Prudential Variable Contract Account 10 N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03421
Exact name of registrant as specified in charter:	The Prudential Variable ContractAccount-10
Address of principal executive offices:	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Name and address of agent for service:	Andrew R. French
	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	800-225-1852
Date of fiscal year end:	12/31/2019
Date of reporting period:	06/30/2019

Item 1 – Reports to Stockholders

The MEDLEY Program

SEMIANNUAL REPORT June 30, 2019

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable ContractAccount-11(VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.

The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.

Please note that this document may include prospectus supplements that are separate from and not a part of this report.

The Prudential MEDLEY Program   Table of Contents Semiannual Report June 30, 2019

∎ LETTER TO PARTICIPANTS

∎ VCA-10

Financial Statements

∎ VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

∎ APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program Letter to Participants June 30, 2019

∎ DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stuart Parker President, The Prudential Variable Contract Account 10	Timothy S. Cronin President, The Prudential Series Fund

July 31, 2019

The Prudential Variable Contract Account-10 (VCA-10)   Presentation of Portfolio Holdings — unaudited June 30, 2019

VCA-10
Ten Largest Holdings	Line of Business	(% of Net Assets	)
JPMorgan Chase & Co.	Banks	2.8%
Microsoft Corp.	Software	2.8%
Walt Disney Co. (The)	Entertainment	2.5%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	2.4%
AstraZeneca PLC, ADR	Pharmaceuticals	2.2%
Chevron Corp.	Oil, Gas & Consumable Fuels	2.2%
Amazon.com, Inc.	Internet & Direct Marketing Retail	2.0%
Mastercard, Inc. (Class A Stock)	IT Services	2.0%
Pfizer, Inc.	Pharmaceuticals	2.0%
QUALCOMM, Inc.	Semiconductors & Semiconductor Equipment	1.9%

For a complete list of holdings, please refer to the Statement of Net Assets section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2019

LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 3.0%
Airbus SE (France)		7,583	$	1,074,762
Boeing Co. (The)		5,407		1,968,202
United Technologies Corp.		12,792		1,665,519
				4,708,483
Automobiles — 0.5%
Tesla, Inc.*		3,247		725,575
Banks — 9.6%
Bank of America Corp.		100,039		2,901,131
BB&T Corp.		20,701		1,017,040
Citigroup, Inc.		38,574		2,701,337
JPMorgan Chase & Co.		39,297		4,393,405
PNC Financial Services Group, Inc. (The)		13,234		1,816,763
SunTrust Banks, Inc.		16,396		1,030,489
Wells Fargo & Co.		22,662		1,072,366
				14,932,531
Beverages — 0.7%
PepsiCo, Inc.		8,114		1,063,989
Building Products — 1.1%
Johnson Controls International PLC		41,593		1,718,207
Capital Markets — 0.9%
Goldman Sachs Group, Inc. (The)		6,606		1,351,587
Chemicals — 2.2%
FMC Corp.		13,549		1,123,889
Linde PLC (United Kingdom)		11,661		2,341,529
				3,465,418
Communications Equipment — 2.2%
Cisco Systems, Inc.		48,356		2,646,524
Nokia OYJ (Finland), ADR		158,873		795,953
				3,442,477
Consumer Finance — 2.0%
Capital One Financial Corp.		21,436		1,945,103
SLM Corp.		120,914		1,175,284
				3,120,387
Diversified Telecommunication Services — 1.5%
Verizon Communications, Inc.		39,775		2,272,346
Electric Utilities — 3.0%
American Electric Power Co., Inc.		29,822		2,624,634
Exelon Corp.		43,643		2,092,246
				4,716,880
Electrical Equipment — 0.7%
Emerson Electric Co.		16,208		1,081,398
Energy Equipment & Services — 0.3%
Schlumberger Ltd.		11,412		453,513
Entertainment — 4.0%
Netflix, Inc.*		6,213		2,282,159
Walt Disney Co. (The)		28,169		3,933,519
				6,215,678

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) — 2.5%
American Campus Communities, Inc.		23,244	$	1,072,943
American Tower Corp.		8,428		1,723,105
Boston Properties, Inc.		8,158		1,052,382
				3,848,430
Food & Staples Retailing — 1.8%
Walmart, Inc.		24,826		2,743,025
Food Products — 1.9%
Conagra Brands, Inc.		29,738		788,651
Mondelez International, Inc. (Class A Stock)		41,122		2,216,476
				3,005,127
Health Care Equipment & Supplies — 1.6%
Intuitive Surgical, Inc.*		2,141		1,123,062
Zimmer Biomet Holdings, Inc.		12,111		1,425,949
				2,549,011
Health Care Providers & Services — 1.0%
Laboratory Corp. of America Holdings*		8,998		1,555,754
Hotels, Restaurants & Leisure — 1.0%
McDonald’s Corp.		7,458		1,548,728
Household Products — 1.6%
Procter & Gamble Co. (The)		22,280		2,443,002
Insurance — 3.0%
Brighthouse Financial, Inc.*		13,876		509,111
Chubb Ltd. (Switzerland)		16,238		2,391,695
MetLife, Inc.		36,002		1,788,219
				4,689,025
Interactive Media & Services — 4.4%
Alphabet, Inc. (Class A Stock)*		3,479		3,767,061
Facebook, Inc. (Class A Stock)*		11,378		2,195,954
Tencent Holdings Ltd. (China), ADR		21,174		958,335
				6,921,350
Internet & Direct Marketing Retail — 3.2%
Alibaba Group Holding Ltd. (China), ADR*		11,464		1,942,575
Amazon.com, Inc.*		1,641		3,107,447
				5,050,022
IT Services — 4.8%
Adyen NV (Netherlands), 144A*		2,902		2,241,908
Mastercard, Inc. (Class A Stock)		11,647		3,080,981
PayPal Holdings, Inc.*		19,675		2,252,000
				7,574,889
Life Sciences Tools & Services — 1.6%
Illumina, Inc.*		6,694		2,464,396
Media — 2.3%
Comcast Corp. (Class A Stock)		55,914		2,364,044
Liberty Global PLC (United Kingdom) (Class C Stock)*		43,908		1,164,879
				3,528,923

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2019

COMMON STOCKS (continued)	Shares		Value
Multi-Utilities — 1.1%
Ameren Corp.		23,224	$	1,744,355
Oil, Gas & Consumable Fuels — 6.3%
Anadarko Petroleum Corp.		7,602		536,397
Chevron Corp.		27,702		3,447,237
Noble Energy, Inc.		46,670		1,045,408
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		34,920		2,272,244
Suncor Energy, Inc. (Canada)		48,738		1,518,676
Williams Cos., Inc. (The)		35,593		998,028
				9,817,990
Pharmaceuticals — 8.1%
Allergan PLC		2,010		336,534
AstraZeneca PLC (United Kingdom), ADR		84,634		3,493,691
Bristol-Myers Squibb Co.		21,564		977,927
Elanco Animal Health, Inc.*		19,807		669,477
Eli Lilly & Co.		17,159		1,901,046
Merck & Co., Inc.		26,209		2,197,625
Pfizer, Inc.		70,555		3,056,443
				12,632,743
Road & Rail — 1.3%
Union Pacific Corp.		11,790		1,993,807
Semiconductors & Semiconductor Equipment — 5.0%
Broadcom, Inc.		6,248		1,798,549
NVIDIA Corp.		10,772		1,769,086
QUALCOMM, Inc.		39,778		3,025,912
Texas Instruments, Inc.		10,138		1,163,437
				7,756,984
Software — 7.7%
Adobe, Inc.*		8,198		2,415,541
Microsoft Corp.		32,278		4,323,961
PTC, Inc.*		12,898		1,157,724
salesforce.com, Inc.*		17,887		2,713,994
SAP SE (Germany), ADR		10,726		1,467,317
				12,078,537
Specialty Retail — 1.7%
Lowe’s Cos., Inc.		11,400		1,150,374
Ross Stores, Inc.		15,606		1,546,867
				2,697,241
Technology Hardware, Storage & Peripherals — 0.5%
Apple, Inc.		4,378		866,494
Textiles, Apparel & Luxury Goods — 3.1%
Lululemon Athletica, Inc. (Canada)*		13,340		2,404,001
NIKE, Inc. (Class B Stock)		18,834		1,581,114
Tapestry, Inc.		25,350		804,356
				4,789,471
TOTAL COMMON STOCKS (cost $103,190,964)				151,567,773

	Shares		Value
SHORT-TERM INVESTMENT — 1.8%
AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund (cost $2,857,846)(a)		2,857,846	$	2,857,846
TOTAL INVESTMENTS — 99.0% (cost $106,048,810)				154,425,619
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0%
Cash				123,672
Receivable for Securities Sold				1,665,751
Dividends and Interests Receivable				114,972
Tax Reclaim Receivable				8,058
Payable for Pending Capital Transactions				(6,163	)
Payable for Securities Purchased				(292,566	)
OTHER ASSETS IN EXCESS OF LIABILITIES				1,613,724
NET ASSETS — 100.0%			$	156,039,343
NET ASSETS, representing:
Equity of Participants			$	156,060,781
Equity of The Prudential Insurance Company of America				(21,438	)
			$	156,039,343

* Non-income producing security.

(a) PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund.

The following abbreviations are used in the semiannual report:

144A	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers.
ADR	American Depositary Receipt

Fair Value Measurements:

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2019

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	3,633,721	$	1,074,762	$	—
Automobiles		725,575		—		—
Banks		14,932,531		—		—
Beverages		1,063,989		—		—
Building Products		1,718,207		—		—
Capital Markets		1,351,587		—		—
Chemicals		3,465,418		—		—
Communications Equipment		3,442,477		—		—
Consumer Finance		3,120,387		—		—
Diversified Telecommunication Services		2,272,346		—		—
Electric Utilities		4,716,880		—		—
Electrical Equipment		1,081,398		—		—
Energy Equipment & Services		453,513		—		—
Entertainment		6,215,678		—		—
Equity Real Estate Investment Trusts (REITs)		3,848,430		—		—
Food & Staples Retailing		2,743,025		—		—
Food Products		3,005,127		—		—
Health Care Equipment & Supplies		2,549,011		—		—
Health Care Providers & Services		1,555,754		—		—
Hotels, Restaurants & Leisure		1,548,728		—		—
Household Products		2,443,002		—		—
Insurance		4,689,025		—		—
Interactive Media & Services		6,921,350		—		—
Internet & Direct Marketing Retail		5,050,022		—		—
IT Services		5,332,981		2,241,908		—
Life Sciences Tools & Services		2,464,396		—		—
Media		3,528,923		—		—
Multi-Utilities		1,744,355		—		—
Oil, Gas & Consumable Fuels		9,817,990		—		—
Pharmaceuticals		12,632,743		—		—
Road & Rail		1,993,807		—		—
Semiconductors & Semiconductor Equipment		7,756,984		—		—
Software		12,078,537		—		—
Specialty Retail		2,697,241		—		—
Technology Hardware, Storage & Peripherals		866,494		—		—
Textiles, Apparel & Luxury Goods		4,789,471		—		—
Affiliated Mutual Fund		2,857,846		—		—
Total	$	151,108,949	$	3,316,670	$	—

Industry Classification:

The industry classification of investments and other assets in excess of other liabilities shown as a percentage of net assets as of June 30, 2019 were as follows (unaudited):

Banks	9.6	%
Pharmaceuticals	8.1
Software	7.7
Oil, Gas & Consumable Fuels	6.3
Semiconductors & Semiconductor Equipment	5.0
IT Services	4.8
Interactive Media & Services	4.4
Entertainment	4.0
Internet & Direct Marketing Retail	3.2

Textiles, Apparel & Luxury Goods	3.1	%
Electric Utilities	3.0
Aerospace & Defense	3.0
Insurance	3.0
Equity Real Estate Investment Trusts (REITs)	2.5
Media	2.3
Chemicals	2.2
Communications Equipment	2.2
Consumer Finance	2.0

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2019

Industry Classification (cont.):
Food Products	1.9	%
Affiliated Mutual Fund	1.8
Food & Staples Retailing	1.8
Specialty Retail	1.7
Health Care Equipment & Supplies	1.6
Life Sciences Tools & Services	1.6
Household Products	1.6
Diversified Telecommunication Services	1.5
Road & Rail	1.3
Multi-Utilities	1.1
Building Products	1.1

Health Care Providers & Services	1.0	%
Hotels, Restaurants & Leisure	1.0
Capital Markets	0.9
Electrical Equipment	0.7
Beverages	0.7
Technology Hardware, Storage & Peripherals	0.5
Automobiles	0.5
Energy Equipment & Services	0.3
	99.0
Other assets in excess of liabilities	1.0
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2019

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $15,614 foreign withholding tax)	$	1,491,023
Affiliated Dividend Income		36,376
Total Income		1,527,399
EXPENSES
Fees Charged to Participants for Investment Management Services		(190,230	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(512,323	)
0.50% Contract		(5,035	)
0.45% Contract		(9,391	)
Total Expenses		(716,979	)
NET INVESTMENT INCOME		810,420
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		7,036,276
Foreign Currency Transactions		(1,616	)
		7,034,660
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		15,024,023
Foreign Currencies		351
		15,024,374
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		22,059,034
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	22,869,454

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
OPERATIONS
Net Investment Income	$	810,420		$	1,438,401
Net Realized Gain on Investment and Foreign Currency Transactions		7,034,660			6,674,962
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies		15,024,374			(19,633,762	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		22,869,454			(11,520,399	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		358,151			1,510,220
Withdrawals and Transfers Out		(6,506,859	)		(16,167,899	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(6,148,708	)		(14,657,679	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		8,085			(4,785	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		16,728,831			(26,182,863	)
NET ASSETS
Beginning of period		139,310,512			165,493,375
End of period	$	156,039,343		$	139,310,512

Accumulation Unit Values and Equity of Participants as of June 30, 2019

Standard Contract:
Accumulation Unit Value and Equity of Participants, $ 142,120,531/ 6,791,108 Accumulation Units	$	20.9274
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $ 4,208,154/ 179,287 Accumulation Units	$	23.4716
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $ 9,732,096/ 412,899 Accumulation Units	$	23.5702

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Six Months Ended June 30, 2019									Year Ended December 31, 2018
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2012		$	0.2255		$	0.2262		$	0.3666		$	0.4087		$	0.4102
Expenses
Investment management fee		(0.0249	)		(0.0279	)		(0.0280	)		(0.0500	)		(0.0558	)		(0.0560	)
Administrative expenses		(0.0744	)		(0.0279	)		(0.0224	)		(0.1497	)		(0.0558	)		(0.0448	)
Net Investment Income		0.1019			0.1697			0.1758			0.1669			0.2971			0.3094
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions .		2.8784			3.2226			3.2356			(1.7016	)		(1.9064	)		(1.9142	)
Net Increase (Decrease) in Accumulation Unit Value		2.9803			3.3923			3.4114			(1.5347	)		(1.6093	)		(1.6048	)
Accumulation Unit Value
Beginning of period		17.9471			20.0793			20.1588			19.4818			21.6886			21.7635
End of period	$	20.9274		$	23.4716		$	23.5702		$	17.9471		$	20.0793		$	20.1588
Total Return**		16.61	%		16.89	%		16.92	%		(7.88	)%		(7.42	)%		(7.37	)%
Ratio of Expenses To Average Net Assets***		1.00	%†		0.50	%†		0.45	%†		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		1.03	%†		1.53	%†		1.58	%†		0.84	%		1.34	%		1.39	%
Portfolio Turnover Rate		26	%††		26	%††		26	%††		36	%		36	%		36	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		6,791			179			413			7,081			181			427

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

*** These calculations exclude PICA’s equity in VCA-10.

† Annualized.

†† Not Annualized.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2017									Year Ended December 31, 2016
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2909		$	0.3229		$	0.3239		$	0.2736		$	0.3019		$	0.3027
Expenses
Investment management fee		(0.0440	)		(0.0489	)		(0.0491	)		(0.0369	)		(0.0407	)		(0.0408	)
Administrative expenses		(0.1318	)		(0.0489	)		(0.0392	)		(0.1103	)		(0.0407	)		(0.0327	)
Net Investment Income		0.1151			0.2251			0.2356			0.1264			0.2205			0.2292
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		3.4389			3.8193			3.8316			0.8068			0.8955			0.8983
Net Increase (Decrease) in Accumulation Unit Value		3.5540			4.0444			4.0672			0.9332			1.1160			1.1275
Accumulation Unit Value
Beginning of year		15.9278			17.6442			17.6963			14.9946			16.5282			16.5688
End of year	$	19.4818		$	21.6886		$	21.7635		$	15.9278		$	17.6442		$	17.6963
Total Return**		22.31	%		22.92	%		22.98	%		6.22	%		6.75	%		6.80	%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.65	%		1.15	%		1.20	%		0.85	%		1.34	%		1.39	%
Portfolio Turnover Rate		49	%		49	%		49	%		42	%		42	%		42	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		7,755			190			474			8,606			212			522

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

*** These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2015									Year Ended December 31, 2014
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2397		$	0.2631		$	0.2637		$	0.1871		$	0.2046		$	0.2049
Expenses
Investment management fee		(0.0384	)		(0.0422	)		(0.0423	)		(0.0362	)		(0.0397	)		(0.0398	)
Administrative expenses		(0.1149	)		(0.0422	)		(0.0339	)		(0.1086	)		(0.0397	)		(0.0318	)
Net Investment Income		0.0864			0.1787			0.1875			0.0423			0.1252			0.1333
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.3479	)		(0.3837	)		(0.3847	)		1.4515			1.5879			1.5907
Net Increase (Decrease) in Accumulation Unit Value		(0.2615	)		(0.2050	)		(0.1972	)		1.4938			1.7131			1.7240
Accumulation Unit Value
Beginning of year		15.2561			16.7332			16.7660			13.7623			15.0201			15.0420
End of year	$	14.9946		$	16.5282		$	16.5688		$	15.2561		$	16.7332		$	16.7660
Total Return**		(1.71	)%		(1.23	)%		(1.18	)%		10.85	%		11.41	%		11.46	%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.57	%		1.06	%		1.11	%		0.29	%		0.78	%		0.83	%
Portfolio Turnover Rate		47	%		47	%		47	%		70	%		70	%		70	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		9,595			219			609			10,646			242			657

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

*** These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

VCA-10 (Unaudited)

Note  1: General

The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contract holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital.

PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% Contracts”), and contracts with annual expenses of 0.45%, as a percentage of net assets, (the “0.45% Contracts”). The financial statements show separate Accumulation Unit Values for each type of contract.

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Securities Valuation:    The Account holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Committee’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Statement of Net Assets and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post-closing market

movements up to the time the Account is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Account has adopted a Committee approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Account limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Account may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.

Restricted Securities:    Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Account’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Account’s investments in restricted securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-date or for certain foreign securities, when the Account becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes:    The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.

Note 3: Investment Management Agreement and Charges

The Account has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with management of the Account. PGIM Investments pays for the services of Jennison.

VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced administrative fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.

Standard Contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s account of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge (explained below), and 0.25% is paid to PGIM Investments, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s account of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s account of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services.

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s account or on the last business day of each calendar year. Such amounts are reflected as withdrawals on the Statements of Changes in Net Assets.

PICA, PGIM Investments and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Committee approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the six months ended June 30, 2019, no such transactions were entered into by the Account.

During the six months ended June 30, 2019, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated Dividend Income”.

Note 5: Portfolio Securities

For the six months ended June 30, 2019, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $38,301,103 and $43,544,193, respectively.

A summary of the cost of purchases and proceeds from sales of shares of an affiliated mutual fund for the six months ended June 30, 2019, is presented as follows:

Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain(Loss)			Realized Gain(Loss)		Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
	$4,141,450	$	18,708,727	$	19,992,331	$	—		$	—	$	2,857,846		2,857,846	$	36,376
								��

* The Account did not have any capital gain distributions during reporting period.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2019 and the year ended December 31, 2018, respectively, are as follows:

Standard Contracts	Units			Amount
Six months ended June 30, 2019:
Account units issued		16,779		$	336,980
Account units redeemed		(306,982	)		(6,124,936	)
Net increase (decrease) in units outstanding		(290,203	)	$	(5,787,956	)
Year ended December 31, 2018:
Account units issued		75,584		$	1,510,220
Account units redeemed		(749,659	)		(14,934,615	)
Net increase (decrease) in units outstanding		(674,075	)	$	(13,424,395	)
0.50% Contracts	Units			Amount
Six months ended June 30, 2019:
Account units issued		1,003		$	21,171
Account units redeemed		(3,058	)		(67,722	)
Net increase (decrease) in units outstanding		(2,055	)	$	(46,551	)
Year ended December 31, 2018:
Account units issued		—		$	—
Account units redeemed		(8,262	)		(184,802	)
Net increase (decrease) in units outstanding		(8,262	)	$	(184,802	)
0.45% Contracts	Units			Amount
Six months ended June 30, 2019:
Account units issued		—		$	—
Account units redeemed		(14,003	)		(314,201	)
Net increase (decrease) in units outstanding		(14,003	)	$	(314,201	)
Year ended December 31, 2018:
Account units issued		—		$	—
Account units redeemed		(47,009	)		(1,048,482	)
Net increase (decrease) in units outstanding		(47,009	)	$	(1,048,482	)

Note 7: Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account.

Note 8: Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2019, $25,868 in participant loans were withdrawn from VCA-10 and $23,196 of principal and interest was repaid to VCA-10. For the year ended December 31, 2018, $87,410 in participant loans were withdrawn from VCA-10 and $62,549 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2019, PICA has advised the Account that it received $378 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 9: Risks of Investing in the Account

The Account’s risks include, but are not limited to, some or all of the risks discussed below:

Equity and Equity-Related Securities Risks:    The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Account invests could go down. The Account’s holdings can vary significantly from broad market indexes and the performance of the Account can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Foreign Securities Risk:    The Account’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Market and Credit Risks:    Securities markets may be volatile and the market prices of the Account’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.

Note 10: Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Account’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

The Prudential Series Fund

The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.

Each Subaccount of VCA-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Global Subaccount in the Global Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Government Money Market Subaccount in the Government Money Market Portfolio, and the Stock Index Subaccount in the Stock Index Portfolio.

There is no assurance that the investment objective of the Portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

Contract unit values increase or decrease based on the performance of each corresponding Portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2019

Conservative Balanced Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	2.0%
Apple, Inc.	Technology Hardware, Storage & Peripherals	1.7%
Amazon.com, Inc.	Internet & Direct Marketing Retail	1.5%
Federal National Mortgage Assoc., 3.500%, TBA	U.S. Government Agency Obligations	1.1%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	0.9%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	0.8%
Johnson & Johnson	Pharmaceuticals	0.8%
JPMorgan Chase & Co.	Banks	0.7%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	0.7%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	0.6%

Diversified Bond Portfolio
Credit Quality	(% of Net Assets	)
AAA	34.6%
AA	4.8%
A	13.8%
BBB	21.4%
BB	6.2%
B	6.4%
CCC	0.9%
C	0.2%
NR	6.9%
Cash & Equivalents	4.8%
Total	100.0%

Equity Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	3.8%
Amazon.com, Inc.	Internet & Direct Marketing Retail	3.3%
AstraZeneca PLC (United Kingdom), ADR	Pharmaceuticals	2.6%
Mastercard, Inc. (Class A Stock)	IT Services	2.5%
Boeing Co. (The)	Aerospace & Defense	2.4%
salesforce.com, Inc.	Software	2.1%
JPMorgan Chase & Co.	Banks	2.1%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	2.0%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.9%
American Electric Power Co., Inc.	Electric Utilities	1.9%

Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited(continued) June 30, 2019

Flexible Managed Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	2.9%
Apple, Inc.	Technology Hardware, Storage & Peripherals	1.8%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.5%
Amazon.com, Inc.	Internet & Direct Marketing Retail	1.3%
Bank of America Corp.	Banks	1.1%
Visa, Inc. (Class A Stock)	IT Services	1.1%
Cisco Systems, Inc.	Communications Equipment	1.0%
Chevron Corp.	Oil, Gas & Consumable Fuels	1.0%
Verizon Communications, Inc.	Diversified Telecommunication Services	0.9%
Merck & Co., Inc.	Pharmaceuticals	0.9%

Global Portfolio
Ten Largest Holdings	Line of Business	Country	(% of Net Assets	)
Microsoft Corp.	Software	United States	2.5%
Thermo Fisher Scientific, Inc.	Life Sciences Tools & Services	United States	1.5%
Visa, Inc. (Class A Stock)	IT Services	United States	1.5%
Amazon.com, Inc.	Internet & Direct Marketing Retail	United States	1.5%
Zoetis, Inc.	Pharmaceuticals	United States	1.4%
PayPal Holdings, Inc.	IT Services	United States	1.3%
SBA Communications Corp.	Equity Real Estate Investment Trusts (REITs)	United States	1.3%
Roper Technologies, Inc.	Industrial Conglomerates	United States	1.3%
Danaher Corp.	Health Care Equipment & Supplies	United States	1.1%
Intuitive Surgical, Inc.	Health Care Equipment & Supplies	United States	1.1%

Government Income Portfolio
Credit Quality	(% of Net Assets	)
AAA	93.5%
AA	2.3%
A	0.0%
BBB	0.0%
NR	(1.0)%
Cash & Equivalents	5.2%
Total	100.0%

Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited(continued) June 30, 2019

Government Money Market Portfolio
Ten Largest Holdings	Interest Rate	Maturity Date	(% of Net Assets	)
Federal Home Loan Bank	2.342%	07/17/2019	4.9%
U.S. Treasury Bills	2.520%	09/05/2019	4.5%
State Street Bank & Trust Co.	2.500%	07/01/2019	4.4%
Federal Home Loan Bank	2.411%	08/02/2019	4.0%
U.S. Treasury Bills	2.503%	08/15/2019	3.7%
Federal Home Loan Bank	2.382%	11/08/2019	3.6%
Credit Agricole Corporate & Investment Bank	2.680%	07/03/2019	3.6%
U.S. Treasury Bills	2.301%	10/03/2019	3.5%
U.S. Treasury Bills	2.399%	07/18/2019	2.3%
U.S. Treasury Bills	2.348%	08/06/2019	2.3%

Holdings reflect only short-term investments.

Stock Index Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	4.1%
Apple, Inc.	Technology Hardware, Storage & Peripherals	3.5%
Amazon.com, Inc.	Internet & Direct Marketing Retail	3.1%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.9%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	1.7%
Johnson & Johnson	Pharmaceuticals	1.5%
JPMorgan Chase & Co.	Banks	1.5%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	1.3%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	1.3%
Exxon Mobil Corp.	Oil, Gas & Consumable Fuels	1.3%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited June 30, 2019

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2019 through June 30, 2019.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2019		Ending Account Value June 30, 2019		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,113.20		0.59	%	$	3.09
	Hypothetical	$	1,000.00	$	1,021.87		0.59	%	$	2.96
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,077.00		0.44	%	$	2.27
	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,184.20		0.47	%	$	2.55
	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,181.90		0.87	%	$	4.71
	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,121.90		0.63	%	$	3.31
	Hypothetical	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	1,187.90		0.77	%	$	4.18
	Hypothetical	$	1,000.00	$	1,020.98		0.77	%	$	3.86
Government Income (Class I)	Actual	$	1,000.00	$	1,049.60		0.52	%	$	2.64
	Hypothetical	$	1,000.00	$	1,022.22		0.52	%	$	2.61
Government Money Market (Class I)	Actual	$	1,000.00	$	1,010.40		0.35	%	$	1.74
	Hypothetical	$	1,000.00	$	1,023.06		0.35	%	$	1.76
Stock Index (Class I)	Actual	$	1,000.00	$	1,183.10		0.31	%	$	1.68
	Hypothetical	$	1,000.00	$	1,023.26		0.31	%	$	1.56

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

GLOSSARY

The following abbreviations are used in the Portfolios’ descriptions:

AUD	Australian Dollar
CNH	Chinese Renminbi
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
USD	US Dollar

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.
A	Annual payment frequency for swaps
ABS	Asset-Backed Security
Aces	Alternative Credit Enhancements Securities
ADR	American Depositary Receipt
BABs	Build America Bonds
BKNT	Bank Notes
CLO	Collateralized Loan Obligation
CMS	Constant Maturity Swap
CNX	CRISIL NSE Index
CVA	Certificate Van Aandelen (Bearer)
CVT	Convertible Security
EAFE	Europe, Australasia, Far East
EMTN	Euro Medium Term Note
EONIA	Euro Overnight Index Average
ETF	Exchange-Traded Fund
EURIBOR	Euro Interbank Offered Rate
FHLMC	Federal Home Loan Mortgage Corporation
GMTN	Global Medium Term Note
IO	Interest Only (Principal amount represents notional)
LIBOR	London Interbank Offered Rate
M	Monthly payment frequency for swaps
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
MUNIPSA	Municipal Swap Weekly Yield Index
OTC	Over-the-counter
PO	Principal Only
PRFC	Preference Shares
Q	Quarterly payment frequency for swaps
REIT(s)	Real Estate Investment Trust(s)
RSP	Savings Shares
S	Semiannual payment frequency for swaps
S&P	Standard & Poor’s
SLM	Student Loan Mortgage
SONIA	Sterling Overnight Index Average
SPDR	Standard & Poor’s Depositary Receipts
STACR	Structured Agency Credit Risk
Strips	Separate Trading of Registered Interest and Principal of Securities
TBA	To Be Announced
TIPS	Treasury Inflation-Protected Securities
USAID	United States Agency for International Development
USOIS	United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS.

A1

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

LONG-TERM INVESTMENTS — 88.8%
COMMON STOCKS — 48.7%	Shares		Value
Aerospace & Defense — 1.3%
Airbus SE (France)		1,062	$	150,692
Arconic, Inc.		19,180		495,228
Boeing Co. (The)		25,850		9,409,659
General Dynamics Corp.		13,300		2,418,206
Huntington Ingalls Industries, Inc.		2,200		494,428
L3 Technologies, Inc.		3,900		956,163
L3Harris Technologies, Inc.		5,900		1,115,867
Lockheed Martin Corp.		12,180		4,427,917
MTU Aero Engines AG (Germany)		682		162,726
Northrop Grumman Corp.		8,362		2,701,846
Raytheon Co.		13,900		2,416,932
Textron, Inc.		11,500		609,960
TransDigm Group, Inc.*		2,500		1,209,500
United Technologies Corp.		39,802		5,182,220
				31,751,344
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)		6,600		556,710
Expeditors International of Washington, Inc.		8,600		652,396
FedEx Corp.		11,780		1,934,158
SG Holdings Co. Ltd. (Japan)		200		5,672
United Parcel Service, Inc. (Class B Stock)		34,100		3,521,507
				6,670,443
Airlines — 0.2%
Alaska Air Group, Inc.(a)		6,500		415,415
American Airlines Group, Inc.		18,800		613,068
Delta Air Lines, Inc.		30,300		1,719,525
Japan Airlines Co. Ltd. (Japan)		200		6,391
Southwest Airlines Co.		24,400		1,239,032
United Continental Holdings, Inc.*		11,000		963,050
				4,956,481
Auto Components — 0.1%
Aptiv PLC		12,700		1,026,541
BorgWarner, Inc.		9,600		403,008
Bridgestone Corp. (Japan)		900		35,498
Cie Generale des Etablissements Michelin SCA (France)		1,307		165,586
Toyota Industries Corp. (Japan)		200		11,050
				1,641,683
Automobiles — 0.2%
Ferrari NV (Italy)		166		26,917
Fiat Chrysler Automobiles NV (United Kingdom)		1,497		20,845
Ford Motor Co.		191,485		1,958,891
General Motors Co.		64,200		2,473,626
Harley-Davidson, Inc.(a)		7,900		283,057
Honda Motor Co. Ltd. (Japan)		2,500		64,735
Isuzu Motors Ltd. (Japan)		900		10,259
Mazda Motor Corp. (Japan)		900		9,400
Peugeot SA (France)		6,857		168,991
Toyota Motor Corp. (Japan)		2,700		167,939
Volkswagen AG (Germany)		45		7,738
				5,192,398

COMMON STOCKS (continued)	Shares		Value
Banks — 2.7%
Banco Bilbao Vizcaya Argentaria SA (Spain)		33,200	$	185,456
Bank LeumiLe-Israel BM (Israel)		2,297		16,579
Bank of America Corp.		440,321		12,769,309
Barclays PLC (United Kingdom)		93,787		178,702
BB&T Corp.(a)		37,400		1,837,462
BNP Paribas SA (France)		1,557		73,970
BOC Hong Kong Holdings Ltd. (China)		5,500		21,631
Citigroup, Inc.		116,335		8,146,940
Citizens Financial Group, Inc.		23,600		834,496
Comerica, Inc.		8,200		595,648
Commerzbank AG (Germany)		1,553		11,182
Commonwealth Bank of Australia (Australia)		236		13,719
Credit Agricole SA (France)		1,822		21,836
DBS Group Holdings Ltd. (Singapore)		7,900		151,555
DNB ASA (Norway)		8,050		149,904
Erste Group Bank AG (Austria)*		1,237		45,929
Fifth Third Bancorp		37,321		1,041,256
First Republic Bank		8,200		800,730
Hang Seng Bank Ltd. (Hong Kong)		1,100		27,315
HSBC Holdings PLC (United Kingdom)		14,599		121,859
Huntington Bancshares, Inc.		50,836		702,553
Intesa Sanpaolo SpA (Italy)		22,914		49,027
Israel Discount Bank Ltd. (Israel) (Class A Stock)		10,860		44,353
JPMorgan Chase & Co.		160,545		17,948,931
KBC Group NV (Belgium)		377		24,746
KeyCorp.		48,500		860,875
Lloyds Banking Group PLC (United Kingdom)		109,687		78,974
M&T Bank Corp.		6,800		1,156,476
Mitsubishi UFJ Financial Group, Inc. (Japan)		43,900		208,872
People’s United Financial, Inc.(a)		16,500		276,870
PNC Financial Services Group, Inc. (The)		22,233		3,052,146
Raiffeisen Bank International AG (Austria)		4,372		102,685
Regions Financial Corp.		48,603		726,129
Resona Holdings, Inc. (Japan)		3,200		13,346
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		15,624		144,454
Societe Generale SA (France)		2,267		57,286
Sumitomo Mitsui Financial Group, Inc. (Japan)		2,100		74,264
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		3,100		112,626
SunTrust Banks, Inc.		21,700		1,363,845
SVB Financial Group*		2,700		606,393
U.S. Bancorp		73,785		3,866,334
United Overseas Bank Ltd. (Singapore)		2,100		40,533
Wells Fargo & Co.		200,464		9,485,956
Zions Bancorp NA		9,450		434,511
				68,477,663
Beverages — 0.9%
Asahi Group Holdings Ltd. (Japan)		2,000		90,078

SEE NOTES TO FINANCIAL STATEMENTS.

A2

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Beverages (continued)
Brown-Forman Corp. (Class B Stock)(a)		8,475	$	469,769
Carlsberg A/S (Denmark) (Class B Stock)		162		21,457
Coca-Cola Co. (The)		188,601		9,603,563
Coca-Cola European Partners PLC (United Kingdom)		3,100		175,150
Constellation Brands, Inc. (Class A Stock)(a)		8,200		1,614,908
Diageo PLC (United Kingdom)		297		12,790
Molson Coors Brewing Co. (Class B Stock)		9,700		543,200
Monster Beverage Corp.*		19,200		1,225,536
PepsiCo, Inc.		69,307		9,088,227
Treasury Wine Estates Ltd. (Australia)		1,144		12,008
				22,856,686
Biotechnology — 1.1%
AbbVie, Inc.		72,300		5,257,656
Alexion Pharmaceuticals, Inc.*		10,900		1,427,682
Amgen, Inc.		30,537		5,627,359
Biogen, Inc.*		9,660		2,259,184
Celgene Corp.*		35,100		3,244,644
Gilead Sciences, Inc.		62,500		4,222,500
Incyte Corp.*		9,100		773,136
Regeneron Pharmaceuticals, Inc.*		3,940		1,233,220
Vertex Pharmaceuticals, Inc.*		12,600		2,310,588
				26,355,969
Building Products — 0.1%
A.O. Smith Corp.		6,800		320,688
Allegion PLC		4,633		512,178
Fortune Brands Home & Security, Inc.		6,600		377,058
Geberit AG (Switzerland)		57		26,609
Johnson Controls International PLC		43,222		1,785,501
Kingspan Group PLC (Ireland)		229		12,433
Masco Corp.		14,400		565,056
				3,599,523
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		12,082		170,910
Affiliated Managers Group, Inc.		2,800		257,992
Ameriprise Financial, Inc.		6,720		975,475
ASX Ltd. (Australia)		297		17,178
Bank of New York Mellon Corp. (The)		43,058		1,901,011
BlackRock, Inc.		6,000		2,815,800
Cboe Global Markets, Inc.		5,600		580,328
Charles Schwab Corp. (The)		58,150		2,337,048
CME Group, Inc.(a)		17,600		3,416,336
E*TRADE Financial Corp.		11,720		522,712
Franklin Resources, Inc.(a)		13,700		476,760
Goldman Sachs Group, Inc. (The)		16,800		3,437,280
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		4,800		169,764
Intercontinental Exchange, Inc.		27,855		2,393,859
Invesco Ltd.		19,200		392,832
Macquarie Group Ltd. (Australia)		495		43,567
Moody’s Corp.		8,350		1,630,839
Morgan Stanley		64,880		2,842,393

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
MSCI, Inc.		4,200	$	1,002,918
Nasdaq, Inc.		5,600		538,552
Northern Trust Corp.		10,600		954,000
Raymond James Financial, Inc.		6,500		549,575
S&P Global, Inc.		12,200		2,779,038
State Street Corp.		18,600		1,042,716
T. Rowe Price Group, Inc.		11,600		1,272,636
				32,521,519
Chemicals — 1.0%
Air Liquide SA (France)		91		12,739
Air Products & Chemicals, Inc.		10,800		2,444,796
Albemarle Corp.(a)		5,100		359,091
Arkema SA (France)		457		42,549
Celanese Corp.		6,300		679,140
CF Industries Holdings, Inc.		10,700		499,797
Corteva, Inc.*		36,847		1,089,566
Covestro AG (Germany), 144A		462		23,508
Dow, Inc.		36,847		1,816,926
DuPont de Nemours, Inc.		36,847		2,766,104
Eastman Chemical Co.		7,100		552,593
Ecolab, Inc.		12,500		2,468,000
FMC Corp.		6,800		564,060
International Flavors & Fragrances, Inc.(a)		4,600		667,414
Israel Chemicals Ltd. (Israel)		20,175		105,764
Linde PLC (United Kingdom)		27,100		5,441,680
LyondellBasell Industries NV (Class A Stock)		14,900		1,283,337
Mitsubishi Chemical Holdings Corp. (Japan)		2,000		14,002
Mitsubishi Gas Chemical Co., Inc. (Japan)		7,500		100,281
Mosaic Co. (The)		15,600		390,468
PPG Industries, Inc.		11,600		1,353,836
Sherwin-Williams Co. (The)		4,050		1,856,074
Shin-Etsu Chemical Co. Ltd. (Japan)		2,000		186,799
Showa Denko KK (Japan)		200		5,919
Solvay SA (Belgium)		110		11,423
Teijin Ltd. (Japan)		700		11,951
				24,747,817
Commercial Services & Supplies — 0.2%
Cintas Corp.		4,400		1,044,076
Copart, Inc.*(a)		9,800		732,452
Republic Services, Inc.		10,965		950,008
Rollins, Inc.		6,600		236,742
Waste Management, Inc.		19,142		2,208,412
				5,171,690
Communications Equipment — 0.6%
Arista Networks, Inc.*		2,600		675,012
Cisco Systems, Inc.		214,100		11,717,693
F5 Networks, Inc.*		2,900		422,327
Juniper Networks, Inc.		16,500		439,395
Motorola Solutions, Inc.		8,089		1,348,679
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		4,747		45,097
				14,648,203

SEE NOTES TO FINANCIAL STATEMENTS.

A3

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		2,769	$	110,576
CIMIC Group Ltd. (Australia)		150		4,715
Eiffage SA (France)		119		11,759
Jacobs Engineering Group, Inc.		5,900		497,901
Kajima Corp. (Japan)		700		9,630
Obayashi Corp. (Japan)		14,300		141,149
Quanta Services, Inc.		7,400		282,606
Shimizu Corp. (Japan)		4,800		39,917
Taisei Corp. (Japan)		300		10,920
Vinci SA (France)		774		79,285
				1,188,458
Construction Materials — 0.1%
CRH PLC (Ireland)		1,147		37,513
HeidelbergCement AG (Germany)		900		72,930
Martin Marietta Materials, Inc.		3,100		713,341
Vulcan Materials Co.		6,600		906,246
				1,730,030
Consumer Finance — 0.3%
American Express Co.		33,900		4,184,616
Capital One Financial Corp.		22,961		2,083,481
Discover Financial Services		16,140		1,252,303
Synchrony Financial		31,972		1,108,469
				8,628,869
Containers & Packaging — 0.2%
Amcor PLC (United Kingdom)*		75,650		869,219
Avery Dennison Corp.		4,300		497,424
Ball Corp.		16,400		1,147,836
International Paper Co.		19,373		839,238
Packaging Corp. of America		4,800		457,536
Sealed Air Corp.		8,000		342,240
Westrock Co.		12,344		450,186
				4,603,679
Distributors — 0.0%
Genuine Parts Co.		7,200		745,776
LKQ Corp.*		15,000		399,150
				1,144,926
Diversified Consumer Services — 0.0%
H&R Block, Inc.		8,600		251,980
Diversified Financial Services — 0.8%
Berkshire Hathaway, Inc. (Class B Stock)*		95,640		20,387,579
Jefferies Financial Group, Inc.		13,300		255,759
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		13,300		70,699
ORIX Corp. (Japan)		9,700		144,903
				20,858,940
Diversified Telecommunication Services — 1.0%
AT&T, Inc.		357,036		11,964,276
CenturyLink, Inc.(a)		42,679		501,905
Deutsche Telekom AG (Germany)		13,269		229,596
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)		6,000		9,523

COMMON STOCKS (continued)	Shares		Value
Diversified Telecommunication Services (continued)
Nippon Telegraph & Telephone Corp. (Japan)		4,100	$	191,152
Swisscom AG (Switzerland)		36		18,084
Telecom Italia SpA (Italy), RSP		22,010		11,421
Telefonica SA (Spain)		7,056		57,957
Telenor ASA (Norway)		1,139		24,172
Telstra Corp. Ltd. (Australia)		35,919		97,044
Verizon Communications, Inc.		203,976		11,653,149
				24,758,279
Electric Utilities — 1.0%
Alliant Energy Corp.		10,600		520,248
American Electric Power Co., Inc.		24,160		2,126,322
Chubu Electric Power Co., Inc. (Japan)		900		12,636
Duke Energy Corp.		35,661		3,146,727
Edison International		16,000		1,078,560
Enel SpA (Italy)		35,323		246,686
Entergy Corp.		9,000		926,370
Evergy, Inc.		12,500		751,875
Eversource Energy(a)		15,600		1,181,856
Exelon Corp.		48,613		2,330,507
FirstEnergy Corp.		24,706		1,057,664
Iberdrola SA (Spain)		9,375		93,433
Kansai Electric Power Co., Inc. (The) (Japan)		10,100		115,825
NextEra Energy, Inc.		23,500		4,814,210
Pinnacle West Capital Corp.		5,900		555,131
PPL Corp.		35,600		1,103,956
Southern Co. (The)		50,700		2,802,696
Xcel Energy, Inc.(a)		25,510		1,517,590
				24,382,292
Electrical Equipment — 0.2%
AMETEK, Inc.		11,500		1,044,660
Eaton Corp. PLC		20,737		1,726,977
Emerson Electric Co.		30,100		2,008,272
Legrand SA (France)		364		26,624
Rockwell Automation, Inc.		6,200		1,015,746
Schneider Electric SE (France)		840		76,202
				5,898,481
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		14,600		1,400,724
Corning, Inc.		38,500		1,279,355
FLIR Systems, Inc.		6,100		330,010
Halma PLC (United Kingdom)		2,716		69,789
Hexagon AB (Sweden) (Class B Stock)		386		21,454
Hitachi Ltd. (Japan)		2,000		73,416
IPG Photonics Corp.*		1,700		262,225
Keysight Technologies, Inc.*		9,400		844,214
Kyocera Corp. (Japan)		500		32,753
TE Connectivity Ltd.		16,600		1,589,948
Venture Corp. Ltd. (Singapore)		400		4,819
				5,908,707
Energy Equipment & Services — 0.2%
Baker Hughes a GE Co.		25,098		618,163

SEE NOTES TO FINANCIAL STATEMENTS.

A4

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Energy Equipment & Services (continued)
Halliburton Co.		41,700	$	948,258
Helmerich & Payne, Inc.		5,400		273,348
National Oilwell Varco, Inc.		18,400		409,032
Schlumberger Ltd.		67,924		2,699,300
TechnipFMC PLC (United Kingdom)		20,600		534,364
				5,482,465
Entertainment — 1.0%
Activision Blizzard, Inc.		37,300		1,760,560
Electronic Arts, Inc.*		14,700		1,488,522
Netflix, Inc.*		21,570		7,923,092
Nexon Co. Ltd. (Japan)*		800		11,623
Nintendo Co. Ltd. (Japan)		100		36,769
Take-Two Interactive Software, Inc.*(a)		5,800		658,474
Viacom, Inc. (Class B Stock)		16,934		505,819
Vivendi SA (France)		1,613		44,376
Walt Disney Co. (The)		85,592		11,952,067
				24,381,302
Equity Real Estate Investment Trusts (REITs) — 1.4%
Alexandria Real Estate Equities, Inc.		5,600		790,104
American Tower Corp.		22,000		4,497,900
Apartment Investment & Management Co. (Class A Stock)		7,936		397,752
AvalonBay Communities, Inc.		7,275		1,478,134
Boston Properties, Inc.		7,800		1,006,200
Crown Castle International Corp.		20,400		2,659,140
Dexus (Australia)		1,497		13,661
Digital Realty Trust, Inc.(a)		10,300		1,213,237
Duke Realty Corp.		16,500		521,565
Equinix, Inc.		4,354		2,195,679
Equity Residential		18,400		1,396,928
Essex Property Trust, Inc.		3,350		977,965
Extra Space Storage, Inc.(a)		6,400		679,040
Federal Realty Investment Trust		3,700		476,412
Goodman Group (Australia)		17,915		189,181
HCP, Inc.		23,400		748,332
Host Hotels & Resorts, Inc.		34,082		620,974
Iron Mountain, Inc.(a)		13,102		410,093
Kimco Realty Corp.(a)		18,700		345,576
Land Securities Group PLC (United Kingdom)		13,409		141,962
Link REIT (Hong Kong)		500		6,148
Macerich Co. (The)(a)		5,500		184,195
Mid-America Apartment Communities, Inc. (Class A Stock)		5,800		683,008
Mirvac Group (Australia)		5,038		11,070
Nippon Building Fund, Inc. (Japan)		2		13,699
Prologis, Inc.		30,877		2,473,248
Public Storage		7,600		1,810,092
Realty Income Corp.		15,000		1,034,550
Regency Centers Corp.		8,700		580,638
SBA Communications Corp.*		5,500		1,236,620
Simon Property Group, Inc.(a)		15,193		2,427,234
SL Green Realty Corp.		4,300		345,591
UDR, Inc.		13,200		592,548
Ventas, Inc.(a)		17,918		1,224,695
Vornado Realty Trust		8,525		546,452

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Welltower, Inc.(a)		18,900	$	1,540,917
Weyerhaeuser Co.		35,818		943,446
				36,413,986
Food & Staples Retailing — 0.7%
Costco Wholesale Corp.		21,600		5,708,016
ICA Gruppen AB (Sweden)		123		5,284
J Sainsbury PLC (United Kingdom)		54,920		136,633
Koninklijke Ahold Delhaize NV (Netherlands)		6,472		145,471
Kroger Co. (The)		37,992		824,806
Seven & i Holdings Co. Ltd. (Japan)		200		6,774
Sysco Corp.		23,200		1,640,704
Tesco PLC (United Kingdom)		26,835		77,226
Walgreens Boots Alliance, Inc.(a)		39,300		2,148,531
Walmart, Inc.		69,800		7,712,202
Wm Morrison Supermarkets PLC (United Kingdom)		19,660		50,285
Woolworths Group Ltd. (Australia)		1,131		26,370
				18,482,302
Food Products — 0.6%
Archer-Daniels-Midland Co.		27,026		1,102,661
Associated British Foods PLC (United Kingdom)		550		17,217
Campbell Soup Co.(a)		9,000		360,630
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		2		14,538
Conagra Brands, Inc.		23,000		609,960
General Mills, Inc.		29,300		1,538,836
Hershey Co. (The)		6,800		911,404
Hormel Foods Corp.(a)		13,300		539,182
J.M. Smucker Co. (The)(a)		5,600		645,064
Kellogg Co.(a)		12,700		680,339
Kraft Heinz Co. (The)		29,717		922,416
Lamb Weston Holdings, Inc.		7,400		468,864
McCormick & Co., Inc.(a)		6,500		1,007,565
MEIJI Holdings Co. Ltd. (Japan)		200		14,305
Mondelez International, Inc. (Class A Stock)		70,753		3,813,587
Nestle SA (Switzerland)		5,038		521,487
Orkla ASA (Norway)		1,233		10,944
Tate & Lyle PLC (United Kingdom)		15,337		143,877
Toyo Suisan Kaisha Ltd. (Japan)		1,400		57,711
Tyson Foods, Inc. (Class A Stock)		15,400		1,243,396
WH Group Ltd. (Hong Kong), 144A		13,000		13,211
Wilmar International Ltd. (Singapore)		55,600		152,015
				14,789,209
Gas Utilities — 0.0%
Atmos Energy Corp.		5,400		570,024
Tokyo Gas Co. Ltd. (Japan)		600		14,137
				584,161
Health Care Equipment & Supplies — 1.7%
Abbott Laboratories		86,500		7,274,650
ABIOMED, Inc.*		2,160		562,658
Alcon, Inc. (Switzerland)*		337		20,867
Align Technology, Inc.*		3,600		985,320

SEE NOTES TO FINANCIAL STATEMENTS.

A5

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Health Care Equipment & Supplies (continued)
Baxter International, Inc.		23,400	$	1,916,460
Becton, Dickinson & Co.		13,210		3,329,052
Boston Scientific Corp.*		67,967		2,921,222
Cooper Cos., Inc. (The)		2,440		822,012
Danaher Corp.		30,800		4,401,936
DENTSPLY SIRONA, Inc.		11,800		688,648
Edwards Lifesciences Corp.*		10,200		1,884,348
Hologic, Inc.*		13,600		653,072
Hoya Corp. (Japan)		2,000		153,742
IDEXX Laboratories, Inc.*		4,400		1,211,452
Intuitive Surgical, Inc.*		5,860		3,073,863
Medtronic PLC		65,790		6,407,288
ResMed, Inc.		7,100		866,413
Smith & Nephew PLC (United Kingdom)		2,449		53,035
Sonova Holding AG (Switzerland)		86		19,559
Stryker Corp.		15,200		3,124,816
Teleflex, Inc.		2,400		794,760
Varian Medical Systems, Inc.*		4,600		626,198
Zimmer Biomet Holdings, Inc.		10,100		1,189,174
				42,980,545
Health Care Providers & Services — 1.3%
Alfresa Holdings Corp. (Japan)		2,900		71,738
AmerisourceBergen Corp.		8,100		690,606
Anthem, Inc.		12,800		3,612,288
Cardinal Health, Inc.		14,150		666,465
Centene Corp.*		20,800		1,090,752
Cigna Corp.		18,700		2,946,185
CVS Health Corp.		63,583		3,464,638
DaVita, Inc.*		6,400		360,064
Fresenius Medical Care AG & Co. KGaA (Germany)		468		36,806
Fresenius SE & Co. KGaA (Germany)		778		42,228
HCA Healthcare, Inc.		13,100		1,770,727
Henry Schein, Inc.*(a)		7,700		538,230
Humana, Inc.		6,650		1,764,245
Laboratory Corp. of America Holdings*		5,000		864,500
McKesson Corp.		9,430		1,267,298
Medipal Holdings Corp. (Japan)		6,700		148,091
Quest Diagnostics, Inc.		6,800		692,308
Ramsay Health Care Ltd. (Australia)		220		11,157
Sonic Healthcare Ltd. (Australia)		698		13,256
Suzuken Co. Ltd. (Japan)		300		17,629
UnitedHealth Group, Inc.		47,260		11,531,912
Universal Health Services, Inc. (Class B Stock)		4,300		560,677
WellCare Health Plans, Inc.*		2,500		712,675
				32,874,475
Health Care Technology — 0.1%
Cerner Corp.		16,400		1,202,120
Hotels, Restaurants & Leisure — 0.9%
Aristocrat Leisure Ltd. (Australia)		876		18,882
Carnival Corp.		19,300		898,415
Chipotle Mexican Grill, Inc.*		1,200		879,456
Compass Group PLC (United Kingdom)		5,475		131,275

COMMON STOCKS (continued)	Shares		Value
Hotels, Restaurants & Leisure (continued)
Darden Restaurants, Inc.		6,450	$	785,159
Flutter Entertainment PLC (Ireland)		114		8,584
Hilton Worldwide Holdings, Inc.		14,400		1,407,456
Marriott International, Inc. (Class A Stock)		13,828		1,939,930
McDonald’s Corp.		37,600		7,808,016
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,821
MGM Resorts International		23,800		679,966
Norwegian Cruise Line Holdings Ltd.*		10,900		584,567
Oriental Land Co. Ltd. (Japan)		300		37,209
Royal Caribbean Cruises Ltd.		8,400		1,018,164
Sands China Ltd. (Macau)		3,600		17,228
Sodexo SA (France)		137		16,008
Starbucks Corp.		61,000		5,113,630
TUI AG (Germany)		591		5,808
Wynn Resorts Ltd.		4,700		582,753
Yum! Brands, Inc.		15,000		1,660,050
				23,601,377
Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)		1,516		11,023
Berkeley Group Holdings PLC (United Kingdom)		3,268		154,895
D.R. Horton, Inc.		16,300		703,019
Garmin Ltd.		6,000		478,800
Leggett & Platt, Inc.		4,900		188,013
Lennar Corp. (Class A Stock)		13,600		659,056
Mohawk Industries, Inc.*		3,340		492,550
Newell Brands, Inc.		18,514		285,486
Persimmon PLC (United Kingdom)		458		11,625
PulteGroup, Inc.		11,922		376,974
Sekisui House Ltd. (Japan)		1,000		16,517
Sony Corp. (Japan)		1,900		99,496
Taylor Wimpey PLC (United Kingdom)		5,073		10,171
Whirlpool Corp.		3,426		487,725
				3,975,350
Household Products — 0.8%
Church & Dwight Co., Inc.		11,900		869,414
Clorox Co. (The)(a)		6,500		995,215
Colgate-Palmolive Co.		42,300		3,031,641
Essity AB (Sweden) (Class B Stock)		917		28,172
Henkel AG & Co. KGaA (Germany)		143		13,136
Kimberly-Clark Corp.		16,900		2,252,432
Procter & Gamble Co. (The)		123,125		13,500,656
				20,690,666
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp.		30,700		514,532
NRG Energy, Inc.		13,300		467,096
				981,628
Industrial Conglomerates — 0.7%
3M Co.		28,300		4,905,522
CK Hutchison Holdings Ltd. (Hong Kong)		10,000		98,455
General Electric Co.		426,730		4,480,665

SEE NOTES TO FINANCIAL STATEMENTS.

A6

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Industrial Conglomerates (continued)
Honeywell International, Inc.		35,812	$	6,252,417
Roper Technologies, Inc.		5,200		1,904,552
				17,641,611
Insurance — 1.2%
Aflac, Inc.		36,800		2,017,008
Ageas (Belgium)		278		14,451
AIA Group Ltd. (Hong Kong)		18,200		196,797
Allianz SE (Germany)		1,261		304,124
Allstate Corp. (The)		16,300		1,657,547
American International Group, Inc.		42,639		2,271,806
Aon PLC		11,800		2,277,164
Arthur J Gallagher & Co.		8,500		744,515
Assurant, Inc.		3,000		319,140
Aviva PLC (United Kingdom)		5,779		30,587
Baloise Holding AG (Switzerland)		74		13,099
Chubb Ltd.		22,486		3,311,963
Cincinnati Financial Corp.		7,737		802,095
Everest Re Group Ltd.		2,200		543,796
Hartford Financial Services Group, Inc. (The)		17,700		986,244
Insurance Australia Group Ltd. (Australia)		3,582		20,762
Japan Post Holdings Co. Ltd. (Japan)		6,700		75,894
Legal & General Group PLC (United Kingdom)		50,315		172,391
Lincoln National Corp.		10,018		645,660
Loews Corp.		13,675		747,612
Marsh & McLennan Cos., Inc.		24,800		2,473,800
Medibank Private Ltd. (Australia)		37,931		92,879
MetLife, Inc.		47,800		2,374,226
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		229		57,491
NN Group NV (Netherlands)		3,330		133,996
Principal Financial Group, Inc.(a)		13,100		758,752
Progressive Corp. (The)		28,600		2,285,998
QBE Insurance Group Ltd. (Australia)		2,045		16,967
Swiss Life Holding AG (Switzerland)		52		25,799
Tokio Marine Holdings, Inc. (Japan)		900		45,150
Torchmark Corp.		5,025		449,537
Travelers Cos., Inc. (The)		12,935		1,934,041
Unum Group		9,910		332,481
Willis Towers Watson PLC		6,340		1,214,364
Zurich Insurance Group AG (Switzerland)		492		171,014
				29,519,150
Interactive Media & Services — 2.3%
Alphabet, Inc. (Class A Stock)*		14,740		15,960,472
Alphabet, Inc. (Class C Stock)*		15,163		16,389,838
Auto Trader Group PLC (United Kingdom), 144A		18,153		126,351
Facebook, Inc. (Class A Stock)*		117,820		22,739,260
TripAdvisor, Inc.*(a)		5,150		238,394
Twitter, Inc.*		36,800		1,284,320
				56,738,635

COMMON STOCKS (continued)	Shares		Value
Internet & Direct Marketing Retail — 1.8%
Amazon.com, Inc.*		20,370	$	38,573,243
Booking Holdings, Inc.*		2,210		4,143,109
eBay, Inc.		42,100		1,662,950
Expedia Group, Inc.		5,950		791,529
Rakuten, Inc. (Japan)		6,300		75,157
				45,245,988
IT Services — 2.6%
Accenture PLC (Class A Stock)		31,300		5,783,301
Adyen NV (Netherlands), 144A*		83		64,119
Akamai Technologies, Inc.*		8,000		641,120
Alliance Data Systems Corp.		2,240		313,891
Automatic Data Processing, Inc.		21,400		3,538,062
Broadridge Financial Solutions, Inc.		6,000		766,080
Capgemini SE (France)		134		16,651
Cognizant Technology Solutions Corp. (Class A Stock)		28,200		1,787,598
DXC Technology Co.		13,128		724,009
Fidelity National Information Services, Inc.		15,900		1,950,612
Fiserv, Inc.*(a)		19,200		1,750,272
FleetCor Technologies, Inc.*		4,200		1,179,570
Gartner, Inc.*		4,400		708,136
Global Payments, Inc.		7,900		1,265,027
International Business Machines Corp.		43,700		6,026,230
Jack Henry & Associates, Inc.		3,400		455,328
Mastercard, Inc. (Class A Stock)		44,300		11,718,679
Obic Co. Ltd. (Japan)		700		79,490
Paychex, Inc.(a)		15,500		1,275,495
PayPal Holdings, Inc.*		57,500		6,581,450
Total System Services, Inc.		7,996		1,025,647
VeriSign, Inc.*		5,200		1,087,632
Visa, Inc. (Class A Stock)(a)		86,200		14,960,010
Western Union Co. (The)(a)		18,910		376,120
Wirecard AG (Germany)		918		155,515
				64,230,044
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		300		14,581
Hasbro, Inc.		5,700		602,376
				616,957
Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		16,014		1,195,765
Illumina, Inc.*		7,400		2,724,310
IQVIA Holdings, Inc.*		7,800		1,255,020
Mettler-Toledo International, Inc.*		1,300		1,092,000
PerkinElmer, Inc.		5,900		568,406
QIAGEN NV*		310		12,585
Thermo Fisher Scientific, Inc.		19,780		5,808,990
Waters Corp.*		3,500		753,340
				13,410,416
Machinery — 0.8%
Alfa Laval AB (Sweden)		446		9,733
Alstom SA (France)		1,417		65,740
Amada Holdings Co. Ltd. (Japan)		1,400		15,803
Atlas Copco AB (Sweden) (Class A Stock)		1,031		32,944

SEE NOTES TO FINANCIAL STATEMENTS.

