51 | 5,900 | EUR | (65 | ) | 33 | (32 | ) | (56 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (1,484 | ) | $ | 692 | $ | (792 | ) | $ | (83 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
3-Month Canada Bankers Acceptances | 0.880% | 3/24 | 12,600 | CAD | $ | 1 | $ | (38 | ) | $ | (37 | ) | $ | (1 | ) | |||||||||||||||||
3-Month Canada Bankers Acceptances | 2.500% | 6/29 | 8,000 | CAD | 142 | 245 | 387 | 9 | ||||||||||||||||||||||||
3-Month USD-LIBOR | 1.365% | 3/31 | 6,200 | USD | - | (40 | ) | (40 | ) | 12 | ||||||||||||||||||||||
3-Month USD-LIBOR | 1.663% | 3/51 | 300 | USD | - | (7 | ) | (7 | ) | 2 | ||||||||||||||||||||||
3-Month USD-LIBOR | 1.817% | 3/51 | 2,500 | USD | - | 34 | 34 | 13 | ||||||||||||||||||||||||
6-Month EUR-EURIBOR | (0.250)% | 9/26 | 5,600 | EUR | 3 | (10 | ) | (7 | ) | 8 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 146 | $ | 184 | $ | 330 | $ | 43 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection
Reference Entity | Receive Fixed Rate | Expiration Date | Implied Credit Spread | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value(000’s) | Variation Margin (000’s) | |||||||||||||||||||||||||||
Markit CDX Emerging Markets Index, Series 34 | 1.000% | 12/25 | 1.819% | 41,400 | USD | $ | (1,289 | ) | $ | (154 | ) | $ | (1,443 | ) | $ | (40 | ) | |||||||||||||||||||
Markit CDX Emerging Markets Index, Series 35 | 1.000% | 6/26 | 1.555% | 34,500 | USD | (1,182 | ) | 278 | (904 | ) | (28 | ) | ||||||||||||||||||||||||
Markit CDX North America Investment Grade Index, Series 35 | 1.000% | 12/25 | 0.430% | 2,500 | USD | 53 | 10 | 63 | – | p | ||||||||||||||||||||||||||
Markit CDX North America Investment Grade Index, Series 36 | 1.000% | 6/26 | 0.480% | 13,000 | USD | 289 | 42 | 331 | – | p | ||||||||||||||||||||||||||
Markit iTraxx Europe Crossover Index, Series 35 | 1.000% | 6/26 | 0.468% | 53,000 | EUR | 1,600 | 75 | 1,675 | (19 | ) | ||||||||||||||||||||||||||
Markit iTraxx Europe Crossover Index, Series 35 | 5.000% | 6/26 | 2.319% | 64,500 | EUR | 8,344 | 1,168 | 9,512 | (139 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 7,815 | $ | 1,419 | $ | 9,234 | $ | (226 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
163
Table of Contents
Multi-Sector Bond Portfolio
Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection
Reference Entity | Receive Fixed Rate | Expiration Date | Implied Credit Spread | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market (000’s) | Variation (000’s) | |||||||||||||||||||||||
AT&T, Inc. | 1.000% | 6/24 | 0.396 | % | 300 | USD | $ | (1 | ) | $ | 6 | $ | 5 | $ | - | p | ||||||||||||||||
AT&T, Inc. | 1.000% | 6/25 | 0.478 | % | 100 | USD | (3 | ) | 5 | 2 | - | p | ||||||||||||||||||||
Atlantia SpA | 1.000% | 12/25 | 1.063 | % | 1,400 | EUR | (61 | ) | 56 | (5 | ) | - | p | |||||||||||||||||||
Auchan Holding SA | 1.000% | 12/27 | 1.001 | % | 100 | EUR | (2 | ) | 2 | - | p | - | p | |||||||||||||||||||
Casino Guichard Perrachon SA | 5.000% | 6/23 | 3.236 | % | 600 | EUR | 23 | 1 | 24 | - | p | |||||||||||||||||||||
Casino Guichard Perrachon SA | 1.000% | 12/21 | 1.182 | % | 1,000 | EUR | (11 | ) | 9 | (2 | ) | - | p | |||||||||||||||||||
Casino Guichard Perrachon SA | 5.000% | 6/22 | 1.889 | % | 1,500 | EUR | (75 | ) | 129 | 54 | - | p | ||||||||||||||||||||
Casino Guichard Perrachon SA | 5.000% | 12/22 | 2.797 | % | 1,700 | EUR | (53 | ) | 118 | 65 | - | p | ||||||||||||||||||||
Ford Motor Co. | 5.000% | 12/23 | 1.393 | % | 200 | USD | 18 | – | 18 | - | p | |||||||||||||||||||||
Ford Motor Co. | 5.000% | 12/23 | 1.393 | % | 700 | USD | 51 | 11 | 62 | - | p | |||||||||||||||||||||
General Electric Co. | 1.000% | 12/23 | 0.385 | % | 2,000 | USD | (57 | ) | 88 | 31 | - | p | ||||||||||||||||||||
General Electric Co. | 1.000% | 6/24 | 0.420 | % | 900 | USD | (5 | ) | 21 | 16 | - | p | ||||||||||||||||||||
General Electric Co. | 1.000% | 12/24 | 0.501 | % | 400 | USD | (4 | ) | 11 | 7 | - | p | ||||||||||||||||||||
General Electric Co. | 1.000% | 6/26 | 0.718 | % | 2,300 | USD | 26 | 6 | 32 | - | p | |||||||||||||||||||||
Glencore Finance Europe, Ltd. | 5.000% | 12/25 | 1.074 | % | 2,700 | EUR | 561 | (1 | ) | 560 | (3 | ) | ||||||||||||||||||||
Glencore Finance Europe, Ltd. | 5.000% | 12/27 | 1.546 | % | 1,600 | EUR | 429 | (17 | ) | 412 | (2 | ) | ||||||||||||||||||||
Marks & Spencer PLC | 1.000% | 12/25 | 1.726 | % | 500 | EUR | (34 | ) | 15 | (19 | ) | - | p | |||||||||||||||||||
Marks & Spencer PLC | 1.000% | 6/27 | 2.157 | % | 100 | EUR | (8 | ) | – | (8 | ) | - | p | |||||||||||||||||||
Marks & Spencer PLC | 1.000% | 12/24 | 1.445 | % | 2,900 | EUR | (97 | ) | 44 | (53 | ) | (2 | ) | |||||||||||||||||||
Telefonica Emisiones SAU | 1.000% | 6/26 | 0.603 | % | 3,200 | EUR | 54 | 21 | 75 | (1 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 751 | $ | 525 | $ | 1,276 | $ | (8 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | 44 | $ | 832 | $ | 876 | $ | (318 | ) | $ | (1 | ) | $ | (319 | ) | $ | - |
Over the Counter Derivatives
Forward Contracts
Type | Counterparty | Currency | Foreign Principal Covered by | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||
Buy | Bank of America NA | AUD | 4,487 | 3,365 | 7/2/21 | $ | – | $ | (105 | ) | $ | (105 | ) | |||||||||
Sell | Barclays Bank PLC | CAD | 542 | 437 | 7/2/21 | 13 | – | 13 | ||||||||||||||
Sell | BNP Paribas SA | CAD | 542 | 437 | 8/3/21 | – | p | – | – | p | ||||||||||||
Buy | HSBC Bank USA NA | CNH | 78,400 | 12,061 | 9/15/21 | – | (138 | ) | (138 | ) | ||||||||||||
Buy | HSBC Bank USA NA | EUR | 674 | 799 | 7/2/21 | – | (18 | ) | (18 | ) | ||||||||||||
Sell | BNP Paribas SA | EUR | 193,972 | 230,003 | 7/2/21 | 7,294 | – | 7,294 | ||||||||||||||
Sell | Goldman Sachs Bank USA | EUR | 6,757 | 8,012 | 7/2/21 | 208 | – | 208 | ||||||||||||||
Sell | Royal Bank of Canada | EUR | 200,055 | 237,372 | 8/3/21 | 29 | – | 29 | ||||||||||||||
Buy | HSBC Bank USA NA | GBP | 50,181 | 69,415 | 7/2/21 | – | (39 | ) | (39 | ) | ||||||||||||
Sell | Goldman Sachs Bank USA | GBP | 48,598 | 67,226 | 7/2/21 | 1,479 | – | 1,479 | ||||||||||||||
Sell | HSBC Bank USA NA | GBP | 1,220 | 1,688 | 7/2/21 | 37 | – | 37 | ||||||||||||||
Sell | UBS AG | GBP | 363 | 502 | 7/2/21 | 10 | – | 10 | ||||||||||||||
Sell | HSBC Bank USA NA | GBP | 50,181 | 69,422 | 8/3/21 | 38 | – | 38 | ||||||||||||||
Buy | JP Morgan Chase Bank NA | IDR | 634,365 | 44 | 9/15/21 | – | (1 | ) | (1 | ) | ||||||||||||
Sell | Barclays Bank PLC | JPY | 35,600 | 320 | 7/2/21 | 5 | – | 5 |
The Accompanying Notes are an Integral Part of the Financial Statements.
164
Table of Contents
Multi-Sector Bond Portfolio
Forward Contracts (continued)
Type | Counterparty | Currency | Foreign Principal Covered by | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||
Sell | BNP Paribas SA | JPY | 35,600 | 321 | 8/3/21 | $ | – | p | $ | – | $ | – | p | |||||||||
Buy | HSBC Bank USA NA | MXN | 9,380 | 467 | 9/3/21 | 21 | – | 21 | ||||||||||||||
Sell | BNP Paribas SA | MXN | 8,276 | 408 | 11/8/21 | 2 | – | 2 | ||||||||||||||
Buy | Goldman Sachs Bank USA | NOK | 47,760 | 5,547 | 7/2/21 | – | (153 | ) | (153 | ) | ||||||||||||
Buy | Bank of America NA | NOK | 47,760 | 5,548 | 8/3/21 | – | (24 | ) | (24 | ) | ||||||||||||
Sell | Bank of America NA | NOK | 47,760 | 5,547 | 7/2/21 | 24 | – | 24 | ||||||||||||||
Buy | Goldman Sachs Bank USA | RUB | 1,897 | 26 | 7/22/21 | 1 | – | 1 | ||||||||||||||
Buy | Goldman Sachs Bank USA | RUB | 1,897 | 26 | 8/20/21 | – | – | p | – | p | ||||||||||||
Buy | Bank of America NA | RUB | 826 | 12 | 9/20/21 | – | – | p | – | p | ||||||||||||
Buy | Goldman Sachs Bank USA | RUB | 636 | 9 | 9/20/21 | – | – | p | – | p | ||||||||||||
Buy | HSBC Bank USA NA | RUB | 435 | 6 | 9/20/21 | – | – | p | – | p | ||||||||||||
Buy | Barclays Bank PLC | SEK | 45,925 | 5,366 | 7/2/21 | – | (174 | ) | (174 | ) | ||||||||||||
Buy | Barclays Bank PLC | SEK | 45,925 | 5,368 | 8/3/21 | – | (4 | ) | (4 | ) | ||||||||||||
Buy | Goldman Sachs Bank USA | ZAR | 927 | 64 | 9/15/21 | – | (3 | ) | (3 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 9,161 | $ | (659 | ) | $ | 8,502 | ||||||||||||||||
|
|
|
|
|
|
Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection
Reference Entity | Counterparty | Receive Fixed Rate | Expiration Date | Implied Credit Spread | Currency | Notional Amount (000’s) | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | |||||||||||||||||
Atlantia SpA | JP Morgan Chase Bank NA | 1.000% | 6/26 | 1.130% | EUR | 200 | $ | (8 | ) | $ | 6 | $ | (2 | ) | ||||||||||||
Casino Guichard Perrachon SA | JP Morgan Chase Bank NA | 5.000% | 12/22 | 2.797% | EUR | 100 | 4 | – | 4 | |||||||||||||||||
Hochtief AG | Barclays Bank PLC | 5.000% | 12/25 | 0.944% | EUR | 300 | 65 | – | 65 | |||||||||||||||||
Hochtief AG | Barclays Bank PLC | 5.000% | 12/25 | 0.944% | EUR | 400 | 87 | (1 | ) | 86 | ||||||||||||||||
Hochtief AG | BNP Paribas SA | 5.000% | 12/25 | 0.944% | EUR | 300 | 65 | – | 65 | |||||||||||||||||
Hochtief AG | JP Morgan Chase Bank NA | 5.000% | 12/25 | 0.944% | EUR | 100 | 22 | (1 | ) | 21 | ||||||||||||||||
Hochtief AG | JP Morgan Chase Bank NA | 5.000% | 12/25 | 0.944% | EUR | 600 | 130 | (1 | ) | 129 | ||||||||||||||||
Hochtief AG | JP Morgan Chase Bank NA | 5.000% | 12/25 | 0.944% | EUR | 1,100 | 234 | 3 | 237 | |||||||||||||||||
Intrum AB | Barclays Bank PLC | 5.000% | 12/24 | 2.293% | EUR | 100 | 6 | 5 | 11 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 200 | 14 | 8 | 22 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 200 | 12 | 10 | 22 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 200 | 13 | 9 | 22 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 300 | 22 | 10 | 32 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 300 | 23 | 9 | 32 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 400 | 31 | 12 | 43 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 400 | 31 | 12 | 43 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 500 | 29 | 25 | 54 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 600 | 47 | 18 | 65 | |||||||||||||||||
Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 2.293% | EUR | 600 | 40 | 25 | 65 |
The Accompanying Notes are an Integral Part of the Financial Statements.
165
Table of Contents
Multi-Sector Bond Portfolio
Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)
Reference Entity | Counterparty | Receive Fixed Rate | Expiration Date | Implied Credit Spread | Currency | Notional Amount (000’s) | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | |||||||||||||||||
Intrum AB | JP Morgan Chase Bank NA | 5.000% | 12/24 | 2.293% | EUR | 800 | $ | 47 | $ | 40 | $ | 87 | ||||||||||||||
Intrum AB | Morgan Stanley Capital Services | 5.000% | 12/24 | 2.293% | EUR | 100 | 6 | 5 | 11 | |||||||||||||||||
Intrum AB | Morgan Stanley Capital Services | 5.000% | 12/24 | 2.293% | EUR | 100 | 6 | 5 | 11 | |||||||||||||||||
Intrum AB | Morgan Stanley Capital Services | 5.000% | 12/24 | 2.293% | EUR | 200 | 15 | 7 | 22 | |||||||||||||||||
Republic of Indonesia | Barclays Bank PLC | 1.000% | 6/31 | 1.364% | USD | 5,700 | (240 | ) | 57 | (183 | ) | |||||||||||||||
United Mexican States | Goldman Sachs International | 1.000% | 12/24 | 0.608% | USD | 200 | (1 | ) | 4 | 3 | ||||||||||||||||
United Mexican States | JP Morgan Chase Bank NA | 1.000% | 6/26 | 0.938% | USD | 100 | (1 | ) | 1 | – | p | |||||||||||||||
United Mexican States | Morgan Stanley Capital Services | 1.000% | 12/24 | 0.608% | USD | 100 | (1 | ) | 2 | 1 | ||||||||||||||||
United Mexican States | Morgan Stanley Capital Services | 1.000% | 12/25 | 0.833% | USD | 300 | (3 | ) | 5 | 2 | ||||||||||||||||
United Mexican States | Morgan Stanley Capital Services | 1.000% | 6/26 | 0.938% | USD | 500 | (3 | ) | 4 | 1 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 692 | $ | 279 | $ | 971 | |||||||||||||||||||||
|
|
|
|
|
|
Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||||
Forward Contracts | Swaps | Total | Forward Contracts | Options | Swaps | Total | ||||||||||||||||
Total Over the Counter Derivatives | $9,161 $ | 1,156 | $10,317 | $ | (659 | ) | – | $ | (185 | ) | $ | (844) |
Restricted Securities
Description | Acquisition Date | Cost (000’s) | Value (000’s) | Value as a Percentage of Net Assets | ||||||||||||
Noble Finance Co. | 2/5/21 | $ | 237 | $ | 503 | 0.04 | % |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
Æ | Security valued using significant unobservable inputs. |
d | Restricted security – see accompanying table for additional details. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $323,200 representing 24.9% of the net assets. |
¥ | Foreign Bond — par value is foreign denominated |
§ | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2021, the aggregate value of these securities was $308,895 (in thousands), representing 23.7% of net assets. |
b | Cash or securities with an aggregate value of $417,564 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021. |
f | Defaulted Security |
Þ | PIK—Payment In Kind. PIK rate of Constellation Oil Services Holding SA 10.000%. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%. |
µ | Perpetual maturity, date shown, if applicable, represents next contractual call date. |
S | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
p | Amount is less than one thousand. |
The Accompanying Notes are an Integral Part of the Financial Statements.
166
Table of Contents
Multi-Sector Bond Portfolio
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,236,733 and the net unrealized appreciation of investments based on that cost was $60,315 which is comprised of $81,828 aggregate gross unrealized appreciation and $21,513 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 - Quoted Prices | Level 2 - Other Significant | Level 3 - Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Bank Loan Obligations | $ | - | $ | 28,619 | $ | - | ||||||||
Common Stocks | ||||||||||||||
Energy | 544 | - | 61 | |||||||||||
Convertible Corporate Bonds | - | 5,677 | - | |||||||||||
Municipal Bonds | - | 9,102 | - | |||||||||||
Corporate Bonds | - | 714,540 | - | |||||||||||
Governments | - | 218,603 | - | |||||||||||
Structured Products | ||||||||||||||
Asset Backed Securities | - | 87,418 | - | |||||||||||
Mortgage Backed | - | 13,121 | - | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 4,331 | - | - | |||||||||||
All Others | - | 194,254 | - | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | 3,522 | - | - | |||||||||||
Forward Currency Contracts | - | 9,161 | - | |||||||||||
Interest Rate Swaps | - | 421 | - | |||||||||||
Credit Default Swaps | - | 14,100 | - | |||||||||||
Total Assets: | $ | 8,397 | $ | 1,295,016 | $ | 61 | ||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (71 | ) | - | - | ||||||||||
Forward Currency Contracts | - | (659 | ) | - | ||||||||||
Interest Rate Swaps | - | (883 | ) | - | ||||||||||
Credit Default Swaps | - | (2,619 | ) | - | ||||||||||
Reverse Repurchase | ||||||||||||||
Agreements | - | (2,194 | ) | - | ||||||||||
Total Liabilities: | $ | (71 | ) | $ | (6,355 | ) | $ | - |
^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.
For the period ended June 30, 2021, there was a transfer from Level 3 to Level 2 in the amount of $60 (in thousands). This transfer was the result of an increase in the quantity of observable inputs for the security that was previously not priced by a third party vendor.
The Accompanying Notes are an Integral Part of the Financial Statements.
167
Table of Contents
Balanced Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Fixed Income | 47.2 | % | ||
Domestic Equity | 36.5 | % | ||
Foreign Equity | 11.8 | % | ||
Short-Term Investments & Other Net Assets | 4.5 | % |
Sector Allocation is subject to change.
The Portfolio may obtain its exposure to domestic and foreign equity securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.
The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.
The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
168
Table of Contents
Balanced Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Investment Companies (95.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Domestic Equity (36.5%) | ||||||||
iShares Core S&P 500 ETF | 2,400 | 1,032 | ||||||
iShares Core S&P Mid-Cap ETF | 20,450 | 5,496 | ||||||
iShares Russell 2000 ETF | 76,900 | 17,639 | ||||||
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £ | 41,404,605 | 76,516 | ||||||
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £ | 41,344,315 | 80,084 | ||||||
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £ | 20,099,489 | 91,935 | ||||||
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £ | 20,987,787 | 85,126 | ||||||
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £ | 63,566,979 | 87,913 | ||||||
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £ | 40,063,245 | 87,578 | ||||||
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £ | 67,780,039 | 77,202 | ||||||
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £ | 23,093,986 | 102,607 | ||||||
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £ | 56,721,280 | 108,394 | ||||||
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £ | 7,377,912 | 26,516 | ||||||
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £ | 11,215,378 | 28,711 | ||||||
|
| |||||||
Total | 876,749 | |||||||
|
| |||||||
Fixed Income (47.2%) | ||||||||
iShares Core U.S. Aggregate Bond ETF | 106,000 | 12,225 | ||||||
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £ | 117,256,466 | 91,460 | ||||||
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £ | 103,464,013 | 120,432 | ||||||
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £ | 658,304,862 | 885,420 | ||||||
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £ | 22,237,841 | 24,017 | ||||||
|
| |||||||
Total | 1,133,554 | |||||||
|
| |||||||
Foreign Equity (11.8%) | ||||||||
iShares Core MSCI Emerging Markets ETF | 160,200 | 10,732 | ||||||
iShares MSCI EAFE ETF | 82,000 | 6,468 | ||||||
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £ | 17,947,303 | 26,454 | ||||||
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £ | 38,867,353 | 65,764 |
Investment Companies (95.5%) | Shares/ Par+ | Value $ (000’s) | ||||||
Foreign Equity continued | ||||||||
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £ | 25,596,662 | 59,973 | ||||||
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £ | 90,656,379 | 115,496 | ||||||
|
| |||||||
Total | 284,887 | |||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $1,959,962) |
| 2,295,190 | ||||||
|
| |||||||
Short-Term Investments (4.2%) | ||||||||
Commercial Paper (1.8%) | ||||||||
Apple, Inc. 0.000%, 8/12/21 144A | 5,000,000 | 5,000 | ||||||
Exxon Mobil Corp. | 5,000,000 | 5,000 | ||||||
0.000%, 7/27/21 | 6,000,000 | 5,999 | ||||||
Nestle Capital Corp. 0.000%, 7/22/21 144A | 4,350,000 | 4,350 | ||||||
Societe Generale SA | 2,000,000 | 2,000 | ||||||
0.000%, 8/2/21 144A | 2,000,000 | 2,000 | ||||||
0.000%, 8/9/21 144A | 4,500,000 | 4,500 | ||||||
0.000%, 8/26/21 144A | 3,000,000 | 2,999 | ||||||
Unilever Capital Corp. | 10,000,000 | 10,000 | ||||||
0.000%, 8/25/21 144A | 500,000 | 500 | ||||||
|
| |||||||
Total | 42,348 | |||||||
|
| |||||||
Investment Companies (1.9%) | ||||||||
JPMorgan Ultra-Short Income ETF | 452,950 | 22,983 | ||||||
PIMCO Enhanced Short Maturity Active ETF | 225,400 | 22,984 | ||||||
|
| |||||||
Total | 45,967 | |||||||
|
| |||||||
Money Market Funds (0.5%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%# | 12,657,025 | 12,657 | ||||||
|
| |||||||
Total | 12,657 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $101,005) | 100,972 | |||||||
|
| |||||||
Total Investments (99.7%) | ||||||||
(Cost: $2,060,967)@ | 2,396,162 | |||||||
|
| |||||||
Other Assets, Less Liabilities (0.3%) | 7,692 | |||||||
|
| |||||||
Net Assets (100.0%) | 2,403,854 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
£ | Affiliated Company |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $31,349 representing 1.3% of the net assets. |
The Accompanying Notes are an Integral Part of the Financial Statements.
169
Table of Contents
Balanced Portfolio
# | 7-Day yield as of 6/30/2021. |
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,060,967 and the net unrealized appreciation of investments based on that cost was $335,195 which is comprised of $335,228 aggregate gross unrealized appreciation and $33 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation. |
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Investment Companies | $ | 2,295,190 | $ | - | $ | - | ||||||||
Short-Term Investments | ||||||||||||||
Commercial Paper | - | 42,348 | - | |||||||||||
All Others | 58,624 | - | - | |||||||||||
Total Assets: | $ | 2,353,814 | $ | 42,348 | $ | - |
The Accompanying Notes are an Integral Part of the Financial Statements.
170
Table of Contents
Asset Allocation Portfolio (unaudited)
Sector Allocation 6/30/21
Sector | % of Net Assets | |||
Domestic Equity | 47.5% | |||
Fixed Income | 32.1% | |||
Foreign Equity | 16.8% | |||
Short-Term Investments & Other Net Assets | 3.6% |
Sector Allocation is subject to change.
The Portfolio obtains its exposure to equity and fixed income securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.
The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.
The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.
171
Table of Contents
Asset Allocation Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2021 (unaudited)
Investment Companies (96.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Domestic Equity (47.5%) | ||||||||
iShares Core S&P 500 ETF | 1,400 | 602 | ||||||
iShares Core S&P Mid-Cap ETF | 7,350 | 1,975 | ||||||
iShares Russell 2000 ETF | 2,000 | 459 | ||||||
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £ | 7,053,405 | 13,035 | ||||||
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £ | 7,057,538 | 13,670 | ||||||
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £ | 3,368,706 | 15,408 | ||||||
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £ | 3,774,165 | 15,308 | ||||||
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £ | 10,640,826 | 14,716 | ||||||
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £ | 6,895,539 | 15,074 | ||||||
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £ | 11,860,489 | 13,509 | ||||||
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £ | 3,665,535 | 16,286 | ||||||
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £ | 8,990,910 | 17,182 | ||||||
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £ | 2,085,885 | 7,497 | ||||||
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £ | 3,205,664 | 8,206 | ||||||
|
| |||||||
Total | 152,927 | |||||||
|
| |||||||
Fixed Income (32.1%) | ||||||||
iShares Core U.S. Aggregate Bond ETF | 14,100 | 1,626 | ||||||
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £ | 24,036,438 | 18,748 | ||||||
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £ | 13,837,706 | 16,107 | ||||||
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £ | 47,420,053 | 63,780 | ||||||
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £ | 3,039,305 | 3,283 | ||||||
|
| |||||||
Total | 103,544 | |||||||
|
| |||||||
Foreign Equity (16.8%) | ||||||||
iShares Core MSCI Emerging Markets ETF | 27,200 | 1,822 | ||||||
iShares MSCI EAFE ETF | 13,200 | 1,041 | ||||||
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £ | 3,238,291 | 4,773 |
Investment Companies (96.4%) | Shares/ Par+ | Value $ (000’s) | ||||||
Foreign Equity continued | ||||||||
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £ | 7,249,947 | 12,267 | ||||||
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £ | 5,025,478 | 11,775 | ||||||
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £ | 17,710,154 | 22,563 | ||||||
|
| |||||||
Total | 54,241 | |||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $255,596) | 310,712 | |||||||
|
| |||||||
Short-Term Investments (3.5%) | ||||||||
Commercial Paper (1.8%) | ||||||||
Caterpillar Financial Services Corp. 0.000%, 7/6/21 | 1,500,000 | 1,500 | ||||||
Exxon Mobil Corp. | 500,000 | 500 | ||||||
0.000%, 8/4/21 | 1,000,000 | 1,000 | ||||||
Societe Generale SA | 800,000 | 800 | ||||||
0.000%, 8/24/21 144A | 700,000 | 700 | ||||||
Unilever Capital Corp. | 1,000,000 | 1,000 | ||||||
0.000%, 8/3/21 144A | 500,000 | 500 | ||||||
|
| |||||||
Total | 6,000 | |||||||
|
| |||||||
Investment Companies (1.3%) | ||||||||
JPMorgan Ultra-Short Income ETF | 40,300 | 2,045 | ||||||
PIMCO Enhanced Short Maturity Active ETF | 20,100 | 2,049 | ||||||
|
| |||||||
Total | 4,094 | |||||||
|
| |||||||
Money Market Funds (0.4%) | ||||||||
State Street Institutional U.S. Government | ||||||||
Money Market Fund - Premier Class 0.030%# | 1,147,070 | 1,147 | ||||||
|
| |||||||
Total | 1,147 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost: $11,244) | 11,241 | |||||||
|
| |||||||
Total Investments (99.9%) | ||||||||
(Cost: $266,840)@ | 321,953 | |||||||
|
| |||||||
Other Assets, Less Liabilities (0.1%) | 387 | |||||||
|
| |||||||
Net Assets (100.0%) | 322,340 | |||||||
|
|
+ | All par is stated in U.S. Dollar unless otherwise noted. |
£ | Affiliated Company |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the value of these securities (in thousands) was $3,000 representing 0.9% of the net assets. |
# | 7-Day yield as of 6/30/2021. |
The Accompanying Notes are an Integral Part of the Financial Statements.
172
Table of Contents
Asset Allocation Portfolio
@ | At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $266,840 and the net unrealized appreciation of investments based on that cost was $55,113 which is comprised of $55,143 aggregate gross unrealized appreciation and $30 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.
