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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03421
Exact name of registrant as specified in charter:	The Prudential Variable Contract Account - 10
Address of principal executive offices:	655 Broad Street, 17th Floor Newark, New Jersey 07102
Name and address of agent for service:	Andrew R. French 655 Broad Street, 17th Floor Newark, New Jersey 07102
Registrant’s telephone number, including area code:	800-225-1852
Date of fiscal year end:	12/31/2020
Date of reporting period:	6/30/2020

Item 1 – Reports to Stockholders

The MEDLEY Program

SEMIANNUAL REPORT June 30, 2020

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

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

The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.

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

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on VCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-PORT. Form N-PORT will be available on the Commission’s website at www.sec.gov or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.

The Prudential MEDLEY Program   Table of Contents Semiannual Report June 30, 2020

∎ LETTER TO PARTICIPANTS

∎ PRESENTATION OF PORTFOLIO HOLDINGS

∎ VCA-10

Financial Statements

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

Glossary	A1
Conservative Balanced Portfolio	A2
Diversified Bond Portfolio	A38
Equity Portfolio	A68
Flexible Managed Portfolio	A73
Global Portfolio	A107
Government Income Portfolio	A116
Government Money Market Portfolio	A126
Stock Index Portfolio	A130

∎ APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program Letter to Participants June 30, 2020

∎ DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This MEDLEY Program semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.

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

Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.

We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

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

July 31, 2020

The Prudential Variable Contract Account-10 (VCA-10)   Presentation of Portfolio Holdings — unaudited June 30, 2020

VCA-10
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	3.9%
Apple, Inc.	Technology Hardware, Storage & Peripherals	3.8%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	3.1%
AstraZeneca PLC, ADR	Pharmaceuticals	2.9%
Amazon.com, Inc.	Internet & Direct Marketing Retail	2.7%
JPMorgan Chase & Co.	Banks	2.4%
Tesla, Inc.	Automobiles	2.1%
Adobe, Inc.	Software	1.9%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.8%
Linde PLC	Chemicals	1.7%

For a complete listing of holdings, refer to the Statement of Net Assets section of this report. Holdings reflect only long-term investments.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2020

LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 1.8%
Northrop Grumman Corp.		4,025	$	1,237,446
Raytheon Technologies Corp.		20,589		1,268,694
				2,506,140
Automobiles — 2.9%
General Motors Co.		45,938		1,162,232
Tesla, Inc.*		2,747		2,966,238
				4,128,470
Banks — 7.4%
Bank of America Corp.		72,981		1,733,299
Citigroup, Inc.		40,015		2,044,766
JPMorgan Chase & Co.		36,880		3,468,933
PNC Financial Services Group, Inc. (The)		12,865		1,353,527
Truist Financial Corp.		41,933		1,574,584
Wells Fargo & Co.		15,080		386,048
				10,561,157
Beverages — 1.1%
PepsiCo, Inc.		11,827		1,564,239
Biotechnology — 0.9%
AbbVie, Inc.		12,700		1,246,886
Building Products — 1.2%
Johnson Controls International PLC		48,936		1,670,675
Capital Markets — 1.3%
Goldman Sachs Group, Inc. (The)		9,539		1,885,097
Chemicals — 3.9%
Dow, Inc.		35,211		1,435,200
FMC Corp.		16,356		1,629,385
Linde PLC (United Kingdom)		11,661		2,473,415
				5,538,000
Communications Equipment — 0.7%
Cisco Systems, Inc.		20,985		978,740
Consumer Finance — 1.4%
Capital One Financial Corp.		17,762		1,111,724
SLM Corp.		120,914		850,025
				1,961,749
Containers & Packaging — 0.7%
Crown Holdings, Inc.*		14,486		943,473
Diversified Telecommunication Services — 2.4%
AT&T, Inc.		44,791		1,354,032
Verizon Communications, Inc.		38,458		2,120,190
				3,474,222
Electric Utilities — 1.2%
American Electric Power Co., Inc.		21,379		1,702,624
Electrical Equipment — 0.8%
Emerson Electric Co.		18,627		1,155,433
Entertainment — 2.7%
Netflix, Inc.*		5,314		2,418,083
Walt Disney Co. (The)		12,881		1,436,360
				3,854,443