A7

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
Atlas Copco AB (Sweden) (Class B Stock)		585	$	16,794
Caterpillar, Inc.		28,200		3,843,378
CNH Industrial NV (United Kingdom)		1,531		15,703
Cummins, Inc.		7,100		1,216,514
Daifuku Co. Ltd. (Japan)		200		11,287
Deere & Co.		15,680		2,598,333
Dover Corp.		7,500		751,500
Flowserve Corp.		6,100		321,409
Fortive Corp.		14,450		1,177,964
Illinois Tool Works, Inc.(a)		14,800		2,231,988
Ingersoll-Rand PLC		11,900		1,507,373
Mitsubishi Heavy Industries Ltd. (Japan)		1,800		78,518
PACCAR, Inc.		16,843		1,206,969
Parker-Hannifin Corp.		6,365		1,082,114
Pentair PLC		7,677		285,584
Sandvik AB (Sweden)		10,227		187,646
Schindler Holding AG (Switzerland)		71		15,520
SKF AB (Sweden) (Class B Stock)		581		10,683
Snap-on, Inc.(a)		2,800		463,792
Stanley Black & Decker, Inc.		7,697		1,113,063
Volvo AB (Sweden) (Class B Stock)		11,123		176,508
Wabtec Corp.(a)		7,151		513,156
Xylem, Inc.		9,000		752,760
Yangzijiang Shipbuilding Holdings Ltd. (China)		143,700		162,723
				19,865,499
Marine — 0.0%
AP Moller — Maersk A/S (Denmark) (Class A Stock)		5		5,808
Media — 0.7%
CBS Corp. (Class B Stock)		17,034		849,997
Charter Communications, Inc. (Class A Stock)*(a)		8,580		3,390,644
Comcast Corp. (Class A Stock)		222,380		9,402,226
Discovery, Inc. (Class A Stock)*(a)		7,800		239,460
Discovery, Inc. (Class C Stock)*		16,600		472,270
DISH Network Corp. (Class A Stock)*		11,400		437,874
Fox Corp. (Class A Stock)		17,700		648,528
Fox Corp. (Class B Stock)		8,233		300,751
Hakuhodo DY Holdings, Inc. (Japan)		900		15,201
I-CABLE Communications Ltd. (Hong Kong)*		3,831		49
Interpublic Group of Cos., Inc. (The)		18,831		425,392
News Corp. (Class A Stock)		16,175		218,201
News Corp. (Class B Stock)		4,800		67,008
Omnicom Group, Inc.(a)		11,000		901,450
Pearson PLC (United Kingdom)		1,202		12,505
Publicis Groupe SA (France)		319		16,853
RTL Group SA (Luxembourg)		138		7,063
				17,405,472
Metals & Mining — 0.2%
Anglo American PLC (South Africa)		7,358		210,128
ArcelorMittal (Luxembourg)		7,430		133,351
BHP Group Ltd. (Australia)		4,524		130,784

COMMON STOCKS (continued)	Shares		Value
Metals & Mining (continued)
BHP Group PLC (Australia)		2,908	$	74,419
BlueScope Steel Ltd. (Australia)		821		6,955
Boliden AB (Sweden)		420		10,760
Fortescue Metals Group Ltd. (Australia)		11,390		72,230
Freeport-McMoRan, Inc.		69,788		810,239
JFE Holdings, Inc. (Japan)		700		10,325
Newcrest Mining Ltd. (Australia)		1,187		26,707
Newmont Goldcorp Corp.		41,600		1,600,352
Nippon Steel Corp. (Japan)		1,100		18,952
Nucor Corp.		15,000		826,500
Rio Tinto Ltd. (Australia)		568		41,446
Rio Tinto PLC (Australia)		2,256		139,766
South32 Ltd. (Australia)		7,203		16,069
				4,128,983
Multiline Retail — 0.2%
Dollar General Corp.		12,900		1,743,564
Dollar Tree, Inc.*		11,665		1,252,704
Harvey Norman Holdings Ltd. (Australia)		8,697		24,894
Kohl’s Corp.(a)		8,300		394,665
Macy’s, Inc.		14,674		314,904
Next PLC (United Kingdom)		214		15,019
Nordstrom, Inc.(a)		4,800		152,928
Target Corp.		25,600		2,217,216
Wesfarmers Ltd. (Australia)		1,540		39,098
				6,154,992
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		10,885		152,881
Ameren Corp.		12,200		916,342
CenterPoint Energy, Inc.		24,000		687,120
CMS Energy Corp.		13,900		804,949
Consolidated Edison, Inc.		15,800		1,385,344
Dominion Energy, Inc.		39,215		3,032,104
DTE Energy Co.		9,100		1,163,708
E.ON SE (Germany)		6,644		72,103
Engie SA (France)		2,790		42,283
National Grid PLC (United Kingdom)		5,356		56,836
NiSource, Inc.		17,300		498,240
Public Service Enterprise Group, Inc.		24,500		1,441,090
Sempra Energy		13,419		1,844,307
WEC Energy Group, Inc.		15,513		1,293,319
				13,390,626
Oil, Gas & Consumable Fuels — 2.2%
Anadarko Petroleum Corp.		24,554		1,732,530
Apache Corp.(a)		17,614		510,278
BP PLC (United Kingdom)		12,525		87,397
Cabot Oil & Gas Corp.		19,400		445,424
Chevron Corp.		93,222		11,600,546
Cimarex Energy Co.		4,600		272,918
Concho Resources, Inc.		9,600		990,528
ConocoPhillips		55,577		3,390,197
Devon Energy Corp.		20,300		578,956
Diamondback Energy, Inc.		7,000		762,790
Eni SpA (Italy)		4,231		70,433
EOG Resources, Inc.		28,500		2,655,060
Exxon Mobil Corp.		207,699		15,915,974

SEE NOTES TO FINANCIAL STATEMENTS.

A8

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Hess Corp.		12,700	$	807,339
HollyFrontier Corp.		8,200		379,496
Kinder Morgan, Inc.		95,398		1,991,910
Marathon Oil Corp.		37,182		528,356
Marathon Petroleum Corp.		33,019		1,845,102
Neste OYJ (Finland)		3,906		132,913
Noble Energy, Inc.		21,900		490,560
Occidental Petroleum Corp.		36,800		1,850,304
OMV AG (Austria)		227		11,079
ONEOK, Inc.		19,900		1,369,319
Phillips 66		20,638		1,930,479
Pioneer Natural Resources Co.		8,550		1,315,503
Repsol SA (Spain)		6,886		108,093
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		6,913		225,887
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		5,707		186,996
Santos Ltd. (Australia)		28,789		143,499
Snam SpA (Italy)		22,896		113,770
TOTAL SA (France)		1,298		72,718
Valero Energy Corp.		20,500		1,755,005
Williams Cos., Inc. (The)		58,400		1,637,536
Woodside Petroleum Ltd. (Australia)		1,430		36,562
				55,945,457
Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		23,900		138,462
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		14,700		196,980
Estee Lauder Cos., Inc. (The) (Class A Stock)		10,700		1,959,277
L’Oreal SA (France)		387		110,199
Unilever NV (United Kingdom), CVA		4,089		248,944
Unilever PLC (United Kingdom)		1,882		116,945
				2,632,345
Pharmaceuticals — 2.3%
Allergan PLC		15,375		2,574,236
Astellas Pharma, Inc. (Japan)		5,900		84,178
AstraZeneca PLC (United Kingdom)		255		20,836
Bayer AG (Germany)		870		60,164
Bristol-Myers Squibb Co.		80,070		3,631,174
Chugai Pharmaceutical Co. Ltd. (Japan)		200		13,080
Eisai Co. Ltd. (Japan)		400		22,655
Eli Lilly & Co.		42,400		4,697,496
GlaxoSmithKline PLC (United Kingdom)		3,085		61,762
H. Lundbeck A/S (Denmark)		1,316		51,951
Johnson & Johnson		130,978		18,242,616
Merck & Co., Inc.		126,533		10,609,792
Merck KGaA (Germany)		204		21,328
Mylan NV*		23,300		443,632
Nektar Therapeutics*		7,200		256,176
Novartis AG (Switzerland)		4,893		446,598
Novo Nordisk A/S (Denmark) (Class B Stock)		2,741		139,839
Ono Pharmaceutical Co. Ltd. (Japan)		600		10,770

COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
Perrigo Co. PLC		5,700	$	271,434
Pfizer, Inc.		272,170		11,790,404
Recordati SpA (Italy)		354		14,758
Roche Holding AG (Switzerland)		1,628		458,389
Sanofi (France)		3,289		284,248
Shionogi & Co. Ltd. (Japan)		2,700		155,797
UCB SA (Belgium)		171		14,180
Zoetis, Inc.		23,500		2,667,015
				57,044,508
Professional Services — 0.2%
Equifax, Inc.(a)		5,900		797,916
IHS Markit Ltd.*		17,800		1,134,216
Intertek Group PLC (United Kingdom)		250		17,471
Nielsen Holdings PLC		17,000		384,200
Recruit Holdings Co. Ltd. (Japan)		3,500		117,211
RELX PLC (United Kingdom)		2,940		71,393
Robert Half International, Inc.		5,700		324,957
Verisk Analytics, Inc.		8,200		1,200,972
Wolters Kluwer NV (Netherlands)		2,115		153,997
				4,202,333
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		15,100		774,630
CK Asset Holdings Ltd. (Hong Kong)		3,500		27,357
Daiwa House Industry Co. Ltd. (Japan)		900		26,272
Henderson Land Development Co. Ltd. (Hong Kong)		2,200		12,129
Hongkong Land Holdings Ltd. (Hong Kong)		21,100		135,953
Hysan Development Co. Ltd. (Hong Kong)		2,000		10,342
Mitsubishi Estate Co. Ltd. (Japan)		1,800		33,571
Sumitomo Realty & Development Co. Ltd. (Japan)		500		17,878
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		12,500		153,992
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		2,000		14,096
				1,206,220
Road & Rail — 0.5%
Aurizon Holdings Ltd. (Australia)		3,073		11,659
Central Japan Railway Co. (Japan)		200		40,092
CSX Corp.(a)		38,000		2,940,060
East Japan Railway Co. (Japan)		300		28,112
J.B. Hunt Transport Services, Inc.		3,800		347,358
Kansas City Southern		5,200		633,464
Norfolk Southern Corp.		13,100		2,611,223
Union Pacific Corp.		35,500		6,003,405
West Japan Railway Co. (Japan)		300		24,290
				12,639,663
Semiconductors & Semiconductor Equipment — 1.8%
Advanced Micro Devices, Inc.*(a)		41,200		1,251,244
Analog Devices, Inc.		18,058		2,038,206
Applied Materials, Inc.		46,500		2,088,315
Broadcom, Inc.		19,480		5,607,513
Intel Corp.		220,400		10,550,548

SEE NOTES TO FINANCIAL STATEMENTS.

A9

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
KLA-Tencor Corp.		8,150	$	963,330
Lam Research Corp.		7,550		1,418,192
Maxim Integrated Products, Inc.		13,400		801,588
Microchip Technology, Inc.(a)		11,800		1,023,060
Micron Technology, Inc.*		54,900		2,118,591
NVIDIA Corp.		29,750		4,885,842
NXP Semiconductors NV (Netherlands)		400		39,044
Qorvo, Inc.*		6,007		400,126
QUALCOMM, Inc.		59,400		4,518,558
Skyworks Solutions, Inc.		9,000		695,430
STMicroelectronics NV (Switzerland)		929		16,495
SUMCO Corp. (Japan)		400		4,783
Texas Instruments, Inc.		46,000		5,278,960
Tokyo Electron Ltd. (Japan)		400		56,275
Xilinx, Inc.(a)		12,800		1,509,376
				45,265,476
Software — 3.3%
Adobe, Inc.*		24,000		7,071,600
ANSYS, Inc.*		4,100		839,762
Autodesk, Inc.*		10,800		1,759,320
Cadence Design Systems, Inc.*		13,600		963,016
Check Point Software Technologies Ltd. (Israel)*		200		23,122
Citrix Systems, Inc.		6,500		637,910
CyberArk Software Ltd. (Israel)*		1,000		127,840
Dassault Systemes SE (France)		973		155,380
Fortinet, Inc.*		7,200		553,176
Intuit, Inc.		12,700		3,318,891
Micro Focus International PLC (United Kingdom)		1,096		28,751
Microsoft Corp.		377,500		50,569,900
Nice Ltd. (Israel)*		94		12,803
Oracle Corp.		123,700		7,047,189
Red Hat, Inc.*		8,700		1,633,512
salesforce.com, Inc.*		37,700		5,720,221
SAP SE (Germany)		337		46,299
Symantec Corp.		30,578		665,377
Synopsys, Inc.*		7,400		952,306
Temenos AG (Switzerland)*		101		18,087
				82,144,462
Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		300		19,558
Advance Auto Parts, Inc.		3,500		539,490
AutoZone, Inc.*		1,300		1,429,311
Best Buy Co., Inc.		11,425		796,665
CarMax, Inc.*(a)		8,200		712,006
Fast Retailing Co. Ltd. (Japan)		200		121,229
Foot Locker, Inc.		5,500		230,560
Gap, Inc. (The)		9,500		170,715
Hennes & Mauritz AB (Sweden) (Class B Stock)		1,359		24,165
Home Depot, Inc. (The)		55,050		11,448,748
L Brands, Inc.(a)		10,906		284,647
Lowe’s Cos., Inc.		39,300		3,965,763
O’Reilly Automotive, Inc.*		3,900		1,440,348

COMMON STOCKS (continued)	Shares		Value
Specialty Retail (continued)
Ross Stores, Inc.		18,200	$	1,803,984
Tiffany & Co.(a)		5,220		488,801
TJX Cos., Inc. (The)		60,700		3,209,816
Tractor Supply Co.(a)		6,000		652,800
Ulta Beauty, Inc.*		2,900		1,005,981
				28,344,587
Technology Hardware, Storage & Peripherals — 1.9%
Apple, Inc.		218,590		43,263,333
FUJIFILM Holdings Corp. (Japan)		3,400		172,918
Hewlett Packard Enterprise Co.		67,448		1,008,348
HP, Inc.		75,148		1,562,327
Konica Minolta, Inc. (Japan)		3,200		31,265
NEC Corp. (Japan)		400		15,790
NetApp, Inc.(a)		12,100		746,570
Ricoh Co. Ltd. (Japan)		3,300		33,030
Seagate Technology PLC		12,100		570,152
Western Digital Corp.(a)		14,703		699,128
Xerox Corp.		9,290		328,959
				48,431,820
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		619		191,258
Capri Holdings Ltd.*		7,600		263,568
Hanesbrands, Inc.(a)		15,400		265,188
Hermes International (France)		43		31,035
Kering SA (France)		273		161,110
LVMH Moet Hennessy Louis Vuitton SE (France)		699		297,622
Moncler SpA (Italy)		242		10,383
NIKE, Inc. (Class B Stock)		61,700		5,179,715
PVH Corp.		3,700		350,168
Ralph Lauren Corp.		2,500		283,975
Swatch Group AG (The) (Switzerland)		77		4,177
Tapestry, Inc.		13,400		425,182
Under Armour, Inc. (Class A Stock)*(a)		7,500		190,125
Under Armour, Inc. (Class C Stock)*(a)		7,374		163,703
VF Corp.		15,800		1,380,130
				9,197,339
Tobacco — 0.4%
Altria Group, Inc.		91,900		4,351,465
British American Tobacco PLC (United Kingdom)		5,436		190,058
Imperial Brands PLC (United Kingdom)		4,429		103,962
Japan Tobacco, Inc. (Japan)		1,500		33,104
Philip Morris International, Inc.		76,200		5,983,986
				10,662,575
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,613		46,268
Fastenal Co.		27,400		892,966
ITOCHU Corp. (Japan)		2,600		49,762
Marubeni Corp. (Japan)		2,400		15,923
Mitsubishi Corp. (Japan)		2,100		55,448
Mitsui & Co. Ltd. (Japan)		10,300		167,994
Sumitomo Corp. (Japan)		10,300		156,385
United Rentals, Inc.*		4,100		543,783

SEE NOTES TO FINANCIAL STATEMENTS.

A10

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Trading Companies & Distributors (continued)
W.W. Grainger, Inc.		2,300	$	616,929
				2,545,458
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A		681		135,032
Fraport AG Frankfurt Airport Services Worldwide (Germany)		869		74,827
Kamigumi Co. Ltd. (Japan)		5,700		135,076
				344,935
Water Utilities — 0.0%
American Water Works Co., Inc.(a)		9,100		1,055,600
United Utilities Group PLC (United Kingdom)		1,042		10,355
				1,065,955
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		3,600		91,535
NTT DOCOMO, Inc. (Japan)		2,000		46,648
SoftBank Group Corp. (Japan)		1,200		57,592
Vodafone Group PLC (United Kingdom)		3,646		5,980
				201,755
TOTAL COMMON STOCKS (cost $371,809,484)				1,224,753,177
EXCHANGE-TRADED FUNDS — 0.3%
iShares Core S&P 500 ETF		22,300		6,572,925
iShares MSCI EAFE ETF		3,259		214,214
TOTAL EXCHANGE-TRADED FUNDS (cost $5,859,562)				6,787,139
PREFERRED STOCKS — 0.1%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		75		4,661
Porsche Automobil Holding SE (Germany) (PRFC)		227		14,760
				19,421
Banks — 0.0%
Citigroup Capital XIII, 8.953% (Capital Security, fixed to floating preferred)(a)		20,000		551,800
Capital Markets — 0.1%
State Street Corp., 5.350%, (Capital Security, fixed to floating preferred)		30,000		793,500
Health Care Equipment & Supplies — 0.0%
Sartorius AG (Germany) (PRFC)		55		11,289
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		245		23,941
TOTAL PREFERRED STOCKS (cost $1,310,609)				1,399,951

RIGHTS* — 0.0%	Units		Value
Construction & Engineering
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19 (cost $4,573)		2,769	$	4,345

Interest Rate	Maturity Date		Principal Amount (000)#
ASSET-BACKED SECURITIES — 7.9%
Automobiles — 2.3%
AmeriCredit Automobile Receivables Trust,
Series2018-01, Class C
3.500%		01/18/24		1,200	1,232,156
Series2019-01, Class B
3.130%		02/18/25		600	611,162
Series2019-01, Class C
3.360%		02/18/25		700	717,143
Series2019-02, Class C
2.740%		04/18/25		1,400	1,405,889
Avis Budget Rental Car Funding AESOP LLC,
Series2015-01A, Class A, 144A
2.500%		07/20/21		1,700	1,701,531
Series2015-02A, Class A, 144A
2.630%		12/20/21		3,200	3,208,122
Series2018-01A, Class A, 144A
3.700%		09/20/24		1,300	1,355,096
Series2018-02A, Class A, 144A
4.000%		03/20/25		1,100	1,162,590
Series2019-02A, Class A, 144A
3.350%		09/22/25		2,000	2,061,294
Drive Auto Receivables Trust,
Series2018-01, Class B
2.880%		02/15/22		386	386,050
Series2019-03, Class B
2.650%		02/15/24		900	903,211
Ford Credit Auto Owner Trust,
Series2017-01, Class A, 144A
2.620%		08/15/28		800	809,506
Series2017-02, Class A, 144A
2.360%		03/15/29		4,200	4,209,341
Series2018-01, Class A, 144A
3.190%		07/15/31		700	721,497
Series2018-02, Class A, 144A
3.470%		01/15/30		2,200	2,304,356
Series2019-01, Class A, 144A
3.520%		07/15/30		3,900	4,078,486
Ford Credit Floorplan Master Owner Trust,
Series2017-03, Class A
2.480%		09/15/24		3,300	3,336,908
Series2018-02, Class A
3.170%		03/15/25		9,700	10,042,966
Ford Credit Floorplan Master Owner Trust A,
Series2019-02, Class A
3.060%		04/15/26		1,000	1,030,721
GM Financial Consumer Automobile Receivables Trust,
Series2018-04, Class C
3.620%		06/17/24		300	309,210
OneMain Direct Auto Receivables Trust,
Series2017-01A, Class A, 144A
2.160%		10/15/20		69	69,038

SEE NOTES TO FINANCIAL STATEMENTS.

A11

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Series2017-02A, Class B, 144A
2.550%		11/14/23		2,300	$	2,296,600
Series2017-02A, Class C, 144A
2.820%		07/15/24		600		600,857
Series2018-01A, Class A, 144A
3.430%		12/16/24		3,800		3,853,482
Series2019-01A, Class A, 144A
3.630%		09/14/27		3,600		3,723,427
Santander Drive Auto Receivables Trust,
Series2018-02, Class C
3.350%		07/17/23		30		30,284
Series2018-04, Class C
3.560%		07/15/24		1,500		1,522,772
Toyota Auto Loan Extended Note Trust,
Series2019-01A, Class A, 144A
2.560%		11/25/31		4,100		4,148,047
						57,831,742
Collateralized Loan Obligations — 3.1%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.877%(c)		07/15/29		500		500,013
Battalion CLO Ltd. (Cayman Islands),
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.941%(c)		07/18/30		1,000		1,001,431
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.847%(c)		07/15/29		1,000		1,000,588
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
3.408%(c)		01/17/28		1,000		992,999
Canyon Capital CLO Ltd. (Cayman Islands),
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.847%(c)		04/15/29		2,500		2,492,951
CIFC Funding Ltd. (Cayman Islands),
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%
3.788%(c)		10/17/31		7,000		6,976,089
Galaxy CLO Ltd. (Cayman Islands),
Series2018-29A, Class A, 144A, 3 Month LIBOR + 0.790%
3.308%(c)		11/15/26		975		973,028
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.607%(c)		04/15/31		1,000		988,241
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.565%(c)		02/05/31		250		247,793
ICG US CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)
3.732%(c)		10/19/28		7,000		6,992,743
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/23/29		1,250		1,248,907
Jackson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.427%(c)		04/15/27		1,250		1,245,119

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Jamestown CLO Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)
3.893%(c)		04/20/32		4,750	$	4,753,748
Jefferson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 3 Month LIBOR + 1.175%
3.756%(c)		10/20/31		4,250		4,218,368
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.712%(c)		04/21/31		3,500		3,467,289
Mountain View CLO Ltd. (Cayman Islands),
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.717%(c)		07/15/31		2,500		2,476,261
Ocean Trails CLO Ltd. (Cayman Islands),
Series2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400%
3.942%(c)		04/17/30		1,750		1,751,886
OCP CLO Ltd. (Cayman Islands),
Series2019-17A, Class A1, 144A
—%(p)		07/20/32		7,000		7,000,000
OZLM Ltd. (Cayman Islands),
Series2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080%
3.668%(c)		04/17/31		3,000		2,966,214
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.833%(c)		10/30/30		750		749,897
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.748%(c)		11/14/29		500		498,829
Sound Point CLO Ltd. (Cayman Islands),
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.472%(c)		07/20/27		1,000		1,000,008
Telos CLO Ltd. (Cayman Islands),
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.888%(c)		07/17/26		2,500		2,500,419
TIAA CLO Ltd. (Cayman Islands),
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.792%(c)		07/20/31		1,750		1,739,825
TICP CLO Ltd. (Cayman Islands),
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.827%(c)		07/15/29		1,000		999,582
Trimaran Cavu Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%
3.927%(c)		07/20/32		7,500		7,503,865
Trinitas CLO Ltd. (Cayman Islands),
Series2017-06A, Class A, 144A, 3 Month LIBOR + 1.320%
3.900%(c)		07/25/29		1,000		1,001,960
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.790%(c)		01/25/31		1,750		1,736,563
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.477%(c)		07/15/27		1,000		1,000,021
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.912%(c)		04/20/29		1,500		1,499,384
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.738%(c)		01/17/31		2,000		1,989,067

SEE NOTES TO FINANCIAL STATEMENTS.

A12

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.792%(c)		10/20/31		3,750	$	3,727,180
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.967%(c)		07/15/29		1,250		1,255,034
						78,495,302
Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
3.201%(c)		09/14/32		2,600		2,605,371
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,100		1,128,099
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		800		822,644
						4,556,114
Credit Cards — 0.2%
Citibank Credit Card Issuance Trust,
Series2018-A07, Class A7
3.960%		10/13/30		4,300		4,774,757
Equipment — 0.3%
MMAF Equipment Finance LLC,
Series2017-B, Class A4, 144A
2.410%		11/15/24		1,300		1,309,236
Series2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,138,848
Series2018-A, Class A4, 144A
3.390%		01/10/25		1,200		1,239,289
Series2018-A, Class A5, 144A
3.610%		03/10/42		500		523,852
Series2019-A, Class A5, 144A
3.080%		11/12/41		1,600		1,646,110
						6,857,335
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
4.054%(c)		03/25/33		98		98,975
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		05/25/33		59		59,662
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
3.304%(c)		07/25/32		65		64,932
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.679%(c)		09/25/32		1,627		1,630,194
						1,853,763
Other — 0.2%
Park Avenue Funding Trust,
Series2019-02, Class PT, 144A
—%(p)		11/27/20		2,070		2,070,000
Sierra Timeshare Receivables Funding LLC,
Series2018-02A, Class A, 144A
3.500%		06/20/35		1,262		1,297,776

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Other (continued)
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%
5.204%(c)		06/25/24		2,240	$	2,240,000
						5,607,776
Residential Mortgage-Backed Securities — 0.7%
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.649%		07/25/35		199		198,743
CSMC Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.590%(c)		12/26/46		2,375		2,386,367
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,278		1,294,677
CWABS, Inc., Asset-Backed Certificates,
Series2004-01, Class M1, 1 Month LIBOR + 0.750%
3.154%(c)		03/25/34		770		773,925
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.498%		07/25/34		246		254,337
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		193		194,890
Series 2019-GS03, Class A1, 144A
3.750%		04/25/59		196		198,308
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		1,094		1,101,987
Series 2019-SL01, Class A, 144A
4.000%		12/28/54		183		184,192
Long Beach Mortgage Loan Trust,
Series2004-02, Class M1, 1 Month LIBOR + 0.795%
3.199%(c)		06/25/34		176		174,952
Mill City Mortgage Loan Trust,
Series2017-03, Class A1, 144A
2.750%(cc)		01/25/61		1,455		1,460,274
TFS (Spain),
Series2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		03/16/23	EUR	2,001		2,270,758
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57		896		900,580
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
3.004%(c)		02/25/57		2,583		2,575,841
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57		2,193		2,209,878
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58		210		213,374
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58		94		97,697
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58		728		742,932
						17,233,712
Student Loans — 0.8%
Commonbond Student Loan Trust,
Series2017-BGS, Class A1, 144A
2.680%		09/25/42		1,959		1,959,747

SEE NOTES TO FINANCIAL STATEMENTS.

A13

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans (continued)
Series2018-AGS, Class A1, 144A
3.210%		02/25/44		1,329	$	1,355,046
Series2018-CGS, Class A1, 144A
3.870%		02/25/46		536		556,315
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.204%(c)		02/25/46		652		649,108
Laurel Road Prime Student Loan Trust,
Series2017-C, Class A2B, 144A
2.810%		11/25/42		1,451		1,467,928
Series2018-B, Class A2FX, 144A
3.540%		05/26/43		2,200		2,253,752
Navient Private Education Refi Loan Trust,
Series2018-A, Class A2, 144A
3.190%		02/18/42		3,300		3,353,045
Series2018-CA, Class A2, 144A
3.520%		06/16/42		1,200		1,232,448
Series2019-CA, Class A2, 144A
3.130%		02/15/68		1,400		1,429,800
SoFi Professional Loan Program LLC,
Series2019-A, Class A2FX, 144A
3.690%		06/15/48		2,600		2,728,944
Series2019-B, Class A2FX, 144A
3.090%		08/17/48		1,400		1,422,750
SoFi Professional Loan Program Trust,
Series2018-B, Class A1FX, 144A
2.640%		08/25/47		1,246		1,249,122
Series2018-B, Class A2FX, 144A
3.340%		08/25/47		2,200		2,258,293
						21,916,298
TOTAL ASSET-BACKED SECURITIES (cost $196,567,823)						199,126,799
BANK LOANS — 0.0%
Software
First Data Corp.,
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%
4.404%(c)		07/08/22		736		735,095
2024A New Dollar Term Loan, 1 Month LIBOR + 2.000%
4.404%(c)		04/26/24		500		499,444
TOTAL BANK LOANS (cost $1,233,569)						1,234,539
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.0%
Assurant Commercial Mortgage Trust,
Series2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		3,106,573
BBCMS Mortgage Trust,
Series2018-C02, Class A4
4.047%		12/15/51		3,850		4,236,784
Benchmark Mortgage Trust,
Series2018-B03, Class A4
3.761%		04/10/51		3,600		3,889,424

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
CFCRE Commercial Mortgage Trust,
Series2016-C04, Class A3
3.014%		05/10/58		2,500	$	2,546,643
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		888		906,008
Series 2014-GC21, Class A4
3.575%		05/10/47		1,058		1,108,456
Series2016-C01, Class A3
2.944%		05/10/49		2,700		2,760,705
Series2017-P07, Class A3
3.442%		04/14/50		4,000		4,212,582
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		590		589,578
Series 2014-CR18, Class A4
3.550%		07/15/47		2,100		2,195,321
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,286,394
CSAIL Commercial Mortgage Trust,
Series2015-C04, Class A3
3.544%		11/15/48		2,500		2,628,496
Series2017-C08, Class A3
3.127%		06/15/50		3,800		3,888,621
FannieMae-Aces,
Series2015-M08, Class AB2
2.829%(cc)		01/25/25		2,158		2,225,039
Series2015-M17, Class A2
3.035%(cc)		11/25/25		3,000		3,107,568
Series2016-M07, Class AB2
2.385%		09/25/26		1,800		1,793,158
Series2017-M01, Class A2
2.496%(cc)		10/25/26		1,600		1,597,763
Series2017-M04, Class A2
2.672%(cc)		12/25/26		8,600		8,670,755
Series2017-M08, Class A2
3.061%(cc)		05/25/27		5,900		6,139,212
Series2018-M04, Class A2
3.144%(cc)		03/25/28		3,075		3,203,454
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.535%(cc)		05/25/22		19,074		649,895
Series K021, Class X1, IO
1.568%(cc)		06/25/22		5,271		192,974
Series K055, Class X1, IO
1.499%(cc)		03/25/26		4,599		356,221
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,451,501
Series K068, Class AM
3.315%		08/25/27		4,100		4,345,526
Series K069, Class A2
3.187%(cc)		09/25/27		3,500		3,693,145
Series K069, Class AM
3.248%(cc)		09/25/27		750		790,249
Series K070, Class A2
3.303%(cc)		11/25/27		5,200		5,532,925

SEE NOTES TO FINANCIAL STATEMENTS.

A14

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K070, Class AM
3.364%		12/25/27		1,100	$	1,171,034
Series K072, Class A2
3.444%		12/25/27		1,400		1,504,142
Series K075, Class AM
3.650%(cc)		02/25/28		2,550		2,760,833
Series K076, Class A2
3.900%		04/25/28		6,200		6,885,704
Series K076, Class AM
3.900%		04/25/28		1,825		2,014,826
Series K077, Class A2
3.850%(cc)		05/25/28		3,470		3,834,128
Series K077, Class AM
3.850%(cc)		05/25/28		690		758,919
Series K080, Class AM
3.986%(cc)		07/25/28		5,150		5,713,136
Series K081, Class AM
3.900%(cc)		08/25/28		2,600		2,869,943
Series K086, Class AM
3.919%(cc)		12/25/28		800		888,430
Series K157, Class A2
3.990%(cc)		05/25/33		3,100		3,482,981
Series K711, Class X1, IO
1.686%(cc)		07/25/19		1,512		189
Series W5FX, Class AFX
3.336%(cc)		04/25/28		1,630		1,704,161
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		3,101,233
Series 2015-GC34, Class A3
3.244%		10/10/48		4,800		4,993,977
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		4,210,766
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		4,151,411
JPMBB Commercial Mortgage Securities Trust,
Series2014-C25, Class A4A1
3.408%		11/15/47		1,100		1,146,310
Series2015-C27, Class A3A1
2.920%		02/15/48		5,000		5,090,805
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,735,852
JPMDB Commercial Mortgage Securities Trust,
Series2016-C02, Class A3A
2.881%		06/15/49		2,500		2,548,822
JPMorgan Chase Commercial Mortgage Securities Trust,
Series2012-CBX, Class A3
3.139%		06/15/45		37		36,870
Series 2012-LC09, Class A4
2.611%		12/15/47		153		153,007
Series 2013-LC11, Class A4
2.694%		04/15/46		498		506,059
LB-UBS Commercial Mortgage Trust,
Series2007-C06, Class AM
6.114%(cc)		07/15/40		12		12,275

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2013-C08, Class A3
2.863%		12/15/48		1,081	$	1,101,461
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48		5,000		5,278,617
Series 2016-UB11, Class A3
2.531%		08/15/49		6,300		6,266,441
Series2019-H06, Class A3
3.158%		06/15/52		5,000		5,136,974
UBS Commercial Mortgage Trust,
Series2017-C02, Class ASB
3.264%		08/15/50		2,500		2,596,573
Series2017-C05, Class A4
3.212%		11/15/50		5,000		5,172,082
Series2018-C09, Class A3
3.854%		03/15/51		1,800		1,946,324
Series2018-C14, Class A3
4.180%		12/15/51		2,900		3,216,288
UBS-Barclays Commercial Mortgage Trust,
Series2012-C04, Class A4
2.792%		12/10/45		1,400		1,420,566
Series2013-C05, Class A3
2.920%		03/10/46		2,676		2,730,531
Series2013-C06, Class A3
2.971%		04/10/46		1,498		1,531,934
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49		4,500		4,503,834
Series2017-C38, Class A4
3.190%		07/15/50		3,300		3,411,674
Series2019-C49, Class A3
3.749%		03/15/52		7,300		7,745,081
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $194,131,411)						201,439,163
CORPORATE BONDS — 11.5%
Aerospace & Defense — 0.2%
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25		706		761,604
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23		765		837,683
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		1,790		1,818,984
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		910		999,727
						4,417,998
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		2,685		2,702,633

SEE NOTES TO FINANCIAL STATEMENTS.

A15

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Airlines — 0.2%
American Airlines2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,115	$	2,150,444
Continental Airlines2001-1Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22		13		13,847
Continental Airlines2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		412		417,557
Continental Airlines2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		323		332,034
Continental Airlines2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		293		306,110
Delta Air Lines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		214		235,332
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		1,300		1,301,579
						4,756,903
Auto Manufacturers — 0.4%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
3.014%(c)		04/12/21		355		355,306
Gtd. Notes, 144A
3.100%		04/12/21		480		485,616
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		875		879,658
3.350%		05/04/21		1,455		1,475,468
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46		665		618,558
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21		515		517,644
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43		740		787,738
6.600%		04/01/36		585		647,597
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.442%(c)		04/09/21		820		819,626
Gtd. Notes
3.550%		04/09/21		620		629,028
3.950%		04/13/24		1,700		1,736,824
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21		2,300		2,304,500
						11,257,563

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks — 3.3%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.724%(c)		04/12/23			400	$	398,318
Sr. Unsec’d. Notes
3.848%		04/12/23			800		830,480
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		275		306,982
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,145		1,152,156
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			1,520		1,566,780
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,275		2,318,843
3.824%(ff)		01/20/28			615		651,007
4.000%		04/01/24			745		793,883
Sub. Notes, MTN
4.000%		01/22/25			1,700		1,788,072
4.450%		03/03/26			4,790		5,166,700
Bank of America NA,
Sub. Notes
6.000%		10/15/36			805		1,061,259
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, MTN
2.900%		03/26/22			970		984,848
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			610		613,074
3.684%		01/10/23			320		324,191
4.375%		01/12/26			323		334,263
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			705		751,940
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,590		1,635,029
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		945		970,987
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		640		702,906
Sr. Unsec’d. Notes
3.200%		10/21/26			670		683,295
3.700%		01/12/26			1,610		1,694,846
3.887%(ff)		01/10/28			560		592,462
8.125%		07/15/39			365		583,860
Sub. Notes
4.450%		09/29/27			1,485		1,599,946
4.750%		05/18/46			440		497,668
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			980		1,034,572
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,240		1,234,720
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,391,601

SEE NOTES TO FINANCIAL STATEMENTS.

A16

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			595	$	630,497
Sub. Notes
7.000%		04/15/20			485		501,561
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,800		1,802,250
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		560		584,500
Sr. Unsec’d. Notes
3.750%		02/25/26			1,165		1,216,047
3.814%(ff)		04/23/29			440		459,873
3.850%		01/26/27			2,625		2,743,638
5.750%		01/24/22			3,265		3,528,759
Sub. Notes
6.750%		10/01/37			225		294,289
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.120%(c)		05/18/21			1,530		1,531,209
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%
4.693%(c)		03/08/21			920		946,641
Sr. Unsec’d. Notes
4.875%		01/14/22			1,230		1,302,766
ING Groep NV (Netherlands),
Sr. Unsec’d. Notes
3.550%		04/09/24			400		413,776
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
6.053%(c)		—	(rr)		1,435		1,434,225
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,175		1,265,851
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			270		286,230
3.964%(ff)		11/15/48			2,240		2,376,619
4.005%(ff)		04/23/29			1,360		1,467,067
4.250%		10/15/20			1,660		1,700,979
Sub. Notes
3.875%		09/10/24			3,525		3,705,951
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			3,000		3,016,860
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			1,400		1,421,900
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,770		1,801,589
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			2,385		2,435,341
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		640		638,400
Sr. Unsec’d. Notes
4.375%		01/22/47			930		1,035,182

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23		610	$	637,217
3.772%(ff)		01/24/29		1,295		1,358,637
3.875%		01/27/26		550		584,657
4.431%(ff)		01/23/30		455		503,348
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28		1,030		1,072,488
Sub. Notes, GMTN
4.350%		09/08/26		3,050		3,270,596
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.973%(c)		04/30/21		1,620		1,624,511
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21		360		366,393
Royal Bank of Scotland Group PLC (United Kingdom),
Sr. Unsec’d. Notes
4.445%(ff)		05/08/30		1,570		1,625,142
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24		1,255		1,311,462
						82,561,139
Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.700%		02/01/36		1,220		1,338,304
Keurig Dr. Pepper, Inc.,
Gtd. Notes
3.551%		05/25/21		830		847,887
						2,186,191
Building Materials — 0.1%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28		300		297,750
5.375%		11/15/24		1,135		1,174,725
						1,472,475
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21		1,160		1,229,343
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44		445		417,321
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22		2,675		2,692,220
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		5		5,477
9.400%		05/15/39		30		47,628
Sr. Unsec’d. Notes, 144A
4.800%		05/15/49		345		372,010
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55		620		626,840

SEE NOTES TO FINANCIAL STATEMENTS.

A17

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (continued)
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33			265	$	300,097
5.625%		11/15/43			295		324,610
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			875		905,625
SASOL Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			600		650,188
6.500%		09/27/28			405		454,603
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			500		602,931
							8,628,893
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			875		891,120
7.000%		10/15/37			390		532,683
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735		749,700
5.250%		01/15/30			265		272,288
5.875%		09/15/26			375		399,375
							2,845,166
Computers — 0.1%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25			2,400		2,508,762
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			150		149,790
							2,658,552
Diversified Financial Services — 0.4%
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20			1,625		1,626,685
3.450%		04/30/21			3,215		3,273,377
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			1,050		1,104,957
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		938,524
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		504,822
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
6.875%		05/02/18	(d)		700		12,180
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,850		30,895

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Diversified Financial Services (continued)
Private Export Funding Corp.,
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24		285	$	292,378
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25		255		271,011
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20		2,175		2,175,185
						10,230,014
Electric — 1.2%
Avista Corp.,
First Mortgage
4.350%		06/01/48		845		930,382
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36		530		713,833
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37		335		432,432
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33		300		423,155
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series09-C
5.500%		12/01/39		145		182,177
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		2,470		2,528,730
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,075		1,189,202
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		530		708,172
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		845		1,029,948
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		605		609,089
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		2,397		2,455,684
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		400		402,426
6.250%		10/01/39		1,375		1,625,971
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		265		314,853
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		380		493,647
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		140		172,936

SEE NOTES TO FINANCIAL STATEMENTS.

A18

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28			2,105	$	2,259,136
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20			1,000		1,037,980
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			575		597,862
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24			1,560		1,664,511
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			545		546,428
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035		1,055,665
Ohio Power Co.,
Sr. Unsec’d. Notes
4.000%		06/01/49			465		500,949
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		945,523
5.000%		03/15/44			495		550,222
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,260		1,273,464
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			675		687,115
3.700%		05/01/28			850		914,687
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			515		664,964
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		1,052,400
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			350		348,560
First Ref. Mortgage, Series C
3.600%		02/01/45			690		641,043
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			495		512,944
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		521,409
							29,987,499
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			650		656,356
Engineering & Construction — 0.1%
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
5.500%		07/31/47			1,350		1,344,938

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Foods — 0.2%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21		2,470	$	2,538,814
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46		360		342,043
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49		1,120		1,205,056
						4,085,913
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20		275		285,822
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41		1,270		1,488,660
						1,774,482
Gas — 0.2%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		45		50,742
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		2,355		2,435,969
Piedmont Natural Gas Co., Inc.,
Sr. Unsec’d. Notes
3.500%		06/01/29		2,090		2,186,961
						4,673,672
Healthcare-Products — 0.1%
Abbott Laboratories,
Sr. Unsec’d. Notes
4.900%		11/30/46		1,445		1,785,672
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		372		390,206
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31	EUR	200		244,227
2.250%		03/07/39	EUR	300		385,702
						2,805,807
Healthcare-Services — 0.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		480		590,547
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		330		359,227
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		435		441,003
HCA, Inc.,
Sr. Sec’d. Notes
5.125%		06/15/39		665		691,414

SEE NOTES TO FINANCIAL STATEMENTS.

A19

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (continued)
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		670	$	750,553
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		160		162,622
New York and Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		340		376,813
						3,372,179
Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27		405		412,088
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		2,010		1,997,602
Insurance — 0.3%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		990		1,020,664
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		635		680,787
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		215		284,992
7.000%		03/15/34		910		1,192,807
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		701		891,804
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		165		173,611
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		650		925,642
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		105		116,093
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,430		1,548,377
6.850%		12/16/39		122		172,920
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		315		326,877
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		575		577,228
						7,911,802

Interest Rate	Maturity Date				Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22		��		805	$	823,231
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21				1,060		1,112,463
Media — 0.5%
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24				1,225		1,260,219
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35				630		739,880
6.484%		10/23/45				1,000		1,178,309
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22				1,440		1,737,613
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28	(a)			1,455		1,603,629
4.250%		10/15/30				500		558,008
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37				677		707,173
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41				270		283,075
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44				340		370,755
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22				850		890,375
Walt Disney Co. (The),
Gtd. Notes, 144A
6.150%		03/01/37				250		339,653
6.900%		08/15/39				35		51,583
7.625%		11/30/28				1,265		1,710,538
								11,430,810
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75				315		327,994
Miscellaneous Manufacturing — 0.1%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22				1,040		1,047,800
Pentair Finance Sarl,
Gtd. Notes
4.500%		07/01/29				2,415		2,471,553
								3,519,353

SEE NOTES TO FINANCIAL STATEMENTS.

A20

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			865	$	857,431
2.750%		01/06/23			385		387,768
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			855		857,453
4.375%		02/11/20			800		809,560
							2,912,212
Oil & Gas — 0.8%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36			1,000		472,450
4.850%		03/15/21			287		297,095
6.450%		09/15/36			1,040		1,278,619
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25	(a)		950		876,375
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47	(a)		850		922,438
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			150		167,901
Continental Resources, Inc.,
Gtd. Notes
4.500%		04/15/23			2,141		2,249,509
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			225		267,085
Encana Corp. (Canada),
Gtd. Notes
6.500%		02/01/38			240		293,922
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			255		267,271
6.510%		03/07/22			440		475,186
Helmerich & Payne, Inc.,
Gtd. Notes
4.650%		03/15/25			1,555		1,646,237
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25	(a)		400		426,451
Newfield Exploration Co.,
Gtd. Notes
5.750%		01/30/22			80		85,624
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			595		632,909
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25			535		567,635
5.750%		02/01/29			610		635,864
6.250%		03/17/24			515		563,307

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		330	$	332,492
5.500%		01/21/21		1,295		1,309,893
6.350%		02/12/48		458		393,193
6.500%		06/02/41		955		847,085
8.625%		12/01/23		350		384,943
Gtd. Notes, MTN
6.750%		09/21/47		1,805		1,607,352
6.875%		08/04/26		1,000		1,012,400
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,000		999,974
Valero Energy Corp.,
Sr. Unsec’d. Notes
4.000%		04/01/29		580		607,238
						19,620,448
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
3.000%		12/21/20		559		563,584
3.900%		05/17/28		1,317		1,370,510
4.000%		12/21/25		139		147,132
Schlumberger Investment SA,
Gtd. Notes, 144A
3.300%		09/14/21		100		101,986
						2,183,212
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		465		475,230
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22		675		713,541
						1,188,771
Pharmaceuticals — 0.6%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		950		981,519
4.500%		05/14/35		1,595		1,645,391
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		1,770		1,787,132
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
2.979%(c)		06/25/21		805		799,595
Gtd. Notes, 144A
3.500%		06/25/21		350		355,069
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
4.125%		06/15/39		280		301,956
4.250%		10/26/49		1,990		2,199,746
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,870		2,017,478

SEE NOTES TO FINANCIAL STATEMENTS.

A21

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (continued)
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		230	$	239,930
5.050%		03/25/48		194		206,633
5.125%		07/20/45		781		832,870
5.300%		12/05/43		170		184,284
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		2,570		2,566,844
						14,118,447
Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		473		479,504
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		610		632,759
4.950%		06/15/28		795		869,188
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,055		1,116,094
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,140		1,190,444
4.875%		06/01/25		2,275		2,472,520
5.200%		03/01/47		25		26,871
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36		130		159,253
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		640		674,164
Western Midstream Operating LP,
Sr. Unsec’d. Notes
4.000%		07/01/22		1,315		1,332,099
5.300%		03/01/48		80		74,222
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48		230		245,993
4.900%		01/15/45		1,100		1,152,664
						10,425,775
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
4.875%		11/01/20		240		244,166
5.375%		04/15/26		725		784,051
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		190		195,149
						1,223,366
Retail — 0.3%
AutoZone, Inc.,
Sr. Unsec’d. Notes
3.750%		04/18/29		1,820		1,892,571

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail (continued)
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.288%(c)		04/17/20			795	$	795,092
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,538,936
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			525		548,683
5.625%		10/15/23			475		492,570
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22			300		305,284
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		1,000,824
							8,573,960
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,195		1,230,096
Semiconductors — 0.1%
Broadcom, Inc.,
Gtd. Notes, 144A
3.125%		04/15/21			830		835,374
3.125%		10/15/22			640		644,030
							1,479,404
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			915		928,516
Microsoft Corp.,
Sr. Unsec’d. Notes
4.000%		02/12/55			360		404,696
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34			700		796,523
							2,129,735
Telecommunications — 0.5%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31			10		13,897
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			2,130		2,189,651
3.600%		07/15/25			250		259,308
3.800%		02/15/27			1,200		1,248,810
4.300%		02/15/30			225		240,821
4.500%		05/15/35			225		235,532
4.550%		03/09/49			4		4,083
4.850%		03/01/39			3,615		3,879,729
5.350%		09/01/40			113		127,548

SEE NOTES TO FINANCIAL STATEMENTS.

A22

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30			350	$	527,877
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20	(a)		400		410,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			788		787,705
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46			520		542,822
4.500%		08/10/33			865		974,480
4.862%		08/21/46			615		716,038
Sr. Unsec’d. Notes, 144A
4.016%		12/03/29			1,365		1,477,942
							13,636,243
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28			735		959,749
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37			690		890,928
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25			120		136,645
							1,987,322
TOTAL CORPORATE BONDS (cost $279,222,324)							290,662,707
MUNICIPAL BONDS — 0.6%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs
4.263%		09/15/32			180		197,602
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49			1,305		1,956,665
State of California,
General Obligation, BABS
7.300%		10/01/39			1,250		1,878,937
7.500%		04/01/34			350		528,290
7.550%		04/01/39			245		387,864
7.625%		03/01/40			205		323,478
							5,075,234
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, Series2010-B, BABs
5.844%		11/01/50			565		806,667

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970	$	1,372,269
State of Illinois,
General Obligation, Series D, BABs
5.000%		11/01/22		2,305		2,522,200
						3,894,469
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, Series F, BABs
7.414%		01/01/40		1,000		1,546,950
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,371,799
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		415		515,273
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		321,395
						836,668
Oregon — 0.0%
State of Oregon Department of Transportation Highway,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		425		560,142
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505		665,539
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		355		402,414
TOTAL MUNICIPAL BONDS (cost $11,713,815)						15,357,484
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		31		30,732
Banc of America Funding Trust,
Series2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		451		450,251
Banc of America Mortgage Trust,
Series2005-A, Class 2A1
4.503%(cc)		02/25/35		122		123,619
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.104%(c)		10/25/27		359		361,223

SEE NOTES TO FINANCIAL STATEMENTS.

A23

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
4.004%(c)		04/25/28		233	$	233,841
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.354%(c)		08/25/28		392		392,390
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.754%(c)		08/25/28		300		300,000
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.004%(c)		08/25/28		300		299,640
Series2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000%
3.404%(c)		04/25/29		520		520,596
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
3.940%(c)		11/01/23		3,500		3,499,997
Chase Mortgage Finance Trust,
Series2007-A01, Class 1A5
4.791%(cc)		02/25/37		237		241,808
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		12/25/57		1,937		1,946,691
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		01/25/57		2,314		2,358,431
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		2,210		2,210,542
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,133		2,128,735
CSMC Trust,
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%
3.829%(c)		08/25/37		719		718,359
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57		1,823		1,884,334
Eagle Re Ltd. (Bermuda),
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%
3.654%(c)		04/25/29		150		150,092
Fannie Mae Connecticut Avenue Securities,
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.854%(c)		01/25/29		283		283,888
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.704%(c)		03/25/29		743		744,890
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.654%(c)		11/25/28		451		455,333
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		07/25/29		1,349		1,354,702
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
3.154%(c)		03/25/30		3,171		3,174,468
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750%
3.161%(c)		02/25/49		600		600,000
Gosforth Funding PLC (United Kingdom),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%
2.971%(c)		08/25/60		1,298		1,298,314
Holmes Master Issuer PLC (United Kingdom),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.957%(c)		10/15/54		1,417		1,417,467

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Home Re Ltd. (Bermuda),
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%
4.054%(c)		05/25/29		420	$	420,000
JPMorgan Mortgage Trust,
Series2007-A01, Class 4A1
4.661%(cc)		07/25/35		113		116,248
Lanark Master Issuer PLC (United Kingdom),
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
2.943%(c)		12/22/69		980		980,114
LSTAR Securities Investment Trust,
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%
3.940%(c)		04/01/24		154		153,665
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57		631		657,455
Mill City Mortgage Loan Trust,
Series2019-01, Class A1, 144A
3.250%(cc)		10/25/69		790		805,399
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,309		1,356,740
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
3.154%(c)		01/25/48		548		547,190
Oaktown Re Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
3.954%(c)		07/25/28		500		499,635
Park Avenue Funding Trust,
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%
3.937%(c)		11/27/20		10,080		10,080,011
Seasoned Credit Risk Transfer Trust,
Series2019-02, Class MA
3.500%		08/25/58		1,576		1,636,461
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.154%(c)		09/25/48		947		947,847
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.566%(cc)		02/25/34		176		178,454
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20		25		25,215
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $45,340,119)						45,584,777
SOVEREIGN BONDS — 1.1%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27		2,420		2,510,339
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		220		230,340

SEE NOTES TO FINANCIAL STATEMENTS.

A24

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
4.375%		07/12/21		400	$	414,004
7.375%		09/18/37		450		612,005
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28		745		764,615
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20		265		272,317
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25		400		405,302
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21		1,760		1,878,624
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR 1,200		1,543,272
4.450%		02/11/24		355		376,960
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24		750		840,635
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24		EUR 1,510		1,826,381
4.750%		01/08/26		350		380,796
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
3.375%		10/31/23		200		210,453
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		10/25/23		1,000		996,794
2.625%		04/20/22		1,400		1,417,857
3.000%		03/12/24		200		207,162
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24		395		420,086
4.500%		04/16/50		340		381,228
Province of Manitoba (Canada),
Sr. Unsec’d. Notes
2.600%		04/16/24		420		430,538
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23		490		517,501
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23		800		839,040
4.817%		03/14/49		690		790,768
5.103%		04/23/48		665		792,181
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39	EUR	1,270		1,653,514
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A
5.250%		01/16/50		1,125		1,278,653
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21		980		978,216
2.875%		03/04/23		1,285		1,299,456
4.000%		04/17/25		750		797,813

Interest Rate	Maturity Date			Principal Amount (000)#			Value
SOVEREIGN BONDS (continued)
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,200		$	1,210,849
3.250%		06/01/23			600			624,106
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,260			1,288,426
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
5.100%		06/18/50	(a)		490			550,642
TOTAL SOVEREIGN BONDS (cost $27,414,761)								28,740,873
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.7%
Federal Home Loan Bank
5.500%		07/15/36	(k)		850			1,186,385
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			941			931,933
2.500%		03/01/30			544			548,994
3.000%		10/01/28			409			419,394
3.000%		06/01/29			789			807,251
3.000%		01/01/37			248			252,794
3.000%		06/01/42			395			402,199
3.000%		10/01/42			922			938,930
3.000%		01/01/43			830			845,052
3.000%		07/01/43			2,180			2,218,870
3.500%		06/01/42			397			412,460
3.500%		01/01/47			880			908,226
4.000%		06/01/26			521			545,356
4.000%		09/01/26			179			186,307
4.000%		03/01/38			483			504,107
4.000%		10/01/39			652			687,675
4.000%		12/01/40			428			451,482
4.000%		10/01/41			454			479,538
4.000%		01/01/42			155			163,537
4.500%		07/01/19			—	(r)		162
4.500%		07/01/20			14			13,920
4.500%		02/01/39			90			96,254
4.500%		09/01/39			156			168,066
4.500%		10/01/39			1,413			1,518,737
4.500%		12/01/39			135			144,601
4.500%		07/01/41			269			286,059
4.500%		07/01/41			1,777			1,909,832
4.500%		08/01/41			129			135,483
4.500%		08/01/41			229			243,564
4.500%		08/01/41			496			533,072
4.500%		10/01/41			150			158,063
4.500%		12/01/47			455			479,527
4.500%		08/01/48			1,344			1,411,740
5.000%		05/01/34			20			21,962
5.000%		05/01/34			307			335,369
5.000%		10/01/35			7			8,014
5.000%		07/01/37			476			518,895
5.000%		05/01/39			67			72,922
5.500%		12/01/33			45			48,426
5.500%		01/01/34			45			48,791
5.500%		06/01/34			79			88,109

SEE NOTES TO FINANCIAL STATEMENTS.

A25

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		07/01/34			193	$	214,288
5.500%		05/01/37			53		58,469
5.500%		02/01/38			430		469,549
5.500%		05/01/38			47		50,898
5.500%		07/01/38			118		128,343
6.000%		03/01/32			190		209,610
6.000%		12/01/33			52		56,733
6.000%		11/01/36			54		61,294
6.000%		01/01/37			46		52,136
6.000%		05/01/37			26		29,110
6.000%		02/01/38			4		4,914
6.000%		08/01/39			68		77,664
6.750%		03/15/31	(k)		550		799,895
7.000%		05/01/31			11		11,913
7.000%		06/01/31			14		14,278
7.000%		08/01/31			112		124,984
7.000%		10/01/31			7		6,955
Federal National Mortgage Assoc.
2.000%		08/01/31			856		848,111
2.500%		01/01/28			801		807,958
2.500%		10/01/43			702		699,935
2.500%		12/01/46			1,459		1,448,265
3.000%		TBA			4,000		4,030,859
3.000%		02/01/27			1,638		1,676,782
3.000%		08/01/30			1,096		1,120,012
3.000%		11/01/36			2,270		2,312,059
3.000%		12/01/42			1,659		1,687,417
3.000%		11/01/46			1,365		1,382,437
3.000%		02/01/47			1,876		1,900,212
3.000%		03/01/47			941		952,843
3.500%		TBA			26,000		26,576,515
3.500%		02/01/33			3,121		3,225,950
3.500%		06/01/39			562		577,859
3.500%		01/01/42			4,628		4,804,930
3.500%		05/01/42			2,402		2,492,648
3.500%		07/01/42			882		915,290
3.500%		08/01/42			370		383,793
3.500%		08/01/42			1,127		1,169,585
3.500%		09/01/42			514		533,802
3.500%		09/01/42			1,849		1,919,588
3.500%		11/01/42			328		340,114
3.500%		03/01/43			2,574		2,680,028
3.500%		04/01/43			611		634,718
3.500%		04/01/43			955		991,591
3.500%		01/01/46			1,975		2,036,649
3.500%		11/01/46			2,152		2,215,758
3.500%		09/01/47			1,377		1,418,106
3.500%		05/01/48			2,668		2,740,400
4.000%		10/01/41			2,935		3,095,478
4.000%		09/01/44			2,723		2,851,038
4.000%		02/01/47			936		975,315
4.000%		09/01/47			2,242		2,336,034
4.000%		11/01/47			846		894,108
4.500%		07/01/33			55		58,318
4.500%		08/01/33			46		49,234
4.500%		09/01/33			105		112,412

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		10/01/33		10		$	10,716
4.500%		10/01/33		34			37,136
4.500%		10/01/33		135			144,237
4.500%		01/01/35		2			1,802
4.500%		07/01/39		935			1,004,254
4.500%		08/01/39		1,425			1,529,366
4.500%		03/01/41		487			522,981
4.500%		11/01/47		4,300			4,527,346
5.000%		03/01/34		250			271,733
5.000%		06/01/35		92			100,605
5.000%		07/01/35		123			134,245
5.000%		09/01/35		78			85,106
5.000%		11/01/35		100			109,750
5.000%		02/01/36		116			126,778
5.000%		05/01/36		58			63,047
5.500%		09/01/33		251			278,425
5.500%		10/01/33		79			87,111
5.500%		12/01/33		59			65,454
5.500%		01/01/34		1			1,438
5.500%		12/01/34		187			207,680
5.500%		10/01/35		710			788,576
5.500%		03/01/36		134			148,449
5.500%		05/01/36		120			132,352
5.500%		04/01/37		102			113,252
6.000%		05/01/21		21			21,831
6.000%		08/01/22		29			29,699
6.000%		04/01/33		17			18,714
6.000%		06/01/33		6			6,620
6.000%		10/01/33		310			346,011
6.000%		11/01/33		6			6,377
6.000%		11/01/33		16			17,200
6.000%		11/01/33		48			52,287
6.000%		01/01/34		295			334,060
6.000%		02/01/34		70			78,935
6.000%		03/01/34		32			34,923
6.000%		03/01/34		60			65,877
6.000%		07/01/34		178			201,246
6.000%		08/01/34		1			676
6.000%		10/01/34		3			3,672
6.000%		11/01/34		3			2,873
6.000%		11/01/34		34			37,329
6.000%		12/01/34		23			25,391
6.000%		01/01/35		68			75,145
6.000%		01/01/35		194			213,031
6.000%		02/01/35		4			4,429
6.000%		02/01/35		77			84,538
6.000%		02/01/35		258			295,306
6.000%		03/01/35		2			2,511
6.000%		04/01/35		1			1,026
6.000%		07/01/36		46			51,945
6.000%		02/01/37		77			86,824
6.000%		05/01/37		29			32,365
6.000%		06/01/37		1			838
6.000%		08/01/37		—	(r)		205
6.000%		08/01/37		17			19,174
6.000%		09/01/37		—	(r)		380

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		10/01/37			36	$	40,582
6.000%		05/01/38			69		78,500
6.000%		06/01/38			2		2,719
6.250%		05/15/29	(k)		1,245		1,680,519
6.500%		07/01/32			44		48,466
6.500%		09/01/32			2		1,833
6.500%		09/01/32			14		15,318
6.500%		09/01/32			63		70,751
6.500%		09/01/32			65		72,989
6.500%		09/01/32			90		100,299
6.500%		04/01/33			103		119,765
6.500%		11/01/33			22		24,403
6.500%		01/01/34			44		48,685
6.500%		09/01/34			61		68,036
6.500%		10/01/34			109		121,274
6.500%		09/01/36			62		73,026
6.500%		10/01/36			29		33,257
6.500%		11/01/36			22		24,090
6.500%		01/01/37			40		44,363
6.500%		01/01/37			109		121,331
6.625%		11/15/30	(k)		800		1,143,734
7.000%		02/01/32			31		35,335
7.000%		05/01/32			15		18,176
7.000%		06/01/32			20		22,240
7.000%		07/01/32			57		64,538
7.125%		01/15/30	(k)		3,195		4,634,166
Government National Mortgage Assoc.
2.500%		03/20/43			304		308,430
2.500%		12/20/46			743		747,107
3.000%		12/20/44			333		341,373
3.000%		03/15/45			1,045		1,066,975
3.000%		11/20/45			948		970,906
3.000%		03/20/46			2,176		2,228,051
3.000%		07/20/46			4,040		4,136,158
3.000%		08/20/46			1,510		1,545,378
3.000%		11/20/46			764		782,365
3.000%		12/20/46			1,368		1,400,138
3.000%		01/20/47			389		398,185
3.000%		04/20/47			1,617		1,654,795
3.500%		TBA			7,500		7,741,406
3.500%		12/20/42			1,372		1,431,464
3.500%		05/20/43			421		439,657
3.500%		04/20/45			1,836		1,904,603
3.500%		07/20/46			6,994		7,238,396
4.000%		06/15/40			87		92,494
4.000%		05/20/41			74		77,877
4.000%		12/20/42			696		736,333
4.000%		08/20/44			329		345,699
4.000%		11/20/45			749		789,851
4.000%		12/20/45			1,978		2,086,069
4.000%		09/20/47			8,289		8,641,904
4.500%		04/15/40			621		669,547
4.500%		01/20/41			530		565,626
4.500%		02/20/41			883		941,677
4.500%		03/20/41			445		475,097
4.500%		06/20/44			661		704,938

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		09/20/46		601		$	639,114
4.500%		11/20/46		907			968,783
4.500%		03/20/47		617			652,469
4.500%		05/20/48		1,728			1,801,713
4.500%		08/20/48		3,014			3,148,842
5.000%		10/20/37		101			110,789
5.000%		04/20/45		666			730,259
5.500%		08/15/33		248			265,582
5.500%		08/15/33		277			298,167
5.500%		09/15/33		79			84,632
5.500%		12/15/33		27			28,562
5.500%		03/15/34		159			170,051
5.500%		12/15/34		319			358,583
5.500%		07/15/35		72			81,150
5.500%		04/15/36		130			142,010
6.000%		11/15/23		—	(r)		362
6.000%		05/15/32		—	(r)		249
6.000%		04/15/33		7			8,464
6.000%		12/15/33		103			112,718
6.000%		01/15/34		21			23,309
6.000%		01/15/34		35			39,230
6.000%		01/15/34		66			75,469
6.000%		06/20/34		116			132,913
6.000%		07/15/34		85			97,088
6.500%		10/15/23		1			992
6.500%		12/15/23		3			3,851
6.500%		01/15/24		—	(r)		479
6.500%		01/15/24		1			1,259
6.500%		01/15/24		3			3,534
6.500%		01/15/24	��	11			11,764
6.500%		01/15/24		13			14,662
6.500%		01/15/24		15			17,030
6.500%		01/15/24		33			35,892
6.500%		01/15/24		53			57,784
6.500%		02/15/24		2			2,703
6.500%		02/15/24		5			5,097
6.500%		02/15/24		5			5,517
6.500%		02/15/24		6			6,467
6.500%		02/15/24		11			11,821
6.500%		02/15/24		11			12,563
6.500%		03/15/24		1			1,402
6.500%		03/15/24		3			2,977
6.500%		03/15/24		3			3,878
6.500%		04/15/24		—	(r)		376
6.500%		04/15/24		1			1,491
6.500%		04/15/24		2			2,079
6.500%		04/15/24		2			2,110
6.500%		04/15/24		2			2,573
6.500%		04/15/24		7			7,309
6.500%		04/15/24		12			13,299
6.500%		05/15/24		4			4,247
6.500%		05/15/24		5			5,062
6.500%		05/15/24		18			19,940
6.500%		10/15/24		17			18,660
6.500%		11/15/28		5			5,530
6.500%		08/15/31		5			6,062

SEE NOTES TO FINANCIAL STATEMENTS.