Valuation Inputs | ||||||||||||||
Description | Level 1 – Quoted Prices | Level 2 – Other Significant | Level 3 – Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Investment Companies | $ | 310,712 | $ | – | $ | – | ||||||||
Short-Term Investments | ||||||||||||||
Commercial Paper | – | 6,000 | – | |||||||||||
All Others | 5,241 | – | – | |||||||||||
Total Assets: | $ | 315,953 | $ | 6,000 | $ | – |
The Accompanying Notes are an Integral Part of the Financial Statements.
173
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Growth Stock Portfolio | Focused Appreciation Portfolio | Large Cap Core Stock Portfolio | Large Cap Blend Portfolio | Index 500 Stock Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Unaffiliated Investments, at Value (1) | $ | 1,360,401 | $ | 1,295,702 | $ | 800,699 | $ | 194,191 | $ | 5,004,157 | ||||||||||
Cash | – | – | – | – | 5 | |||||||||||||||
Cash Collateral for Derivative Positions | – | – | – | – | 2,958 | |||||||||||||||
Receivable for Portfolio Shares Sold | 150 | 101 | 5 | 2 | 913 | |||||||||||||||
Receivable for Investment Securities Sold | 1,503 | 7,622 | 6,335 | – | – | |||||||||||||||
Variation Margin Receivable | – | – | – | – | 86 | |||||||||||||||
Prepaid Expenses and Other Assets | 18 | 18 | 15 | 12 | 40 | |||||||||||||||
Dividends and Interest Receivable | 93 | 1,275 | 361 | 165 | 2,877 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 1,362,165 | 1,304,718 | 807,415 | 194,370 | 5,011,036 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payable for Portfolio Shares Redeemed | 605 | 522 | 266 | 13 | 1,773 | |||||||||||||||
Payable for Investment Securities Purchased | 4,437 | 3,532 | 9,548 | – | – | |||||||||||||||
Investment Advisory Fees | 483 | 696 | 290 | 128 | 840 | |||||||||||||||
Compliance Fees Payable | 2 | 2 | 2 | 1 | 4 | |||||||||||||||
Accrued Expenses | 43 | 42 | 37 | 23 | 70 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 5,570 | 4,794 | 10,143 | 165 | 2,687 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 1,356,595 | $ | 1,299,924 | $ | 797,272 | $ | 194,205 | $ | 5,008,349 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Represented By: | ||||||||||||||||||||
Aggregate Paid in Capital (10) (11) | $ | 661,274 | $ | 444,827 | $ | 445,473 | $ | 114,908 | $ | 1,439,189 | ||||||||||
Total Distributable Earnings (Loss) | 695,321 | 855,097 | 351,799 | 79,297 | 3,569,160 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets for Shares Outstanding (10) (11) | $ | 1,356,595 | $ | 1,299,924 | $ | 797,272 | $ | 194,205 | $ | 5,008,349 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, Offering and Redemption Price per Share | $ | 4.06 | $ | 4.57 | $ | 2.19 | $ | 1.38 | $ | 7.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Unaffiliated Investments, at Cost | $ | 800,981 | $ | 607,044 | $ | 566,498 | $ | 141,571 | $ | 1,719,467 | ||||||||||
(10) Shares Outstanding | 334,440 | 284,221 | 364,659 | 140,456 | 659,013 | |||||||||||||||
(11) Shares Authorized, $.01 Par Value | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
174
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Large Company Value Portfolio | Domestic Equity Portfolio | Equity Income Portfolio | Mid Cap Growth Stock Portfolio | Index 400 Stock Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Unaffiliated Investments, at Value (1) | $ | 230,259 | $ | 1,031,331 | $ | 861,583 | $ | 1,394,130 | $ | 1,275,518 | ||||||||||
Cash | – | – | – | – | 7 | |||||||||||||||
Cash Collateral for Derivative Positions | – | – | – | – | 3 | |||||||||||||||
Receivable for Portfolio Shares Sold | 5 | 130 | 65 | 86 | 193 | |||||||||||||||
Receivable for Investment Securities Sold | 843 | – | 2,166 | – | – | |||||||||||||||
Variation Margin Receivable | – | – | – | – | 10 | |||||||||||||||
Receivable for Foreign Currency | 75 | – | – | – | – | |||||||||||||||
Prepaid Expenses and Other Assets | 12 | 16 | 16 | 18 | 27 | |||||||||||||||
Dividends and Interest Receivable | 389 | 1,131 | 1,284 | 917 | 1,003 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 231,583 | 1,032,608 | 865,114 | 1,395,151 | 1,276,761 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payable for Portfolio Shares Redeemed | 15 | 315 | 241 | 652 | 444 | |||||||||||||||
Payable for Investment Securities Purchased | 590 | – | 1,570 | – | – | |||||||||||||||
Payable for Foreign Currency | 3 | – | – | – | – | |||||||||||||||
Investment Advisory Fees | 141 | 458 | 433 | 643 | 254 | |||||||||||||||
Compliance Fees Payable | 2 | 2 | 2 | 2 | 2 | |||||||||||||||
Accrued Expenses | 40 | 46 | 43 | 48 | 74 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 791 | 821 | 2,289 | 1,345 | 774 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 230,792 | $ | 1,031,787 | $ | 862,825 | $ | 1,393,806 | $ | 1,275,987 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Represented By: | ||||||||||||||||||||
Aggregate Paid in Capital (10) (11) | $ | 173,646 | $ | 643,274 | $ | 567,376 | $ | 826,087 | $ | 708,507 | ||||||||||
Total Distributable Earnings (Loss) | 57,146 | 388,513 | 295,449 | 567,719 | 567,480 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets for Shares Outstanding (10) (11) | $ | 230,792 | $ | 1,031,787 | $ | 862,825 | $ | 1,393,806 | $ | 1,275,987 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, Offering and Redemption Price per Share | $ | 1.14 | $ | 1.85 | $ | 1.94 | $ | 4.44 | $ | 2.53 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Unaffiliated Investments, at Cost | $ | 193,095 | $ | 754,987 | $ | 632,381 | $ | 1,044,491 | $ | 828,696 | ||||||||||
(10) Shares Outstanding | 202,577 | 558,383 | 445,458 | 313,722 | 505,248 | |||||||||||||||
(11) Shares Authorized, $.01 Par Value | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
175
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Mid Cap Value Portfolio | Small Cap Growth Stock Portfolio | Index 600 Stock Portfolio | Small Cap Value Portfolio | International Growth Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Unaffiliated Investments, at Value (1) | $ | 672,977 | $ | 854,342 | $ | 420,964 | $ | 672,451 | $ | 1,021,084 | ||||||||||
Foreign Currency, at Value (4) | – | – | – | – | 386 | |||||||||||||||
Receivable for Portfolio Shares Sold | 70 | 55 | 107 | 66 | 254 | |||||||||||||||
Receivable for Investment Securities Sold | 879 | 2,993 | – | 2,885 | 719 | |||||||||||||||
Variation Margin Receivable | – | – | 7 | – | – | |||||||||||||||
Receivable for Foreign Currency | 173 | – | – | – | 2 | |||||||||||||||
Prepaid Expenses and Other Assets | 14 | 16 | 25 | 14 | 16 | |||||||||||||||
Dividends and Interest Receivable | 1,204 | 153 | 366 | 287 | 2,002 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 675,317 | 857,559 | 421,469 | 675,703 | 1,024,463 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payable for Portfolio Shares Redeemed | 228 | 278 | 301 | 292 | 335 | |||||||||||||||
Payable for Investment Securities Purchased | 608 | 4,551 | – | 3,439 | 4,585 | |||||||||||||||
Accrued Foreign Capital Gains Tax | – | – | – | – | 53 | |||||||||||||||
Payable for Foreign Currency | 4 | – | – | – | 7 | |||||||||||||||
Collateral from Counterparty | 223 | – | – | – | – | |||||||||||||||
Investment Advisory Fees | 424 | 400 | 85 | 516 | 539 | |||||||||||||||
Compliance Fees Payable | 2 | 2 | 2 | 2 | 2 | |||||||||||||||
Accrued Expenses | 72 | 50 | 49 | 51 | 110 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 1,561 | 5,281 | 437 | 4,300 | 5,631 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 673,756 | $ | 852,278 | $ | 421,032 | $ | 671,403 | $ | 1,018,832 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Represented By: | ||||||||||||||||||||
Aggregate Paid in Capital (10) (11) | $ | 496,145 | $ | 451,436 | $ | 262,070 | $ | 361,735 | $ | 562,882 | ||||||||||
Total Distributable Earnings (Loss) | 177,611 | 400,842 | 158,962 | 309,668 | 455,950 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets for Shares Outstanding (10) (11) | $ | 673,756 | $ | 852,278 | $ | 421,032 | $ | 671,403 | $ | 1,018,832 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, Offering and Redemption Price per Share | $ | 1.91 | $ | 3.60 | $ | 1.85 | $ | 2.56 | $ | 2.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Unaffiliated Investments, at Cost | $ | 563,956 | $ | 606,969 | $ | 289,899 | $ | 443,687 | $ | 644,276 | ||||||||||
(4) Foreign Currency, at Cost | – | – | – | – | 386 | |||||||||||||||
(10) Shares Outstanding | 352,523 | 236,997 | 228,113 | 262,150 | 434,858 | |||||||||||||||
(11) Shares Authorized, $.01 Par Value | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
176
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Research International Core Portfolio | International Equity Portfolio | Emerging Markets Equity Portfolio | Government Money Market Portfolio | Short-Term Bond Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Unaffiliated Investments, at Value (1) | $ | 930,020 | $ | 1,907,481 | $ | 1,067,369 | $ | 384,099 | $ | 417,234 | ||||||||||
Investments in Repurchase Agreements, at Value (3) | – | – | – | 169,000 | – | |||||||||||||||
Foreign Currency, at Value (4) | 387 | 1,970 | 30 | – | – | |||||||||||||||
Receivable for Portfolio Shares Sold | 167 | 215 | 149 | 765 | 2,817 | |||||||||||||||
Receivable for Investment Securities Sold | 1,163 | – | 616 | – | 577 | |||||||||||||||
Variation Margin Receivable | – | – | – | – | 6 | |||||||||||||||
Receivable for Foreign Currency | 4 | 5 | – | – | – | |||||||||||||||
Prepaid Expenses and Other Assets | 16 | 21 | 17 | 15 | 13 | |||||||||||||||
Dividends and Interest Receivable | 3,270 | 5,901 | 2,405 | 36 | 1,656 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 935,027 | 1,915,593 | 1,070,586 | 553,915 | 422,303 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payable for Portfolio Shares Redeemed | 260 | 534 | 461 | 751 | 66 | |||||||||||||||
Payable for Investment Securities Purchased | 35 | – | 1,050 | 16,196 | 8,387 | |||||||||||||||
Accrued Foreign Capital Gains Tax | 344 | – | 3,117 | – | – | |||||||||||||||
Variation Margin Payable | – | – | – | – | 27 | |||||||||||||||
Collateral from Counterparty | – | – | – | – | 60 | |||||||||||||||
Investment Advisory Fees | 597 | 861 | 833 | 17 | 119 | |||||||||||||||
Compliance Fees Payable | 2 | 2 | 2 | 2 | 2 | |||||||||||||||
Accrued Expenses | 100 | 556 | 122 | 39 | 69 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 1,338 | 1,953 | 5,585 | 17,005 | 8,676 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 933,689 | $ | 1,913,640 | $ | 1,065,001 | $ | 536,910 | $ | 413,627 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Represented By: | ||||||||||||||||||||
Aggregate Paid in Capital (10) (11) | $ | 633,863 | $ | 1,749,817 | $ | 671,267 | $ | 536,909 | $ | 397,165 | ||||||||||
Total Distributable Earnings (Loss) | 299,826 | 163,823 | 393,734 | 1 | 16,462 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets for Shares Outstanding (10) (11) | $ | 933,689 | $ | 1,913,640 | $ | 1,065,001 | $ | 536,910 | $ | 413,627 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, Offering and Redemption Price per Share | $ | 1.27 | $ | 1.69 | $ | 1.47 | $ | 1.00 | $ | 1.08 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Unaffiliated Investments, at Cost | $ | 682,424 | $ | 1,584,446 | $ | 729,318 | $ | 384,099 | $ | 412,186 | ||||||||||
(3) Investments in Repurchase Agreements, at Cost | – | – | – | 169,000 | – | |||||||||||||||
(4) Foreign Currency, at Cost | 389 | 1,970 | 30 | – | – | |||||||||||||||
(10) Shares Outstanding | 732,782 | 1,131,023 | 722,556 | 536,907 | 383,113 | |||||||||||||||
(11) Shares Authorized, $.01 Par Value | 2,000,000 | 3,000,000 | 2,000,000 | 2,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
177
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Select Bond Portfolio | Long-Term U.S. Government Bond Portfolio | Inflation Protection Portfolio | High Yield Bond | Multi-Sector Bond Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Unaffiliated Investments, at Value (1) | $ | 3,725,971 | $ | 174,228 | $ | 467,741 | $ | 839,695 | $ | 1,276,270 | ||||||||||
Cash | 1,787 | – | – | – | 22 | |||||||||||||||
Foreign Currency, at Value (4) | – | – | – | – | 4,956 | |||||||||||||||
Cash Collateral for Derivative Positions | – | 408 | – | – | 7,702 | |||||||||||||||
Receivable for Portfolio Shares Sold | 506 | 39 | 171 | 101 | 6,433 | |||||||||||||||
Receivable for Investment Securities Sold | 334,816 | 5,306 | 8,231 | – | 50 | |||||||||||||||
Receivable for Financing Transactions | – | 118,547 | – | – | – | |||||||||||||||
Variation Margin Receivable | – | 86 | 105 | – | 876 | |||||||||||||||
Outstanding Swap Contracts, at Value (8) | – | – | 2,028 | – | 1,156 | |||||||||||||||
Receivable for Foreign Currency | – | – | 818 | – | 9,164 | |||||||||||||||
Prepaid Expenses and Other Assets | 30 | 12 | 13 | 24 | 18 | |||||||||||||||
Dividends and Interest Receivable | 11,416 | 893 | 1,041 | 13,154 | 11,598 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 4,074,526 | 299,519 | 480,148 | 852,974 | 1,318,245 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payable for Portfolio Shares Redeemed | 5,854 | 102 | 235 | 4,138 | 377 | |||||||||||||||
Payable for Investment Securities Purchased | 639,645 | 400 | 4,456 | 5,188 | 4,941 | |||||||||||||||
Payable for Financing Transactions | – | 149,285 | – | – | – | |||||||||||||||
Accrued Foreign Capital Gains Tax | – | – | – | – | 1 | |||||||||||||||
Variation Margin Payable | – | 124 | 124 | – | 319 | |||||||||||||||
Payable to Custodian | – | 6 | – | – | – | |||||||||||||||
Securities Sold Short, at Value (7) | – | 5,351 | – | – | – | |||||||||||||||
Payable for Reverse Repurchase Agreements | – | – | – | – | 2,194 | |||||||||||||||
Outstanding Swap Contracts, at Value (9) | – | – | 2,210 | – | 185 | |||||||||||||||
Payable for Foreign Currency | – | – | – | – | 689 | |||||||||||||||
Collateral from Counterparty | 320 | – | 2,441 | – | 8,700 | |||||||||||||||
Investment Advisory Fees | 904 | 70 | 208 | 319 | 781 | |||||||||||||||
Compliance Fees Payable | 3 | 2 | 2 | 2 | 2 | |||||||||||||||
Deferred Income for Financing Transactions | – | 16 | – | – | – | |||||||||||||||
Accrued Expenses | 115 | 41 | 65 | 76 | 134 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 646,841 | 155,397 | 9,493 | 9,723 | 18,323 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 3,427,685 | $ | 144,122 | $ | 470,655 | $ | 843,251 | $ | 1,299,922 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Represented By: | ||||||||||||||||||||
Aggregate Paid in Capital (10) (11) | $ | 3,164,652 | $ | 142,272 | $ | 425,908 | $ | 755,517 | $ | 1,207,435 | ||||||||||
Total Distributable Earnings (Loss) | 263,033 | 1,850 | 44,747 | 87,734 | 92,487 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets for Shares Outstanding (10) (11) | $ | 3,427,685 | $ | 144,122 | $ | 470,655 | $ | 843,251 | $ | 1,299,922 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, Offering and Redemption Price per Share | $ | 1.35 | $ | 1.12 | $ | 1.24 | $ | 0.78 | $ | 1.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Unaffiliated Investments, at Cost | $ | 3,705,600 | $ | 183,915 | $ | 443,499 | $ | 807,182 | $ | 1,231,007 | ||||||||||
(4) Foreign Currency, at Cost | – | – | – | – | 4,980 | |||||||||||||||
(7) Proceeds Received from Short Sales | – | 5,349 | – | – | – | |||||||||||||||
(8) Premiums Paid on Swap Contracts | – | 480 | 2 | – | 12,543 | |||||||||||||||
(9) Premiums Received from Swap Contracts | – | 684 | 1 | – | 4,623 | |||||||||||||||
(10) Shares Outstanding | 2,548,177 | 128,646 | 379,985 | 1,081,691 | 1,116,837 | |||||||||||||||
(11) Shares Authorized, $.01 Par Value | 6,000,000 | 2,000,000 | 2,000,000 | 3,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
178
Table of Contents
Statements of Assets and Liabilities
NORTHWESTERN MUTUAL SERIES FUND, INC.
June 30, 2021 (unaudited) (in thousands)
Balanced Portfolio | Asset Allocation Portfolio | |||||||
Assets | ||||||||
Unaffiliated Investments, at Value (1) | $ | 154,564 | $ | 18,766 | ||||
Affiliated Investments, at Value (2) | 2,241,598 | 303,187 | ||||||
Receivable for Portfolio Shares Sold | 322 | 364 | ||||||
Receivable for Investment Securities Sold | 16,559 | 2,092 | ||||||
Prepaid Expenses and Other Assets | 24 | 13 | ||||||
|
|
|
| |||||
Total Assets | 2,413,067 | 324,422 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Payable for Portfolio Shares Redeemed | 349 | 134 | ||||||
Payable for Investment Securities Purchased | 8,711 | 1,904 | ||||||
Investment Advisory Fees | 109 | 15 | ||||||
Compliance Fees Payable | 3 | 2 | ||||||
Accrued Expenses | 41 | 27 | ||||||
|
|
|
| |||||
Total Liabilities | 9,213 | 2,082 | ||||||
|
|
|
| |||||
Net Assets | $ | 2,403,854 | $ | 322,340 | ||||
|
|
|
| |||||
Represented By: | ||||||||
Aggregate Paid in Capital (10) (11) | $ | 1,856,191 | $ | 238,866 | ||||
Total Distributable Earnings (Loss) | 547,663 | 83,474 | ||||||
|
|
|
| |||||
Net Assets for Shares Outstanding (10) (11) | $ | 2,403,854 | $ | 322,340 | ||||
|
|
|
| |||||
Net Asset Value, Offering and Redemption Price per Share | $ | 1.66 | $ | 1.39 | ||||
|
|
|
| |||||
(1) Unaffiliated Investments, at Cost | $ | 145,301 | $ | 18,118 | ||||
(2) Affiliated Investments, at Cost | 1,915,666 | 248,722 | ||||||
(10) Shares Outstanding | 1,451,481 | 232,113 | ||||||
(11) Shares Authorized, $.01 Par Value | 4,000,000 | 2,000,000 |
The Accompanying Notes are an Integral Part of the Financial Statements.
179
Table of Contents
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Growth Stock Portfolio | Focused Appreciation Portfolio | Large Cap Core Stock Portfolio | Large Cap Blend Portfolio | Index 500 Stock Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income | ||||||||||||||||||||
Interest (1) | $ | 1 | $ | 1 | $ | – | $ | 1 | $ | 6 | ||||||||||
Unaffiliated Dividends (1) | 2,285 | 4,927 | 4,625 | 1,558 | 34,063 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income | 2,286 | 4,928 | 4,625 | 1,559 | 34,069 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Fees | 2,644 | 4,404 | 1,575 | 709 | 4,670 | |||||||||||||||
Custodian Fees | 20 | 35 | 13 | 9 | 19 | |||||||||||||||
Shareholder Reporting Fees | 9 | 12 | 8 | 4 | 26 | |||||||||||||||
Audit Fees | 14 | 13 | 14 | 11 | 20 | |||||||||||||||
Valuation Services | 1 | – | 1 | – | 3 | |||||||||||||||
Compliance Fees | 4 | 4 | 4 | 3 | 7 | |||||||||||||||
Directors Fees | 23 | 23 | 20 | 17 | 40 | |||||||||||||||
Professional Fees | 4 | 4 | 4 | 4 | 8 | |||||||||||||||
Trade Name Fees | – | – | – | – | 12 | |||||||||||||||
Other Expenses | 7 | 7 | 4 | 1 | 24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 2,726 | 4,502 | 1,643 | 758 | 4,829 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Waived Fees: | ||||||||||||||||||||
Paid by Affiliate | (29 | ) | (741 | ) | (38 | ) | (28 | ) | (268 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 2,697 | 3,761 | 1,605 | 730 | 4,561 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | (411 | ) | 1,167 | 3,020 | 829 | 29,508 | ||||||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Unaffiliated Investment Securities | 81,689 | 38,522 | 54,450 | 12,797 | 61,958 | |||||||||||||||
Futures Contracts | – | – | – | – | 7,291 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments | 81,689 | 38,522 | 54,450 | 12,797 | 69,249 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Unaffiliated Investment Securities | 72,718 | 121,092 | 44,152 | 4,701 | 565,202 | |||||||||||||||
Futures Contracts | – | – | – | – | 51 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 72,718 | 121,092 | 44,152 | 4,701 | 565,253 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments | 154,407 | 159,614 | 98,602 | 17,498 | 634,502 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 153,996 | $ | 160,781 | $ | 101,622 | $ | 18,327 | $ | 664,010 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Net of Foreign Tax | $ | 4 | $ | 483 | $ | 43 | $ | 53 | $ | 3 |
The Accompanying Notes are an Integral Part of the Financial Statements.
180
Table of Contents
Statements of Operations
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Large Company Value Portfolio | Domestic Equity Portfolio | Equity Income Portfolio | Mid Cap Portfolio | Index 400 Stock Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income | ||||||||||||||||||||
Interest (1) | $ | – | $ | 1 | $ | 51 | $ | – | $ | 2 | ||||||||||
Unaffiliated Dividends (1) | 2,817 | 11,758 | 9,890 | 4,614 | 8,264 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income | 2,817 | 11,759 | 9,941 | 4,614 | 8,266 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Fees | 780 | 2,617 | 2,650 | 3,565 | 1,531 | |||||||||||||||
Custodian Fees | 24 | 11 | 13 | 18 | 14 | |||||||||||||||
Shareholder Reporting Fees | 4 | 15 | 11 | 11 | 19 | |||||||||||||||
Audit Fees | 13 | 12 | 13 | 14 | 14 | |||||||||||||||
Valuation Services | 7 | – | 1 | 1 | 3 | |||||||||||||||
Compliance Fees | 3 | 4 | 4 | 4 | 4 | |||||||||||||||
Directors Fees | 18 | 22 | 21 | 24 | 22 | |||||||||||||||
Professional Fees | 4 | 4 | 4 | 4 | 6 | |||||||||||||||
Trade Name Fees | – | – | – | – | 46 | |||||||||||||||
Other Expenses | 1 | 5 | 3 | 7 | 6 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 854 | 2,690 | 2,720 | 3,648 | 1,665 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Waived Fees: | ||||||||||||||||||||
Paid by Affiliate | (22 | ) | (148 | ) | (311 | ) | (19 | ) | (182 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 832 | 2,542 | 2,409 | 3,629 | 1,483 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 1,985 | 9,217 | 7,532 | 985 | 6,783 | |||||||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Unaffiliated Investment Securities | 15,188 | 61,739 | 43,159 | 45,043 | 61,617 | |||||||||||||||
Futures Contracts | – | – | – | – | 3,463 | |||||||||||||||
Foreign Currency Transactions | 193 | – | 3 | – | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments | 15,381 | 61,739 | 43,162 | 45,043 | 65,080 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Unaffiliated Investment Securities | 11,600 | 46,553 | 90,801 | 67,473 | 121,066 | |||||||||||||||
Futures Contracts | – | – | – | – | (628 | ) | ||||||||||||||
Foreign Currency Transactions | 182 | – | (3 | ) | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 11,782 | 46,553 | 90,798 | 67,473 | 120,438 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments | 27,163 | 108,292 | 133,960 | 112,516 | 185,518 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 29,148 | $ | 117,509 | $ | 141,492 | $ | 113,501 | $ | 192,301 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Net of Foreign Tax | $ | 68 | $ | – | $ | 203 | $ | 2 | $ | – |
The Accompanying Notes are an Integral Part of the Financial Statements.
181
Table of Contents
Statements of Operations
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Mid Cap Value Portfolio | Small Cap Growth Stock Portfolio | Index 600 Stock | Small Cap Value Portfolio | International Growth | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income | ||||||||||||||||||||
Interest (1) | $ | 2 | $ | 1 | $ | 1 | $ | 1 | $ | 11 | ||||||||||
Unaffiliated Dividends (1) | 7,410 | 1,741 | 2,425 | 3,675 | 8,348 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income | 7,412 | 1,742 | 2,426 | 3,676 | 8,359 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Fees | 2,771 | 2,237 | 444 | 2,809 | 2,802 | |||||||||||||||
Custodian Fees | 28 | 15 | 19 | 16 | 75 | |||||||||||||||
Shareholder Reporting Fees | 18 | 15 | 10 | 16 | 20 | |||||||||||||||
Audit Fees | 14 | 13 | 13 | 12 | 15 | |||||||||||||||
Valuation Services | 8 | 1 | 4 | 1 | 8 | |||||||||||||||
Compliance Fees | 4 | 4 | 3 | 4 | 4 | |||||||||||||||
Directors Fees | 20 | 21 | 18 | 20 | 21 | |||||||||||||||
Professional Fees | 4 | 4 | 6 | 4 | 17 | |||||||||||||||
Trade Name Fees | – | – | 13 | – | – | |||||||||||||||
Other Expenses | 3 | 4 | 3 | 4 | 5 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 2,870 | 2,314 | 533 | 2,886 | 2,967 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Waived Fees: | ||||||||||||||||||||
Paid by Affiliate | (521 | ) | – | – | (41 | ) | – | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 2,349 | 2,314 | 533 | 2,845 | 2,967 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 5,063 | (572 | ) | 1,893 | 831 | 5,392 | ||||||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Unaffiliated Investment Securities | 58,867 | 71,646 | 16,274 | 50,296 | 40,632 | |||||||||||||||
Futures Contracts | – | – | (376 | ) | – | – | ||||||||||||||
Swap Contracts | – | – | 1,688 | – | – | |||||||||||||||
Foreign Currency Transactions | 99 | – | – | – | 15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments | 58,966 | 71,646 | 17,586 | 50,296 | 40,647 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Unaffiliated Investment Securities | 29,615 | (28,449 | ) | 59,981 | 47,418 | 43,133 | ||||||||||||||
Futures Contracts | – | – | 575 | – | – | |||||||||||||||
Swap Contracts | – | – | (894 | ) | – | – | ||||||||||||||
Foreign Currency Transactions | 504 | – | – | – | (91 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 30,119 | (28,449 | ) | 59,662 | 47,418 | 43,042 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments | 89,085 | 43,197 | 77,248 | 97,714 | 83,689 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 94,148 | $ | 42,625 | $ | 79,141 | $ | 98,545 | $ | 89,081 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Net of Foreign Tax | $ | 109 | $ | – | $ | 2 | $ | 6 | $ | 224 |
The Accompanying Notes are an Integral Part of the Financial Statements.