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) — 2.1%
Alexandria Real Estate Equities, Inc.		4,775	$	774,744
American Campus Communities, Inc.		25,241		882,425
American Tower Corp.		5,013		1,296,061
				2,953,230
Food & Staples Retailing — 1.5%
Walmart, Inc.		17,896		2,143,583
Food Products — 1.1%
Mondelez International, Inc. (Class A Stock)		31,299		1,600,318
Health Care Equipment & Supplies — 1.0%
Zimmer Biomet Holdings, Inc.		11,438		1,365,240
Health Care Providers & Services — 2.0%
Cigna Corp.		7,033		1,319,742
Laboratory Corp. of America Holdings*		9,478		1,574,391
				2,894,133
Health Care Technology — 0.8%
Teladoc Health, Inc.*		5,726		1,092,750
Hotels, Restaurants & Leisure — 0.8%
McDonald’s Corp.		6,244		1,151,831
Household Durables — 0.9%
DR Horton, Inc.		23,837		1,321,762
Household Products — 1.8%
Procter & Gamble Co. (The)		12,011		1,436,155
Reckitt Benckiser Group PLC (United Kingdom)		11,951		1,097,458
				2,533,613
Insurance — 3.6%
Chubb Ltd. (Switzerland)		16,238		2,056,055
Marsh & McLennan Cos., Inc.		9,016		968,048
MetLife, Inc.		38,486		1,405,509
RenaissanceRe Holdings. Ltd. (Bermuda)		4,174		713,879
				5,143,491
Interactive Media & Services — 6.3%
Alphabet, Inc. (Class A Stock)*		3,122		4,427,152
Facebook, Inc. (Class A Stock)*		11,026		2,503,674
Tencent Holdings Ltd. (China), ADR		31,476		2,014,464
				8,945,290
Internet & Direct Marketing Retail — 3.4%
Alibaba Group Holding Ltd. (China), ADR*		4,324		932,687
Amazon.com, Inc.*		1,388		3,829,242
				4,761,929
IT Services — 6.0%
Adyen NV (Netherlands), 144A*		1,531		2,229,969
Mastercard, Inc. (Class A Stock)		6,269		1,853,743
PayPal Holdings, Inc.*		13,033		2,270,740
Shopify, Inc. (Canada) (Class A Stock)*		2,345		2,225,874
				8,580,326

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2020

COMMON STOCKS (continued)	Shares		Value
Machinery — 0.8%
Otis Worldwide Corp.		20,254	$	1,151,642
Media — 0.7%
Comcast Corp. (Class A Stock)		23,986		934,974
Multi-Utilities — 2.3%
Ameren Corp.		21,890		1,540,180
Dominion Energy, Inc.		21,678		1,759,820
				3,300,000
Oil, Gas & Consumable Fuels — 3.7%
Chevron Corp.		26,808		2,392,078
ConocoPhillips		26,428		1,110,504
Suncor Energy, Inc. (Canada)		46,995		792,336
Williams Cos., Inc. (The)		51,288		975,498
				5,270,416
Pharmaceuticals — 5.2%
AstraZeneca PLC (United Kingdom), ADR		76,532		4,047,778
Bristol-Myers Squibb Co.		27,710		1,629,348
Eli Lilly & Co.		10,558		1,733,412
				7,410,538
Road & Rail — 2.5%
Uber Technologies*		42,940		1,334,575
Union Pacific Corp.		13,044		2,205,349
				3,539,924
Semiconductors & Semiconductor Equipment — 4.8%
Broadcom, Inc.		5,528		1,744,692
NVIDIA Corp.		6,154		2,337,966
QUALCOMM, Inc.		14,018		1,278,582
Texas Instruments, Inc.		11,361		1,442,506
				6,803,746
Software — 7.9%
Adobe, Inc.*		6,165		2,683,686
Microsoft Corp.		27,263		5,548,293
salesforce.com, Inc.*		9,952		1,864,308
SAP SE (Germany), ADR		8,230		1,152,200
				11,248,487
Specialty Retail — 2.5%
Advance Auto Parts, Inc.		5,581		795,013
Lowe’s Cos., Inc.		12,963		1,751,561
Ross Stores, Inc.		12,184		1,038,564
				3,585,138
Technology Hardware, Storage & Peripherals — 3.8%
Apple, Inc.		14,804		5,400,499
Textiles,Apparel & Luxury Goods — 1.7%
Lululemon Athletica, Inc. (Canada)*		7,520		2,346,315
Trading Companies & Distributors — 0.9%
United Rentals, Inc.*		8,903		1,326,903
TOTAL COMMON STOCKS (cost $96,060,958)				139,977,426