A27

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		12/15/31			11		$	11,709
6.500%		02/15/32			36			40,362
6.500%		06/15/32			23			25,212
6.500%		07/15/32			39			42,892
6.500%		08/15/32			5			5,875
6.500%		08/15/32			7			8,003
6.500%		08/15/32			8			8,429
6.500%		08/15/32			26			29,223
6.500%		08/15/32			195			227,799
6.500%		08/15/34			25			28,957
6.500%		06/15/35			40			45,676
6.500%		09/15/36			59			70,420
8.000%		01/15/24			7			7,214
8.000%		07/15/24			—	(r)		429
Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t.
Gtd. Notes
3.000%		06/30/25			915			960,738
Tennessee Valley Authority, Sr. Unsec’d. Notes
7.125%		05/01/30			510			735,750
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $189,770,459)								192,721,019
U.S. TREASURY OBLIGATIONS — 1.1%
U.S. Treasury Bonds
3.000%		02/15/49			960			1,054,350
3.750%		11/15/43	(h)		3,500			4,308,555
U.S. Treasury Inflation Indexed Bonds, TIPS
0.875%		01/15/29			5,784			6,087,932
U.S. Treasury Notes
2.000%		11/30/20			1,335			1,337,764
2.000%		05/31/24			5,580			5,645,609
2.250%		11/15/27			2,220			2,272,725
2.375%		08/15/24			1,645			1,693,193
2.375%		05/15/29			1,935			1,999,626
2.500%		12/31/20			735			742,120
U.S. Treasury Strips Coupon
2.241%(s)		05/15/28			1,055			878,647
2.280%(s)		02/15/29			1,055			862,956
TOTAL U.S. TREASURY OBLIGATIONS (cost $26,258,897)								26,883,477
TOTAL LONG-TERM INVESTMENTS (cost $1,350,637,406)								2,234,695,450

	Shares
SHORT-TERM INVESTMENTS — 15.7%
AFFILIATED MUTUAL FUNDS — 15.6%
PGIM Core Short-Term Bond Fund(w)		6,632,201	61,215,213
PGIM Core Ultra Short Bond Fund(w)		261,032,487	261,032,487
PGIM Institutional Money Market Fund (cost $70,308,630; includes $70,164,199 of cash collateral for securities on loan)(b)(w)		70,304,496	70,325,588
TOTAL AFFILIATED MUTUAL FUNDS (cost $392,584,547)			392,573,288

Interest Rate	Maturity Date	Principal Amount (000)#		Value
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills
2.172%(n)	09/19/19(k)		1,895	$	1,886,251
(cost $1,885,904)
OPTIONS PURCHASED*~ — 0.0%
(cost $467,591)					670,884
TOTAL SHORT-TERM INVESTMENTS (cost $394,938,042)					395,130,423
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5% (cost $1,745,575,448)					2,629,825,873
OPTIONS WRITTEN*~ — (0.0)%
(premiums received $171,629)					(45,238	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5% (cost $1,745,403,819)					2,629,780,635
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.5)%					(112,517,934	)
NET ASSETS — 100.0%				$	2,517,262,701

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $(409,696) and (0.0)% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $69,221,246; cash collateral of $70,164,199 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(p) Interest rate not available as of June 30, 2019.

(r) Less than $500 par.

(rr) Perpetual security with no stated maturity date.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Forward Commitment Contract:

U.S. Government Agency Obligations	Interest Rate		Maturity Date		Settlement Date		Principal Amount (000)#			Value
Federal National Mortgage Assoc. (proceeds receivable $1,971,719)		2.500%		TBA		08/13/19		(2,000	)	$	(1,983,125	)

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts	Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	123.00	129		129	$	2,016
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	126.00	129		129		10,078
2 Year U.S. Treasury Notes Futures		Put		08/23/19	$	107.00	397		794		43,422
Eurodollar 1 Year Mid Curve		Put		07/12/19	$	97.75	181		453		1,131
Eurodollar 1 Year Mid Curve		Put		07/12/19	$	98.13	439		1,098		8,231
Eurodollar 1 Year Mid Curve		Put		07/12/19	$	98.25	181		453		9,050
Eurodollar 1 Year Mid Curve		Put		08/16/19	$	97.75	181		453		1,131
Eurodollar 1 Year Mid Curve		Put		08/16/19	$	98.25	181		453		26,019
Eurodollar 1 Year Mid Curve		Put		09/13/19	$	97.75	181		453		2,263
Eurodollar 1 Year Mid Curve		Put		09/13/19	$	98.25	181		453		36,200
Total Exchange Traded(cost $445,058)										$	139,541

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		400	$	3,896
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		600		6,197
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		2,424		35,101
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		2,357		34,022
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		5,892		79,860
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		11,696		166,279
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		11,860		172,816
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,357		32,906
Total OTC Traded(cost $16,597)													$	531,077

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

30-Year Interest Rate Swap, 08/19/49 (cost $5,936)

Put

Citibank, N.A.

08/15/19

2.66

%

3 Month LIBOR

(Q)

2.66

%(S)

530

$

266

Total Options Purchased(cost $467,591)

$

670,884

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	124.50		258		258	$	(4,031	)
Eurodollar 1 Year Mid Curve		Put		07/12/19	$	97.88		439		1,098		(2,744	)
Eurodollar 1 Year Mid Curve		Put		07/12/19	$	98.00		362		905		(2,263	)
Eurodollar 1 Year Mid Curve		Put		08/16/19	$	98.00		362		905		(13,575	)
Eurodollar 1 Year Mid Curve		Put		09/13/19	$	98.00		362		905		(22,625	)
Total Options Written(premiums received $171,629)											$	(45,238	)

Futures contracts outstanding at June 30, 2019:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
417	2 Year U.S. Treasury Notes		Sep. 2019	$	89,729,930	$	515,493
1,365	5 Year U.S. Treasury Notes		Sep. 2019		161,283,281		2,227,138
231	10 Year U.S. Ultra Treasury Notes		Sep. 2019		31,906,875		1,021,956
562	30 Year U.S. Ultra Treasury Bonds		Sep. 2019		99,790,125		4,684,155
6	Mini MSCI EAFE Index		Sep. 2019		576,990		10,300
145	S&P 500E-Mini Index		Sep. 2019		21,345,450		212,073
22	S&P 500 Index		Sep. 2019		16,193,100		271,342
							8,942,457
Short Positions:
5	10 Year Euro-Bund		Sep. 2019		982,113		(15,162	)
118	10 Year U.S. Treasury Notes		Sep. 2019		15,100,313		(10,232	)
475	20 Year U.S. Treasury Bonds		Sep. 2019		73,907,031		(2,891,051	)
							(2,916,445	)
						$	6,026,012

Forward foreign currency exchange contracts outstanding at June 30, 2019:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/19	The Toronto-Dominion Bank		EUR 6,596	$	7,516,153	$	7,503,214	$	—	$	(12,939	)

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/19	Citibank, N.A.		EUR 6,596	$	7,407,063	$	7,503,214	$	—	$	(96,151	)
Expiring 08/02/19	The Toronto-Dominion Bank		EUR 6,596		7,535,190		7,522,822		12,368		—
				$	14,942,253	$	15,026,036	$	12,368	$	(96,151	)
								$	12,368	$	(109,090	)

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Credit default swap agreement outstanding at June 30, 2019:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date		Value at June 30, 2019		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.IG.32.V1		06/20/29		1.000%(Q)		15,600	$	218,791	$	37,253	$	(181,538	)

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates.The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreement outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date(5)		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreement^:
	79,800		07/15/19		—(3)	—(3)	$	(128,467	)	$	—	$	(128,467	)	Citigroup Global Market, Inc.
	151,200		07/24/19		—(4)	—(4)		(281,229	)		—		(281,229	)	Citigroup Global Market, Inc.
							$	(409,696	)	$	—	$	(409,696	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.366% upon termination.

(4) The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.338% upon termination.

(5) The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
EUR	2,835		05/11/24		0.050%(A)	1 Day EONIA(1)(A)	$	(31,287	)	$	(74,546	)	$	(43,259	)
EUR	940		05/11/39		1.100%(A)	1 Day EONIA(1)(A)		(8,537	)		(129,502	)		(120,965	)
	17,640		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(232,138	)		(232,138	)
	7,968		03/31/21		2.173%(A)	1 Day USOIS(2)(A)		(2,753	)		79,504			82,257
	570		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(13,360	)		(13,360	)
	22,000		03/29/24		1.949%(A)	1 Day USOIS(1)(A)		—			(418,711	)		(418,711	)

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest rate swap agreements outstanding at June 30, 2019 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	14,815		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)	$	32,653		$	(371,260	)	$	(403,913	)
	11,300		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		35,176			(324,795	)		(359,971	)
	7,455		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(352,993	)		(352,993	)
	1,180		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(59,485	)		(59,485	)
	4,758		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(3,258	)		(326,355	)		(323,097	)
	2,620		07/31/25		2.802%(A)	1 Day USOIS(1)(A)		—			(197,378	)		(197,378	)
	3,685		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		2,907			(311,353	)		(314,260	)
	11,431		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		657			(968,965	)		(969,622	)
	27,645		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		216,719			(811,819	)		(1,028,538	)
	615		01/31/26		2.236%(S)	3 Month LIBOR(1)(Q)		—			(16,349	)		(16,349	)
	4,251		01/31/26		2.269%(A)	1 Day USOIS(1)(A)		(15,685	)		(188,698	)		(173,013	)
	125		04/30/26		1.876%(S)	3 Month LIBOR(1)(Q)		(492	)		(624	)		(132	)
	5,668		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		62,809			(76,226	)		(139,035	)
	1,185		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,503			(22,728	)		(24,231	)
	925		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			(22,388	)		(22,388	)
	3,150		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(1,997	)		(100,882	)		(98,885	)
	525		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			(16,447	)		(16,447	)
	13,836		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(209,164	)		(1,083,478	)		(874,314	)
	4,601		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(18,250	)		(375,539	)		(357,289	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			(13,066	)		(13,066	)
							$	61,001		$	(6,429,581	)	$	(6,490,582	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(409,696	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	7,354,787
Goldman Sachs & Co. LLC		—		1,886,251
Total	$	—	$	9,241,038

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments.These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A32

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,203,876,596	$	20,876,581		$	—
Exchange-Traded Funds		6,787,139		—			—
Preferred Stocks		1,345,300		54,651			—
Rights		—		4,345			—
Asset-Backed Securities
Automobiles		—		57,831,742			—
Collateralized Loan Obligations		—		78,495,302			—
Consumer Loans		—		4,556,114			—
Credit Cards		—		4,774,757			—
Equipment		—		6,857,335			—
Home Equity Loans		—		1,853,763			—
Other		—		5,607,776			—
Residential Mortgage-Backed Securities		—		17,233,712			—
Student Loans		—		21,916,298			—
Bank Loans		—		1,234,539			—
Commercial Mortgage-Backed Securities		—		201,439,163			—
Corporate Bonds		—		290,662,707			—
Municipal Bonds		—		15,357,484			—
Residential Mortgage-Backed Securities		—		45,584,777			—
Sovereign Bonds		—		28,740,873			—
U.S. Government Agency Obligations		—		192,721,019			—
U.S. Treasury Obligations		—		28,769,728			—
Affiliated Mutual Funds		392,573,288		—			—
Options Purchased		139,541		531,343			—
Options Written		—		(45,238	)		—
Other Financial Instruments*
Forward Commitment Contract		—		(1,983,125	)		—
Futures Contracts		6,026,012		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(96,722	)		—
Centrally Cleared Credit Default Swap Agreement		—		(181,538	)		—
OTC Forward Rate Agreements		—		—			(409,696	)
Centrally Cleared Interest Rate Swap Agreements.		—		(6,490,582	)		—
Total	$	1,610,747,876	$	1,016,306,804		$	(409,696	)

* Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Affiliated Mutual Funds (2.8% represents investments purchased with collateral from securities on loan)	15.6	%
Commercial Mortgage-Backed Securities	8.0
U.S. Government Agency Obligations	7.7
Banks	6.0
Software	3.4
Collateralized Loan Obligations	3.1
Pharmaceuticals	2.9
IT Services	2.6
Automobiles	2.5
Residential Mortgage-Backed Securities	2.5
Interactive Media & Services	2.3
Oil, Gas & Consumable Fuels	2.2
Technology Hardware, Storage & Peripherals	1.9
Semiconductors & Semiconductor Equipment	1.8

Internet & Direct Marketing Retail	1.8	%
Health Care Equipment & Supplies	1.7
Insurance	1.5
Aerospace & Defense	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Capital Markets	1.4
Chemicals	1.3
Health Care Providers & Services	1.3
Diversified Financial Services	1.2
Electric	1.2
Media	1.2
U.S. Treasury Obligations	1.2
Sovereign Bonds	1.1
Specialty Retail	1.1
Biotechnology	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A33

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)
Beverages	1.0	%
Diversified Telecommunication Services	1.0
Electric Utilities	1.0
Entertainment	1.0
Hotels, Restaurants & Leisure	0.9
Student Loans	0.8
Household Products	0.8
Machinery	0.8
Oil & Gas	0.8
Food & Staples Retailing	0.7
Industrial Conglomerates	0.7
Municipal Bonds	0.6
Food Products	0.6
Communications Equipment	0.6
Telecommunications	0.5
Life Sciences Tools & Services	0.5
Multi-Utilities	0.5
Road & Rail	0.5
Auto Manufacturers	0.4
Tobacco	0.4
Pipelines	0.4
Airlines	0.4
Textiles, Apparel & Luxury Goods	0.4
Consumer Finance	0.3
Retail	0.3
Equipment	0.3
Exchange-Traded Funds	0.3
Air Freight & Logistics	0.3
Multiline Retail	0.2
Electronic Equipment, Instruments & Components	0.2
Electrical Equipment	0.2
Other	0.2
Energy Equipment & Services	0.2
Commercial Services & Supplies	0.2
Credit Cards	0.2
Gas	0.2
Containers & Packaging	0.2
Consumer Loans	0.2
Professional Services	0.2
Metals & Mining	0.2
Foods	0.2
Household Durables	0.2
Building Products	0.1
Miscellaneous Manufacturing	0.1
Healthcare-Services	0.1

Multi-National	0.1	%
Commercial Services	0.1
Healthcare-Products	0.1
Agriculture	0.1
Computers	0.1
Personal Products	0.1
Trading Companies & Distributors	0.1
Oil & Gas Services	0.1
Housewares	0.1
Transportation	0.1
Home Equity Loans	0.1
Forest Products & Paper	0.1
Construction Materials	0.1
Auto Components	0.1
Semiconductors	0.1
Building Materials	0.1
Engineering & Construction	0.1
Savings & Loans	0.1
Real Estate Management & Development	0.1
Health Care Technology	0.1
Construction & Engineering	0.1
Real Estate Investment Trusts (REITs)	0.0	*
Packaging & Containers	0.0	*
Distributors	0.0	*
Machinery-Diversified	0.0	*
Water Utilities	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Lodging	0.0	*
Options Purchased	0.0	*
Electronics	0.0	*
Leisure Products	0.0	*
Gas Utilities	0.0	*
Home Builders	0.0	*
Transportation Infrastructure	0.0	*
Mining	0.0	*
Diversified Consumer Services	0.0	*
Wireless Telecommunication Services	0.0	*
Paper & Forest Products	0.0	*
Marine	0.0	*
	104.5
Options Written	(0.0	)*
Liabilities in excess of other assets	(4.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

SEE NOTES TO FINANCIAL STATEMENTS.

A34

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	—	$	—		Due from/to broker-variation margin swaps	$	181,538	*
Equity contracts	Due from/to broker-variation margin futures		493,715	*	—		—
Equity contracts	Unaffiliated investments		4,345		—		—
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		12,368		Unrealized depreciation on OTC forward foreign currency exchange contracts		109,090
Interest rate contracts	Due from/to broker-variation margin futures		8,448,742	*	Due from/to broker-variation margin futures		2,916,445	*
Interest rate contracts	Due from/to broker-variation margin swaps		82,257	*	Due from/to broker-variation margin swaps		6,572,839	*
Interest rate contracts	Unaffiliated investments		670,884		Options written outstanding, at value		45,238
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		409,696
		$	9,712,311			$	10,234,846

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)		Options Written		Futures		Forward Currency Contracts		Forward Rate Agreements		Swaps
Credit contracts	$	—	$	—	$	—	$	—	$	—	$	(153,728	)
Equity contracts		—		—		4,314,666		—		—		—
Foreign exchange contracts		—		—		—		169,985		—		—
Interest rate contracts		2,742		36,717		9,534,337		—		31,445		835,570
Total	$	2,742	$	36,717	$	13,849,003	$	169,985	$	31,445	$	681,842

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)			Options Written		Futures		Forward Currency Exchange Contracts			Forward Rate Agreements			Swaps
Credit contracts	$	—		$	—		$	—	$	—	$	—		$	—		$	(964,748	)
Equity contracts		(126	)		—			—		1,327,677		—			—			—
Foreign exchange contracts		—			—			—		—		(32,818	)		—			—
Interest rate contracts		—			(135,200	)		126,391		968,331		—			(363,769	)		(7,393,320	)
Total	$	(126	)	$	(135,200	)	$	126,391	$	2,296,008	$	(32,818	)	$	(363,769	)	$	(8,358,068	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)		Futures Contracts— Short Positions(2)		Forward Foreign Currency Exchange Contracts— Purchased(3)
$204,406	$1,668,833	$	403,217,924	$	90,741,656	$	2,505,384

SEE NOTES TO FINANCIAL STATEMENTS.

A35

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Forward Foreign Currency Exchange Contracts—Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Inflation Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$9,379,361	$196,066,667	$194,949,261	2,360,000	$31,200,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	69,221,246	$	(69,221,246	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	418,955	$	—		$	418,955		$	(260,000	)	$	158,955
Barclays Bank PLC		108,226		—			108,226			—			108,226
Citibank, N.A.		266		(96,151	)		(95,885	)		—			(95,885	)
Citigroup Global Market, Inc.		—		(409,696	)		(409,696	)		358,326			(51,370	)
Morgan Stanley & Co. International PLC		3,896		—			3,896			—			3,896
The Toronto-Dominion Bank		12,368		(12,939	)		(571	)		—			(571	)
	$	543,711	$	(518,786	)	$	24,925		$	98,326		$	123,251

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A36

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $69,221,246:
Unaffiliated investments (cost $1,352,990,901).	$	2,237,252,585
Affiliated investments (cost $392,584,547)		392,573,288
Foreign currency, at value (cost $128,396)		128,723
Receivable for investments sold		65,444,488
Dividends and interest receivable		6,704,180
Tax reclaim receivable		437,507
Due from broker-variation margin futures		172,455
Due from broker-variation margin swaps		84,292
Unrealized appreciation on OTC forward foreign currency exchange contracts		12,368
Receivable from affiliate		1,555
Receivable for Portfolio shares sold		325
Prepaid expenses		5,256
Total Assets		2,702,817,022
LIABILITIES
Payable for investments purchased		109,977,316
Payable to broker for collateral for securities on loan		70,164,199
Forward commitment contracts, at value (proceeds receivable $1,971,719)		1,983,125
Management fee payable.		1,125,025
Payable for Portfolio shares repurchased		679,208
Accrued expenses and other liabilities		471,317
Unrealized depreciation on OTC forward rate agreements		409,696
Payable to custodian.		298,083
Payable to affiliate		225,783
Unrealized depreciation on OTC forward foreign currency exchange contracts		109,090
Due to broker-variation margin futures		65,261
Options written outstanding, at value (proceeds received $171,629)		45,238
Affiliated transfer agent fee payable		980
Total Liabilities		185,554,321
NET ASSETS	$	2,517,262,701
Net assets were comprised of:
Partners Equity	$	2,517,262,701
Net asset value and redemption price per share, $2,517,262,701 / 85,324,295 outstanding shares of beneficial interest	$	29.50

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	16,032,243
Unaffiliated dividend income (net of $59,171 foreign withholding tax, of which $6,877 is reimbursable by an affiliate)		12,340,548
Affiliated dividend income		4,706,147
Income from securities lending, net (including affiliated income of $51,639)		62,280
Total income		33,141,218
EXPENSES
Management fee.		6,754,121
Custodian and accounting fees		174,632
Shareholders’ reports		170,436
Audit fee.		23,767
Trustees’ fees		18,270
Legal fees and expenses.		9,477
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		29,751
Total expenses		7,185,751
NET INVESTMENT INCOME (LOSS)		25,955,467
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,048))		34,078,212
Futures transactions.		13,849,003
Forward rate agreement transactions		31,445
Forward currency contract transactions		169,985
Options written transactions		36,717
Swap agreements transactions		681,842
Foreign currency transactions		(5,931	)
		48,841,273
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $148,673)		195,878,315
Futures		2,296,008
Forward rate agreements		(363,769	)
Forward currency contracts.		(32,818	)
Options written		126,391
Swap agreements.		(8,358,068	)
Foreign currencies		2,015
		189,548,074
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		238,389,347
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	264,344,814

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	25,955,467		$	49,177,630
Net realized gain (loss) on investment and foreign currency transactions		48,841,273			69,751,675
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		189,548,074			(177,772,406	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		264,344,814			(58,843,101	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [109,474 and 303,199 shares, respectively]		3,106,903			8,272,676
Portfolio shares repurchased [4,217,024 and 6,356,332 shares, respectively]		(119,975,738	)		(174,377,090	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(116,868,835	)		(166,104,414	)
CAPITAL CONTRIBUTIONS		13,184			55,261
TOTAL INCREASE (DECREASE)		147,489,163			(224,892,254	)
NET ASSETS:
Beginning of period		2,369,773,538			2,594,665,792
End of period.	$	2,517,262,701		$	2,369,773,538

SEE NOTES TO FINANCIAL STATEMENTS.

A37

DIVERSIFIED BOND PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 96.0%
ASSET-BACKED SECURITIES — 26.1%
Automobiles — 0.8%
Ford Credit Floorplan Master Owner Trust,
Series2018-04, Class A
4.060%		11/15/30		3,300	$	3,539,047
Hertz Vehicle Financing II LP,
Series2015-01A, Class A, 144A
2.730%		03/25/21		400		400,435
Series2019-02A, Class A, 144A
3.420%		05/25/25		200		204,380
OneMain Direct Auto Receivables Trust,
Series2019-01A, Class A, 144A
3.630%		09/14/27		3,500		3,619,999
Series2019-01A, Class B, 144A
3.950%		11/14/28		800		831,158
						8,595,019
Collateralized Loan Obligations — 18.0%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.877%(c)		07/15/29		250		250,007
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260%
3.861%(c)		07/16/29		500		498,780
Atrium (Cayman Islands),
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.422%(c)		04/22/27		8,250		8,231,456
Ballyrock CLO Ltd. (Cayman Islands),
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350%
3.947%(c)		10/15/28		2,500		2,500,371
Battalion CLO Ltd.,
Series2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%
3.595%(c)		05/17/31		3,000		2,959,092
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.847%(c)		10/15/30		4,500		4,492,595
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350%
3.938%(c)		01/17/28		2,500		2,450,453
Carlyle US CLO Ltd. (Cayman Islands),
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180%
3.777%(c)		01/15/30		4,000		3,988,141
Catamaran CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.852%(c)		04/22/30		7,750		7,732,483
CIFC Funding Ltd. (Cayman Islands),
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980%
3.561%(c)		04/24/31		1,500		1,480,839
Series2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110%
3.702%(c)		01/22/31		3,750		3,724,302
Series2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870%
3.462%(c)		04/19/29		5,000		4,961,846
Elevation CLO Ltd. (Cayman Islands),
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230%
3.827%(c)		10/15/29		7,500		7,487,282
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%
3.817%(c)		07/15/30		5,250		5,236,509

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.607%(c)		04/15/31		6,000	$	5,929,447
Greywolf CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.616%(c)		04/26/31		3,500		3,451,756
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.565%(c)		02/05/31		4,000		3,964,696
ICG US CLO Ltd. (Cayman Islands),
Series2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030%
3.610%(c)		04/25/31		2,500		2,465,785
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/23/29		1,250		1,248,907
Mariner CLO Ltd. (Cayman Islands),
Series2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%
3.690%(c)		04/25/31		5,750		5,712,382
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.712%(c)		04/21/31		9,750		9,658,877
Series2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.670%(c)		02/20/31		4,000		3,974,650
Mountain View CLO LLC (Cayman Islands),
Series2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%
3.811%(c)		01/16/31		4,000		3,967,554
Mountain View CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250%
3.853%(c)		10/12/30		8,000		7,978,924
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.717%(c)		07/15/31		6,000		5,943,025
Neuberger Berman CLO Ltd. (Cayman Islands),
Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850%
3.447%(c)		01/15/28		3,000		2,989,061
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.857%(c)		07/15/30		750		750,385
OZLM Ltd. (Cayman Islands),
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/20/31		2,750		2,740,850
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.833%(c)		10/30/30		1,250		1,249,829
Palmer Square CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.718%(c)		01/17/31		4,000		3,980,161
Series2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270%
3.862%(c)		07/20/30		1,000		999,488
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.748%(c)		11/14/29		3,500		3,491,805
RomarkWM-R Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.622%(c)		04/20/31		4,000		3,954,705
Shackleton CLO Ltd. (Cayman Islands),
Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100%
3.665%(c)		05/07/31		4,955		4,925,951

SEE NOTES TO FINANCIAL STATEMENTS.

A38

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Sound Point CLO Ltd. (Cayman Islands),
Series2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070%
3.656%(c)		01/26/31		3,500	$	3,462,056
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.472%(c)		07/20/27		4,000		4,000,030
Series2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220%
3.812%(c)		10/20/30		5,750		5,732,659
Telos CLO Ltd. (Cayman Islands),
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.828%(c)		01/17/30		3,500		3,492,992
TICP CLO Ltd. (Cayman Islands),
Series2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300%
3.892%(c)		07/20/27		6,000		5,884,791
Series2017-09A, Class A, 144A, 3 Month LIBOR + 1.140%
3.732%(c)		01/20/31		3,000		2,979,260
Trinitas CLO Ltd. (Cayman Islands),
Series2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400%
3.997%(c)		07/15/27		5,000		4,956,447
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.790%(c)		01/25/31		4,000		3,969,287
Series2017-07A, Class B, 144A, 3 Month LIBOR + 1.600%
4.180%(c)		01/25/31		1,500		1,479,260
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.477%(c)		07/15/27		5,000		5,000,107
Voya CLO Ltd. (Cayman Islands),
Series2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210%
3.807%(c)		10/15/30		7,500		7,490,559
Series2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970%
3.550%(c)		04/25/31		3,000		2,961,702
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.912%(c)		04/20/29		1,750		1,749,282
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.842%(c)		10/20/29		1,000		998,761
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.738%(c)		01/17/31		6,500		6,464,468
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.792%(c)		10/20/31		2,750		2,733,266
York CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150%
3.742%(c)		01/22/31		2,000		1,988,312
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.967%(c)		07/15/29		1,000		1,004,027
Series2018-01A, Class A, 144A, 3 Month LIBOR + 0.950%
3.547%(c)		04/15/29		8,500		8,421,931
						210,141,591
Consumer Loans — 1.7%
Lendmark Funding Trust,
Series2017-01A, Class A, 144A
2.830%		12/22/25		971		967,964
Series2018-02A, Class A, 144A
4.230%		04/20/27		1,400		1,452,931
Series2019-01A, Class A, 144A
3.000%		12/20/27		2,100		2,099,519

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Mariner Finance Issuance Trust,
Series2019-AA, Class A, 144A
2.960%		07/20/32		700	$	699,868
OneMain Financial Issuance Trust,
Series2016-01A, Class A, 144A
3.660%		02/20/29		1,343		1,348,782
Series2017-01A, Class B, 144A
2.790%		09/14/32		500		499,181
Series2017-01A, Class C, 144A
3.350%		09/14/32		500		501,479
Series2018-01A, Class A, 144A
3.300%		03/14/29		1,030		1,043,327
Oportun Funding IX LLC,
Series2018-B, Class A, 144A
3.910%		07/08/24		1,200		1,220,590
Series2018-B, Class C, 144A
5.430%		07/08/24		500		506,718
Oportun Funding VI LLC,
Series2017-A, Class A, 144A
3.230%		06/08/23		1,250		1,249,544
Oportun Funding VII LLC,
Series2017-B, Class A, 144A
3.220%		10/10/23		3,000		3,001,401
Oportun Funding VIII LLC,
Series2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,151,579
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,400		1,435,762
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		1,000		1,028,305
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%
5.254%(c)		02/25/23		740		741,183
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650%
5.054%(c)		08/25/25		1,200		1,204,235
						20,152,368
Credit Cards — 0.3%
Citibank Credit Card Issuance Trust,
Series2018-A07, Class A7
3.960%		10/13/30		2,700		2,998,104
Home Equity Loans — 1.0%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%
4.339%(c)		01/25/33		1,473		1,475,206
Ameriquest Mortgage Securities, Inc., Floating Rate Mortgage Pass-Through Certificates,
Series2001-02, Class M3, 1 Month LIBOR + 2.925%
5.329%(c)		10/25/31		233		249,479
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series2003-W02, Class M4, 1 Month LIBOR + 5.625%
4.274%(c)		09/25/33		1,940		1,906,567
Series2004-W06, Class M1, 1 Month LIBOR + 0.825%
3.229%(c)		05/25/34		481		483,667

SEE NOTES TO FINANCIAL STATEMENTS.

A39

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245%
3.639%(c)		06/15/33		723	$	730,543
Bear Stearns Asset-Backed Securities Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%
3.304%(c)		03/25/34		2,131		2,142,827
Centex Home Equity Loan Trust,
Series2004-B, Class AF6
4.686%		03/25/34		232		233,828
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		08/25/35		209		210,302
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		05/25/33		443		444,478
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%
3.424%(c)		10/25/33		355		355,400
New Century Home Equity Loan Trust,
Series2003-04, Class M1, 1 Month LIBOR + 1.125%
3.529%(c)		10/25/33		1,592		1,598,091
Residential Asset Securities Trust,
Series 2004-KS01, Class AI5
5.721%(cc)		02/25/34		489		501,109
Securitized Asset-Backed Receivables LLC Trust,
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%
3.184%(c)		02/25/34		1,571		1,578,728
						11,910,225
Other — 0.0%
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350%
4.754%(c)		04/25/23		120		121,770
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%
5.204%(c)		06/25/24		140		140,000
						261,770
Residential Mortgage-Backed Securities — 2.5%
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series2004-R08, Class M1, 1 Month LIBOR + 0.960%
3.364%(c)		09/25/34		111		110,676
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780%
3.184%(c)		10/25/34		1,153		1,150,052
Credit Suisse Mortgage Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.590%(c)		12/26/46		2,903		2,917,305
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,452		1,471,647
Series2019-06R, 144A
3.813%(s)		10/25/46		1,420		1,420,000
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.498%(cc)		07/25/34		311		321,752
Fremont Home Loan Trust,
Series2003-B, Class M1, 1 Month LIBOR + 1.050%
3.454%(c)		12/25/33		116		114,826

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
Legacy Mortgage Asset Trust,
Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%
4.180%(c)		01/28/70		621	$	631,731
Series 2019-GS01, Class A1, 144A
4.000%		01/25/59		1,023		1,038,920
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		1,063		1,071,895
Series 2019-GS03, Class A1, 144A
3.750%		04/25/59		490		495,771
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		1,591		1,602,891
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		733		736,769
Long Beach Mortgage Loan Trust,
Series2004-01, Class M1, 1 Month LIBOR + 0.750%
3.154%(c)		02/25/34		1,397		1,392,664
Merrill Lynch Mortgage Investors Trust,
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%
2.924%(c)		06/25/35		731		729,163
Structured Asset Investment Loan Trust,
Series2004-07, Class A8, 1 Month LIBOR + 1.200%
3.604%(c)		08/25/34		1,400		1,411,521
TFS (Spain),
Series2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		03/16/23	EUR	4,114		4,668,849
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57		2,227		2,237,156
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57		2,478		2,496,774
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58		394		401,143
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58		180		186,513
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58		546		557,199
Series2018-06, Class A1A, 144A
3.750%(cc)		03/25/58		1,979		2,033,038
						29,198,255
Student Loans — 1.8%
Earnest Student Loan Program LLC,
Series2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%
3.804%(c)		01/25/41		135		136,172
Laurel Road Prime Student Loan Trust,
Series2018-A, Class A, 144A
—%(p)		02/25/43		2,980		3,748,486
Series2018-C, Class A, 144A
—%(p)		08/25/43		3,399		3,460,157
Series2018-D, Class A, 144A
—%(p)		11/25/43		3,485		3,625,026
SLM Student Loan Trust,
Series2004-02X, Class A6, 3 Month EURIBOR + 0.550%
0.239%(c)		07/25/39	EUR	2,100		2,308,903

SEE NOTES TO FINANCIAL STATEMENTS.

A40

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans (continued)
Sofi Alternative Trust,
Series2019-B, Class PT, 144A
—%(p)		12/15/45		7,700	$	8,106,906
						21,385,650
TOTAL ASSET-BACKED SECURITIES (cost $302,011,508)						304,642,982
BANK LOANS — 0.6%
Chemicals — 0.0%
Avantor, Inc. (United Kingdom),
InitialB-2 Euro Term Loan, 1 Month EURIBOR + 3.250%
3.250%(c)		11/21/24	EUR	173		197,304
Computers — 0.1%
McAfee LLC,
Second Lien Initial Loan, 1 Month LIBOR + 8.500%
10.902%(c)		09/29/25		437		441,875
Term B USD Loan, 1 Month LIBOR + 3.750%
6.152%(c)		09/30/24		525		523,605
						965,480
Diversified Financial Services — 0.0%
EG Finco Ltd. (United Kingdom),
Second Lien Term Loan, 3 Month EURIBOR + 7.750%
8.750%(c)		04/20/26	EUR	374		427,164
Electric — 0.1%
Vistra Operations Co. LLC,
2018 Incremental Term Loan, 1-3 Month LIBOR + 2.000%
4.376%(c)		12/31/25		518		517,036
Initial TermB-1 Loan, 1 Month LIBOR + 2.000%
4.402%(c)		08/04/23		271		270,384
						787,420
Foods — 0.2%
Sigma Bidco BV (Netherlands),
Facility B4 Loan, 3 Month GBP LIBOR + 4.000%
4.853%(c)		07/02/25	GBP	1,550		1,909,779
Pharmaceuticals — 0.1%
Nidda Healthcare Holding AG (Germany),
Facility C GBP, 3 Month GBP LIBOR + 4.500%
5.303%(c)		08/21/24	GBP	1,000		1,272,331
Retail — 0.0%
EG America LLC (United Kingdom),
Second Lien Facility (USD), 3 Month LIBOR + 8.000%
10.330%(c)		04/20/26		665		656,250
Software — 0.1%
First Data Corp.,
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%
4.404%(c)		07/08/22		1,252		1,250,493
TOTAL BANK LOANS (cost $7,773,701)						7,466,221
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.2%
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A3
2.903%		07/15/49		2,300		2,341,406

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60		4,400	$	4,546,931
Series 2017-BNK06, Class A4
3.254%		07/15/60		3,300		3,438,374
Series 2017-BNK08, Class A3
3.229%		11/15/50		1,950		2,029,363
Series 2019-BN18, Class A3
3.325%		05/15/62		1,500		1,570,636
BBCMS Mortgage Trust,
Series2016-ETC, Class A, 144A
2.937%		08/14/36		1,170		1,178,139
Series2016-ETC, Class B, 144A
3.189%		08/14/36		510		507,224
Series2016-ETC, Class C, 144A
3.391%		08/14/36		430		427,781
Series2016-ETC, Class D, 144A
3.729%(cc)		08/14/36		1,560		1,549,590
Benchmark Mortgage Trust,
Series2019-B09, Class A4
3.751%		03/15/52		3,400		3,679,094
Cantor Commercial Real Estate Lending,
Series 2019-CF01, Class A5
3.786%		05/15/52		4,000		4,316,921
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50		3,500		3,621,383
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.314%		04/10/49		1,600		1,671,736
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.871%(cc)		11/10/31		2,400		2,405,600
Series 2016-CLNE, Class C, 144A
2.871%(cc)		11/10/31		900		891,910
Commercial Mortgage Trust,
Series 2014-UBS04, Class A4
3.420%		08/10/47		3,200		3,346,269
Series 2014-UBS05, Class A4
3.838%		09/10/47		3,600		3,837,631
Series 2015-DC01, Class A4
3.078%		02/10/48		5,000		5,127,999
Series 2015-LC21, Class A4
3.708%		07/10/48		820		873,398
Series 2015-PC01, Class A5
3.902%		07/10/50		1,570		1,679,244
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,528,390
Series 2016-DC02, Class A5
3.765%		02/10/49		240		256,247
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		4,664,796
Credit Suisse Mortgage Trust,
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150%
4.544%(c)		05/15/36		2,600		2,608,954

SEE NOTES TO FINANCIAL STATEMENTS.

A41

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
CSAIL Commercial Mortgage Trust,
Series2019-C16, Class A2
3.067%		06/15/52		1,200	$	1,214,920
DBJPM Mortgage Trust,
Series2017-C06, Class A4
3.071%		06/10/50		2,800		2,880,681
DBWF Mortgage Trust,
Series2016-85T, Class D, 144A
3.935%(cc)		12/10/36		1,400		1,424,624
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.673%(cc)		09/10/35		3,000		3,104,975
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.658%(cc)		06/25/20		7,471		78,432
Series K020, Class X1, IO
1.535%(cc)		05/25/22		26,171		891,716
Series K021, Class X1, IO
1.568%(cc)		06/25/22		14,920		546,214
Series K025, Class X1, IO
0.954%(cc)		10/25/22		10,132		242,099
Series K027, Class X1, IO
0.890%(cc)		01/25/23		128,240		2,948,139
Series K044, Class X1, IO
0.869%(cc)		01/25/25		81,908		2,796,100
Series K053, Class X1, IO
1.026%(cc)		12/25/25		88,622		4,385,423
Series K055, Class X1, IO
1.499%(cc)		03/25/26		13,798		1,068,662
Series K711, Class X1, IO
1.686%(cc)		07/25/19		2,419		302
GS Mortgage Securities Corp. II,
Series 2015-GC30, Class A3
3.119%		05/10/50		3,025		3,126,521
GS Mortgage Securities Trust,
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400		3,516,886
Series 2019-GC38, Class A3
3.703%		02/10/52		5,800		6,248,546
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		310		324,646
JPMBB Commercial Mortgage Securities Trust,
Series2014-C21, Class A4
3.493%		08/15/47		3,160		3,314,503
JPMDB Commercial Mortgage Securities Trust,
Series2016-C02, Class A3A
2.881%		06/15/49		1,070		1,090,896
Series2017-C05, Class A4
3.414%		03/15/50		1,975		2,076,349
Series2017-C07, Class A4
3.147%		10/15/50		3,600		3,721,217
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series2018-AON, Class E, 144A
4.767%(cc)		07/05/31		5,875		6,141,240

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC09, Class A4
2.611%		12/15/47		204	$	204,010
Series 2016-JP02, Class A3
2.559%		08/15/49		2,900		2,896,129
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2012-C05, Class XA, IO, 144A
1.615%(cc)		08/15/45		37,493		1,330,367
Series2013-C08, Class A3
2.863%		12/15/48		1,531		1,560,403
Series2013-C09, Class A3
2.834%		05/15/46		2,037		2,068,767
Series2013-C10, Class A3
4.103%(cc)		07/15/46		4,545		4,814,067
Series2016-C30, Class A5
2.860%		09/15/49		2,000		2,030,241
Morgan Stanley Capital I Trust,
Series2017-H01, Class A4
3.259%		06/15/50		2,750		2,860,492
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		5,747,591
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		140		141,934
UBS Commercial Mortgage Trust,
Series2017-C02, Class A3
3.225%		08/15/50		4,400		4,552,811
Series2017-C07, Class A3
3.418%		12/15/50		5,600		5,868,490
Series2018-C10, Class A3
4.048%		05/15/51		2,200		2,413,742
UBS-Barclays Commercial Mortgage Trust,
Series2013-C05, Class A3
2.920%		03/10/46		3,846		3,925,139
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC016, Class A4
3.548%		08/15/50		4,300		4,499,349
Series 2016-C032, Class A3
3.294%		01/15/59		2,250		2,343,926
Series2016-C34, Class A3
2.834%		06/15/49		2,500		2,528,771
Series2016-C35, Class A3
2.674%		07/15/48		4,600		4,616,617
Series2017-C40, Class A3
3.317%		10/15/50		1,370		1,428,142
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $161,973,539)						166,073,095
CORPORATE BONDS — 37.4%
Aerospace & Defense — 0.7%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24		1,600		1,632,000
7.500%		03/15/25		1,250		1,253,500
7.875%		04/15/27		1,375		1,376,719

SEE NOTES TO FINANCIAL STATEMENTS.

A42

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
CORPORATE BONDS (continued)
Aerospace & Defense (continued)
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21			2,115		$	2,149,246
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			1,115			1,224,941
								7,636,406
Agriculture — 0.2%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			2,810			2,828,454
Airlines — 0.5%
American Airlines2016-1 Class AA Pass-Through Trust,
Pass-Through Certificates, Series AA
3.575%		07/15/29			1,616			1,675,520
Continental Airlines2001-1Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			—	(r)		261
Continental Airlines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983%		10/19/23			1,233			1,307,862
Continental Airlines2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			247			252,978
Delta Air Lines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			793			873,084
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20			1,180			1,181,433
United Airlines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.636%		01/02/24	(a)		574			609,488
								5,900,626
Apparel — 0.2%
Hanesbrands Finance Luxembourg SCA,
Gtd. Notes, 144A
3.500%		06/15/24		EUR	575			716,757
PVH Corp.,
Sr. Unsec’d. Notes, 144A
3.625%		07/15/24		EUR	1,250			1,589,882
								2,306,639
Auto Manufacturers — 0.7%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
3.014%(c)		04/12/21			425			425,366
Gtd. Notes, 144A
3.100%		04/12/21			570			576,669
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20			1,030			1,035,483
3.350%		05/04/21			1,715			1,739,126

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers (continued)
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46			290	$	269,747
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23			1,350		1,431,681
6.250%		10/02/43			1,455		1,548,863
6.600%		04/01/36			210		232,471
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.442%(c)		04/09/21			610		609,721
Gtd. Notes
3.550%		04/09/21			460		466,698
							8,335,825
Auto Parts & Equipment — 0.5%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24		EUR	701		661,599
Adient US LLC,
Sr. Sec’d. Notes, 144A
7.000%		05/15/26	(a)		250		256,875
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.500%		04/01/27	(a)		1,225		1,221,937
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%		11/15/26			1,200		1,065,000
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
5.750%		04/15/25			875		897,969
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24		EUR	1,275		1,604,157
							5,707,537
Banks — 11.6%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.724%(c)		04/12/23			400		398,318
Sr. Unsec’d. Notes
3.848%		04/12/23			600		622,860
Bank of America Corp.,
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,655		1,665,344
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			5,870		6,050,659
3.593%(ff)		07/21/28			740		771,561
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			385		392,420
3.824%(ff)		01/20/28			1,715		1,815,410
3.974%(ff)		02/07/30			1,840		1,972,299
4.078%(ff)		04/23/40			2,340		2,495,370
4.125%		01/22/24			3,750		4,010,740
4.271%(ff)		07/23/29			910		993,898

SEE NOTES TO FINANCIAL STATEMENTS.

A43

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes, MTN
4.000%		01/22/25			1,117	$	1,174,868
4.450%		03/03/26			1,735		1,871,446
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, MTN
2.900%		03/26/22			1,245		1,264,058
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			700		703,528
3.684%		01/10/23			480		486,287
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			1,050		1,119,911
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
4.400%		08/14/28			420		455,039
Sr. Unsec’d. Notes, 144A, MTN
3.500%		03/01/23			855		879,510
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27			300		305,453
Sub. Notes, 144A, MTN
4.500%		03/15/25			1,500		1,580,951
Citibank NA,
Sr. Unsec’d. Notes, BKNT
3.050%		05/01/20			4,120		4,142,303
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,355		1,393,374
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,085		1,114,838
Sr. Unsec’d. Notes
3.200%		10/21/26			3,255		3,319,589
3.887%(ff)		01/10/28			1,710		1,809,124
8.125%		07/15/39			1,060		1,695,592
Sub. Notes
4.450%		09/29/27			2,630		2,833,574
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24			1,050		1,106,031
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%
3.855%(c)		02/04/21			1,025		1,016,428
Sr. Unsec’d. Notes
4.250%		02/04/21			950		958,394
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			900		896,168
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24			159		156,430
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,391,601
Dexia Credit Local SA (France),
Gov’t. Liquid Gtd. Notes, 144A
2.875%		01/29/22			500		510,552
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26			280		284,862
4.250%		03/13/26			1,150		1,218,607

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes
7.000%		04/15/20			2,005	$	2,073,463
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,950		1,952,437
Sr. Unsec’d. Notes
3.272%(ff)		09/29/25			4,063		4,158,057
3.750%		02/25/26			125		130,477
3.814%(ff)		04/23/29			1,060		1,107,875
3.850%		01/26/27			1,765		1,844,770
5.750%		01/24/22			4,200		4,539,292
Sr. Unsec’d. Notes, Series D, MTN
6.000%		06/15/20			2,420		2,500,509
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.120%(c)		05/18/21			1,785		1,786,410
Sr. Unsec’d. Notes
4.583%(ff)		06/19/29			1,000		1,093,662
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
6.053%(c)		—	(rr)		4,397		4,394,626
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,450		1,562,114
Sr. Unsec’d. Notes
2.750%		06/23/20			5,400		5,421,371
2.950%		10/01/26			1,740		1,771,241
3.200%		01/25/23			470		482,292
3.200%		06/15/26			3,020		3,107,984
3.509%(ff)		01/23/29			1,435		1,491,877
3.782%(ff)		02/01/28			965		1,023,006
3.964%(ff)		11/15/48			985		1,045,076
4.005%(ff)		04/23/29			1,200		1,294,471
4.250%		10/15/20			600		614,812
Sub. Notes
4.250%		10/01/27			420		454,883
KeyCorp,
Sr. Unsec’d. Notes, MTN
5.100%		03/24/21			1,155		1,207,541
Lloyds Bank PLC (United Kingdom),
Gtd. Notes, 144A, MTN
5.800%		01/13/20			2,650		2,697,295
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		975		972,563
Sr. Unsec’d. Notes
4.375%		01/22/47			895		996,224
5.750%		01/25/21			1,920		2,016,630
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23			1,190		1,216,854
3.750%		02/25/23			395		412,624
3.772%(ff)		01/24/29			1,875		1,967,139
4.431%(ff)		01/23/30			1,340		1,482,388
5.500%		07/28/21			2,080		2,209,923
5.625%		09/23/19			2,635		2,653,275
Sr. Unsec’d. Notes, MTN
3.125%		07/27/26			2,725		2,776,816

SEE NOTES TO FINANCIAL STATEMENTS.

A44

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes, GMTN
4.350%		09/08/26			750		$	804,245
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975			1,026,591
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.973%(c)		04/30/21			1,920			1,925,347
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			5,215			5,307,605
Santander UK Group Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
2.875%		10/16/20			1,550			1,552,542
Sumitomo Mitsui Banking Corp. (Japan),
Bank Gtd. Notes, 3 Month LIBOR + 0.350%
2.938%(c)		01/17/20			1,820			1,822,413
UBS Group Funding Switzerland AG (Switzerland),
Gtd. Notes, 144A
2.859%(ff)		08/15/23			1,100			1,109,616
3.491%		05/23/23			2,970			3,044,775
						��
								135,930,508
Beverages — 0.1%
Keurig Dr. Pepper, Inc.,
Gtd. Notes
3.551%		05/25/21			970			990,905
Biotechnology — 0.2%
Celgene Corp.,
Sr. Unsec’d. Notes
2.250%		08/15/21			1,070			1,066,482
4.550%		02/20/48	(a)		1,145			1,312,181
								2,378,663
Building Materials — 0.3%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			3,000			3,105,000
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24			600			624,000
								3,729,000
Chemicals — 1.5%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			1,400			1,508,500
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43			675			604,125
5.375%		03/15/44			700			656,460
7.125%		05/01/20			141			145,582
DuPont de Nemours, Inc.,
Sr. Unsec’d. Notes
3.766%		11/15/20			490			499,378
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
6.000%		11/15/21			3,550			3,806,393

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (continued)
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		465	$	526,585
5.625%		11/15/43		155		170,558
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24		1,150		1,190,250
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43		870		946,984
5.250%		01/15/45		420		465,223
6.125%		01/15/41		450		550,830
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22		1,525		1,567,194
SASOL Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24		575		623,097
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25		445		459,215
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.875%		04/01/23		3,058		3,582,173
						17,302,547
Commercial Services — 0.6%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34		920		1,228,602
7.000%		10/15/37		770		1,051,708
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22		1,500		1,496,250
United Rentals North America, Inc.,
Gtd. Notes
4.625%		10/15/25		700		711,375
4.875%		01/15/28		1,325		1,351,500
5.250%		01/15/30		400		411,000
5.500%		05/15/27		975		1,026,188
						7,276,623
Computers — 0.1%
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25		900		940,500
Diversified Financial Services — 1.0%
American Express Co.,
Sr. Unsec’d. Notes
3.375%		05/17/21		3,695		3,764,778
Capital One Financial Corp.,
Sr. Unsec’d. Notes
3.450%		04/30/21		5,235		5,330,055
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43		650		705,666

SEE NOTES TO FINANCIAL STATEMENTS.

A45

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Diversified Financial Services (continued)
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
6.875%		05/02/18	(d)		2,740	$	47,676
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
8.125%		07/15/23	(a)		1,250		1,275,000
							11,123,175
Electric — 2.2%
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23			550		569,460
Calpine Corp.,
Sr. Unsec’d. Notes
5.750%		01/15/25	(a)		3,100		3,076,750
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56			235		252,895
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,710		2,774,437
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			2,325		2,833,880
Eskom Holdings SOC Ltd. (South Africa),
Gov’t. Gtd. Notes, 144A, MTN
6.350%		08/10/28			550		595,124
Sr. Unsec’d. Notes, 144A
5.750%		01/26/21			600		604,790
7.125%		02/11/25			390		408,637
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,900		2,246,797
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			400		475,250
GenOn Energy, Inc./NRG Americas, Inc.,
Sec’d. Notes, 6 Month LIBOR + 6.500%
9.044%(c)		12/01/23			2,400		2,379,000
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			1,150		1,420,548
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			680		707,037
Kentucky Utilities Co.,
First Mortgage
4.375%		10/01/45			3,050		3,447,396
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21			250		261,351
NRG Energy, Inc.,
Sr. Unsec’d. Notes, 144A
5.250%		06/15/29	(a)		375		400,313

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
South Carolina Electric & Gas Co.,
First Mortgage
4.600%		06/15/43			2,025	$	2,293,063
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			450		466,312
							25,213,040
Electronics — 0.2%
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25			1,750		1,824,375
Engineering & Construction — 0.2%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27			345		313,835
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
4.250%		10/31/26			605		601,673
5.500%		07/31/47			1,690		1,683,662
							2,599,170
Entertainment — 0.1%
AMC Entertainment Holdings, Inc.,
Gtd. Notes
5.875%		11/15/26	(a)		1,200		1,074,000
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.250%		02/28/47		GBP	250		317,779
4.875%		02/28/47		GBP	125		158,781
							1,550,560
Foods — 0.3%
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23			100		102,250
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25			1,800		1,872,000
Kraft Heinz Foods Co.,
Gtd. Notes
5.000%		07/15/35			725		760,497
Mars, Inc.,
Gtd. Notes, 144A
3.875%		04/01/39			440		465,906
4.200%		04/01/59			380		413,056
							3,613,709
Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
7.300%		11/15/39			1,000		1,302,894
Gas — 0.3%
Korea Gas Corp. (South Korea),
Sr. Unsec’d. Notes
4.250%		11/02/20			1,750		1,792,770

SEE NOTES TO FINANCIAL STATEMENTS.

A46

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Gas (continued)
NiSource, Inc.,
Sr. Unsec’d. Notes
4.800%		02/15/44			300	$	334,530
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43			1,050		1,106,093
							3,233,393
Healthcare-Products — 0.7%
Abbott Laboratories,
Sr. Unsec’d. Notes
2.900%		11/30/21			2,780		2,826,063
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.363%		06/06/24			3,415		3,517,218
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31		EUR	200		244,227
2.250%		03/07/39		EUR	300		385,702
Stryker Corp.,
Sr. Unsec’d. Notes
2.125%		11/30/27		EUR	510		650,749
							7,623,959
Healthcare-Services — 1.0%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37			1,900		2,388,968
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43			385		419,958
CHS/Community Health Systems, Inc.,
Sec’d. Notes, 144A
8.125%		06/30/24	(a)		625		467,188
Cigna Corp.,
Gtd. Notes
4.375%		12/15/20			745		761,536
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20			330		334,554
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			2,325		2,509,547
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			240		243,932
3.250%		09/01/24			1,495		1,524,121
Synlab Bondco PLC (United Kingdom),
Sr. Sec’d. Notes
6.250%		07/01/22		EUR	1,100		1,270,823
Tenet Healthcare Corp.,
Sec’d. Notes
5.125%		05/01/25			250		251,250
Sec’d. Notes, 144A
6.250%		02/01/27			575		595,125
Sr. Unsec’d. Notes
7.000%		08/01/25			900		896,625

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (continued)
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42		220	$	230,608
						11,894,235
Home Builders — 0.5%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
6.125%		07/01/22		1,000		1,017,500
PulteGroup, Inc.,
Gtd. Notes
5.000%		01/15/27		975		1,021,125
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27		875		890,313
William Lyon Homes, Inc.,
Gtd. Notes
7.000%		08/15/22		1,650		1,656,187
Sr. Unsec’d. Notes, 144A
6.625%		07/15/27		1,050		1,047,375
						5,632,500
Home Furnishings — 0.0%
Tempur Sealy International, Inc.,
Gtd. Notes
5.500%		06/15/26		500		518,750
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		670		665,867
Insurance — 1.0%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.750%		07/10/25		2,110		2,209,048
4.500%		07/16/44		1,075		1,136,362
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		500		536,053
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24	EUR	800		954,800
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		03/15/35		1,030		1,311,692
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40		405		558,509
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		350		368,265
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		150		165,847
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34		1,350		1,741,711

SEE NOTES TO FINANCIAL STATEMENTS.

A47

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Insurance (continued)
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			2,310	$	2,501,224
6.850%		12/16/39			196		277,806
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			500		518,853
							12,280,170
Internet — 0.1%
Netflix, Inc.,
Sr. Unsec’d. Notes
3.625%		05/15/27		EUR	1,050		1,303,656
Lodging — 0.3%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22			1,325		1,355,007
MGM Resorts International,
Gtd. Notes
6.000%		03/15/23			1,050		1,137,938
6.625%		12/15/21			275		297,000
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes
5.125%		08/08/25			400		428,768
Studio City Co., Ltd. (Macau),
Sr. Sec’d. Notes
7.250%		11/30/21			300		310,125
							3,528,838
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21			1,050		1,086,267
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98			1,100		1,199,949
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,960		2,057,007
							4,343,223
Media — 2.2%
Cablevision Systems Corp.,
Sr. Unsec’d. Notes
8.000%		04/15/20			2,000		2,065,660
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.375%		06/01/29			975		1,006,687
5.500%		05/01/26	(a)		3,300		3,453,615
5.875%		05/01/27			25		26,375
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35			710		833,833
6.484%		10/23/45			855		1,007,454
6.834%		10/23/55			225		267,259

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media (continued)
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes, 144A
9.250%		02/15/24		1,450	$	1,573,250
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,820		2,005,914
4.250%		10/15/30		620		691,931
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24		2,800		2,838,654
CSC Holdings LLC,
Sr. Unsec’d. Notes, 144A
5.125%		12/15/21		1,425		1,425,000
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		1,010		1,055,015
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43		15		16,536
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26		750		978,253
TEGNA, Inc.,
Gtd. Notes, 144A
4.875%		09/15/21		475		476,188
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),
Sr. Sec’d. Notes
4.000%		01/15/25	EUR	1,100		1,297,765
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25		1,175		1,117,719
Walt Disney Co. (The),
Gtd. Notes, 144A
6.900%		08/15/39		65		95,797
7.625%		11/30/28		1,415		1,913,369
Ziggo BV (Netherlands),
Sr. Sec’d. Notes
3.750%		01/15/25	EUR	850		995,531
						25,141,805
Mining — 0.1%
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43		410		512,301
Newmont Goldcorp Corp.,
Gtd. Notes, 144A
3.625%		06/09/21		825		840,076
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40		295		372,203
						1,724,580
Miscellaneous Manufacturing — 0.2%
Textron, Inc.,
Sr. Unsec’d. Notes
7.250%		10/01/19		2,350		2,375,351

SEE NOTES TO FINANCIAL STATEMENTS.

A48

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Multi-National — 0.4%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			2,240	$	2,220,400
4.375%		06/15/22			500		526,110
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26			1,500		1,933,022
							4,679,532
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
5.000%		09/01/23			1,150		1,170,125
Oil & Gas — 2.4%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36			2,000		944,900
6.450%		09/15/36			945		1,161,822
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.000%		11/01/26			350		319,375
10.000%		04/01/22			175		185,264
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47	(a)		1,000		1,085,221
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
10.750%		02/15/20			775		802,125
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23			750		756,689
CNX Resources Corp.,
Gtd. Notes, 144A
7.250%		03/14/27	(a)		975		833,625
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			180		201,482
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			850		1,008,989
Encana Corp. (Canada),
Gtd. Notes
6.500%		02/01/38			200		244,935
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22			390		408,767
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22			1,665		1,798,147
Helmerich & Payne, Inc.,
Gtd. Notes
4.650%		03/15/25			1,500		1,588,009
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25	(a)		1,160		1,236,708
4.750%		04/19/27			200		214,478

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
Lukoil International Finance BV (Russia),
Gtd. Notes, 144A
6.125%		11/09/20			600	$	623,748
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
6.375%		01/30/23			575		547,687
Petrobras Global Finance BV (Brazil),
Gtd. Notes
4.750%		01/14/25		EUR	400		512,832
5.299%		01/27/25			625		663,125
5.750%		02/01/29			725		755,740
6.625%		01/16/34		GBP	680		960,717
6.900%		03/19/49			495		527,175
7.375%		01/17/27			405		463,320
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.750%		02/26/29		EUR	1,100		1,194,524
4.875%		01/24/22			1,100		1,097,250
5.375%		03/13/22			405		408,058
6.350%		02/12/48			840		721,140
6.375%		01/23/45			1,015		872,900
6.500%		03/13/27			1,225		1,209,565
Gtd. Notes, EMTN
2.750%		04/21/27		EUR	700		696,348
3.750%		02/21/24		EUR	400		451,938
4.875%		02/21/28		EUR	800		887,848
Gtd. Notes, MTN
6.750%		09/21/47			810		721,305
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20			1,250		1,249,967
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/21	(a)		235		239,054
							27,594,777
Oil & Gas Services — 0.0%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38			450		599,309
Packaging & Containers — 0.1%
Ball Corp.,
Gtd. Notes
4.375%		12/15/23		EUR	925		1,217,310
Pharmaceuticals — 1.9%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,020		1,053,841
4.500%		05/14/35			1,715		1,769,183
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35			2,040		2,059,746
Allergan Sales LLC,
Gtd. Notes, 144A
4.875%		02/15/21			1,350		1,390,467

SEE NOTES TO FINANCIAL STATEMENTS.