182
Table of Contents
Statements of Operations
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Research International Core Portfolio | International Equity Portfolio | Emerging Markets Equity Portfolio | Government Money Market | Short-Term Bond Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income | ||||||||||||||||||||
Interest (1) | $ | (1 | ) | $ | 4 | $ | 2 | $ | 230 | $ | 3,512 | |||||||||
Unaffiliated Dividends (1) | 12,876 | 34,239 | 11,602 | – | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income | 12,875 | 34,243 | 11,604 | 230 | 3,512 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Fees | 3,409 | 6,129 | 5,314 | 822 | 639 | |||||||||||||||
Custodian Fees | 71 | 102 | 97 | 19 | 26 | |||||||||||||||
Shareholder Reporting Fees | 17 | 33 | 21 | 5 | 11 | |||||||||||||||
Audit Fees | 14 | 16 | 15 | 13 | 15 | |||||||||||||||
Valuation Services | 8 | 7 | 7 | 5 | 27 | |||||||||||||||
Compliance Fees | 4 | 5 | 4 | 4 | 4 | |||||||||||||||
Directors Fees | 21 | 26 | 22 | 20 | 19 | |||||||||||||||
Professional Fees | 31 | 21 | 19 | 3 | 4 | |||||||||||||||
Other Expenses | 5 | 9 | 5 | 3 | 2 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 3,580 | 6,348 | 5,504 | 894 | 747 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Waived Fees: | ||||||||||||||||||||
Paid by Affiliate | (227 | ) | (1,558 | ) | (793 | ) | (666 | ) | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 3,353 | 4,790 | 4,711 | 228 | 747 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 9,522 | 29,453 | 6,893 | 2 | 2,765 | |||||||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Unaffiliated Investment Securities | 22,411 | 62,787 | 71,338 | 1 | 1,015 | |||||||||||||||
Futures Contracts | – | – | – | – | 486 | |||||||||||||||
Foreign Currency Transactions | 41 | (50 | ) | (339 | ) | – | – | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments | 22,452 | 62,737 | 70,999 | 1 | 1,501 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Unaffiliated Investment Securities | 36,278 | 71,637 | (16,351 | ) | – | (2,954 | ) | |||||||||||||
Futures Contracts | – | – | – | – | (151 | ) | ||||||||||||||
Foreign Currency Transactions | (153 | ) | (192 | ) | (9 | ) | – | – | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 36,125 | 71,445 | (16,360 | ) | – | (3,105 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments | 58,577 | 134,182 | 54,639 | 1 | (1,604 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 68,099 | $ | 163,635 | $ | 61,532 | $ | 3 | $ | 1,161 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Net of Foreign Tax | $ | (39 | ) | $ | 1,301 | $ | 445 | $ | – | $ | – |
The Accompanying Notes are an Integral Part of the Financial Statements.
183
Table of Contents
Statements of Operations
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Select Bond Portfolio | Long – Term U.S. Government Bond Portfolio | Inflation Protection Portfolio | High Yield Bond Portfolio | Multi -Sector Bond Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income | ||||||||||||||||||||
Interest (1) | $ | 24,194 | $ | 1,715 | $ | 7,538 | $ | 22,335 | $ | 21,240 | ||||||||||
Unaffiliated Dividends (1) | – | – | 84 | 23 | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income | 24,194 | 1,715 | 7,622 | 22,358 | 21,240 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Fees | 5,052 | 383 | 1,170 | 1,736 | 4,610 | |||||||||||||||
Custodian Fees | 41 | 19 | 19 | 12 | 84 | |||||||||||||||
Shareholder Reporting Fees | 24 | 5 | 16 | 21 | 18 | |||||||||||||||
Audit Fees | 22 | 17 | 17 | 18 | 23 | |||||||||||||||
Valuation Services | 30 | 5 | 10 | 18 | 29 | |||||||||||||||
Compliance Fees | 6 | 3 | 4 | 4 | 4 | |||||||||||||||
Directors Fees | 34 | 17 | 19 | 21 | 23 | |||||||||||||||
Professional Fees | 6 | 4 | 4 | 4 | 5 | |||||||||||||||
Interest Expense | – | 20 | –�� | – | 26 | |||||||||||||||
Other Expenses | 20 | 1 | 2 | 5 | 6 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 5,235 | 474 | 1,261 | 1,839 | 4,828 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Waived Fees: | ||||||||||||||||||||
Paid by Affiliate | (138 | ) | – | (81 | ) | – | (567 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 5,097 | 474 | 1,180 | 1,839 | 4,261 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 19,097 | 1,241 | 6,442 | 20,519 | 16,979 | |||||||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Unaffiliated Investment Securities | 982 | (1,859 | ) | 6,127 | (145 | ) | 6,199 | |||||||||||||
Futures Contracts | – | 2,349 | 1,060 | – | (15,499 | ) | ||||||||||||||
Options Written | – | – | – | – | 71 | |||||||||||||||
Short Sales | – | 91 | – | – | – | |||||||||||||||
Swap Contracts | – | 19 | (4 | ) | – | 10,904 | ||||||||||||||
Foreign Currency Transactions | – | – | (1,898 | ) | – | (6,847 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments | 982 | 600 | 5,285 | (145 | ) | (5,172 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Unaffiliated Investment Securities | (72,570 | ) | (13,630 | ) | (10,001 | ) | 11,156 | (16,956 | ) | |||||||||||
Futures Contracts | – | (425 | ) | (685 | ) | – | 3,808 | |||||||||||||
Short Sales | – | 102 | – | – | – | |||||||||||||||
Swap Contracts | – | 381 | 7,583 | – | (5,068 | ) | ||||||||||||||
Foreign Currency Transactions | – | – | 1,123 | – | 12,068 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | (72,570 | ) | (13,572 | ) | (1,980 | ) | 11,156 | (6,148 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments | (71,588 | ) | (12,972 | ) | 3,305 | 11,011 | (11,320 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (52,491 | ) | $ | (11,731 | ) | $ | 9,747 | $ | 31,530 | $ | 5,659 | ||||||||
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
184
Table of Contents
Statements of Operations
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Balanced Portfolio | Asset Allocation Portfolio | |||||||
Investment Income | ||||||||
Income | ||||||||
Interest (1) | $ | 17 | $ | 2 | ||||
Unaffiliated Dividends (1) | 587 | 80 | ||||||
|
|
|
| |||||
Total Income | 604 | 82 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment Advisory Fees | 3,548 | 798 | ||||||
Custodian Fees | 9 | 9 | ||||||
Shareholder Reporting Fees | 9 | 4 | ||||||
Audit Fees | 18 | 14 | ||||||
Valuation Services | 1 | — | ||||||
Compliance Fees | 5 | 3 | ||||||
Directors Fees | 29 | 18 | ||||||
Professional Fees | 5 | 4 | ||||||
Other Expenses | 13 | 1 | ||||||
|
|
|
| |||||
Total Expenses | 3,637 | 851 | ||||||
|
|
|
| |||||
Less Waived Fees: | ||||||||
Paid by Affiliate | (2,956 | ) | (720 | ) | ||||
Net Expenses | 681 | 131 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | (77 | ) | (49 | ) | ||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Unaffiliated Investment Securities | 8,476 | 1,710 | ||||||
Affiliated Investment Securities | 38,033 | 4,043 | ||||||
|
|
|
| |||||
Net Realized Gain (Loss) on Investments | 46,509 | 5,753 | ||||||
|
|
|
| |||||
Net Unrealized Appreciation (Depreciation) of: | ||||||||
Unaffiliated Investment Securities | (2,597 | ) | (978 | ) | ||||
Affiliated Investment Securities | 78,136 | 17,749 | ||||||
|
|
|
| |||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 75,539 | 16,771 | ||||||
|
|
|
| |||||
Net Gain (Loss) on Investments | 122,048 | 22,524 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 121,971 | $ | 22,475 | ||||
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
185
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Growth Stock Portfolio | Focused Appreciation Portfolio | Large Cap Core Stock Portfolio | ||||||||||||||||||||||
For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | (411 | ) | $ | 49 | $ | 1,167 | $ | 1,975 | $ | 3,020 | $ | 6,178 | |||||||||||
Net Realized Gain (Loss) on Investments | 81,689 | 54,774 | 38,522 | 125,701 | 54,450 | 54,967 | ||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 72,718 | 301,919 | 121,092 | 175,696 | 44,152 | 74,476 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 153,996 | 356,742 | 160,781 | 303,372 | 101,622 | 135,621 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (195,980 | ) | – | (50,373 | ) | – | (24,636 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting | – | (195,980 | ) | – | (50,373 | ) | – | (24,636 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 26,361 | 45,556 | 24,869 | 59,733 | 9,828 | 22,905 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 195,980 | – | 50,373 | – | 24,636 | ||||||||||||||||||
Shares Redeemed | (110,165 | ) | (199,219 | ) | (72,422 | ) | (189,033 | ) | (34,155 | ) | (71,757 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (83,804 | ) | 42,317 | (47,553 | ) | (78,927 | ) | (24,327 | ) | (24,216 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 70,192 | 203,079 | 113,228 | 174,072 | 77,295 | 86,769 | ||||||||||||||||||
Net Assets | 1,286,403 | 1,083,324 | 1,186,696 | 1,012,624 | 719,977 | 633,208 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 1,356,595 | $ | 1,286,403 | $ | 1,299,924 | $ | 1,186,696 | $ | 797,272 | $ | 719,977 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 7,105 | 13,216 | 5,938 | 16,862 | 4,832 | 14,085 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 59,841 | – | 13,644 | – | 14,440 | ||||||||||||||||||
Shares Redeemed | (29,637 | ) | (57,015 | ) | (17,139 | ) | (54,134 | ) | (16,656 | ) | (43,249 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares | (22,532 | ) | 16,042 | (11,201 | ) | (23,628 | ) | (11,824 | ) | (14,724 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
186
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Large Cap Blend Portfolio | Index 500 Stock Portfolio | Large Company Value Portfolio | ||||||||||||||||||||||
For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 829 | $ | 1,226 | $ | 29,508 | $ | 62,303 | $ | 1,985 | $ | 3,767 | ||||||||||||
Net Realized Gain (Loss) on Investments | 12,797 | 12,450 | 69,249 | 124,699 | 15,381 | 1,679 | ||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | 4,701 | 2,686 | 565,253 | 495,371 | 11,782 | 607 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 18,327 | 16,362 | 664,010 | 682,373 | 29,148 | 6,053 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (10,592 | ) | – | (139,079 | ) | – | (10,823 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting | – | (10,592 | ) | – | (139,079 | ) | – | (10,823 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 1,928 | 7,220 | 145,224 | 239,426 | 11,470 | 20,650 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 10,592 | – | 139,079 | – | 10,823 | ||||||||||||||||||
Shares Redeemed | (6,614 | ) | (17,971 | ) | (220,614 | ) | (369,350 | ) | (21,824 | ) | (20,255 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (4,686 | ) | (159 | ) | (75,390 | ) | 9,155 | (10,354 | ) | 11,218 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 13,641 | 5,611 | 588,620 | 552,449 | 18,794 | 6,448 | ||||||||||||||||||
Net Assets | 180,564 | 174,953 | 4,419,729 | 3,867,280 | 211,998 | 205,550 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 194,205 | $ | 180,564 | $ | 5,008,349 | $ | 4,419,729 | $ | 230,792 | $ | 211,998 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 1,456 | 6,546 | 20,513 | 42,394 | 10,532 | 22,777 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 9,577 | – | 23,469 | – | 12,065 | ||||||||||||||||||
Shares Redeemed | (4,994 | ) | (15,787 | ) | (31,082 | ) | (64,668 | ) | (19,667 | ) | (22,038 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions | (3,538 | ) | 336 | (10,569 | ) | 1,195 | (9,135 | ) | 12,804 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
187
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Domestic Equity Portfolio | Equity Income Portfolio | Mid Cap Growth Stock Portfolio | ||||||||||||||||||||||
For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 9,217 | $ | 18,599 | $ | 7,532 | $ | 17,281 | $ | 985 | $ | 2,019 | ||||||||||||
Net Realized Gain (Loss) on Investments | 61,739 | 22,615 | 43,162 | (705 | ) | 45,043 | 171,779 | |||||||||||||||||
Net Change in Unrealized Appreciation | 46,553 | (27,842 | ) | 90,798 | (7,003 | ) | 67,473 | 99,912 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 117,509 | 13,372 | 141,492 | 9,573 | 113,501 | 273,710 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (57,933 | ) | – | (63,828 | ) | – | (52,240 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting | – | (57,933 | ) | – | (63,828 | ) | – | (52,240 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 32,323 | 86,700 | 12,276 | 49,586 | 14,974 | 29,297 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 57,933 | – | 63,828 | – | 52,240 | ||||||||||||||||||
Shares Redeemed | (64,117 | ) | (74,776 | ) | (78,464 | ) | (85,890 | ) | (79,233 | ) | (112,200 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (31,794 | ) | 69,857 | (66,188 | ) | 27,524 | (64,259 | ) | (30,663 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 85,715 | 25,296 | 75,304 | (26,731 | ) | 49,242 | 190,807 | |||||||||||||||||
Net Assets | 946,072 | 920,776 | 787,521 | 814,252 | 1,344,564 | 1,153,757 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 1,031,787 | $ | 946,072 | $ | 862,825 | $ | 787,521 | $ | 1,393,806 | $ | 1,344,564 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 18,163 | 58,482 | 6,673 | 34,469 | 3,441 | 8,941 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 39,707 | – | 45,690 | – | 15,850 | ||||||||||||||||||
Shares Redeemed | (35,826 | ) | (48,392 | ) | (42,971 | ) | (56,283 | ) | (18,202 | ) | (33,225 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares | (17,663 | ) | 49,797 | (36,298 | ) | 23,876 | (14,761 | ) | (8,434 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
188
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Index 400 Stock Portfolio | Mid Cap Value Portfolio | Small Cap Growth Stock Portfolio | ||||||||||||||||||||||
For the Six Months June 30, 2021 | For the Year Ended December 31, 2020 | For the Six Months 2021 | For the Year December 31, | For the Six Months June 30, | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 6,783 | $ | 12,047 | $ | 5,063 | $ | 9,497 | $ | (572 | ) | $ | 660 | |||||||||||
Net Realized Gain (Loss) on Investments | 65,080 | 37,405 | 58,966 | 2,441 | 71,646 | 82,005 | ||||||||||||||||||
Net Change in Unrealized Appreciation | 120,438 | 88,149 | 30,119 | 2,425 | (28,449 | ) | 130,687 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 192,301 | 137,601 | 94,148 | 14,363 | 42,625 | 213,352 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized Gain on Investments | – | (56,269 | ) | – | (9,956 | ) | – | (39,514 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting from Distributions to Shareholders | – | (56,269 | ) | – | (9,956 | ) | – | (39,514 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 41,542 | 77,991 | 25,167 | 51,959 | 22,323 | 30,495 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 56,269 | – | 9,956 | – | 39,514 | ||||||||||||||||||
Shares Redeemed | (73,325 | ) | (93,413 | ) | (45,962 | ) | (57,433 | ) | (53,116 | ) | (75,271 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (31,783 | ) | 40,847 | (20,795 | ) | 4,482 | (30,793 | ) | (5,262 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 160,518 | 122,179 | 73,353 | 8,889 | 11,832 | 168,576 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 1,115,469 | 993,290 | 600,403 | 591,514 | 840,446 | 671,870 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 1,275,987 | $ | 1,115,469 | $ | 673,756 | $ | 600,403 | $ | 852,278 | $ | 840,446 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 16,996 | 45,756 | 13,884 | 37,414 | 6,258 | 11,794 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 31,899 | – | 6,838 | – | 14,996 | ||||||||||||||||||
Shares Redeemed | (30,542 | ) | (50,960 | ) | (24,984 | ) | (38,243 | ) | (14,903 | ) | (27,751 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares | (13,546 | ) | 26,695 | (11,100 | ) | 6,009 | (8,645 | ) | (961 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
189
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Index 600 Stock Portfolio | Small Cap Value Portfolio | International Growth Portfolio | ||||||||||||||||||||||
For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 | For the Year Ended December 31, 2020 | For the Six Months June 30, | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 1,893 | $ | 2,939 | $ | 831 | $ | 2,586 | $ | 5,392 | $ | 5,151 | ||||||||||||
Net Realized Gain (Loss) on Investments | 17,586 | 6,020 | 50,296 | 29,017 | 40,647 | 29,704 | ||||||||||||||||||
Net Change in Unrealized Appreciation | 59,662 | 31,689 | 47,418 | 20,993 | 43,042 | 106,591 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 79,141 | 40,648 | 98,545 | 52,596 | 89,081 | 141,446 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (15,825 | ) | – | (35,987 | ) | – | (16,639 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting | – | (15,825 | ) | – | (35,987 | ) | – | (16,639 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 29,022 | 47,484 | 9,947 | 27,670 | 46,100 | 60,618 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 15,825 | – | 35,987 | – | 16,639 | ||||||||||||||||||
Shares Redeemed | (31,233 | ) | (34,141 | ) | (52,168 | ) | (70,721 | ) | (40,591 | ) | (93,935 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (2,211 | ) | 29,168 | (42,221 | ) | (7,064 | ) | 5,509 | (16,678 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 76,930 | 53,991 | 56,324 | 9,545 | 94,590 | 108,129 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 344,102 | 290,111 | 615,079 | 605,534 | 924,242 | 816,113 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 421,032 | $ | 344,102 | $ | 671,403 | $ | 615,079 | $ | 1,018,832 | $ | 924,242 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 16,409 | 41,370 | 4,022 | 16,477 | 20,942 | 33,344 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 13,446 | – | 20,635 | – | 8,446 | ||||||||||||||||||
Shares Redeemed | (18,079 | ) | (27,540 | ) | (21,244 | ) | (36,952 | ) | (18,263 | ) | (50,648 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions | (1,670 | ) | 27,276 | (17,222 | ) | 160 | 2,679 | (8,858 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The Accompanying Notes are an Integral Part of the Financial Statements.
190
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Research International Core Portfolio | International Equity Portfolio | Emerging Markets Equity Portfolio | ||||||||||||||||||||||
For the Six Months June 30, 2021 | For the Year Ended December 31, | For the Six Months | For the Year December 31, | For the Six Months June 30, | For the Year Ended December 31, | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 9,522 | $ | 10,392 | $ | 29,453 | $ | 41,111 | $ | 6,893 | $ | 5,407 | ||||||||||||
Net Realized Gain (Loss) on Investments | 22,452 | 14,833 | 62,737 | (250,648 | ) | 70,999 | 1,940 | |||||||||||||||||
Net Change in Unrealized Appreciation | 36,125 | 82,425 | 71,445 | 170,374 | (16,360 | ) | 220,945 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 68,099 | 107,650 | 163,635 | (39,163 | ) | 61,532 | 228,292 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (30,940 | ) | – | (56,976 | ) | – | (18,235 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease in Net Assets Resulting | – | (30,940 | ) | – | (56,976 | ) | – | (18,235 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 47,835 | 68,253 | 54,085 | 149,908 | 60,058 | 89,800 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 30,940 | – | 56,976 | – | 18,235 | ||||||||||||||||||
Shares Redeemed | (73,246 | ) | (69,787 | ) | (83,899 | ) | (123,960 | ) | (80,687 | ) | (128,004 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (25,411 | ) | 29,406 | (29,814 | ) | 82,924 | (20,629 | ) | (19,969 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Increase (Decrease) in Net Assets | 42,688 | 106,116 | 133,821 | (13,215 | ) | 40,903 | 190,088 | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 891,001 | 784,885 | 1,779,819 | 1,793,034 | 1,024,098 | 834,010 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period | $ | 933,689 | $ | 891,001 | $ | 1,913,640 | $ | 1,779,819 | $ | 1,065,001 | $ | 1,024,098 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 38,952 | 67,304 | 32,780 | 107,989 | 41,764 | 90,152 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 28,782 | – | 40,209 | – | 16,137 | ||||||||||||||||||
Shares Redeemed | (60,351 | ) | (67,172 | ) | (50,801 | ) | (85,956 | ) | (54,738 | ) | (114,781 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Shares | (21,399 | ) | 28,914 | (18,021 | ) | 62,242 | (12,974 | ) | (8,492 | ) | ||||||||||||||
|
|
|
|
|
|
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The Accompanying Notes are an Integral Part of the Financial Statements.
191
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Government Money Market Portfolio | Short-Term Bond Portfolio | Select Bond Portfolio | ||||||||||||||||||||||
For the Six Months June 30, | For the Year Ended December 31, 2020 | For the Six Months June 30, | For the Year Ended December 31, 2020 | For the Six Months June 30, | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 2 | $ | 1,420 | $ | 2,765 | $ | 6,974 | $ | 19,097 | $ | 56,772 | ||||||||||||
Net Realized Gain (Loss) on Investments | 1 | 3 | 1,501 | 2,746 | 982 | 169,614 | ||||||||||||||||||
Net Change in Unrealized Appreciation | – | – | (3,105 | ) | 5,520 | (72,570 | ) | 49,086 | ||||||||||||||||
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Net Increase (Decrease) in Net Assets | 3 | 1,423 | 1,161 | 15,240 | (52,491 | ) | 275,472 | |||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | (2 | ) | (1,423 | ) | – | (8,186 | ) | – | (108,721 | ) | ||||||||||||||
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Net Decrease in Net Assets Resulting | (2 | ) | (1,423 | ) | – | (8,186 | ) | – | (108,721 | ) | ||||||||||||||
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Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 167,593 | 443,083 | 52,325 | 85,625 | 225,254 | 422,239 | ||||||||||||||||||
Reinvestment of Distributions Paid | 2 | 1,423 | – | 8,186 | – | 108,721 | ||||||||||||||||||
Shares Redeemed | (212,998 | ) | (308,711 | ) | (23,467 | ) | (51,831 | ) | (149,346 | ) | (485,493 | ) | ||||||||||||
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Net Increase (Decrease) in Net Assets | (45,403 | ) | 135,795 | 28,858 | 41,980 | 75,908 | 45,467 | |||||||||||||||||
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Total Increase (Decrease) in Net Assets | (45,402 | ) | 135,795 | 30,019 | 49,034 | 23,417 | 212,218 | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 582,312 | 446,517 | 383,608 | 334,574 | 3,404,268 | 3,192,050 | ||||||||||||||||||
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End of Period | $ | 536,910 | $ | 582,312 | $ | 413,627 | $ | 383,608 | $ | 3,427,685 | $ | 3,404,268 | ||||||||||||
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Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 167,593 | 443,083 | 48,504 | 80,297 | 168,239 | 310,277 | ||||||||||||||||||
Reinvestment of Distributions Paid | 2 | 1,423 | – | 7,664 | – | 80,237 | ||||||||||||||||||
Shares Redeemed | (212,998 | ) | (308,711 | ) | (21,753 | ) | (48,697 | ) | (111,578 | ) | (362,003 | ) | ||||||||||||
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Net Increase (Decrease) in Shares | (45,403 | ) | 135,795 | 26,751 | 39,264 | 56,661 | 28,511 | |||||||||||||||||
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The Accompanying Notes are an Integral Part of the Financial Statements.
192
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Long-Term U.S. Government Bond Portfolio | Inflation Protection Portfolio | High Yield Bond Portfolio | ||||||||||||||||||||||
For the Six Months June 30, 2021 | For the Year Ended December 31, 2020 | For the Six Months June 30, 2021 | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 1,241 | $ | 2,384 | $ | 6,442 | $ | 5,263 | $ | 20,519 | $ | 43,223 | ||||||||||||
Net Realized Gain (Loss) on Investments | 600 | 21,534 | 5,285 | 3,962 | (145 | ) | (5,892 | ) | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments | (13,572 | ) | (2,718 | ) | (1,980 | ) | 26,273 | 11,156 | 12,622 | |||||||||||||||
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Net Increase (Decrease) in Net Assets | (11,731 | ) | 21,200 | 9,747 | 35,498 | 31,530 | 49,953 | |||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized Gain on Investments | – | (11,663 | ) | – | (7,844 | ) | – | (47,246 | ) | |||||||||||||||
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Net Decrease in Net Assets Resulting from Distributions to Shareholders | – | (11,663 | ) | – | (7,844 | ) | – | (47,246 | ) | |||||||||||||||
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Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 16,529 | 42,306 | 56,880 | 55,618 | 38,642 | 54,306 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 11,663 | – | 7,844 | – | 47,246 | ||||||||||||||||||
Shares Redeemed | (14,609 | ) | (32,427 | ) | (19,361 | ) | (48,859 | ) | (52,124 | ) | (125,183 | ) | ||||||||||||
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Net Increase (Decrease) in Net Assets | 1,920 | 21,542 | 37,519 | 14,603 | (13,482 | ) | (23,631 | ) | ||||||||||||||||
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Total Increase (Decrease) in Net Assets | (9,811 | ) | 31,079 | 47,266 | 42,257 | 18,048 | (20,924 | ) | ||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 153,933 | 122,854 | 423,389 | 381,132 | 825,203 | 846,127 | ||||||||||||||||||
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End of Period | $ | 144,122 | $ | 153,933 | $ | 470,655 | $ | 423,389 | $ | 843,251 | $ | 825,203 | ||||||||||||
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Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 14,950 | 32,760 | 46,907 | 47,335 | 50,663 | 75,206 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 9,285 | – | 6,597 | – | 66,079 | ||||||||||||||||||
Shares Redeemed | (13,167 | ) | (25,020 | ) | (15,940 | ) | (42,550 | ) | (68,106 | ) | (174,093 | ) | ||||||||||||
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Net Increase (Decrease) in Shares | 1,783 | 17,025 | 30,967 | 11,382 | (17,443 | ) | (32,808 | ) | ||||||||||||||||
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The Accompanying Notes are an Integral Part of the Financial Statements.
193
Table of Contents
Statements of Changes in Net Assets
NORTHWESTERN MUTUAL SERIES FUND, INC.
(in thousands)
Multi-Sector Bond Portfolio | Balanced Portfolio | Asset Allocation Portfolio | ||||||||||||||||||||||
For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | For the Six Months Ended June 30, 2021 (unaudited) | For the Year Ended December 31, 2020 | |||||||||||||||||||
Change in Net Assets | ||||||||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 16,979 | $ | 32,774 | $ | (77 | ) | $ | 52,676 | $ | (49 | ) | $ | 6,436 | ||||||||||
Net Realized Gain (Loss) on Investments | (5,172 | ) | (8,245 | ) | 46,509 | 113,863 | 5,753 | 16,277 | ||||||||||||||||
Net Change in Unrealized Appreciation | (6,148 | ) | 36,162 | 75,539 | 96,326 | 16,771 | 13,395 | |||||||||||||||||
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Net Increase (Decrease) in Net Assets | 5,659 | 60,691 | 121,971 | 262,865 | 22,475 | 36,108 | ||||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net Investment Income & Net Realized | – | (42,858 | ) | – | (132,286 | ) | – | (18,159 | ) | |||||||||||||||
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Net Decrease in Net Assets Resulting | – | (42,858 | ) | – | (132,286 | ) | – | (18,159 | ) | |||||||||||||||
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Capital Transactions: | ||||||||||||||||||||||||
Shares Sold | 193,961 | 178,458 | 56,487 | 87,127 | 13,116 | 19,009 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 42,858 | – | 132,286 | – | 18,159 | ||||||||||||||||||
Shares Redeemed | (48,209 | ) | (112,462 | ) | (141,991 | ) | (236,840 | ) | (19,943 | ) | (36,163 | ) | ||||||||||||
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| |||||||||||||
Net Increase (Decrease) in Net Assets | 145,752 | 108,854 | (85,504 | ) | (17,427 | ) | (6,827 | ) | 1,005 | |||||||||||||||
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| |||||||||||||
Total Increase (Decrease) in Net Assets | 151,411 | 126,687 | 36,467 | 113,152 | 15,648 | 18,954 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 1,148,511 | 1,021,824 | 2,367,387 | 2,254,235 | 306,692 | 287,738 | ||||||||||||||||||
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End of Period | $ | 1,299,922 | $ | 1,148,511 | $ | 2,403,854 | $ | 2,367,387 | $ | 322,340 | $ | 306,692 | ||||||||||||
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| |||||||||||||
Portfolio Share Transactions: | ||||||||||||||||||||||||
Shares Sold | 169,091 | 157,167 | 35,056 | 58,859 | 9,723 | 15,965 | ||||||||||||||||||
Reinvestment of Distributions Paid | – | 38,233 | – | 90,236 | – | 15,402 | ||||||||||||||||||
Shares Redeemed | (41,969 | ) | (102,415 | ) | (88,204 | ) | (161,177 | ) | (14,857 | ) | (30,510 | ) | ||||||||||||
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| |||||||||||||
Net Increase (Decrease) in Shares | 127,122 | 92,985 | (53,148 | ) | (12,082 | ) | (5,134 | ) | 857 | |||||||||||||||
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The Accompanying Notes are an Integral Part of the Financial Statements.
194
Table of Contents
NORTHWESTERN MUTUAL SERIES FUND, INC.