A49

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (continued)
Bausch Health Americas, Inc.,
Gtd. Notes, 144A
8.500%		01/31/27		320	$	351,846
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
6.125%		04/15/25		325		331,897
7.250%		05/30/29		100		104,000
Sr. Sec’d. Notes, 144A
5.750%		08/15/27		130		136,627
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
4.125%		06/15/39		420		452,934
4.250%		10/26/49		1,370		1,514,398
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,320		1,424,102
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		270		281,657
5.050%		03/25/48		655		697,653
5.125%		07/20/45		565		602,524
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		07/15/23		512		368,640
Express Scripts Holding Co.,
Gtd. Notes
4.500%		02/25/26		3,690		3,982,014
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48		1,415		1,306,619
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26		3,745		3,776,410
Takeda Pharmaceutical Co. Ltd. (Japan),
Sr. Unsec’d. Notes, 144A
3.800%		11/26/20		280		285,080
4.000%		11/26/21		600		620,820
						22,510,458
Pipelines — 1.1%
Energy Transfer Operating LP,
Gtd. Notes
5.150%		03/15/45		55		55,927
5.300%		04/15/47		120		125,168
6.000%		06/15/48		50		57,071
6.250%		04/15/49		1,400		1,658,786
Enterprise Products Operating LLC,
Gtd. Notes
4.900%		05/15/46		2,110		2,366,854
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38		387		401,886
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45		1,000		965,360

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines (continued)
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38		970	$	979,320
5.200%		03/01/47		115		123,608
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22		50		51,500
4.875%		08/15/27		225		238,219
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37		1,250		1,545,796
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		450		474,022
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45		1,900		1,966,626
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.450%		04/01/44		575		543,159
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.900%		01/15/45		1,200		1,257,452
						12,810,754
Real Estate Investment Trusts (REITs) — 0.0%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		325		333,807
Retail — 0.6%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.288%(c)		04/17/20		950		950,110
Sr. Unsec’d. Notes
4.200%		05/15/28		1,875		1,941,781
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22		875		914,471
5.625%		10/15/23		725		751,818
6.625%		04/01/21		551		581,856
Michaels Stores, Inc.,
Gtd. Notes, 144A
8.000%		07/15/27		800		796,312
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25		525		509,250
Rite Aid Corp.,
Gtd. Notes, 144A
6.125%		04/01/23		375		316,406
						6,762,004
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22		1,675		1,724,194

SEE NOTES TO FINANCIAL STATEMENTS.

A50

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Semiconductors — 0.5%
Broadcom, Inc.,
Gtd. Notes, 144A
3.125%		04/15/21		1,930	$	1,942,497
3.125%		10/15/22		1,480		1,489,318
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23		2,675		2,819,718
						6,251,533
Software — 0.5%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
0.750%		05/21/23	EUR	400		463,855
Fiserv, Inc.,
Sr. Unsec’d. Notes
3.500%		10/01/22		1,162		1,197,359
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45		1,540		1,675,372
4.000%		02/12/55		435		489,007
4.450%		11/03/45		275		329,794
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		1,070		1,217,543
						5,372,930
Telecommunications — 1.5%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31		55		76,436
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		1,295		1,331,267
3.600%		07/15/25		150		155,585
3.800%		02/15/27		1,065		1,108,318
4.300%		02/15/30		325		347,853
4.550%		03/09/49		499		509,330
4.850%		03/01/39		4,230		4,539,766
5.250%		03/01/37		680		763,165
5.350%		09/01/40		49		55,308
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25		500		532,500
T-Mobile USA, Inc.,
Gtd. Notes
6.500%		01/15/26		1,675		1,810,775
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33		990		1,115,301
4.522%		09/15/48		360		403,352
5.012%		04/15/49		1,000		1,190,990
Sr. Unsec’d. Notes, 144A
4.016%		12/03/29		120		129,929
Wind Tre SpA (Italy),
Sr. Sec’d. Notes, 144A
2.625%		01/20/23	EUR	675		772,562
3.125%		01/20/25	EUR	1,550		1,757,394
5.000%		01/20/26		500		484,000
						17,083,831

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Textiles — 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850%		02/01/23		294	$	305,919
Transportation — 0.0%
Lima Metro Line 2 Finance Ltd. (Peru),
Sr. Sec’d. Notes
5.875%		07/05/34		200		212,505
TOTAL CORPORATE BONDS (cost $418,581,319)						437,386,471
MUNICIPAL BONDS — 1.9%
California — 0.6%
Bay Area Toll Authority,
Taxable, Revenue Bonds, BABs, Series S3
6.907%		10/01/50		1,125		1,820,824
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39		1,550		2,329,882
7.625%		03/01/40		725		1,144,007
University of California,
Revenue Bonds, BABs
5.770%		05/15/43		1,400		1,841,154
						7,135,867
Colorado — 0.1%
Regional Transportation District,
Revenue Bonds, BABs, Series B
5.844%		11/01/50		770		1,099,352
Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,380		1,952,300
State of Illinois,
General Obligation Unlimited, Series A
5.000%		10/01/22		20		21,841
General Obligation Unlimited, Series D
5.000%		11/01/22		2,650		2,899,709
						4,873,850
New Jersey — 0.4%
New Jersey Turnpike Authority,
Revenue Bonds, BABs
7.102%		01/01/41		1,175		1,768,504
Revenue Bonds, BABs, Series F
7.414%		01/01/40		2,050		3,171,248
						4,939,752
Ohio — 0.1%
Ohio State University (The),
Revenue Bonds, BABs, Series C
4.910%		06/01/40		695		862,926
Oregon — 0.1%
State of Oregon Department of Transportation,
Revenue Bonds, BABs, Series A
5.834%		11/15/34		615		810,557

SEE NOTES TO FINANCIAL STATEMENTS.

A51

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		800	$	1,054,320
Puerto Rico — 0.1%
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue,
Revenue Bonds, Series A1
5.000%		07/01/58		850		850,000
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		425		481,763
TOTAL MUNICIPAL BONDS (cost $16,376,097)						22,108,387
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		38		38,010
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.104%(c)		10/25/27		423		425,920
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
4.004%(c)		04/25/28		1,113		1,117,020
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.354%(c)		08/25/28		686		686,683
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.754%(c)		08/25/28		450		450,000
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.004%(c)		08/25/28		450		449,460
Series2018-03A, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
3.604%(c)		10/25/27		690		689,999
Series2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850%
4.254%(c)		10/25/27		1,040		1,041,558
Series2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450%
3.854%(c)		04/25/29		820		821,587
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
3.940%(c)		11/01/23		5,400		5,399,995
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		12/25/57		1,351		1,357,835
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		01/25/57		1,482		1,509,895
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,275		1,274,746
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,523		2,517,706
Citigroup Mortgage Loan Trust,
Series2011-12, Class 3A2, 144A
4.025%(cc)		09/25/47		570		544,979
Credit Suisse Mortgage Trust,
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%
3.829%(c)		08/25/37		1,527		1,526,514

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Eagle Re Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.104%(c)		11/25/28		1,700	$	1,699,998
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%
3.654%(c)		04/25/29		450		450,276
Series2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800%
4.204%(c)		04/25/29		300		300,237
Fannie Mae Connecticut Avenue Securities,
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.854%(c)		01/25/29		311		311,360
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%
6.954%(c)		10/25/24		238		256,587
Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%
5.704%(c)		10/25/27		3,460		3,723,144
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.654%(c)		11/25/28		543		548,594
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%
3.754%(c)		03/25/29		699		703,557
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.704%(c)		04/25/29		1,698		1,703,375
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650%
5.054%(c)		01/25/49		250		255,946
GSMSC Resecuritization Trust,
Series2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%
2.544%(c)		01/26/37		1,035		1,024,724
Series2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%
2.544%(c)		01/26/37		1,400		1,351,474
Home Re Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.600%
3.830%(c)		10/25/28		510		509,143
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%
4.054%(c)		05/25/29		650		649,999
IndyMac INDX Mortgage Loan Trust,
Series 2006-AR19, Class 5A2
3.949%(cc)		08/25/36		348		324,624
LSTAR Securities Investment Trust,
Series2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%
3.940%(c)		04/01/23		202		201,826
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%
3.940%(c)		04/01/24		788		787,535
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57		1,081		1,127,066
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,570		1,628,088
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
3.154%(c)		01/25/48		1,408		1,407,059
Oaktown Re II Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
3.954%(c)		07/25/28		500		499,634
Park Avenue Funding Trust,
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%
3.937%(c)		11/27/20		15,550		15,550,017

SEE NOTES TO FINANCIAL STATEMENTS.

A52

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Radnor Re Ltd. (Bermuda),
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%
3.804%(c)		03/25/28			621	$	623,012
Series2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%
5.104%(c)		03/25/28			360		360,900
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%
3.654%(c)		02/25/29			1,200		1,202,468
Series2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200%
3.580%(c)		06/25/29			700		700,000
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.154%(c)		09/25/48			1,155		1,156,373
Series 2018-HRP02, Class M1, 144A, 1 Month LIBOR + 0.850%
3.254%(c)		02/25/47			850		849,359
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.566%(cc)		02/25/34			493		499,676
Series2004-18, Class 3A1
4.352%(cc)		12/25/34			2,534		2,547,044
Towd Point Mortgage Funding Vantage PLC (United Kingdom),
Series2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%
2.004%(c)		02/20/54			GBP 1,406		1,789,526
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20			39		38,683
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $63,967,600)							64,633,211
SOVEREIGN BONDS — 7.4%
Argentine Republic Government International Bond (Argentina),
Bonds
3.380%(cc)		12/31/38		EUR	300		189,754
Sr. Unsec’d. Notes
4.625%		01/11/23			1,625		1,300,016
6.875%		04/22/21			1,775		1,557,563
7.820%		12/31/33		EUR	958		903,935
7.820%		12/31/33		EUR	634		590,143
8.280%		12/31/33	(a)		582		485,120
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28			1,444		1,487,835
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			250		261,750
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes
7.500%		05/06/21			1,500		1,578,765
Sr. Unsec’d. Notes, 144A
6.000%		07/19/28			575		620,287
7.500%		05/06/21			400		421,004
Ecuador Government International Bond (Ecuador),
Sr. Unsec’d. Notes, 144A
10.500%		03/24/20			200		208,502

Interest Rate	Maturity Date		Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A, MTN
4.750%		04/11/25	EUR	875	$	1,014,941
4.750%		04/16/26	EUR	1,410		1,610,943
6.375%		04/11/31	EUR	1,015		1,172,378
El Salvador Government International Bond (El Salvador),
Sr. Unsec’d. Notes, 144A
7.375%		12/01/19		620		625,431
Hellenic Republic Government Bond (Greece),
Bonds
3.000%(cc)		02/24/23	EUR	1,200		1,458,086
3.000%(cc)		02/24/29	EUR	1,000		1,221,259
3.000%(cc)		02/24/31	EUR	620		761,732
3.000%(cc)		02/24/32	EUR	1,280		1,551,269
3.000%(cc)		02/24/34	EUR	640		772,646
3.000%(cc)		02/24/39	EUR	1,000		1,198,650
3.750%		01/30/28	EUR	65		82,050
3.900%		01/30/33	EUR	1,990		2,533,006
4.200%		01/30/42	EUR	295		383,192
Sr. Unsec’d. Notes, 144A
3.875%		03/12/29	EUR	2,700		3,442,737
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34	EUR	1,500		2,052,345
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23		436		479,613
5.375%		03/25/24		290		326,917
5.750%		11/22/23		2,300		2,606,171
6.375%		03/29/21		2,776		2,963,102
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
1.450%		09/18/26	EUR	375		435,474
3.375%		07/30/25	EUR	3,125		4,018,938
Sr. Unsec’d. Notes, EMTN
2.875%		07/08/21	EUR	1,225		1,469,560
3.750%		06/14/28	EUR	1,250		1,696,244
Iraq International Bond (Iraq),
Sr. Unsec’d. Notes, 144A
5.800%		01/15/28		450		442,447
6.752%		03/09/23		400		410,420
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
2.500%		05/23/24		1,000		1,017,993
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A
3.375%		09/27/23		600		625,543
Sr. Unsec’d. Notes, 144A, MTN
2.000%		09/08/20		800		798,032
2.625%		04/20/22		1,000		1,012,755
3.000%		03/12/24		600		621,485
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22		1,000		1,103,872
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25		450		474,305

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, EMTN
5.125%		10/15/24			12,675	$	14,164,312
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, 144A
3.875%		02/15/30		EUR	3,070		4,678,724
Province of Manitoba (Canada),
Sr. Unsec’d. Notes
2.600%		04/16/24			445		456,165
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23			595		628,394
Provincia de Buenos Aries (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23			120		100,321
9.950%		06/09/21			1,940		1,759,580
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
4.817%		03/14/49			835		956,943
5.103%		04/23/48			780		929,175
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes
6.875%		09/27/23			260		293,920
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33	(a)		730		801,377
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35		EUR	945		1,230,661
Sr. Unsec’d. Notes, EMTN
3.875%		10/29/35		EUR	1,000		1,302,287
4.125%		03/11/39		EUR	354		460,901
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A
5.250%		01/16/50			1,355		1,540,066
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25			675		718,031
Senegal Government International Bond (Senegal),
Sr. Unsec’d. Notes, 144A
4.750%		03/13/28		EUR	475		541,322
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			600		605,424
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21			500		506,987
7.000%		06/05/20			1,510		1,544,066
Ukraine Government International Bond (Ukraine),
Sr. Unsec’d. Notes
7.750%		09/01/20			145		149,552
7.750%		09/01/21			160		166,995
7.750%		09/01/22			1,120		1,183,114
8.994%		02/01/24			200		217,748
Sr. Unsec’d. Notes, 144A
7.750%		09/01/20			200		206,278
7.750%		09/01/22			930		982,407
8.994%		02/01/24			200		217,748
TOTAL SOVEREIGN BONDS (cost $82,260,316)							86,330,708

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0%
Federal Home Loan Mortgage Corp.
5.500%		10/01/33			576	$	642,706
5.500%		06/01/34			7		7,275
6.000%		11/01/33			178		197,166
6.000%		05/01/34			57		62,626
6.000%		06/01/34			146		160,254
6.250%		07/15/32	(k)		830		1,191,667
6.500%		07/01/32			22		24,680
6.500%		07/01/32			22		24,713
6.500%		08/01/32			44		48,374
6.500%		08/01/32			45		50,350
6.500%		08/01/32			46		50,828
6.500%		09/01/32			40		44,488
6.500%		09/01/32			115		128,223
6.750%		03/15/31	(k)		600		872,613
Federal National Mortgage Assoc.
5.500%		02/01/33			17		18,719
5.500%		02/01/33			21		23,618
5.500%		03/01/33			24		25,664
5.500%		03/01/33			47		51,601
5.500%		03/01/33			53		58,365
5.500%		04/01/33			7		7,266
5.500%		04/01/33			34		37,132
5.500%		04/01/33			35		38,146
5.500%		04/01/33			39		43,437
5.500%		07/01/33			32		35,776
5.500%		07/01/33			37		40,820
5.500%		08/01/33			16		17,683
5.500%		02/01/34			34		37,289
5.500%		04/01/34			28		29,946
5.500%		06/01/34			38		42,319
6.000%		10/01/33			4		3,933
6.000%		10/01/33			212		235,791
6.000%		03/01/34			79		87,836
6.000%		02/01/35			212		242,723
6.000%		11/01/36			62		69,598
6.250%		05/15/29	(k)		1,090		1,471,297
6.500%		08/01/32			130		147,783
6.500%		09/01/32			105		117,919
6.500%		09/01/32			178		204,502
6.500%		10/01/32			95		105,345
6.500%		04/01/33			175		202,560
6.500%		11/01/33			3		3,596
6.625%		11/15/30	(k)		530		757,724
7.000%		05/01/32			85		95,018
7.000%		06/01/32			8		8,949
7.125%		01/15/30	(k)		785		1,138,598
Government National Mortgage Assoc.
5.500%		01/15/33			70		78,936
5.500%		02/15/33			47		52,375
5.500%		05/15/33			130		138,485
5.500%		05/15/33			186		198,320
5.500%		06/15/33			199		217,712
5.500%		09/15/33			106		116,952
5.500%		07/15/35			72		81,150
6.000%		12/15/32			132		150,523
6.000%		11/15/33			64		73,340
6.000%		01/15/34			12		13,529

SEE NOTES TO FINANCIAL STATEMENTS.

A54

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		06/20/34			348	$	398,740
6.000%		11/15/34			491		559,445
6.500%		09/15/32			86		94,094
6.500%		09/15/32			204		225,028
6.500%		09/15/32			221		247,641
6.500%		11/15/33			161		180,570
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $11,227,234)							11,733,756
U.S. TREASURY OBLIGATIONS — 1.7%
U.S. Treasury Bonds
2.500%		05/15/46	(k)		965		959,421
2.750%		08/15/47	(k)		1,950		2,035,160
3.000%		02/15/48	(k)		500		547,754
3.000%		02/15/49			262		287,750
U.S. Treasury Notes
1.375%		05/31/21	(k)		5,570		5,528,225
1.875%		04/30/22	(k)		520		522,092
2.000%		05/31/24			665		672,819
2.125%		05/15/25	(k)		260		264,387
2.500%		12/31/20	(k)		1,120		1,130,850
2.500%		02/28/21	(k)		300		303,340
2.625%		07/15/21	(k)		2,350		2,390,666
U.S. Treasury Strips Coupon
2.783%(s)		08/15/29	(k)		1,200		969,010
2.878%(s)		05/15/31	(h)(k)		1,200		924,231
3.042%(s)		11/15/35	(h)(k)		2,400		1,623,117
3.202%(s)		08/15/40	(h)(k)		2,400		1,407,941
TOTAL U.S. TREASURY OBLIGATIONS (cost $18,828,636)							19,566,763
				Shares
PREFERRED STOCKS — 0.2%
Banks — 0.1%
Citigroup Capital XIII 8.953%					45,000		1,241,550
Capital Markets — 0.1%
State Street Corp. 5.350%					35,000		925,750
TOTAL PREFERRED STOCKS (cost $2,000,000)							2,167,300
TOTAL LONG-TERM INVESTMENTS(cost $1,084,999,950)							1,122,108,894
SHORT-TERM INVESTMENTS — 4.5%
AFFILIATED MUTUAL FUNDS — 4.4%
PGIM Core Short-Term Bond Fund(w)					3,991,217		36,838,936
PGIM Core Ultra Short Bond Fund(w)					2,669,581		2,669,581
PGIM Institutional Money Market Fund (cost $12,054,524; includes $12,031,616 of cash collateral for securities on loan)(b)(w)					12,053,573		12,057,189
TOTAL AFFILIATED MUTUAL FUNDS (cost $52,029,744)							51,565,706

	Value
OPTIONS PURCHASED*~ — 0.1%
(cost $381,004)	$	800,825
TOTAL SHORT-TERM INVESTMENTS (cost $52,410,748)		52,366,531
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—100.5% (cost $1,137,410,698)		1,174,475,425
OPTIONS WRITTEN*~ — (0.0)%
(premiums received $373,652)		(142,813	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—100.5% (cost $1,137,037,046)		1,174,332,612
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (0.5)%		(6,066,357	)
NET ASSETS — 100.0%	$	1,168,266,255

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $(129,097) and (0.0%) of net assets.

~ See tables subsequent to the Schedule of Investments for options detail.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $11,830,851; cash collateral of $12,031,616 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(p) Interest rate not available as of June 30, 2019.

(r) Principal or notional amount is less than $500 par.

(rr) Perpetual security with no stated maturity date.

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	123.00		152		152	$	2,375
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	126.00		152		152		11,875
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	97.75		238		595		1,488
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	98.25		238		595		11,900
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	97.75		238		595		1,488
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	98.25		238		595		34,213
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	97.75		238		595		2,975
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	98.25		238		595		47,600
Total Exchange Traded(cost $334,537)											$	113,914

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		3,100	$	30,195
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		4,700		48,540
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,026		43,818
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		7,356		99,703
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		14,601		207,579
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		14,800		215,656
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,942		41,073
Total OTC Traded(cost $38,739)													$	686,564

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

30- Year Interest Rate Swap, 08/19/49 (cost $7,728)

Put

Citibank, N.A.

08/15/19

2.66

%

3 Month LIBOR

(Q)

2.66

%(S)

690

$

347

Total Options Purchased(cost $381,004)

$

800,825

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	124.50		304		304	$	(4,750	)
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	98.00		476		1,190		(2,975	)
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	98.00		476		1,190		(17,850	)
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	98.00		476		1,190		(29,750	)
Total Exchange Traded(premiums received $199,488)											$	(55,325	)

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Options Written (continued):

OTC Swaptions

Description	Call/ Put	Counterparty	Expiration Date		Strike		Receive		Pay		Notional Amount (000)#		Value
CDX.NA.HY.32.V1, 06/20/24	Put	BNP Paribas S.A.		07/17/19	$	99.00		5.00%(Q)		CDX.NA.HY.31.V2(Q)		30,600	$	(3,717	)
CDX.NA.HY.32.V1, 06/20/24	Put	Deutsche Bank AG		07/17/19	$	100.00		5.00%(Q)		CDX.NA.HY.31.V2(Q)		20,000		(3,686	)
CDX.NA.HY.32.V1, 06/20/24	Put	Morgan Stanley & Co. International PLC		09/18/19	$	100.00		5.00%(Q)		CDX.NA.HY.31.V2(Q)		10,000		(12,949	)
CDX.NA.HY.32.V1, 06/20/24	Put	Bank of America, N.A.		01/15/20	$	98.00		5.00%(Q)		CDX.NA.HY.31.V2(Q)		11,000		(53,869	)
iTraxx.EUR.31.V2, 06/20/29	Put	Goldman Sachs International		09/18/19		2.50%		1.00%(Q)		iTraxx.EUR.31.V2(Q)	EUR	70,000		(13,267	)
Total OTC Swaptions (premiums received $174,164)													$	(87,488	)
Total Options Written (premiums received $373,652)													$	(142,813	)

Futures contracts outstanding at June 30, 2019:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
4,039		5 Year U.S. Treasury Notes		Sep. 2019	$	477,233,094	$	7,240,166
2,352		10 Year U.S. Treasury Notes		Sep. 2019		300,982,500		3,961,034
189		10 Year U.S. Ultra Treasury Notes		Sep. 2019		26,105,625		835,548
11		20 Year U.S. Treasury Bonds		Sep. 2019		1,711,531		20,422
536		30 Year U.S. Ultra Treasury Bonds		Sep. 2019		95,173,500		4,191,446
								16,248,616
Short Positions:
886		2 Year U.S. Treasury Notes		Sep. 2019		190,649,203		(1,153,706	)
73		10 Year Euro-Bund		Sep. 2019		14,338,854		(220,185	)
								(1,373,891	)
							$	14,874,725

Forward foreign currency exchange contracts outstanding at June 30, 2019:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
British Pound,
Expiring 07/02/19		JPMorgan Chase Bank, N.A.	GBP	4,800	$	6,124,149	$	6,097,234	$	—	$	(26,915	)
Euro,
Expiring 07/02/19		Bank of America, N.A.	EUR	47,564		54,198,723		54,103,047		—		(95,676	)
					$	60,322,872	$	60,200,281	$	—	$	(122,591	)

Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 07/22/19		Bank of America, N.A.	AUD	559	$	400,389	$	393,042	$	7,347	$	—
British Pound,
Expiring 07/02/19		BNP Paribas S.A.	GBP	4,688		5,947,823		5,954,986		—		(7,163	)
Expiring 07/02/19		JPMorgan Chase Bank, N.A.	GBP	112		142,685		142,247		438		—
Expiring 08/02/19		JPMorgan Chase Bank, N.A.	GBP	4,800		6,133,317		6,106,768		26,549		—

SEE NOTES TO FINANCIAL STATEMENTS.

A57

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2019 (continued):

Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts (continued):
Euro,
Expiring 07/02/19		Citibank, N.A.	EUR	46,524	$	52,241,910	$	52,920,060	$	—	$	(678,150	)
Expiring 07/02/19		Citibank, N.A.	EUR	1,040		1,167,492		1,182,988		—		(15,496	)
Expiring 07/19/19		Bank of America, N.A.	EUR	2,850		3,223,991		3,246,556		—		(22,565	)
Expiring 07/19/19		Bank of America, N.A.	EUR	374		420,412		426,085		—		(5,673	)
Expiring 07/19/19		Barclays Bank PLC	EUR	785		887,989		894,461		—		(6,472	)
Expiring 07/19/19		Citibank, N.A.	EUR	1,888		2,144,368		2,150,525		—		(6,157	)
Expiring 07/19/19		Morgan Stanley & Co. International PLC	EUR	8		9,193		9,335		—		(142	)
Expiring 08/02/19		Bank of America, N.A.	EUR	47,564		54,336,134		54,244,434		91,700		—
					$	127,055,703	$	127,671,487	$	126,034	$	(741,818	)
									$	126,034	$	(864,409	)

Credit default swap agreements outstanding at June 30, 2019:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1):
Kingdom of Spain		06/20/23		1.000%(Q)		2,100	$	(66,292	)	$	(51,964	)	$	(14,328	)	Bank of America, N.A.
United Mexican States		06/20/23		1.000%(Q)		665		(3,591	)		4,137			(7,728	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		655		(3,537	)		10,327			(13,864	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		(1,188	)		3,884			(5,072	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		(1,187	)		3,567			(4,754	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		215		(1,161	)		1,258			(2,419	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		115		(621	)		715			(1,336	)	Citibank, N.A.
							$	(77,577	)	$	(28,076	)	$	(49,501	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2019(4)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2):
Brooklyn^		12/20/19		—(Q)		4,090			*	$	1,390		$	(1,391	)	$	2,781		Citibank, N.A.
Hellenic Republic		06/20/23		1.000%(Q)		660		2.253	%		(30,453	)		(64,559	)		34,106		Citibank, N.A.
Hellenic Republic		06/20/24		1.000%(Q)		500		2.630	%		(36,521	)		(108,125	)		71,604		Barclays Bank PLC
Hellenic Republic		12/20/25		1.000%(Q)		1,280		3.033	%		(144,355	)		(231,773	)		87,418		Bank of America, N.A.
																			Morgan Stanley & Co.
Kingdom of Saudi Arabia		06/20/24		1.000%(Q)		405		0.821	%		3,549			1,918			1,631		International PLC
Kingdom of Spain		06/20/23		1.000%(Q)		2,100		0.311	%		56,446			31,812			24,634		Bank of America, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		550		3.268	%		(44,888	)		(30,406	)		(14,482	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		545		3.268	%		(44,480	)		(36,167	)		(8,313	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		3.268	%		(15,098	)		(12,581	)		(2,517	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		3.268	%		(15,098	)		(12,353	)		(2,745	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		180		3.268	%		(14,691	)		(9,998	)		(4,693	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		90		3.268	%		(7,346	)		(4,973	)		(2,373	)	Citibank, N.A.
Republic of Brazil		09/20/19		1.000%(Q)		2,815		0.419	%		4,648			6,582			(1,934	)	HSBC Bank USA, N.A.
Republic of Italy		09/20/20		1.000%(Q)		5,650		0.877	%		10,189			26,214			(16,025	)	JPMorgan Chase Bank, N.A.
Republic of Korea		09/20/19		1.000%(Q)		2,160		0.094	%		5,196			4,360			836		Citibank, N.A.
State of Illinois		06/20/24		1.000%(Q)		580		1.420	%		(10,872	)		(7,441	)		(3,431	)	Citibank, N.A.
										$	(282,384	)	$	(448,881	)	$	166,497

SEE NOTES TO FINANCIAL STATEMENTS.

A58

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Credit default swap agreements outstanding at June 30, 2019 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date		Value at June 30, 2019		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):
CDX.NA.IG.32.V1		06/20/29		1.000%(Q)		7,525	$	105,515	$	17,970	$	(87,545	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on credit indices - Buy Protection(1):
CMBX.NA.10.AAA		11/17/59		0.500%(M)		6,000	$	(48,125	)	$	68,926	$	(117,051	)	Deutsche Bank AG

Reference Entity/ Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Implied Credit Spread at June 30, 2019(4)

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)

Counterparty

OTC Credit Default Swap Agreement on credit indices - Sell Protection(2):

CMBX.NA.6.AA

05/11/63

1.500%(M)

650

*

$

14,168

$

(2,368

)

$16,536

Deutsche Bank AG

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

* When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreement outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date(4)		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreement^:
	68,692		07/12/19		—(3)	—(3)	$	(130,487	)	$	—	$	(130,487	)	Citigroup Global Markets, Inc.

SEE NOTES TO FINANCIAL STATEMENTS.

A59

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payments based on CMM102 minus 7 year CMS minus 1.3375% upon termination.

(4) The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

Notional Amount (000)#			Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	CNH	16,230		06/14/24		2.900%(Q)	7 Day China Fixing Repo Rates(2)(Q)	$	58		$	(266	)	$	(324)
	CNH	46,000		06/28/24		2.901%(Q)	7 Day China Fixing Repo Rates(2)(Q)		—			(2,339	)		(2,339	)
	EUR	7,065		05/11/21		(0.300)%(A)	1 Day EONIA(1)(A)		(6,014	)		(33,961	)		(27,947	)
	EUR	8,125		05/11/22		(0.250)%(A)	1 Day EONIA(1)(A)		(5,161	)		(70,531	)		(65,370	)
	EUR	4,650		05/11/23		(0.100)%(A)	1 Day EONIA(1)(A)		(26,137	)		(78,146	)		(52,009	)
	EUR	3,980		05/11/24		0.050%(A)	1 Day EONIA(1)(A)		(61,623	)		(104,654	)		(43,031	)
	EUR	2,110		05/11/25		0.100%(A)	1 Day EONIA(1)(A)		(12,404	)		(63,476	)		(51,072	)
	EUR	3,815		05/11/26		0.250%(A)	1 Day EONIA(1)(A)		(62,921	)		(156,822	)		(93,901	)
	EUR	1,880		05/11/29		0.600%(A)	1 Day EONIA(1)(A)		(122,780	)		(134,126	)		(11,346	)
	EUR	2,420		05/11/33		0.750%(A)	1 Day EONIA(1)(A)		(45,098	)		(190,789	)		(145,691	)
	EUR	1,240		05/11/36		0.950%(A)	1 Day EONIA(1)(A)		(23,480	)		(133,271	)		(109,791	)
	EUR	230		05/11/37		0.950%(A)	1 Day EONIA(1)(A)		(6,564	)		(24,439	)		(17,875	)
	EUR	6,100		10/25/37		2.085%(A)	3 Month EURIBOR(2)(Q)		—			649,008			649,008
	EUR	6,100		10/25/37		2.114%(A)	6 Month EURIBOR(1)(S)		—			(668,363	)		(668,363	)
	EUR	2,495		05/11/39		1.100%(A)	1 Day EONIA(1)(A)		(257,601	)		(343,730	)		(86,129	)
	EUR	195		05/11/42		1.100%(A)	1 Day EONIA(1)(A)		(4,923	)		(28,016	)		(23,093	)
	EUR	3,920		03/19/48		1.650%(A)	3 Month EURIBOR(2)(Q)		—			281,124			281,124
	EUR	3,920		03/19/48		1.658%(A)	6 Month EURIBOR(1)(S)		—			(279,010	)		(279,010	)
	GBP	230		05/08/34		1.200%(A)	1 Day SONIA(1)(A)		(9,088	)		(11,734	)		(2,646	)
	JPY	4,844,850		12/17/20		0.015%(S)	6 Month JPY LIBOR(1)(S)		—			(60,610	)		(60,610	)
	JPY	2,058,960		01/29/21		(0.014)%(S)	6 Month JPY LIBOR(1)(S)		—			(22,860	)		(22,860	)
		43,825		03/12/20		2.405%(A)	1 Day USOIS(2)(A)		—			158,758			158,758
		65,680		04/25/20		2.328%(A)	1 Day USOIS(2)(A)		(1,064	)		262,356			263,420
		43,210		01/10/21		2.408%(A)	1 Day USOIS(1)(A)		(1,332	)		(507,049	)		(505,717	)
		24,116		03/31/21		2.173%(A)	1 Day USOIS(2)(A)		(8,487	)		240,627			249,114
		1,895		09/27/21		2.330%(A)	1 Day USOIS(1)(A)		(527	)		(32,352	)		(31,825	)
		5,260		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(123,285	)		(123,285	)
		4,490		09/27/22		2.360%(A)	1 Day USOIS(1)(A)		53			(121,947	)		(122,000	)
		6,920		02/15/24		2.115%(S)	3 Month LIBOR(1)(Q)		16,360			(145,866	)		(162,226	)
		16,137		02/15/24		2.151%(S)	3 Month LIBOR(1)(Q)		(17,628	)		(368,113	)		(350,485	)
		19,590		02/15/24		2.183%(S)	3 Month LIBOR(1)(Q)		(27,672	)		(477,678	)		(450,006	)
		3,650		05/15/24		1.808%(A)	1 Day USOIS(1)(A)		—			(48,038	)		(48,038	)
		11,070		08/15/24		2.168%(S)	3 Month LIBOR(1)(Q)		—			(276,433	)		(276,433	)
		88,455		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		297,704			(2,216,658	)		(2,514,362	)
		29,940		08/15/24		2.176%(S)	3 Month LIBOR(1)(Q)		102,544			(759,127	)		(861,671	)
		34,400		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		120,853			(988,755	)		(1,109,608	)
		6,025		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		5,665			(303,725	)		(309,390	)
		2,040		02/28/25		3.019%(S)	3 Month LIBOR(1)(Q)		—			(152,742	)		(152,742	)
		41,999		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(29,049	)		(2,880,750	)		(2,851,701	)
		2,620		07/31/25		2.802%(A)	1 Day USOIS(1)(A)		—			(197,378	)		(197,378	)
		8,910		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		7,030			(752,824	)		(759,854	)
		26,843		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		939			(2,275,386	)		(2,276,325	)
		4,420		01/31/26		2.236%(S)	3 Month LIBOR(1)(Q)		—			(117,502	)		(117,502	)
		26,791		01/31/26		2.269%(A)	1 Day USOIS(1)(A)		(78,239	)		(1,189,227	)		(1,110,988	)
		4,036		01/31/26		2.406%(S)	3 Month LIBOR(1)(Q)		—			(150,182	)		(150,182	)
		6,705		03/12/26		2.290%(A)	1 Day USOIS(1)(A)		138			(306,395	)		(306,533	)
		18,032		04/30/26		1.876%(S)	3 Month LIBOR(1)(Q)		(73,020	)		(89,953	)		(16,933	)
		15,934		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		211,226			(214,290	)		(425,516	)
		6,555		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		7,830			(125,724	)		(133,554	)

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest rate swap agreements outstanding at June 30, 2019 (continued):

Notional Amount (000)#			Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
		2,515		02/15/27		1.965%(A)	1 Day USOIS(1)(A)	$	—		$	(60,870	)	$	(60,870	)
		7,480		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(5,086	)		(239,554	)		(234,468	)
		5,020		05/08/27		2.309%(S)	3 Month LIBOR(1)(Q)		—			(161,935	)		(161,935	)
		3,295		05/15/27		1.823%(A)	1 Day USOIS(1)(A)		—			(48,152	)		(48,152	)
		2,095		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			(65,630	)		(65,630	)
		16,008		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(241,841	)		(1,253,545	)		(1,011,704	)
		9,330		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(40,174	)		(761,526	)		(721,352	)
		2,905		02/15/42		1.369%(A)	1 Day USOIS(1)(A)		203			314,010			313,807
		580		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			(52,264	)		(52,264	)
		1,835		09/27/46		1.380%(A)	1 Day USOIS(1)(A)		183			236,224			236,041
		1,100		04/09/48		2.545%(S)	3 Month LIBOR(1)(Q)		—			(81,736	)		(81,736	)
		1,020		05/08/48		2.627%(S)	3 Month LIBOR(1)(Q)		—			(94,535	)		(94,535	)
								$	(397,127	)	$	(17,906,162	)	$	(17,509,035	)

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Interest Rate Swap Agreement:
	525		03/05/49		2.403%(Q)	1 Week MUNIPSA(1)(Q)	$	(75,466	)	$	—	$	(75,466	)	JPMorgan Chase Bank, N.A.

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Total return swap agreements outstanding at June 30, 2019:

Reference Entity	Financing Rate	Counterparty		Termination Date		Long (Short) Notional Amount (000)#(1)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)(2)
OTC Total Return Swap Agreement:
IOS.FN30.450.10(M)	1 Month LIBOR(M)		Credit Suisse International		1/12/41		2,579	$	(12,322	)	$	(7,877	)	$	(4,445	)

(1) On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.

(2) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate and Swap Agreements:

	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—		$	—	$	(130,487	)
OTC Swap Agreements	$	163,700	$	(581,976	)	$	239,546	$	(302,976	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	20,761,313

SEE NOTES TO FINANCIAL STATEMENTS.

A61

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—		$	8,595,019		$	—
Collateralized Loan Obligations.		—			210,141,591			—
Consumer Loans		—			20,152,368			—
Credit Cards		—			2,998,104			—
Home Equity Loans.		—			11,910,225			—
Other		—			261,770			—
Residential Mortgage-Backed Securities		—			29,198,255			—
Student Loans		—			21,385,650			—
Bank Loans		—			7,466,221			—
Commercial Mortgage-Backed Securities		—			166,073,095			—
Corporate Bonds		—			437,386,471			—
Municipal Bonds		—			22,108,387			—
Residential Mortgage-Backed Securities		—			64,633,211			—
Sovereign Bonds		—			86,330,708			—
U.S. Government Agency Obligations		—			11,733,756			—
U.S. Treasury Obligations		—			19,566,763			—
Preferred Stocks		2,167,300			—			—
Affiliated Mutual Funds		51,565,706			—			—
Options Purchased		113,914			686,911			—
Options Written		(55,325	)		(87,488	)		—
Other Financial Instruments*
Futures Contracts		14,874,725			—			—
OTC Forward Foreign Currency Exchange Contracts		—			(738,375	)		—
Centrally Cleared Credit Default Swap Agreement		—			(87,545	)		—
OTC Credit Default Swap Agreements		—			(395,308	)		1,390
OTC Forward Rate Agreement		—			—			(130,487	)
Centrally Cleared Interest Rate Swap Agreements		—			(17,509,035	)		—
OTC Interest Rate Swap Agreement		—			(75,466	)		—
OTC Total Return Swap Agreement		—			(12,322	)		—
Total	$	68,666,320		$	1,101,722,966		$	(129,097	)

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:

	Asset-Backed Securities Residential Mortgage-Backed Securities			Bank Loans			Residential Mortgage-Backed Securities			Credit Default Swap Agreements			Forward Rate Agreements
Balance as of 12/31/18	$	7,996,987		$	1,004,500		$	5,400,000		$	8,505			(130,337	)
Realized gain (loss)		17,100			—			—			9,072			15,592
Change in unrealized appreciation (depreciation)		(60,181	)		—			—			1,390			(150	)
Purchases/Exchanges/Issuances		—			—			—			—			—
Sales/Paydowns		(6,253,906	)		—			—			(17,577	)		(15,592	)
Accrued discount/premium		—			—			—			—			—
Transfers into of Level 3		—			—			—			—			—
Transfers out of Level 3		(1,700,000	)		(1,004,500	)		(5,400,000	)		—			—
Balance as of 06/30/19	$	—		$	—		$	—		$	1,390		$	(130,487	)
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	—		$	—		$	—		$	1,390		$	(130,487	)

SEE NOTES TO FINANCIAL STATEMENTS.

A62

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:

Level 3 Securities	Fair Value as of June 30, 2019			Valuation Methodology		Unobservable Inputs
Credit Default Swap Agreements	$	1,390			Market Approach		Single Broker Indicative Quote
Forward Rate Agreements		(130,487	)		Market Approach		Forward Rate Volatility & Convexity Adjustment
	$	(129,097	)

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:

Investments in Securities	Amount Transferred		Level Transfer		Logic
Asset-Backed Securities-Residential Mortgage-Backed Securities	$	1,700,000		L3 to L2	Single Broker Indicative Quote to Evaluated Bid
Bank Loans	$	1,004,500		L3 to L2	Single Broker Indicative Quote to Multiple Broker Quotes
Residential Mortgage-Backed Securities	$	5,400,000		L3 to L2	Single Broker Indicative Quote to Evaluated Bid

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Collateralized Loan Obligations	18.0	%
Commercial Mortgage-Backed Securities	14.2
Banks	11.7
Residential Mortgage-Backed Securities	8.0
Sovereign Bonds	7.4
Affiliated Mutual Funds (1.0% represents investments purchased with collateral from securities on loan)	4.4
Oil & Gas	2.4
Electric	2.3
Media	2.2
Pharmaceuticals	2.0
Municipal Bonds	1.9
Student Loans	1.8
Consumer Loans	1.7
U.S. Treasury Obligations	1.7
Chemicals	1.5
Telecommunications	1.5
Pipelines	1.1
Insurance	1.0
Home Equity Loans	1.0
Healthcare-Services	1.0
U.S. Government Agency Obligations	1.0
Diversified Financial Services	1.0
Automobiles	0.8
Auto Manufacturers	0.7
Aerospace & Defense	0.7
Healthcare-Products	0.7
Retail	0.6
Commercial Services	0.6
Software	0.6
Semiconductors	0.5

Airlines	0.5	%
Auto Parts & Equipment	0.5
Home Builders	0.5
Foods	0.5
Multi-National	0.4
Machinery-Diversified	0.4
Building Materials	0.3
Lodging	0.3
Gas	0.3
Credit Cards	0.3
Agriculture	0.2
Engineering & Construction	0.2
Biotechnology	0.2
Miscellaneous Manufacturing	0.2
Apparel	0.2
Computers	0.2
Electronics	0.2
Mining	0.1
Savings & Loans	0.1
Entertainment	0.1
Internet	0.1
Forest Products & Paper	0.1
Packaging & Containers	0.1
Office/Business Equipment	0.1
Beverages	0.1
Capital Markets	0.1
Options Purchased	0.1
Housewares	0.1
Oil & Gas Services	0.0	*
Home Furnishings	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)
Textiles	0.0	%*
Other	0.0	*
Transportation	0.0	*
	100.5
Options Written	(0.0	)*
Liabilities in excess of other assets	(0.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair value of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	—	$	—		Due from/to broker-variation margin swaps	$	87,545	*
Credit contracts	Premiums paid for OTC swap agreements		163,700		Premiums received for OTC swap agreements		574,099
Credit contracts	—		—		Options written outstanding, at value		87,488
Credit contracts	Unrealized appreciation on OTC swap agreements		239,546		Unrealized depreciation on OTC swap agreements		223,065
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		126,034		Unrealized depreciation on OTC forward foreign currency exchange contracts		864,409
Interest rate contracts	Due from/to broker-variation margin futures		16,248,616	*	Due from/to broker-variation margin futures		1,373,891	*
Interest rate contracts	Due from/to broker-variation margin swaps		2,151,272	*	Due from/to broker-variation margin swaps		19,660,307	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		7,877
Interest rate contracts	Unaffiliated investments		800,825		Options written outstanding, at value		55,325
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		130,487
Interest rate contracts	—		—		Unrealized depreciation on OTC swap agreements		79,911
		$	19,729,993			$	23,144,404

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A64

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures		Forward Currency Contracts		Forward Rate Agreements		Swaps
Credit contracts	$	(23,349	)	$	301,826	$	—	$	—	$	—	$	349,408
Foreign exchange contracts		—			—		—		1,422,989		—		—
Interest rate contracts		42,337			61,239		37,296,765		—		173		3,261,479
Total	$	18,988		$	363,065	$	37,296,765	$	1,422,989	$	173	$	3,610,887

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)			Options Written		Futures			Forward Currency Exchange Contracts			Forward Rate Agreements			Swaps
Credit contracts	$	19,301		$	248,303	$	—		$	—		$	—		$	(127,463	)
Foreign exchange contracts.		—			—		—			(224,099	)		—			—
Interest rate contracts		(23,986	)		144,163		(4,351,156	)		—			(150	)		(22,398,397	)
Total	$	(4,685	)	$	392,466	$	(4,351,156	)	$	(224,099	)	$	(150	)	$	(22,525,860	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts— Purchased(3)
$160,610	$109,055,775	$939,400,865	$305,436,264	$21,899,009

Forward Foreign Currency Exchange Contracts—Sold(3)	Cross Currency Exchange Contracts(4)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$83,536,721	$108,571	$168,897,333	$866,392,318	$37,231,000

Credit Default Swap Agreements— Sell Protection(2)	Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$49,010,667	$2,671,667	$2,840,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

(4) Value at Trade Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	11,830,851	$	(11,830,851	)	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A65

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	765,849	$	(475,848	)	$	290,001		$	(290,001	)	$	—
Barclays Bank PLC		205,035		(114,597	)		90,438			—			90,438
BNP Paribas S.A.		—		(10,880	)		(10,880	)		—			(10,880	)
Citibank, N.A.		66,318		(953,399	)		(887,081	)		887,081			—
Citigroup Global Markets, Inc.		—		(130,487	)		(130,487	)		130,487			—
Credit Suisse International		—		(12,322	)		(12,322	)		—			(12,322	)
Deutsche Bank AG		85,462		(123,105	)		(37,643	)		—			(37,643	)
Goldman Sachs International		—		(13,267	)		(13,267	)		—			(13,267	)
HSBC Bank USA, N.A.		6,582		(1,934	)		4,648			—			4,648
JPMorgan Chase Bank, N.A.		53,201		(118,406	)		(65,205	)		—			(65,205	)
Morgan Stanley & Co. International PLC		33,744		(13,091	)		20,653			—			20,653
	$	1,216,191	$	(1,967,336	)	$	(751,145	)	$	727,567		$	(23,578	)

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A66

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $11,830,851:
Unaffiliated investments (cost $1,085,380,954)	$	1,122,909,719
Affiliated investments (cost $52,029,744)		51,565,706
Cash		1,517,421
Foreign currency, at value (cost $136,261)		136,186
Dividends and interest receivable		9,486,810
Receivable for investments sold		1,051,502
Receivable for Portfolio shares sold		264,169
Unrealized appreciation on OTC swap agreements		239,546
Due from broker-variation margin swaps		189,849
Premiums paid for OTC swap agreements		163,700
Unrealized appreciation on OTC forward foreign currency exchange contracts		126,034
Tax reclaim receivable		38,586
Prepaid expenses		1,260
Total Assets		1,187,690,488
LIABILITIES
Payable to broker for collateral for securities on loan		12,031,616
Payable for investments purchased		4,580,592
Unrealized depreciation on OTC forward foreign currency exchange contracts		864,409
Premiums received for OTC swap agreements		581,976
Management fee payable.		384,726
Unrealized depreciation on OTC swap agreements		302,976
Payable for Portfolio shares repurchased		213,306
Accrued expenses and other liabilities		175,277
Options written outstanding, at value (proceeds received $373,652)		142,813
Unrealized depreciation on OTC forward rate agreements		130,487
Due to broker-variation margin futures		15,075
Affiliated transfer agent fee payable		980
Total Liabilities		19,424,233
NET ASSETS	$	1,168,266,255
Net assets were comprised of:
Partners Equity	$	1,168,266,255
Net asset value and redemption price per share, $1,168,266,255 / 82,684,756 outstanding shares of beneficial interest	$	14.13

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of $1,801 foreign withholding tax)	$	22,059,473
Affiliated dividend income.		828,051
Unaffiliated dividend income		74,672
Income from securities lending, net (including affiliated income of $13,466)		13,770
Total income		22,975,966
EXPENSES
Management fee		2,272,857
Custodian and accounting fees		96,006
Shareholders’ reports		67,064
Audit fee		26,610
Trustees’ fees		10,876
Legal fees and expenses		7,278
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		15,809
Total expenses		2,501,797
NET INVESTMENT INCOME (LOSS)		20,474,169
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $1,423)		2,823,162
Futures transactions		37,296,765
Forward rate agreement transactions		173
Forward currency contract transactions		1,422,989
Options written transactions.		363,065
Swap agreements transactions		3,610,887
Foreign currency transactions		172,597
		45,689,638
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $81,310)		45,842,636
Futures		(4,351,156	)
Forward rate agreements		(150	)
Forward currency contracts		(224,099	)
Options written		392,466
Swap agreements		(22,525,860	)
Foreign currencies.		(167,584	)
		18,966,253
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		64,655,891
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	85,130,060

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	20,474,169		$	38,991,560
Net realized gain (loss) on investment and foreign currency transactions		45,689,638			(15,612,916	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		18,966,253			(26,218,514	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		85,130,060			(2,839,870	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,384,881 and 6,799,295 shares, respectively]		18,786,575			88,168,310
Portfolio shares repurchased [4,286,237 and 8,370,109 shares, respectively]		(58,575,775	)		(108,237,839	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(39,789,200	)		(20,069,529	)
CAPITAL CONTRIBUTIONS		—			736,677
TOTAL INCREASE (DECREASE)		45,340,860			(22,172,722	)
NET ASSETS:
Beginning of period		1,122,925,395			1,145,098,117
End of period	$	1,168,266,255		$	1,122,925,395

SEE NOTES TO FINANCIAL STATEMENTS.

A67

EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

LONG-TERM INVESTMENTS — 96.2%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 5.6%
Airbus SE (France)		325,058	$	46,123,993
Boeing Co. (The)		299,873		109,156,771
Safran SA (France)		393,957		57,774,459
United Technologies Corp.		289,395		37,679,229
				250,734,452
Banks — 7.4%
Bank of America Corp.		2,680,476		77,733,804
BB&T Corp.(a)		959,493		47,139,891
Citigroup, Inc.		862,789		60,421,113
JPMorgan Chase & Co.		835,171		93,372,118
PNC Financial Services Group, Inc. (The)		391,017		53,678,814
				332,345,740
Beverages — 0.3%
Constellation Brands, Inc. (Class A Stock)(a)		75,416		14,852,427
Biotechnology — 0.8%
Alexion Pharmaceuticals, Inc.*		267,509		35,038,329
Building Products — 0.9%
Johnson Controls International PLC(a)		966,810		39,938,921
Capital Markets — 0.7%
Goldman Sachs Group, Inc. (The)		155,513		31,817,960
Chemicals — 1.7%
FMC Corp.		332,436		27,575,566
Linde PLC (United Kingdom)		251,825		50,566,460
				78,142,026
Communications Equipment — 1.6%
Cisco Systems, Inc.		1,273,611		69,704,730
Consumer Finance — 1.4%
Capital One Financial Corp.		410,023		37,205,487
SLM Corp.		2,417,395		23,497,079
				60,702,566
Diversified Telecommunication Services — 1.0%
Verizon Communications, Inc.		805,199		46,001,019
Electric Utilities — 3.1%
American Electric Power Co., Inc.		954,123		83,972,365
Exelon Corp.		1,150,405		55,150,416
				139,122,781
Electrical Equipment — 0.7%
Emerson Electric Co.		484,436		32,321,570
Energy Equipment & Services — 0.4%
Schlumberger Ltd.		442,893		17,600,568
Entertainment — 3.7%
Netflix, Inc.*		223,908		82,245,887
Walt Disney Co. (The)		587,435		82,029,423
				164,275,310
Equity Real Estate Investment Trusts (REITs) — 1.5%
American Tower Corp.		248,622		50,830,768
Crown Castle International Corp.		119,828		15,619,580
				66,450,348

COMMON STOCKS
(continued)	Shares		Value
Food & Staples Retailing — 2.7%
Costco Wholesale Corp.		196,786	$	52,002,669
Walmart, Inc.		612,166		67,638,221
				119,640,890
Food Products — 1.7%
Conagra Brands, Inc.(a)		870,016		23,072,824
Mondelez International, Inc. (Class A Stock)		980,891		52,870,025
				75,942,849
Health Care Equipment & Supplies — 2.9%
Edwards Lifesciences Corp.*		221,731		40,962,585
Intuitive Surgical, Inc.*(a)		80,011		41,969,770
Zimmer Biomet Holdings, Inc.		387,711		45,649,093
				128,581,448
Health Care Providers & Services — 0.9%
Guardant Health, Inc.*		47,846		4,130,545
Laboratory Corp. of America Holdings*		222,035		38,389,852
				42,520,397
Hotels, Restaurants & Leisure — 1.5%
Marriott International, Inc. (Class A Stock)(a)		204,149		28,640,063
McDonald’s Corp.		192,142		39,900,208
				68,540,271
Insurance — 2.2%
Chubb Ltd.		352,702		51,949,478
MetLife, Inc.		969,518		48,155,959
				100,105,437
Interactive Media & Services — 6.3%
Alphabet, Inc. (Class A Stock)*		81,883		88,662,912
Alphabet, Inc. (Class C Stock)*		56,151		60,694,178
Facebook, Inc. (Class A Stock)*		453,248		87,476,864
Tencent Holdings Ltd. (China)		1,014,451		45,816,583
				282,650,537
Internet & Direct Marketing Retail — 4.9%
Alibaba Group Holding Ltd. (China), ADR*(a)		413,003		69,983,358
Amazon.com, Inc.*		77,888		147,491,054
				217,474,412
IT Services — 8.0%
Adyen NV (Netherlands), 144A*		73,556		56,823,242
Mastercard, Inc. (Class A Stock)		424,947		112,411,230
PayPal Holdings, Inc.*		417,870		47,829,400
Square, Inc. (Class A Stock)*(a)		454,987		33,000,207
Twilio, Inc. (Class A Stock)*(a)		187,869		25,615,938
Visa, Inc. (Class A Stock)(a)		483,663		83,939,714
				359,619,731
Life Sciences Tools & Services — 1.8%
Illumina, Inc.*(a)		214,234		78,870,247
Media — 1.8%
Comcast Corp. (Class A Stock)		1,248,793		52,798,968
Liberty Global PLC (United Kingdom) (Class C Stock)*		1,062,270		28,182,023
				80,980,991

SEE NOTES TO FINANCIAL STATEMENTS.

A68

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS
(continued)	Shares		Value
Oil, Gas & Consumable Fuels — 3.2%
Chevron Corp.		581,562	$	72,369,575
Noble Energy, Inc.(a)		1,029,037		23,050,429
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		768,007		49,974,216
				145,394,220
Pharmaceuticals — 5.1%
Allergan PLC		41,157		6,890,916
AstraZeneca PLC (United Kingdom), ADR(a)		2,844,723		117,430,165
Eli Lilly & Co.		368,030		40,774,044
Pfizer, Inc.		1,414,624		61,281,512
				226,376,637
Road & Rail — 1.0%
Union Pacific Corp.		266,515		45,070,352
Semiconductors & Semiconductor Equipment — 4.8%
Broadcom, Inc.(a)		274,352		78,974,967
NVIDIA Corp.		292,867		48,097,547
QUALCOMM, Inc.		760,298		57,835,869
Texas Instruments, Inc.		278,851		32,000,941
				216,909,324
Software — 11.3%
Adobe, Inc.*		235,932		69,517,364
Microsoft Corp.		1,285,016		172,140,743
PTC, Inc.*(a)		320,744		28,789,981
salesforce.com, Inc.*		618,510		93,846,522
SAP SE (Germany), ADR		377,932		51,701,098
ServiceNow, Inc.*		147,387		40,468,049
Workday, Inc. (Class A Stock)*(a)		252,892		51,989,537
				508,453,294
Specialty Retail — 0.8%
Lowe’s Cos., Inc.		334,583		33,762,771
Technology Hardware, Storage & Peripherals — 0.4%
Apple, Inc.		101,682		20,124,901
Textiles, Apparel & Luxury Goods — 4.1%
Kering SA (France)		70,468		41,586,553
Lululemon Athletica, Inc.*		317,763		57,264,070
NIKE, Inc. (Class B Stock)		807,894		67,822,701
Tapestry, Inc.		519,011		16,468,219
				183,141,543
TOTAL LONG-TERM INVESTMENTS (cost $2,742,473,501)				4,313,208,999

SHORT-TERM INVESTMENTS — 14.2%
AFFILIATED MUTUAL FUNDS	Shares		Value
PGIM Core Ultra Short Bond Fund(w)		142,351,169	$	142,351,169
PGIM Institutional Money Market Fund (cost $494,264,619; includes $493,345,582 of cash collateral for securities on loan)(b)(w)		494,231,375		494,379,645
TOTAL SHORT-TERM INVESTMENTS (cost $636,615,788)				636,730,814
TOTAL INVESTMENTS — 110.4% (cost $3,379,089,289)				4,949,939,813
LIABILITIES IN EXCESS OF OTHER ASSETS — (10.4)%				(467,434,560	)
NET ASSETS — 100.0%			$	4,482,505,253

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $491,162,081; cash collateral of $493,345,582 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A69

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	146,836,000	$	103,898,452	$	—
Banks		332,345,740		—		—
Beverages		14,852,427		—		—
Biotechnology		35,038,329		—		—
Building Products		39,938,921		—		—
Capital Markets		31,817,960		—		—
Chemicals		78,142,026		—		—
Communications Equipment		69,704,730		—		—
Consumer Finance		60,702,566		—		—
Diversified Telecommunication Services		46,001,019		—		—
Electric Utilities		139,122,781		—		—
Electrical Equipment		32,321,570		—		—
Energy Equipment & Services		17,600,568		—		—
Entertainment		164,275,310		—		—
Equity Real Estate Investment Trusts (REITs)		66,450,348		—		—
Food & Staples Retailing		119,640,890		—		—
Food Products		75,942,849		—		—
Health Care Equipment & Supplies		128,581,448		—		—
Health Care Providers & Services		42,520,397		—		—
Hotels, Restaurants & Leisure		68,540,271		—		—
Insurance		100,105,437		—		—
Interactive Media & Services		236,833,954		45,816,583		—
Internet & Direct Marketing Retail		217,474,412		—		—
IT Services		302,796,489		56,823,242		—
Life Sciences Tools & Services		78,870,247		—		—
Media		80,980,991		—		—
Oil, Gas & Consumable Fuels		145,394,220		—		—
Pharmaceuticals		226,376,637		—		—
Road & Rail		45,070,352		—		—
Semiconductors & Semiconductor Equipment		216,909,324		—		—
Software		508,453,294		—		—
Specialty Retail		33,762,771		—		—
Technology Hardware, Storage & Peripherals		20,124,901		—		—
Textiles, Apparel & Luxury Goods		141,554,990		41,586,553		—
Affiliated Mutual Funds		636,730,814		—		—
Total	$	4,701,814,983	$	248,124,830	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Affiliated Mutual Funds (11.0% represents investments purchased with collateral from securities on loan)	14.2	%
Software	11.3
IT Services	8.0
Banks	7.4
Interactive Media & Services	6.3
Aerospace & Defense	5.6
Pharmaceuticals	5.1
Internet & Direct Marketing Retail	4.9
Semiconductors & Semiconductor Equipment	4.8
Textiles, Apparel & Luxury Goods	4.1
Entertainment	3.7
Oil, Gas & Consumable Fuels	3.2
Electric Utilities	3.1

Health Care Equipment & Supplies	2.9	%
Food & Staples Retailing	2.7
Insurance	2.2
Media	1.8
Life Sciences Tools & Services	1.8
Chemicals	1.7
Food Products	1.7
Communications Equipment	1.6
Hotels, Restaurants & Leisure	1.5
Equity Real Estate Investment Trusts (REITs)	1.5
Consumer Finance	1.4
Diversified Telecommunication Services	1.0
Road & Rail	1.0
Health Care Providers & Services	0.9

SEE NOTES TO FINANCIAL STATEMENTS.

A70

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)

Building Products	0.9	%
Biotechnology	0.8
Specialty Retail	0.8
Electrical Equipment	0.7
Capital Markets	0.7
Technology Hardware, Storage & Peripherals	0.4

Energy Equipment & Services	0.4	%
Beverages	0.3
	110.4
Liabilities in excess of other assets	(10.4	)
	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	491,162,081	$	(491,162,081	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A71

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $491,162,081:
Unaffiliated investments (cost $2,742,473,501)	$	4,313,208,999
Affiliated investments (cost $636,615,788)		636,730,814
Cash		5,277
Foreign currency, at value (cost $151)		151
Receivable for investments sold		34,295,587
Dividends receivable		2,754,176
Tax reclaim receivable		1,139,026
Receivable for Portfolio shares sold		4,075
Prepaid expenses and other assets		12,649
Total Assets		4,988,150,754
LIABILITIES
Payable to broker for collateral for securities on loan		493,345,582
Payable for investments purchased		8,100,774
Management fee payable.		1,625,716
Accrued expenses and other liabilities		1,248,091
Payable to affiliate		676,225
Payable for Portfolio shares repurchased		647,511
Affiliated transfer agent fee payable		980
Distribution fee payable		332
Administration fee payable.		290
Total Liabilities		505,645,501
NET ASSETS	$	4,482,505,253
Net assets were comprised of:
Partners Equity	$	4,482,505,253
Class I:
Net asset value and redemption price per share, $4,480,862,566 / 77,193,590 outstanding shares of beneficial interest	$	58.05
Class II:
Net asset value and redemption price per share, $1,642,687 / 28,737 outstanding shares of beneficial interest	$	57.16

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $623,556 foreign withholding tax, of which $13,151 is reimbursable by an affiliate)	$	35,961,839
Affiliated dividend income		1,591,793
Income from securities lending, net (including affiliated income of $339,943)		649,911
Total income		38,203,543
EXPENSES
Management fee		9,703,837
Distribution fee—Class II		1,982
Administration fee—Class II		1,189
Shareholders’ reports		168,410
Custodian and accounting fees		149,871
Trustees’ fees		28,305
Audit fee		13,321
Legal fees and expenses		12,365
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		42,674
Total expenses		10,127,251
NET INVESTMENT INCOME (LOSS)		28,076,292
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $3,295)		138,938,639
Foreign currency transactions		(90,342	)
		138,848,297
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $112,886)		547,493,754
Foreign currencies		61,812
		547,555,566
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		686,403,863
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	714,480,155

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	28,076,292		$	43,908,728
Net realized gain (loss) on investment and foreign currency transactions		138,848,297			267,278,639
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		547,555,566			(497,934,768	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		714,480,155			(186,747,401	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		3,364,953			16,251,411
Portfolio shares repurchased		(156,405,371	)		(329,183,650	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(153,040,418	)		(312,932,239	)
CAPITAL CONTRIBUTIONS		3			3,505,159
TOTAL INCREASE (DECREASE)		561,439,740			(496,174,481	)
NET ASSETS:
Beginning of period		3,921,065,513			4,417,239,994
End of period	$	4,482,505,253		$	3,921,065,513

SEE NOTES TO FINANCIAL STATEMENTS.