For the Six Months Ended June 30, 2021 (unaudited) (in thousands)
Long-Term U.S. Government Bond Portfolio | ||||
Cash Flows from Operating Activities | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (11,731 | ) | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities | ||||
Purchase of Investment Securities | (132,946 | ) | ||
Proceeds from Disposition of Investment Securities | 93,116 | |||
Proceeds from Disposition (Purchase) of Short-Term Investments, net | 6,412 | |||
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps | 2,294 | |||
Proceeds from Securities Sold Short | 19,987 | |||
Amortization (Accretion) of Premium/Discount, net | (107 | ) | ||
(Increase) Decrease in: | ||||
Receivable for Investment Securities Sold | 75,094 | |||
Prepaid Expenses and Other Assets | (11 | ) | ||
Dividends and Interest Receivable | 180 | |||
Increase (Decrease) in: | ||||
Accrued Expenses | 24 | |||
Change in Net Unrealized (Appreciation) Depreciation of: | ||||
Investment Securities | 13,630 | |||
Futures Contracts | 425 | |||
Short Sales | (102 | ) | ||
Swap Contracts | (381 | ) | ||
Net Realized (Gain) Loss from: | ||||
Investment Securities | 1,859 | |||
Futures Contracts | (2,349 | ) | ||
Paydowns | (10 | ) | ||
Short Sales | (91 | ) | ||
Swap Contracts | (19 | ) | ||
|
| |||
Total Adjustments | 77,005 | |||
|
| |||
Net Cash (Used in) Provided by Operating Activities | 65,274 | |||
|
| |||
Cash Flows from Financing Activities | ||||
Cash Received from Financing Transactions | 1,532,540 | |||
Cash (Used for) Financing Transactions | (1,599,672 | ) | ||
Proceeds from Reverse Repurchase Agreements | 2,398 | |||
Payments from Reverse Repurchase Agreements | (2,398 | ) | ||
Proceeds from Portfolio Shares Sold | 16,603 | |||
Payment on Portfolio Shares Redeemed | (14,520 | ) | ||
|
| |||
Net Cash (Used in) Provided by Financing Activities | (65,049 | ) | ||
|
| |||
Net Increase (Decrease) in Cash and Cash Equivalents | 225 | |||
Cash and Restricted Cash, Beginning of Period | 183 | |||
|
| |||
Cash and Restricted Cash, End of Period | $ | 408 | ||
|
|
Cash and Restricted Cash is the sum of Cash and Cash Collateral for Derivative Positions from the Statement of Assets and Liabilities. Supplemental disclosure of cash flow information:
Interest paid was $131 for the period ended June 30, 2021.
The Accompanying Notes are an Integral Part of the Financial Statements.
195
Table of Contents
NORTHWESTERN MUTUAL SERIES FUND, INC.
(For a share outstanding through the period)
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions from Realized Gains on Investments | |||||||||||||||||||
Growth Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 3.60 | $ | 0.00 | (e) | $ | 0.46 | $ | 0.46 | $ | – | $ | – | |||||||||||
2020 | 3.18 | 0.00 | (e) | 1.04 | 1.04 | (0.02 | ) | (0.60 | ) | |||||||||||||||
2019 | 2.75 | 0.02 | 0.77 | 0.79 | (0.02 | ) | (0.34 | ) | ||||||||||||||||
2018 | 3.03 | 0.02 | 0.08 | 0.10 | (0.02 | ) | (0.36 | ) | ||||||||||||||||
2017 | 2.58 | 0.02 | 0.59 | 0.61 | (0.03 | ) | (0.13 | ) | ||||||||||||||||
2016 | 2.81 | 0.03 | 0.04 | 0.07 | (0.02 | ) | (0.28 | ) | ||||||||||||||||
Focused Appreciation Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 4.02 | $ | 0.00 | (e) | $ | 0.55 | $ | 0.55 | $ | – | $ | – | |||||||||||
2020 | 3.17 | 0.01 | 1.02 | 1.03 | (0.02 | ) | (0.16 | ) | ||||||||||||||||
2019 | 2.57 | 0.02 | 0.78 | 0.80 | (0.02 | ) | (0.18 | ) | ||||||||||||||||
2018 | 2.71 | 0.02 | (0.07 | ) | (0.05 | ) | (0.01 | ) | (0.08 | ) | ||||||||||||||
2017 | 2.08 | 0.02 | 0.68 | 0.70 | (0.02 | ) | (0.05 | ) | ||||||||||||||||
2016 | 2.68 | 0.02 | 0.17 | 0.19 | (0.01 | ) | (0.78 | ) | ||||||||||||||||
Large Cap Core Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.91 | $ | 0.01 | $ | 0.27 | $ | 0.28 | $ | – | $ | – | ||||||||||||
2020 | 1.62 | 0.02 | 0.34 | 0.36 | (0.02 | ) | (0.05 | ) | ||||||||||||||||
2019 | 1.31 | 0.02 | 0.39 | 0.41 | (0.02 | ) | (0.08 | ) | ||||||||||||||||
2018 | 1.96 | 0.02 | (0.05 | ) | (0.03 | ) | (0.03 | ) | (0.59 | ) | ||||||||||||||
2017 | 1.60 | 0.03 | 0.36 | 0.39 | (0.03 | ) | – | |||||||||||||||||
2016 | 1.54 | 0.03 | 0.09 | 0.12 | (0.03 | ) | (0.03 | ) | ||||||||||||||||
Large Cap Blend Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.25 | $ | 0.01 | $ | 0.12 | $ | 0.13 | $ | – | $ | – | ||||||||||||
2020 | 1.22 | 0.01 | 0.10 | 0.11 | (0.06 | ) | (0.02 | ) | ||||||||||||||||
2019 | 1.09 | 0.06 | 0.20 | 0.26 | (0.01 | ) | (0.12 | ) | ||||||||||||||||
2018 | 1.21 | 0.01 | (0.06 | ) | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||
2017 | 1.07 | 0.01 | 0.20 | 0.21 | (0.01 | ) | (0.06 | ) | ||||||||||||||||
2016 | 1.03 | 0.01 | 0.12 | 0.13 | (0.01 | ) | (0.08 | ) | ||||||||||||||||
Index 500 Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 6.60 | $ | 0.04 | $ | 0.96 | $ | 1.00 | $ | – | $ | – | ||||||||||||
2020 | 5.79 | 0.09 | 0.94 | 1.03 | (0.10 | ) | (0.12 | ) | ||||||||||||||||
2019 | 4.59 | 0.10 | 1.32 | 1.42 | (0.09 | ) | (0.13 | ) | ||||||||||||||||
2018 | 4.93 | 0.09 | (0.30 | ) | (0.21 | ) | (0.08 | ) | (0.05 | ) | ||||||||||||||
2017 | 4.17 | 0.08 | 0.81 | 0.89 | (0.08 | ) | (0.05 | ) | ||||||||||||||||
2016 | 3.88 | 0.08 | 0.37 | 0.45 | (0.07 | ) | (0.09 | ) | ||||||||||||||||
Large Company Value Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.00 | $ | 0.01 | $ | 0.13 | $ | 0.14 | $ | – | $ | – | ||||||||||||
2020 | 1.03 | 0.02 | 0.00 | (e) | 0.02 | (0.02 | ) | (0.03 | ) | |||||||||||||||
2019 | 0.89 | 0.02 | 0.21 | 0.23 | (0.02 | ) | (0.07 | ) | ||||||||||||||||
2018 | 1.06 | 0.02 | (0.09 | ) | (0.07 | ) | (0.02 | ) | (0.08 | ) | ||||||||||||||
2017 | 1.02 | 0.02 | 0.08 | 0.10 | (0.02 | ) | (0.04 | ) | ||||||||||||||||
2016 | 0.99 | 0.02 | 0.12 | 0.14 | (0.02 | ) | (0.09 | ) | ||||||||||||||||
Domestic Equity Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.64 | $ | 0.02 | $ | 0.19 | $ | 0.21 | $ | – | $ | – | ||||||||||||
2020 | 1.75 | 0.03 | (0.04 | ) | (0.01 | ) | (0.03 | ) | (0.07 | ) | ||||||||||||||
2019 | 1.55 | 0.03 | 0.28 | 0.31 | (0.03 | ) | (0.08 | ) | ||||||||||||||||
2018 | 1.68 | 0.03 | (0.07 | ) | (0.04 | ) | (0.03 | ) | (0.06 | ) | ||||||||||||||
2017 | 1.54 | 0.03 | 0.18 | 0.21 | (0.03 | ) | (0.04 | ) | ||||||||||||||||
2016 | 1.41 | 0.03 | 0.19 | 0.22 | (0.03 | ) | (0.06 | ) |
(d) | Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. |
(r) | Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus. |
(j) | For the six months ended June 30, 2021. (Unaudited) |
(e) | Amount is less than $0.005. |
(c) | Computed on an annualized basis. |
The Accompanying Notes are an Integral Part of the Financial Statements.
196
Table of Contents
Total Distributions | Net Asset Value, End of Period | Total Return(d) | Net Assets, End of Period (thousands) | Ratio of Gross Expenses to Average Net Assets(r) | Ratio of Net Expenses to Average Net Assets(r) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | – | $ | 4.06 | 12.54 | % | $ | 1,356,595 | 0.42 | %(c) | 0.42 | %(c) | (0.06 | )%(c) | 17 | % | |||||||||||||||
(0.62 | ) | 3.60 | 34.97 | 1,286,403 | 0.43 | 0.42 | 0.00 | 24 | ||||||||||||||||||||||
(0.36 | ) | 3.18 | 29.68 | 1,083,324 | 0.43 | 0.42 | 0.71 | 116 | ||||||||||||||||||||||
(0.38 | ) | 2.75 | 1.26 | 898,626 | 0.43 | 0.42 | 0.68 | 48 | ||||||||||||||||||||||
(0.16 | ) | 3.03 | 24.27 | 959,854 | 0.43 | 0.42 | 0.78 | 58 | ||||||||||||||||||||||
(0.30 | ) | 2.58 | 2.47 | 837,980 | 0.43 | 0.43 | 0.97 | 66 | ||||||||||||||||||||||
$ | – | $ | 4.57 | 13.87 | % | $ | 1,299,924 | 0.74 | %(c) | 0.62 | %(c) | 0.19 | %(c) | 1 | % | |||||||||||||||
(0.18 | ) | 4.02 | 32.55 | 1,186,696 | 0.75 | 0.62 | 0.19 | 21 | ||||||||||||||||||||||
(0.20 | ) | 3.17 | 31.97 | 1,012,624 | 0.75 | 0.63 | 0.58 | 7 | ||||||||||||||||||||||
(0.09 | ) | 2.57 | (2.34 | ) | 849,169 | 0.75 | 0.63 | 0.65 | 7 | |||||||||||||||||||||
(0.07 | ) | 2.71 | 33.62 | 945,385 | 0.75 | 0.63 | 0.66 | 4 | ||||||||||||||||||||||
(0.79 | ) | 2.08 | 5.87 | 771,800 | 0.76 | 0.63 | 0.83 | 9 | ||||||||||||||||||||||
$ | – | $ | 2.19 | 14.33 | % | $ | 797,272 | 0.44 | %(c) | 0.43 | %(c) | 0.81 | %(c) | 29 | % | |||||||||||||||
(0.07 | ) | 1.91 | 22.74 | 719,977 | 0.45 | 0.44 | 0.98 | 72 | ||||||||||||||||||||||
(0.10 | ) | 1.62 | 31.19 | 633,208 | 0.45 | 0.44 | 1.19 | 54 | ||||||||||||||||||||||
(0.62 | ) | 1.31 | (6.04 | ) | 518,971 | 0.45 | 0.44 | 1.23 | 65 | |||||||||||||||||||||
(0.03 | ) | 1.96 | 24.87 | 592,577 | 0.45 | 0.44 | 1.56 | 101 | ||||||||||||||||||||||
(0.06 | ) | 1.60 | 7.57 | 514,495 | 0.45 | 0.45 | 1.96 | 7 | ||||||||||||||||||||||
$ | – | $ | 1.38 | 10.29 | % | $ | 194,205 | 0.81 | %(c) | 0.78 | %(c) | 0.88 | %(c) | 14 | % | |||||||||||||||
(0.08 | ) | 1.25 | 10.05 | 180,564 | 0.83 | 0.80 | 0.77 | 28 | ||||||||||||||||||||||
(0.13 | ) | 1.22 | 23.97 | 174,953 | 0.82 | 0.82 | 4.92 | 24 | ||||||||||||||||||||||
(0.07 | ) | 1.09 | (4.00 | ) | 154,435 | 0.82 | 0.82 | 1.20 | 25 | |||||||||||||||||||||
(0.07 | ) | 1.21 | 19.02 | 176,221 | 0.81 | 0.81 | 0.75 | 16 | ||||||||||||||||||||||
(0.09 | ) | 1.07 | 13.99 | 164,752 | 0.82 | 0.81 | 0.97 | 21 | ||||||||||||||||||||||
$ | – | $ | 7.60 | 15.13 | % | $ | 5,008,349 | 0.21 | %(c) | 0.20 | %(c) | 1.26 | %(c) | 2 | % | |||||||||||||||
(0.22 | ) | 6.60 | 18.18 | 4,419,729 | 0.21 | 0.20 | 1.63 | 5 | ||||||||||||||||||||||
(0.22 | ) | 5.79 | 31.18 | 3,867,280 | 0.21 | 0.20 | 1.81 | 4 | ||||||||||||||||||||||
(0.13 | ) | 4.59 | (4.58 | ) | 3,009,141 | 0.21 | 0.20 | 1.74 | 4 | |||||||||||||||||||||
(0.13 | ) | 4.93 | 21.52 | 3,222,137 | 0.21 | 0.21 | 1.82 | 3 | ||||||||||||||||||||||
(0.16 | ) | 4.17 | 11.73 | 2,678,914 | 0.21 | 0.21 | 1.97 | 3 | ||||||||||||||||||||||
$ | – | $ | 1.14 | 13.79 | % | $ | 230,792 | 0.76 | %(c) | 0.74 | %(c) | 1.76 | %(c) | 24 | % | |||||||||||||||
(0.05 | ) | 1.00 | 2.64 | 211,998 | 0.78 | 0.76 | 2.02 | 84 | ||||||||||||||||||||||
(0.09 | ) | 1.03 | 27.66 | 205,550 | 0.77 | 0.75 | 1.86 | 62 | ||||||||||||||||||||||
(0.10 | ) | 0.89 | (7.92 | ) | 173,350 | 0.76 | 0.74 | 1.89 | 61 | |||||||||||||||||||||
(0.06 | ) | 1.06 | 11.10 | 199,836 | 0.75 | 0.73 | 2.15 | 53 | ||||||||||||||||||||||
(0.11 | ) | 1.02 | 15.36 | 195,773 | 0.75 | 0.72 | 2.07 | 80 | ||||||||||||||||||||||
$ | – | $ | 1.85 | 12.55 | % | $ | 1,031,787 | 0.54 | %(c) | 0.51 | %(c) | 1.84 | %(c) | 17 | % | |||||||||||||||
(0.10 | ) | 1.64 | 0.73 | 946,072 | 0.55 | 0.53 | 2.25 | 33 | ||||||||||||||||||||||
(0.11 | ) | 1.75 | 20.77 | 920,776 | 0.54 | 0.53 | 2.08 | 12 | ||||||||||||||||||||||
(0.09 | ) | 1.55 | (2.81 | ) | 772,465 | 0.54 | 0.53 | 1.92 | 14 | |||||||||||||||||||||
(0.07 | ) | 1.68 | 13.78 | 819,213 | 0.55 | 0.54 | 1.91 | 12 | ||||||||||||||||||||||
(0.09 | ) | 1.54 | 14.98 | 720,940 | 0.55 | 0.55 | 2.00 | 12 |
The Accompanying Notes are an Integral Part of the Financial Statements.
197
Table of Contents
Financial Highlights
NORTHWESTERN MUTUAL SERIES FUND, INC.
(For a share outstanding through the period)
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions Gains on Investments | |||||||||||||||||||
Equity Income Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.63 | $ | 0.02 | $ | 0.29 | $ | 0.31 | $ | – | $ | – | ||||||||||||
2020 | 1.78 | 0.04 | (0.05 | ) | (0.01 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||||
2019 | 1.53 | 0.07 | 0.33 | 0.40 | (0.04 | ) | (0.11 | ) | ||||||||||||||||
2018 | 1.86 | 0.04 | (0.19 | ) | (0.15 | ) | (0.04 | ) | (0.14 | ) | ||||||||||||||
2017 | 1.72 | 0.04 | 0.23 | 0.27 | (0.04 | ) | (0.09 | ) | ||||||||||||||||
2016 | 1.56 | 0.04 | 0.24 | 0.28 | (0.03 | ) | (0.09 | ) | ||||||||||||||||
Mid Cap Growth Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 4.09 | $ | 0.00 | (e) | $ | 0.35 | $ | 0.35 | $ | – | $ | – | |||||||||||
2020 | 3.42 | 0.01 | 0.82 | 0.83 | (0.01 | ) | (0.15 | ) | ||||||||||||||||
2019 | 2.69 | 0.01 | 0.87 | 0.88 | (0.01 | ) | (0.14 | ) | ||||||||||||||||
2018 | 3.46 | 0.01 | (0.17 | ) | (0.16 | ) | (0.00 | )(e) | (0.61 | ) | ||||||||||||||
2017 | 2.88 | 0.00 | (e) | 0.59 | 0.59 | (0.01 | ) | – | ||||||||||||||||
2016 | 3.11 | 0.01 | 0.02 | 0.03 | (0.01 | ) | (0.25 | ) | ||||||||||||||||
Index 400 Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 2.15 | $ | 0.01 | $ | 0.37 | $ | 0.38 | $ | – | $ | – | ||||||||||||
2020 | 2.02 | 0.02 | 0.23 | 0.25 | (0.03 | ) | (0.09 | ) | ||||||||||||||||
2019 | 1.74 | 0.03 | 0.40 | 0.43 | (0.02 | ) | (0.13 | ) | ||||||||||||||||
2018 | 2.11 | 0.03 | (0.24 | ) | (0.21 | ) | (0.02 | ) | (0.14 | ) | ||||||||||||||
2017 | 1.96 | 0.02 | 0.27 | 0.29 | (0.02 | ) | (0.12 | ) | ||||||||||||||||
2016 | 1.77 | 0.02 | 0.33 | 0.35 | (0.02 | ) | (0.14 | ) | ||||||||||||||||
Mid Cap Value Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.65 | $ | 0.01 | $ | 0.25 | $ | 0.26 | $ | – | $ | – | ||||||||||||
2020 | 1.65 | 0.03 | – | 0.03 | (0.03 | ) | – | |||||||||||||||||
2019 | 1.43 | 0.03 | 0.37 | 0.40 | (0.03 | ) | (0.15 | ) | ||||||||||||||||
2018 | 1.83 | 0.03 | (0.23 | ) | (0.20 | ) | (0.03 | ) | (0.17 | ) | ||||||||||||||
2017 | 1.73 | 0.03 | 0.16 | 0.19 | (0.03 | ) | (0.06 | ) | ||||||||||||||||
2016 | 1.54 | 0.03 | 0.32 | 0.35 | (0.03 | ) | (0.13 | ) | ||||||||||||||||
Small Cap Growth Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 3.42 | $ | 0.00 | (e) | $ | 0.18 | $ | 0.18 | $ | – | $ | – | |||||||||||
2020 | 2.72 | 0.00 | (e) | 0.86 | 0.86 | (0.00 | )(e) | (0.16 | ) | |||||||||||||||
2019 | 2.35 | 0.00 | (e) | 0.79 | 0.79 | (0.00 | )(e) | (0.42 | ) | |||||||||||||||
2018 | 2.88 | 0.00 | (e) | (0.28 | ) | (0.28 | ) | – | (0.25 | ) | ||||||||||||||
2017 | 2.39 | 0.00 | (e) | 0.52 | 0.52 | (0.00 | )(e) | (0.03 | ) | |||||||||||||||
2016 | 2.37 | 0.00 | (e) | 0.28 | 0.28 | (0.01 | ) | (0.25 | ) | |||||||||||||||
Index 600 Stock Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 1.50 | $ | 0.01 | $ | 0.34 | $ | 0.35 | $ | – | $ | – | ||||||||||||
2020 | 1.43 | 0.01 | 0.13 | 0.14 | (0.02 | ) | (0.05 | ) | ||||||||||||||||
2019 | 1.26 | 0.02 | 0.25 | 0.27 | (0.00 | )(e) | (0.10 | ) | ||||||||||||||||
2018 | 1.45 | 0.02 | (0.13 | ) | (0.11 | ) | (0.02 | ) | (0.06 | ) | ||||||||||||||
2017 | 1.36 | 0.01 | 0.16 | 0.17 | (0.03 | ) | (0.05 | ) | ||||||||||||||||
2016 | 1.13 | 0.01 | 0.29 | 0.30 | (0.01 | ) | (0.06 | ) | ||||||||||||||||
Small Cap Value Portfolio |
| |||||||||||||||||||||||
2021(j) | $ | 2.20 | $ | 0.00 | (e) | $ | 0.36 | $ | 0.36 | $ | – | $ | – | |||||||||||
2020 | 2.17 | 0.01 | 0.15 | 0.16 | (0.01 | ) | (0.12 | ) | ||||||||||||||||
2019 | 2.04 | 0.01 | 0.50 | 0.51 | (0.01 | ) | (0.37 | ) | ||||||||||||||||
2018 | 2.54 | 0.01 | (0.31 | ) | (0.30 | ) | (0.01 | ) | (0.19 | ) | ||||||||||||||
2017 | 2.42 | 0.02 | 0.25 | 0.27 | (0.02 | ) | (0.13 | ) | ||||||||||||||||
2016 | 2.10 | 0.02 | 0.61 | 0.63 | (0.02 | ) | (0.29 | ) |
(d) | Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. |
(r) | Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus. |
(j) | For the six months ended June 30, 2021. (Unaudited) |
(c) | Computed on an annualized basis. |
(e) | Amount is less than $0.005. |
The Accompanying Notes are an Integral Part of the Financial Statements.
198
Table of Contents
Total Distributions | Net Asset Value, End of Period | Total Return(d) | Net Assets, End of Period (thousands) | Ratio of Gross Expenses to Average Net Assets(r) | Ratio of Net Expenses to Average Net | Ratio of Net Investment Income (Loss) to Assets | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | – | $ | 1.94 | 18.47 | % | $ | 862,825 | 0.65 | %(c) | 0.57 | %(c) | 1.79 | %(c) | 10 | % | |||||||||||||||
(0.14 | ) | 1.63 | 1.20 | 787,521 | 0.66 | 0.59 | 2.48 | 30 | ||||||||||||||||||||||
(0.15 | ) | 1.78 | 26.61 | 814,252 | 0.65 | 0.61 | 4.21 | 18 | ||||||||||||||||||||||
(0.18 | ) | 1.53 | (9.35 | ) | 704,674 | 0.65 | 0.61 | 2.25 | 17 | |||||||||||||||||||||
(0.13 | ) | 1.86 | 16.24 | 844,398 | 0.65 | 0.62 | 2.04 | 21 | ||||||||||||||||||||||
(0.12 | ) | 1.72 | 19.17 | 798,167 | 0.66 | 0.64 | 2.42 | 23 | ||||||||||||||||||||||
$ | – | $ | 4.44 | 8.55 | % | $ | 1,393,806 | 0.53 | %(c) | 0.53 | %(c) | 0.14 | %(c) | 12 | % | |||||||||||||||
(0.16 | ) | 4.09 | 25.41 | 1,344,564 | 0.54 | 0.54 | 0.18 | 47 | ||||||||||||||||||||||
(0.15 | ) | 3.42 | 33.01 | 1,153,757 | 0.54 | 0.54 | 0.28 | 30 | ||||||||||||||||||||||
(0.61 | ) | 2.69 | (7.38 | ) | 943,370 | 0.54 | 0.54 | 0.19 | 33 | |||||||||||||||||||||
(0.01 | ) | 3.46 | 20.29 | 1,097,433 | 0.54 | 0.54 | 0.14 | 148 | ||||||||||||||||||||||
(0.26 | ) | 2.88 | 0.83 | 983,395 | 0.54 | 0.54 | 0.29 | 57 | ||||||||||||||||||||||
$ | – | $ | 2.53 | 17.44 | % | $ | 1,275,987 | 0.27 | %(c) | 0.24 | %(c) | 1.11 | %(c) | 10 | % | |||||||||||||||
(0.12 | ) | 2.15 | 13.37 | 1,115,469 | 0.28 | 0.26 | 1.31 | 18 | ||||||||||||||||||||||
(0.15 | ) | 2.02 | 25.88 | 993,290 | 0.28 | 0.26 | 1.38 | 16 | ||||||||||||||||||||||
(0.16 | ) | 1.74 | (11.33 | ) | 792,780 | 0.28 | 0.26 | 1.29 | 18 | |||||||||||||||||||||
(0.14 | ) | 2.11 | 15.96 | 896,559 | 0.28 | 0.26 | 1.22 | 18 | ||||||||||||||||||||||
(0.16 | ) | 1.96 | 20.38 | 773,157 | 0.28 | 0.27 | 1.31 | 19 | ||||||||||||||||||||||
$ | – | $ | 1.91 | 15.75 | % | $ | 673,756 | 0.88 | %(c) | 0.72 | %(c) | 1.55 | %(c) | 34 | % | |||||||||||||||
(0.03 | ) | 1.65 | 1.67 | 600,403 | 0.89 | 0.75 | 1.79 | 76 | ||||||||||||||||||||||
(0.18 | ) | 1.65 | 29.21 | 591,514 | 0.89 | 0.75 | 1.74 | 44 | ||||||||||||||||||||||
(0.20 | ) | 1.43 | (12.85 | ) | 471,943 | 0.89 | 0.76 | 1.50 | 62 | |||||||||||||||||||||
(0.09 | ) | 1.83 | 11.81 | 564,624 | 0.88 | 0.76 | 1.79 | 46 | ||||||||||||||||||||||
(0.16 | ) | 1.73 | 23.23 | 518,217 | 0.89 | 0.77 | 1.71 | 54 | ||||||||||||||||||||||
$ | – | $ | 3.60 | 5.06 | % | $ | 852,278 | 0.55 | %(c) | 0.55 | %(c) | (0.13 | )%(c) | 26 | % | |||||||||||||||
(0.16 | ) | 3.42 | 33.47 | 840,446 | 0.56 | 0.56 | 0.10 | 60 | ||||||||||||||||||||||
(0.42 | ) | 2.72 | 35.69 | 671,870 | 0.56 | 0.56 | 0.13 | 42 | ||||||||||||||||||||||
(0.25 | ) | 2.35 | (11.71 | ) | 520,622 | 0.56 | 0.56 | 0.10 | 52 | |||||||||||||||||||||
(0.03 | ) | 2.88 | 21.61 | 627,901 | 0.56 | 0.56 | (0.01 | ) | 43 | |||||||||||||||||||||
(0.26 | ) | 2.39 | 12.25 | 545,052 | 0.58 | 0.58 | 0.19 | 44 | ||||||||||||||||||||||
$ | – | $ | 1.85 | 23.23 | % | $ | 421,032 | 0.27 | %(c) | 0.27 | %(c) | 0.96 | %(c) | 13 | % | |||||||||||||||
(0.07 | ) | 1.50 | 10.93 | 344,102 | 0.31 | 0.31 | 1.10 | 28 | ||||||||||||||||||||||
(0.10 | ) | 1.43 | 22.44 | 290,111 | 0.31 | 0.31 | 1.25 | 33 | ||||||||||||||||||||||
(0.08 | ) | 1.26 | (8.78 | ) | 221,803 | 0.31 | 0.31 | 1.06 | 38 | |||||||||||||||||||||
(0.08 | ) | 1.45 | 12.93 | 222,348 | 0.33 | 0.33 | 1.04 | 36 | ||||||||||||||||||||||
(0.07 | ) | 1.36 | 26.12 | 173,883 | 0.36 | 0.35 | 1.00 | 52 | ||||||||||||||||||||||
$ | – | $ | 2.56 | 16.26 | % | $ | 671,403 | 0.87 | %(c) | 0.86 | %(c) | 0.25 | %(c) | 13 | % | |||||||||||||||
(0.13 | ) | 2.20 | 9.29 | 615,079 | 0.88 | 0.88 | 0.50 | 28 | ||||||||||||||||||||||
(0.38 | ) | 2.17 | 25.89 | 605,534 | 0.88 | 0.87 | 0.48 | 25 | ||||||||||||||||||||||
(0.20 | ) | 2.04 | (12.73 | ) | 530,072 | 0.88 | 0.87 | 0.43 | 22 | |||||||||||||||||||||
(0.15 | ) | 2.54 | 11.65 | 673,234 | 0.88 | 0.86 | 0.56 | 15 | ||||||||||||||||||||||
(0.31 | ) | 2.42 | 32.39 | 647,830 | 0.89 | 0.88 | 0.93 | 24 |
The Accompanying Notes are an Integral Part of the Financial Statements.
199
Table of Contents
Financial Highlights
NORTHWESTERN MUTUAL SERIES FUND, INC.