A72

FLEXIBLE MANAGED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

LONG-TERM INVESTMENTS — 95.5%
COMMON STOCKS — 60.3%	Shares		Value
Aerospace & Defense — 2.1%
Airbus SE (France)		1,932	$	274,141
Arconic, Inc.		647,900		16,728,778
General Dynamics Corp.		99,200		18,036,544
Lockheed Martin Corp.		59,400		21,594,276
MTU Aero Engines AG (Germany)		1,152		274,869
Spirit AeroSystems Holdings, Inc. (Class A Stock)		71,300		5,801,681
United Technologies Corp.		178,700		23,266,740
				85,977,029
Air Freight & Logistics — 0.0%
Hub Group, Inc. (Class A Stock)*		43,000		1,805,140
SG Holdings Co. Ltd. (Japan)		400		11,344
				1,816,484
Airlines — 0.1%
ANA Holdings, Inc. (Japan)		300		9,945
Japan Airlines Co. Ltd. (Japan)		300		9,586
Singapore Airlines Ltd. (Singapore)		1,400		9,599
Southwest Airlines Co.		56,400		2,863,992
				2,893,122
Auto Components — 0.0%
Bridgestone Corp. (Japan)		1,600		63,108
Cie Generale des Etablissements Michelin SCA (France)		2,187		277,075
Toyota Industries Corp. (Japan)		400		22,098
				362,281
Automobiles — 0.7%
Ferrari NV (Italy)		347		56,266
Fiat Chrysler Automobiles NV (United Kingdom)		4,355		60,641
Ford Motor Co.		1,648,300		16,862,109
General Motors Co.(a)		315,600		12,160,068
Honda Motor Co. Ltd. (Japan)		4,200		108,754
Isuzu Motors Ltd. (Japan)		1,400		15,958
Mazda Motor Corp. (Japan)		1,500		15,668
Peugeot SA (France)		10,934		269,469
Toyota Motor Corp. (Japan)		2,400		149,279
Volkswagen AG (Germany)		91		15,648
				29,713,860
Banks — 3.2%
Australia & New Zealand Banking Group Ltd. (Australia)		1,440		28,537
Banco Bilbao Vizcaya Argentaria SA (Spain)		55,345		309,159
Bank LeumiLe-Israel BM (Israel)		3,845		27,752
Bank of America Corp.		1,532,750		44,449,750
Barclays PLC (United Kingdom)		144,928		276,146
BNP Paribas SA (France)		2,805		133,260
BOC Hong Kong Holdings Ltd. (China)		61,000		239,904
Citigroup, Inc.		466,550		32,672,496
Citizens Financial Group, Inc.		55,700		1,969,552
Commerzbank AG (Germany)		2,585		18,613
Commonwealth Bank of Australia (Australia)		692		40,228

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Credit Agricole SA (France)		3,038	$	36,409
DBS Group Holdings Ltd. (Singapore)		12,300		235,966
DNB ASA (Norway)		14,147		263,440
Erste Group Bank AG (Austria)*		1,366		50,718
Hang Seng Bank Ltd. (Hong Kong)		1,900		47,180
HSBC Holdings PLC (United Kingdom)		24,735		206,465
Intesa Sanpaolo SpA (Italy)		38,238		81,814
Israel Discount Bank Ltd. (Israel) (Class A Stock)		4,449		18,170
JPMorgan Chase & Co.		160,294		17,920,869
KBC Group NV (Belgium)		631		41,418
Lloyds Banking Group PLC (United Kingdom)		182,654		131,510
Mitsubishi UFJ Financial Group, Inc. (Japan)		73,200		348,279
Raiffeisen Bank International AG (Austria)		7,379		173,311
Resona Holdings, Inc. (Japan)		5,400		22,522
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		22,746		210,301
Societe Generale SA (France)		2,663		67,292
Sumitomo Mitsui Financial Group, Inc. (Japan)		3,400		120,236
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		3,200		116,259
United Overseas Bank Ltd. (Singapore)		3,500		67,555
Wells Fargo & Co.		729,500		34,519,940
				134,845,051
Beverages — 1.5%
Asahi Group Holdings Ltd. (Japan)		3,400		153,132
Carlsberg A/S (Denmark) (Class B Stock)		345		45,696
Coca-Cola Co. (The)		89,700		4,567,524
Coca-Cola European Partners PLC (United Kingdom)		5,200		293,800
Diageo PLC (United Kingdom)		497		21,403
Keurig Dr. Pepper, Inc.(a)		407,600		11,779,640
Monster Beverage Corp.*		230,200		14,693,666
National Beverage Corp.(a)		22,600		1,008,638
PepsiCo, Inc.		243,020		31,867,212
Treasury Wine Estates Ltd. (Australia)		1,817		19,073
				64,449,784
Biotechnology — 1.8%
AbbVie, Inc.		170,900		12,427,848
Alexion Pharmaceuticals, Inc.*		120,100		15,730,698
Amgen, Inc.		19,108		3,521,222
Biogen, Inc.*		57,800		13,517,686
Gilead Sciences, Inc.		328,350		22,183,326
Vertex Pharmaceuticals, Inc.*		32,000		5,868,160
				73,248,940

SEE NOTES TO FINANCIAL STATEMENTS.

A73

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Building Products — 0.5%
Geberit AG (Switzerland)		95	$	44,347
Johnson Controls International PLC		412,000		17,019,720
Kingspan Group PLC (Ireland)		855		46,421
Universal Forest Products, Inc.		73,600		2,801,216
				19,911,704
Capital Markets — 1.6%
3i Group PLC (United Kingdom)		20,112		284,502
Affiliated Managers Group, Inc.		71,300		6,569,582
Ameriprise Financial, Inc.		84,950		12,331,342
ASX Ltd. (Australia)		1,197		69,233
Goldman Sachs Group, Inc. (The)		98,900		20,234,940
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		4,100		145,007
Invesco Ltd.		119,500		2,444,970
LPL Financial Holdings, Inc.		35,100		2,863,107
Macquarie Group Ltd. (Australia)		837		73,668
Morgan Stanley		436,050		19,103,350
Raymond James Financial, Inc.		25,500		2,156,025
Singapore Exchange Ltd. (Singapore)		2,000		11,716
				66,287,442
Chemicals — 1.1%
Air Liquide SA (France)		161		22,537
Air Products & Chemicals, Inc.		14,100		3,191,817
Arkema SA (France)		1,747		162,654
Covestro AG (Germany), 144A		500		25,442
DuPont de Nemours, Inc.		238,600		17,911,702
Evonik Industries AG (Germany)		408		11,911
Huntsman Corp.		245,800		5,024,152
Israel Chemicals Ltd. (Israel)		33,296		174,548
LANXESS AG (Germany)		225		13,400
LyondellBasell Industries NV (Class A Stock)		170,400		14,676,552
Mitsubishi Chemical Holdings Corp. (Japan)		3,300		23,104
Mitsubishi Gas Chemical Co., Inc. (Japan)		900		12,034
Mitsui Chemicals, Inc. (Japan)		500		12,415
Orica Ltd. (Australia)		964		13,710
Shin-Etsu Chemical Co. Ltd. (Japan)		3,400		317,558
Showa Denko KK (Japan)		1,300		38,474
Solvay SA (Belgium)		185		19,212
Teijin Ltd. (Japan)		700		11,951
Trinseo SA		98,400		4,166,256
				45,829,429
Commercial Services & Supplies — 0.0%
Securitas AB (Sweden) (Class B Stock).		804		14,098
UniFirst Corp.		6,100		1,150,277
				1,164,375
Communications Equipment — 1.0%
Acacia Communications, Inc.*		29,500		1,391,220
Cisco Systems, Inc.		768,700		42,070,951

COMMON STOCKS (continued)	Shares			Value
Communications Equipment (continued)
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		7,954		$	75,563
					43,537,734
Construction & Engineering — 0.3%
ACS Actividades de Construccion y Servicios SA (Spain)		3,847			153,625
CIMIC Group Ltd. (Australia)		249			7,827
Eiffage SA (France)		200			19,764
EMCOR Group, Inc.		75,900			6,686,790
Kajima Corp. (Japan)		1,200			16,509
Obayashi Corp. (Japan)		23,800			234,919
Quanta Services, Inc.(a)		94,400			3,605,136
Shimizu Corp. (Japan)		11,700			97,297
Taisei Corp. (Japan)		600			21,839
Vinci SA (France)		1,290			132,142
					10,975,848
Construction Materials — 0.3%
CRH PLC (Ireland)		2,109			68,976
HeidelbergCement AG (Germany)		1,513			122,603
Taiheiyo Cement Corp. (Japan)		300			9,092
Vulcan Materials Co.		77,600			10,655,256
					10,855,927
Consumer Finance — 0.7%
Capital One Financial Corp.		204,800			18,583,552
Navient Corp.		174,350			2,379,877
OneMain Holdings, Inc.		150,400			5,085,024
Synchrony Financial		52,400			1,816,708
					27,865,161
Containers & Packaging — 0.0%
Greif, Inc. (Class A Stock)		20,850			678,667
Distributors — 0.4%			��
Genuine Parts Co.		137,100			14,200,818
LKQ Corp.*		51,400			1,367,754
					15,568,572
Diversified Consumer Services — 0.1%
frontdoor, Inc.*		90,500			3,941,275
Diversified Financial Services — 0.7%
Berkshire Hathaway, Inc. (Class B Stock)*		118,550			25,271,303
Jefferies Financial Group, Inc.		112,200			2,157,606
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		43,800			232,828
ORIX Corp. (Japan)		13,900			207,645
					27,869,382
Diversified Telecommunication Services — 1.6%
AT&T, Inc.		923,900			30,959,889
Deutsche Telekom AG (Germany)		22,027			381,137
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)		10,000			15,872
Nippon Telegraph & Telephone Corp. (Japan)		6,800			317,032
Swisscom AG (Switzerland)		66			33,153
Telecom Italia SpA (Italy), RSP		18,981			9,850

SEE NOTES TO FINANCIAL STATEMENTS.

A74

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Diversified Telecommunication Services (continued)
Telefonica SA (Spain)		12,051	$	98,986
Telenor ASA (Norway)		1,900		40,322
Telstra Corp. Ltd. (Australia)		78,985		213,397
Verizon Communications, Inc.		638,688		36,488,245
				68,557,883
Electric Utilities — 0.7%
Chubu Electric Power Co., Inc. (Japan)		7,300		102,496
Enel SpA (Italy)		58,884		411,229
Eversource Energy(a)		5,400		409,104
Exelon Corp.		409,600		19,636,224
Iberdrola SA (Spain)		15,738		156,848
Kansai Electric Power Co., Inc. (The) (Japan)		12,500		143,348
Portland General Electric Co.		22,700		1,229,659
Southern Co. (The)		158,200		8,745,296
				30,834,204
Electrical Equipment — 0.1%
Atkore International Group, Inc.*		84,850		2,195,069
Hubbell, Inc.		17,900		2,334,160
Legrand SA (France)		656		47,982
Schneider Electric SE (France)		1,403		127,275
Siemens Gamesa Renewable Energy SA (Spain)		613		10,198
				4,714,684
Electronic Equipment, Instruments & Components — 0.3%
Anixter International, Inc.*		19,700		1,176,287
Avnet, Inc.		27,100		1,226,817
CDW Corp.		78,700		8,735,700
Halma PLC (United Kingdom)		3,438		88,341
Hexagon AB (Sweden) (Class B Stock)		661		36,740
Hitachi Ltd. (Japan)		3,000		110,123
Ingenico Group SA (France)		155		13,718
Keysight Technologies, Inc.*		14,700		1,320,207
Kyocera Corp. (Japan)		800		52,405
SYNNEX Corp		12,100		1,190,640
Venture Corp. Ltd. (Singapore)		700		8,433
				13,959,411
Energy Equipment & Services — 0.1%
Archrock, Inc.		192,250		2,037,850
DMC Global, Inc.		26,100		1,653,435
				3,691,285
Entertainment — 0.7%
Nexon Co. Ltd. (Japan)*		1,100		15,982
Viacom, Inc. (Class B Stock)		483,950		14,455,587
Vivendi SA (France)		2,689		73,978
Walt Disney Co. (The)		116,700		16,295,988
				30,841,535
Equity Real Estate Investment Trusts (REITs) — 1.3%
American Tower Corp.		112,200		22,939,290
Apartment Investment & Management Co. (Class A Stock)		29,400		1,473,528

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Apple Hospitality REIT, Inc.		196,550	$	3,117,283
Brandywine Realty Trust		97,600		1,397,632
CoreCivic, Inc.		153,150		3,179,394
Dexus (Australia)		2,513		22,932
DiamondRock Hospitality Co.		142,850		1,477,069
Franklin Street Properties Corp.		76,350		563,463
GEO Group, Inc. (The)		246,250		5,173,713
Goodman Group (Australia)		29,865		315,372
Host Hotels & Resorts, Inc.(a)		466,650		8,502,363
Land Securities Group PLC (United Kingdom)		22,353		236,652
Mirvac Group (Australia)		9,114		20,026
Nippon Building Fund, Inc. (Japan)		3		20,548
RLJ Lodging Trust		97,500		1,729,650
Ryman Hospitality Properties, Inc.		56,400		4,573,476
Spirit MTA		10,470		87,320
Vicinity Centres (Australia)		8,335		14,349
				54,844,060
Food & Staples Retailing — 0.5%
Colruyt SA (Belgium)		151		8,749
ICA Gruppen AB (Sweden)		231		9,923
J Sainsbury PLC (United Kingdom)		91,552		227,768
Koninklijke Ahold Delhaize NV (Netherlands)		10,810		242,977
Kroger Co. (The)		31,000		673,010
Seven & i Holdings Co. Ltd. (Japan)		1,900		64,349
Sysco Corp.		16,800		1,188,096
Tesco PLC (United Kingdom)		25,203		72,530
Walgreens Boots Alliance, Inc.(a)		256,900		14,044,723
Walmart, Inc.		27,300		3,016,377
Wm Morrison Supermarkets PLC (United Kingdom)		40,505		103,600
Woolworths Group Ltd. (Australia)		789		18,396
				19,670,498
Food Products — 1.2%
Archer-Daniels-Midland Co.		351,250		14,331,000
Associated British Foods PLC (United Kingdom)		919		28,768
Bunge Ltd.		15,100		841,221
J.M. Smucker Co. (The)(a)		77,950		8,979,061
Mondelez International, Inc. (Class A Stock)		26,600		1,433,740
Nestle SA (Switzerland)		8,991		930,665
Pilgrim’s Pride Corp.*		193,900		4,923,121
Tate & Lyle PLC (United Kingdom)		25,021		234,724
Toyo Suisan Kaisha Ltd. (Japan)		2,100		86,566
Tyson Foods, Inc. (Class A Stock)		210,500		16,995,770
WH Group Ltd. (Hong Kong), 144A		21,500		21,849
Wilmar International Ltd. (Singapore)		91,500		250,169
				49,056,654

SEE NOTES TO FINANCIAL STATEMENTS.

A75

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Gas Utilities — 0.3%
Tokyo Gas Co. Ltd. (Japan)		1,000	$	23,562
UGI Corp.		214,700		11,467,127
				11,490,689
Health Care Equipment & Supplies — 2.5%
Abbott Laboratories		278,400		23,413,440
Alcon, Inc. (Switzerland)*		1,094		67,740
Baxter International, Inc.		148,250		12,141,675
Becton, Dickinson & Co.		7,400		1,864,874
Cooper Cos., Inc. (The)		24,700		8,321,183
Danaher Corp.		40,850		5,838,282
Hologic, Inc.*		57,600		2,765,952
Hoya Corp. (Japan)		3,900		299,798
Integer Holdings Corp.*		40,100		3,365,192
Masimo Corp.*		26,600		3,958,612
Medtronic PLC.		283,200		27,580,848
Smith & Nephew PLC (United Kingdom)		5,867		127,053
Sonova Holding AG (Switzerland)		143		32,522
Stryker Corp.		10,800		2,220,264
Zimmer Biomet Holdings, Inc.		97,400		11,467,876
				103,465,311
Health Care Providers & Services — 1.4%
Alfresa Holdings Corp. (Japan)		7,100		175,635
Anthem, Inc.		11,200		3,160,752
Cigna Corp.		47,400		7,467,870
CVS Health Corp.		43,650		2,378,489
Fresenius Medical Care AG & Co. KGaA (Germany)		548		43,098
Fresenius SE & Co. KGaA (Germany)		1,074		58,294
HCA Healthcare, Inc.		121,950		16,483,981
Medipal Holdings Corp. (Japan)		11,300		249,766
Ramsay Health Care Ltd. (Australia)		366		18,561
Suzuken Co. Ltd. (Japan)		200		11,752
UnitedHealth Group, Inc.		119,000		29,037,190
				59,085,388
Hotels, Restaurants & Leisure — 1.3%
Aristocrat Leisure Ltd. (Australia)		1,467		31,620
Bloomin’ Brands, Inc.		246,450		4,660,370
Compass Group PLC (United Kingdom)		7,625		182,826
Darden Restaurants, Inc.(a)		75,700		9,214,961
Flutter Entertainment PLC (Ireland)		249		18,749
Hilton Grand Vacations, Inc.*		158,900		5,056,198
Hilton Worldwide Holdings, Inc.		92,800		9,070,272
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,821
Oriental Land Co. Ltd. (Japan)		500		62,016
Royal Caribbean Cruises Ltd.		21,300		2,581,773
Sands China Ltd. (Macau)		6,400		30,628
Sodexo SA (France)		231		26,991
Starbucks Corp.		284,700		23,866,401
TUI AG (Germany)		1,434		14,093
				54,825,719

COMMON STOCKS (continued)	Shares		Value
Household Durables — 0.0%
Barratt Developments PLC (United Kingdom)		2,562	$	18,629
Berkeley Group Holdings PLC (United Kingdom)		5,291		250,780
Persimmon PLC (United Kingdom)		764		19,392
Sekisui House Ltd. (Japan)		1,600		26,427
Sony Corp. (Japan)		3,200		167,573
				482,801
Household Products — 0.6%
Essity AB (Sweden) (Class B Stock)		1,539		47,281
Henkel AG & Co. KGaA (Germany)		321		29,486
Procter & Gamble Co. (The)		243,705		26,722,253
				26,799,020
Independent Power & Renewable Electricity Producers — 0.5%
AES Corp.		491,900		8,244,244
NRG Energy, Inc.		293,950		10,323,524
Vistra Energy Corp.		36,400		824,096
				19,391,864
Industrial Conglomerates — 0.7%
Carlisle Cos., Inc.		43,200		6,065,712
CK Hutchison Holdings Ltd. (Hong Kong)		13,000		127,992
General Electric Co.		2,318,900		24,348,450
				30,542,154
Insurance — 1.5%
Aflac, Inc.		56,900		3,118,689
Ageas (Belgium)		468		24,328
AIA Group Ltd. (Hong Kong)		30,800		333,040
Allianz SE (Germany)		2,059		496,583
Allstate Corp. (The)		119,500		12,151,955
American International Group, Inc.		319,200		17,006,976
Aviva PLC (United Kingdom)		9,953		52,680
Baloise Holding AG (Switzerland)		76		13,453
CNP Assurances (France)		441		10,011
Insurance Australia Group Ltd. (Australia)		5,970		34,604
Japan Post Holdings Co. Ltd. (Japan)		12,300		139,328
Legal & General Group PLC (United Kingdom)		85,675		293,543
Loews Corp.		23,100		1,262,877
Medibank Private Ltd. (Australia)		6,910		16,920
MetLife, Inc.		402,300		19,982,241
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		381		95,650
NN Group NV (Netherlands)		5,590		224,937
Poste Italiane SpA (Italy), 144A		1,329		13,992
Progressive Corp. (The)		30,100		2,405,893
QBE Insurance Group Ltd. (Australia)		3,390		28,125
Swiss Life Holding AG (Switzerland)		72		35,721

SEE NOTES TO FINANCIAL STATEMENTS.

A76

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Tokio Marine Holdings, Inc. (Japan)		1,700	$	85,284
UnipolSai Assicurazioni SpA (Italy)(a)		81,747		209,982
Unum Group		173,100		5,807,505
Zurich Insurance Group AG (Switzerland)		654		227,324
				64,071,641
Interactive Media & Services — 3.0%
Alphabet, Inc. (Class A Stock)*		24,650		26,691,020
Alphabet, Inc. (Class C Stock)*		32,332		34,947,982
Auto Trader Group PLC (United Kingdom), 144A		32,447		225,842
Facebook, Inc. (Class A Stock)*		320,250		61,808,250
IAC/InterActiveCorp*		5,300		1,152,909
TripAdvisor, Inc.*(a)		39,000		1,805,310
				126,631,313
Internet & Direct Marketing Retail — 1.9%
Amazon.com, Inc.*		27,700		52,453,551
Booking Holdings, Inc.*		2,850		5,342,924
eBay, Inc.		433,800		17,135,100
Qurate Retail, Inc.*		454,500		5,631,255
Rakuten, Inc. (Japan)		11,200		133,613
				80,696,443
IT Services — 3.0%
Accenture PLC (Class A Stock)		121,750		22,495,747
Adyen NV (Netherlands), 144A*		217		167,636
Capgemini SE (France)		248		30,818
DXC Technology Co.		262,700		14,487,905
Fidelity National Information Services, Inc.		103,700		12,721,916
International Business Machines Corp.		182,500		25,166,750
Leidos Holdings, Inc.		39,900		3,186,015
Mastercard, Inc. (Class A Stock)		14,600		3,862,138
Obic Co. Ltd. (Japan)		800		90,846
Otsuka Corp. (Japan)		300		12,077
Visa, Inc. (Class A Stock)		251,900		43,717,245
Wirecard AG (Germany)		1,549		262,410
				126,201,503
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		500		24,302
Life Sciences Tools & Services — 1.0%
Charles River Laboratories International, Inc.*		6,400		908,160
IQVIA Holdings, Inc.*		50,500		8,125,450
PRA Health Sciences, Inc.*		64,500		6,395,175
QIAGEN NV.		620		25,169
Sartorius Stedim Biotech (France)		73		11,522
Thermo Fisher Scientific, Inc.		82,700		24,287,336
				39,752,812
Machinery — 0.6%
Alfa Laval AB (Sweden)		744		16,237
Alstom SA (France)		393		18,233

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
Amada Holdings Co. Ltd. (Japan)		900	$	10,159
Atlas Copco AB (Sweden) (Class A Stock)		1,723		55,056
Atlas Copco AB (Sweden) (Class B Stock)		1,001		28,736
CNH Industrial NV (United Kingdom)		2,556		26,216
Cummins, Inc.		3,100		531,154
Daifuku Co. Ltd. (Japan)		300		16,931
Dover Corp.		47,700		4,779,540
Epiroc AB (Sweden) (Class B Stock)		997		9,873
Meritor, Inc.*		48,300		1,171,275
Metso OYJ (Finland)		272		10,697
Mitsubishi Heavy Industries Ltd. (Japan)		4,300		187,572
Oshkosh Corp.		110,900		9,259,041
PACCAR, Inc.		33,150		2,375,529
Sandvik AB (Sweden)		17,836		327,256
Schindler Holding AG (Switzerland)		64		13,989
SKF AB (Sweden) (Class B Stock)		971		17,854
Terex Corp.		37,000		1,161,800
Timken Co. (The)		43,700		2,243,558
Volvo AB (Sweden) (Class B Stock)		20,027		317,803
Yangzijiang Shipbuilding Holdings Ltd. (China)		239,100		270,752
				22,849,261
Marine — 0.0%
AP Moller-Maersk A/S (Denmark) (Class A Stock)		10		11,616
Media — 0.7%
Comcast Corp. (Class A Stock)		402,296		17,009,075
Discovery, Inc. (Class C Stock)*		426,200		12,125,390
Hakuhodo DY Holdings, Inc. (Japan)		700		11,823
I-CABLE Communications Ltd. (Hong Kong)*		3,065		39
Pearson PLC (United Kingdom)		2,002		20,828
Publicis Groupe SA (France)		532		28,105
RTL Group SA (Luxembourg)		111		5,681
				29,200,941
Metals & Mining — 0.2%
Alumina Ltd. (Australia)		6,301		10,337
Anglo American PLC (South Africa)		12,353		352,773
ArcelorMittal (Luxembourg)		11,425		205,052
BHP Group Ltd. (Australia)		7,552		218,321
BHP Group PLC (Australia)		6,112		156,414
BlueScope Steel Ltd. (Australia)		1,368		11,589
Boliden AB (Sweden)		674		17,268
Fortescue Metals Group Ltd. (Australia).		12,188		77,291
JFE Holdings, Inc. (Japan)		1,300		19,175
Newcrest Mining Ltd. (Australia)		1,980		44,548

SEE NOTES TO FINANCIAL STATEMENTS.

A77

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Metals & Mining (continued)
Nippon Steel Corp. (Japan)		1,900	$	32,735
Rio Tinto Ltd. (Australia)		1,018		74,282
Rio Tinto PLC (Australia)		3,777		233,997
South32 Ltd. (Australia)		16,028		35,756
Steel Dynamics, Inc.		258,850		7,817,270
				9,306,808
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Ladder Capital Corp.		117,895		1,958,236
Two Harbors Investment Corp.		222,500		2,819,075
				4,777,311
Multiline Retail — 0.2%
Harvey Norman Holdings Ltd. (Australia)		4,320		12,365
Macy’s, Inc.(a)		434,150		9,316,859
Next PLC (United Kingdom)		360		25,266
Wesfarmers Ltd. (Australia)		2,737		69,487
				9,423,977
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		17,131		240,607
Dominion Energy, Inc.		259,400		20,056,808
E.ON SE (Germany)		13,046		141,580
Engie SA (France)		4,650		70,472
National Grid PLC (United Kingdom)		8,748		92,830
				20,602,297
Oil, Gas & Consumable Fuels — 2.5%
BP PLC (United Kingdom)		20,879		145,690
Chevron Corp.		318,300		39,609,252
ConocoPhillips		159,200		9,711,200
Eni SpA (Italy)		6,450		107,372
Exxon Mobil Corp.		101,166		7,752,351
HollyFrontier Corp.		97,800		4,526,184
Kinder Morgan, Inc.		911,000		19,021,680
Marathon Oil Corp.		117,500		1,669,675
Neste OYJ (Finland)		8,517		289,815
OMV AG (Austria)		707		34,506
Phillips 66		169,100		15,817,614
Repsol SA (Spain)		9,751		153,067
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		11,436		373,680
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		9,514		311,737
Santos Ltd. (Australia)		46,595		232,253
Snam SpA (Italy)		8,925		44,348
TOTAL SA (France)		2,172		121,682
Woodside Petroleum Ltd. (Australia)		6,381		163,148
World Fuel Services Corp.		84,200		3,027,832
				103,113,086
Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		40,000		231,735
Personal Products — 0.0%
Avon Products, Inc. (United Kingdom)* .		28,200		109,416
L’Oreal SA (France)		698		198,756

COMMON STOCKS (continued)	Shares		Value
Personal Products (continued)
Unilever NV (United Kingdom), CVA		6,527	$	397,374
Unilever PLC (United Kingdom)		3,035		188,591
USANA Health Sciences, Inc.*		5,000		397,150
				1,291,287
Pharmaceuticals — 2.4%
Allergan PLC		72,900		12,205,647
Astellas Pharma, Inc. (Japan)		5,100		72,764
AstraZeneca PLC (United Kingdom)		426		34,808
Bayer AG (Germany)		1,251		86,512
Bristol-Myers Squibb Co.		72,100		3,269,735
Chugai Pharmaceutical Co. Ltd. (Japan)		600		39,239
Eisai Co. Ltd. (Japan)		600		33,983
Eli Lilly & Co.		43,200		4,786,128
GlaxoSmithKline PLC (United Kingdom)		3,194		63,944
H. Lundbeck A/S (Denmark)		3,311		130,706
Jazz Pharmaceuticals PLC*		9,800		1,397,088
Johnson & Johnson		240,848		33,545,310
Kyowa Kirin Co. Ltd. (Japan)		700		12,626
Merck & Co., Inc.		430,000		36,055,500
Merck KGaA (Germany)		340		35,547
Novartis AG (Switzerland)		7,867		718,043
Novo Nordisk A/S (Denmark) (Class B Stock)		4,553		232,282
Ono Pharmaceutical Co. Ltd. (Japan)		900		16,155
Pfizer, Inc.		139,300		6,034,476
Recordati SpA (Italy)		932		38,855
Roche Holding AG (Switzerland)		2,747		773,461
Sanofi (France)		5,005		432,551
Shionogi & Co. Ltd. (Japan)		4,600		265,432
UCB SA (Belgium)		396		32,838
				100,313,630
Professional Services — 0.1%
Intertek Group PLC (United Kingdom)		418		29,211
Korn Ferry		94,200		3,774,594
Recruit Holdings Co. Ltd. (Japan)		3,200		107,164
RELX PLC (United Kingdom)		5,026		122,049
Wolters Kluwer NV (Netherlands)		3,397		247,341
				4,280,359
Real Estate Management & Development — 0.3%
CBRE Group, Inc. (Class A Stock)*		200,750		10,298,475
CK Asset Holdings Ltd. (Hong Kong)		6,500		50,806
Daiwa House Industry Co. Ltd. (Japan)		1,500		43,786
Henderson Land Development Co. Ltd. (Hong Kong)		3,740		20,620
Hongkong Land Holdings Ltd. (Hong Kong)		35,200		226,804
Mitsubishi Estate Co. Ltd. (Japan)		3,000		55,951

SEE NOTES TO FINANCIAL STATEMENTS.

A78

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Sumitomo Realty & Development Co. Ltd. (Japan)		900	$	32,180
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		21,000		258,707
Swire Properties Ltd. (Hong Kong)		3,000		12,117
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		3,000		21,145
Wheelock & Co. Ltd. (Hong Kong)		2,000		14,367
				11,034,958
Road & Rail — 0.7%
Aurizon Holdings Ltd. (Australia)		5,022		19,053
Central Japan Railway Co. (Japan)		400		80,183
CSX Corp.		146,250		11,315,362
East Japan Railway Co. (Japan)		800		74,966
Nippon Express Co. Ltd. (Japan)		200		10,658
Norfolk Southern Corp.		55,850		11,132,581
Union Pacific Corp.		26,700		4,515,237
West Japan Railway Co. (Japan)		400		32,387
				27,180,427
Semiconductors & Semiconductor Equipment — 1.8%
Advantest Corp. (Japan)		500		13,808
Analog Devices, Inc.		150,800		17,020,796
Broadcom, Inc.(a)		4,700		1,352,942
Intel Corp.		646,450		30,945,562
Lam Research Corp.		7,200		1,352,448
NXP Semiconductors NV (Netherlands).		700		68,327
QUALCOMM, Inc.		296,100		22,524,327
STMicroelectronics NV (Switzerland)		2,025		35,954
SUMCO Corp. (Japan)		600		7,174
Tokyo Electron Ltd. (Japan)		700		98,481
				73,419,819
Software — 4.5%
Adobe, Inc.*		46,150		13,598,098
ANSYS, Inc.*		6,100		1,249,402
Check Point Software Technologies Ltd. (Israel)*(a)		300		34,683
CyberArk Software Ltd. (Israel)*		1,700		217,328
Dassault Systemes SE (France)		657		104,918
Fortinet, Inc.*		13,200		1,014,156
Intuit, Inc.		78,000		20,383,740
LogMeIn, Inc.		13,300		979,944
Micro Focus International PLC (United Kingdom)		4,958		130,060
Microsoft Corp.		888,300		118,996,668
Nice Ltd. (Israel)*		562		76,545
Oracle Corp.		517,650		29,490,520
SAP SE (Germany)		565		77,623
Synopsys, Inc.*		3,000		386,070
Temenos AG (Switzerland)*		239		42,799
				186,782,554
Specialty Retail — 1.0%
ABC-Mart, Inc. (Japan)		800		52,154
Asbury Automotive Group, Inc.*		39,400		3,322,996

COMMON STOCKS (continued)	Shares		Value
Specialty Retail (continued)
AutoNation, Inc.*		128,700	$	5,397,678
Best Buy Co., Inc.		21,700		1,513,141
Fast Retailing Co. Ltd. (Japan)		400		242,458
Foot Locker, Inc.(a)		243,400		10,203,328
Hennes & Mauritz AB (Sweden) (Class B Stock)		2,272		40,400
Hikari Tsushin, Inc. (Japan)		100		21,838
L Brands, Inc.		108,900		2,842,290
Lithia Motors, Inc. (Class A Stock)(a)		8,700		1,033,386
Michaels Cos., Inc. (The)*(a)		157,500		1,370,250
Ross Stores, Inc.		52,500		5,203,800
Sally Beauty Holdings, Inc.*(a)		88,900		1,185,926
TJX Cos., Inc. (The)		80,500		4,256,840
Ulta Beauty, Inc.*		9,600		3,330,144
USS Co. Ltd. (Japan)		600		11,848
				40,028,477
Technology Hardware, Storage & Peripherals — 2.6%
Apple, Inc.		376,300		74,477,296
FUJIFILM Holdings Corp. (Japan)		5,600		284,807
Hewlett Packard Enterprise Co.		878,450		13,132,828
HP, Inc.		712,650		14,815,993
Konica Minolta, Inc. (Japan)		7,800		76,209
NEC Corp. (Japan)		700		27,633
Ricoh Co. Ltd. (Japan)		5,200		52,048
Xerox Corp.		198,200		7,018,262
				109,885,076
Textiles, Apparel & Luxury Goods — 0.5%
adidas AG (Germany)		763		235,750
Capri Holdings Ltd.*		57,600		1,997,568
Hermes International (France)		155		111,870
Kering SA (France)		411		242,551
LVMH Moet Hennessy Louis Vuitton SE (France)		1,379		587,155
Moncler SpA (Italy)		445		19,093
NIKE, Inc. (Class B Stock)		26,100		2,191,095
Puma SE (Germany)		210		14,013
Swatch Group AG (The) (Switzerland)		140		7,594
Tapestry, Inc.		440,300		13,970,719
				19,377,408
Tobacco — 1.0%
Altria Group, Inc.		417,850		19,785,198
British American Tobacco PLC (United Kingdom)		8,029		280,717
Imperial Brands PLC (United Kingdom)		8,994		211,116
Japan Tobacco, Inc. (Japan)		2,700		59,586
Philip Morris International, Inc.		250,700		19,687,471
				40,024,088
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,578		45,264
ITOCHU Corp. (Japan)		8,600		164,596
Marubeni Corp. (Japan)		4,000		26,538

SEE NOTES TO FINANCIAL STATEMENTS.

A79

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Trading Companies & Distributors (continued)
Mitsubishi Corp. (Japan)		3,500	$	92,413
Mitsui & Co. Ltd. (Japan)		17,200		280,534
Sumitomo Corp. (Japan)		13,800		209,526
WESCO International, Inc.*		86,000		4,355,900
				5,174,771
Transportation Infrastructure — 0.1%
Aena SME SA (Spain), 144A		1,186		235,165
Fraport AG Frankfurt Airport Services Worldwide (Germany)		1,535		132,174
Kamigumi Co. Ltd. (Japan)		9,600		227,497
Macquarie Infrastructure Corp.		97,500		3,952,650
				4,547,486
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		7,100		180,527
NTT DOCOMO, Inc. (Japan)		3,400		79,301
SoftBank Group Corp. (Japan)		2,000		95,988
T-Mobile US, Inc.*		50,700		3,758,898
Vodafone Group PLC (United Kingdom)		6,103		10,009
				4,124,723
TOTAL COMMON STOCKS (cost $1,993,745,044)				2,514,405,336
EXCHANGE-TRADED FUND — 0.0%
iShares MSCI EAFE ETF (cost $320,568)		5,088		334,434
PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		155		9,632
Porsche Automobil Holding SE (Germany) (PRFC)		1,295		84,204
				93,836
Banks — 0.0%
Citigroup Capital XIII, 8.953%		22,000		606,980
Health Care Equipment & Supplies — 0.0%
Sartorius AG (Germany) (PRFC)		92		18,883
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		441		43,094
TOTAL PREFERRED STOCKS (cost $717,340)				762,793
	Units
RIGHTS* — 0.0%
Construction & Engineering
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19 (cost $6,353)		3,847		6,037

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES — 7.4%
Automobiles — 2.1%
AmeriCredit Automobile Receivables Trust,
Series2018-01, Class C
3.500%		01/18/24		1,600	$	1,642,875
Series2019-01, Class B
3.130%		02/18/25		1,000		1,018,603
Series2019-01, Class C
3.360%		02/18/25		1,000		1,024,490
Series2019-02, Class C
2.740%		04/18/25		2,000		2,008,413
Avis Budget Rental Car Funding AESOP LLC,
Series2015-01A, Class A, 144A
2.500%		07/20/21		3,300		3,302,972
Series2015-02A, Class A, 144A
2.630%		12/20/21		4,000		4,010,152
Series2018-01A, Class A, 144A
3.700%		09/20/24		1,600		1,667,810
Series2018-02A, Class A, 144A
4.000%		03/20/25		1,600		1,691,040
Series2019-02A, Class A, 144A
3.350%		09/22/25		3,000		3,091,942
Drive Auto Receivables Trust,
Series2018-01, Class B
2.880%		02/15/22		505		504,835
Series2019-03, Class B
2.650%		02/15/24		1,400		1,404,995
Ford Credit Auto Owner Trust,
Series2017-01, Class A, 144A
2.620%		08/15/28		1,300		1,315,447
Series2017-02, Class A, 144A
2.360%		03/15/29		2,500		2,505,560
Series2018-01, Class A, 144A
3.190%		07/15/31		1,000		1,030,709
Series2018-02, Class A, 144A
3.470%		01/15/30		3,000		3,142,304
Series2019-01, Class A, 144A
3.520%		07/15/30		5,900		6,170,016
Ford Credit Floorplan Master Owner Trust,
Series2017-03, Class A
2.480%		09/15/24		4,500		4,550,329
Series2018-02, Class A
3.170%		03/15/25		13,350		13,822,020
Ford Credit Floorplan Master Owner Trust A,
Series2019-02, Class A
3.060%		04/15/26		1,500		1,546,082
GM Financial Consumer Automobile Receivables Trust,
Series2018-04, Class C
3.620%		06/17/24		500		515,350
GMF Floorplan Owner Revolving Trust,
Series2019-02, Class A, 144A
2.900%		04/15/26		5,700		5,822,124
OneMain Direct Auto Receivables Trust,
Series2017-01A, Class A, 144A
2.160%		10/15/20		93		93,262
Series2017-02A, Class B, 144A
2.550%		11/14/23		5,800		5,791,427
Series2017-02A, Class C, 144A
2.820%		07/15/24		1,400		1,401,999

SEE NOTES TO FINANCIAL STATEMENTS.

A80

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Series2018-01A, Class A, 144A
3.430%		12/16/24		5,200	$	5,273,185
Series2019-01A, Class A, 144A
3.630%		09/14/27		5,500		5,688,569
Santander Drive Auto Receivables Trust,
Series2018-04, Class C
3.560%		07/15/24		2,300		2,334,917
Toyota Auto Loan Extended Note Trust,
Series2019-01A, Class A, 144A
2.560%		11/25/31		5,900		5,969,141
						88,340,568
Collateralized Loan Obligations — 3.0%
ArrowMark Colorado Holdings (Cayman Islands),
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.877%(c)		07/15/29		500		500,013
Ballyrock CLO Ltd. (Cayman Islands),
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350%
3.947%(c)		10/15/28		4,500		4,500,668
Battalion CLO Ltd. (Cayman Islands),
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.941%(c)		07/18/30		1,500		1,502,147
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.847%(c)		07/15/29		1,500		1,500,882
Series2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%
3.597%(c)		04/15/29		469		468,942
Brookside Mill CLO Ltd. (Cayman Islands),
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
3.408%(c)		01/17/28		1,500		1,489,498
Canyon Capital CLO Ltd. (Cayman Islands),
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.847%(c)		04/15/29		3,000		2,991,541
Catamaran CLO Ltd. (Cayman Islands),
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%
4.001%(c)		10/18/26		412		411,976
CIFC Funding Ltd. (Cayman Islands),
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%
3.788%(c)		10/17/31		9,750		9,716,695
Greenwood Park CLO Ltd. (Cayman Islands),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.607%(c)		04/15/31		2,000		1,976,482
Greywolf CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.616%(c)		04/26/31		4,000		3,944,864
Highbridge Loan Management Ltd. (Cayman Islands),
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.565%(c)		02/05/31		250		247,793
ICG US CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)
3.732%(c)		10/19/28		10,000		9,989,633
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/23/29		1,250		1,248,907

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Jamestown CLO Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)
3.893%(c)		04/20/32		5,750	$	5,754,537
Jefferson Mill CLO Ltd. (Cayman Islands),
Series2015-01A, Class AR, 3 Month LIBOR + 1.175%
3.756%(c)		10/20/31		6,750		6,699,761
MidOcean Credit CLO (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.712%(c)		04/21/31		2,400		2,377,570
Ocean Trails CLO Ltd. (Cayman Islands),
Series2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400%
3.942%(c)		04/17/30		2,750		2,752,963
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.857%(c)		07/15/30		1,250		1,250,642
Series2019-17A, Class A1, 144A
—%(cc)		07/20/32		10,000		10,000,000
OZLM Ltd. (Cayman Islands),
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/20/31		7,500		7,475,047
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.833%(c)		10/30/30		1,500		1,499,794
Palmer Square CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.718%(c)		01/17/31		1,500		1,492,560
Series2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%
3.701%(c)		07/16/31		2,350		2,335,029
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/20/31		8,750		8,728,279
Romark CLO Ltd. (Cayman Islands),
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175%
3.755%(c)		07/25/31		1,000		992,859
Sound Point CLO Ltd. (Cayman Islands),
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.472%(c)		07/20/27		1,000		1,000,008
Telos CLO Ltd. (Cayman Islands),
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.888%(c)		07/17/26		1,500		1,500,251
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.828%(c)		01/17/30		2,500		2,494,994
TICP CLO Ltd. (Cayman Islands),
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.827%(c)		07/15/29		1,250		1,249,477
Series2018-03R, Class A, 144A, 3 Month LIBOR + 0.840%
3.432%(c)		04/20/28		4,000		3,976,602
Trimaran Cavu Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%
3.927%(c)		07/20/32		3,000		3,001,546
Trinitas CLO Ltd. (Cayman Islands),
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.790%(c)		01/25/31		2,500		2,480,805
Venture CLO Ltd. (Cayman Islands),
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.477%(c)		07/15/27		1,000		1,000,021

SEE NOTES TO FINANCIAL STATEMENTS.

A81

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.912%(c)		04/20/29		2,000	$	1,999,179
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.738%(c)		01/17/31		2,750		2,734,967
Series2018-01A, Class A, 144A, 3 Month LIBOR + 1.100%
3.688%(c)		07/17/31		3,500		3,461,682
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.792%(c)		10/20/31		5,750		5,715,010
Zais CLO Ltd. (Cayman Islands),
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.967%(c)		07/15/29		1,750		1,757,047
						124,220,671
Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
3.201%(c)		09/14/32		3,700		3,707,644
Oportun Funding X LLC,
Series2018-C, Class A, 144A
4.100%		10/08/24		1,600		1,640,871
Oportun Funding XII LLC,
Series2018-D, Class A, 144A
4.150%		12/09/24		1,100		1,131,135
						6,479,650
Credit Cards — 0.3%
Citibank Credit Card Issuance Trust,
Series2017-A05, Class A5, 1 Month LIBOR + 0.620%
3.024%(c)		04/22/26		2,900		2,918,520
Series2018-A07, Class A7
3.960%		10/13/30		6,200		6,884,534
Discover Card Execution Note Trust,
Series2017-A05, Class A5, 1 Month LIBOR + 0.600%
2.994%(c)		12/15/26		2,600		2,612,148
						12,415,202
Equipment — 0.2%
MMAF Equipment Finance LLC,
Series2017-B, Class A4, 144A
2.410%		11/15/24		1,700		1,712,078
Series2017-B, Class A5, 144A
2.720%		06/15/40		2,800		2,851,797
Series2018-A, Class A4, 144A
3.390%		01/10/25		1,600		1,652,385
Series2018-A, Class A5, 144A
3.610%		03/10/42		800		838,163
Series2019-A, Class A5, 144A
3.080%		11/12/41		2,500		2,572,047
						9,626,470
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
4.054%(c)		03/25/33		78		78,562
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		05/25/33		149		149,154

Interest Rate	Maturity Date			Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (continued)
Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%
3.349%(c)		06/25/34			452	$	454,118
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
3.304%(c)		07/25/32			60		59,806
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.679%(c)		09/25/32			2,097		2,101,123
							2,842,763
Other — 0.2%
Park Avenue Funding Trust,
Series2019-02, Class PT, 144A
—%(cc)		11/27/20			3,000		3,000,000
Sierra Timeshare Receivables Funding LLC,
Series2018-02A, Class A, 144A
3.500%		06/20/35			1,683		1,730,368
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%
5.204%(c)		06/25/24			3,250		3,250,000
							7,980,368
Residential Mortgage-Backed Securities — 0.6%
Credit Suisse Mortgage Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.590%(c)		12/26/46			3,216		3,231,301
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58			1,342		1,359,876
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.649%		07/25/35			160		159,909
Equity One Mortgage Pass-Through Trust,
Series2004-03, Class M1
4.498%		07/25/34			189		196,116
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%(cc)		01/25/59			870		877,005
Series 2019-GS03, Class A1, 144A
3.750%(cc)		04/25/59			196		198,308
Series 2019-GS04, Class A1, 144A
3.438%(cc)		05/25/59			1,492		1,502,710
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54			642		644,673
Long Beach Mortgage Loan Trust,
Series2004-02, Class M1, 1 Month LIBOR + 0.795%
3.199%(c)		06/25/34			176		174,952
Mill City Mortgage Loan Trust,
Series2017-03, Class A1, 144A
2.750%(cc)		01/25/61			2,021		2,029,300
TFS (Spain),
Series2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		03/16/23	EUR		2,786		3,162,084
Towd Point Mortgage Trust,
Series2017-04, Class A1, 144A
2.750%(cc)		06/25/57			4,504		4,524,345
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
3.004%(c)		02/25/57			3,674		3,663,418

SEE NOTES TO FINANCIAL STATEMENTS.

A82

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
Series2017-06, Class A1, 144A
2.750%(cc)		10/25/57		3,032	$	3,055,059
Series2018-02, Class A1, 144A
3.250%(cc)		03/25/58		378		384,073
Series2018-03, Class A1, 144A
3.750%(cc)		05/25/58		171		177,631
Series2018-05, Class A1, 144A
3.250%(cc)		07/25/58		637		650,065
						25,990,825
Student Loans — 0.7%
Commonbond Student Loan Trust,
Series2017-BGS, Class A1, 144A
2.680%		09/25/42		2,677		2,678,321
Series2018-AGS, Class A1, 144A
3.210%		02/25/44		1,845		1,882,008
Series2018-CGS, Class A1, 144A
3.870%		02/25/46		804		834,473
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.204%(c)		02/25/46		897		892,523
Laurel Road Prime Student Loan Trust,
Series2017-C, Class A2B, 144A
2.810%		11/25/42		1,935		1,957,237
Series2018-B, Class A2FX, 144A
3.540%		05/26/43		3,000		3,073,298
Navient Private Education Refi Loan Trust,
Series2018-A, Class A2, 144A
3.190%		02/18/42		4,600		4,673,942
Series2018-CA, Class A2, 144A
3.520%		06/16/42		1,700		1,745,969
Series2019-CA, Class A2, 144A
3.130%		02/15/68		2,100		2,144,699
SoFi Professional Loan Program LLC,
Series2019-A, Class A2FX, 144A
3.690%		06/15/48		3,800		3,988,457
Series2019-B, Class A2FX, 144A
3.090%		08/17/48		2,100		2,134,125
SoFi Professional Loan Program Trust,
Series2018-B, Class A1FX, 144A
2.640%		08/25/47		1,699		1,703,348
Series2018-B, Class A2FX, 144A
3.340%		08/25/47		3,100		3,182,140
						30,890,540
TOTAL ASSET-BACKED SECURITIES (cost $305,158,180)						308,787,057
BANK LOANS — 0.1%
Software
First Data Corp.,
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%
4.404%(c)		07/08/22		1,145		1,143,481
2024A New Dollar Term Loan, 1 Month LIBOR + 2.000%
4.404%(c)		04/26/24		750		749,166
TOTAL BANK LOANS (cost $1,891,179)						1,892,647

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.6%
Assurant Commercial Mortgage Trust,
Series2016-01A, Class AS, 144A
3.172%		05/15/49		4,000	$	4,008,481
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		6,817,301
BBCMS Mortgage Trust,
Series2018-C02, Class A4
4.047%		12/15/51		5,400		5,942,503
Benchmark Mortgage Trust,
Series2018-B03, Class A4
3.761%		04/10/51		5,000		5,401,977
Series2018-B08, Class A4
3.963%		01/15/52		6,700		7,351,678
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		1,086		1,107,343
Series 2014-GC21, Class A4
3.575%		05/10/47		1,392		1,458,494
Series 2014-GC23, Class A3
3.356%		07/10/47		2,618		2,725,004
Series2016-C01, Class A3
2.944%		05/10/49		5,000		5,112,417
Series 2016-GC37, Class A3
3.050%		04/10/49		6,500		6,694,335
Series2017-P07, Class A3
3.442%		04/14/50		5,500		5,792,301
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		796		795,931
Series 2014-CR18, Class A4
3.550%		07/15/47		2,800		2,927,094
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		5,212,805
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		6,381,713
CSAIL Commercial Mortgage Trust,
Series2015-C04, Class A3
3.544%		11/15/48		3,000		3,154,195
Series2017-C08, Class A3
3.127%		06/15/50		5,300		5,423,602
FannieMae-Aces,
Series2015-M17, Class A2
3.035%(cc)		11/25/25		3,900		4,039,838
Series2016-M07, Class AB2
2.385%		09/25/26		2,400		2,390,877
Series2017-M01, Class A2
2.496%(cc)		10/25/26		2,200		2,196,925
Series2017-M04, Class A2
2.672%(cc)		12/25/26		11,800		11,897,082
Series2017-M08, Class A2
3.061%(cc)		05/25/27		8,250		8,584,491
Series2018-M04, Class A2
3.144%(cc)		03/25/28		4,325		4,505,671

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.535%(cc)		05/25/22		23,066	$	785,919
Series K021, Class X1, IO
1.568%(cc)		06/25/22		6,522		238,764
Series K055, Class X1, IO
1.499%(cc)		03/25/26		13,795		1,068,472
Series K057, Class AM
2.624%		08/25/26		7,230		7,323,779
Series K064, Class AM
3.327%(cc)		03/25/27		5,900		6,253,300
Series K068, Class AM
3.315%		08/25/27		5,600		5,935,352
Series K069, Class A2
3.187%(cc)		09/25/27		4,900		5,170,403
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,106,348
Series K070, Class A2
3.303%(cc)		11/25/27		7,250		7,714,174
Series K070, Class AM
3.364%(cc)		12/25/27		1,525		1,623,480
Series K072, Class A2
3.444%		12/25/27		2,000		2,148,774
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		3,870,579
Series K076, Class AM
3.900%		04/25/28		2,575		2,842,837
Series K077, Class A2
3.850%(cc)		05/25/28		4,800		5,303,693
Series K077, Class AM
3.850%(cc)		05/25/28		950		1,044,889
Series K080, Class AM
3.986%(cc)		07/25/28		7,050		7,820,894
Series K081, Class AM
3.900%(cc)		08/25/28		3,500		3,863,385
Series K086, Class AM
3.919%(cc)		12/25/28		1,300		1,443,699
Series K087, Class AM
3.832%(cc)		12/25/28		1,350		1,487,869
Series K157, Class A2
3.990%(cc)		05/25/33		4,200		4,718,877
Series K711, Class X1, IO
1.686%(cc)		07/25/19		1,814		227
Series W5FX, Class AFX
3.336%(cc)		04/25/28		2,260		2,362,824
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		4,000		4,134,978
Series 2015-GC32, Class A3
3.498%		07/10/48		5,800		6,113,939
Series 2016-GS03, Class A3
2.592%		10/10/49		5,800		5,814,867
Series 2016-GS04, Class A3
3.178%		11/10/49		5,500		5,708,190

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMBB Commercial Mortgage Securities Trust,
Series2014-C25, Class A4A1
3.408%		11/15/47		1,400	$	1,458,940
Series2015-C27, Class A3A1
2.920%		02/15/48		6,000		6,108,967
JPMorgan Chase Commercial Mortgage Securities Trust,
Series2012-CBX, Class A3
3.139%		06/15/45		43		43,015
Series 2012-LC09, Class A4
2.611%		12/15/47		174		173,408
Series 2013-LC11, Class A4
2.694%		04/15/46		634		644,075
Morgan Stanley Bank of America Merrill Lynch Trust,
Series2013-C08, Class A3
2.863%		12/15/48		1,351		1,376,826
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49		10,400		10,344,601
Series2018-H04, Class A3
4.043%		12/15/51		1,900		2,093,388
UBS Commercial Mortgage Trust,
Series2017-C02, Class ASB
3.264%		08/15/50		3,500		3,635,203
Series2017-C05, Class A4
3.212%		11/15/50		6,750		6,982,311
Series2018-C09, Class A3
3.854%		03/15/51		2,500		2,703,227
Series2018-C14, Class A3
4.180%		12/15/51		4,100		4,547,166
UBS-Barclays Commercial Mortgage Trust,
Series2012-C04, Class A4
2.792%		12/10/45		1,700		1,724,973
Series2013-C05, Class A3
2.920%		03/10/46		3,261		3,327,835
Series2013-C06, Class A3
2.971%		04/10/46		1,798		1,838,321
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49		8,000		8,006,816
Series2017-C38, Class A4
3.190%		07/15/50		4,600		4,755,667
Series2018-C48, Class A4
4.037%		01/15/52		7,000		7,699,803
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $262,965,316)						273,287,112
CORPORATE BONDS — 10.1%
Aerospace & Defense — 0.1%
Embraer Netherlands Finance BV (Brazil), Gtd. Notes
5.050%		06/15/25		1,121		1,209,290
Embraer Overseas Ltd. (Brazil), Gtd. Notes, 144A
5.696%		09/16/23		950		1,040,259

SEE NOTES TO FINANCIAL STATEMENTS.

A84

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Aerospace & Defense (continued)
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		1,270	$	1,395,224
						3,644,773
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom), Gtd. Notes
3.222%		08/15/24		3,740		3,764,562
Airlines — 0.2%
American Airlines2015-1 Class A Pass-Through Trust, Pass-Through Certificates
3.375%		11/01/28		2,617		2,660,511
Continental Airlines2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		449		454,993
Continental Airlines2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		376		386,244
Continental Airlines2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		510		532,857
Delta Air Lines2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		222		244,746
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		2,000		2,002,429
						6,281,780
Auto Manufacturers — 0.4%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
3.014%(c)		04/12/21		495		495,427
Gtd. Notes, 144A
3.100%		04/12/21		655		662,664
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		1,205		1,211,414
3.350%		05/04/21		2,010		2,038,276
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46		1,220		1,134,798
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21		680		683,492
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43		980		1,043,220
6.600%		04/01/36		760		841,323
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.442%(c)		04/09/21		1,060		1,059,516
Gtd. Notes
3.550%		04/09/21		805		816,722
3.950%		04/13/24		2,800		2,860,651

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers (continued)
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705	$	4,714,205
							17,561,708
Banks — 3.3%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.724%(c)		04/12/23			800		796,635
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		1,038,100
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		445		496,753
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,665		1,675,406
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,510		2,558,372
3.824%(ff)		01/20/28			955		1,010,914
4.125%		01/22/24			4,830		5,165,833
4.271%(ff)		07/23/29			510		557,020
Sub. Notes, MTN
4.000%		01/22/25			2,000		2,103,614
4.450%		03/03/26			8,455		9,119,926
Bank of America NA,
Sub. Notes
6.000%		10/15/36			410		540,517
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, MTN
2.900%		03/26/22			1,380		1,401,124
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			850		854,284
3.684%		01/10/23	(a)		585		592,662
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			3,825		4,079,676
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		2,205		2,267,446
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,375		1,412,812
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		625		686,431
Sr. Unsec’d. Notes
3.200%		10/21/26			1,870		1,907,106
3.700%		01/12/26			6,180		6,505,684
Sub. Notes
4.450%		09/29/27			5,965		6,426,719
4.750%		05/18/46			820		927,472
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			1,370		1,446,289
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,640		1,633,017
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			2,400		2,473,957

SEE NOTES TO FINANCIAL STATEMENTS.

A85

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970	$	1,027,869
Sub. Notes
7.000%		04/15/20			570		589,463
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		2,215		2,217,769
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		740		772,375
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		4,241,702
3.750%		02/25/26			1,010		1,054,255
3.814%(ff)		04/23/29			540		564,389
3.850%		01/26/27			2,910		3,041,519
5.750%		01/24/22			5,420		5,857,849
Sub. Notes
6.750%		10/01/37			104		136,027
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.120%(c)		05/18/21			2,115		2,116,671
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%
4.693%(c)		03/08/21			1,025		1,054,681
Sr. Unsec’d. Notes
4.875%		01/14/22			1,910		2,022,994
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
6.053%(c)		—	(rr)		1,435		1,434,225
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,275		1,373,583
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			695		736,777
3.964%(ff)		11/15/48			3,250		3,448,219
4.005%(ff)		04/23/29			2,170		2,340,835
4.452%(ff)		12/05/29			3,350		3,735,376
Sub. Notes
3.875%		09/10/24			3,775		3,968,785
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			5,000		5,028,100
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			2,200		2,234,414
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,870		1,903,374
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			3,080		3,145,011
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		840		837,900
Sr. Unsec’d. Notes
4.375%		01/22/47			1,045		1,163,189
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			950		992,387
3.772%(ff)		01/24/29	(a)		8,775		9,206,211

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
3.875%		01/27/26			675	$	717,533
4.431%(ff)		01/23/30			515		569,724
5.625%		09/23/19			1,415		1,424,814
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,255		1,306,769
Sub. Notes, GMTN
4.350%		09/08/26			3,825		4,101,649
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.973%(c)		04/30/21			2,250		2,256,266
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			490		498,701
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24			1,925		2,011,605
							136,810,779
Beverages — 0.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
8.000%		11/15/39			1,285	��	1,896,544
8.200%		01/15/39			250		376,932
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23			1,400		1,489,636
Keurig Dr. Pepper, Inc.,
Gtd. Notes
3.551%		05/25/21			1,150		1,174,784
							4,937,896
Biotechnology — 0.0%
Celgene Corp.,
Sr. Unsec’d. Notes
4.550%		02/20/48	(a)		1,200		1,375,211
Building Materials — 0.1%
Owens Corning,
Sr. Unsec’d. Notes
4.200%		12/15/22			775		806,573
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28			700		694,750
5.375%		11/15/24			1,400		1,449,000
							2,950,323
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,500		1,589,667
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			585		548,613
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			3,680		3,703,690
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			45		49,288
9.400%		05/15/39			347		550,896

SEE NOTES TO FINANCIAL STATEMENTS.

A86

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (continued)
Mexichem SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22			2,000	$	2,098,020
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33			345		390,692
5.625%		11/15/43			430		473,161
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			1,300		1,345,500
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22			780		793,022
SASOL Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			700		758,552
6.500%		09/27/28			670		752,060
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			460		554,697
							13,607,858
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			975		992,963
6.700%		06/01/34			420		560,884
7.000%		10/15/37			380		519,025
Massachusetts Institute of Technology,
Unsec’d. Notes
3.885%		07/01/16			1,500		1,602,554
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			1,190		1,213,800
5.250%		01/15/30			385		395,587
5.875%		09/15/26			460		489,900
							5,774,713
Computers — 0.0%
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19	��		225		224,685
Diversified Financial Services — 0.4%
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20			2,225		2,227,306
3.450%		04/30/21			4,415		4,495,166
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			800		841,872
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		938,524
GE Capital International Funding Co. Unlimited Co.,
Gtd. Notes
2.342%		11/15/20			766		762,363

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Diversified Financial Services (continued)
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560	$	607,958
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,715		28,641
6.875%		05/02/18	(d)		700		12,180
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,915		1,933,750
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24			475		487,296
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			330		350,721
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,700		2,700,229
							15,386,006
Electric — 1.0%
Avista Corp.,
First Mortgage
4.350%		06/01/48			1,160		1,277,211
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			550		740,770
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37			305		393,707
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33			590		832,205
Commonwealth Edison Co.,
First Mortgage
3.750%		08/15/47			1,610		1,668,567
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series09-C
5.500%		12/01/39			220		276,406
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			3,210		3,286,326
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48			1,490		1,648,289
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38			550		734,896
First Ref. Mortgage
4.000%		09/30/42			570		608,186
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			670		816,645
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19			615		619,156

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22			3,470	$	3,554,954
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19			800		804,851
6.250%		10/01/39			1,425		1,685,098
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			355		421,785
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33			295		383,226
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			145		179,113
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28			2,910		3,123,081
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			470		488,687
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24			2,170		2,315,377
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			610		611,598
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,580		1,611,547
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360		1,312,154
5.000%		03/15/44			695		772,534
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,760		1,778,807
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			1,130		1,150,282
3.700%		05/01/28			1,280		1,377,411
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		690,787
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,458,772
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			580		577,613
First Ref. Mortgage, Series C
3.600%		02/01/45			860		798,981
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			725		751,281

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480	$	521,409
							39,271,712
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			900		908,800
Engineering & Construction — 0.0%
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
3.875%		04/30/28			700		678,195
5.500%		07/31/47			800		797,000
							1,475,195
Foods — 0.3%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21			3,440		3,535,838
General Mills, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%
3.141%(c)		04/16/21			5,635		5,636,883
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46			475		451,307
5.000%		07/15/35			815		854,903
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49			1,720		1,850,622
							12,329,553
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20			290		301,412
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,595		1,869,617
							2,171,029
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43			65		73,294
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27			3,285		3,397,944
							3,471,238
Healthcare-Products — 0.0%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			474		497,198
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31	EUR		300		366,340
2.250%		03/07/39	EUR		400		514,270
							1,377,808

SEE NOTES TO FINANCIAL STATEMENTS.