(For a share outstanding through the period)
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions from Realized Gains on Investments | |||||||||||||||||||||||||||
International Growth Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 2.14 | $ | 0.01 | $ | 0.19 | $ | 0.20 | $ | – | $ | – | ||||||||||||||||||||
2020 | 1.85 | 0.01 | 0.32 | 0.33 | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||
2019 | 1.39 | 0.03 | 0.46 | 0.49 | (0.02 | ) | (0.01 | ) | ||||||||||||||||||||||||
2018 | 1.59 | 0.02 | (0.20 | ) | (0.18 | ) | (0.02 | ) | – | |||||||||||||||||||||||
2017 | 1.24 | 0.02 | 0.35 | 0.37 | (0.02 | ) | – | |||||||||||||||||||||||||
2016 | 1.30 | 0.02 | (0.07 | ) | (0.05 | ) | (0.01 | ) | – | |||||||||||||||||||||||
Research International Core Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.18 | $ | 0.01 | $ | 0.08 | $ | 0.09 | $ | – | $ | – | ||||||||||||||||||||
2020 | 1.08 | 0.01 | 0.13 | 0.14 | (0.02 | ) | (0.02 | ) | ||||||||||||||||||||||||
2019 | 0.88 | 0.02 | 0.23 | 0.25 | (0.02 | ) | (0.03 | ) | ||||||||||||||||||||||||
2018 | 1.04 | 0.02 | (0.16 | ) | (0.14 | ) | (0.02 | ) | – | |||||||||||||||||||||||
2017 | 0.82 | 0.02 | 0.22 | 0.24 | (0.02 | ) | – | |||||||||||||||||||||||||
2016 | 0.85 | 0.02 | (0.03 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||
International Equity Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.55 | $ | 0.03 | $ | 0.11 | $ | 0.14 | $ | – | $ | – | ||||||||||||||||||||
2020 | 1.65 | 0.04 | (0.09 | ) | (0.05 | ) | (0.05 | ) | – | |||||||||||||||||||||||
2019 | 1.58 | 0.05 | 0.14 | 0.19 | (0.04 | ) | (0.08 | ) | ||||||||||||||||||||||||
2018 | 1.91 | 0.04 | (0.32 | ) | (0.28 | ) | (0.05 | ) | – | |||||||||||||||||||||||
2017 | 1.60 | 0.04 | 0.31 | 0.35 | (0.04 | ) | – | |||||||||||||||||||||||||
2016 | 1.61 | 0.04 | 0.00 | (e) | 0.04 | (0.03 | ) | (0.02 | ) | |||||||||||||||||||||||
Emerging Markets Equity Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.39 | $ | 0.01 | $ | 0.07 | $ | 0.08 | $ | – | $ | – | ||||||||||||||||||||
2020 | 1.12 | 0.01 | 0.28 | 0.29 | (0.02 | ) | – | |||||||||||||||||||||||||
2019 | 0.94 | 0.02 | 0.17 | 0.19 | (0.01 | ) | – | |||||||||||||||||||||||||
2018 | 1.10 | 0.01 | (0.16 | ) | (0.15 | ) | (0.01 | ) | – | |||||||||||||||||||||||
2017 | 0.87 | 0.02 | 0.22 | 0.24 | (0.01 | ) | – | |||||||||||||||||||||||||
2016 | 0.80 | 0.01 | 0.07 | 0.08 | (0.01 | ) | – | |||||||||||||||||||||||||
Government Money Market Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.00 | $ | 0.00 | (e) | $ | – | $ | 0.00 | (e) | $ | (0.00 | )(e) | $ | – | |||||||||||||||||
2020 | 1.00 | 0.00 | (e) | – | 0.00 | (e) | (0.00 | )(e) | (0.00 | )(e) | ||||||||||||||||||||||
2019 | 1.00 | 0.02 | – | 0.02 | (0.02 | ) | (0.00 | )(e) | ||||||||||||||||||||||||
2018 | 1.00 | 0.02 | – | 0.02 | (0.02 | ) | (0.00 | )(e) | ||||||||||||||||||||||||
2017 | 1.00 | 0.01 | 0.00 | (e) | 0.01 | (0.01 | ) | (0.00 | )(e) | |||||||||||||||||||||||
2016 | 1.00 | 0.00 | (e) | – | 0.00 | (e) | (0.00 | )(e) | (0.00 | )(e) | ||||||||||||||||||||||
Short-Term Bond Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.08 | $ | 0.01 | $ | (0.01 | ) | $ | 0.00 | (e) | $ | – | $ | – | ||||||||||||||||||
2020 | 1.06 | 0.02 | 0.02 | 0.04 | (0.02 | ) | – | |||||||||||||||||||||||||
2019 | 1.03 | 0.03 | 0.02 | 0.05 | (0.02 | ) | – | |||||||||||||||||||||||||
2018 | 1.03 | 0.02 | – | 0.02 | (0.02 | ) | – | |||||||||||||||||||||||||
2017 | 1.03 | 0.02 | (0.01 | ) | 0.01 | (0.01 | ) | – | ||||||||||||||||||||||||
2016 | 1.03 | 0.01 | – | 0.01 | (0.01 | ) | – | |||||||||||||||||||||||||
Select Bond Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.37 | $ | 0.01 | $ | (0.03 | ) | $ | (0.02 | ) | $ | – | $ | – | ||||||||||||||||||
2020 | 1.30 | 0.02 | 0.10 | 0.12 | (0.04 | ) | (0.01 | ) | ||||||||||||||||||||||||
2019 | 1.23 | 0.04 | 0.07 | 0.11 | (0.04 | ) | – | |||||||||||||||||||||||||
2018 | 1.26 | 0.03 | (0.03 | ) | 0.00 | (e) | (0.03 | ) | – | |||||||||||||||||||||||
2017 | 1.26 | 0.03 | 0.02 | 0.05 | (0.03 | ) | (0.02 | ) | ||||||||||||||||||||||||
2016 | 1.25 | 0.02 | 0.03 | 0.05 | (0.03 | ) | (0.01 | ) |
(d) | Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. |
(r) | Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus. |
(j) | For the six months ended June 30, 2021. (Unaudited) |
(c) | Computed on an annualized basis. |
(e) | Amount is less than $0.005. |
(g) | Portfolio Turnover Rate excludes the impact of TBA transactions. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Total Distributions | Net Asset Value, End of Period | Total Return(d) | Net Assets, End of Period (thousands) | Ratio of Gross Expenses to Average Net Assets(r) | Ratio of Net Expenses to Average Net Assets(r) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | – | $ | 2.34 | 9.54 | % | $ | 1,018,832 | 0.62 | %(c) | 0.62 | %(c) | 1.13 | %(c) | 11 | % | |||||||||||||||
(0.04 | ) | 2.14 | 17.91 | 924,242 | 0.63 | 0.63 | 0.64 | 21 | ||||||||||||||||||||||
(0.03 | ) | 1.85 | 34.80 | 816,113 | 0.64 | 0.64 | 1.79 | 21 | ||||||||||||||||||||||
(0.02 | ) | 1.39 | (11.28 | ) | 626,082 | 0.65 | 0.65 | 1.28 | 33 | |||||||||||||||||||||
(0.02 | ) | 1.59 | 30.03 | 697,581 | 0.67 | 0.67 | 1.32 | 20 | ||||||||||||||||||||||
(0.01 | ) | 1.24 | (3.41 | ) | 523,122 | 0.71 | 0.71 | 1.67 | 26 | |||||||||||||||||||||
$ | – | $ | 1.27 | 7.87 | % | $ | 933,689 | 0.79 | %(c) | 0.74 | %(c) | 2.10 | %(c) | 10 | % | |||||||||||||||
(0.04 | ) | 1.18 | 13.46 | 891,001 | 0.81 | 0.76 | 1.36 | 25 | ||||||||||||||||||||||
(0.05 | ) | 1.08 | 28.25 | 784,885 | 0.82 | 0.77 | 2.32 | 18 | ||||||||||||||||||||||
(0.02 | ) | 0.88 | (13.66 | ) | 595,585 | 0.82 | 0.77 | 1.88 | 24 | |||||||||||||||||||||
(0.02 | ) | 1.04 | 28.21 | 658,005 | 0.86 | 0.81 | 1.74 | 28 | ||||||||||||||||||||||
(0.02 | ) | 0.82 | (1.12 | ) | 499,649 | 0.92 | 0.88 | 1.99 | 41 | |||||||||||||||||||||
$ | – | $ | 1.69 | 9.23 | % | $ | 1,913,640 | 0.68 | %(c) | 0.51 | %(c) | 3.15 | %(c) | 21 | % | |||||||||||||||
(0.05 | ) | 1.55 | (2.71 | ) | 1,779,819 | 0.68 | 0.54 | 2.59 | 65 | |||||||||||||||||||||
(0.12 | ) | 1.65 | 12.60 | 1,793,034 | 0.68 | 0.54 | 3.33 | 43 | ||||||||||||||||||||||
(0.05 | ) | 1.58 | (15.41 | ) | 1,604,068 | 0.68 | 0.54 | 2.36 | 31 | |||||||||||||||||||||
(0.04 | ) | 1.91 | 22.30 | 1,927,673 | 0.70 | 0.57 | 2.40 | 21 | ||||||||||||||||||||||
(0.05 | ) | 1.60 | 2.89 | 1,628,267 | 0.71 | 0.62 | 2.65 | 16 | ||||||||||||||||||||||
$ | – | $ | 1.47 | 5.89 | % | $ | 1,065,001 | 1.06 | %(c) | 0.91 | %(c) | 1.33 | %(c) | 17 | % | |||||||||||||||
(0.02 | ) | 1.39 | 26.86 | 1,024,098 | 1.10 | 0.95 | 0.67 | 31 | ||||||||||||||||||||||
(0.01 | ) | 1.12 | 20.60 | 834,010 | 1.11 | 0.99 | 2.40 | 22 | ||||||||||||||||||||||
(0.01 | ) | 0.94 | (13.75 | ) | 675,350 | 1.11 | 1.00 | 1.27 | 17 | |||||||||||||||||||||
(0.01 | ) | 1.10 | 27.84 | 718,281 | 1.18 | 1.06 | 1.61 | 98 | ||||||||||||||||||||||
(0.01 | ) | 0.87 | 9.06 | 521,800 | 1.25 | 1.16 | 1.24 | 47 | ||||||||||||||||||||||
$ | (0.00 | )(e) | $ | 1.00 | – | % | $ | 536,910 | 0.33 | %(c) | 0.08 | %(c) | 0.00 | %(c) | – | % | ||||||||||||||
(0.00 | )(e) | 1.00 | 0.31 | 582,312 | 0.33 | 0.25 | 0.26 | – | ||||||||||||||||||||||
(0.02 | ) | 1.00 | 1.94 | 446,517 | 0.33 | 0.33 | 1.91 | – | ||||||||||||||||||||||
(0.02 | ) | 1.00 | 1.54 | 443,474 | 0.34 | 0.34 | 1.53 | – | ||||||||||||||||||||||
(0.01 | ) | 1.00 | 0.60 | 439,438 | 0.33 | 0.33 | 0.59 | – | ||||||||||||||||||||||
(0.00 | )(e) | 1.00 | 0.13 | 501,635 | 0.32 | 0.32 | 0.11 | – | ||||||||||||||||||||||
$ | – | $ | 1.08 | 0.37 | % | $ | 413,627 | 0.38 | %(c) | 0.38 | %(c) | 1.40 | %(c) | 26 | %(g) | |||||||||||||||
(0.02 | ) | 1.08 | 4.29 | 383,608 | 0.39 | 0.39 | 1.96 | 49 | (g) | |||||||||||||||||||||
(0.02 | ) | 1.06 | 4.38 | 334,574 | 0.39 | 0.39 | 2.47 | 56 | (g) | |||||||||||||||||||||
(0.02 | ) | 1.03 | 1.36 | 306,541 | 0.39 | 0.39 | 2.14 | 41 | (g) | |||||||||||||||||||||
(0.01 | ) | 1.03 | 1.33 | 293,514 | 0.42 | 0.41 | 1.60 | 46 | ||||||||||||||||||||||
(0.01 | ) | 1.03 | 1.67 | 269,833 | 0.43 | 0.43 | 1.33 | 37 | ||||||||||||||||||||||
$ | – | $ | 1.35 | (1.54 | )% | $ | 3,427,685 | 0.31 | %(c) | 0.30 | %(c) | 1.13 | %(c) | 164 | %(g) | |||||||||||||||
(0.05 | ) | 1.37 | 8.98 | 3,404,268 | 0.31 | 0.30 | 1.75 | 340 | (g) | |||||||||||||||||||||
(0.04 | ) | 1.30 | 8.65 | 3,192,050 | 0.31 | 0.30 | 2.76 | 403 | (g) | |||||||||||||||||||||
(0.03 | ) | 1.23 | (0.21 | ) | 2,967,993 | 0.31 | 0.31 | 2.74 | 294 | (g) | ||||||||||||||||||||
(0.05 | ) | 1.26 | 3.58 | 2,943,934 | 0.32 | 0.31 | 2.15 | 390 | (g) | |||||||||||||||||||||
(0.04 | ) | 1.26 | 3.06 | 2,839,045 | 0.32 | 0.31 | 1.91 | 525 | (g) |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Financial Highlights
NORTHWESTERN MUTUAL SERIES FUND, INC.
(For a share outstanding through the period)
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions from Realized Gains on Investments | |||||||||||||||||||||||||||
Long-Term U.S. Government Bond Portfolio(s) |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.21 | $ | 0.01 | $ | (0.10 | ) | $ | (0.09 | ) | $ | – | $ | – | ||||||||||||||||||
2020 | 1.12 | 0.02 | 0.17 | 0.19 | (0.02 | ) | (0.08 | ) | ||||||||||||||||||||||||
2019 | 1.01 | 0.02 | 0.11 | 0.13 | (0.02 | ) | – | |||||||||||||||||||||||||
2018 | 1.08 | 0.03 | (0.06 | ) | (0.03 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||||||||||||
2017 | 1.06 | 0.03 | 0.05 | 0.08 | (0.02 | ) | (0.04 | ) | ||||||||||||||||||||||||
2016 | 1.08 | 0.03 | (0.01 | ) | 0.02 | (0.02 | ) | (0.02 | ) | |||||||||||||||||||||||
Inflation Protection Portfolio(s) |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.21 | $ | 0.02 | $ | 0.01 | $ | 0.03 | $ | – | $ | – | ||||||||||||||||||||
2020 | 1.13 | 0.02 | 0.08 | 0.10 | (0.02 | ) | – | |||||||||||||||||||||||||
2019 | 1.06 | 0.02 | 0.08 | 0.10 | (0.03 | ) | – | |||||||||||||||||||||||||
2018 | 1.11 | 0.03 | (0.06 | ) | (0.03 | ) | (0.02 | ) | – | |||||||||||||||||||||||
2017 | 1.09 | 0.02 | 0.01 | 0.03 | (0.01 | ) | (0.00 | )(e) | ||||||||||||||||||||||||
2016 | 1.05 | 0.02 | 0.03 | 0.05 | (0.01 | ) | – | |||||||||||||||||||||||||
High Yield Bond Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 0.75 | $ | 0.02 | $ | 0.01 | $ | 0.03 | $ | – | $ | – | ||||||||||||||||||||
2020 | 0.75 | 0.04 | – | 0.04 | (0.04 | ) | – | |||||||||||||||||||||||||
2019 | 0.69 | 0.04 | 0.06 | 0.10 | (0.04 | ) | – | |||||||||||||||||||||||||
2018 | 0.75 | 0.04 | (0.06 | ) | (0.02 | ) | (0.04 | ) | – | |||||||||||||||||||||||
2017 | 0.74 | 0.04 | 0.01 | 0.05 | (0.04 | ) | – | |||||||||||||||||||||||||
2016 | 0.68 | 0.04 | 0.06 | 0.10 | (0.04 | ) | – | |||||||||||||||||||||||||
Multi-Sector Bond Portfolio(s) |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.16 | $ | 0.02 | $ | (0.02 | ) | $ | 0.00 | (e) | $ | – | $ | – | ||||||||||||||||||
2020 | 1.14 | 0.04 | 0.03 | 0.07 | (0.05 | ) | (0.00 | )(e) | ||||||||||||||||||||||||
2019 | 1.05 | 0.04 | 0.10 | 0.14 | (0.05 | ) | – | |||||||||||||||||||||||||
2018 | 1.09 | 0.04 | (0.05 | ) | (0.01 | ) | (0.03 | ) | – | |||||||||||||||||||||||
2017 | 1.05 | 0.04 | 0.04 | 0.08 | (0.04 | ) | – | |||||||||||||||||||||||||
2016 | 0.99 | 0.04 | 0.07 | 0.11 | (0.05 | ) | – | |||||||||||||||||||||||||
Balanced Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.57 | $ | 0.00 | (e) | $ | 0.09 | $ | 0.09 | $ | – | $ | – | |||||||||||||||||||
2020 | 1.49 | 0.04 | 0.13 | 0.17 | (0.04 | ) | (0.05 | ) | ||||||||||||||||||||||||
2019 | 1.36 | 0.03 | 0.21 | 0.24 | (0.04 | ) | (0.08 | ) | ||||||||||||||||||||||||
2018 | 1.47 | 0.03 | (0.07 | ) | (0.04 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||||||||||||
2017 | 1.40 | 0.03 | 0.12 | 0.15 | (0.03 | ) | (0.05 | ) | ||||||||||||||||||||||||
2016 | 1.38 | 0.02 | 0.07 | 0.09 | (0.03 | ) | (0.04 | ) | ||||||||||||||||||||||||
Asset Allocation Portfolio |
| |||||||||||||||||||||||||||||||
2021(j) | $ | 1.29 | $ | 0.00 | (e) | $ | 0.10 | $ | 0.10 | $ | – | $ | – | |||||||||||||||||||
2020 | 1.22 | 0.03 | 0.12 | 0.15 | (0.03 | ) | (0.05 | ) | ||||||||||||||||||||||||
2019 | 1.10 | 0.02 | 0.20 | 0.22 | (0.03 | ) | (0.08 | ) | ||||||||||||||||||||||||
2018 | 1.21 | 0.03 | (0.09 | ) | (0.06 | ) | (0.02 | ) | (0.03 | ) | ||||||||||||||||||||||
2017 | 1.12 | 0.02 | 0.15 | 0.17 | (0.03 | ) | (0.05 | ) | ||||||||||||||||||||||||
2016 | 1.11 | 0.02 | 0.06 | 0.08 | (0.03 | ) | (0.04 | ) |
(d) | Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. |
(r) | Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus. |
(s) | The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios for the Long-Term U.S. Government Portfolio would be 0.64% and 0.64% respectively for the period ended June 30, 2021, 0.64% and 0.64% respectively in 2020, 0.67% and 0.65% respectively in 2019, 0.67% and 0.65% respectively in 2018, 0.67% and 0.65% respectively in 2017, 0.64% and 0.64% respectively in 2016. The ratios for the Multi-Sector Bond Portfolio would be 0.81% and 0.71% respectively for the period ended June 30, 2021, 0.81% and 0.72% respectively in 2020, 0.82% and 0.73% respectively in 2019, 0.81% and 0.74% respectively in 2018. |
(j) | For the six months ended June 30, 2021. (Unaudited) |
(c) | Computed on an annualized basis. |
(g) | Portfolio Turnover Rate excludes the impact of TBA transactions. |
(e) | Amount is less than $0.005. |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Total Distributions | Net Asset Value, End of Period | Total Return(d) | Net Assets, End of Period (thousands) | Ratio of Gross Expenses to Average Net Assets(r) | Ratio of Net Expenses to Average Net Assets(r) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | – | $ | 1.12 | (7.74 | )% | $ | 144,122 | 0.67 | %(c) | 0.67 | %(c) | 1.76 | %(c) | 2 | %(g) | |||||||||||||||
(0.10 | ) | 1.21 | 17.37 | 153,933 | 0.94 | 0.94 | 1.61 | 157 | (g) | |||||||||||||||||||||
(0.02 | ) | 1.12 | 13.17 | 122,854 | 1.25 | 1.23 | 2.06 | 5 | (g) | |||||||||||||||||||||
(0.04 | ) | 1.01 | (2.04 | ) | 111,468 | 0.90 | 0.89 | 2.48 | 43 | (g) | ||||||||||||||||||||
(0.06 | ) | 1.08 | 8.28 | 115,713 | 0.94 | 0.92 | 2.64 | 51 | (g) | |||||||||||||||||||||
(0.04 | ) | 1.06 | 1.09 | 110,391 | 0.77 | 0.77 | 2.19 | 126 | (g) | |||||||||||||||||||||
$ | – | $ | 1.24 | 2.14 | % | $ | 470,655 | 0.57 | %(c) | 0.54 | %(c) | 2.92 | %(c) | 41 | % | |||||||||||||||
(0.02 | ) | 1.21 | 9.57 | 423,389 | 0.58 | 0.55 | 1.34 | 56 | ||||||||||||||||||||||
(0.03 | ) | 1.13 | 9.02 | 381,132 | 0.59 | 0.55 | 2.13 | 40 | ||||||||||||||||||||||
(0.02 | ) | 1.06 | (2.61 | ) | 349,571 | 0.59 | 0.55 | 2.55 | 23 | |||||||||||||||||||||
(0.01 | ) | 1.11 | 3.58 | 401,711 | 0.61 | 0.57 | 2.05 | 21 | ||||||||||||||||||||||
(0.01 | ) | 1.09 | 4.68 | 326,927 | 0.64 | 0.59 | 1.55 | 34 | ||||||||||||||||||||||
$ | – | $ | 0.78 | 3.86 | % | $ | 843,251 | 0.44 | %(c) | 0.44 | %(c) | 4.94 | %(c) | 19 | % | |||||||||||||||
(0.04 | ) | 0.75 | 6.64 | 825,203 | 0.45 | 0.45 | 5.36 | 42 | ||||||||||||||||||||||
(0.04 | ) | 0.75 | 14.97 | 846,127 | 0.45 | 0.45 | 5.73 | 33 | ||||||||||||||||||||||
(0.04 | ) | 0.69 | (2.71 | ) | 763,366 | 0.45 | 0.45 | 5.65 | 23 | |||||||||||||||||||||
(0.04 | ) | 0.75 | 6.88 | 811,878 | 0.45 | 0.45 | 5.48 | 32 | ||||||||||||||||||||||
(0.04 | ) | 0.74 | 14.59 | 756,947 | 0.47 | 0.46 | 5.83 | 36 | ||||||||||||||||||||||
$ | – | $ | 1.16 | 0.34 | % | $ | 1,299,922 | 0.81 | %(c) | 0.71 | %(c) | 2.85 | %(c) | 12 | % | |||||||||||||||
(0.05 | ) | 1.16 | 6.13 | 1,148,511 | 0.82 | 0.73 | 3.23 | 30 | (g) | |||||||||||||||||||||
(0.05 | ) | 1.14 | 14.04 | 1,021,824 | 0.83 | 0.74 | 3.53 | 30 | (g) | |||||||||||||||||||||
(0.03 | ) | 1.05 | (1.30 | ) | 874,943 | 0.82 | 0.75 | 3.67 | 37 | (g) | ||||||||||||||||||||
(0.04 | ) | 1.09 | 8.38 | 840,981 | 0.82 | 0.75 | 4.06 | 49 | ||||||||||||||||||||||
(0.05 | ) | 1.05 | 11.09 | 689,849 | 0.84 | 0.78 | 3.86 | 43 | ||||||||||||||||||||||
$ | – | $ | 1.66 | 5.28 | % | $ | 2,403,854 | 0.31 | %(c) | 0.06 | %(c) | (0.01 | )%(c) | 8 | % | |||||||||||||||
(0.09 | ) | 1.57 | 12.49 | 2,367,387 | 0.31 | 0.06 | 2.40 | 28 | ||||||||||||||||||||||
(0.11 | ) | 1.49 | 17.92 | 2,254,235 | 0.31 | 0.06 | 2.14 | 17 | ||||||||||||||||||||||
(0.07 | ) | 1.36 | (3.45 | ) | 2,065,353 | 0.31 | 0.06 | 2.25 | 27 | |||||||||||||||||||||
(0.08 | ) | 1.47 | 11.98 | 2,307,470 | 0.31 | 0.06 | 1.75 | 17 | ||||||||||||||||||||||
(0.07 | ) | 1.40 | 6.58 | 2,202,834 | 0.31 | 0.07 | 1.73 | 24 | ||||||||||||||||||||||
$ | – | $ | 1.39 | 7.42 | % | $ | 322,340 | 0.55 | %(c) | 0.08 | %(c) | (0.03 | )%(c) | 6 | % | |||||||||||||||
(0.08 | ) | 1.29 | 13.43 | 306,692 | 0.57 | 0.09 | 2.32 | 29 | ||||||||||||||||||||||
(0.10 | ) | 1.22 | 21.08 | 287,738 | 0.57 | 0.09 | 1.96 | 15 | ||||||||||||||||||||||
(0.05 | ) | 1.10 | (4.88 | ) | 249,511 | 0.57 | 0.09 | 2.24 | 32 | |||||||||||||||||||||
(0.08 | ) | 1.21 | 14.87 | 277,213 | 0.57 | 0.09 | 1.68 | 22 | ||||||||||||||||||||||
(0.07 | ) | 1.12 | 7.79 | 250,399 | 0.58 | 0.09 | 1.69 | 26 |
The Accompanying Notes are an Integral Part of the Financial Statements.
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Table of Contents
Notes to Financial Statements (unaudited)
NOTE 1. ORGANIZATION
Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a “Portfolio” or collectively, the “Portfolios”). All of the outstanding shares of each Portfolio are held by an affiliate, The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”), for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds). The Government Money Market Portfolio is a government money market fund under Rule 2a-7 of the 1940 Act.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Series Fund in the preparation of its financial statements.
A. Use of Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
B. Foreign Income and Capital Gains Taxes — The Portfolios may be subject to income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends and interest are netted against income and separately disclosed in the Statements of Operations.
Some of the Portfolios may be subject to capital gains taxes imposed by certain countries in which they invest. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
C. Federal Income Taxes — The Portfolios’ policy is to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.
In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (2017 to 2020) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
D. Distributions — Dividends from net investment income and net realized capital gains are declared and paid each business day for the Government Money Market Portfolio and at least annually for the remaining Portfolios, when applicable.
E. Other — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one
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or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the Statements of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.
F. New Accounting Pronouncements — In March 2020, the FASB issued Accounting Standards Update 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (“ASU 2020-04”) which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. ASU 2020-04 is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. Management is evaluating implications of this guidance on the financial statements in light of the status of the reference rate transitioning described therein.
NOTE 3. SECURITY VALUATION
For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange (“Exchange”) on each day during which the Exchange is open for trading.
The Fair Value Measurements and Disclosures Topic of the Financial Accounting Standards Codification defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
• | Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives |
• | Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation) |
• | Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios’ own assumptions in determining fair value) |
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios’ perceived risk of that instrument.
The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios’ investments classified as Level 1 and Level 2 in the fair value hierarchy:
• | Equity securities (common and preferred stock) for which market quotations are readily available are valued at the last sale or, when available, official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are generally valued at the last quoted bid price. Equity securities traded only in the over-the-counter market and not on a securities exchange are valued at the last sale price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy where applicable. |
• | Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, and non-U.S. bonds are generally valued on the basis of service provider prices that use broker dealer quotations or valuation estimates from internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, call features, maturities, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy. |
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• | Fixed income securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 in the fair value hierarchy. |
• | Mortgage related and asset backed securities are generally issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage related and asset backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy. |
• | Investments in open-end mutual funds (including other Portfolios) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy. Investments in privately held mutual funds are valued at the mutual fund’s closing net asset value per share and are categorized as Level 2 in the fair value hierarchy. |
• | Money market investments, other than in the Government Money Market Portfolio, are generally valued by a pricing service. All securities in the Government Money Market Portfolio are valued using amortized cost, unless the current market value differs substantially from the amortized cost, at which time the securities are marked to market. Because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy. |
• | Listed derivatives, such as futures or option contracts, which are actively traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation and are categorized as Level 1 in the fair value hierarchy. |
• | Centrally-cleared swaps and over-the-counter financial derivatives, such as foreign currency contracts, options contracts, or swap agreements derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Depending on the product and the terms of the transaction, the value of the derivatives can be estimated using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy. |
The following is a description of the valuation techniques and significant inputs used in determining the value the Portfolios’ investments classified as Level 3 in the fair value hierarchy:
• | Securities and other assets for which market quotes are not readily available are valued at fair market value as determined in good faith in accordance with procedures adopted by the Series Fund’s Board of Directors (“Board”). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g. trade information or broker quotes). The factors considered in reaching these values at June 30, 2021 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability. |
A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and
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details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of June 30, 2021, there were no Portfolios that owned a material amount of Level 3 securities.
The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Board has delegated the day-to-day responsibility for pricing Portfolio securities and other investments to Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, Northwestern Mutual in its capacity as fund administrator, and State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of a Pricing Committee appointed by the Board and comprised of representatives of MSA, Northwestern Mutual and Series Fund officers. The Pricing Committee is charged with the primary and day-to-day operational responsibility for executing the valuation process. The Pricing Committee has been delegated the authority to approve the override of any prices as permitted under the pricing policy and procedures approved by the Board and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board at its next regular meeting.
NOTE 4. SECURITIES AND OTHER INVESTMENTS
A. Delayed Delivery Transactions and When-Issued Securities — Certain Portfolios may engage in securities transactions on a when-issued or delayed delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed delivery purchases are outstanding, a Portfolio will earmark liquid assets on its records in amounts sufficient to meet the purchase price. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.
B. Repurchase Agreements — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio’s custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.
D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.
The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and the differences between the amounts of income and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent of the amounts actually received or paid.
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E. Mortgage Backed and Asset Backed Securities — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.
F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statements of Operations even though investors do not receive their principal until maturity.
G. Short Sales — Certain Portfolios may enter into short sale transactions. A short sale is a transaction in which a Portfolio sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested.
H. Financing Transactions — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities. For the period ended June 30, 2021, the Long-Term U.S. Government Bond Portfolio entered into financing transactions utilizing various U.S. Treasury bonds.
I. Loan Participation and Assignments — Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Portfolios’ investments in a loan may be in the form of either actual participation in loans or assignments of all or part of the loans from third parties. A loan is often administered by a bank or other financial institution that acts as an agent for all holders. The agent administers the terms of the loan which are specified in the loan agreement. The Portfolios may invest in multiple series or tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right to enforce compliance with the terms of the loan agreement and as a result, the Portfolios may be subject to the credit risk of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they acquire direct rights against the borrower of the loan. The Portfolios may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments can include lines of credit, which may require the Portfolios to grant additional cash to the borrower upon demand from the borrower. These unfunded loan commitments are in fact a future obligation in full, although a percentage of the loan amount may not be utilized by the borrower. When investing in a loan, the Portfolios have the right to receive principal, interest and any fees from the lender selling the loan
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agreement and only when the payments are received by the lender from the borrower. There may also be a commitment fee due to the Portfolios based on the unused portion of the line of credit of the floating rate loan. In certain cases, the Portfolios may be entitled to a penalty fee if there was a prepayment of a floating rate loan by the borrower. Fees that are earned or paid will be reflected as interest income or interest expense on the Statements of Operations. As of June 30, 2021, there were no unfunded loan commitments outstanding.
J. Reverse Repurchase Agreements — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account. As of June 30, 2021, there were reverse repurchase agreements held in the Multi-Sector Bond Portfolio.
NOTE 5. DERIVATIVE INSTRUMENTS
The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios’ derivatives do not qualify for hedge accounting treatment.
Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as “Cash Collateral for Derivative Positions” on the Statements of Assets and Liabilities.
A. Futures Contracts — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin,” are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
B. Forward Foreign Currency Contracts — The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies or as part of an investment strategy. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts.
C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums
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received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.
Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.
D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.
Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.
Total Return Swaps — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.
Credit Default Swaps — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.
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As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. 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 on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.
If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or 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. The maximum potential amount of future payments (undiscounted) that a 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 agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the Schedules of Investments. These maximum potential amounts would be partially offset by any recovery values of the referenced obligations, upfront payments received upon entering into the agreement, or net amounts received by the Portfolio from the settlement of credit default swap agreements purchasing protection for the same referenced obligation.
E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of June 30, 2021, are (amounts in thousands):
Asset Derivatives | Liability Derivatives | |||||||||||
Portfolio | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | ||||||||
Index 500 Stock Portfolio | ||||||||||||
Equity contracts | Receivables – Variation Margin (Futures) | $ | 86 | Payables – Variation Margin (Futures) | $ | - | ||||||
Large Company Value Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 75 | Payables – Foreign Currency | 3 | ||||||||
Index 400 Stock Portfolio | ||||||||||||
Equity contracts | Receivables – Variation Margin (Futures) | 10 | Payables – Variation Margin (Futures) | - | ||||||||
Mid Cap Value Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 173 | Payables – Foreign Currency | 4 | ||||||||
Index 600 Portfolio | ||||||||||||
Equity contracts | Receivables – Variation Margin (Futures) | 7 | Payables – Variation Margin (Futures) | - | ||||||||
International Growth Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 2 | Payables – Foreign Currency | 7 |
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Asset Derivatives | Liability Derivatives | |||||||||||
Portfolio | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | ||||||||
Research International Core Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | $ | 4 | Payables – Foreign Currency | $ | - | ||||||
International Equity Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 5 | Payables – Foreign Currency | - | ||||||||
Short-Term Bond Portfolio | ||||||||||||
Interest rate contracts | Receivables – Variation Margin (Futures) | 6 | Payables – Variation Margin (Futures) | 27 | ||||||||
Long-Term U.S. Government Bond Portfolio | ||||||||||||
Interest rate contracts | Receivables – Variation Margin (Futures) | 52 | Payables – Variation Margin (Futures) | 71 | ||||||||
Interest rate contracts | Receivables – Variation Margin (Cleared Swap) | 34 | Payables – Variation Margin (Cleared Swap) | 53 | ||||||||
Inflation Protection Portfolio | ||||||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 818 | Payables – Foreign Currency | - | ||||||||
Interest rate contracts | Receivables – Variation Margin (Futures) | 19 | Payables – Variation Margin (Futures) | 124 | ||||||||
Inflation contracts | Receivables – Variation Margin (Cleared Swap) | 86 | Payables – Variation Margin (Cleared Swap) | - | ||||||||
Inflation contracts | Receivables – Outstanding Swaps Contracts, at Value | 2,028 | Payables – Outstanding Swaps Contracts, at Value | 2,210 | ||||||||
Multi-Sector Bond Portfolio | ||||||||||||
Credit contracts | Receivables – Outstanding Swaps Contracts, at Value | 1,156 | Payables – Outstanding Swaps Contracts, at Value | 185 | ||||||||
Credit contracts | Receivables – Variation Margin (Cleared Swap) | - | Payables – Variation Margin (Cleared Swap) | 234 | ||||||||
Foreign exchange contracts | Receivables – Foreign Currency | 9,164 | Payables – Foreign Currency | 689 | ||||||||
Interest rate contracts | Receivables – Variation Margin (Futures) | 832 | Payables – Variation Margin (Futures) | 1 | ||||||||
Interest rate contracts | Receivables – Variation Margin (Cleared Swap) | 44 | Payables – Variation Margin (Cleared Swap) | 84 |
Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2021 are (amounts in thousands):
Realized Gain (Loss) on Derivatives Instruments | ||||||||||||||||||||
Portfolio | Options Written | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Index 500 Stock Portfolio | ||||||||||||||||||||
Equity contracts | $ | - | $ | 7,291 | $ | - | $ | - | $ | 7,291 | ||||||||||
Large Company Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 193 | - | 193 | |||||||||||||||
Equity Income Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 3 | - | 3 | |||||||||||||||
Index 400 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | 3,463 | - | - | 3,63 | |||||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 99 | - | 99 | |||||||||||||||
Index 600 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | (376 | ) | - | 1,688 | 1,312 | ||||||||||||||
International Growth Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 15 | - | 15 | |||||||||||||||
Research International Core Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 41 | - | 41 |
212
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Realized Gain (Loss) on Derivatives Instruments | ||||||||||||||||||||
Portfolio | Options Written | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
International Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | $ | - | $ | - | $ | (50 | ) | $ | - | $ | (50 | ) | ||||||||
Emerging Markets Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (339 | ) | - | (339 | ) | |||||||||||||
Short-Term Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | 486 | - | - | 486 | |||||||||||||||
Long-Term U.S. Government Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | 2,349 | - | 19 | 2,368 | |||||||||||||||
Inflation Protection Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (1,898 | ) | - | (1,898 | ) | |||||||||||||
Inflation contracts | - | - | - | (4 | ) | (4 | ) | |||||||||||||
Interest rate contracts | - | 1,060 | - | - | 1,060 | |||||||||||||||
Multi-Sector Bond Portfolio | ||||||||||||||||||||
Credit contracts | - | - | - | 9,192 | 9,192 | |||||||||||||||
Foreign currency exchange contracts | - | - | (6,847 | ) | - | (6,847 | ) | |||||||||||||
Interest rate contracts | 71 | (15,499 | ) | - | 1,712 | (13,716 | ) |
Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2021 are (amounts in thousands):
Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | ||||||||||||||||||||
Portfolio | Options Written | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Index 500 Stock Portfolio | ||||||||||||||||||||
Equity contracts | $ | - | $ | 51 | $ | - | $ | - | $ | 51 | ||||||||||
Large Company Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 182 | - | 182 | |||||||||||||||
Equity Income Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (3 | ) | - | (3 | ) | |||||||||||||
Index 400 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | (628 | ) | - | - | (628 | ) | |||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 504 | - | 504 | |||||||||||||||
Index 600 Stock Portfolio | ||||||||||||||||||||
Equity Contracts | - | 575 | - | (894 | ) | (319 | ) | |||||||||||||
International Growth Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (91 | ) | - | (91 | ) | |||||||||||||
Research International Core Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (153 | ) | - | (153 | ) | |||||||||||||
International Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (192 | ) | - | (192 | ) | |||||||||||||
Emerging Markets Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | (9 | ) | - | (9 | ) | |||||||||||||
Short-Term Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | (151 | ) | - | - | (151 | ) | |||||||||||||
Long-Term U.S. Government Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | (425 | ) | - | 381 | (44 | ) | |||||||||||||
Inflation Protection Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 1,123 | - | 1,123 | |||||||||||||||
Interest rate contracts | - | (685 | ) | - | - | (685 | ) | |||||||||||||
Inflation contracts | - | - | - | 7,583 | 7,583 |
213
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Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | ||||||||||||||||||||
Portfolio | Options Written | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Multi-Sector Bond Portfolio | ||||||||||||||||||||
Credit contracts | $ | - | $ | - | $ | - | $ | (5,748 | ) | $ | (5,748 | ) | ||||||||
Foreign currency exchange contracts | - | - | 12,068 | - | 12,068 | |||||||||||||||
Interest rate contracts | - | 3,808 | - | 680 | 4,488 |
Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2021 are:
Portfolio | Volume of Derivative Instruments Held | |||||||||||||||||||
Average Number of Contracts | Average Notional (Amounts in Thousands) | |||||||||||||||||||
Exchange Traded Options | Futures | Forward Currency Contracts | Swaps | Over the Counter | ||||||||||||||||
Index 500 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | 183 | - | - | - | |||||||||||||||
Large Company Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 20,081 | - | - | |||||||||||||||
Equity Income Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | - | - | - | |||||||||||||||
Index 400 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | 44 | - | - | - | |||||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 51,368 | - | - | |||||||||||||||
Index 600 Stock Portfolio | ||||||||||||||||||||
Equity contracts | - | 42 | - | 4,229 | - | |||||||||||||||
International Growth Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 665 | - | - | |||||||||||||||
Research International Core Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 137 | - | - | |||||||||||||||
International Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 8 | - | - | |||||||||||||||
Emerging Markets Equity Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 105 | - | - | |||||||||||||||
Short-Term Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | 482 | - | - | - | |||||||||||||||
Long-Term U.S. Government Bond Portfolio | ||||||||||||||||||||
Interest rate contracts | - | 229 | - | 34,930 | - | |||||||||||||||
Inflation Protection Portfolio | ||||||||||||||||||||
Foreign currency exchange contracts | - | - | 31,734 | - | - | |||||||||||||||
Interest rate contracts | - | 332 | - | - | - | |||||||||||||||
Inflation contracts | - | - | - | 175,750 | - | |||||||||||||||
Multi-Sector Bond Portfolio | ||||||||||||||||||||
Credit contracts | - | - | - | 257,568 | - | |||||||||||||||
Foreign currency exchange contracts | - | - | 754,718 | - | - | |||||||||||||||
Interest rate contracts | 38 | 2,440 | - | 118,220 | 7,257 |
214
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Notes to Financial Statements (unaudited)
NOTE 6. PORTFOLIO RISK
In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Portfolios’ income. Similar to credit risk, the Portfolios may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios’ investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.
LIBOR
Instruments in which the Fund invests may pay interest at floating rates based on the London Interbank Offered Rate (“LIBOR”) or may be subject to interest caps or floors based on LIBOR. In 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021, and it is expected that LIBOR will cease to be published after that time. Various financial industry groups are planning for the transition away from LIBOR to a new reference rate such as the Secured Overnight Financing Rate (“SOFR”), which is intended to replace the U.S. dollar LIBOR but there are various challenges to converting certain securities and transactions to a new reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR and could lead to significant short-term and long-term uncertainty and market instability. Uncertainty remains regarding the effects of implementing replacement reference rates for LIBOR on the Fund, issuers of instruments in which the Fund invests and financial markets generally. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund’s investments, performance or financial condition.
COVID-19
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 led to increased short-term market volatility during 2020 and may result in additional adverse effects on the U.S. and world economies and markets in general. COVID-19 adversely affected the value of the Portfolios’ investments during 2020 and may have future adverse impact on Portfolio investments in the future. Because of the uncertainties regarding the ongoing impact of COVID-19 on the global economy, and business operations, and securities markets, values reflected in these financial statements may materially differ from the value received upon actual sales of those investments.
The extent of the impact on the performance of the Portfolios and their investments will depend on future developments, including the duration and spread of the COVID-19 pandemic, related restrictions and advisories, the effectiveness of responsive measures by individual countries (such as vaccine distribution), and the effects of the pandemic on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
Master Netting Arrangements
The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements
215
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Notes to Financial Statements (unaudited)
may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the Portfolio to terminate while a decline in the Portfolio’s net assets of more than a certain percentage would allow the counterparty to terminate. In such a situation, the counterparty involved would have the option to waive the triggering event or liquidate the affected positions pursuant to the terms of the related agreement. The aggregate amount of derivatives in a liability position is disclosed in Note 5.
Offsetting Assets and Liabilities
Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the period ended June 30, 2021, has been limited such that the net amount cannot be less than zero.
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral as of period end:
Large Company Value Portfolio
Derivative Assets (000’s) | Derivative Liabilities (000’s) | |||||||||||||||||||||||||||||||||||
Counterparty | Forward Contacts | Swaps | Total Assets | Forward Contacts | Swaps | Total Liabilities | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | |||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | $ | 75 | $ | - | $ | 75 | $ | (3 | ) | $ | - | $ | (3 | ) | $ | 72 | $ | - | $ | 72 | ||||||||||||||||
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| |||||||||||||||||||
Total | $ | 75 | $ | - | $ | 75 | $ | (3 | ) | $ | - | $ | (3 | ) | $ | 72 | $ | - | $ | 72 | ||||||||||||||||
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Mid Cap Value Portfolio
|
| |||||||||||||||||||||||||||||||||||
Derivative Assets (000’s) | Derivative Liabilities (000’s) | |||||||||||||||||||||||||||||||||||
Counterparty | Forward Contacts | Swaps | Total Assets | Forward Contacts | Swaps | Total Liabilities | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | |||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | $ | 173 | $ | - | $ | 173 | $ | (4 | ) | $ | - | $ | (4 | ) | $ | 169 | $ | (169 | ) | $ | - | |||||||||||||||
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| |||||||||||||||||||
Total | $ | 173 | $ | - | $ | 173 | $ | (4 | ) | $ | - | $ | (4 | ) | $ | 169 | $ | (169 | ) | $ | - | |||||||||||||||
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Inflation Protection Portfolio
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Derivative Assets (000’s) | Derivative Liabilities (000’s) | |||||||||||||||||||||||||||||||||||
Counterparty | Forward Contacts | Swaps | Total Assets | Forward Contacts | Swaps | Total Liabilities | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | |||||||||||||||||||||||||||
Bank of America NA | $ | - | $ | 383 | $ | 383 | $ | - | $ | (561 | ) | $ | (561 | ) | $ | (178 | ) | $ | 140 | $ | (38 | ) | ||||||||||||||
Barclays Bank PLC | - | - | - | - | (1,649 | ) | (1,649 | ) | (1,649 | ) | - | (1,649 | ) | |||||||||||||||||||||||
Goldman Sachs International | - | 1,645 | 1,645 | - | - | - | 1,645 | (1,590 | ) | 55 | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 818 | - | 818 | - | - | - | 818 | (604 | ) | 214 | ||||||||||||||||||||||||||
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Total | $ | 818 | $ | 2,028 | $ | 2,846 | $ | - | $ | (2,210 | ) | $ | (2,210 | ) | $ | 636 | $ | (2,054 | ) | $ | (1,418 | ) | ||||||||||||||
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216
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Notes to Financial Statements (unaudited)
Multi-Sector Bond Portfolio
Derivative Assets (000’s) | Derivative Liabilities (000’s) | |||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Contacts | Swaps | Total Assets | Forward Contacts | Written Options | Swaps | Total Liabilities | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | ||||||||||||||||||||||||||||||
Bank of America NA | $ | 24 | $ | - | $ | 24 | $ | (129 | ) | $ | - | $ | - | $ | (129 | ) | $ | (105 | ) | $ | - | $ | (105 | ) | ||||||||||||||||
Barclays Bank PLC | 21 | 162 | 183 | (178 | ) | - | (183 | ) | (361 | ) | (178 | ) | - | (178 | ) | |||||||||||||||||||||||||
BNP Paribas SA | 7,296 | 65 | 7,361 | - | - | - | - | 7,361 | (6,440 | ) | 921 | |||||||||||||||||||||||||||||
Goldman Sachs International | - | 403 | 403 | - | - | - | - | 403 | (280 | ) | 123 | |||||||||||||||||||||||||||||
Goldman Sachs Bank USA | 1,688 | - | 1,688 | (156 | ) | - | - | (156 | ) | 1,532 | (1,350 | ) | 182 | |||||||||||||||||||||||||||
HSBC Bank USA NA | 96 | - | 96 | (195 | ) | - | - | (195 | ) | (99 | ) | 99 | - | |||||||||||||||||||||||||||
JP Morgan Chase Bank NA | - | 478 | 478 | (1 | ) | - | (2 | ) | (3 | ) | 475 | (475 | ) | - | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | - | 48 | 48 | - | - | - | - | 48 | - | 48 | ||||||||||||||||||||||||||||||
Royal Bank of Scotland PLC | 29 | - | 29 | (30 | ) | - | - | (30 | ) | (1 | ) | - | (1 | ) | ||||||||||||||||||||||||||
UBS AG | 10 | - | 10 | - | - | - | - | 10 | - | 10 | ||||||||||||||||||||||||||||||
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Total | $ | 9,164 | $ | 1,156 | $ | 10,320 | $ | (689 | ) | $ | - | $ | (185 | ) | $ | (874 | ) | $ | 9,446 | $ | (8,446 | ) | $ | 1,000 | ||||||||||||||||
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The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:
Government Money Market Portfolio
Counterparty | Investment in Repurchase Agreements | Payable for Reverse Repurchase Agreements | Payable for Financing Transactions | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | ||||||||||||||||||
Bank of Montreal | $ | 20,000 | $ | - | $ | - | $ | 20,000 | $ | (20,000 | ) | $ | - | |||||||||||
Bank of Nova Scotia | 12,000 | - | - | 12,000 | (12,000 | ) | - | |||||||||||||||||
BNP Paribas SA | 40,000 | - | - | 40,000 | (40,000 | ) | - | |||||||||||||||||
Citigroup Global Markets | 21,000 | - | - | 21,000 | (21,000 | ) | - | |||||||||||||||||
Goldman Sachs International | 15,000 | - | - | 15,000 | (15,000 | ) | - | |||||||||||||||||
Mitsubishi UFJ Securities USA | 10,000 | - | - | 10,000 | (10,000 | ) | - | |||||||||||||||||
Mizuho Bank | 22,000 | - | - | 22,000 | (22,000 | ) | - | |||||||||||||||||
Natixis SA | 10,000 | - | - | 10,000 | (10,000 | ) | - | |||||||||||||||||
TD Securities USA | 19,000 | - | - | 19,000 | (19,000 | ) | - | |||||||||||||||||
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| |||||||||||||
Total | $ | 169,000 | $ | - | $ | - | $ | 169,000 | $ | (169,000 | ) | $ | - | |||||||||||
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Long-Term US Government Bond Portfolio
Counterparty | Payable for Short Sales | Payable for Reverse Repurchase Agreements | Payable for Financing Transactions | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | ||||||||||||||||||
Credit Suisse AG | $ | (5,351 | ) | $ | - | $ | - | $ | (5,351 | ) | $ | - | $ | (5,351 | ) | |||||||||
Goldman Sachs International | - | - | (143,706 | ) | (143,706 | ) | 143,704 | (2 | ) | |||||||||||||||
Morgan Stanley Capital | ||||||||||||||||||||||||
Services, Inc. | - | - | (5,579 | ) | (5,579 | ) | 5,579 | - | ||||||||||||||||
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| |||||||||||||
Total | $ | (5,351 | ) | $ | - | $ | (149,285 | ) | $ | (154,636 | ) | $ | 149,283 | $ | (5,353 | ) | ||||||||
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The Long-Term US Government Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2021 was $60,737 (amount in thousands) at a weighted average interest rate of 0.021%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.
Multi-Sector Bond Portfolio
Counterparty | Investment in Repurchase Agreements | Payable for Reverse Repurchase Agreements | Payable for Financing Transactions | Net Market Value | Collateral Pledged/ (Received) | Net Exposure | ||||||||||||||||||
Barclays Bank PLC | $ | - | $ | (2,194 | ) | $ | - | $ | (2,194 | ) | $ | 2,194 | $ | - | ||||||||||
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| |||||||||||||
Total | $ | - | $ | (2,194 | ) | $ | - | $ | (2,194 | ) | $ | 2,194 | $ | - | ||||||||||
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217
Table of Contents
Notes to Financial Statements (unaudited)
The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2021 was $194 (amount in thousands) at a weighted average interest rate of (0.750)%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.
NOTE 7. INVESTMENT ADVISORY, SUB-ADVISORY, AND COMPLIANCE FEES
The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services to MSA, an affiliate and wholly-owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.
Portfolio | Fee | |||
Index 500 Stock Portfolio | 0.20% | |||
Index 400 Stock Portfolio | 0.25% | |||
Mid Cap Value Portfolio | 0.85% | |||
Small Cap Value Portfolio | 0.85% | |||
Government Money Market Portfolio | 0.30% | |||
Select Bond Portfolio | 0.30% | |||
Balanced Portfolio | 0.30% |
For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:
Portfolio | First $50 Million | Next $50 Million | Excess Over $100 Million | |||||||||||
Growth Stock Portfolio | 0.60 | % | 0.50 | % | 0.40 | % | ||||||||
Large Cap Core Stock Portfolio | 0.60 | % | 0.50 | % | 0.40 | % | ||||||||
Mid Cap Growth Stock Portfolio | 0.80 | % | 0.65 | % | 0.50 | % | ||||||||
Small Cap Growth Stock Portfolio | 0.80 | % | 0.65 | % | 0.50 | % | ||||||||
High Yield Bond Portfolio | 0.60 | % | 0.50 | % | 0.40 | % | ||||||||
Portfolio | First $100 Million | Next $400 Million | Excess Over $500 Million | |||||||||||
Focused Appreciation Portfolio | 0.80 | % | 0.75 | % | 0.70 | % | ||||||||
Portfolio | First $100 Million | Next $150 Million | Excess Over $250 Million | |||||||||||
Large Company Value Portfolio | 0.72 | % | 0.67 | % | 0.62 | % | ||||||||
Domestic Equity Portfolio | 0.65 | % | 0.55 | % | 0.50 | % | ||||||||
International Growth Portfolio | 0.75 | % | 0.65 | % | 0.55 | % | ||||||||
Short-Term Bond Portfolio | 0.35 | % | 0.33 | % | 0.30 | % | ||||||||
Long-Term U.S. Government Bond Portfolio | 0.555 | % | 0.515 | % | 0.495 | % | ||||||||
Inflation Protection Portfolio | 0.58 | % | 0.55 | % | 0.49 | % | ||||||||
Multi-Sector Bond Portfolio | 0.79 | % | 0.78 | % | 0.77 | % | ||||||||
Asset Allocation Portfolio | 0.60 | % | 0.50 | % | 0.40 | % | ||||||||
Portfolio | First $150 Million | Next $150 Million | Next $200 Million | Excess Over $500 | ||||||||||
Large Cap Blend Portfolio | 0.77 | % | 0.70 | % | 0.62 | % | 0.56% | |||||||
Research International Core Portfolio | 0.88 | % | 0.82 | % | 0.75 | % | 0.68% | |||||||
Portfolio | First $500 Million | Excess Over $500 Million | ||||||||||||
Equity Income Portfolio | 0.65 | % | 0.60 | % |
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Portfolio | First $200 Million | Excess Over $200 Million | ||||||||||||||
Index 600 Stock Portfolio | 0.25 | % | 0.20 | % | ||||||||||||
Portfolio | First $50 Million | Excess Over $50 Million | ||||||||||||||
International Equity Portfolio | 0.85 | % | 0.65 | % | ||||||||||||
Portfolio | First $250 Million | Next $250 Million | Next $500 Million | Excess Over $1.0 Billion | ||||||||||||
Emerging Markets Equity Portfolio | 1.14 | % | 1.08 | % | 0.96 | % | 0.78 | % |
For certain Portfolios, MSA contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses (excluding taxes, brokerage, other investment-related costs, interest and dividend expenses and charges, acquired fund fees, fees for class actions, other passive securities litigation and antitrust claim filing services and such non-recurring and extraordinary expenses as they may arise) will not exceed the following amounts:
Portfolio | Expiration | |||||||
Focused Appreciation Portfolio | 0.90 | % | April 30, 2022 | |||||
Large Cap Blend Portfolio | 0.85 | % | April 30, 2022 | |||||
Large Company Value Portfolio | 0.80 | % | April 30, 2022 | |||||
Domestic Equity Portfolio | 0.75 | % | April 30, 2022 | |||||
Equity Income Portfolio | 0.75 | % | April 30, 2022 | |||||
Mid Cap Value Portfolio | 1.00 | % | April 30, 2022 | |||||
Index 600 Stock Portfolio | 0.35 | % | April 30, 2022 | |||||
Small Cap Value Portfolio | 1.00 | % | April 30, 2022 | |||||
International Growth Portfolio | 1.10 | % | April 30, 2022 | |||||
Research International Core Portfolio | 1.15 | % | April 30, 2022 | |||||
Emerging Markets Equity Portfolio | 1.50 | % | April 30, 2022 | |||||
Short-Term Bond Portfolio | 0.45 | % | April 30, 2022 | |||||
Long-Term U.S. Government Bond Portfolio | 0.65 | % | April 30, 2022 | |||||
Inflation Protection Portfolio | 0.65 | % | April 30, 2022 | |||||
Multi-Sector Bond Portfolio | 0.90 | % | April 30, 2022 | |||||
Asset Allocation Portfolio | 0.75 | % | April 30, 2022 |
Growth Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.38% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Focused Appreciation Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.66% on the Portfolio’s first $100 million of average net assets, 0.61% on the next $400 million, 0.60% on the next $500 million, and 0.57% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Large Cap Core Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million, and 0.37% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Large Cap Blend Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
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Index 500 Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.20% on the Portfolio’s first $2 billion of average net assets, and 0.18% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Large Company Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.70% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, 0.59% on the next $250 million, and 0.57% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Domestic Equity Portfolio — For the period from January 1, 2021 through April 30, 2021, MSA agreed to waive a portion of its management fee such that the management fee was 0.65% on the Portfolio’s first $100 million of average net assets, 0.55% on the next $150 million, 0.50% on the next $250 million, 0.45% on the next $500 million, and 0.43% on the average net assets in excess of $1 billion. Effective May 1, 2021, MSA has agreed to waive a portion of its management fee such that the management fee is 0.65% on the Portfolio’s first $100 million of average net assets, 0.55% on the next $150 million, 0.50% on the next $250 million, 0.43% on the next $500 million, and 0.41% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Equity Income Portfolio — For the period from January 1, 2021 through April 30, 2021, MSA agreed to waive a portion of its management fee such that the management fee was 0.58% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. Effective May 1, 2021, MSA has agreed to waive a portion of its management fee such that the management fee is 0.56% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Mid Cap Growth Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.80% on the Portfolio’s first $50 million, 0.65% on the next $50 million, 0.50% on the next $900 million, and 0.49% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Index 400 Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.25% on the Portfolio’s first $500 million and 0.20% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Mid Cap Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $350 million, and 0.64% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Small Cap Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio’s first $500 million of average net assets, and 0.80% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
International Growth Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, 0.55% on the next $750 million, and 0.54% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Research International Core Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.83% on the Portfolio’s first $150 million of average net assets, 0.77% on the next $150 million, 0.70% on the next $200 million, and 0.63% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
International Equity Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.69% on the Portfolio’s first $50 million of average net assets, 0.54% on the next $450 million, 0.52% on the next $500 million, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
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Emerging Markets Equity Portfolio — MSA agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.84% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Government Money Market Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio’s first $500 million of average net assets, 0.29% on the next $500 million, and 0.28% in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022. In addition, MSA has voluntarily agreed to waive its advisory fee and/or reimburse expenses in excess of the Government Money Market Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver is reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.