A88

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services — 0.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		515	$	633,608
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		390		424,541
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		640		648,832
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25		1,155		1,246,678
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		940		1,053,015
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		190		193,113
New York and Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		445		493,182
						4,692,969
Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27		525		534,188
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		1,695		1,684,545
Insurance — 0.2%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		1,030		1,061,903
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		755		809,440
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		365		483,824
7.000%		03/15/34		850		1,114,160
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		772		982,129
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		200		210,437
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		660		939,882
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		130		143,735

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Insurance (continued)
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,450	$	1,570,032
6.850%		12/16/39		124		175,755
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		350		363,197
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		460		461,783
						8,316,277
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec���d. Notes
3.250%		09/15/22		980		1,002,194
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,260		1,322,362
Media — 0.3%
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,520		1,563,700
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
5.375%		04/01/38		1,950		2,088,184
6.384%		10/23/35		875		1,027,612
6.484%		10/23/45		1,386		1,633,136
Comcast Corp.,
Gtd. Notes
4.250%		10/15/30		680		758,891
6.400%		05/15/38		530		716,393
Discovery Communications LLC,
Gtd. Notes
2.800%		06/15/20		1,740		1,743,482
NBCUniversal Media LLC,
Gtd. Notes
2.875%		01/15/23		330		337,085
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		360		377,433
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		450		490,705
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		1,040		1,089,400
Walt Disney Co. (The),
Gtd. Notes, 144A
6.150%		03/01/37		515		699,685
6.900%		08/15/39		90		132,642
						12,658,348

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75			425	$	442,531
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			425		536,224
							978,755
Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22			1,205		1,214,038
General Electric Co.,
Sr. Unsec’d. Notes, GMTN
6.000%		08/07/19			264		264,865
							1,478,903
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			1,640		1,625,650
2.750%		01/06/23			315		317,265
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			1,095		1,098,141
4.375%		02/11/20			1,000		1,011,950
							4,053,006
Oil & Gas — 0.5%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36			2,000		944,901
4.850%		03/15/21			575		595,226
6.450%		09/15/36			1,155		1,420,005
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25	(a)		1,400		1,291,500
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47	(a)		1,200		1,302,265
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			210		235,062
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			300		356,114
Encana Corp. (Canada),
Gtd. Notes
6.500%		08/15/34			370		454,173
6.500%		02/01/38			275		336,785
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			350		366,842
6.510%		03/07/22			580		626,381
Helmerich & Payne, Inc.,
Gtd. Notes
4.650%		03/15/25			1,995		2,112,053

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25	(a)		550	$	586,370
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			835		888,200
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25			740		785,140
5.750%		02/01/29			840		875,616
6.250%		03/17/24			710		776,598
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22			450		453,398
5.500%		01/21/21			2,110		2,134,265
6.350%		02/12/48			1,536		1,318,656
6.500%		06/02/41			1,255		1,113,185
8.625%		12/01/23			350		384,943
Gtd. Notes, MTN
6.750%		09/21/47			2,265		2,016,983
6.875%		08/04/26			1,000		1,012,400
							22,387,061
Oil & Gas Services — 0.1%
Cameron International Corp.,
Gtd. Notes
4.500%		06/01/21			2,200		2,252,409
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
3.900%		05/17/28			2,781		2,893,993
4.000%		12/21/25			183		193,706
							5,340,108
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20	(a)		630		643,860
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22			800		845,678
							1,489,538
Pharmaceuticals — 0.7%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,175		1,213,984
4.500%		05/14/35			1,910		1,970,343
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35			2,190		2,211,198
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
2.979%(c)		06/25/21			1,115		1,107,513
Gtd. Notes, 144A
3.500%		06/25/21			500		507,242

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (continued)
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
4.125%		06/15/39		410	$	442,150
4.250%		10/26/49		1,725		1,906,815
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		9,285		10,017,265
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		340		354,679
5.050%		03/25/48		3,685		3,924,964
5.125%		07/20/45		610		650,513
5.300%		12/05/43		225		243,905
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48		1,375		1,269,682
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		3,555		3,550,634
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24		60		70,852
						29,441,739
Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		717		726,859
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		675		700,184
4.950%		06/15/28		1,115		1,219,050
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,345		1,422,888
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,430		1,493,276
4.800%		02/15/29		1,750		1,927,451
4.875%		06/01/25		3,250		3,532,171
5.200%		03/01/47		40		42,994
5.500%		02/15/49		395		448,630
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36		145		177,629
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		935		984,912
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.300%		03/01/48		125		115,971
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48		315		336,904
4.900%		01/15/45		1,000		1,047,876
5.100%		09/15/45		500		540,082
						14,716,877

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			1,050	$	1,135,522
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			230		236,233
							1,371,755
Retail — 0.2%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.288%(c)		04/17/20			1,100		1,100,127
Sr. Unsec’d. Notes
4.000%		05/15/25			4,705		4,904,476
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22	(a)		725		757,705
5.625%		10/15/23			725		751,818
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22			360		366,341
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,349,150
							9,229,617
Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,497,732
Semiconductors — 0.1%
Broadcom, Inc.,
Gtd. Notes, 144A
3.125%		04/15/21			1,310		1,318,482
3.125%		10/15/22			1,010		1,016,359
							2,334,841
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			1,233		1,251,214
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45			1,210		1,316,364
4.450%		11/03/45			215		257,839
							2,825,417
Telecommunications — 0.5%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31			4		5,559
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			2,355		2,420,952
3.600%		07/15/25			275		285,239
3.800%		02/15/27			1,065		1,108,318
4.300%		02/15/30			325		347,853
4.550%		03/09/49			64		65,325

SEE NOTES TO FINANCIAL STATEMENTS.

A91

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
4.850%		03/01/39			6,690	$	7,179,913
5.250%		03/01/37			65		72,950
5.350%		09/01/40			82		92,557
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20	(a)		750		768,750
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			1,125		1,125,293
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46			725		756,819
4.500%		08/10/33			1,205		1,357,513
4.862%		08/21/46			860		1,001,289
Sr. Unsec’d. Notes, 144A
4.016%		12/03/29			1,900		2,057,208
							18,645,538
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28			670		874,874
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37			715		923,208
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25			100		113,870
							1,911,952
TOTAL CORPORATE BONDS (cost $402,118,898)							421,239,351
MUNICIPAL BONDS — 0.4%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Taxable BP Settlement, Revenue Bonds, Series B
4.263%		09/15/32			240		263,470
California — 0.1%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49			1,325		1,986,652
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39			1,270		1,909,001
7.500%		04/01/34			475		716,965
7.625%		03/01/40			215		339,257
7.550%		04/01/39			245		387,864
							5,339,739
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, BABs, Series B
5.844%		11/01/50			680		970,856

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,030	$	1,457,151
State of Illinois,
General Obligation Unlimited, Series D
5.000%		11/01/22		3,190		3,490,594
						4,947,745
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, BABs, Series F
7.414%		01/01/40		1,070		1,655,236
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, Taxable, BABs
5.767%		08/01/36		1,130		1,409,212
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, BABs, Series C
4.910%		06/01/40		455		564,937
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, Taxable, BABs, Series B2
4.879%		12/01/34		300		350,613
						915,550
Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, BABs, Series A
5.834%		11/15/34		445		586,501
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		550		724,845
Virginia — 0.0%
University of Virginia,
Taxable, Revenue Bonds, Series C
4.179%		09/01/2117		495		561,112
TOTAL MUNICIPAL BONDS (cost $13,435,748)						17,374,266
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		24		24,262
Banc of America Funding Trust,
Series2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		554		552,580
Banc of America Mortgage Trust,
Series2005-A, Class 2A1
4.503%(cc)		02/25/35		330		334,596
Bellemeade Re Ltd. (Bermuda),
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.104%(c)		10/25/27		498		501,399

SEE NOTES TO FINANCIAL STATEMENTS.

A92

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.354%(c)		08/25/28		588	$	588,585
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%
3.754%(c)		08/25/28		300		300,000
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%
4.004%(c)		08/25/28		300		299,640
Series2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000%
3.404%(c)		04/25/29		2,210		2,212,534
Central Park Funding Trust,
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
3.940%(c)		11/01/23		4,700		4,699,996
Chase Mortgage Finance Trust,
Series2007-A01, Class 1A5
4.791%(cc)		02/25/37		246		250,444
CIM Trust,
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		12/25/57		2,936		2,951,212
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
4.440%(c)		01/25/57		3,128		3,188,250
Series2017-06, Class A1, 144A
3.015%(cc)		06/25/57		3,146		3,146,338
Series2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,956		2,949,111
Credit Suisse Mortgage Trust,
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%
3.829%(c)		08/25/37		1,078		1,077,539
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57		2,461		2,543,850
Eagle Re Ltd. (Bermuda),
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%
3.654%(c)		04/25/29		300		300,184
Series2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800%
4.204%(c)		04/25/29		300		300,237
Fannie Mae Connecticut Avenue Securities,
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.854%(c)		01/25/29		370		370,885
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.704%(c)		03/25/29		1,017		1,019,323
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.654%(c)		11/25/28		603		608,939
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.704%(c)		04/25/29		2,001		2,006,850
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.604%(c)		07/25/29		1,830		1,837,683
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
3.154%(c)		03/25/30		3,911		3,915,177
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750%
3.161%(c)		02/25/49		800		800,000
Gosforth Funding PLC (United Kingdom),
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%
2.971%(c)		08/25/60		1,947		1,947,471
Holmes Master Issuer PLC (United Kingdom),
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.957%(c)		10/15/54		1,949		1,949,018

Interest Rate	Maturity Date			Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Home Re Ltd. (Bermuda),
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%
4.054%(c)		05/25/29			610	$	609,999
JPMorgan Mortgage Trust,
Series2007-A01, Class 4A1
4.661%(cc)		07/25/35			122		125,467
Lanark Master Issuer PLC (United Kingdom),
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
2.943%(c)		12/22/69			1,400		1,400,162
LSTAR Securities Investment Trust,
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%
3.940%(c)		04/01/24			647		646,675
MetLife Securitization Trust,
Series2018-01A, Class A, 144A
3.750%(cc)		03/25/57			901		939,222
Mill City Mortgage Loan Trust,
Series2019-01, Class A1, 144A
3.250%(cc)		10/25/69			1,185		1,208,099
New Residential Mortgage Loan Trust,
Series2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57			1,809		1,875,494
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
3.154%(c)		01/25/48			860		859,869
Oaktown Re II Ltd. (Bermuda),
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
3.954%(c)		07/25/28			660		659,518
Park Avenue Funding Trust,
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%
3.937%(c)		11/27/20	14,660				14,660,016
Seasoned Credit Risk Transfer Trust,
Series2019-02, Class MA
3.500%		08/25/58			1,330		1,380,764
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.154%(c)		09/25/48			1,307		1,308,029
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.566%(cc)		02/25/34			141		142,765
Washington Mutual Mortgage Pass-Through Certificates,
Series2005-01, Class 3A
5.000%		03/25/20			13		12,894
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $66,177,730)							66,505,076
SOVEREIGN BONDS — 0.9%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			3,350		3,475,055
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			175		183,225
4.375%		07/12/21			500		517,505
7.375%		09/18/37			625		850,006

SEE NOTES TO FINANCIAL STATEMENTS.

A93

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			1,040	$	1,067,382
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20			400		411,044
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		405,302
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			2,280		2,433,672
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR		1,500		1,929,090
4.450%		02/11/24			505		536,239
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			950		1,064,804
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24	EUR		2,100		2,540,001
4.750%		01/08/26			540		587,514
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21			400		399,648
2.125%		10/25/23			1,400		1,395,512
2.625%		04/20/22			2,000		2,025,511
3.000%		03/12/24			400		414,324
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24			515		547,708
4.500%		04/16/50			475		532,598
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23			1,105		1,158,924
4.817%		03/14/49			1,060		1,214,802
5.103%		04/23/48			915		1,089,994
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39	EUR		1,850		2,408,662
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A
5.250%		01/16/50			1,720		1,954,918
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			1,325		1,322,588
2.875%		03/04/23			1,785		1,805,081
4.000%		04/17/25			1,035		1,100,981
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,800		1,816,273
3.250%		06/01/23			800		832,142
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,710		1,748,578
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
5.100%		06/18/50			680		764,157
TOTAL SOVEREIGN BONDS (cost $36,722,424)							38,533,240

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.9%
Federal Home Loan Bank
5.500%		07/15/36	(k)		1,080		$	1,507,407
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			1,024			1,014,888
2.500%		03/01/30			544			548,994
3.000%		10/01/28			409			419,394
3.000%		06/01/29			986			1,009,064
3.000%		03/01/32			1,162			1,189,981
3.000%		01/01/37			579			589,852
3.000%		01/01/43			1,107			1,126,736
3.000%		07/01/43			2,180			2,218,870
3.000%		01/01/47			6,704			6,786,002
3.500%		03/01/42			669			695,481
3.500%		06/01/42			397			412,460
3.500%		01/01/47			1,320			1,362,733
4.000%		06/01/26			607			636,249
4.000%		09/01/26			301			313,929
4.000%		10/01/39			869			916,900
4.000%		12/01/40			428			451,482
4.000%		10/01/41			454			479,538
4.000%		01/01/42			167			176,334
4.000%		10/01/45			702			735,078
4.000%		07/01/48			12,570			13,053,978
4.500%		07/01/19			—	(r)		147
4.500%		07/01/20			14			13,944
4.500%		09/01/39			313			336,132
4.500%		10/01/39			1,799			1,932,938
4.500%		12/01/39			538			578,403
4.500%		07/01/41			282			300,128
4.500%		07/01/41			1,864			2,003,759
4.500%		08/01/41			135			142,146
4.500%		08/01/41			240			255,543
4.500%		08/01/41			520			559,289
4.500%		10/01/41			150			158,063
4.500%		10/01/46			377			397,617
4.500%		12/01/47			2,141			2,255,863
4.500%		08/01/48			1,252			1,315,882
5.000%		05/01/34			24			26,585
5.000%		05/01/34			245			268,295
5.000%		08/01/35			24			26,178
5.000%		09/01/35			34			37,122
5.000%		10/01/36			38			41,384
5.000%		05/01/37			25			27,118
5.000%		07/01/37			495			539,444
5.000%		09/01/38			59			63,943
5.000%		09/01/38			62			67,020
5.000%		09/01/38			71			77,069
5.000%		02/01/39			24			25,920
5.000%		06/01/39			64			69,991
5.500%		02/01/34			34			36,362
5.500%		04/01/34			315			340,300
5.500%		06/01/34			111			119,663
5.500%		06/01/34			164			181,861
5.500%		05/01/37			53			58,469
5.500%		02/01/38			430			469,549
5.500%		05/01/38			78			84,830
5.500%		07/01/38			390			423,533

SEE NOTES TO FINANCIAL STATEMENTS.

A94

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		03/01/32		190	$	209,610
6.000%		12/01/33		52		56,732
6.000%		07/01/36		4		4,248
6.000%		12/01/36		9		10,286
6.000%		05/01/37		14		15,843
6.000%		12/01/37		30		32,947
6.000%		01/01/38		4		4,278
6.000%		01/01/38		15		17,137
6.000%		01/01/38		358		405,705
6.000%		10/01/38		82		92,584
6.000%		08/01/39		48		54,094
6.750%		03/15/31		500		727,178
7.000%		01/01/31		25		27,717
7.000%		06/01/31		30		33,226
7.000%		09/01/31		4		4,377
7.000%		10/01/31		47		55,058
7.000%		10/01/32		31		32,325
Federal National Mortgage Assoc.
2.000%		08/01/31		1,428		1,413,518
2.500%		01/01/28		1,201		1,211,937
2.500%		10/01/43		1,053		1,049,902
2.500%		12/01/46		1,888		1,874,225
3.000%		TBA		9,000		9,069,434
3.000%		02/01/27		1,813		1,855,124
3.000%		08/01/30		1,096		1,120,012
3.000%		11/01/36		3,027		3,082,745
3.000%		12/01/42		1,314		1,336,934
3.000%		12/01/42		1,991		2,024,901
3.000%		11/01/46		380		384,465
3.000%		02/01/47		1,876		1,900,212
3.000%		03/01/47		1,411		1,429,264
3.500%		TBA		32,000		32,709,557
3.500%		11/01/32		475		494,246
3.500%		02/01/33		1,545		1,596,481
3.500%		05/01/33		2,954		3,053,177
3.500%		06/01/39		702		722,324
3.500%		01/01/42		6,806		7,066,073
3.500%		05/01/42		3,363		3,489,428
3.500%		07/01/42		882		915,290
3.500%		08/01/42		370		383,793
3.500%		08/01/42		1,127		1,169,585
3.500%		09/01/42		1,028		1,067,605
3.500%		09/01/42		1,770		1,838,123
3.500%		11/01/42		655		680,229
3.500%		03/01/43		3,275		3,410,945
3.500%		04/01/43		611		634,718
3.500%		04/01/43		1,592		1,652,651
3.500%		07/01/43		291		302,463
3.500%		06/01/45		7,463		7,697,185
3.500%		11/01/46		2,152		2,215,758
3.500%		05/01/48		2,668		2,740,400
3.500%		06/01/48		6,163		6,365,342
4.000%		12/01/36		1,158		1,211,668
4.000%		10/01/41		3,669		3,869,347
4.000%		07/01/44		1,391		1,464,957
4.000%		09/01/44		3,112		3,258,329

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.000%		06/01/47		1,838	$	1,918,217
4.000%		09/01/47		667		694,953
4.000%		11/01/47		1,183		1,250,848
4.500%		07/01/33		55		58,318
4.500%		08/01/33		14		15,004
4.500%		09/01/33		45		48,480
4.500%		10/01/33		135		144,237
4.500%		03/01/34		37		39,625
4.500%		01/01/35		3		3,238
4.500%		07/01/39		935		1,004,254
4.500%		08/01/39		712		764,683
4.500%		09/01/39		513		550,705
4.500%		12/01/39		5		5,711
4.500%		03/01/41		1,705		1,830,433
4.500%		07/01/42		147		158,270
5.000%		03/01/34		250		271,733
5.000%		04/01/35		599		653,198
5.000%		06/01/35		146		159,812
5.000%		07/01/35		114		124,679
5.000%		07/01/35		148		161,094
5.000%		09/01/35		86		93,616
5.000%		11/01/35		111		120,725
5.000%		02/01/36		83		90,970
5.500%		02/01/33		115		124,313
5.500%		08/01/33		203		224,017
5.500%		10/01/33		53		58,074
5.500%		12/01/33		59		65,454
5.500%		12/01/34		150		166,144
5.500%		10/01/35		639		709,719
5.500%		03/01/36		51		54,652
5.500%		04/01/36		113		125,212
5.500%		01/01/37		72		79,438
5.500%		04/01/37		39		43,092
5.500%		05/01/37		238		264,230
5.500%		08/01/37		287		318,676
6.000%		05/01/21		35		35,714
6.000%		10/01/33		266		296,581
6.000%		11/01/33		25		27,663
6.000%		11/01/33		31		33,627
6.000%		01/01/34		258		292,302
6.000%		02/01/34		112		126,514
6.000%		03/01/34		2		2,432
6.000%		03/01/34		14		14,828
6.000%		03/01/34		40		43,918
6.000%		11/01/34		37		41,073
6.000%		01/01/35		59		65,592
6.000%		01/01/35		145		159,773
6.000%		02/01/35		3		3,540
6.000%		02/01/35		110		120,341
6.000%		02/01/35		223		255,335
6.000%		04/01/35		19		21,179
6.000%		12/01/35		90		98,747
6.000%		05/01/36		41		46,599
6.000%		06/01/36		15		16,798
6.000%		02/01/37		77		86,824
6.000%		06/01/37		39		44,504

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		05/01/38			201	$	227,824
6.250%		05/15/29	(k)		1,935		2,611,890
6.500%		09/01/32			1		1,222
6.500%		09/01/32			9		10,212
6.500%		09/01/32			14		15,122
6.500%		09/01/32			42		47,168
6.500%		09/01/32			45		50,402
6.500%		10/01/32			45		50,496
6.500%		04/01/33			68		78,761
6.500%		11/01/33			22		24,403
6.500%		01/01/34			44		48,685
6.500%		09/01/34			51		56,410
6.500%		10/01/34			73		80,850
6.500%		09/01/36			137		161,242
6.500%		10/01/36			41		47,724
6.500%		11/01/36			39		42,745
6.500%		01/01/37			40		44,363
6.500%		01/01/37			109		121,331
6.500%		09/01/37			18		21,200
6.625%		11/15/30	(k)		550		786,317
7.000%		02/01/32			31		35,335
7.000%		05/01/32			15		18,176
7.000%		06/01/32			14		15,886
7.000%		07/01/32			57		64,538
7.125%		01/15/30	(k)		3,600		5,221,595
Government National Mortgage Assoc.
2.500%		03/20/43			813		825,919
2.500%		12/20/46			1,021		1,027,272
3.000%		03/15/45			1,306		1,333,718
3.000%		11/20/45			1,422		1,456,056
3.000%		03/20/46			9,431		9,654,887
3.000%		07/20/46			3,703		3,790,571
3.000%		12/20/46			1,368		1,400,138
3.000%		02/20/47			2,773		2,838,596
3.500%		TBA			14,000		14,450,625
3.500%		12/20/42			2,058		2,147,196
3.500%		05/20/43			422		439,657
3.500%		03/20/45			1,861		1,931,384
3.500%		04/20/45			2,623		2,720,863
3.500%		07/20/46			9,538		9,870,539
4.000%		06/15/40			177		188,542
4.000%		05/20/41			330		349,291
4.000%		12/20/42			696		736,333
4.000%		08/20/44			329		345,700
4.000%		11/20/45			1,873		1,974,628
4.000%		12/20/45			1,979		2,086,069
4.000%		11/20/46			480		503,858
4.000%		09/20/47			8,445		8,804,959
4.500%		04/15/40			777		836,934
4.500%		01/20/41			1,443		1,539,341
4.500%		02/20/41			916		977,417
4.500%		06/20/44			993		1,058,721
4.500%		09/20/46			601		639,114
4.500%		11/20/46			1,209		1,291,711
4.500%		03/20/47			1,234		1,304,937
4.500%		05/20/48			2,149		2,240,965

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		06/20/48		2,952		$	3,087,387
4.500%		08/20/48		9,144			9,552,935
5.000%		10/20/37		134			145,977
5.000%		04/20/45		880			964,740
5.500%		11/15/32		81			89,189
5.500%		02/15/33		61			67,259
5.500%		08/15/33		120			130,981
5.500%		08/15/33		164			174,418
5.500%		09/15/33		44			46,795
5.500%		09/15/33		84			92,887
5.500%		10/15/33		84			93,692
5.500%		12/15/33		13			14,281
5.500%		04/15/34		350			394,808
5.500%		07/15/35		72			81,150
5.500%		02/15/36		118			131,930
6.000%		02/15/33		3			3,207
6.000%		04/15/33		19			20,459
6.000%		09/15/33		19			21,983
6.000%		12/15/33		40			45,418
6.000%		12/15/33		103			112,719
6.000%		01/15/34		21			23,984
6.000%		01/15/34		35			39,230
6.000%		06/20/34		77			88,609
6.000%		07/15/34		170			194,176
6.000%		10/15/34		197			220,022
6.500%		10/15/23		1			992
6.500%		12/15/23		3			3,851
6.500%		01/15/24		1			1,382
6.500%		01/15/24		2			1,887
6.500%		01/15/24		4			4,668
6.500%		01/15/24		13			14,662
6.500%		01/15/24		18			19,976
6.500%		01/15/24		53			57,784
6.500%		02/15/24		—	(r)		330
6.500%		02/15/24		—	(r)		456
6.500%		02/15/24		2			2,511
6.500%		02/15/24		2			2,705
6.500%		02/15/24		4			4,114
6.500%		02/15/24		8			8,873
6.500%		02/15/24		11			11,821
6.500%		02/15/24		11			12,563
6.500%		02/15/24		16			17,253
6.500%		02/15/24		28			31,068
6.500%		04/15/24		2			1,977
6.500%		04/15/24		2			2,099
6.500%		04/15/24		2			2,110
6.500%		04/15/24		2			2,483
6.500%		04/15/24		4			4,384
6.500%		04/15/24		4			4,543
6.500%		04/15/24		12			13,299
6.500%		05/15/24		12			12,712
6.500%		05/15/24		14			15,763
6.500%		10/15/24		17			18,660
6.500%		12/15/30		8			8,387
6.500%		01/15/32		21			23,952
6.500%		02/15/32		17			18,465

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		07/15/32			42	$	45,862
6.500%		08/15/32			6		6,239
6.500%		08/15/32			8		8,906
6.500%		08/15/32			28		31,033
6.500%		08/15/32			207		241,954
6.500%		06/15/35			5		5,778
6.500%		06/15/35			39		44,740
6.500%		07/15/35			7		7,688
8.000%		01/15/24			7		7,214
8.000%		04/15/25			5		5,383
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $283,478,851)							287,873,841
U.S. TREASURY OBLIGATIONS — 1.2%
U.S. Treasury Bonds
3.750%		11/15/43	(h)		2,900		3,569,945
U.S. Treasury Inflation Indexed Bonds, TIPS
0.875%		01/15/29			8,410		8,852,269
U.S. Treasury Notes
1.125%		02/28/21			640		632,775
1.375%		04/30/21			1,460		1,449,221
1.625%		04/30/23			530		527,909
2.000%		05/31/24			7,785		7,876,535
2.250%		11/15/27			2,430		2,487,712
2.375%		08/15/24			3,135		3,226,846
2.375%		05/15/29			8,640		8,928,562
2.500%		12/31/20	(k)		2,705		2,731,205
2.625%		11/15/20			1,000		1,010,273
2.750%		04/30/23	(k)		570		591,375
3.125%		11/15/28	(k)		6,070		6,657,794
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			615		515,750
2.241%(s)		05/15/28	(k)		2,553		2,126,242
TOTAL U.S. TREASURY OBLIGATIONS (cost $49,984,711)							51,184,413
TOTAL LONG-TERM INVESTMENTS (cost $3,416,722,342)							3,982,185,603

	Shares
SHORT-TERM INVESTMENTS — 8.1%
AFFILIATED MUTUAL FUNDS — 8.1%
PGIM Core Short-Term Bond Fund(w)		8,496,730	78,424,822
PGIM Core Ultra Short Bond Fund(w)		165,312,403	165,312,403
PGIM Institutional Money Market Fund (cost $91,758,797; includes $91,594,489 of cash collateral for securities on loan)(b)(w)		91,753,960	91,781,487
TOTAL AFFILIATED MUTUAL FUNDS (cost $338,890,564)			335,518,712

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. TREASURY OBLIGATION(k)(n) — 0.0%
U.S. Treasury Bills
2.172%		09/19/19		150	$	149,307
(cost $149,280)
OPTIONS PURCHASED*~ — 0.0% (cost $678,389)						944,550
TOTAL SHORT-TERM INVESTMENTS (cost $339,718,233)						336,612,569
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—103.6% (cost $3,756,440,575)						4,318,798,172
OPTIONS WRITTEN*~ — (0.0)% (premiums received $249,286)						(65,725	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—103.6% (cost $3,756,191,289)						4,318,732,447
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.6)%						(151,220,021	)
NET ASSETS — 100.0%					$	4,167,512,426

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $(702,290) and (0.0)% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $89,919,062; cash collateral of $91,594,489 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment.Non-income producing security. Such securities may be post-maturity.

(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

SEE NOTES TO FINANCIAL STATEMENTS.

A97

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(r) Principal or notional amount is less than $500 par.

(rr) Perpetual security with no stated maturity date.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Forward Commitment Contracts

U.S. Government Agency Obligations	Interest Rate			Maturity Date		Settlement Date		Principal Amount (000)#			Value
Federal National Mortgage Assoc. (proceeds receivable $2,711,113)		2.500	%		TBA		08/13/19		(2,750	)	$	(2,726,797	)

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
2 Year U.S. Treasury Notes Futures		Put		08/23/19	$	107.00		577		1,154	$	63,110
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	123.00		187		187		2,922
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	126.00		187		187		14,609
Eurodollar1-Year Mid Curve Futures		Put		07/12/19	$	97.75		263		658		1,644
Eurodollar1-Year Mid Curve Futures		Put		07/12/19	$	98.13		639		1,598		11,981
Eurodollar1-Year Mid Curve Futures		Put		07/12/19	$	98.25		263		658		13,150
Eurodollar1-Year Mid Curve Futures		Put		08/16/19	$	97.75		263		658		1,644
Eurodollar1-Year Mid Curve Futures		Put		08/16/19	$	98.25		263		658		37,806
Eurodollar1-Year Mid Curve Futures		Put		09/13/19	$	97.75		263		658		3,287
Eurodollar1-Year Mid Curve Futures		Put		09/13/19	$	98.25		263		658		52,600
Total Exchange Traded(cost $646,677)											$	202,753

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		600	$	5,844
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		900		9,295
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,379		48,930
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		3,285		47,417
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		8,212		111,305
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		16,302		231,762
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		16,540		241,010
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		3,285		45,862
Total OTC Traded(cost $23,424)													$	741,425

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

30- Year Interest Rate Swap, 08/19/49 (cost $8,288)

Put

Citibank, N.A.

08/15/19

2.66

%

3 Month LIBOR

(Q)

2.66

%(S)

740

$

372

Total Options Purchased(cost $678,389)

$

944,550

SEE NOTES TO FINANCIAL STATEMENTS.

A98

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	124.50		374		374	$	(5,844	)
Eurodollar1-Year Mid Curve Futures		Put		07/12/19	$	97.88		639		1,598		(3,994	)
Eurodollar1-Year Mid Curve Futures		Put		07/12/19	$	98.00		526		1,315		(3,287	)
Eurodollar1-Year Mid Curve Futures		Put		08/16/19	$	98.00		526		1,315		(19,725	)
Eurodollar1-Year Mid Curve Futures		Put		09/13/19	$	98.00		526		1,315		(32,875	)
Total Options Written(premiums received $249,286)											$	(65,725	)

Futures contracts outstanding at June 30, 2019:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
417		2 Year U.S. Treasury Notes		Sep. 2019	$	89,729,930	$	506,626
2,323		5 Year U.S. Treasury Notes		Sep. 2019		274,476,969		4,070,150
434		10 Year U.S. Ultra Treasury Bonds		Sep. 2019		59,946,250		1,919,867
853		30 Year U.S. Ultra Treasury Bonds		Sep. 2019		151,460,812		6,905,353
9		Mini MSCI EAFE Index		Sep. 2019		865,485		15,450
								13,417,446
Short Positions:
8		10 Year Euro-Bund		Sep. 2019		1,571,381		(24,000	)
157		10 Year U.S. Treasury Notes		Sep. 2019		20,091,094		(41,163	)
764		20 Year U.S. Treasury Bonds		Sep. 2019		118,873,625		(4,649,903	)
								(4,715,066	)
							$	8,702,380

Forward foreign currency exchange contracts outstanding at June 30, 2019:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/19		Citibank, N.A.	EUR	9,088	$	10,359,594	$	10,337,884	$	—	$	(21,710	)
Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/19		Citibank, N.A.		EUR 9,088	$	10,205,408	$	10,337,884	$	—	$	(132,476	)
Expiring 08/02/19		Citibank, N.A.		EUR 9,088		10,385,858		10,364,900		20,958		—
					$	20,591,266	$	20,702,784	$	20,958	$	(132,476	)
									$	20,958	$	(154,186	)

Credit default swap agreements outstanding at June 30, 2019:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date		Value at June 30, 2019		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.IG.32.V1		06/20/29		1.000%(Q)		39,000	$	546,946	$	93,132	$	(453,814	)

SEE NOTES TO FINANCIAL STATEMENTS.

A99

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may includeup-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreements outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date(5)		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	135,500		07/15/19		—(3)	—(3)	$	(218,137	)	$	—	$	(218,137	)	Citigroup Global Markets Inc.
	260,300		07/24/19		—(4)	—(4)		(484,153	)		—		(484,153	)	Citigroup Global Markets Inc.
							$	(702,290	)	$	—	$	(702,290	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.366% upon termination.

(4) The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.338% upon termination.

(5) The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
EUR	3,905		05/11/24		0.050%(A)	1 Day EONIA(1)(A)	$	(43,095	)	$	(102,681	)	$	(59,586	)
EUR	1,390		05/11/39		1.100%(A)	1 Day EONIA(1)(A)		(12,624	)		(191,497	)		(178,873	)
	24,360		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(320,572	)		(320,572	)
	12,277		03/31/21		2.173%(A)	1 Day USOIS(2)(A)		(4,128	)		122,499			126,627
	685		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(16,055	)		(16,055	)
	33,700		03/29/24		1.949%(A)	1 Day USOIS(1)(A)		—			(641,390	)		(641,390	)
	610		05/15/24		1.808%(A)	1 Day USOIS(1)(A)		—			(8,028	)		(8,028	)
	20,135		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		49,779			(504,577	)		(554,356	)
	14,985		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		46,829			(430,713	)		(477,542	)
	10,320		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(488,650	)		(488,650	)
	4,710		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(237,435	)		(237,435	)
	6,432		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(4,468	)		(441,177	)		(436,709	)
	3,575		07/31/25		2.802%(A)	1 Day USOIS(1)(A)		—			(269,323	)		(269,323	)
	4,870		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		3,842			(411,476	)		(415,318	)

SEE NOTES TO FINANCIAL STATEMENTS.

A100

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest rate swap agreements outstanding at June 30, 2019 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciation (Depreciation)
	16,149		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)	$	1,001		$	(1,368,894	)	$	(1,369,895	)
	36,240		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		294,382			(1,064,219	)		(1,358,601	)
	860		01/31/26		2.236%(S)	3 Month LIBOR(1)(Q)		—			(22,862	)		(22,862	)
	5,960		01/31/26		2.269%(A)	1 Day USOIS(1)(A)		(24,421	)		(264,558	)		(240,137	)
	8,033		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		90,939			(108,032	)		(198,971	)
	1,575		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,997			(30,209	)		(32,206	)
	1,325		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			(32,069	)		(32,069	)
	4,595		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(2,908	)		(147,159	)		(144,251	)
	1,580		05/15/27		1.823%(A)	1 Day USOIS(1)(A)		—			(23,090	)		(23,090	)
	655		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			(20,519	)		(20,519	)
	25,041		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(365,234	)		(1,960,928	)		(1,595,694	)
	11,635		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(50,614	)		(949,663	)		(899,049	)
	290		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			(26,132	)		(26,132	)
							$	(18,723	)	$	(9,959,409	)	$	(9,940,686	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(702,290	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	11,383,593
Goldman Sachs & Co. LLC		—		149,307
Total	$	—	$	11,532,900

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks.	$	2,479,364,657	$	35,040,679	$	—
Exchange-Traded Fund		334,434		—		—
Preferred Stocks		606,980		155,813		—
Rights.		—		6,037		—
Asset-Backed Securities
Automobiles		—		88,340,568		—
Collateralized Loan Obligations		—		124,220,671		—
Consumer Loans		—		6,479,650		—
Credit Cards		—		12,415,202		—
Equipment		—		9,626,470		—

SEE NOTES TO FINANCIAL STATEMENTS.

A101

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

	Level 1			Level 2			Level 3
Investments in Securities (continued)
Asset-Backed Securities (continued)
Home Equity Loans	$	—		$	2,842,763		$	—
Other		—			7,980,368			—
Residential Mortgage-Backed Securities		—			25,990,825			—
Student Loans		—			30,890,540			—
Bank Loans.		—			1,892,647			—
Commercial Mortgage-Backed Securities		—			273,287,112			—
Corporate Bonds		—			421,239,351			—
Municipal Bonds.		—			17,374,266			—
Residential Mortgage-Backed Securities		—			66,505,076			—
Sovereign Bonds		—			38,533,240			—
U.S. Government Agency Obligations		—			287,873,841			—
U.S. Treasury Obligations.		—			51,333,720			—
Affiliated Mutual Funds		335,518,712			—			—
Options Purchased		202,753			741,797			—
Options Written		(65,725	)		—			—
Other Financial Instruments*
Forward Commitment Contract		—			(2,726,797	)		—
Futures Contracts		8,702,380			—			—
OTC Forward Foreign Currency Exchange Contracts		—			(133,228	)		—
Centrally Cleared Credit Default Swap Agreement		—			(453,814	)		—
OTC Forward Rate Agreements		—			—			(702,290	)
Centrally Cleared Interest Rate Swap Agreements.		—			(9,940,686	)		—
Total	$	2,824,664,191		$	1,489,516,111		$	(702,290	)

* Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Affiliated Mutual Funds (2.2% represents investments purchased with collateral from securities on loan)	8.1	%
U.S. Government Agency Obligations	6.9
Commercial Mortgage-Backed Securities	6.6
Banks	6.5
Software	4.7
Pharmaceuticals	3.1
Interactive Media & Services	3.0
IT Services	3.0
Collateralized Loan Obligations	3.0
Automobiles	2.8
Technology Hardware, Storage & Peripherals	2.6
Health Care Equipment & Supplies	2.5
Oil, Gas & Consumable Fuels	2.5
Residential Mortgage-Backed Securities	2.2
Aerospace & Defense	2.2
Internet & Direct Marketing Retail	1.9
Biotechnology	1.8
Semiconductors & Semiconductor Equipment	1.8
Insurance	1.7
Beverages	1.6
Diversified Telecommunication Services	1.6
Capital Markets	1.6
Chemicals	1.4
Health Care Providers & Services	1.4
Equity Real Estate Investment Trusts (REITs)	1.3

Hotels, Restaurants & Leisure	1.3	%
U.S. Treasury Obligations	1.2
Food Products	1.2
Diversified Financial Services	1.1
Communications Equipment	1.0
Media	1.0
Specialty Retail	1.0
Tobacco	1.0
Life Sciences Tools & Services	1.0
Electric	1.0
Sovereign Bonds	0.9
Student Loans	0.7
Entertainment	0.7
Electric Utilities	0.7
Industrial Conglomerates	0.7
Consumer Finance	0.7
Road & Rail	0.7
Household Products	0.6
Machinery	0.6
Oil & Gas	0.5
Multi-Utilities	0.5
Building Products	0.5
Food & Staples Retailing	0.5
Independent Power & Renewable Electricity Producers	0.5
Textiles, Apparel & Luxury Goods	0.5
Telecommunications	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A102

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)

Auto Manufacturers	0.4	%
Municipal Bonds	0.4
Distributors	0.4
Pipelines	0.4
Electronic Equipment, Instruments & Components	0.3
Credit Cards	0.3
Foods	0.3
Gas Utilities	0.3
Real Estate Management & Development	0.3
Construction & Engineering	0.3
Construction Materials	0.3
Airlines	0.3
Equipment	0.2
Multiline Retail	0.2
Metals & Mining	0.2
Retail	0.2
Other	0.2
Consumer Loans	0.2
Commercial Services	0.1
Oil & Gas Services	0.1
Trading Companies & Distributors	0.1
Mortgage Real Estate Investment Trusts (REITs)	0.1
Electrical Equipment	0.1
Healthcare-Services	0.1
Transportation Infrastructure	0.1
Professional Services	0.1
Wireless Telecommunication Services	0.1
Multi-National	0.1
Diversified Consumer Services	0.1
Agriculture	0.1
Energy Equipment & Services	0.1
Gas	0.1
Building Materials	0.1

Home Equity Loans	0.1	%
Semiconductors	0.1
Forest Products & Paper	0.1
Transportation	0.1
Housewares	0.1
Air Freight & Logistics	0.0	*
Savings & Loans	0.0	*
Packaging & Containers	0.0	*
Miscellaneous Manufacturing	0.0	*
Engineering & Construction	0.0	*
Healthcare-Products	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Machinery-Diversified	0.0	*
Personal Products	0.0	*
Commercial Services & Supplies	0.0	*
Lodging	0.0	*
Mining	0.0	*
Options Purchased	0.0	*
Electronics	0.0	*
Containers & Packaging	0.0	*
Home Builders	0.0	*
Household Durables	0.0	*
Auto Components	0.0	*
Exchange-Traded Fund	0.0	*
Paper & Forest Products	0.0	*
Computers	0.0	*
Leisure Products	0.0	*
Marine	0.0	*
	103.6
Options Written	(0.0	)*
Liabilities in excess of other assets	(3.6	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	—	$	—		Due from/to broker — variation margin swaps	$	453,814	*
Equity contracts	Due from/to broker — variation margin futures		15,450	*	—		—
Equity contracts	Unaffiliated investments		6,037		—		—
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		20,958		Unrealized depreciation on OTC forward foreign currency exchange contracts		154,186
Interest rate contracts	Due from/to broker — variation margin futures		13,401,996	*	Due from/to broker — variation margin futures		4,715,066	*
Interest rate contracts	Due from/to broker — variation margin swaps		126,627	*	Due from/to broker — variation margin swaps		10,067,313	*

SEE NOTES TO FINANCIAL STATEMENTS.

A103

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Unaffiliated investments	$	944,550	Options written outstanding, at value	$	65,725
Interest rate contracts	—		—	Unrealized depreciation on OTC forward rate agreements		702,290
		$	14,515,618		$	16,158,394

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures		Forward Currency Contracts		Forward Rate Agreements		Swaps
Credit contracts	$	—		$	—	$	—	$	—	$	—	$	(32,422	)
Equity contracts		—			—		61,346		—		—		—
Foreign exchange contracts		—			—		—		232,953		—		—
Interest rate contracts		(1,325	)		55,675		14,390,061		—		49,263		1,159,567
Total	$	(1,325	)	$	55,675	$	14,451,407	$	232,953	$	49,263	$	1,127,145

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)			Options Written		Futures		Forward Currency Exchange Contracts			Forward Rate Agreements			Swaps
Credit contracts	$	—		$	—		$	—	$	—	$	—		$	—		$	(1,237,024	)
Equity contracts		(133	)		—			—		31,852		—			—			—
Foreign exchange contracts		—			—			—		—		(47,109	)		—			—
Interest rate contracts		—			(206,071	)		183,561		1,902,421		—			(628,167	)		(11,107,468	)
Total	$	(133	)	$	(206,071	)	$	183,561	$	1,934,273	$	(47,109	)	$	(628,167	)	$	(12,344,492	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts—Purchased(3)
$299,076	$2,449,667	$574,320,289	$156,954,020	$3,453,198

Forward Foreign Currency Exchange Contracts—Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$12,866,733	$330,566,667	$282,886,599	$39,000,000

Inflation Swap
Agreements(2)

$3,640,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

SEE NOTES TO FINANCIAL STATEMENTS.

A104

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan.	$	89,919,062	$	(89,919,062	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	584,077	$	—		$	584,077		$	(551,184	)	$	32,893
Barclays Bank PLC		151,504		—			151,504			—			151,504
Citibank, N.A.		21,330		(154,186	)		(132,856	)		—			(132,856	)
Citigroup Global Markets Inc.		—		(702,290	)		(702,290	)		702,290			—
Morgan Stanley & Co. International PLC		5,844		—			5,844			—			5,844
	$	762,755	$	(856,476	)	$	(93,721	)	$	151,106		$	57,385

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A105

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $89,919,062:
Unaffiliated investments (cost $3,417,550,011) .	$	3,983,279,460
Affiliated investments (cost $338,890,564)		335,518,712
Foreign currency, at value (cost $399,697)		402,039
Receivable for investments sold		98,959,118
Dividends and interest receivable		11,184,062
Tax reclaim receivable		515,409
Due from broker-variation margin swaps		111,984
Unrealized appreciation on OTC forward foreign currency exchange contracts		20,958
Receivable from affiliate		3,855
Receivable for Portfolio shares sold		1,984
Prepaid expenses and other assets		13,591
Total Assets		4,430,011,172
LIABILITIES
Payable for investments purchased		163,393,215
Payable to broker for collateral for securities on loan		91,594,489
Forward commitment contracts, at value (proceeds receivable $2,711,113)		2,726,797
Management fee payable.		2,023,909
Unrealized depreciation on OTC forward rate agreements		702,290
Accrued expenses and other liabilities		529,456
Payable for Portfolio shares repurchased		495,505
Payable to custodian.		454,125
Payable to affiliate		279,470
Unrealized depreciation on OTC forward foreign currency exchange contracts		154,186
Due to broker-variation margin futures		78,599
Options written outstanding, at value (proceeds received $249,286)		65,725
Affiliated transfer agent fee payable		980
Total Liabilities		262,498,746
NET ASSETS	$	4,167,512,426
Net assets were comprised of:
Partners Equity	$	4,167,512,426
Net asset value and redemption price per share, $4,167,512,426 / 129,725,325 outstanding shares of beneficial interest	$	32.13

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $101,462 foreign withholding tax, of which $11,436 is reimbursable by an affiliate)	$	26,280,190
Interest income (net of $1,931 foreign withholding tax)		24,285,704
Affiliated dividend income		3,677,620
Income from securities lending, net (including affiliated income of $78,530)		86,189
Total income		54,329,703
EXPENSES
Management fee.		12,095,571
Custodian and accounting fees		216,773
Shareholders’ reports		196,143
Trustees’ fees		26,884
Audit fee.		22,477
Legal fees and expenses.		12,008
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		42,497
Total expenses		12,617,650
NET INVESTMENT INCOME (LOSS)		41,712,053
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $1,265)		85,242,459
Futures transactions.		14,451,407
Forward rate agreement transactions		49,263
Forward currency contract transactions		232,953
Options written transactions		55,675
Swap agreements transactions		1,127,145
Foreign currency transactions		(18,409	)
		101,140,493
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $190,592)		331,397,539
Futures		1,934,273
Forward rate agreements		(628,167	)
Forward currency contracts.		(47,109	)
Options written		183,561
Swap agreements.		(12,344,492	)
Foreign currencies		4,294
		320,499,899
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		421,640,392
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	463,352,445

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	41,712,053		$	72,609,431
Net realized gain (loss) on investment and foreign currency transactions		101,140,493			235,710,436
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		320,499,899			(472,582,378	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		463,352,445			(164,262,511	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [89,980 and 233,974 shares, respectively]		2,767,167			7,057,478
Portfolio shares repurchased [4,281,087 and 7,894,348 shares, respectively]		(132,148,703	)		(239,041,615	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(129,381,536	)		(231,984,137	)
CAPITAL CONTRIBUTIONS		14,632			72,588
TOTAL INCREASE (DECREASE)		333,985,541			(396,174,060	)
NET ASSETS:
Beginning of period		3,833,526,885			4,229,700,945
End of period.	$	4,167,512,426		$	3,833,526,885

SEE NOTES TO FINANCIAL STATEMENTS.

A106

GLOBAL PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS — 96.1%	Shares		Value
Australia — 2.0%
AGL Energy Ltd.		66,200	$	929,788
Aristocrat Leisure Ltd.		105,638		2,276,966
Ausdrill Ltd.		123,200		158,385
Caltex Australia Ltd.		26,000		451,994
Coca-Cola Amatil Ltd.		166,300		1,192,587
CSL Ltd.		28,046		4,241,836
CSR Ltd.		334,900		918,812
Fortescue Metals Group Ltd.		201,900		1,280,357
Harvey Norman Holdings Ltd.(a)		247,700		708,995
Inghams Group Ltd.		268,900		759,214
Lendlease Group		101,800		929,491
Macquarie Group Ltd.		47,586		4,188,273
Metcash Ltd.		412,500		742,674
Mineral Resources Ltd.		49,500		521,933
Qantas Airways Ltd.		387,619		1,468,834
Rio Tinto Ltd.		26,000		1,897,193
Woodside Petroleum Ltd.		40,800		1,043,164
				23,710,496
Austria — 0.2%
OMV AG		28,000		1,366,566
voestalpine AG		28,800		893,909
				2,260,475
Belgium — 0.1%
Bekaert SA		22,500		603,779
UCB SA		8,900		738,027
				1,341,806
Canada — 2.5%
Brookfield Asset Management, Inc. (Class A Stock)(a)		92,652		4,426,913
Canadian National Railway Co.		58,405		5,405,434
Dollarama, Inc.		70,479		2,479,453
Magna International, Inc.(a)		51,755		2,572,223
Rogers Communications, Inc. (Class B Stock)		49,568		2,653,367
TC Energy Corp.		136,116		6,740,464
Toronto-Dominion Bank (The)		78,529		4,588,629
				28,866,483
China — 2.4%
Alibaba Group Holding Ltd., ADR*		78,555		13,311,145
China Merchants Bank Co. Ltd. (Class H Stock)		864,000		4,312,190
China Resources Cement Holdings Ltd.		1,234,000		1,197,314
Kingboard Holdings Ltd.		216,000		602,480
NetEase, Inc., ADR		11,985		3,065,403
Tencent Holdings Ltd.		105,800		4,778,343
Xinyi Solar Holdings Ltd.		926,000		457,253
				27,724,128
Denmark — 0.9%
Coloplast A/S (Class B Stock)		32,261		3,644,478
Danske Bank A/S		61,200		967,430
Dfds A/S		11,300		480,286
DSV A/S		16,987		1,668,886

COMMON STOCKS (continued)	Shares		Value
Denmark (continued)
Orsted A/S, 144A		40,130	$	3,466,106
				10,227,186
Finland — 0.2%
Neste OYJ		28,172		958,632
Nordea Bank Abp		83,600		607,150
UPM-Kymmene OYJ		44,300		1,178,417
				2,744,199
France — 4.3%
Airbus SE		36,349		5,157,729
Arkema SA		6,700		623,802
Atos SE		4,900		410,126
AXA SA		54,100		1,420,775
BNP Paribas SA		23,200		1,102,187
Bouygues SA		17,700		656,286
Capgemini SE		31,820		3,954,117
Carrefour SA(a)		41,800		807,270
Cie Generale des Etablissements Michelin SCA		12,000		1,520,302
CNP Assurances		42,800		971,551
Credit Agricole SA		78,500		940,780
Engie SA		50,000		757,758
LVMH Moet Hennessy Louis Vuitton SE		13,190		5,616,080
Natixis SA		146,400		590,665
Orange SA		82,400		1,298,609
Peugeot SA		24,200		596,410
Renault SA		12,300		773,833
Safran SA		34,420		5,047,751
Sanofi		50,200		4,338,475
Societe Generale SA		28,600		722,705
TOTAL SA		68,100		3,815,153
TOTAL SA, ADR		169,639		9,464,160
Valeo SA		8,300		269,658
Worldline SA/France, 144A*		1,960		142,674
				50,998,856
Germany — 2.2%
Allianz SE		8,500		2,050,005
Aurubis AG		10,800		527,232
BASF SE		13,300		968,589
Bayerische Motoren Werke AG		14,800		1,095,127
Covestro AG, 144A		26,100		1,328,058
Daimler AG		17,600		978,386
Deutsche Lufthansa AG		54,200		927,828
Deutsche Post AG		18,500		608,254
Evonik Industries AG		36,500		1,065,586
Infineon Technologies AG		162,619		2,869,881
METRO AG		46,000		841,108
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		4,200		1,054,414
Rational AG		3,382		2,336,253
Rheinmetall AG		9,700		1,188,616
SAP SE		36,215		4,975,448
Siemens AG		10,600		1,261,454
Volkswagen AG		7,400		1,272,463
				25,348,702

SEE NOTES TO FINANCIAL STATEMENTS.

A107

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Hong Kong — 1.0%
AIA Group Ltd.		642,800	$	6,950,598
CK Hutchison Holdings Ltd.		143,000		1,407,912
Lee & Man Paper Manufacturing Ltd.		1,049,000		735,136
PAX Global Technology Ltd.		933,000		380,522
Skyworth Digital Holdings Ltd.		1,072,000		288,653
WH Group Ltd., 144A		1,291,500		1,312,461
Wheelock & Co. Ltd.		67,000		481,293
Yue Yuen Industrial Holdings Ltd.		296,500		812,391
				12,368,966
India — 0.3%
HDFC Bank Ltd., ADR		26,011		3,382,471
Ireland — 0.4%
Kingspan Group PLC		68,939		3,742,909
Smurfit Kappa Group PLC		35,200		1,066,216
				4,809,125
Israel — 0.3%
Bank Hapoalim BM		91,200		677,416
Check Point Software Technologies Ltd.*(a)		28,746		3,323,325
				4,000,741
Italy — 0.7%
A2A SpA		546,200		947,648
Enel SpA		476,200		3,325,643
Ferrari NV		7,427		1,204,277
Leonardo SpA		74,400		944,195
Mediobanca Banca di Credito Finanziario SpA		87,600		902,267
UnipolSai Assicurazioni SpA(a)		253,700		651,673
				7,975,703
Japan — 5.6%
AGC, Inc.		29,800		1,031,395
Aisan Industry Co. Ltd.		68,400		434,894
Aisin Seiki Co. Ltd.		14,000		482,818
Astellas Pharma, Inc.		88,200		1,258,393
Daikin Industries Ltd.		23,300		3,054,500
Dowa Holdings Co. Ltd.		21,700		699,084
Enplas Corp.		200		5,946
Fujikura Ltd.		95,500		359,527
Hazama Ando Corp.		85,900		574,593
Hitachi Capital Corp.		28,500		634,729
Hitachi High-Technologies Corp.		17,300		891,949
Isuzu Motors Ltd.		78,200		891,386
ITOCHU Corp.		102,900		1,969,415
Japan Airlines Co. Ltd.		28,000		894,676
Japan Aviation Electronics Industry Ltd.		46,000		677,883
JTEKT Corp.		50,800		619,148
Kaneka Corp.		14,800		557,961
KDDI Corp.		117,600		2,990,129
Keihin Corp.		54,300		779,520
Keiyo Bank Ltd. (The)		76,500		448,174
Keyence Corp.		8,500		5,241,398
Komatsu Ltd.		44,900		1,085,905
Konica Minolta, Inc.		87,900		858,819

COMMON STOCKS (continued)	Shares		Value
Japan (continued)
Lintec Corp.		30,000	$	626,325
Marubeni Corp.		173,200		1,149,086
Mazda Motor Corp.		56,700		592,234
Mitsubishi Chemical Holdings Corp.		82,800		579,686
Mitsubishi Gas Chemical Co., Inc.		46,900		627,094
Mitsubishi UFJ Financial Group, Inc.		248,600		1,182,816
Mitsubishi UFJ Lease & Finance Co. Ltd.		165,800		881,344
Mitsui & Co. Ltd.		61,800		1,007,965
Mitsui Chemicals, Inc.		31,500		782,130
Mitsui Sugar Co. Ltd.		25,400		525,571
Mixi, Inc.		17,800		357,524
Mizuho Financial Group, Inc.		597,700		866,814
Nikon Corp.		45,200		640,744
Nippon Telegraph & Telephone Corp.		69,300		3,230,931
Nishi-Nippon Financial Holdings, Inc.		48,600		350,292
Nissan Motor Co. Ltd.		161,600		1,158,096
Nitori Holdings Co. Ltd.		19,500		2,588,261
NTN Corp.		275,500		821,119
NTT DOCOMO, Inc.		24,800		578,434
ORIX Corp.		44,600		666,256
Resona Holdings, Inc.		355,300		1,481,835
Sawai Pharmaceutical Co. Ltd.		9,200		497,077
Shiseido Co. Ltd.		50,400		3,812,886
SKY Perfect JSAT Holdings, Inc.		151,000		589,487
SMC Corp.		6,000		2,248,468
Sompo Holdings, Inc.		26,800		1,036,208
Sumitomo Forestry Co. Ltd.		50,100		601,224
Sumitomo Heavy Industries Ltd.		32,300		1,114,122
Sumitomo Mitsui Financial Group, Inc.		33,900		1,198,828
Teijin Ltd.		67,300		1,148,983
Toagosei Co. Ltd.		53,700		565,720
Toho Holdings Co. Ltd.		12,400		278,280
Towa Pharmaceutical Co. Ltd.		28,200		717,241
Toyo Tire Corp.		35,200		464,187
Toyoda Gosei Co. Ltd.		33,200		648,976
Toyota Motor Corp.		15,730		978,400
Tsubakimoto Chain Co.		17,000		556,274
Ube Industries Ltd.		30,100		625,429
Ulvac, Inc.		12,700		403,298
Yokohama Rubber Co. Ltd. (The)		45,000		828,749
				65,450,636
Luxembourg — 0.1%
Tenaris SA		121,841		1,597,398
Macau — 0.2%
Galaxy Entertainment Group Ltd.		404,000		2,724,043
Netherlands — 2.4%
ABN AMRO Bank NV, CVA, 144A		45,300		969,083
Adyen NV, 144A*		2,698		2,084,250
Aegon NV		95,000		472,024

SEE NOTES TO FINANCIAL STATEMENTS.

A108

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Netherlands (continued)
ING Groep NV		75,400	$	873,952
Koninklijke Ahold Delhaize NV		95,900		2,155,546
Koninklijke Philips NV		102,367		4,452,940
NN Group NV		27,800		1,118,649
NXP Semiconductors NV		78,957		7,706,993
Royal Dutch Shell PLC (Class A Stock)		113,991		3,721,645
Royal Dutch Shell PLC (Class B Stock)		109,100		3,574,783
Signify NV, 144A		47,000		1,388,647
				28,518,512
New Zealand — 0.1%
Air New Zealand Ltd.		485,600		865,510
Norway — 0.2%
DNB ASA		68,200		1,269,995
Equinor ASA		37,300		735,400
Leroy Seafood Group ASA		123,600		820,576
				2,825,971
Singapore — 0.1%
DBS Group Holdings Ltd.		62,300		1,195,177
South Africa — 0.2%
Bid Corp. Ltd.		73,428		1,597,889
Investec PLC		79,700		518,110
				2,115,999
Spain — 1.0%
ACS Actividades de Construccion y Servicios SA(a)		94,478		3,772,863
Amadeus IT Group SA		51,664		4,099,339
Banco Santander SA		137,900		638,449
Iberdrola SA		97,700		973,698
Mapfre SA		219,300		641,545
Repsol SA		85,300		1,339,001
				11,464,895
Sweden — 1.2%
Atlas Copco AB (Class A Stock)		121,163		3,871,590
Boliden AB		35,400		906,930
Electrolux AB (Class B Stock)		37,400		956,228
Hexagon AB (Class B Stock)		57,189		3,178,687
JM AB(a)		25,700		590,540
Sandvik AB		45,200		829,332
SKF AB (Class B Stock)		58,700		1,079,350
Swedbank AB (Class A Stock)		18,400		276,543
Volvo AB (Class B Stock)		133,200		2,113,715
				13,802,915
Switzerland — 2.7%
ALSO Holding AG*		690		98,665
Baloise Holding AG		9,000		1,593,116
Credit Suisse Group AG*		79,900		955,009
Helvetia Holding AG		7,000		879,094
Landis+Gyr Group AG		7,900		629,321
Lonza Group AG*		14,236		4,813,855
Partners Group Holding AG		4,538		3,567,191
Roche Holding AG		20,000		5,631,314
Sika AG		18,137		3,102,119

COMMON STOCKS (continued)	Shares		Value
Switzerland (continued)
Swiss Life Holding AG		3,400	$	1,686,825
Swiss Re AG		14,000		1,422,290
Swisscom AG		2,200		1,105,112
Temenos AG*		22,701		4,065,181
UBS Group AG*		83,800		996,571
Zurich Insurance Group AG		4,700		1,633,672
				32,179,335
Taiwan — 0.4%
Taiwan Semiconductor Manufacturing Co. Ltd.		651,000		4,987,127
United Kingdom — 4.9%
3i Group PLC		97,100		1,373,564
Abcam PLC		51,495		965,313
Aviva PLC		164,200		869,086
Babcock International Group PLC		42,900		249,588
BAE Systems PLC		286,300		1,801,962
Barclays PLC		373,500		711,666
Barratt Developments PLC		109,300		794,763
Bellway PLC		25,400		898,478
Berkeley Group Holdings PLC		13,700		649,345
Bovis Homes Group PLC		66,300		870,583
BP PLC		355,000		2,477,130
British American Tobacco PLC		15,800		552,414
BT Group PLC		365,300		912,567
Centrica PLC		457,200		508,751
Compass Group PLC		170,775		4,094,701
Crest Nicholson Holdings PLC		143,814		652,508
Debenhams PLC*^		228,400		5,303
Diageo PLC		99,004		4,263,539
Experian PLC		147,779		4,477,918
GlaxoSmithKline PLC		156,200		3,127,141
Go-Ahead Group PLC (The)		34,500		866,498
Imperial Brands PLC		44,600		1,046,897
Inchcape PLC		66,600		521,703
International Consolidated Airlines Group SA		150,000		907,758
J Sainsbury PLC		324,800		808,055
Keller Group PLC		48,200		376,083
Kingfisher PLC		255,800		697,431
Legal & General Group PLC		415,000		1,421,890
Lloyds Banking Group PLC		1,954,100		1,406,941
London Stock Exchange Group PLC		44,284		3,089,181
Marks & Spencer Group PLC		279,900		747,579
Meggitt PLC		72,300		482,362
National Express Group PLC		154,700		789,979
Paragon Banking Group PLC		105,900		590,702
Premier Foods PLC*		357,756		153,456
QinetiQ Group PLC		214,000		759,914
Quilter PLC, 144A		73,300		130,843
Redrow PLC		77,600		536,782
RELX PLC		171,688		4,169,171
Royal Mail PLC		120,900		325,684
RPC Group PLC		42,000		423,099
Segro PLC		328,193		3,044,492
St. James’s Place PLC		126,243		1,762,416

SEE NOTES TO FINANCIAL STATEMENTS.

A109

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United Kingdom (continued)
Tate&LylePLC.		109,000	$	1,022,537
Taylor Wimpey PLC		263,400		528,105
Vesuvius PLC		81,100		565,011
				57,430,889
United States — 59.5%
Adobe, Inc.*		32,994		9,721,682
Alphabet, Inc. (Class C Stock)*		10,709		11,575,465
Amazon.com, Inc.*		9,040		17,118,415
American International Group, Inc.		162,740		8,670,787
Amphenol Corp. (Class A Stock)		106,538		10,221,256
Applied Materials, Inc.		90,550		4,066,600
AT&T, Inc.		60,350		2,022,329
Autodesk, Inc.*		73,163		11,918,253
AXA Equitable Holdings, Inc.		74,234		1,551,491
Bank of New York Mellon Corp. (The)		84,588		3,734,560
Becton, Dickinson & Co.		12,144		3,060,409
Boeing Co. (The)		17,003		6,189,262
Booking Holdings, Inc.*		5,295		9,926,589
Brown-Forman Corp. (Class B Stock)(a)		161,581		8,956,435
Bunge Ltd.		59,826		3,332,906
BWX Technologies, Inc.		131,964		6,875,324
Carnival Corp.		54,350		2,529,992
CF Industries Holdings, Inc.		61,012		2,849,871
Chubb Ltd.		49,154		7,239,893
Cintas Corp.		50,234		11,920,026
Cisco Systems, Inc.		150,632		8,244,089
Citigroup, Inc.		51,816		3,628,674
Cognizant Technology Solutions Corp. (Class A Stock)		27,700		1,755,903
Comcast Corp. (Class A Stock)		108,655		4,593,933
Conagra Brands, Inc.(a)		88,621		2,350,229
Corteva, Inc.*		24,324		719,261
Costco Wholesale Corp.		31,168		8,236,456
CVS Health Corp.		93,235		5,080,375
Danaher Corp.		94,633		13,524,948
DexCom, Inc.*		74,069		11,098,499
Dow, Inc.		34,458		1,699,124
Duke Energy Corp.		23,340		2,059,522
DuPont de Nemours, Inc.		40,024		3,004,602
Edwards Lifesciences Corp.*		50,326		9,297,225
Electronic Arts, Inc.*		111,137		11,253,733
EQT Corp.		47,686		753,916
Equitrans Midstream Corp.		51,178		1,008,718
Estee Lauder Cos., Inc. (The) (Class A Stock)		63,807		11,683,700
Evergy, Inc.		67,965		4,088,095
Exxon Mobil Corp.		92,670		7,101,302
Ferguson PLC		38,444		2,736,733
Fifth Third Bancorp		205,939		5,745,698
FleetCor Technologies, Inc.*		20,853		5,856,565
Fortive Corp.		142,383		11,607,062
Fortune Brands Home & Security, Inc.		73,026		4,171,975
Fox Corp. (Class B Stock)		94,000		3,433,820

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Franklin Resources, Inc.(a)		83,707	$	2,913,004
General Electric Co.		663,250		6,964,125
Genpact Ltd.		272,258		10,370,307
Gilead Sciences, Inc.		47,711		3,223,355
Hess Corp.		29,045		1,846,391
Hologic, Inc.*		68,640		3,296,093
Illinois Tool Works, Inc.(a)		19,255		2,903,847
International Paper Co.		103,355		4,477,339
Intuit, Inc.		50,786		13,271,905
Intuitive Surgical, Inc.*		25,465		13,357,666
Johnson & Johnson		51,463		7,167,767
Johnson Controls International PLC		88,675		3,663,164
JPMorgan Chase & Co.		109,963		12,293,863
Kimberly-Clark Corp.		43,867		5,846,594
Kohl’s Corp.(a)		20,706		984,570
Las Vegas Sands Corp.		39,392		2,327,673
Loews Corp.		61,426		3,358,159
Marsh & McLennan Cos., Inc.		47,344		4,722,564
Mattel, Inc.*(a)		61,037		684,225
Medtronic PLC.		82,407		8,025,618
Merck & Co., Inc.		64,705		5,425,514
MetLife, Inc.		95,323		4,734,693
Microsoft Corp.		221,481		29,669,595
Morgan Stanley		162,796		7,132,093
News Corp. (Class A Stock)		159,800		2,155,702
NextEra Energy, Inc.		4,000		819,440
Nielsen Holdings PLC(a)		92,247		2,084,782
Occidental Petroleum Corp.		95,200		4,786,656
PayPal Holdings, Inc.*		136,957		15,676,098
PepsiCo, Inc.		22,868		2,998,681
Perrigo Co. PLC(a)		53,856		2,564,623
Pfizer, Inc.		217,334		9,414,909
PG&E Corp.*		49,500		1,134,540
Philip Morris International, Inc.		61,714		4,846,400
Pioneer Natural Resources Co.		21,412		3,294,450
QUALCOMM, Inc.		94,201		7,165,870
Raytheon Co.		17,385		3,022,904
Roper Technologies, Inc.		40,839		14,957,692
salesforce.com, Inc.*		73,583		11,164,749
SBA Communications Corp.*		67,526		15,182,546
Sempra Energy		11,100		1,525,584
Sherwin-Williams Co. (The)		26,096		11,959,536
Signature Bank		13,900		1,679,676
SL Green Realty Corp.		28,050		2,254,379
Southern Co. (The)		150,982		8,346,285
Southwest Airlines Co.		85,836		4,358,752
Stericycle, Inc.*(a)		44,291		2,114,895
TE Connectivity Ltd.		32,051		3,069,845
Texas Instruments, Inc.		39,050		4,481,378
Thermo Fisher Scientific, Inc.		59,010		17,330,057
TJX Cos., Inc. (The)		181,330		9,588,730
Tyson Foods, Inc. (Class A Stock)		118,047		9,531,115
U.S. Bancorp		84,235		4,413,914
United Parcel Service, Inc. (Class B Stock)		51,050		5,271,933
Verizon Communications, Inc.		124,098		7,089,719

SEE NOTES TO FINANCIAL STATEMENTS.

A110

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Visa, Inc. (Class A Stock)(a)		98,983	$	17,178,500
Walmart, Inc.		44,953		4,966,857
Walt Disney Co. (The)		8,467		1,182,332
Wells Fargo & Co.		260,422		12,323,169
Weyerhaeuser Co.		162,244		4,273,507
Zimmer Biomet Holdings, Inc.		20,108		2,367,516
Zoetis, Inc.		147,272		16,713,899
				700,167,446
TOTAL COMMON STOCKS (cost $814,953,175)				1,131,085,190
PREFERRED STOCKS — 0.6%
United States
Becton, Dickinson & Co., CVT, 6.125%		13,865		858,382
NextEra Energy, Inc., CVT, 6.123%		54,098		3,512,583
Sempra Energy Series A, CVT, 6.000%		21,874		2,438,732
Sempra Energy Series B, CVT, 6.750%		4,673		518,797
TOTAL PREFERRED STOCKS (cost $6,112,494)				7,328,494
	Units
RIGHTS* — 0.0%
Spain
ACS Actividades de Construccion y Servicios SA, expiring 07/10/19		94,478		148,255
Repsol SA, expiring 07/05/19		85,300		47,314
TOTAL RIGHTS (cost $204,386)				195,569
TOTAL LONG-TERM INVESTMENTS (cost $821,270,055)				1,138,609,253

	Shares		Value
SHORT-TERM INVESTMENTS — 6.8%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		34,278,649	$	34,278,649
PGIM Institutional Money Market Fund (cost $45,286,353; includes $45,185,473 of cash collateral for securities on loan)(b)(w)		45,283,869		45,297,454
TOTAL SHORT-TERM INVESTMENTS (cost $79,565,002)				79,576,103
TOTAL INVESTMENTS — 103.5% (cost $900,835,057)				1,218,185,356
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%				(40,792,197	)
NET ASSETS — 100.0%			$	1,177,393,159

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $5,303 and 0.0% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $44,473,907; cash collateral of $45,185,473 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	23,710,496	$	—
Austria		—		2,260,475		—
Belgium		—		1,341,806		—
Canada		28,866,483		—		—
China		16,376,548		11,347,580		—
Denmark		—		10,227,186		—

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Finland	$	—	$	2,744,199	$	—
France		9,464,160		41,534,696		—
Germany		—		25,348,702		—
Hong Kong		—		12,368,966		—
India		3,382,471		—		—
Ireland		—		4,809,125		—
Israel		3,323,325		677,416		—
Italy		—		7,975,703		—
Japan		—		65,450,636		—
Luxembourg		—		1,597,398		—
Macau		—		2,724,043		—
Netherlands		7,706,993		20,811,519		—
New Zealand		—		865,510		—
Norway		—		2,825,971		—
Singapore		—		1,195,177		—
South Africa		—		2,115,999		—
Spain		—		11,464,895		—
Sweden		—		13,802,915		—
Switzerland		—		32,179,335		—
Taiwan		—		4,987,127		—
United Kingdom		—		57,425,586		5,303
United States		697,430,713		2,736,733		—
Preferred Stocks
United States		7,328,494		—		—
Rights
Spain		—		195,569		—
Affiliated Mutual Funds		79,576,103		—		—
Total	$	853,455,290	$	364,724,763	$	5,303

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Software	7.3	%
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan)	6.8
Health Care Equipment & Supplies	6.2
Banks	6.0
IT Services	5.1
Pharmaceuticals	5.0
Oil, Gas & Consumable Fuels	4.6
Insurance	4.5
Internet & Direct Marketing Retail	3.4
Capital Markets	2.9
Chemicals	2.9
Machinery	2.7
Semiconductors & Semiconductor Equipment	2.5
Aerospace & Defense	2.5
Electric Utilities	2.4
Electronic Equipment, Instruments & Components	2.3
Industrial Conglomerates	2.2
Equity Real Estate Investment Trusts (REITs)	2.2
Life Sciences Tools & Services	1.9
Food & Staples Retailing	1.8
Food Products	1.7
Beverages	1.6
Interactive Media & Services	1.4

Building Products	1.4	%
Diversified Telecommunication Services	1.4
Entertainment	1.4
Personal Products	1.3
Commercial Services & Supplies	1.2
Hotels, Restaurants & Leisure	1.1
Specialty Retail	1.1
Professional Services	1.0
Media	0.9
Airlines	0.9
Road & Rail	0.9
Automobiles	0.8
Biotechnology	0.8
Communications Equipment	0.7
Household Durables	0.7
Auto Components	0.6
Multi-Utilities	0.6
Metals & Mining	0.6
Trading Companies & Distributors	0.6
Textiles, Apparel & Luxury Goods	0.6
Tobacco	0.5
Wireless Telecommunication Services	0.5
Air Freight & Logistics	0.5
Containers & Packaging	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)
Household Products	0.5	%
Construction & Engineering	0.4
Health Care Providers & Services	0.4
Multiline Retail	0.4
Diversified Financial Services	0.3
Construction Materials	0.2
Paper & Forest Products	0.2
Electrical Equipment	0.1
Energy Equipment & Services	0.1
Real Estate Management & Development	0.1
Technology Hardware, Storage & Peripherals	0.1

Leisure Products	0.1	%
Consumer Finance	0.1
Thrifts & Mortgage Finance	0.0	*
Distributors	0.0	*
Marine	0.0	*
	103.5
Liabilities in excess of other assets	(3.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives			Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Equity contracts	Unaffiliated investments	$	195,569	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)
Equity contracts	$	25,017

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)
Equity contracts	$	(8,024	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	44,473,907	$	(44,473,907	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A113

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $44,473,907:
Unaffiliated investments (cost $821,270,055)	$	1,138,609,253
Affiliated investments (cost $79,565,002)		79,576,103
Foreign currency, at value (cost $3,321,347)		3,345,028
Tax reclaim receivable		1,997,715
Dividends and interest receivable		1,646,844
Receivable for investments sold		418,418
Receivable from affiliate		36,287
Receivable for Portfolio shares sold		834
Prepaid expenses		1,260
Total Assets		1,225,631,742
LIABILITIES
Payable to broker for collateral for securities on loan		45,185,473
Payable to affiliate		939,263
Payable for investments purchased		859,279
Management fee payable		680,509
Accrued expenses and other liabilities		329,285
Payable for Portfolio shares repurchased		237,187
Payable to custodian		6,607
Affiliated transfer agent fee payable		980
Total Liabilities		48,238,583
NET ASSETS	$	1,177,393,159
Net assets were comprised of:
Partners Equity	$	1,177,393,159
Net asset value and redemption price per share, $1,177,393,159 / 31,152,659 outstanding shares of beneficial interest	$	37.79

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $1,051,564 foreign withholding tax, of which $88,638 is reimbursable by an affiliate)	$	13,902,789
Affiliated dividend income		409,907
Income from securities lending, net (including affiliated income of $72,140)		156,869
Total income		14,469,565
EXPENSES
Management fee		4,172,320
Custodian and accounting fees		157,588
Shareholders’ reports		65,969
Audit fee		14,064
Trustees’ fees		10,919
Legal fees and expenses		7,274
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		21,499
Total expenses		4,454,930
Less: Fee waiver and/or expense reimbursement		(178,018	)
Net expenses		4,276,912
NET INVESTMENT INCOME (LOSS)		10,192,653
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $136)		16,733,652
Foreign currency transactions		(45,967	)
		16,687,685
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $11,649)		160,394,750
Foreign currencies		36,137
		160,430,887
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		177,118,572
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	187,311,225

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	10,192,653		$	15,130,916
Net realized gain (loss) on investment and foreign currency transactions		16,687,685			72,526,568
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		160,430,887			(166,392,080	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		187,311,225			(78,734,596	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [439,671 and 414,359 shares, respectively]		16,221,124			14,682,656
Portfolio shares repurchased [917,200 and 1,780,900 shares, respectively]		(32,899,019	)		(62,730,947	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(16,677,895	)		(48,048,291	)
CAPITAL CONTRIBUTIONS		85,664			520,841
TOTAL INCREASE (DECREASE)		170,718,994			(126,262,046	)
NET ASSETS:
Beginning of period		1,006,674,165			1,132,936,211
End of period	$	1,177,393,159		$	1,006,674,165

SEE NOTES TO FINANCIAL STATEMENTS.

A114

GOVERNMENT INCOME PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 96.1%
ASSET-BACKED SECURITIES — 13.3%
Collateralized Loan Obligations
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%
3.901%(c)		01/16/30		250	$	249,563
Battalion CLO Ltd. (Cayman Islands),
Series2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040%
3.628%(c)		07/17/28		500		498,554
Series2016-10A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.778%(c)		01/24/29		2,250		2,250,684
Series2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%
3.595%(c)		05/17/31		1,500		1,479,546
BlueMountain CLO Ltd. (Cayman Islands),
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%
3.927%(c)		04/13/27		1,750		1,750,825
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),
Series2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320%
3.912%(c)		01/20/32		750		751,595
Catamaran CLO Ltd. (Cayman Islands),
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.852%(c)		04/22/30		2,000		1,995,480
CIFC Funding Ltd. (Cayman Islands),
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.831%(c)		10/24/30		2,000		1,999,965
Elevation CLO Ltd. (Cayman Islands),
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%
3.817%(c)		07/15/30		2,000		1,994,860
Flagship CLO Ltd. (Cayman Islands),
Series2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%
3.451%(c)		01/16/26		2,323		2,318,410
ICG US CLO Ltd. (Cayman Islands),
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.872%(c)		10/23/29		500		499,563
Limerock CLO LLC (Cayman Islands),
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%
3.792%(c)		10/20/26		1,207		1,207,290
Mountain View CLO Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.440%
4.058%(c)		04/15/29		2,000		2,003,062
OCP CLO Ltd. (Cayman Islands),
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.857%(c)		07/15/30		250		250,128
OZLM Ltd. (Cayman Islands),
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.833%(c)		10/30/30		3,750		3,749,486
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.480%
4.044%(c)		05/15/32		2,000		2,001,868
Regatta VIII Funding Ltd. (Cayman Islands),
Series2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%
3.838%(c)		10/17/30		1,000		997,300
Sound Point CLO Ltd. (Cayman Islands),
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250%
3.842%(c)		10/23/31		1,000		995,754

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Series2019-01A, Class A, 144A, 3 Month LIBOR + 1.370%
3.939%(c)		01/20/32		1,000	$	1,004,745
Trimaran Cavu Ltd. (Cayman Islands),
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%
3.927%(c)		07/20/32		2,500		2,501,289
Wellfleet CLO Ltd. (Cayman Islands),
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.842%(c)		10/20/29		2,000		1,997,522
TOTAL ASSET-BACKED SECURITIES (cost $32,481,871)						32,497,489
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.3%
FannieMae-Aces,
Series2012-M02, Class A2
2.717%		02/25/22		156		158,013
Series2015-M01, Class AB2
2.465%		09/25/24		356		363,705
Series2015-M03, Class AB2
2.625%		10/25/24		942		962,331
Series2015-M08, Class AB2
2.829%(cc)		01/25/25		842		868,308
Series2015-M10, Class A2
3.092%(cc)		04/25/27		1,600		1,667,285
Series2015-M17, Class A2
3.035%(cc)		11/25/25		1,500		1,553,784
Series2016-M11, Class A2
2.369%(cc)		07/25/26		1,200		1,194,365
Series2016-M13, Class A2
2.564%(cc)		09/25/26		2,100		2,115,640
Series2018-M14, Class A1
3.578%(cc)		08/25/28		940		1,006,790
Series2019-M01, Class A2
3.673%(cc)		09/25/28		1,100		1,191,828
Series2019-M02, Class A1
3.024%		08/25/28		1,087		1,127,396
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.658%(cc)		06/25/20		14,942		156,864
Series K019, Class X1, IO
1.748%(cc)		03/25/22		15,820		593,457
Series K020, Class X1, IO
1.535%(cc)		05/25/22		8,428		287,163
Series K021, Class X1, IO
1.568%(cc)		06/25/22		8,934		327,074
Series K025, Class X1, IO
0.954%(cc)		10/25/22		25,017		597,748
Series K060, Class AM
3.300%(cc)		10/25/26		1,930		2,039,618
Series K064, Class A2
3.224%		03/25/27		2,200		2,325,210
Series K064, Class AM
3.327%(cc)		03/25/27		1,100		1,165,869
Series K068, Class AM
3.315%		08/25/27		1,700		1,801,803

SEE NOTES TO FINANCIAL STATEMENTS.

A115

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K076, Class A2
3.900%		04/25/28		1,500	$	1,665,896
Series K076, Class AM
3.900%		04/25/28		425		469,206
Series K077, Class A2
3.850%(cc)		05/25/28		900		994,442
Series K077, Class AM
3.850%(cc)		05/25/28		180		197,979
Series K078, Class AM
3.920%		06/25/28		525		578,854
Series K079, Class AM
3.930%		06/25/28		675		746,476
Series K080, Class AM
3.986%(cc)		07/25/28		1,900		2,107,759
Series K081, Class AM
3.900%(cc)		08/25/28		1,500		1,655,736
Series K083, Class A2
4.050%(cc)		09/25/28		625		702,052
Series K083, Class AM
4.030%(cc)		10/25/28		250		279,229
Series K084, Class AM
3.880%(cc)		10/25/28		1,300		1,434,275
Series K085, Class AM
4.060%(cc)		10/25/28		650		727,857
Series K086, Class A2
3.859%(cc)		11/25/28		1,400		1,554,578
Series K086, Class AM
3.919%(cc)		12/25/28		200		222,108
Series K087, Class AM
3.832%(cc)		12/25/28		200		220,425
Series K088, Class AM
3.761%(cc)		01/25/29		520		571,190
Series K090, Class AM
3.492%(cc)		03/25/29		800		860,292
Series K091, Class AM
3.566%		03/25/29		850		921,029
Series K151, Class A3
3.511%		04/25/30		400		430,012
Series K157, Class A2
3.990%(cc)		05/25/33		1,700		1,910,022
Series K158, Class A2
3.900%(cc)		12/25/30		700		778,042
Series K711, Class X1, IO
1.686%(cc)		07/25/19		691		86
Series KC03, Class A2
3.499%		01/25/26		650		687,111
Series W5FX, Class AFX
3.336%(cc)		04/25/28		1,100		1,150,047
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K073, Class A2
3.350%		01/25/28		2,200		2,346,944
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $42,052,441)						44,715,898

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS — 1.2%
Diversified Financial Services
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,655	$	1,671,204
U.S. Gov’t. Gtd. Notes, Series BB
4.300%		12/15/21		1,255		1,324,301
TOTAL CORPORATE BONDS (cost $2,983,449)						2,995,505
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Merrill Lynch Mortgage Investors Trust,
Series2003-E, Class A1, 1 Month LIBOR + 0.620%
3.024%(c)		10/25/28		17		17,108
Structured Adjustable Rate Mortgage Loan Trust,
Series2004-01, Class 4A3
4.566%(cc)		02/25/34		81		82,089
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $98,240)						99,197
U.S. GOVERNMENT AGENCY OBLIGATIONS — 39.0%
Federal Home Loan Bank
2.625%		10/01/20		170		171,457
3.000%		10/12/21		600		615,981
3.250%		11/16/28		1,025		1,113,875
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		300		297,316
2.375%		02/16/21		1,375		1,386,906
2.500%		03/01/30		544		548,994
2.750%		06/19/23		190		196,725
3.000%		06/01/29		394		403,626
3.000%		01/01/37		802		817,366
3.000%		06/01/45		493		501,613
3.500%		12/01/32		760		785,363
3.500%		07/01/42		656		681,167
3.500%		10/01/42		1,108		1,151,586
3.500%		08/01/43		1,225		1,273,009
3.500%		10/01/45		591		610,214
4.000%		06/01/26		54		56,258
4.000%		09/01/26		201		209,286
4.000%		09/01/40		397		418,753
4.000%		12/01/40		404		426,460
4.000%		12/01/40		428		451,482
4.500%		09/01/39		1,408		1,512,592
4.500%		08/01/48		946		993,447
5.000%		06/01/33		277		300,481
5.000%		05/01/34		281		305,690
5.500%		05/01/37		53		58,469
5.500%		02/01/38		184		201,235
5.500%		05/01/38		78		84,830
6.000%		09/01/34		72		78,563
6.000%		01/01/37		85		96,251
6.000%		09/01/38		52		58,626
6.000%		08/01/39		68		77,664
6.500%		09/01/32		31		34,863

SEE NOTES TO FINANCIAL STATEMENTS.

A116

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal Home Loan Mortgage Corp., MTN
3.208%(s)		12/11/25		600	$	528,023
Federal National Mortgage Assoc.
1.000%		10/24/19		2,300		2,291,511
1.875%		09/24/26		400		395,923
2.000%		08/01/31		286		282,704
2.375%		01/19/23		155		158,047
2.500%		02/05/24		520		535,625
2.500%		06/01/28		1,743		1,758,693
2.500%		02/01/43		197		196,479
2.500%		12/01/46		686		681,536
2.875%		09/12/23		420		437,427
3.000%		TBA		3,500		3,527,002
3.000%		08/01/28		897		917,224
3.000%		02/01/31		1,114		1,139,103
3.000%		11/01/36		757		770,686
3.000%		03/01/43		977		993,408
3.000%		07/01/43		874		891,620
3.000%		07/01/43		1,092		1,111,139
3.000%		11/01/46		445		450,289
3.500%		TBA		8,000		8,177,389
3.500%		02/01/33		223		230,725
3.500%		06/01/39		281		288,930
3.500%		04/01/42		475		493,119
3.500%		06/01/42		820		851,365
3.500%		07/01/42		882		915,290
3.500%		06/01/45		1,964		2,025,200
3.500%		12/01/46		422		434,341
4.000%		09/01/40		1,482		1,562,302
4.000%		06/01/42		1,063		1,120,556
4.000%		09/01/44		778		814,582
4.000%		10/01/45		1,001		1,048,026
4.000%		10/01/46		346		362,757
4.000%		02/01/47		468		487,658
4.000%		06/01/47		588		613,830
4.000%		07/01/47		658		686,041
4.000%		11/01/47		467		485,742
4.500%		05/01/40		1,983		2,129,426
4.500%		04/01/42		750		805,393
5.000%		12/01/31		27		28,215
5.000%		03/01/34		333		362,310
5.000%		06/01/35		146		159,812
5.000%		07/01/35		74		80,547
5.000%		05/01/36		99		108,369
5.500%		02/01/34		215		239,110
5.500%		09/01/34		255		282,553
5.500%		02/01/35		236		257,285
5.500%		06/01/35		69		73,770
5.500%		06/01/35		112		120,257
5.500%		09/01/35		40		42,434
5.500%		09/01/35		103		110,984
5.500%		10/01/35		238		264,026
5.500%		11/01/35		156		167,457
5.500%		11/01/35		342		380,178
5.500%		11/01/35		453		494,308
6.000%		05/01/21		12		11,905

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		12/01/33			11		$	11,659
6.000%		02/01/34			112			126,516
6.000%		08/01/34			—	(r)		437
6.000%		11/01/34			1			619
6.000%		11/01/34			1			1,097
6.000%		12/01/34			1			1,036
6.000%		01/01/35			21			23,395
6.000%		01/01/36			86			94,934
6.000%		05/01/38			44			49,775
6.500%		07/01/32			224			257,246
6.500%		08/01/32			76			84,490
6.500%		10/01/32			248			286,919
6.500%		10/01/37			122			140,148
6.625%		11/15/30			435			621,906
7.000%		12/01/31			1			535
7.000%		12/01/31			82			94,565
7.000%		01/01/36			16			18,383
8.000%		10/01/23			—	(r)		163
8.000%		09/01/24			1			966
8.000%		11/01/24			1			1,097
8.000%		01/01/26			—	(r)		339
9.000%		02/01/25			8			8,381
9.000%		04/01/25			4			4,269
Government National Mortgage Assoc.
2.500%		12/20/46			279			280,165
3.000%		03/15/45			1,567			1,600,462
3.000%		09/20/46			1,522			1,559,091
3.000%		10/20/46			380			388,813
3.000%		04/20/47			1,578			1,615,395
3.500%		TBA			3,500			3,612,656
3.500%		01/20/43			1,077			1,123,637
3.500%		04/20/43			530			553,299
3.500%		03/20/45			931			965,692
3.500%		04/20/45			786			815,170
3.500%		04/20/46			1,304			1,349,555
3.500%		07/20/46			2,016			2,086,147
4.000%		06/15/40			181			192,095
4.000%		08/20/46			757			792,748
4.000%		11/20/46			480			503,858
4.000%		09/20/47			860			896,801
4.500%		02/20/41			530			565,006
4.500%		03/20/41			452			482,654
4.500%		06/20/44			343			366,410
4.500%		09/20/46			447			475,725
4.500%		11/20/46			907			968,783
4.500%		01/20/47			111			117,817
5.000%		07/15/33			138			150,020
5.000%		09/15/33			214			232,293
5.000%		04/15/34			80			84,044
5.500%		03/15/34			278			310,989
5.500%		03/15/36			62			70,133
6.500%		07/15/32	��		17			18,807
6.500%		08/15/32			2			2,573
6.500%		08/15/32			3			3,658
6.500%		08/15/32			12			12,930
6.500%		08/15/32			85			99,526

SEE NOTES TO FINANCIAL STATEMENTS.

A117

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		05/15/23		3		$	3,347
7.000%		06/15/23		1			781
7.000%		06/15/23		4			3,766
7.000%		06/15/23		10			10,180
7.000%		07/15/23		1			525
7.000%		07/15/23		11			10,783
7.000%		08/15/23		—	(r)		79
7.000%		08/15/23		3			3,492
7.000%		08/15/23		6			6,085
7.000%		09/15/23		1			1,142
7.000%		10/15/23		2			2,606
7.000%		10/15/23		4			4,063
7.000%		11/15/23		3			2,768
7.000%		11/15/23		7			7,248
7.000%		01/15/24		45			47,720
7.000%		05/15/24		39			40,759
7.000%		08/15/28		40			45,508
7.500%		12/15/25		3			3,662
7.500%		12/15/25		27			28,980
7.500%		02/15/26		5			5,168
8.500%		09/15/24		51			54,643
8.500%		04/15/25		6			6,304
Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t.
Gtd. Notes
3.000%		06/30/25		1,580			1,658,980
Israel Government, USAID Bond, Gov’t. Gtd. Notes
5.500%		09/18/23		1,220			1,394,379
Israel Government, USAID Bond, Gov’t. Gtd. Notes
2.652%(s)		08/15/23		500			458,367
2.744%(s)		08/15/23		500			458,798
2.923%(s)		11/15/25		500			434,084
2.961%(s)		05/15/26		500			427,033
2.997%(s)		02/15/26		400			343,592
3.040%(s)		11/15/26		400			336,745
3.141%(s)		05/15/23		400			368,902
3.329%(s)		05/15/25		600			527,625
Residual Funding Corp. Strips Principal
2.040%(s)		01/15/21		400			387,939
Residual Funding Corp. Strips Principal, Bonds, PO
3.168%(s)		04/15/30		2,305			1,766,601
Resolution Funding Corp. Strips Interest, Bonds, IO
3.657%(s)		04/15/30		500			385,799
Tennessee Valley Authority
5.880%		04/01/36		230			317,207
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.250%		03/15/20		365			365,403
2.875%		02/01/27		175			182,953
6.750%		11/01/25		510			649,027
7.125%		05/01/30		530			764,603
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $93,598,270)							95,346,252

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS — 24.2%
U.S. Treasury Bonds
3.000%		02/15/49			250	$	274,570
3.750%		11/15/43			3,110		3,828,459
U.S. Treasury Inflation Indexed Bonds, TIPS
0.875%		01/15/29			2,232		2,348,887
U.S. Treasury Notes
1.125%		02/28/21			1,585		1,567,107
1.750%		06/15/22			1,210		1,211,702
1.750%		05/15/23			1,360		1,360,744
1.875%		04/30/22			410		411,650
2.000%		05/31/24			1,290		1,305,168
2.125%		08/15/21			4,210		4,242,068
2.125%		09/30/21	(k)		6,185		6,237,186
2.125%		06/30/22			2,055		2,079,243
2.125%		05/31/26			6,890		7,005,192
2.250%		11/15/27			5,910		6,050,362
2.375%		08/15/24			3,960		4,076,016
2.375%		05/15/29			990		1,023,064
2.625%		11/15/20			130		131,336
2.750%		04/30/23			4,480		4,648,000
2.875%		11/15/21			90		92,369
3.125%		11/15/28			1,665		1,826,232
U.S. Treasury Strips Coupon
2.384%(s)		05/15/29			565		459,344
2.184%(s)		02/15/28			550		461,239
2.404%(s)		08/15/21	(k)		1,585		1,525,835
2.499%(s)		02/15/22			835		797,010
2.750%(s)		08/15/27			2,575		2,186,126
2.783%(s)		08/15/29			500		403,754
2.878%(s)		05/15/31			500		385,096
3.042%(s)		11/15/35			1,000		676,299
3.202%(s)		08/15/40			800		469,314
4.138%(s)		02/15/42	(k)		3,725		2,076,902
TOTAL U.S. TREASURY OBLIGATIONS (cost $56,960,850)							59,160,274
TOTAL LONG-TERM INVESTMENTS (cost $228,175,121)							234,814,615

	Shares
SHORT-TERM INVESTMENTS — 10.3%
AFFILIATED MUTUAL FUNDS — 10.2%
PGIM Core Short-Term Bond Fund(w)		2,390,850	22,067,549
PGIM Core Ultra Short Bond Fund(w)		2,905,195	2,905,195
TOTAL AFFILIATED MUTUAL FUNDS (cost $25,739,818)			24,972,744
OPTIONS PURCHASED*~ — 0.1%
(cost $186,911)			334,863
TOTAL SHORT-TERM INVESTMENTS (cost $25,926,729)			25,307,607
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.4% (cost $254,101,850)			260,122,222

SEE NOTES TO FINANCIAL STATEMENTS.

A118

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

	Value
OPTIONS WRITTEN*~ — (0.0)%
(premiums received $66,418)	$	(17,501	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.4% (cost $254,035,432)		260,104,721
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.4)%		(15,692,782	)
NET ASSETS — 100.0%	$	244,411,939

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

~ See tables subsequent to the Schedule of Investments for options detail.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $(57,320) and (0.0)% of net assets.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund and PGIM Core Ultra Short Bond Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Forward Commitment Contracts:

U.S. Government Agency Obligations	Interest Rate			Maturity Date		Settlement Date		Principal Amount (000)#			Value
Federal National Mortgage Assoc. (proceeds receivable $739,395)		2.500	%		TBA		08/13/19		(750	)	$	(743,672	)

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
2 Year U.S. Treasury Notes Futures		Put		08/23/19	$	107.00		153		306	$	16,735
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	123.00		50		50		781
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	126.00		50		50		3,906
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	97.75		70		175		438
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	98.13		170		425		3,188
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	98.25		70		175		3,500
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	97.75		70		175		438
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	98.25		70		175		10,063
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	97.75		70		175		875
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	98.25		70		175		14,000
Total Exchange Traded(cost $172,096)											$	53,924

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		700	$	6,818
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		1,000		10,328
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		1,227		17,768
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		1,193		17,220
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		2,982		40,418
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		5,920		84,163
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		6,000		87,428
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		1,193		16,655
Total OTC Traded(cost $11,679)													$	280,798

SEE NOTES TO FINANCIAL STATEMENTS.

A119

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

30-Year Interest Rate Swap, 08/19/49 (cost $3,136)

Put

Citibank, N.A.

08/15/19

2.66

%

3 Month LIBOR(Q)

2.66%(S)

280

$

141

Total Options Purchased(cost $186,911)

$

334,863

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Put		07/26/19	$	124.50		100		100	$	(1,563	)
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	97.88		170		425		(1,063	)
Eurodollars1-Year Mid Curve Futures		Put		07/12/19	$	98.00		140		350		(875	)
Eurodollars1-Year Mid Curve Futures		Put		08/16/19	$	98.00		140		350		(5,250	)
Eurodollars1-Year Mid Curve Futures		Put		09/13/19	$	98.00		140		350		(8,750	)
Total Options Written(premiums received $66,418)											$	(17,501	)

Futures contracts outstanding at June 30, 2019:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
132		2 Year U.S. Treasury Notes		Sep. 2019	$	28,403,719	$	162,384
512		5 Year U.S. Treasury Notes		Sep. 2019		60,496,000		781,515
152		10 Year U.S. Ultra Treasury Notes		Sep. 2019		20,995,000		671,101
158		30 Year U.S. Ultra Treasury Bonds		Sep. 2019		28,054,875		1,310,559
								2,925,559
Short Positions:
57		10 Year U.S. Treasury Notes		Sep. 2019		7,294,219		(5,629	)
212		20 Year U.S. Treasury Bonds		Sep. 2019		32,985,875		(1,288,190	)
								(1,293,819	)
							$	1,631,740

Forward rate agreements outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date(5)		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	2,100		07/15/19		—(3)	—(3)	$	(3,381	)	$	—	$	(3,381	)	Citigroup Global Markets, Inc.
	29,000		07/24/19		—(4)	—(4)		(53,939	)		—		(53,939	)	Citigroup Global Markets, Inc.
							$	(57,320	)	$	—	$	(57,320	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.3655% upon termination.

(4) The Portfolio pays or receives payment based on CMM102 minus 7 Year CMS minus 1.3375% upon termination.

(5) The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

SEE NOTES TO FINANCIAL STATEMENTS.

A120

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest rate swap agreements outstanding at June 30, 2019:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2019			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	5,570		03/23/21		2.370%(A)	1 Day USOIS(1)(A)	$	—		$	(73,300	)	$	(73,300	)
	3,017		03/31/21		2.173%(A)	1 Day USOIS(2)(A)		(917	)		30,104			31,021
	8,120		03/29/24		1.949%(A)	1 Day USOIS(1)(A)		—			(154,543	)		(154,543	)
	17,565		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		(4,680	)		(440,175	)		(435,495	)
	4,670		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		14,367			(134,229	)		(148,596	)
	3,785		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(179,219	)		(179,219	)
	590		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(29,742	)		(29,742	)
	1,669		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(1,080	)		(114,478	)		(113,398	)
	1,305		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		1,030			(110,262	)		(111,292	)
	4,951		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		313			(419,679	)		(419,992	)
	1,920		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		70,520			(56,383	)		(126,903	)
	370		01/31/26		2.236%(S)	3 Month LIBOR(1)(Q)		—			(9,836	)		(9,836	)
	1,943		01/31/26		2.269%(A)	1 Day USOIS(1)(A)		(5,490	)		(86,248	)		(80,758	)
	1,377		04/30/26		1.876%(S)	3 Month LIBOR(1)(Q)		(5,519	)		(6,870	)		(1,351	)
	2,102		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		29,738			(28,268	)		(58,006	)
	790		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		984			(15,152	)		(16,136	)
	530		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			(12,827	)		(12,827	)
	1,445		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(911	)		(46,277	)		(45,366	)
	260		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			(8,145	)		(8,145	)
	7,914		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(142,564	)		(619,757	)		(477,193	)
	3,451		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(13,709	)		(281,675	)		(267,966	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			(13,066	)		(13,066	)
							$	(57,918	)	$	(2,810,027	)	$	(2,752,109	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(57,320	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	3,001,728

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A121

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	32,497,489		$	—
Commercial Mortgage-Backed Securities		—			44,715,898			—
Corporate Bonds		—			2,995,505			—
Residential Mortgage-Backed Securities.		—			99,197			—
U.S. Government Agency Obligations		—			95,346,252			—
U.S. Treasury Obligations		—			59,160,274			—
Affiliated Mutual Funds		24,972,744			—			—
Options Purchased		53,924			280,939			—
Options Written		(17,501	)		—			—
Other Financial Instruments*
Forward Commitment Contract		—			(743,672	)		—
Futures Contracts		1,631,740			—			—
OTC Forward Rate Agreements		—			—			(57,320	)
Centrally Cleared Interest Rate Swap Agreements		—			(2,752,109	)		—
Total	$	26,640,907		$	231,599,773		$	(57,320	)

* Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

U.S. Government Agency Obligations	39.0	%
U.S. Treasury Obligations	24.2
Commercial Mortgage-Backed Securities	18.3
Collateralized Loan Obligations	13.3
Affiliated Mutual Funds	10.2
Diversified Financial Services	1.2
Options Purchased	0.1

Residential Mortgage-Backed Securities	0.1	%
	106.4
Options Written	(0.0	)*
Liabilities in excess of other assets	(6.4	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin futures	$	2,925,559	*	Due from/to broker — variation margin futures	$	1,293,819	*
Interest rate contracts	Due from/to broker — variation margin swaps		31,021	*	Due from/to broker — variation margin swaps		2,783,130	*
Interest rate contracts	Unaffiliated investments		334,863		Options written outstanding, at value		17,501
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		57,320
		$	3,291,443			$	4,151,770

SEE NOTES TO FINANCIAL STATEMENTS.

A122

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures		Forward Rate Agreements		Swaps
Interest rate contracts	$	(834	)	$	13,712	$	2,249,978	$	2,322	$	426,818

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)			Options Written		Futures		Forward Rate Agreements			Swaps
Interest rate contracts	$	(27,227	)	$	48,917	$	837,171	$	(56,444	)	$	(3,241,603	)

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts — Long Positions(2)	Futures Contracts — Short Positions(2)
$83,878	$639,667	$124,266,734	$34,871,761

Forward Rate Agreements(2)	Inflation Swap Agreements(2)	Interest Rate Swap Agreements(2)
$21,433,333	$1,120,000	$82,904,333

(1) Cost.

(2) Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right toset-off exists, is presented in the summary below.

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)		Net Amount
Bank of America, N.A.	$	212,009	$	—		$	212,009		$	—	$	212,009
Barclays Bank PLC		61,971		—			61,971			—		61,971
Citibank, N.A.		141		—			141			—		141
Citigroup Global Markets, Inc.		—		(57,320	)		(57,320	)		—		(57,320	)
Morgan Stanley & Co. International PLC		6,818		—			6,818			—		6,818
	$	280,939	$	(57,320	)	$	223,619		$	—	$	223,619

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A123

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value:
Unaffiliated investments (cost $228,362,032)	$	235,149,478
Affiliated investments (cost $25,739,818)		24,972,744
Cash		136,989
Receivable for investments sold		36,389,411
Dividends and interest receivable		938,793
Due from broker—variation margin swaps		60,736
Receivable for Portfolio shares sold		217
Prepaid expenses		275
Total Assets		297,648,643
LIABILITIES
Payable for investments purchased		51,831,620
Forward commitment contracts, at value (proceeds receivable $739,395)		743,672
Payable for Portfolio shares repurchased		396,990
Accrued expenses and other liabilities		103,116
Management fee payable		80,357
Unrealized depreciation on OTC forward rate agreements		57,320
Options written outstanding, at value (proceeds received $66,418)		17,501
Due to broker—variation margin futures		5,148
Affiliated transfer agent fee payable		980
Total Liabilities		53,236,704
NET ASSETS	$	244,411,939
Net assets were comprised of:
Partners Equity	$	244,411,939
Net asset value and redemption price per share, $244,411,939 / 18,339,631 outstanding shares of beneficial interest	$	13.33

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	2,957,933
Affiliated dividend income		401,826
Income from securities lending, net (including affiliated income of $592)		698
Total income		3,360,457
EXPENSES
Management fee		450,252
Shareholders’ reports		53,321
Custodian and accounting fees		42,102
Audit fee		17,288
Trustees’ fees		5,993
Legal fees and expenses.		5,812
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		8,607
Total expenses		588,672
NET INVESTMENT INCOME (LOSS)		2,771,785
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(74,756))		1,200,590
Futures transactions		2,249,978
Forward rate agreement transactions		2,322
Options written transactions		13,712
Swap agreements transactions		426,818
		3,893,420
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $180,837)		6,965,746
Futures		837,171
Forward rate agreements		(56,444	)
Options written		48,917
Swap agreements.		(3,241,603	)
		4,553,787
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		8,447,207
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	11,218,992

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	2,771,785		$	5,254,682
Net realized gain (loss) on investment transactions		3,893,420			(4,787,292	)
Net change in unrealized appreciation (depreciation) on investments		4,553,787			470,821
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		11,218,992			938,211
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [2,096,504 and 1,165,919 shares, respectively]		27,224,079			14,482,217
Portfolio shares repurchased [1,169,527 and 3,097,890 shares, respectively]		(15,113,382	)		(38,486,314	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		12,110,697			(24,004,097	)
CAPITAL CONTRIBUTIONS		—			246
TOTAL INCREASE (DECREASE)		23,329,689			(23,065,640	)
NET ASSETS:
Beginning of period		221,082,250			244,147,890
End of period	$	244,411,939		$	221,082,250

SEE NOTES TO FINANCIAL STATEMENTS.

A124

GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
REPURCHASE AGREEMENTS(m) — 8.0%
Credit Agricole Corporate & Investment Bank, 2.68%, dated 06/26/19, due 07/03/19 in the amount of $20,010,422				20,000	$	20,000,000
State Street Bank & Trust Co., 2.50%, dated 06/28/19, due 07/01/19 in the amount of $24,515,106				24,510		24,510,000
TOTAL REPURCHASE AGREEMENTS (amortized cost $44,510,000)						44,510,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 69.5%
Federal Farm Credit Bank
1.400%		07/24/19		1,500		1,499,154
Federal Farm Credit Bank, 1 Month LIBOR + (0.080)%
2.314%(c)		07/15/19		3,000		2,999,962
Federal Farm Credit Bank, 1 Month LIBOR + (0.065)%
2.329%(c)		12/17/19		7,000		6,999,905
Federal Farm Credit Bank, 1 Month LIBOR + (0.070)%
2.332%(c)		01/28/20		9,000		9,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)%
2.352%(c)		05/29/20		6,000		5,997,242
2.362%(c)		01/08/20		7,000		7,000,000
2.381%(c)		02/04/20		5,000		5,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.075)%
2.355%(c)		11/05/19		8,000		7,999,063
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)%
2.359%(c)		02/25/20		6,000		6,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.025)%
2.379%(c)		01/24/20		8,000		8,000,361
Federal Farm Credit Bank, 1 Month LIBOR + (0.040)%
2.381%(c)		02/06/20		7,000		6,999,580
Federal Farm Credit Bank, 1 Month LIBOR + 0.000%
2.401%(c)		04/14/20		8,000		8,000,000
2.404%(c)		06/25/20		1,000		1,000,017
Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030%
2.410%(c)		07/28/20		5,000		5,000,000
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.030%
2.450%(c)		02/06/20		2,000		1,999,878
Federal Farm Credit Bank, 1 Month LIBOR + 0.050%
2.462%(c)		02/10/20		4,500		4,502,017
Federal Farm Credit Bank, 1 Month LIBOR + 0.170%
2.571%(c)		11/14/19		8,000		8,005,960
Federal Farm Credit Bank, 1 Month LIBOR + 0.190%
2.584%(c)		07/15/19		11,000		11,000,960
Federal Farm Credit Bank, 1 Month LIBOR + 0.180%
2.584%(c)		10/24/19		9,000		9,005,947
2.592%(c)		10/11/19		8,000		8,004,725
Federal Farm Credit Bank, 1 Month LIBOR + 0.160%
2.600%(c)		12/02/19		12,000		12,009,497
Federal Home Loan Bank, 3 Month LIBOR + (0.210)%
2.133%(c)		06/22/20		7,000		6,992,926
Federal Home Loan Bank, 3 Month LIBOR + (0.230)%
2.290%(c)		12/03/19		8,000		7,999,193

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal Home Loan Bank, 3 Month LIBOR + (0.220)%
2.305%(c)		08/23/19		7,000	$	7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.260)%
2.321%(c)		10/11/19		5,500		5,498,175
Federal Home Loan Bank, 1 Month LIBOR + (0.090)%
2.322%(c)		09/10/19		5,000		4,999,654
Federal Home Loan Bank, 1 Month LIBOR + (0.080)%
2.331%(c)		11/13/19		3,000		2,999,409
Federal Home Loan Bank, 1 Month LIBOR + (0.065)%
2.339%(c)		01/23/20		1,000		999,755
Federal Home Loan Bank
2.342%(n)		07/17/19		27,000		26,972,024
2.344%(n)		09/04/19		8,000		7,966,344
2.405%(n)		07/10/19		7,000		6,995,817
2.411%(n)		08/02/19		22,000		21,953,120
2.423%(n)		07/26/19		11,000		10,981,606
2.429%(n)		07/24/19		8,000		7,987,662
2.480%		07/18/19		6,000		5,999,917
Federal Home Loan Bank, 1 Month LIBOR + (0.055)%
2.358%(c)		03/12/20		5,000		4,998,715
Federal Home Loan Bank, 1 Month LIBOR + (0.040)%
2.362%(c)		08/26/19		9,000		9,000,230
2.362%(c)		08/30/19		2,000		2,000,026
Federal Home Loan Bank, 1 Month LIBOR + (0.030)%
2.382%(c)		11/08/19		20,000		19,999,963
Federal Home Loan Bank, 3 Month LIBOR + (0.175)%
2.385%(c)		05/08/20		4,000		3,997,887
Federal Home Loan Bank, 1 Month LIBOR + (0.025)%
2.388%(c)		12/12/19		6,000		6,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.010)%
2.394%(c)		04/24/20		5,500		5,500,000
Federal Home Loan Bank, 3 Month LIBOR + (0.163)%
2.435%(c)		07/05/19		2,250		2,250,029
Federal Home Loan Bank, 3 Month LIBOR + 0.125%
2.444%(c)		07/01/20		3,000		3,007,437
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045%
2.465%(c)		09/28/20		2,000		2,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050%
2.470%(c)		01/17/20		1,000		1,000,000
Federal Home Loan Mortgage Corp.
1.300%		08/28/19		3,000		2,994,693
2.495%		05/20/20		3,000		3,000,000
2.495%		06/04/20		9,000		9,000,000
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.225)%
2.296%(c)		08/27/19		5,000		5,000,000
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%
2.312%(c)		08/08/19		6,000		6,000,000
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + (0.010)%
2.410%(c)		08/05/19		10,000		10,000,000
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.010%
2.430%(c)		07/09/19		7,000		7,000,000

SEE NOTES TO FINANCIAL STATEMENTS.

A125

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.165)%
2.433%(c)		07/05/19		6,750	$	6,750,030
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.030%
2.450%(c)		10/01/19		8,000		8,000,000
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060%
2.480%(c)		07/30/20		2,000		2,000,000
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.160%
2.580%(c)		01/30/20		4,500		4,503,653
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (amortized cost $385,372,533)						385,372,533
U.S. TREASURY OBLIGATIONS — 24.1%
U.S. Treasury Bills
2.301%(n)		10/03/19		19,500		19,385,678
2.348%(n)		08/06/19		13,000		12,970,004
2.399%(n)		07/18/19		13,000		12,985,361
2.419%(n)		07/16/19		7,000		6,993,066
2.421%(n)		10/10/19		13,000		12,912,750
2.421%(n)		10/17/19		7,000		6,949,768
2.490%(n)		08/08/19		7,000		6,982,075
2.503%(n)		08/15/19		20,500		20,437,524

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
2.516%(n)		09/19/19		9,000	$	8,950,990
2.520%(n)		09/05/19		25,000		24,887,494
TOTAL U.S. TREASURY OBLIGATIONS (amortized cost $133,454,710)						133,454,710
TOTAL INVESTMENTS — 101.6% (amortized cost $563,337,243)						563,337,243
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.6)%						(8,742,597	)
NET ASSETS — 100.0%					$	554,594,646

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

(m) Repurchase agreements are collateralized by a Foreign Treasury Security (coupon rate 2.375%, maturity date 08/10/27), FHLMC (coupon rate 3.000%, maturity date 07/01/46), FNMA (coupon rate 4.000%, maturity date 11/01/48), and a U.S. Treasury Security (coupon rate 0.375%, maturity date 07/15/27), with the aggregate value, including accrued interest, of $45,407,942.

(n) Rate shown reflects yield to maturity at purchased date.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Repurchase Agreements	$	—	$	44,510,000	$	—
U.S. Government Agency Obligations		—		385,372,533		—
U.S. Treasury Obligations		—		133,454,710		—
Total	$	—	$	563,337,243	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

U.S. Government Agency Obligations	69.5	%
U.S. Treasury Obligations	24.1

Repurchase Agreements	8.0	%
	101.6
Liabilities in excess of other assets	(1.6	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A126

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Counterparty		Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Repurchase Agreements		Credit Agricole Corporate & Investment Bank	$	20,000,000	$	(20,000,000	)	$	—
Repurchase Agreements		State Street Bank & Trust Co.		24,510,000		(24,510,000	)		—
			$	44,510,000

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A127

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)as of June 30, 2019

ASSETS
Investments, at amortized cost which approximates fair value:	$	563,337,243
Cash		661
Interest receivable		658,237
Receivable for Portfolio shares sold		76,682
Prepaid expenses		618
Total Assets		564,073,441
LIABILITIES
Payable for investments purchased		7,460,531
Payable for Portfolio shares repurchased		1,789,457
Management fee payable		135,678
Accrued expenses and other liabilities		92,149
Affiliated transfer agent fee payable		980
Total Liabilities		9,478,795
NET ASSETS	$	554,594,646
Net assets were comprised of:
Partners Equity	$	554,594,646
Net asset value and redemption price per share, $554,594,646 / 55,450,319 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
Interest income	$	6,610,712
EXPENSES
Management fee		808,276
Shareholders’ reports		55,509
Custodian and accounting fees		34,581
Audit fee		12,227
Trustees’ fees		7,767
Legal fees and expenses		6,351
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		8,066
Total expenses		938,074
NET INVESTMENT INCOME (LOSS)		5,672,638
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions		13,828
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	5,686,466

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	5,672,638		$	8,494,528
Net realized gain (loss) on investment transactions		13,828			2,882
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		5,686,466			8,497,410
DISTRIBUTIONS		(5,615,208	)		(8,508,150	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [21,895,470 and 40,499,240 shares, respectively]		218,954,704			404,992,401
Portfolio shares issued in reinvestment of distributions [561,521 and 850,815 shares, respectively]		5,615,208			8,508,150
Portfolio shares repurchased [20,643,072 and 43,674,368 shares, respectively]		(206,430,712	)		(436,743,676	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		18,139,200			(23,243,125	)
TOTAL INCREASE (DECREASE)		18,210,458			(23,253,865	)
NET ASSETS:
Beginning of period		536,384,188			559,638,053
End of period	$	554,594,646		$	536,384,188

SEE NOTES TO FINANCIAL STATEMENTS.

A128

STOCK INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

LONG-TERM INVESTMENTS — 97.9%
COMMON STOCKS — 97.6%	Shares		Value
Aerospace & Defense — 2.5%
Arconic, Inc.		71,992	$	1,858,834
Boeing Co. (The)		90,816		33,057,932
General Dynamics Corp.		47,500		8,636,450
Huntington Ingalls Industries, Inc.		7,600		1,708,024
L3 Technologies, Inc.		13,600		3,334,312
L3Harris Technologies, Inc.(a)		20,500		3,877,165
Lockheed Martin Corp.		42,498		15,449,723
Northrop Grumman Corp.		29,526		9,540,146
Raytheon Co.		49,018		8,523,250
Textron, Inc.		42,650		2,262,156
TransDigm Group, Inc.*		8,400		4,063,920
United Technologies Corp.		140,467		18,288,803
				110,600,715
Air Freight & Logistics — 0.5%
C.H. Robinson Worldwide, Inc.(a)		24,100		2,032,835
Expeditors International of Washington, Inc.		30,100		2,283,386
FedEx Corp.		41,640		6,836,872
United Parcel Service, Inc. (Class B Stock)		120,000		12,392,400
				23,545,493
Airlines — 0.4%
Alaska Air Group, Inc.(a)		21,200		1,354,892
American Airlines Group, Inc.		70,100		2,285,961
Delta Air Lines, Inc.		105,400		5,981,450
Southwest Airlines Co.		86,137		4,374,037
United Continental Holdings, Inc.*		39,800		3,484,490
				17,480,830
Auto Components — 0.1%
Aptiv PLC		45,400		3,669,682
BorgWarner, Inc.		35,500		1,490,290
				5,159,972
Automobiles — 0.4%
Ford Motor Co.		669,159		6,845,497
General Motors Co.		225,200		8,676,956
Harley-Davidson, Inc.(a)		28,400		1,017,572
				16,540,025
Banks — 5.4%
Bank of America Corp.		1,549,882		44,946,578
BB&T Corp.(a)		132,300		6,499,899
Citigroup, Inc.		408,122		28,580,784
Citizens Financial Group, Inc.		82,000		2,899,520
Comerica, Inc.		28,150		2,044,816
Fifth Third Bancorp		133,449		3,723,227
First Republic Bank		27,700		2,704,905
Huntington Bancshares, Inc.		183,075		2,530,097
JPMorgan Chase & Co.		565,795		63,255,881
KeyCorp.		177,600		3,152,400
M&T Bank Corp.		24,000		4,081,680
People’s United Financial, Inc.(a)		63,300		1,062,174

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
PNC Financial Services Group, Inc. (The)		78,593	$	10,789,247
Regions Financial Corp.		179,512		2,681,909
SunTrust Banks, Inc.		76,700		4,820,595
SVB Financial Group*		9,300		2,088,687
U.S. Bancorp		260,581		13,654,444
Wells Fargo & Co.		709,576		33,577,136
Zions Bancorp NA		33,400		1,535,732
				234,629,711
Beverages — 1.8%
Brown-Forman Corp. (Class B Stock)(a)		29,825		1,653,200
Coca-Cola Co. (The)		666,850		33,956,002
Constellation Brands, Inc. (Class A Stock)(a)		28,500		5,612,790
Molson Coors Brewing Co. (Class B Stock)		32,300		1,808,800
Monster Beverage Corp.*		68,300		4,359,589
PepsiCo, Inc.		243,494		31,929,368
				79,319,749
Biotechnology — 2.1%
AbbVie, Inc.		256,500		18,652,680
Alexion Pharmaceuticals, Inc.*		38,700		5,068,926
Amgen, Inc.		108,004		19,902,977
Biogen, Inc.*		34,675		8,109,442
Celgene Corp.*		121,800		11,259,192
Gilead Sciences, Inc		221,900		14,991,564
Incyte Corp.*		30,500		2,591,280
Regeneron Pharmaceuticals, Inc.*		13,630		4,266,190
Vertex Pharmaceuticals, Inc.*		44,400		8,142,072
				92,984,323
Building Products — 0.3%
A.O. Smith Corp.		24,800		1,169,568
Allegion PLC		16,533		1,827,723
Fortune Brands Home & Security, Inc.		25,100		1,433,963
Johnson Controls International PLC		145,115		5,994,701
Masco Corp.		52,530		2,061,277
				12,487,232
Capital Markets — 2.6%
Affiliated Managers Group, Inc.		9,530		878,094
Ameriprise Financial, Inc.		23,850		3,462,066
Bank of New York Mellon Corp. (The)		152,049		6,712,963
BlackRock, Inc.		20,940		9,827,142
Cboe Global Markets, Inc.		19,300		2,000,059
Charles Schwab Corp. (The)		206,200		8,287,178
CME Group, Inc.(a)		61,360		11,910,590
E*TRADE Financial Corp.		44,510		1,985,146
Franklin Resources, Inc.(a)		53,600		1,865,280
Goldman Sachs Group, Inc. (The)		59,420		12,157,332
Intercontinental Exchange, Inc.		97,990		8,421,261

SEE NOTES TO FINANCIAL STATEMENTS.

A129

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
Invesco Ltd.		70,800	$	1,448,568
Moody’s Corp.		28,420		5,550,710
Morgan Stanley		225,810		9,892,736
MSCI, Inc.		14,600		3,486,334
Nasdaq, Inc.		20,100		1,933,017
Northern Trust Corp.		38,400		3,456,000
Raymond James Financial, Inc.		22,600		1,910,830
S&P Global, Inc.		42,880		9,767,635
State Street Corp.		65,575		3,676,135
T. Rowe Price Group, Inc.		41,700		4,574,907
				113,203,983
Chemicals — 2.0%
Air Products & Chemicals, Inc.(a)		37,800		8,556,786
Albemarle Corp.(a)		17,800		1,253,298
Celanese Corp.		22,200		2,393,160
CF Industries Holdings, Inc.		39,800		1,859,058
Corteva, Inc.*		130,656		3,863,498
Dow, Inc.		131,122		6,465,626
DuPont de Nemours, Inc.		130,656		9,808,346
Eastman Chemical Co.		24,400		1,899,052
Ecolab, Inc.		43,600		8,608,384
FMC Corp.		23,150		1,920,292
International Flavors & Fragrances, Inc.(a)		17,340		2,515,861
Linde PLC (United Kingdom)		94,800		19,035,840
LyondellBasell Industries NV (Class A Stock)		53,700		4,625,181
Mosaic Co. (The)		60,800		1,521,824
PPG Industries, Inc.		40,800		4,761,768
Sherwin-Williams Co. (The)		14,200		6,507,718
				85,595,692
Commercial Services & Supplies — 0.4%
Cintas Corp.		14,700		3,488,163
Copart, Inc.*(a)		35,100		2,623,374
Republic Services, Inc.		37,435		3,243,368
Rollins, Inc.		24,150		866,261
Waste Management, Inc.		67,630		7,802,473
				18,023,639
Communications Equipment — 1.2%
Arista Networks, Inc.*		9,200		2,388,504
Cisco Systems, Inc.		751,675		41,139,173
F5 Networks, Inc.*		10,600		1,543,678
Juniper Networks, Inc.		59,700		1,589,811
Motorola Solutions, Inc.		28,227		4,706,287
				51,367,453
Construction & Engineering — 0.1%
Jacobs Engineering Group, Inc.		20,900		1,763,751
Quanta Services, Inc.		26,200		1,000,578
				2,764,329
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,800		2,485,188
Vulcan Materials Co.		22,700		3,116,937
				5,602,125

COMMON STOCKS (continued)	Shares		Value
Consumer Finance — 0.7%
American Express Co.		119,700	$	14,775,768
Capital One Financial Corp.		82,069		7,446,941
Discover Financial Services		57,905		4,492,849
Synchrony Financial		115,830		4,015,826
				30,731,384
Containers & Packaging — 0.4%
Amcor PLC (United Kingdom)*(a)		269,600		3,097,704
Avery Dennison Corp.		14,900		1,723,632
Ball Corp.		57,800		4,045,422
International Paper Co.		70,167		3,039,634
Packaging Corp. of America		16,700		1,591,844
Sealed Air Corp.		28,620		1,224,364
Westrock Co.		43,561		1,588,670
				16,311,270
Distributors — 0.1%
Genuine Parts Co.		25,325		2,623,164
LKQ Corp.*		55,100		1,466,211
				4,089,375
Diversified Consumer Services — 0.0%
H&R Block, Inc.		35,900		1,051,870
Diversified Financial Services — 1.7%
Berkshire Hathaway, Inc. (Class B Stock)*		336,360		71,701,861
Jefferies Financial Group, Inc.		50,600		973,038
				72,674,899
Diversified Telecommunication Services — 2.0%
AT&T, Inc.		1,260,671		42,245,085
CenturyLink, Inc.(a)		163,843		1,926,794
Verizon Communications, Inc.		715,038		40,850,121
				85,022,000
Electric Utilities — 1.9%
Alliant Energy Corp.		40,900		2,007,372
American Electric Power Co., Inc.		84,740		7,457,967
Duke Energy Corp.		125,048		11,034,235
Edison International		56,300		3,795,183
Entergy Corp.(a)		31,900		3,283,467
Evergy, Inc.		44,600		2,682,690
Eversource Energy(a)		54,500		4,128,920
Exelon Corp.		168,073		8,057,420
FirstEnergy Corp.		87,280		3,736,457
NextEra Energy, Inc.		82,475		16,895,828
Pinnacle West Capital Corp.		19,600		1,844,164
PPL Corp.		124,500		3,860,745
Southern Co. (The)		179,300		9,911,704
Xcel Energy, Inc.(a)		88,695		5,276,466
				83,972,618
Electrical Equipment — 0.5%
AMETEK, Inc.		40,200		3,651,768
Eaton Corp. PLC		73,761		6,142,816
Emerson Electric Co.		106,500		7,105,680
Rockwell Automation, Inc.		20,820		3,410,941
				20,311,205

SEE NOTES TO FINANCIAL STATEMENTS.