Short-Term Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio’s first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Select Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio’s first $2 billion of average net assets, and 0.28% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Long-Term U.S. Government Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.555% on the Portfolio’s first $100 million of average net assets, 0.515% on the next $150 million, 0.495% of the next $250 million, and 0.445% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Inflation Protection Portfolio — MSA agreed to waive a portion of its management fee such that the management fee is 0.55% on the Portfolio’s first $100 million of average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
High Yield Bond Portfolio — MSA agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.30% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Multi-Sector Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Balanced Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Asset Allocation Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2022.
Waivers are not recoupable in future periods.
With respect to certain Portfolios, MSA has engaged and oversees unaffiliated sub-advisers who manage the day-to-day investment operations of such Portfolios. MSA pays each sub-adviser a fee based on the average daily net assets of each such Portfolio out of its investment management fee.
Compliance fees are paid to Northwestern Mutual, an affiliate of the Series Fund. The compliance fees paid are for the compensation, benefits and expenses of the Chief Compliance Officer and compliance staff. The amounts paid relate only to the Chief Compliance Officer and compliance staffs’ duties and functions performed for the Series Fund.
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NOTE 8. FEDERAL INCOME TAX MATTERS
Taxable distributions from net investment income and realized capital gains in the Portfolios may differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses between capital and income. The differences between cost amounts for book purposes and tax purposes are primarily due to the tax treatment of deferred losses, passive foreign investment companies, and financing transactions.
It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.
A summary of the Portfolios’ capital loss carryovers as of December 31, 2020 is provided below:
Short-Term Loss Carryover | Long-Term Loss Carryover | Losses Utilized | ||||||||||
(Amounts in thousands) | ||||||||||||
Equity Income Portfolio | $ | 52 | $ | 74 | $ | - | ||||||
Mid Cap Value Portfolio | - | - | 972 | |||||||||
International Equity Portfolio | 57,003 | 225,051 | - | |||||||||
Emerging Markets Equity Portfolio | - | 22,115 | 3,539 | |||||||||
Short-Term Bond Portfolio | - | - | 2,171 | |||||||||
Inflation Protection Portfolio | - | - | 3,162 | |||||||||
High Yield Bond Portfolio | - | 8,872 | - | |||||||||
Multi-Sector Bond Portfolio | - | - | 6 |
Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.
When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the period ended December 31, 2020 was as follows:
2020 Distributions Paid From: | ||||||||
Portfolio | Ordinary Income | Long-term Capital Gain | ||||||
(Amounts in thousands) | ||||||||
Growth Stock Portfolio | $ | 7,243 | $ | 188,737 | ||||
Focused Appreciation Portfolio | 5,853 | 44,520 | ||||||
Large Cap Core Stock Portfolio | 8,189 | 16,446 | ||||||
Large Cap Blend Portfolio | 8,282 | 2,310 | ||||||
Index 500 Stock Portfolio | 66,724 | 72,356 | ||||||
Large Company Value Portfolio | 4,036 | 6,787 | ||||||
Domestic Equity Portfolio | 17,733 | 40,200 | ||||||
Equity Income Portfolio | 33,847 | 29,982 | ||||||
Mid Cap Growth Stock Portfolio | 3,099 | 49,141 | ||||||
Index 400 Stock Portfolio | 12,712 | 43,558 | ||||||
Mid Cap Value Portfolio | 9,956 | - | ||||||
Small Cap Growth Stock Portfolio | 8,721 | 30,794 | ||||||
Index 600 Stock Portfolio | 5,826 | 9,999 | ||||||
Small Cap Value Portfolio | 4,704 | 31,283 | ||||||
International Growth Portfolio | 13,439 | 3,199 | ||||||
Research International Core Portfolio | 17,093 | 13,848 | ||||||
International Equity Portfolio | 56,976 | - | ||||||
Emerging Markets Equity Portfolio | 18,235 | - | ||||||
Government Money Market Portfolio | 1,423 | - | ||||||
Short-Term Bond Portfolio | 8,186 | - | ||||||
Select Bond Portfolio | 108,721 | - | ||||||
Long-Term U.S. Government Bond Portfolio | 9,500 | 2,162 |
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2020 Distributions Paid From: | ||||||||
Portfolio | Ordinary Income | Long-term Capital Gain | ||||||
Inflation Protection Portfolio | $ | 7,844 | $ | - | ||||
High Yield Bond Portfolio | 47,246 | - | ||||||
Multi-Sector Bond Portfolio | 42,792 | 66 | ||||||
Balanced Portfolio | 58,432 | 73,855 | ||||||
Asset Allocation Portfolio | 7,007 | 11,152 |
As of December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Losses | Unrealized Appreciation (Depreciation) | ||||||||||||
(Amounts in thousands) | ||||||||||||||||
Growth Stock Portfolio | $ | 50 $ | 55,949 | $ | - | $ | 485,326 | |||||||||
Focused Appreciation Portfolio | 8,040 | 120,591 | - | 565,856 | ||||||||||||
Large Cap Core Stock Portfolio | 10,190 | 53,295 | - | 186,708 | ||||||||||||
Large Cap Blend Portfolio | 1,241 | 11,839 | - | 47,913 | ||||||||||||
Index 500 Stock Portfolio | 66,593 | 120,518 | - | 2,718,039 | ||||||||||||
Large Company Value Portfolio | 5,187 | - | - | 22,824 | ||||||||||||
Domestic Equity Portfolio | 18,599 | 23,353 | - | 229,051 | ||||||||||||
Equity Income Portfolio | 17,192 | - | (126 | ) | 136,930 | |||||||||||
Mid Cap Growth Stock Portfolio | 37,141 | 139,880 | - | 277,197 | ||||||||||||
Index 400 Stock Portfolio | 21,306 | 28,452 | - | 325,548 | ||||||||||||
Mid Cap Value Portfolio | 7,676 | 5,108 | - | 70,678 | ||||||||||||
Small Cap Growth Stock Portfolio | 25,119 | 57,862 | - | 275,234 | ||||||||||||
Index 600 Stock Portfolio | 5,493 | 4,200 | - | 71,047 | ||||||||||||
Small Cap Value Portfolio | 2,911 | 29,247 | - | 178,966 | ||||||||||||
International Growth Portfolio | 5,610 | 29,044 | - | 333,069 | ||||||||||||
Research International Core Portfolio | 10,349 | 14,426 | - | 208,301 | ||||||||||||
International Equity Portfolio | 43,243 | - | (282,055 | ) | 240,804 | |||||||||||
Emerging Markets Equity Portfolio | 5,200 | - | (22,115 | ) | 351,939 | |||||||||||
Government Money Market Portfolio | - | - | - | - | ||||||||||||
Short-Term Bond Portfolio | 8,138 | - | - | 7,970 | ||||||||||||
Select Bond Portfolio | 202,685 | 25,233 | - | 87,626 | ||||||||||||
Long-Term U.S. Government Bond Portfolio | 26,311 | - | - | (11,067 | ) | |||||||||||
Inflation Protection Portfolio | 5,663 | 62 | - | 30,997 | ||||||||||||
High Yield Bond Portfolio | 43,872 | - | (8,872 | ) | 21,205 | |||||||||||
Multi-Sector Bond Portfolio | 27,784 | 6,708 | - | 56,418 | ||||||||||||
Balanced Portfolio | 64,726 | 103,835 | - | 257,130 | ||||||||||||
Asset Allocation Portfolio | 7,196 | 15,602 | - | 38,202 |
NOTE 9. VOLUNTARY REIMBURSEMENTS
Northwestern Mutual voluntarily reimburses foreign equity portfolios for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolios. The amounts reimbursed represent approximately 79% of the foreign dividend taxes withheld attributable to the portion of the Portfolio owned by Northwestern Mutual. Reimbursements are recorded when foreign dividend taxes are accrued.
Voluntary reimbursements for the period ended June 30, 2021 are summarized below (amounts in thousands):
Portfolio | 2021 Reimbursements | |||
International Growth Portfolio | $ | 823 | ||
International Equity Portfolio | 3,341 | |||
Research International Core Portfolio | 1,090 | |||
Emerging Markets Equity Portfolio | 1,059 |
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NOTE 10. GUARANTEES
In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of material loss to be remote.
NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS
For the period ended June 30, 2021, transactions in securities other than short term investments were:
Portfolios | Non-U.S. Govt. Security Purchases | U.S. Govt. Security Purchases | Non-U.S. Govt. Security Sales/ Maturities | U.S. Govt. Security Sales/ Maturities | ||||||||||||
(Amounts in thousands) | ||||||||||||||||
Growth Stock Portfolio | $ | 218,835 | $ | - | $ | 302,770 | $ | - | ||||||||
Focused Appreciation Portfolio | 8,630 | - | 68,844 | - | ||||||||||||
Large Cap Core Stock Portfolio | 218,410 | - | 240,608 | - | ||||||||||||
Large Cap Blend Portfolio | 26,171 | - | 28,701 | - | ||||||||||||
Index 500 Stock Portfolio | 75,581 | - | 118,684 | - | ||||||||||||
Large Company Value Portfolio | 53,098 | - | 61,875 | - | ||||||||||||
Domestic Equity Portfolio | 168,131 | - | 191,462 | - | ||||||||||||
Equity Income Portfolio | 85,611 | - | 146,008 | - | ||||||||||||
Mid Cap Growth Stock Portfolio | 160,774 | - | 216,003 | - | ||||||||||||
Index 400 Stock Portfolio | 125,223 | - | 143,864 | - | ||||||||||||
Mid Cap Value Portfolio | 215,192 | - | 228,400 | - | ||||||||||||
Small Cap Growth Stock Portfolio | 216,495 | - | 254,412 | - | ||||||||||||
Index 600 Stock Portfolio | 58,218 | - | 49,079 | - | ||||||||||||
Small Cap Value Portfolio | 80,736 | - | 128,841 | - | ||||||||||||
International Growth Portfolio | 136,321 | - | 99,997 | - | ||||||||||||
Research International Core Portfolio | 91,548 | - | 111,059 | - | ||||||||||||
International Equity Portfolio | 370,641 | - | 373,068 | - | ||||||||||||
Emerging Markets Equity Portfolio | 169,890 | - | 198,268 | - | ||||||||||||
Short-Term Bond Portfolio | 104,473 | 44,173 | 58,146 | 42,221 | ||||||||||||
Select Bond Portfolio | 1,613,627 | 3,966,294 | 1,622,036 | 3,690,169 | ||||||||||||
Long-Term U.S. Government Bond Portfolio | 699 | 3,322 | 887 | 32,632 | ||||||||||||
Inflation Protection Portfolio | 92,317 | 105,029 | 96,078 | 79,088 | ||||||||||||
High Yield Bond Portfolio | 169,310 | - | 154,057 | - | ||||||||||||
Multi-Sector Bond Portfolio | 260,064 | 23,132 | 139,011 | - | ||||||||||||
Balanced Portfolio | 173,805 | - | 248,195 | - | ||||||||||||
Asset Allocation Portfolio | 19,463 | - | 26,756 | - |
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Transactions with Affiliated Companies
An affiliated company is a company in which a Portfolio has ownership of at least 5% of the voting securities or which the Portfolio controls, is controlled by or with which the Portfolio is under common control. Transactions with affiliated companies during the period ended June 30, 2021 are as follows:
Portfolio | Value at 12/31/2020 | Purchases | Sales | Value at 6/30/2021 | Change in Unrealized Appreciation /Depreciation | Realized Gain (Loss) | Income Dividends | Capital Gain Distributions | % Ownership, 6/30/2021 | |||||||||||||||||||||||||||
Balanced: | (Amounts in thousands) | |||||||||||||||||||||||||||||||||||
Growth Stock | $ | 103,721 | $ | - | $ | 29,200 | $ | 85,126 | $ | 1,818 | $ | 8,787 | $ | - | $ | - | 6.3 | % | ||||||||||||||||||
Focused Appreciation | 80,740 | - | - | 91,935 | 11,195 | - | - | - | 7.1 | % | ||||||||||||||||||||||||||
Large Cap Core Stock | 80,193 | - | 4,000 | 87,578 | 10,254 | 1,131 | - | - | 11.0 | % | ||||||||||||||||||||||||||
Large Cap Blend | 79,713 | - | - | 87,913 | 8,200 | - | - | - | 45.3 | % | ||||||||||||||||||||||||||
Large Company Value | 76,500 | - | 9,700 | 77,202 | 9,146 | 1,256 | - | - | 33.5 | % | ||||||||||||||||||||||||||
Domestic Equity | 77,327 | - | 10,200 | 76,516 | 5,713 | 3,676 | - | - | 7.4 | % | ||||||||||||||||||||||||||
Equity Income | 77,083 | - | 10,500 | 80,084 | 11,952 | 1,549 | - | - | 9.3 | % | ||||||||||||||||||||||||||
Mid Cap Growth Stock | 104,743 | - | 11,000 | 102,607 | 5,771 | 3,093 | - | - | 7.4 | % | ||||||||||||||||||||||||||
Mid Cap Value | 98,371 | 2,800 | 8,300 | 108,394 | 14,125 | 1,398 | - | - | 16.1 | % | ||||||||||||||||||||||||||
Small Cap Growth Stock | 25,240 | - | - | 26,516 | 1,276 | - | - | - | 3.1 | % | ||||||||||||||||||||||||||
Small Cap Value | 24,696 | - | - | 28,711 | 4,015 | - | - | - | 4.3 | % | ||||||||||||||||||||||||||
International Growth | 54,751 | - | - | 59,973 | 5,222 | - | - | - | 5.9 | % | ||||||||||||||||||||||||||
Research International Core | 142,307 | - | 35,700 | 115,496 | (5,415 | ) | 14,304 | - | - | 12.4 | % | |||||||||||||||||||||||||
International Equity | 60,205 | - | - | 65,764 | 5,559 | - | - | - | 3.4 | % | ||||||||||||||||||||||||||
Emerging Markets Equity | 17,445 | 7,500 | - | 26,454 | 1,509 | - | - | - | 2.5 | % | ||||||||||||||||||||||||||
Short-Term Bond | 13,162 | 10,800 | - | 24,017 | 55 | - | - | - | 5.8 | % | ||||||||||||||||||||||||||
Select Bond | 936,914 | - | 36,900 | 885,420 | (16,858 | ) | 2,264 | - | - | 25.8 | % | |||||||||||||||||||||||||
High Yield Bond | 107,889 | - | 20,300 | 91,460 | 3,296 | 575 | - | - | 10.8 | % | ||||||||||||||||||||||||||
Multi-Sector Bond | 44,229 | 74,900 | - | 120,432 | 1,303 | - | - | - | 9.3 | % | ||||||||||||||||||||||||||
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$ | 2,205,229 | $ | 96,000 | $ | 175,800 | $ | 2,241,598 | $ | 78,136 | $ | 38,033 | $ | - | $ | - | |||||||||||||||||||||
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Growth Stock | $ | 17,329 | $ | - | $ | 3,900 | $ | 15,308 | $ | 779 | $ | 1,100 | $ | - | $ | - | 1.1 | % | ||||||||||||||||||
Focused Appreciation | 13,532 | - | - | 15,408 | 1,876 | - | - | - | 1.2 | % | ||||||||||||||||||||||||||
Large Cap Core Stock | 13,454 | - | 300 | 15,074 | 1,835 | 85 | - | - | 1.9 | % | ||||||||||||||||||||||||||
Large Cap Blend | 13,344 | - | - | 14,716 | 1,372 | - | - | - | 7.6 | % | ||||||||||||||||||||||||||
Large Company Value | 12,759 | - | 1,000 | 13,509 | 1,615 | 135 | - | - | 5.9 | % | ||||||||||||||||||||||||||
Domestic Equity | 12,772 | - | 1,300 | 13,035 | 1,095 | 468 | - | - | 1.3 | % | ||||||||||||||||||||||||||
Equity Income | 12,894 | - | 1,500 | 13,670 | 2,055 | 221 | - | - | 1.6 | % | ||||||||||||||||||||||||||
Mid Cap Growth Stock | 15,785 | - | 850 | 16,286 | 1,232 | 119 | - | - | 1.2 | % | ||||||||||||||||||||||||||
Mid Cap Value | 14,743 | 850 | 800 | 17,182 | 2,243 | 146 | - | - | 2.6 | % | ||||||||||||||||||||||||||
Small Cap Growth Stock | 7,136 | - | - | 7,497 | 361 | - | - | - | 0.9 | % | ||||||||||||||||||||||||||
Small Cap Value | 7,059 | - | - | 8,206 | 1,147 | - | - | - | 1.2 | % | ||||||||||||||||||||||||||
International Growth | 10,750 | - | - | 11,775 | 1,025 | - | - | - | 1.2 | % | ||||||||||||||||||||||||||
Research International Core | 24,430 | - | 3,600 | 22,563 | 267 | 1,466 | - | - | 2.4 | % | ||||||||||||||||||||||||||
International Equity | 11,230 | - | - | 12,267 | 1,037 | - | - | - | 0.6 | % | ||||||||||||||||||||||||||
Emerging Markets Equity | 3,704 | 800 | - | 4,773 | 269 | - | - | - | 0.4 | % | ||||||||||||||||||||||||||
Short-Term Bond | 1,376 | 1,900 | - | 3,283 | 7 | - | - | - | 0.8 | % | ||||||||||||||||||||||||||
Select Bond | 68,858 | - | 4,000 | 63,780 | (1,332 | ) | 254 | - | - | 1.9 | % | |||||||||||||||||||||||||
High Yield Bond | 19,409 | - | 1,400 | 18,748 | 690 | 49 | - | - | 2.2 | % | ||||||||||||||||||||||||||
Multi-Sector Bond | 6,031 | 9,900 | - | 16,107 | 176 | - | - | - | 1.2 | % | ||||||||||||||||||||||||||
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$ | 286,595 | $ | 13,450 | $ | 18,650 | $ | 303,187 | $ | 17,749 | $ | 4,043 | $ | - | $ | - | |||||||||||||||||||||
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The Series Fund and its Portfolios are permitted to purchase securities from, and sell securities to (so called “cross-trades”), (i) other Portfolios, (ii) any registered investment company which is an affiliate, or an affiliate of an affiliate, or (iii) any person which is an affiliate, or an affiliate of an affiliate, of the Series Fund or the Portfolio solely by reason of having a common investment adviser or sub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule 17a-7 of the 1940 Act (“Procedures”). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule 17a-7 of the 1940 Act. Each cross-trade is
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Notes to Financial Statements (unaudited)
effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the period ended June 30, 2021, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):
Portfolio | Cross Trade Purchases | |||
Large Cap Core Portfolio | $ | 546 | ||
Large Company Value Portfolio | 218 | |||
International Growth Portfolio | 4,596 | |||
Research International Core Portfolio | 1,074 | |||
High Yield Bond Portfolio | 28 |
Cross Trade Sales | ||||||||
Portfolio | Proceeds | Net Realized Gain (Loss) on Sales | ||||||
Mid Cap Value Portfolio | $ | 1,042 | 184 | |||||
Small Cap Growth Stock Portfolio | 979 | 154 | ||||||
Small Cap Value Portfolio | 951 | (115 | ) | |||||
International Growth Portfolio | 1,565 | 96 | ||||||
Research International Core Portfolio | 57 | - |
NOTE 12. LITIGATION
The Index 500 Stock, Small Cap Value and Equity Income Portfolios are among the defendants in a lawsuit relating to their receipt of proceeds from the 2007 Tribune Co. leveraged buy-out (“Tribune LBO”) transaction. The lawsuit asserts that the directors and officers of Tribune Co. intentionally defrauded Tribune creditors because Tribune was either insolvent or rendered insolvent by the transactions. Counsel for the Series Fund and other institutional defendants filed a motion to dismiss the intentional fraudulent transfer case in the Southern District of New York and the district court judge granted the motion to dismiss without leave to amend. The dismissal is being appealed to the U.S. Court of Appeals for the Second Circuit. The lawsuit alleges no misconduct by the Portfolios or management, and management intends to vigorously defend all claims and allegations. The plaintiffs seek to recover amounts paid to Tribune shareholders in the leveraged buyout transaction, plus interest and attorneys’ fees and expenses. The value of the proceeds received by these Portfolios in 2007, and the percentage the proceeds represent of each Portfolio’s net assets as of June 30, 2021, were: Index 500 Stock Portfolio $977,000 (0.02%) of net assets; Small Cap Value Portfolio $618,000 (0.09% of net assets); and Equity Income Portfolio $2,873,000 (0.33% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.
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Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
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Proxy Voting and Portfolio Holdings (unaudited)
Proxy Voting Guidelines
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.
Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.
Quarterly Filing of Portfolio Holdings
Each Portfolio, other than the Government Money Market Portfolio, files its complete schedule of portfolio holdings on a monthly basis with the Securities and Exchange Commission (SEC) as an exhibit to its reports on Form N-PORT. Each Portfolio’s holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC’s website at http://www.sec.gov. Portfolios that file their holdings on Form N-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.
The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on Form N-MFP. Form N-MFP is available on the SEC’s website at http://www.sec.gov. The Government Money Market Portfolio also makes its complete schedule of portfolio holdings for the most recent month available on the Internet at www. northwesternmutual.com.
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Statement Regarding Liquidity Risk Management Program (unaudited)
Each series/portfolio of Northwestern Mutual Series Fund, Inc. (“Series Fund”) other than the Government Money Market Portfolio (each, a “Portfolio”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Portfolio’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) the assessment, management and periodic review of liquidity risk; (ii) the classification of portfolio holdings; (iii) the establishment of a highly liquid investment minimum, as applicable; (iv) limitations on illiquid investments; and (v) related reporting, disclosure and recordkeeping.
The Board of Directors of the Series Fund (“Board”) has designated a multi-disciplinary committee to act as administrator of the Program (“Program Administrator” or “Committee”). The Committee’s membership includes representatives of the Series Fund’s investment adviser, Mason Street Advisors, LLC (“MSA”) as well as the Mutual Fund Administration and Managed Investments Compliance divisions of The Northwestern Mutual Life Insurance Company. Under the Program, the Program Administrator assesses, manages and periodically reviews each Portfolio’s liquidity risk and classifies each investment held by each Portfolio as a “highly liquid investment,” “moderately liquid investment,” “less liquid investment” or “illiquid investment.” The classification is based on a determination of the number of days it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. The liquidity of a Portfolio’s portfolio investments is determined based on the varying levels at which the Portfolio expects to trade in a particular investment or asset class (the reasonably anticipated trading size) and other relevant market, trading and investment-specific considerations under the Program. In addition to the foregoing, the Program Administrator determines the need for, and if applicable, establishes highly liquid investment minimums (“HLIM”) (a minimum percentage of net assets that must be invested in highly liquid investments that are assets), oversees the preparation of reports to the Board and the Securities and Exchange Commission required by the Liquidity Rule, and prepares required written annual reports on the operation and adequacy of the Program.
Pursuant to the Liquidity Rule, no Portfolio may acquire any illiquid investment if, after the acquisition, the Portfolio would have invested more than 15% of its assets in illiquid investments that are assets. In addition, the Liquidity Rule requires funds that do not primarily hold assets that are highly liquid investments to adopt an HLIM. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable. The Program contemplates the use of a third-party liquidity classification tool to aid the Program Administrator in assigning liquidity classifications and monitoring the Portfolios’ level of investments in each liquidity category.
During the six months ended June 30, 2021, the Board received and reviewed the annual written report of the Program Administrator (the “Report”), concerning the operation of the Program for the period from January 1, 2020 to March 31, 2021 (the “Reporting Period”). The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in reviewing the adequacy and effectiveness of the Program’s implementation with respect to each Portfolio during the Reporting Period. Such information and factors included, among other things:
• | Each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Portfolio’s investment strategy was appropriate for an open-end fund; (ii) the extent to which the Portfolio’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) whether the Portfolio’s strategy involves holdings that are particularly sensitive to stressed market conditions; and (iv) the Portfolio’s use of derivatives; |
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Statement Regarding Liquidity Risk Management Program (unaudited)
• | The liquidity experience of each Portfolio during the Period; |
• | Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and |
• | Holdings of cash and cash equivalents, as well as other sources of liquidity. |
In addition, the Program Administrator sought and considered the input of MSA and the sub-advisers as to whether any Portfolio had been impacted by market or sector-wide developments, changes in operations or other Portfolio specific circumstances that did, or could, materially impact the Portfolio’s liquidity risk profile. The Report also discussed notable events affecting liquidity over the Reporting Period, including the impact of the COVID 19 outbreak on the Portfolios and the overall market. No significant liquidity events impacting the Portfolios were noted in the Report. During the Reporting Period, each of the Portfolios continued to qualify as a fund that primarily holds assets that are highly liquid investments, and, therefore, no Portfolio was required to establish or comply with an HLIM as set forth in the Program.
Based on the information considered, the Report concluded that (i) the Program was reasonably designed to assess and manage liquidity risk; (ii) the Program was adequately and effectively implemented during the Reporting Period; (iii) each Portfolio’s investment strategy continues to be appropriate for an open-end fund; (iv) an HLIM continued to not be required or warranted for any of the Portfolios, and (v) each Portfolio was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Portfolio during the Reporting Period. There were no material changes to the Program during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to the Series Fund’s prospectus for more information regarding each Portfolio’s exposure to illiquidity risk and other risks to which it may be subject.
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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)
Northwestern Mutual Series Fund, Inc.
Annual Contract Review Process
Under Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company’s independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board’s approval or renewal of any investment advisory agreements within the investment company’s most recently completed fiscal half-year period.
At least annually, the Board of Directors (the “Board”) of Northwestern Mutual Series Fund, Inc. (the “Series Fund”) considers and votes upon the renewal of the investment advisory agreement between Mason Street Advisors, LLC (“Mason Street Advisors”) and the Series Fund with respect to the portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”), as well as the investment sub-advisory agreements between Mason Street Advisors and each of the sub-advisers of those Portfolios for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.
Board Approvals During the Six-Month Period Ended June 30, 2021
At its February 24, 2021 meeting, the Board, including the directors who are not “interested persons” (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (the “Independent Directors”), unanimously approved the continuance of the Amended and Restated Advisory Agreement between the Series Fund and Mason Street Advisors with respect to each of the Series Fund’s Portfolios (the “Advisory Agreement”).
Also at its February 24, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Wellington Management Company LLP (“Wellington”) relating to the Series Fund’s Small Cap Growth Stock, Large Cap Core Stock and Mid Cap Growth Stock Portfolios.
At its June 3, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”) relating to the Series Fund’s Research International Core Portfolio, (2) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and FIAM LLC (“FIAM”) relating to the Series Fund’s International Growth Portfolio, (3) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Templeton Investment Counsel, LLC (“Templeton”) relating to the Series Fund’s International Equity Portfolio, (4) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“Fiduciary”) relating to the Series Fund’s Large Cap Blend Portfolio, and (5) an Amended Investment Sub-Advisory Agreement between Mason Street Advisors and Aberdeen Asset Managers Limited (“Aberdeen”) relating to the Series Fund’s Emerging Markets Equity Portfolio.
Also at its June 3, 2021 meeting, the Board, including the Independent Directors, unanimously and conditionally approved an Investment Sub-Advisory Agreement between Mason Street Advisors and Wells Capital Management, Incorporated (“Wells Capital”), or its to-be-named successor under the terms of a planned change-in-control transaction, with respect to the Select Bond Portfolio. The foregoing Investment Sub-Advisory Agreement will sometimes be referred to herein as the “New Sub-Advisory Agreement.”
Wellington, MFS, FIAM, Templeton, Fiduciary, Aberdeen and Wells Capital are sometimes collectively referred to herein as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The Investment Sub-Advisory Agreements with the Wellington, MFS, FIAM, Templeton, FMI and Aberdeen are collectively referred to herein as the “Existing Sub-Advisory Agreements.”