A130

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components — 0.5%
Amphenol Corp. (Class A Stock)		51,800	$	4,969,692
Corning, Inc.		137,200		4,559,156
FLIR Systems, Inc.		24,100		1,303,810
IPG Photonics Corp.*(a)		6,200		956,350
Keysight Technologies, Inc.*		32,700		2,936,787
TE Connectivity Ltd.		59,300		5,679,754
				20,405,549
Energy Equipment & Services — 0.4%
Baker Hughes a GE Co.		87,548		2,156,307
Halliburton Co.		150,200		3,415,548
Helmerich & Payne, Inc.(a)		18,900		956,718
National Oilwell Varco, Inc.		66,200		1,471,626
Schlumberger Ltd.		237,498		9,438,171
TechnipFMC PLC (United Kingdom)		74,200		1,924,748
				19,363,118
Entertainment — 2.0%
Activision Blizzard, Inc.		131,700		6,216,240
Electronic Arts, Inc.*		52,200		5,285,772
Netflix, Inc.*		75,290		27,655,523
Take-Two Interactive Software, Inc.*		19,500		2,213,835
Viacom, Inc. (Class B Stock)		60,543		1,808,419
Walt Disney Co. (The)		302,172		42,195,298
				85,375,087
Equity Real Estate Investment Trusts (REITs) — 2.9%
Alexandria Real Estate Equities, Inc.(a)		18,800		2,652,492
American Tower Corp.		76,500		15,640,425
Apartment Investment & Management Co. (Class A Stock)		27,387		1,372,636
AvalonBay Communities, Inc.		23,718		4,819,023
Boston Properties, Inc.		26,500		3,418,500
Crown Castle International Corp.		71,700		9,346,095
Digital Realty Trust, Inc.(a)		35,400		4,169,766
Duke Realty Corp.		62,200		1,966,142
Equinix, Inc.		14,385		7,254,212
Equity Residential		63,200		4,798,144
Essex Property Trust, Inc.		11,370		3,319,244
Extra Space Storage, Inc.(a)		22,000		2,334,200
Federal Realty Investment Trust		12,800		1,648,128
HCP, Inc.		81,400		2,603,172
Host Hotels & Resorts, Inc.		127,426		2,321,702
Iron Mountain, Inc.(a)		49,230		1,540,899
Kimco Realty Corp.(a)		71,800		1,326,864
Macerich Co. (The)(a)		18,400		616,216
Mid-America Apartment Communities, Inc.		19,500		2,296,320
Prologis, Inc.		108,128		8,661,053
Public Storage		25,950		6,180,512
Realty Income Corp.		52,300		3,607,131
Regency Centers Corp.		29,700		1,982,178
SBA Communications Corp.*		19,530		4,391,125

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Simon Property Group, Inc.(a)		53,061	$	8,477,025
SL Green Realty Corp.		15,400		1,237,698
UDR, Inc.(a)		47,000		2,109,830
Ventas, Inc.(a)		61,504		4,203,798
Vornado Realty Trust		30,257		1,939,474
Welltower, Inc.(a)		67,900		5,535,887
Weyerhaeuser Co.		128,930		3,396,016
				125,165,907
Food & Staples Retailing — 1.5%
Costco Wholesale Corp.		75,792		20,028,794
Kroger Co. (The)		137,400		2,982,954
Sysco Corp.		82,500		5,834,400
Walgreens Boots Alliance, Inc.		137,900		7,538,993
Walmart, Inc.		245,800		27,158,442
				63,543,583
Food Products — 1.1%
Archer-Daniels-Midland Co.		96,838		3,950,990
Campbell Soup Co.(a)		33,200		1,330,324
Conagra Brands, Inc.(a)		82,800		2,195,856
General Mills, Inc.(a)		102,900		5,404,308
Hershey Co. (The)		24,400		3,270,332
Hormel Foods Corp.(a)		47,500		1,925,650
J.M. Smucker Co. (The)(a)		19,600		2,257,724
Kellogg Co.(a)		43,700		2,341,009
Kraft Heinz Co. (The)		107,137		3,325,533
Lamb Weston Holdings, Inc.		25,000		1,584,000
McCormick & Co., Inc.(a)		20,800		3,224,208
Mondelez International, Inc. (Class A Stock)		249,411		13,443,253
Tyson Foods, Inc. (Class A Stock)		50,500		4,077,370
				48,330,557
Gas Utilities — 0.0%
Atmos Energy Corp.		19,500		2,058,420
Health Care Equipment & Supplies — 3.4%
Abbott Laboratories		304,425		25,602,142
ABIOMED, Inc.*		7,900		2,057,871
Align Technology, Inc.*		12,600		3,448,620
Baxter International, Inc.		83,100		6,805,890
Becton, Dickinson & Co.		46,349		11,680,411
Boston Scientific Corp.*		237,399		10,203,409
Cooper Cos., Inc. (The)		8,630		2,907,361
Danaher Corp.		108,900		15,563,988
DENTSPLY SIRONA, Inc.		39,300		2,293,548
Edwards Lifesciences Corp.*		36,050		6,659,877
Hologic, Inc.*		47,400		2,276,148
IDEXX Laboratories, Inc.*		15,000		4,129,950
Intuitive Surgical, Inc.*		19,650		10,307,408
Medtronic PLC.		232,428		22,636,163
ResMed, Inc.		24,800		3,026,344
Stryker Corp.		53,600		11,019,088
Teleflex, Inc.		7,900		2,616,085
Varian Medical Systems, Inc.*		15,800		2,150,854
Zimmer Biomet Holdings, Inc.		35,286		4,154,574
				149,539,731

SEE NOTES TO FINANCIAL STATEMENTS.

A131

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services — 2.6%
AmerisourceBergen Corp.		27,800	$	2,370,228
Anthem, Inc.		44,600		12,586,566
Cardinal Health, Inc.		53,075		2,499,832
Centene Corp.*		70,900		3,717,996
Cigna Corp.		66,252		10,438,003
CVS Health Corp.		223,799		12,194,807
DaVita, Inc.*		22,500		1,265,850
HCA Healthcare, Inc.		46,400		6,271,888
Henry Schein, Inc.*(a)		26,500		1,852,350
Humana, Inc.		23,670		6,279,651
Laboratory Corp. of America Holdings*		17,400		3,008,460
McKesson Corp.		33,507		4,503,006
Quest Diagnostics, Inc.		23,300		2,372,173
UnitedHealth Group, Inc.		166,300		40,578,863
Universal Health Services, Inc. (Class B Stock)		15,100		1,968,889
WellCare Health Plans, Inc.*		8,600		2,451,602
				114,360,164
Health Care Technology — 0.1%
Cerner Corp.		57,100		4,185,430
Hotels, Restaurants & Leisure — 1.9%
Carnival Corp.		68,900		3,207,295
Chipotle Mexican Grill, Inc.*		4,320		3,166,042
Darden Restaurants, Inc.		21,550		2,623,281
Hilton Worldwide Holdings, Inc.		51,300		5,014,062
Marriott International, Inc. (Class A Stock)(a)		48,923		6,863,408
McDonald’s Corp.		132,310		27,475,494
MGM Resorts International		86,500		2,471,305
Norwegian Cruise Line Holdings Ltd.*		37,500		2,011,125
Royal Caribbean Cruises Ltd.		29,800		3,612,058
Starbucks Corp.		215,500		18,065,365
Wynn Resorts Ltd.		16,000		1,983,840
Yum! Brands, Inc.		53,100		5,876,577
				82,369,852
Household Durables — 0.3%
D.R. Horton, Inc.		59,600		2,570,548
Garmin Ltd.		20,600		1,643,880
Leggett & Platt, Inc.(a)		22,700		870,999
Lennar Corp. (Class A Stock)		49,900		2,418,154
Mohawk Industries, Inc.*		10,900		1,607,423
Newell Brands, Inc.(a)		71,149		1,097,117
PulteGroup, Inc.		45,185		1,428,750
Whirlpool Corp.(a)		10,967		1,561,262
				13,198,133
Household Products — 1.7%
Church & Dwight Co., Inc.		42,300		3,090,438
Clorox Co. (The)(a)		21,900		3,353,109
Colgate-Palmolive Co.		148,900		10,671,663
Kimberly-Clark Corp.		59,588		7,941,889
Procter & Gamble Co. (The)		433,476		47,530,643
				72,587,742

COMMON STOCKS (continued)	Shares		Value
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		113,400	$	1,900,584
NRG Energy, Inc.		50,700		1,780,584
				3,681,168
Industrial Conglomerates — 1.4%
3M Co.		99,870		17,311,466
General Electric Co.		1,504,347		15,795,643
Honeywell International, Inc.		126,300		22,050,717
Roper Technologies, Inc.		17,900		6,556,054
				61,713,880
Insurance — 2.3%
Aflac, Inc.		131,200		7,191,072
Allstate Corp. (The)		57,988		5,896,800
American International Group, Inc.		151,529		8,073,465
Aon PLC		41,525		8,013,494
Arthur J Gallagher & Co.		31,400		2,750,326
Assurant, Inc.		9,900		1,053,162
Chubb Ltd.		79,230		11,669,787
Cincinnati Financial Corp.		26,128		2,708,690
Everest Re Group Ltd.		7,000		1,730,260
Hartford Financial Services Group, Inc. (The)		62,300		3,471,356
Lincoln National Corp.		36,863		2,375,820
Loews Corp.		47,126		2,576,378
Marsh & McLennan Cos., Inc.		86,900		8,668,275
MetLife, Inc.		167,580		8,323,699
Principal Financial Group, Inc.(a)		45,700		2,646,944
Progressive Corp. (The)		100,300		8,016,979
Torchmark Corp.		18,375		1,643,827
Travelers Cos., Inc. (The)		45,698		6,832,765
Unum Group		37,456		1,256,649
Willis Towers Watson PLC		22,500		4,309,650
				99,209,398
Interactive Media & Services — 4.6%
Alphabet, Inc. (Class A Stock)*		51,849		56,142,097
Alphabet, Inc. (Class C Stock)*		53,210		57,515,221
Facebook, Inc. (Class A Stock)*		415,820		80,253,260
TripAdvisor, Inc.*(a)		18,200		842,478
Twitter, Inc.*		125,000		4,362,500
				199,115,556
Internet & Direct Marketing Retail — 3.7%
Amazon.com, Inc.*		71,670		135,716,462
Booking Holdings, Inc.*		7,740		14,510,256
eBay, Inc.		150,100		5,928,950
Expedia Group, Inc.		20,800		2,767,024
				158,922,692
IT Services — 5.2%
Accenture PLC (Class A Stock)		110,500		20,417,085
Akamai Technologies, Inc.*		28,500		2,283,990
Alliance Data Systems Corp.		8,310		1,164,480
Automatic Data Processing, Inc.		75,160		12,426,203
Broadridge Financial Solutions, Inc.		20,500		2,617,440

SEE NOTES TO FINANCIAL STATEMENTS.

A132

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Cognizant Technology Solutions Corp. (Class A Stock)		99,800	$	6,326,322
DXC Technology Co.		48,350		2,666,503
Fidelity National Information Services, Inc.		56,500		6,931,420
Fiserv, Inc.*(a)		67,800		6,180,648
FleetCor Technologies, Inc.*		15,200		4,268,920
Gartner, Inc.*		15,700		2,526,758
Global Payments, Inc.		27,100		4,339,523
International Business Machines Corp.		154,325		21,281,417
Jack Henry & Associates, Inc.		12,600		1,687,392
Mastercard, Inc. (Class A Stock)		156,300		41,346,039
Paychex, Inc.(a)		55,350		4,554,751
PayPal Holdings, Inc.*		202,400		23,166,704
Total System Services, Inc.		28,593		3,667,624
VeriSign, Inc.*		18,200		3,806,712
Visa, Inc. (Class A Stock)(a)		303,000		52,585,650
Western Union Co. (The)(a)		77,404		1,539,566
				225,785,147
Leisure Products — 0.0%
Hasbro, Inc.		20,050		2,118,884
Life Sciences Tools & Services — 1.1%
Agilent Technologies, Inc.		54,782		4,090,572
Illumina, Inc.*		25,400		9,351,010
IQVIA Holdings, Inc.*		27,500		4,424,750
Mettler-Toledo International, Inc.*		4,320		3,628,800
PerkinElmer, Inc.		19,200		1,849,728
Thermo Fisher Scientific, Inc.		69,700		20,469,496
Waters Corp.*		12,400		2,668,976
				46,483,332
Machinery — 1.5%
Caterpillar, Inc.		99,700		13,588,113
Cummins, Inc.		25,500		4,369,170
Deere & Co.		54,950		9,105,765
Dover Corp.		25,600		2,565,120
Flowserve Corp.		22,500		1,185,525
Fortive Corp.		50,600		4,124,912
Illinois Tool Works, Inc.(a)		52,475		7,913,755
Ingersoll-Rand PLC		42,200		5,345,474
PACCAR, Inc.		60,128		4,308,772
Parker-Hannifin Corp.		22,787		3,874,018
Pentair PLC		28,707		1,067,900
Snap-on, Inc.(a)		9,900		1,639,836
Stanley Black & Decker, Inc.		25,935		3,750,460
Wabtec Corp.(a)		25,912		1,859,445
Xylem, Inc.		31,200		2,609,568
				67,307,833
Media — 1.4%
CBS Corp. (Class B Stock)		58,968		2,942,503
Charter Communications, Inc. (Class A Stock)*(a)		30,280		11,966,050
Comcast Corp. (Class A Stock)		782,992		33,104,902

COMMON STOCKS (continued)	Shares		Value
Media (continued)
Discovery, Inc. (Class A Stock)*(a)		26,300	$	807,410
Discovery, Inc. (Class C Stock)*		61,400		1,746,830
DISH Network Corp. (Class A Stock)*		40,200		1,544,082
Fox Corp. (Class A Stock)		60,466		2,215,474
Fox Corp. (Class B Stock)		28,066		1,025,251
Interpublic Group of Cos., Inc. (The)		66,762		1,508,154
News Corp. (Class A Stock)		63,625		858,301
News Corp. (Class B Stock)		19,300		269,428
Omnicom Group, Inc.(a)		38,800		3,179,660
				61,168,045
Metals & Mining — 0.2%
Freeport-McMoRan, Inc.		248,512		2,885,224
Newmont Goldcorp Corp.		140,503		5,405,151
Nucor Corp.		52,800		2,909,280
				11,199,655
Multiline Retail — 0.5%
Dollar General Corp.		45,400		6,136,264
Dollar Tree, Inc.*		40,647		4,365,081
Kohl’s Corp.(a)		28,500		1,355,175
Macy’s, Inc.		53,620		1,150,685
Nordstrom, Inc.(a)		20,000		637,200
Target Corp.		90,068		7,800,790
				21,445,195
Multi-Utilities — 1.1%
Ameren Corp.		42,300		3,177,153
CenterPoint Energy, Inc.		85,510		2,448,151
CMS Energy Corp.		48,800		2,826,008
Consolidated Edison, Inc.		54,600		4,787,328
Dominion Energy, Inc.		138,540		10,711,913
DTE Energy Co.		31,600		4,041,008
NiSource, Inc.		62,000		1,785,600
Public Service Enterprise Group, Inc.		86,800		5,105,576
Sempra Energy		47,154		6,480,846
WEC Energy Group, Inc.		54,576		4,550,001
				45,913,584
Oil, Gas & Consumable Fuels — 4.5%
Anadarko Petroleum Corp.		86,326		6,091,163
Apache Corp.(a)		64,550		1,870,013
Cabot Oil & Gas Corp.		75,300		1,728,888
Chevron Corp.		329,162		40,960,919
Cimarex Energy Co.		16,600		984,878
Concho Resources, Inc.		34,200		3,528,756
ConocoPhillips		197,529		12,049,269
Devon Energy Corp.		72,800		2,076,256
Diamondback Energy, Inc.		26,900		2,931,293
EOG Resources, Inc.		99,200		9,241,472
Exxon Mobil Corp.		732,604		56,139,444
Hess Corp.		44,075		2,801,848
HollyFrontier Corp.		28,300		1,309,724
Kinder Morgan, Inc.		337,343		7,043,722
Marathon Oil Corp.		142,994		2,031,945

SEE NOTES TO FINANCIAL STATEMENTS.

A133

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Marathon Petroleum Corp.		116,587	$	6,514,882
Noble Energy, Inc.		82,700		1,852,480
Occidental Petroleum Corp.		130,000		6,536,400
ONEOK, Inc.		70,740		4,867,619
Phillips 66		72,964		6,825,053
Pioneer Natural Resources Co.		29,400		4,523,484
Valero Energy Corp.		72,200		6,181,042
Williams Cos., Inc. (The)		208,300		5,840,732
				193,931,282
Personal Products — 0.2%
Coty, Inc. (Class A Stock)		56,000		750,400
Estee Lauder Cos., Inc. (The) (Class A Stock)		38,100		6,976,491
				7,726,891
Pharmaceuticals — 4.5%
Allergan PLC		54,356		9,100,825
Bristol-Myers Squibb Co.		281,940		12,785,979
Eli Lilly & Co.		149,600		16,574,184
Johnson & Johnson		460,696		64,165,739
Merck & Co., Inc.		446,703		37,456,047
Mylan NV*		89,200		1,698,368
Nektar Therapeutics*(a)		28,500		1,014,030
Perrigo Co. PLC		21,800		1,038,116
Pfizer, Inc.		960,123		41,592,528
Zoetis, Inc.		82,400		9,351,576
				194,777,392
Professional Services — 0.3%
Equifax, Inc.		21,000		2,840,040
IHS Markit Ltd.*		61,500		3,918,780
Nielsen Holdings PLC		60,500		1,367,300
Robert Half International, Inc.		21,600		1,231,416
Verisk Analytics, Inc.		28,100		4,115,526
				13,473,062
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		54,100		2,775,330
Road & Rail — 1.0%
CSX Corp.(a)		134,072		10,373,151
J.B. Hunt Transport Services, Inc.		15,100		1,380,291
Kansas City Southern		17,500		2,131,850
Norfolk Southern Corp.		46,300		9,228,979
Union Pacific Corp.		123,800		20,935,818
				44,050,089
Semiconductors & Semiconductor Equipment — 3.7%
Advanced Micro Devices, Inc.*(a)		148,500		4,509,945
Analog Devices, Inc.		63,823		7,203,702
Applied Materials, Inc.		165,400		7,428,114
Broadcom, Inc.(a)		68,560		19,735,682
Intel Corp.		778,100		37,247,647
KLA-Tencor Corp.		28,400		3,356,880
Lam Research Corp.		26,600		4,996,544
Maxim Integrated Products, Inc.		46,300		2,769,666

COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Microchip Technology, Inc.(a)		40,600	$	3,520,020
Micron Technology, Inc.*		192,700		7,436,293
NVIDIA Corp.		104,650		17,186,669
Qorvo, Inc.*		21,886		1,457,826
QUALCOMM, Inc.		209,750		15,955,683
Skyworks Solutions, Inc.		30,400		2,349,008
Texas Instruments, Inc.(a)		162,600		18,659,976
Xilinx, Inc.(a)		43,600		5,141,312
				158,954,967
Software — 6.6%
Adobe, Inc.*		84,575		24,920,024
ANSYS, Inc.*		14,500		2,969,890
Autodesk, Inc.*		37,770		6,152,733
Cadence Design Systems, Inc.*		49,000		3,469,690
Citrix Systems, Inc.		22,100		2,168,894
Fortinet, Inc.*		25,400		1,951,482
Intuit, Inc.		44,600		11,655,318
Microsoft Corp.		1,329,300		178,073,028
Oracle Corp.		429,995		24,496,815
Red Hat, Inc.*		30,300		5,689,128
salesforce.com, Inc.*		133,500		20,255,955
Symantec Corp.		108,911		2,369,903
Synopsys, Inc.*		25,600		3,294,464
				287,467,324
Specialty Retail — 2.3%
Advance Auto Parts, Inc.		12,560		1,935,999
AutoZone, Inc.*		4,410		4,848,663
Best Buy Co., Inc.		41,425		2,888,565
CarMax, Inc.*(a)		30,100		2,613,583
Foot Locker, Inc.		20,900		876,128
Gap, Inc. (The)(a)		37,187		668,250
Home Depot, Inc. (The)(a)		192,869		40,110,966
L Brands, Inc.(a)		39,696		1,036,066
Lowe’s Cos., Inc.		137,875		13,912,966
O’Reilly Automotive, Inc.*		13,560		5,007,979
Ross Stores, Inc.		64,600		6,403,152
Tiffany & Co.(a)		18,500		1,732,340
TJX Cos., Inc. (The)		213,300		11,279,304
Tractor Supply Co.		21,200		2,306,560
Ulta Beauty, Inc.*		9,700		3,364,833
				98,985,354
Technology Hardware, Storage & Peripherals — 3.9%
Apple, Inc.		760,215		150,461,753
Hewlett Packard Enterprise Co.		244,266		3,651,777
HP, Inc.		269,366		5,600,119
NetApp, Inc.(a)		43,600		2,690,120
Seagate Technology PLC(a)		45,600		2,148,672
Western Digital Corp.		50,868		2,418,773
Xerox Corp.		36,002		1,274,831
				168,246,045
Textiles, Apparel & Luxury Goods — 0.7%
Capri Holdings Ltd.*		26,500		919,020
Hanesbrands, Inc.(a)		62,100		1,069,362
NIKE, Inc. (Class B Stock)		217,800		18,284,310
PVH Corp.		13,300		1,258,712

SEE NOTES TO FINANCIAL STATEMENTS.

A134

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods (continued)
Ralph Lauren Corp.		9,500	$	1,079,105
Tapestry, Inc.		50,300		1,596,019
Under Armour, Inc. (Class A Stock)*(a)		31,200		790,920
Under Armour, Inc. (Class C Stock)*(a)		33,303		739,327
VF Corp.		55,744		4,869,238
				30,606,013
Tobacco — 0.8%
Altria Group, Inc.		324,900		15,384,015
Philip Morris International, Inc.		269,500		21,163,835
				36,547,850
Trading Companies & Distributors — 0.2%
Fastenal Co.		98,500		3,210,115
United Rentals, Inc.*		14,500		1,923,135
W.W. Grainger, Inc.		8,020		2,151,205
				7,284,455
Water Utilities — 0.1%
American Water Works Co., Inc.(a)		31,400		3,642,400
TOTAL COMMON STOCKS (cost $1,276,896,320)				4,236,485,988
EXCHANGE-TRADED FUNDS — 0.3%
iShares Core S&P 500 ETF		34,400		10,139,400
SPDR S&P 500 ETF Trust		14,000		4,102,000
TOTAL EXCHANGE-TRADED FUNDS (cost $12,797,258)				14,241,400
TOTAL LONG-TERM INVESTMENTS (cost $1,289,693,578)				4,250,727,388
SHORT-TERM INVESTMENTS — 8.7%
AFFILIATED MUTUAL FUNDS — 8.6%
PGIM Core Ultra Short Bond Fund(w)		79,681,981		79,681,981
PGIM Institutional Money Market Fund (cost $292,026,161; includes $291,442,764 of cash collateral for securities on loan)(b)(w)		291,995,428		292,083,027
TOTAL AFFILIATED MUTUAL FUNDS (cost $371,708,142)				371,765,008

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. TREASURY OBLIGATION(k)(n) — 0.1%
U.S. Treasury Bills
2.167%		09/19/19
(cost $4,478,450)				4,500	$	4,479,223
TOTAL SHORT-TERM INVESTMENTS (cost $376,186,592)						376,244,231
TOTAL INVESTMENTS — 106.6% (cost $1,665,880,170)						4,626,971,619
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.6)%						(287,897,503	)
NET ASSETS — 100.0%					$	4,339,074,116

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

* Non-income producing security.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $287,589,056; cash collateral of $291,442,764 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchased date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

SEE NOTES TO FINANCIAL STATEMENTS.

A135

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Futures contracts outstanding at June 30, 2019:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
247		S&P 500 E-Mini Index		Sep. 2019	$	36,360,870	$	360,988
68		S&P 500 Stock Index		Sep. 2019		50,051,400		826,303
							$	1,187,291

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

Broker	Cash and/or Foreign Currency		Securities Market Value
UBS Securities LLC	$	—	$	4,479,223

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	110,600,715	$	—	$	—
Air Freight & Logistics		23,545,493		—		—
Airlines		17,480,830		—		—
Auto Components		5,159,972		—		—
Automobiles		16,540,025		—		—
Banks		234,629,711		—		—
Beverages		79,319,749		—		—
Biotechnology		92,984,323		—		—
Building Products		12,487,232		—		—
Capital Markets		113,203,983		—		—
Chemicals		85,595,692		—		—
Commercial Services & Supplies		18,023,639		—		—
Communications Equipment		51,367,453		—		—
Construction & Engineering		2,764,329		—		—
Construction Materials		5,602,125		—		—
Consumer Finance		30,731,384		—		—
Containers & Packaging		16,311,270		—		—
Distributors		4,089,375		—		—
Diversified Consumer Services		1,051,870		—		—
Diversified Financial Services		72,674,899		—		—
Diversified Telecommunication Services		85,022,000		—		—
Electric Utilities		83,972,618		—		—
Electrical Equipment		20,311,205		—		—
Electronic Equipment, Instruments & Components		20,405,549		—		—
Energy Equipment & Services		19,363,118		—		—
Entertainment		85,375,087		—		—
Equity Real Estate Investment Trusts (REITs)		125,165,907		—		—
Food & Staples Retailing		63,543,583		—		—
Food Products		48,330,557		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A136

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Gas Utilities	$	2,058,420	$	—	$	—
Health Care Equipment & Supplies		149,539,731		—		—
Health Care Providers & Services		114,360,164		—		—
Health Care Technology		4,185,430		—		—
Hotels, Restaurants & Leisure		82,369,852		—		—
Household Durables		13,198,133		—		—
Household Products		72,587,742		—		—
Independent Power & Renewable Electricity Producers		3,681,168		—		—
Industrial Conglomerates		61,713,880		—		—
Insurance		99,209,398		—		—
Interactive Media & Services		199,115,556		—		—
Internet & Direct Marketing Retail		158,922,692		—		—
IT Services		225,785,147		—		—
Leisure Products		2,118,884		—		—
Life Sciences Tools & Services		46,483,332		—		—
Machinery		67,307,833		—		—
Media		61,168,045		—		—
Metals & Mining		11,199,655		—		—
Multiline Retail		21,445,195		—		—
Multi-Utilities		45,913,584		—		—
Oil, Gas & Consumable Fuels		193,931,282		—		—
Personal Products		7,726,891		—		—
Pharmaceuticals		194,777,392		—		—
Professional Services		13,473,062		—		—
Real Estate Management & Development		2,775,330		—		—
Road & Rail		44,050,089		—		—
Semiconductors & Semiconductor Equipment		158,954,967		—		—
Software		287,467,324		—		—
Specialty Retail		98,985,354		—		—
Technology Hardware, Storage & Peripherals		168,246,045		—		—
Textiles, Apparel & Luxury Goods		30,606,013		—		—
Tobacco		36,547,850		—		—
Trading Companies & Distributors		7,284,455		—		—
Water Utilities		3,642,400		—		—
Exchange-Traded Funds		14,241,400		—		—
Affiliated Mutual Funds		371,765,008		—		—
U.S. Treasury Obligation		—		4,479,223		—
Other Financial Instruments*
Futures Contracts		1,187,291		—		—
Total	$	4,623,679,687	$	4,479,223	$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:

Affiliated Mutual Funds (6.7% represents investments purchased with collateral from securities on loan)	8.6	%
Software	6.6
Banks	5.4
IT Services	5.2
Interactive Media & Services	4.6
Pharmaceuticals	4.5
Oil, Gas & Consumable Fuels	4.5

Technology Hardware, Storage & Peripherals	3.9	%
Semiconductors & Semiconductor Equipment	3.7
Internet & Direct Marketing Retail	3.7
Health Care Equipment & Supplies	3.4
Equity Real Estate Investment Trusts (REITs)	2.9
Health Care Providers & Services	2.6
Capital Markets	2.6
Aerospace & Defense	2.5

SEE NOTES TO FINANCIAL STATEMENTS.

A137

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

Industry Classification (con’t)
Insurance	2.3	%
Specialty Retail	2.3
Biotechnology	2.1
Chemicals	2.0
Entertainment	2.0
Diversified Telecommunication Services	2.0
Electric Utilities	1.9
Hotels, Restaurants & Leisure	1.9
Beverages	1.8
Diversified Financial Services	1.7
Household Products	1.7
Machinery	1.5
Food & Staples Retailing	1.5
Industrial Conglomerates	1.4
Media	1.4
Communications Equipment	1.2
Food Products	1.1
Life Sciences Tools & Services	1.1
Multi-Utilities	1.1
Road & Rail	1.0
Tobacco	0.8
Consumer Finance	0.7
Textiles, Apparel & Luxury Goods	0.7
Air Freight & Logistics	0.5
Multiline Retail	0.5
Electronic Equipment, Instruments & Components	0.5
Electrical Equipment	0.5
Energy Equipment & Services	0.4

Commercial Services & Supplies	0.4	%
Airlines	0.4
Automobiles	0.4
Containers & Packaging	0.4
Exchange-Traded Funds	0.3
Professional Services	0.3
Household Durables	0.3
Building Products	0.3
Metals & Mining	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
Construction Materials	0.1
Auto Components	0.1
U.S. Treasury Obligation	0.1
Health Care Technology	0.1
Distributors	0.1
Independent Power & Renewable Electricity Producers	0.1
Water Utilities	0.1
Real Estate Management & Development	0.1
Construction & Engineering	0.1
Leisure Products	0.0	*
Gas Utilities	0.0	*
Diversified Consumer Services	0.0	*
	106.6
Liabilities in excess of other assets	(6.6	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Equity contracts	Due from/to broker — variation margin futures	$	1,187,291	*	—	$	—

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	11,854,744

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	4,062,070

SEE NOTES TO FINANCIAL STATEMENTS.

A138

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2019 (unaudited)

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

Futures Contracts—
Long Positions(1)

$95,587,213

(1) Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right toset-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	287,589,056	$	(287,589,056	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A139

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

ASSETS
Investments at value, including securities on loan of $287,589,056:
Unaffiliated investments (cost $1,294,172,028)	$	4,255,206,611
Affiliated investments (cost $371,708,142)		371,765,008
Dividends receivable		3,557,813
Receivable for investments sold		1,282,157
Receivable for Portfolio shares sold		609,959
Due from broker-variation margin futures		390,355
Prepaid expenses		4,425
Total Assets		4,632,816,328
LIABILITIES
Payable to broker for collateral for securities on loan		291,442,764
Management fee payable.		1,037,728
Accrued expenses and other liabilities		798,034
Payable for investments purchased		241,497
Payable for Portfolio shares repurchased		221,209
Affiliated transfer agent fee payable		980
Total Liabilities		293,742,212
NET ASSETS	$	4,339,074,116
Net assets were comprised of:
Partners Equity	$	4,339,074,116
Net asset value and redemption price per share, $4,339,074,116 / 64,750,806 outstanding shares of beneficial interest	$	67.01

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	40,250,684
Affiliated dividend income		1,204,349
Income from securities lending, net (including affiliated income of $141,842)		162,687
Interest income (net of $11 foreign withholding tax)		60,551
Total income		41,678,271
EXPENSES
Management fee.		6,124,028
Custodian and accounting fees		123,428
Shareholders’ reports		82,492
Trustees’ fees		26,917
Audit fee.		12,227
Legal fees and expenses.		11,909
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		38,271
Total expenses		6,424,569
NET INVESTMENT INCOME (LOSS)		35,253,702
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(13,169))		14,716,897
Futures transactions.		11,854,744
		26,571,641
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $58,323)		610,229,150
Futures		4,062,070
		614,291,220
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		640,862,861
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	676,116,563

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	35,253,702		$	66,061,210
Net realized gain (loss) on investment transactions		26,571,641			100,320,190
Net change in unrealized appreciation (depreciation) on investments		614,291,220			(339,473,709	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		676,116,563			(173,092,309	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,997,690 and 3,148,487 shares, respectively]		124,204,105			190,000,727
Portfolio shares repurchased [2,087,659 and 4,457,788 shares, respectively]		(133,568,718	)		(272,872,840	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(9,364,613	)		(82,872,113	)
TOTAL INCREASE (DECREASE)		666,751,950			(255,964,422	)
NET ASSETS:
Beginning of period		3,672,322,166			3,928,286,588
End of period	$	4,339,074,116		$	3,672,322,166

SEE NOTES TO FINANCIAL STATEMENTS.

A140

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 13 Portfolios listed below together with their investment objectives. Each Portfolio is a diversified portfolio except Natural Resources Portfolio which is anon-diversified portfolio for purposes of the 1940 Act.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

        1. Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services —Investment Companies.The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation:Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Portfolios to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reportingperiod-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

B1

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments inopen-end,non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also includes consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing

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unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.

Illiquid Securities:    Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.

Subject to guidelines adopted by the Board, the Government Money Market Portfolio may invest up to 5% of its net assets in illiquid securities.

Restricted Securities:    Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency

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gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

Forward and Cross Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The

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risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans:    Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral ismarked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty(“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the

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Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

Credit Default Swaps (“CDS”):    CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Total Return Swaps:    In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered

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into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold orre-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2019, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

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Rights:    Certain Portfolios held rights acquired either through a direct purchase or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such rights are held as long positions by the Portfolios until exercised, sold or expired. Rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Delayed-Delivery Transactions:    Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending:    Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.

The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Mortgage Dollar Rolls:    Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs):    Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on theex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an

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accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on theex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

        2. Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”) (a wholly-owned subsidiary of PGIM, Inc.), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee	Effective Management Fee, Net of Waiver, if Applicable
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.72	*
Government Income Portfolio	0.40		0.40
Government Money Market Portfolio	0.30		0.30
Stock Index Portfolio	0.30% up to $4 billion 0.25% over $4 billion		0.30

* The Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.032% of the average daily net assets of the Portfolio.

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At June 30, 2019, the subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one subadviser is listed, each subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PFI & QMA
Diversified Bond Portfolio	PFI
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI & QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
Government Money Market Portfolio	PFI
Stock Index Portfolio	QMA

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2019, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	60,670
Global Portfolio		15,532

PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

        3. Other Transactions with Affiliates

a.)    Related Parties

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certainout-of-pocket expenses paid tonon-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approvedRule 17a-7 procedures. Rule17a-7 is an exemptive rule under the 1940 Act, that, subject to certain

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conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such17a-7 transaction were effected in accordance with the Series Fund’s Rule17a-7 procedures. For the reporting period ended June 30, 2019, no17a-7 transactions were entered into by the Portfolios.

b.)    Securities Lending and Foreign Withholding Tax Reclaim Matters

In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Series Fund’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Series Fund’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018 and for the six months ended June 30, 2019.

In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.

During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.

B11

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.

The following amounts have been accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnership for tax purposes.

Portfolio	2019 Withholding Tax
Conservative Balanced Portfolio	$	6,877
Equity Portfolio		13,151
Flexible Managed Portfolio		11,436
Global Portfolio		88,638

The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	2019 Payments
Conservative Balanced Portfolio	$	30,155
Equity Portfolio		187,890
Flexible Managed Portfolio		32,384
Global Portfolio		141,863

The following amounts have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	Opportunity Loss
Conservative Balanced Portfolio	$	13,184
Equity Portfolio		3
Flexible Managed Portfolio		14,632
Global Portfolio		85,664

        4. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2019, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	823,851,966	$	843,248,186
Diversified Bond Portfolio		161,394,421		132,319,201
Equity Portfolio		925,736,563		1,089,156,347
Flexible Managed Portfolio		2,361,082,236		2,406,411,065
Global Portfolio		146,556,939		158,628,666
Government Income Portfolio		278,182,442		276,827,982
Stock Index Portfolio		87,626,599		46,631,956

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A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:

	Conservative Balanced Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Short-Term Bond Fund*
$	60,098,231	$	986,294	$	—	$	130,688	$	—		$	61,215,213		6,632,201	$	986,102
	PGIM Core Ultra Short Bond Fund*
	321,028,979		222,541,677		282,538,169		—		—			261,032,487		261,032,487		3,720,045
	PGIM Institutional Money Market Fund*
	35,065,786		183,324,641		148,081,776		17,985		(1,048	)		70,325,588		70,304,496		51,639	**
$	416,192,996	$	406,852,612	$	430,619,945	$	148,673	$	(1,048	)	$	392,573,288			$	4,757,786
	Diversified Bond Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Short-Term Bond Fund*
$	36,166,743	$	593,546	$	—	$	78,647	$	—		$	36,838,936		3,991,217	$	590,570
	PGIM Core Ultra Short Bond Fund*
	3,312,505		157,060,462		157,703,386		—		—			2,669,581		2,669,581		237,481
	PGIM Institutional Money Market Fund*
	5,294,940		46,348,377		39,590,214		2,663		1,423			12,057,189		12,053,573		13,466	**
$	44,774,188	$	204,002,385	$	197,293,600	$	81,310	$	1,423		$	51,565,706			$	841,517
	Equity Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
$	122,077,957	$	506,978,328	$	486,705,116	$	—	$	—		$	142,351,169		142,351,169	$	1,591,793
	PGIM Institutional Money Market Fund*
	233,962,135		1,615,209,453		1,354,908,124		112,886		3,295			494,379,645		494,231,375		339,943	**
$	356,040,092	$	2,122,187,781	$	1,841,613,240	$	112,886	$	3,295		$	636,730,814			$	1,931,736
	Flexible Managed Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Short-Term Bond Fund*
$	76,993,820	$	1,263,574	$	—	$	167,428	$	—		$	78,424,822		8,496,730	$	1,263,574
	PGIM Core Ultra Short Bond Fund*
	219,948,136		444,707,070		499,342,803		—		—			165,312,403		165,312,403		2,414,046
	PGIM Institutional Money Market Fund*
	42,949,501		420,723,536		371,915,979		23,164		1,265			91,781,487		91,753,960		78,530	**
$	339,891,457	$	866,694,180	$	871,258,782	$	190,592	$	1,265		$	335,518,712			$	3,756,150

B13

	Global Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
$	29,089,153	$	157,931,234	$	152,741,738	$	—	$	—		$	34,278,649		34,278,649	$	409,907
	PGIM Institutional Money Market Fund*
	42,891,241		188,823,505		186,429,077		11,649		136			45,297,454		45,283,869		72,140	**
$	71,980,394	$	346,754,739	$	339,170,815	$	11,649	$	136		$	79,576,103			$	482,047
	Government Income Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Short-Term Bond Fund*
$	22,597,532	$	363,936	$	1,000,000	$	180,837	$	(74,756	)	$	22,067,549		2,390,850	$	367,802
	PGIM Core Ultra Short Bond Fund*
	2,506		53,168,528		50,265,839		—		—			2,905,195		2,905,195		34,024
	PGIM Institutional Money Market Fund*
	—		2,593,793		2,593,793		—		—			—		—		592	**
$	22,600,038	$	56,126,257	$	53,859,632	$	180,837	$	(74,756	)	$	24,972,744			$	402,418
	Stock Index Portfolio
Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
$	78,324,947	$	150,065,767	$	148,708,733	$	—	$	—		$	79,681,981		79,681,981	$	1,204,349
	PGIM Institutional Money Market Fund*
	95,420,772		734,807,991		538,190,890		58,323		(13,169	)		292,083,027		291,995,428		141,842	**
$	173,745,719	$	884,873,758	$	686,899,623	$	58,323	$	(13,169	)	$	371,765,008			$	1,346,191

* The Fund did not have any capital gain distributions during the reporting period.

** This amount is included in “Income from securities lending, net” on the Statement of Operations.

        5. Tax Information

All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

        6. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement

B14

(“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.

Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the reporting period ended June 30, 2019. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding		Maximum Balance Outstanding		Balance Outstanding at June 30, 2019
Diversified Bond Portfolio	$	245,000		3.67	%		1	$	245,000	$	—
Global Portfolio		190,000		3.66			1		190,000		—
Government Income Portfolio		473,417		3.73			12		2,535,000		—

        7. Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. As of June 30, 2019, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

As of June 30, 2019, all of Class I shares of record of each Portfolio were owned by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”), Pruco Life Insurance Company (“PRULIFE”) and Prudential Insurance Company of America (“PICA”) on behalf of owners of the variable insurance products issued by each of these entities; and by other Portfolios as part of their investments.

The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:

Portfolio	Number of Shareholders		% of Outstanding Shares		% held by an Affiliate of Prudential
Conservative Balanced Portfolio		4		96		96
Diversified Bond Portfolio		5		94		94
Equity Portfolio		4		92		92
Flexible Managed Portfolio		4		97		97
Global Portfolio		3		90		90
Government Income Portfolio		3		92		92
Government Money Market Portfolio		3		86		86
Stock Index Portfolio		5		93		93

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Transactions in shares of beneficial interest of the Equity were as follows:

Equity Portfolio

Class I:	Shares			Amount
Six months ended June 30, 2019:
Portfolio shares sold		60,113		$	3,364,916
Portfolio shares repurchased		(2,824,556	)		(156,323,573	)
Capital contributions		—			3
Net increase (decrease) in shares outstanding		(2,764,443	)	$	(152,958,654	)
Year ended December 31, 2018:
Portfolio shares sold		288,901		$	15,724,745
Portfolio shares repurchased		(6,033,417	)		(328,510,611	)
Capital contributions		—			3,503,826
Net increase (decrease) in shares outstanding		(5,744,516	)	$	(309,282,040	)
Class II:
Six months ended June 30, 2019:
Portfolio shares sold		1		$	37
Portfolio shares repurchased		(1,523	)		(81,798	)
Net increase (decrease) in shares outstanding		(1,522	)	$	(81,761	)
Year ended December 31, 2018:
Portfolio shares sold		9,548		$	526,666
Portfolio shares repurchased		(12,293	)		(673,039	)
Capital contributions		—			1,333
Net increase (decrease) in shares outstanding		(2,745	)	$	(145,040	)

        8. Risks of Investing in the Portfolios

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:

Bond Obligations Risk:    The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk:    Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk:    The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.

Equity and Equity-Related Securities Risks:    The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market

B16

indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Foreign Securities Risk:    The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Geographic Concentration Risk:    The Portfolios’ performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk:    The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.

Liquidity Risk:    The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

Market and Credit Risk:    Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

Non-diversification Risk:    Anon-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in anon-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of anon-diversified portfolio.

Risks of Investing in equity REITs:    Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also includeso-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any

B17

credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolio.

Risks of Investing in Treasury Inflation Protected Securities (TIPS):    The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if the Portfolios purchase TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, they may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period the Portfolio hold TIPS, the Portfolios may earn less on the security than on a conventional bond.

U.S. Government and Agency Securities Risk:    U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.

        9. Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

B18

Financial Highlights

(unaudited)

	Conservative Balanced Portfolio
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	26.50		$	27.17		$	24.18		$	22.54		$	22.45		$	20.63
Income (Loss) From Investment Operations:
Net investment income (loss)		0.30			0.53			0.45			0.42			0.39			0.36
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.70			(1.20	)		2.54			1.20			(0.30	)		1.46
Total from investment operations		3.00			(0.67	)		2.99			1.62			0.09			1.82
Capital Contributions		—	(b)(c)		—	(b)(c)		—			0.02	(d)		—			—
Net Asset Value, end of period	$	29.50		$	26.50		$	27.17		$	24.18		$	22.54		$	22.45
Total Return(e)		11.32	%(f)		(2.47	)%(f)		12.37	%		7.28	%(g)		0.40	%		8.82	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,517		$	2,370		$	2,595		$	2,473		$	2,554		$	2,574
Average net assets (in millions)	$	2,476		$	2,535		$	2,535		$	2,487		$	2,522		$	2,530
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.59	%(i)		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.59	%(i)		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Net investment income (loss)		2.11	%(i)		1.94	%		1.75	%		1.79	%		1.70	%		1.66	%
Portfolio turnover rate(j)		41	%		101	%		136	%		185	%		208	%		134	%
	Diversified Bond Portfolio
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	13.12		$	13.14		$	12.28		$	11.64		$	11.66		$	11.01
Income (Loss) From Investment Operations:
Net investment income (loss)		0.24			0.45			0.42			0.43			0.41			0.43
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.77			(0.48	)		0.44			0.21			(0.43	)		0.34
Total from investment operations		1.01			(0.03	)		0.86			0.64			(0.02	)		0.77
Less Dividends and Distributions:		—			—			—			—			—			(0.12	)
Capital Contributions		—			0.01	(b)		—			—	(c)(d)		—			—
Net Asset Value, end of period	$	14.13		$	13.12		$	13.14		$	12.28		$	11.64		$	11.66
Total Return(e)		7.70	%		(0.15	)%(k)		7.00	%		5.50	%(f)		(0.17	)%		7.09	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,168		$	1,123		$	1,145		$	1,105		$	1,085		$	1,068
Average net assets (in millions)	$	1,146		$	1,132		$	1,123		$	1,121		$	1,074		$	1,089
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Expenses before waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Net investment income (loss)		3.60	%(i)		3.44	%		3.28	%		3.52	%		3.48	%		3.73	%
Portfolio turnover rate(j)		20	%		51	%		71	%		49	%		81	%		50	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(unaudited)

	Equity Portfolio
	Class I
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	49.02		$	51.52		$	40.96		$	39.47		$	38.56		$	35.81
Income (Loss) From Investment Operations:
Net investment income (loss)		0.36			0.53			0.41			0.38			0.34			0.19
Net realized and unrealized gain (loss) on investment and foreign currency transactions		8.67			(3.07	)		10.15			1.07			0.57			2.56
Total from investment operations		9.03			(2.54	)		10.56			1.45			0.91			2.75
Capital Contributions		—	(b)(c)		0.04	(b)		—			0.04	(d)		—			—
Net Asset Value, end of period	$	58.05		$	49.02		$	51.52		$	40.96		$	39.47		$	38.56
Total Return(e)		18.42	%(f)		(4.85	)%(g)		25.78	%		3.78	%(h)		2.36	%		7.68	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,481		$	3,920		$	4,416		$	3,742		$	3,846		$	4,018
Average net assets (in millions)	$	4,347		$	4,497		$	4,099		$	3,615		$	3,959		$	3,977
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.47	%(j)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%(j)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		1.30	%(j)		0.98	%		0.89	%		1.01	%		0.86	%		0.52	%
Portfolio turnover rate(k)		22	%		37	%		55	%		39	%		37	%		51	%
	Equity Portfolio
	Class II
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	48.37		$	51.04		$	40.74		$	39.42		$	38.66		$	36.05
Income (Loss) From Investment Operations:
Net investment income (loss)		0.24			0.32			0.23			0.23			0.18			0.04
Net realized and unrealized gain (loss) on investment and foreign currency transactions		8.55			(3.03	)		10.07			1.05			0.58			2.57
Total from investment operations		8.79			(2.71	)		10.30			1.28			0.76			2.61
Capital Contributions		—	(b)(c)		0.04	(b)		—			0.04	(d)		—			—
Net Asset Value, end of period	$	57.16		$	48.37		$	51.04		$	40.74		$	39.42		$	38.66
Total Return(e)		18.19	%(f)		(5.23	)%(g)		25.28	%		3.35	%(h)		1.97	%		7.24	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2		$	2		$	2		$	2		$	2		$	2
Average net assets (in millions)	$	2		$	2		$	2		$	2		$	2		$	2
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.87	%(j)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%(j)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.90	%(j)		0.59	%		0.50	%		0.61	%		0.46	%		0.11	%
Portfolio turnover rate(k)		22	%		37	%		55	%		39	%		37	%		51	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.93)% and (5.31)% for Class I and Class II, respectively.

(h) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

(i) Does not include expenses of the underlying funds in which the Portfolio invests.

(j) Annualized.

(k) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(unaudited)

	Flexible Managed Portfolio
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	28.63		$	29.88		$	25.99		$	23.95		$	23.71		$	21.35
Income (Loss) From Investment Operations:
Net investment income (loss)		0.32			0.53			0.45			0.44			0.42			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		3.18			(1.78	)		3.44			1.58			(0.18	)		1.99
Total from investment operations		3.50			(1.25	)		3.89			2.02			0.24			2.36
Capital Contributions		—	(b)(c)		—	(b)(c)		—			0.02	(d)		—			—
Net Asset Value, end of period	$	32.13		$	28.63		$	29.88		$	25.99		$	23.95		$	23.71
Total Return(e)		12.19	%(f)		(4.18	)%(f)		14.97	%		8.52	%(g)		1.01	%		11.05	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,168		$	3,834		$	4,230		$	3,890		$	3,769		$	3,944
Average net assets (in millions)	$	4,065		$	4,157		$	4,043		$	3,799		$	3,878		$	3,834
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.63	%(i)		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.63	%(i)		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Net investment income (loss)		2.07	%(i)		1.75	%		1.62	%		1.78	%		1.74	%		1.66	%
Portfolio turnover rate(j)(k)		64	%		139	%		175	%		203	%		213	%		161	%
	Global Portfolio
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	31.83		$	34.33		$	27.50		$	26.33		$	25.72		$	24.91
Income (Loss) From Investment Operations:
Net investment income (loss)		0.32			0.47			0.42			0.34			0.34			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		5.64			(2.99	)		6.41			0.81			0.27			0.44
Total from investment operations		5.96			(2.52	)		6.83			1.15			0.61			0.81
Capital Contributions		—	(b)(c)		0.02	(b)		—			0.02	(d)		—			—
Net Asset Value, end of period	$	37.79		$	31.83		$	34.33		$	27.50		$	26.33		$	25.72
Total Return(e)		18.79	%(f)		(7.28	)%(l)		24.84	%		4.44	%(m)		2.37	%		3.25	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,177		$	1,007		$	1,133		$	955		$	965		$	719
Average net assets (in millions)	$	1,122		$	1,140		$	1,052		$	942		$	813		$	744
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.77	%(i)		0.77	%		0.79	%		0.80	%		0.81	%		0.81	%
Expenses before waivers and/or expense reimbursement		0.80	%(i)		0.80	%		0.81	%		0.81	%		0.82	%		0.82	%
Net investment income (loss)		1.83	%(i)		1.33	%		1.34	%		1.29	%		1.28	%		1.45	%
Portfolio turnover rate(j)		14	%		28	%		33	%		40	%		33	%		37	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(l) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%.

(m) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(unaudited)

	Government Income Portfolio
	Six Months Ended June 30, 2019(a)			Year Ended December 31,
				2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.70		$	12.62		$	12.26		$	12.00		$	11.92		$	11.30
Income (Loss) From Investment Operations:
Net investment income (loss)		0.16			0.28			0.23			0.20			0.18			0.21
Net realized and unrealized gain (loss) on investment transactions		0.47			(0.20	)		0.13			0.06			(0.10	)		0.45
Total from investment operations		0.63			0.08			0.36			0.26			0.08			0.66
Less Dividends and Distributions:		—			—			—			—			—			(0.04	)
Capital Contributions		—			—	(b)(c)		—			—	(c)(d)		—			—
Net Asset Value, end of period	$	13.33		$	12.70		$	12.62		$	12.26		$	12.00		$	11.92
Total Return(e)		4.96	%		0.63	%(f)		2.94	%		2.17	%(f)		0.67	%		5.86	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	244		$	221		$	244		$	226		$	232		$	339
Average net assets (in millions)	$	227		$	231		$	252		$	236		$	325		$	341
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.52	%(h)		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.52	%(h)		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Net investment income (loss)		2.46	%(h)		2.28	%		1.84	%		1.60	%		1.48	%		1.73	%
Portfolio turnover rate(i)(j)		147	%		284	%		495	%		705	%		746	%		830	%
	Government Money Market Portfolio
	Six Months Ended June 30, 2019(a)			Year Ended December 31,
				2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.10			0.15			0.06			0.01			—	(c)		—	(c)
Less Dividends and Distributions:		(0.10	)		(0.15	)		(0.06	)		(0.01	)		—	(c)		—	(c)
Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(e)		1.04	%		1.53	%		0.56	%		0.10	%		—	%(k)		—	%(k)
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	555		$	536		$	560		$	724		$	651		$	824
Average net assets (in millions)	$	543		$	560		$	665		$	717		$	725		$	846
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.35	%(h)		0.35	%		0.35	%		0.35	%		0.19	%		0.16	%
Expenses before waivers and/or expense reimbursement		0.35	%(h)		0.35	%		0.35	%		0.35	%		0.44	%		0.44	%
Net investment income (loss)		2.11	%(h)		1.52	%		0.55	%		0.09	%		—	%(k)		—	%(k)

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Does not include expenses of the underlying funds in which the Portfolio invests.

(h) Annualized.

(i) The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(unaudited)

	Stock Index Portfolio
	Six Months Ended June 30, 2019			Year Ended December 31,
				2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	56.64		$	59.38		$	50.70		$	48.59		$	49.33		$	47.02
Income (Loss) From Investment Operations:
Net investment income (loss)		0.54			1.00			0.92			0.89			0.86			0.79
Net realized and unrealized gain (loss) on investment transactions		9.83			(3.74	)		9.75			4.52			(0.26	)		5.20
Total from investment operations		10.37			(2.74	)		10.67			5.41			0.60			5.99
Less Dividends and Distributions:		—			—			(1.99	)		(3.37	)		(1.34	)		(3.68	)
Capital Contributions		—			—			—			0.07	(d)		—			—
Net Asset Value, end of period	$	67.01		$	56.64		$	59.38		$	50.70		$	48.59		$	49.33
Total Return(e)		18.31	%		(4.61	)%		21.46	%		11.83	%(k)		1.18	%		13.31	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,339		$	3,672		$	3,928		$	3,305		$	3,010		$	3,313
Average net assets (in millions)	$	4,140		$	4,051		$	3,630		$	3,122		$	3,299		$	3,076
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.31	%(i)		0.31	%		0.32	%		0.32	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%(i)		0.31	%		0.32	%		0.34	%		0.37	%		0.37	%
Net investment income (loss)		1.72	%(i)		1.63	%		1.69	%		1.84	%		1.74	%		1.67	%
Portfolio turnover rate(j)		1	%		4	%		4	%		5	%		9	%		5	%

(a) Calculated based on average shares outstanding during the period.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

The Prudential Variable Contract Account - 10

Approval of Advisory Agreements

TheVCA-10 Committee

The Committee of the Prudential Variable ContractAccount-10(“VCA-10”) (the “Committee”) consists of six individuals, none of whom are “interested persons” ofVCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight ofVCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established four standing committees: the Audit Committee, the Nominating and Governance Committee, and two Investment Committees. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval ofVCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renewVCA-10’s management agreement with PGIM Investments LLC (“PGIM Investments”) andVCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on May 30, 2019 and onJune 11-13, 2019 and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests ofVCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PGIM Investments and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PGIM Investments and the subadviser, the performance ofVCA-10, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared withVCA-10 and its investors asVCA-10’s assets grow. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect toVCA-10. In connection with its deliberations, the Committee considered information provided by PGIM Investments throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on May 30, 2019 and on June11-13, 2019

The Committee determined that the overall arrangements betweenVCA-10 and PGIM Investments, which serves asVCA-10’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison, which serves asVCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests ofVCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, Quality and Extent of Services

The Committee received and considered information regarding the nature, quality and extent of services provided toVCA-10 by PGIM Investments and Jennison. The Committee noted that Jennison is affiliated with PGIM Investments. The Committee considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser forVCA-10, as well as the provision of recordkeeping, compliance, and other services toVCA-10, and PGIM Investments’ role as administrator ofVCA-10’s liquidity risk management program. With respect to PGIM Investments’ oversight of the subadviser, the Committee noted that PGIM Investments’ Strategic Investment Research Group (“SIRG”), which is a business unit of PGIM Investments, is responsible for monitoring and reporting to PGIM Investments’ senior management on the performance and operations of the subadviser. The Committee also considered that PGIM Investments pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence toVCA-10’s investment restrictions and compliance with

applicableVCA-10 policies and procedures. The Committee considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight ofVCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for theday-to-day management ofVCA-10’s portfolio. The Committee was provided with information pertaining to PGIM Investments’ and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PGIM Investments and Jennison. The Committee also noted that it received favorable compliance reports fromVCA-10’s Chief Compliance Officer (“CCO”) as to both PGIM Investments and Jennison.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided toVCA-10 by Jennison, and that there was a reasonable basis on which to conclude thatVCA-10 benefits from the services provided by PGIM Investments and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Committee was provided with information on the profitability of PGIM Investments and its affiliates in serving asVCA-10’s investment manager. The Committee discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Committee received and discussed information concerning economies of scale that PGIM Investments may realize asVCA-10’s assets grow beyond current levels. During the course of time, the Committee has considered information regarding the launch date ofVCA-10, the management fees ofVCA-10 compared to those of similarly managed funds and PGIM Investments’ investment inVCA-10 over time. The Committee noted that, whileVCA-10 does not have breakpoints in its management fees, economies of scale can be shared withVCA-10 in other ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PGIM Investments’ assertion that it continually evaluates the management fee schedule ofVCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PGIM Investments and Jennison

The Committee considered potential ancillary benefits that might be received by PGIM Investments and Jennison and their affiliates as a result of their relationship withVCA-10. The Committee concluded that potential benefits to be derived by PGIM Investments included benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association withVCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PGIM Investments and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance ofVCA-10 / Fees and Expenses

The Committee considered certain additional factors and made related conclusions relating to the historical performance ofVCA-10 for theone-, three-, five- andten-year periods ended December 31, 2018. The Committee also consideredVCA-10’s actual management fee, as well asVCA-10’s net total expense ratio, for the fiscal year ended December 31, 2018. The Committee considered the management fee forVCA-10 as compared to the management fee charged by PGIM Investments to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid byVCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio forVCA-10 represents the actual expense ratio incurred byVCA-10 investors.

The mutual funds included in the Peer Universe, which was used to consider performance, and the Peer Group, which was used to consider fees and expenses, were objectively determined by Broadridge, an independent provider of mutual fund data. In certain circumstances PGIM Investments also provided supplemental Peer Universe of Peer Group information for reasons addressed with the Committee. The comparisons placedVCA-10 in various quartiles over various periods, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regardingVCA-10’s performance, fees and overall expenses. The table sets forth net performance comparisons (which reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

Net Performance	1 Year	3 Years	5 Years	10 Years
	4th Quartile	4th Quartile	4th Quartile	4th Quartile
Actual Management Fees:1st Quartile
Net Total Expenses: 4th Quartile

• The Committee noted thatVCA-10 underperformed its benchmark index over all periods.

• The Board considered PGIM Investments’ assertion thatVCA-10’s underperformance was primarily attributable to underperformance during the second half of 2018, when investors moved into defensive stocks not held byVCA-10. The Board also considered that, as of March 31, 2019,VCA-10 outperformed its Peer Universe over the trailing three-month and three-year periods.

• The Board also considered that, when it evaluated performance in the prior year, as of December 31, 2017, whenVCA-10’s investment style was more favored in the market,VCA-10 outperformed its benchmark index and ranked in the first quartile of its Peer Universe for theone-year period.

• The Board considered PGIM Investments’ explanation thatVCA-10’s fourth quartile ranking for net total expenses was attributable to the fact that, because it was organized as a managed separate account,VCA-10 charged both an administrative fee as well as a management fee, while the other funds included in the Peer Group were organized asopen-end mutual funds which charged only a management fee, with the administrative fee charged at the product level. In this regard, the Board noted PGIM Investments’ assertion that ifVCA-10’s administrative fee was excluded,VCA-10 would have ranked in the first quartile of its peer group for net total expenses.

• The Committee concluded that, in light of the above, it would be in the best interests ofVCA-10 and its investors to renew the agreements.

• The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

*    *    *

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests ofVCA-10 and its investors.

The Prudential Series Fund

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.

The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.

The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., Jennison Associates LLC (Jennison) and QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolios’ liquidity risk management program. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the

officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for theday-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced.

Other Benefits to PGIM Investments and the Subadvisers

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolios for theone-, three-, five- andten-year periods ended December 31, 2018, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles over various periods, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.

The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.

Conservative Balanced Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	2nd Quartile
Actual Management Fees:3rd Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Diversified Bond Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Equity Portfolio
Net Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	3rd Quartile	4th Quartile	4th Quartile
Actual Management Fees:1st Quartile
Gross Total Expenses:1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over theone-year period, though it underperformed over the three-, five- andten-year periods.

• The Board noted that the Portfolio outperformed its Peer Universe and benchmark index in each of the last two calendar years.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Flexible Managed Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:3rd Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the three-, five- andten-year periods, though it underperformed its benchmark index over theone-year period.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Global Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:*
Net Total Expenses: *

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board noted that the Manager had contractually agreed to waive 0.032% of its management fee through June 30, 2020.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

* Note: Quartiles for Actual Management Fees and Net Total Expenses are unavailable because the peer group consists of four funds.

Government Income Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Money Market Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	2nd Quartile	2nd Quartile	2nd Quartile
Actual Management Fees:1st Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the1-day yield for the Portfolio does not fall below 0.00%.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Stock Index Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:4th Quartile
Net Total Expenses:4th Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) atwww.sec.gov and onVCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters onForm N-PORT. Form N-PORT will be available on the Commission’s website atwww.sec.gov or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

Presorted

Standard

U.S. Postage

PAID

Prudential

^©2019 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

MD.RS.011

Item 2 –	Code of Ethics – Not required, as this is not an annual filing.
Item 3 –	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 –	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 –	Audit Committee of Listed Registrants – Not applicable.
Item 6 –	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies – Not applicable.
Item 8 –	Portfolio Managers ofClosed-End Management Investment Companies – Not applicable.
Item 9 –	Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 –	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 –	Controls and Procedures
(a)  It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b)  There has been no significant change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –	Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.
Item 13 –	Exhibits
(a)  (1) Code of Ethics – Not required, as this is not an annual filing.
(2)  Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto asExhibit EX-99.CERT.
(3)  Any written solicitation to purchase securities under Rule23c-1. – Not applicable.
(b)  Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto asExhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:	The Prudential Variable Contract Account-10
By:	/s/ Andrew R. French
	Andrew R. French
	Secretary
Date:	August 28, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	August 28, 2019
By:	/s/ Christian J. Kelly
	Christian J. Kelly
	Treasurer and Principal Financial and Accounting Officer
Date:	August 28, 2019