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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)
In determining whether to approve the New Sub-Advisory Agreement and the continuance of the Existing Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each meeting to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. With respect to the continuation of the Existing Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to Mason Street Advisors and the Sub-Advisers and the nature, extent and quality of the services they provide to the Portfolios pursuant to the terms of the Existing Sub-Advisory Agreements is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was also based upon information provided and deliberations that occurred at other meetings throughout the year.
The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review and approval of the New Sub-Advisory Advisory Agreements and the review and approval of the continuance of the Existing Sub-Advisory Agreements, and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the course of the meetings, including how these standards should be applied to the review of information relating to sub-advisers under the Series Fund’s manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and the Sub-Advisers, and were represented throughout the process by legal counsel.
Continuation of the Advisory Agreement between the Series Fund and Mason Street Advisors
At its February 24, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of the Advisory Agreement with respect to each Series Fund Portfolio. In addition to the information presented by and about Mason Street Advisors during the course of that meeting, the materials provided to the directors in advance of the meeting included Mason Street Advisor’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from Mason Street Advisors designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Advisory Agreement. Those materials also included an independent report prepared by Broadridge (“Broadridge Report”) for each of the Portfolios. The Broadridge Report provided details regarding the fees, expenses, and performance returns captured over a variety of measurement periods, as well as comparative information associated with a Broadridge peer group for each Portfolio as selected by Broadridge based on the Portfolio’s investment style, characteristics and asset levels, and further customized to filter out funds with different share class characteristics and fund structures. The Broadridge Report included an executive summary of the performance and expense information compiled by Broadridge to facilitate the directors’ review. The materials provided to the Independent Directors included a summary from the Mason Street Advisors’ Chief Compliance Officer (“CCO”) of Mason Street Advisors’ compliance program, as well as the CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of Mason Street Advisors’ compliance program. In addition to the information presented at the February 24, 2021 meeting, the directors’ considerations were informed by the information regularly provided to them throughout the year regarding the Portfolios and Mason Street Advisors, their experience with and knowledge of the nature and quality of services provided by Mason Street Advisors to the Portfolios and their interactions with representatives of Mason Street Advisors and its affiliates.
The material factors and conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement include those discussed below. The directors evaluated the information they deemed relevant on a Portfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the directors. Further, different directors may have placed greater weight on certain factors than did other directors.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of Mason Street Advisors’ services, factors considered by the directors included Mason Street Advisors’ overall business, organization and management structure, and the tenure and experience of Mason Street Advisors’ investment personnel. The directors considered the performance of each Portfolio over various time periods as presented at the February 24, 2021 meeting and at each of the quarterly meetings prior thereto.
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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)
Included as part of their review were the presentations and information provided by Mason Street Advisors regarding the services provided by Mason Street Advisors to the Portfolios. These services include the investment management services rendered by Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the Asset Allocation Portfolio and Balanced Portfolio. The directors considered the effectiveness of Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the foregoing Portfolios. The directors also considered the investment management, administrative and supervisory services related to Mason Street Advisors’ oversight, evaluation and ongoing monitoring of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. The directors considered the effectiveness and coverage of Mason Street Advisors supervisory oversight of the appointed sub-advisors, including its monitoring and assessment of sub-advisory investment performance, sub-advisory organizational and personnel developments, sub-advisory investment strategies and execution as well as Mason Street Advisors’ overall level of engagement with the sub-advisory investment teams. The directors considered recent changes to Mason Street Advisors’ staff, including changes to the portfolio management team for the Asset Allocation and Balanced Portfolios, and concluded that they were satisfied with the services that continued to be provided to such Portfolios. The directors recognized that in addition to the investment advisory services provided, Mason Street Advisors and its affiliates provided administrative services critical to the operation of the Portfolios and the servicing of the Series Fund’s investors. The risk management infrastructure implemented by Mason Street Advisors, the Series Fund’s compliance program and compliance infrastructure, and its various compliance policies and procedures, oversight of brokerage and trading, and succession planning were also considered by the directors.
Based on their review of these factors, and reflecting upon their experience with Mason Street Advisors’ services provided to the Portfolios, the Board concluded, as part of their overall evaluation of the Advisory Agreement, that they were satisfied with the nature, extent and quality of services provided by Mason Street Advisors with respect to each Portfolio, including the resources committed by Mason Street Advisors and its affiliates in providing those services, and the experience and capabilities of the personnel rendering such services.
Investment Performance. The directors considered the investment performance of each of the Portfolios over a variety of periods. The Broadridge Report assisted the Board in its evaluation of the performance of the Portfolios. In addition to considering performance for each Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Portfolio’s one-, three-, and five-year performance to the returns of appropriate index benchmarks, and to the performance averages of each Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for each Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Portfolio for the one-, three- and five-year time periods. The directors evaluated each Portfolio’s performance against these peer groups, industry benchmarks and indices. They viewed this information as providing an objective comparative measure against which they could assess the performance of the Portfolios. The directors were also presented with information from Mason Street Advisors regarding the relevant market conditions and other factors affecting the performance of each Portfolio. The directors evaluated a chart provided by Broadridge regarding each Portfolio’s net returns relative to net expenses for the five-year period ended December 31, 2020, and considered those Portfolios placing in the bottom half for performance returns on a comparative basis. The directors considered the Mason Street Advisor’s oversight efforts and steps that had been taken to improve the performance of those Portfolios.
In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. The directors gave weight to their ongoing discussions with senior management at Mason Street Advisors concerning Portfolio performance, as well as discussions among the Board, the Sub-Advisers and the portfolio managers of the Portfolios regarding investment strategies and Portfolio performance that occurred at meetings from time to time. While attentive to short-term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance.
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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)
The directors considered the performance returns of the Portfolios as reported by Broadridge, which indicated that 7 of the
27 Portfolios were ranked in the first quartile of their respective Broadridge category peer groups for the one-year period ended December 31, 2020, that 12 of the 27 Portfolios were ranked in the first or second quartile for each of the one-, three- and five-year periods ended December 31, 2020, and that 19 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2020. The directors also considered the performance returns of the Portfolios as reported on a peer group basis by Lipper, which indicated that 9 of the 27 Portfolios were ranked in either the first or second quartile for their respective Lipper peer groups for the one-year period ended December 31, 2020, and that 11 of the 27 Portfolios were ranked in the first or second quartile for the three-year period ended December 31, 2020. The directors commented favorably on the strong, long-term performance records of the Asset Allocation and Balanced Portfolios.
Based on the Board’s review of investment performance over various periods and focused consideration regarding factors resulting in the performance of certain of the Portfolios, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time.
Management Fees and Other Expenses. The Broadridge Report assisted the Board in the evaluation of the relative expenses of the Portfolios. The directors reviewed a comparison of the management fees of the Portfolios and those of an independently selected peer group of mutual funds for each of the Portfolios. The directors further considered the expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group and fund category group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Broadridge Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting, audit expenses and advisory fees. The directors used the comparative data to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds because of the differing manner in which service providers bundle the services they provide and the fees they charge.
In evaluating the level of management fees paid by each Portfolio, the directors considered the structure and size of the Portfolios, the fees paid by each Portfolio under the Advisory Agreement, the expense cap and fee waiver agreements in place for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under such agreements. In considering Mason Street Advisors’ management fees on a stand-alone basis, the directors took into consideration that the management fees compensated Mason Street Advisors for a broader range of services (both investment management and administrative services) than may be included under a typical investment management contract, and concluded that as a result of these additional services, viewing Mason Street Advisors’ management fees in light of Broadridge-reported averages might not provide the most accurate frame of reference for comparative purposes.
The directors also evaluated each Portfolio’s total operating expenses over various periods. The directors observed favorably that all but one of the Portfolios were ranked in Broadridge’s first or second quartile (meaning lowest expenses) for total expenses within their respective category groups at December 31, 2020, with 24 of the Portfolios ranking in the first quartile. With respect to the Large Cap Blend Portfolio, which had ranked in the 54th percentile in expenses for the year ended December 31, 2020, the directors considered that an advisory fee waiver was in place for the Portfolio to help improve the Portfolio’s expense ranking.
Based on their review of the management fees and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Portfolios (as modified by the applicable expense waivers and fee caps) were reasonable in relation to the nature, scope and quality of advisory services provided by Mason Street Advisors and the performance of the Portfolios.
Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors based upon its relationship with the Portfolios. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser. The directors considered Mason Street Advisors’ presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable
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to its services to the Portfolios on an aggregate and a per Portfolio basis, and reviewed Mason Street Advisors’ allocation methodology with respect to its revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by information regarding the range of expenses in each Portfolio’s respective Broadridge peer group and fund group category and the ranking of each Portfolio within the applicable peer group and fund group category. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors considered services provided by affiliates of Mason Street Advisors.
The directors considered the allocation of fees as between Mason Street Advisors and each sub-adviser as well as applicable asset levels, breakpoints, total expenses and management fee waivers that are in place for those Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ decision to increase advisory fee waivers with respect to six of the Portfolios during 2020, to decrease the advisory fee waiver with respect to the Growth Stock Portfolio, and to increase existing advisory fee waivers with respect to the Domestic Equity and Equity Income Portfolios for the upcoming year.
The directors also received information on soft dollar arrangements and any other benefits to Mason Street Advisors or its affiliates arising from its relationship with the Portfolios, including (as applicable) the participation of fund families advised by certain sub-advisers to the Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in a mutual fund partner program offered by such brokerage affiliate of Mason Street Advisors, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors.
The directors also considered that the assets of some of the Portfolios are invested in certain exchange traded funds (“ETFs”) beyond the limitations of the 1940 Act, in reliance on the relief granted in exemptive orders issued by the Securities and Exchange Commission to such ETFs. The Board concluded that the advisory fees payable to Mason Street Advisors by such Portfolios were based on services that were in addition to, and not duplicative of, services provided by the ETFs. The Board also considered the fund of funds model employed by the Asset Allocation and Balanced Portfolios in connection with their operation as funds of funds in consideration for these reduced advisory fees.
The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.
Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered that breakpoints are contained in the advisory fee schedules for 20 of the 27 Portfolios and further considered the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also considered Mason Street Advisors’ explanation of why breakpoints for the remaining Portfolios had not been established, including that those Portfolios were ranked the lowest or close to the lowest in terms of total expenses of each Portfolio’s respective peer group as determined by Broadridge or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. In particular, the directors considered that Mason Street Advisors had agreed to increase fee waivers with respect to six of the Portfolios for 2020 and increase the fee waivers for two additional Portfolios for 2021. Based on this information, the Board concluded that, within the context of its overall determinations regarding the Advisory Agreement, each Portfolio’s fee structure reflected appropriate economies of scale for the benefit of Portfolio investors.
Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisers
At its February 24, 2021 and June 3, 2021 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Existing Sub-Advisory Agreements with respect to the related Sub-Advised Portfolios. At those
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meetings, the directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about such Sub-Advisers during the course of those meetings, the directors also had each Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Existing Sub-Advisory Agreements. The directors also had Mason Street Advisors’ Executive Summary and Overview of each Sub-Adviser and other materials prepared by Mason Street Advisors. The materials contained detailed information on organizational and management structures, client base, performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each Sub-Adviser. The directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.
The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Existing Sub-Advisory Agreements include those discussed below. The directors evaluated a variety of information they deemed relevant on a Portfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different directors may have placed greater weight on certain factors than did other directors.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services, the directors reviewed each Sub-Adviser’s financial strength and stability, assets under management and overall reputation. The directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to the Sub-Advised Portfolio. In particular, the directors considered presentations given by the portfolio managers and how the Sub-Advised Portfolios were being positioned in the current market environment. The directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with the Sub-Advisers.
With respect to the Existing Sub-Advisory Agreements reviewed in February, the directors expressed no concerns with Wellington’s financial stability, financial strength or other firm level matters. The directors considered the expanded role and responsibilities of the portfolio manager for the Large Cap Core Stock Portfolio and concluded that the services to the Portfolio were unlikely to be negatively impacted as a result of this development.
With respect to the Existing Sub-Advisory Agreements considered for continuance in June, although the directors noted declines in assets under management experienced by Aberdeen and Templeton, they noted no concerns with overall financial strength or stability of any of the Sub-Advisers. The directors considered Aberdeen’s comments with respect to resource reallocation initiatives being undertaken by its parent company. The directors expressed concern over more recent decreases in assets under management at Templeton.
The directors considered information about the succession planning in place for the Global Head of Equities at Aberdeen. The directors expressed favorable views about the presentation provided by Aberdeen and the explication of the underlying rationale for the portfolio manager’s investment decisions related to Portfolio positioning. The directors considered information provided by MFS about the role of sector leads in the investment process as well as succession planning related to the sector lead positions at the firm. The directors considered the reliance on and utilization of the research analyst team by the portfolio manager at FIAM. The directors considered updated information about succession planning for mangagement at Fiduciary.
The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. The directors discussed Fiduciary’s investment philosophy and strategy and the current composition of the Large Cap Blend Portfolio. The directors considered that the Portfolio’s investment strategy and performance profile
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differentiated it from other investment funds options available within Northwestern Mutual’s variable products. The directors considered changes that had been made to Templeton’s investment process and the impact of such changes on the composition of the International Equity Portfolio.
Consideration was also given to the Sub-Advisers’ respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers, and their experience with the services provided by the Sub-Advisers for the respective Sub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the Existing Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.
Investment Performance. The directors reviewed the investment performance of each of the Sub-Advised Portfolios over multiple time periods. In addition to considering performance for each Sub-Advised Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate industry benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for each Sub-Advised Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Sub-Advised Portfolio for the one-, three- and five-year time periods (as applicable). The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices and viewed this information as providing an objective comparative measure against which they could assess the performance of the Sub-Advised Portfolios. The directors also considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.
With respect to the Portfolios managed by Wellington, the directors considered position adjustments made to the sleeve allocations for the Large Cap Core Stock Portfolio. The directors also considered Wellington’s high level of conviction in its investment process. The directors viewed favorably certain enhancements made to the buy/sell discipline utilized for the Mid Cap Growth Stock Portfolio. With respect to the Small Cap Growth and Mid Cap Growth Stock Portfolios, the directors considered information relating to capacity restraints, noting that capacity reservations remained in place for the Series Fund’s mandates managed by Wellington. The directors noted the favorable long-term performance record of the Large Cap Core Stock Portfolio. With respect to the Mid Cap Growth Stock Portfolio, the directors considered the portfolio manager’s explanation of the Portfolio’s underperformance, including the unique market challenges arising during 2020. The directors also noted that the Portfolio’s near-term performance had rebounded and expressed confidence in the current composition of the Portfolio.
The directors identified no performance concerns with respect to the Portfolios sub-advised by Aberdeen, MFS or FIAM, and commented favorably about the strong performance achieved by the Emerging Markets Equity Portfolio in 2020. With respect to the International Growth Portfolio, the directors took into consideration the firm’s explanation for the Portfolio’s underperformance during the one-year period ended March 31, 2021, and noted the very strong performance achieved by the Portfolio for the three- and five-year periods ended March 31, 2021 as well as the Portfolio’s since-inception performance through such date. While acknowledging that the performance of the Large Cap Blend Portfolio was still challenged, the directors considered the impact of the firm’s value-driven investment philosophy on the Portfolio’s performance, as well as the Portfolio’s ability to provide downside protection. The directors also considered the current composition of the Portfolio and the firm’s assessment that the Portfolio was well-positioned to outperform and the Portfolio’s strong performance for the fourth quarter of 2020. The directors noted ongoing concerns with the performance record of the International Equity Portfolio and considered Templeton’s explanation for its performance record as well as efforts undertaken by the firm to modify its investment process and the resulting changes to the Portfolio.
In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically
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throughout the year. While attentive to short term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance. For the reasons set forth above, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Existing Sub-Advisory Agreements, and in light of the current measures being taken to address the performance of the International Equity Portfolio, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.
Management Fees and Other Expenses. The directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Existing Sub-Advisory Agreements. The directors considered the fees paid by each Sub-Advised Portfolio. The directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly-managed accounts. In considering the level of management fees, the directors evaluated the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the existing expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio (as applicable).
As part of their evaluation, the directors reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2020 comparing each Sub-Advised Portfolio’s net and total expenses with those of a peer group of funds utilized in connection with variable insurance products sharing a similar investment classification, objective and asset allocation, each as selected by Broadridge. The directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The directors considered that seven of the eight Sub-Advised Portfolios whose sub-advisory agreements were approved for renewal were ranked in Broadridge’s first quartile for total expenses for the period ended December 31, 2020. The directors considered that the remaining Sub-Advised Portfolio (the Large Cap Blend Portfolio) was ranked in the 54th percentile for net total expenses. With respect to the Large Cap Blend Portfolio, the directors considered that Mason Street Advisors had an advisory fee waiver in place for the Portfolio. The directors noted that, in connection with the renewal of the Sub-Advisory Agreement with Aberdeen, the Agreement was amended to reduce the fees payable under the fee schedule applicable to the Emerging Markets Equity Portfolio effective July 1, 2021, and in connection with the renewal of the Sub-Advisory Agreement with Wellington, the Agreement was amended to reduce the fees payable under the fee schedule applicable to the Mid Cap Growth Stock Portfolio, effective March 1, 2021.
The directors also reviewed the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios. The directors took into consideration the advisory fee waiver and/or expense limitation agreements that were in place with respect to each of the Sub-Advised Portfolios whose sub-advisory agreement was approved for renewal, except for the Small Cap Growth Stock Portfolio, which ranked in the first quartile of its peer group for both net and total expenses (meaning lowest expenses).
Based on their review of the above information and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios.
Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The directors considered Mason Street Advisors’ presentations to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Sub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the expense-based rankings of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. The directors recognized that sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and each Sub-Adviser. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information is developed using a variety of assumptions and factors. The directors concluded that they had received sufficient information to evaluate the Sub-Advisers’ costs and profitability.
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The directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including (as applicable) the participation of fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in certain a mutual fund partner program offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The directors also reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Existing Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.
Economies of Scale. The directors also considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. The directors also took into account the expense limitation arrangements in place for the Large Cap Blend, International Growth, Research International Core and Emerging Markets Equity Portfolios, and the fee waiver arrangements in place with respect to the Large Cap Core Stock, Mid Cap Growth Stock, Large Cap Blend, International Growth, Research International Core, International Equity and Emerging Markets Equity Portfolios. The directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Existing Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.
Other Information
The directors were presented with other information to assist them in their consideration of the continuation of the Advisory Agreement and the Existing Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The directors also considered information regarding each Sub-Adviser’s code of ethics, approach to portfolio manager compensation, and succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.
Conclusions of the Directors
Based on a consideration of the foregoing, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment, concluded that the terms of the Advisory Agreement and the Existing Sub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.
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Approval of New Investment Sub-Advisory Agreement
At the June 3, 2021 meeting, the Board, including the Independent Directors, unanimously and conditionally approved the New Sub-Advisory Agreement between Mason Street Advisors and Wells Capital, or its to-be-named successor under the terms of a planned change-in-control transaction, with respect to the Select Bond Portfolio. (The Select Bond Portfolio is hereinafter referred to as the “Portfolio.”)
Wells Capital currently serves as the sub-adviser to the Portfolio pursuant to the terms of a Second Amended and Restated Investment Sub-Advisory Agreement by and between Mason Street Advisors and Wells dated November 28, 2018 (the “Agreement”). Mason Street Advisors has been advised that a change in control will occur with respect to Wells Capital pursuant to an agreement whereby 100% of the equity interests in Wells Fargo Asset Management Holdings, LLC, the direct parent of Wells Capital, will be acquired by a holding company that is an affiliate of private funds managed by GTCR LLC (“GTCR”) and Reverence Capital Partners, L.P., (“RCP”) resulting in the indirect transfer of the ownership of Wells Capital to an ownership group including, principally, GTCR and RCP (the “Transaction”). In connection with the Transaction, Wells Capital is expected to convert from a California corporation to a Delaware limited liability corporation.
Section 15(a) of the Investment Company Act of 1940, as amended (“1940 Act”) requires that each investment advisory contract provide for its automatic termination in the event of its assignment and the Agreement so provides. An assignment, as defined in Section 2(a)(4) of the 1940 Act, generally includes any direct or indirect transfer or hypothecation of a contract, or of a controlling block of the assignor’s outstanding voting securities by a security holder of the assignor. Under Section 2(a)(9) of the 1940 Act a transfer of a “controlling block” is presumed to occur if a person who owns more than 25% of the voting securities of the adviser ceases to do so and the transfer results in another person owning more than 25% of the voting securities of the adviser.
Based upon the foregoing, the consummation of the Transaction, which is anticipated to be closed in the second half of 2021 (subject to customary closing conditions), will constitute a “change of control” under the 1940 Act and result in an assignment of the Agreement, thereby causing the termination of the Agreement. In order to avoid the consequences of an Agreement termination and to preserve the continuity of sub-advisory services to the Portfolio provided by Wells Capital and to be provided by its successor from and after the consummation of the Transaction, the Board approved the terms of the New Sub-Advisory Agreement, which will become effective upon the closing of the Transaction.
To facilitate the Board’s review of the Transaction and its consideration of the New Sub-Advisory Agreement, Mason Street Advisors solicited comprehensive information regarding the Transaction from Wells Capital and the aquiring firms. The Board was provided with written responses to a Sub-Adviser Change in Control Informational Questionnaire prepared by Wells Capital and the acquiring firms outlining the details regarding the structure of the Transaction and its material terms and conditions, including information on financing. The Board was advised that, pursuant to the terms of the Transaction, the Wells Capital portfolio managers and investment team servicing the Portfolio will remain intact with no contemplated structural change occurring to the investment team. The Board considered representations that Wells Capital management and the principal acquiring entities (GTCR and RCP) desire to maintain the relationship with the Series Fund and anticipate that all services currently delivered to the Portfolio would continue to be delivered without interruption and without any material changes in resources, staff or service components.
The Board considered information provided by Wells Capital, GTCR and RCP regarding compliance and risk management functions at the new acquiring holding company and the resources to be dedicated to such functions. The Board also reviewed and considered information regarding key affiliations and business relationships between the Mason Street Advisors and its affiliates and GTCR and RCP.
In determining whether to approve the New Sub-Advisory Agreement with Wells Capital, the directors received, in addition to the information described above related to the change-in-control Transaction, detailed information from Mason Street Advisors and Wells Capital to assist them in their evaluation, including reports based upon information compiled by certain independent providers of evaluative data.
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The material factors and conclusions that formed the basis for the Board’s determination to approve the New Sub-Advisory Agreement include those referenced above related to the Transaction, as well as those discussed below. In addition to the information provided to them in anticipation of and at the June 3, 2021 Board meeting, the directors considered the in-person presentation of Wells Capital provided at the Board meeting and the responses of Wells Capital to the directors’ questions during their presentation session.
Nature, Extent and Quality of Services. The directors evaluated the nature, scope, extent and quality of services that have been and would continue to be provided to the Portfolio by Wells Capital. The directors considered the information submitted in response to the Sub-Adviser Change In Control Informational Questionnaire, including information regarding the background, history and experience of GTCR and RCP in connection with their acquisitions and investments in portfolio companies.
The directors considered the investment approach utilized by Wells Capital for the Portfolio and representations from Well Capital that, following the consummation of the Transaction, the Portfolio would continue to be managed with the same investment objective, investment strategies and policies that currently apply to the Portfolio. The directors considered the tenure, experience and performance of the investment management team at Wells Capital, including particularly the qualifications and experience of the investment personnel who would continue to provide services to the Portfolio following the closing of the Transaction. The directors took into consideration the general reputation of Wells Capital and the strength of the investment-related resources that would remain available to Wells Capital post-closing. Based on their review of these factors and other factors deemed relevant, the Board concluded that they were satisfied with the nature, extent and quality of the services to be provided by Wells Capital to the Portfolio, and the resources to be committed by the firm in providing such services.
Investment Performance. The directors reviewed the investment performance of the Portfolio over multiple time periods. In addition to considering performance for the Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of the Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate index benchmarks and indices, and to the performance averages of the Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for the Portfolio; and (iii) the Broadridge and Lipper performance rankings for the Portfolio for the one-, three- and five-year time periods(as applicable). The directors evaluated the Portfolio’s performance against these peer groups and industry benchmarks and indices and viewed this information as providing an objective comparative measure against which they could assess performance of the Portfolio.
Based on these and other factors deemed relevant, the Board concluded that they were satisfied with the investment performance record of Wells Capital with respect to Portfolio.
Management Fees and Other Expenses. In evaluating the management fees to be paid by the Portfolio, the directors considered the contractual fees paid by the Portfolio under the Advisory Agreement between Mason Street Advisors and the Series Fund. The directors considered the sub-advisory fees (and applicable breakpoints) paid to Wells Capital under the Agreement. The Board considered the form of the New Sub-Advisory Agreement to be conditionally approved for Wells Capital or its to-be-named succesor, and concluded that it substantially conforms, in all material respects, with the form, terms and provisions of the Agreement currently in place with Wells Capital. The Board considered that the sub-advisory fees to be paid under the New Sub-Advisory Agreement remain unchanged from the current Agreement.
In connection with their review of proposed sub-advisory fees, the directors also considered the proposed allocation between Mason Street Advisors and Wells Capital of the investment advisory fee (i.e., the amount of the advisory fee retained by Mason Street Advisors relative to that would be paid to Wells Capital as a management fee). The directors considered the existing structure, size, and total operating expenses of the Portfolio. They also considered the advisory fee waiver arrangements in place for the Portfolio.
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The directors determined that the fees proposed by Wells Capital for the Portfolio were favorable and were the product of an arm’s-length negotiation between Mason Street Advisors and the sub-advisory firm. Based on their review of the management fees and other expenses, comparative fee data and other factors deemed relevant by the directors, the Board concluded that the management fees, the sub-advisory fees proposed by Wells Capital for the Portfolio, and the total operating expenses of Portfolio were reasonable in relation to the nature, scope and quality of the services to be provided by Wells Capital.
Costs and Profitability. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser for the products of which the Portfolio is an investment option. Mason Street Advisors provided information regarding the proposed sub-advisory fees of Wells Capital and the amount of the advisory fee that Mason Street Advisors would retain based upon the Wells Capital’s sub-advisory fees. The directors considered that the proposed fees under the New Sub-Advisory Agreement will remain unchanged from the current Agreement.
Based on their review of the sub-advisory fees proposed by Wells Capital, the Board concluded that they were satisfied that Mason Street Advisors’ resulting level of profitability related to services provided to the Portfolio was appropriate and not excessive.
Economies of Scale. The directors considered whether the expense structure for the Portfolio permitted economies of scale to be shared with investors in the Portfolio. They took into consideration the total assets and expense ratio of the Portfolio. The directors considered the breakpoints contained in the sub-advisory fee schedule proposed by Wells Capital for the Portfolio and the extent to which the Portfolio may benefit from economies of scale through those breakpoints. The directors also considered the fee waiver agreements in place for the Portfolio. Based on this information, the Board concluded that the fee structure for the Portfolio reflected appropriate economies of scale between the Portfolio and Mason Street Advisors.
Other Information
The directors were presented with other information intended to assist them in their consideration of the approval of the New Sub-Advisory Agreement, including information regarding any regulatory inquiries, examinations or actions to which Wells Capital or its affiliates may have been a party, and issues arising out of those regulatory events. The directors also received information regarding the intention to retain the current portfolio manager compensation program in place upon the closing of the Transaction.
Conclusions of the Directors
Based on a consideration of the foregoing information, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of its business judgment concluded that it was in the best interest of the Portfolio to conditionally approve the New Sub-Advisory Agreement with Wells Capital or its to-be-named successor, contingent upon the consummation of the closing of the change-in-control Transaction.
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Item 2. | Code of Ethics |
Not applicable to semi-annual reports.
Item 3. | Audit Committee Financial Expert |
Not applicable to semi-annual reports.
Item 4. | Principal Accountant Fees and Services |
Not applicable to semi-annual reports.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Investments |
Full Schedule of Investments is included in Item 1.
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.
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Item 10. | Submission of Matters to a Vote of Security Holders |
Not applicable.
Item 11. | Controls and Procedures |
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.
(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) Not applicable.
(a)(3) Not applicable.
(a)(4) Not applicable.
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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.
NORTHWESTERN MUTUAL SERIES FUND, INC.
By: | /s/ Kate M. Fleming | |
Kate M. Fleming, President | ||
Date: | August 17, 2021 |
Pursuant to the requirements of the Securities and 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/ Kate M. Fleming | |
Kate M. Fleming, President | ||
Date: | August 17, 2021 |
By: | /s/ Todd M. Jones | |
Todd M. Jones, Vice President, | ||
Chief Financial Officer and Treasurer | ||
Date: | August 17, 2021 |