	Shares		Value
SHORT-TERM INVESTMENT — 1.3%
AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund (cost $1,836,179)(a)		1,836,179	$	1,836,179
TOTAL INVESTMENTS — 99.8% (cost $97,897,137)				141,813,605
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%
Receivable for Securities Sold				829,914
Dividends and Interests Receivable				61,724
Tax Reclaim Receivable				9,611
Payable for Pending Capital Transactions				(4,836	)
Payable for Securities Purchased				(669,943	)
OTHER ASSETS IN EXCESS OF LIABILITIES				226,470
NET ASSETS — 100.0%			$	142,040,075
NET ASSETS, representing:
Equity of Participants			$	142,040,091
Equity of The Prudential Insurance Company of America				(16	)
			$	142,040,075

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

* Non-income producing security.

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2020

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments In Securities
Assets
Common Stocks
Aerospace & Defense	$	2,506,140	$	—	$	—
Automobiles		4,128,470		—		—
Banks		10,561,157		—		—
Beverages		1,564,239		—		—
Biotechnology		1,246,886		—		—
Building Products		1,670,675		—		—
Capital Markets		1,885,097		—		—
Chemicals		5,538,000		—		—
Communications Equipment		978,740		—		—
Consumer Finance		1,961,749		—		—
Containers & Packaging		943,473		—		—
Diversified Telecommunication Services		3,474,222		—		—
Electric Utilities		1,702,624		—		—
Electrical Equipment		1,155,433		—		—
Entertainment		3,854,443		—		—
Equity Real Estate Investment Trusts (REITs)		2,953,230		—		—
Food & Staples Retailing		2,143,583		—		—
Food Products		1,600,318		—		—
Health Care Equipment & Supplies		1,365,240		—		—
Health Care Providers & Services		2,894,133		—		—
Health Care Technology		1,092,750		—		—
Hotels, Restaurants & Leisure		1,151,831		—		—
Household Durables		1,321,762		—		—
Household Products		2,533,613		—		—
Insurance		5,143,491		—		—
Interactive Media & Services		8,945,290		—		—
Internet & Direct Marketing Retail		4,761,929		—		—
IT Services		6,350,357		2,229,969		—
Machinery		1,151,642		—		—
Media		934,974		—		—
Multi-Utilities		3,300,000		—		—
Oil, Gas & Consumable Fuels		5,270,416		—		—
Pharmaceuticals		7,410,538		—		—
Road & Rail		3,539,924		—		—
Semiconductors & Semiconductor Equipment		6,803,746		—		—
Software		11,248,487		—		—
Specialty Retail		3,585,138		—		—
Technology Hardware, Storage & Peripherals		5,400,499		—		—
Textiles, Apparel & Luxury Goods		2,346,315		—		—
Trading Companies & Distributors		1,326,903		—		—
Affiliated Mutual Fund		1,836,179		—		—
Total	$	139,583,636	$	2,229,969	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2020

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:

Software	7.9	%
Banks	7.4
Interactive Media & Services	6.3
IT Services	6.0
Pharmaceuticals	5.2
Semiconductors & Semiconductor Equipment	4.8
Chemicals	3.9
Technology Hardware, Storage & Peripherals	3.8
Oil, Gas & Consumable Fuels	3.7
Insurance	3.6
Internet & Direct Marketing Retail	3.4
Automobiles	2.9
Entertainment	2.7
Specialty Retail	2.5
Road & Rail	2.5
Diversified Telecommunication Services	2.4
Multi-Utilities	2.3
Equity Real Estate Investment Trusts (REITs)	2.1
Health Care Providers & Services	2.0
Household Products	1.8
Aerospace & Defense	1.8
Textiles, Apparel & Luxury Goods	1.7
Food & Staples Retailing	1.5

Consumer Finance	1.4	%
Capital Markets	1.3
Affiliated Mutual Fund	1.3
Electric Utilities	1.2
Building Products	1.2
Food Products	1.1
Beverages	1.1
Health Care Equipment & Supplies	1.0
Trading Companies & Distributors	0.9
Household Durables	0.9
Biotechnology	0.9
Electrical Equipment	0.8
Hotels, Restaurants & Leisure	0.8
Machinery	0.8
Health Care Technology	0.8
Communications Equipment	0.7
Containers & Packaging	0.7
Media	0.7
	99.8
Other assets in excess of liabilities	0.2
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2020

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $7,230 foreign withholding tax)	$	1,446,107
Affiliated Dividend Income		23,634
Total Income		1,469,741
EXPENSES
Fees Charged to Participants for Investment Management Services		(176,740	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(472,730	)
0.50% Contract		(5,164	)
0.45% Contract		(9,005	)
Total Expenses		(663,639	)
NET INVESTMENT INCOME		806,102
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		(489,518	)
Foreign Currency Transactions		2,861
		(486,657	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(10,057,500	)
Foreign Currencies		44
		(10,057,456	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(10,544,113	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(9,738,011	)

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
OPERATIONS
Net Investment Income	$	806,102		$	1,594,290
Net Realized Gain (Loss) on Investment and Foreign Currency Transactions		(486,657	)		13,739,644
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies		(10,057,456	)		20,621,491
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(9,738,011	)		35,955,425
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		773,042			851,274
Withdrawals and Transfers Out		(8,370,773	)		(16,770,545	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(7,597,731	)		(15,919,271	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(2,342	)		31,493
TOTAL INCREASE (DECREASE) IN NET ASSETS		(17,338,084	)		20,067,647
NET ASSETS
Beginning of period		159,378,159			139,310,512
End of period	$	142,040,075		$	159,378,159

Accumulation Unit Values and Equity of Participants as of June 30, 2020

Standard Contract:
Accumulation Unit Value and Equity of Participants, $ 128,594,181/ 6,007,941 Accumulation Units	$	21.4040
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $ 4,292,547/ 177,924 Accumulation Units	$	24.1257
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $ 9,153,363/ 377,628 Accumulation Units	$	24.2391

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, 2020									Year Ended December 31, 2019
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2167		$	0.2436		$	0.2448		$	0.4116		$	0.4617		$	0.4633
Expenses
Investment management fee		(0.0259	)		(0.0291	)		(0.0293	)		(0.0516	)		(0.0579	)		(0.0581	)
Administrative expenses		(0.0774	)		(0.0291	)		(0.0234	)		(0.1544	)		(0.0579	)		(0.0465	)
Net Investment Income		0.1134			0.1854			0.1921			0.2056			0.3459			0.3587
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.4874	)		(1.6708	)		(1.6781	)		4.6253			5.1859			5.2076
Net Increase (Decrease) in Accumulation Unit Value		(1.3740	)		(1.4854	)		(1.4860	)		4.8309			5.5318			5.5663
Accumulation Unit Value
Beginning of period		22.7780			25.6111			25.7251			17.9471			20.0793			20.1588
End of period	$	21.4040		$	24.1257		$	24.2391		$	22.7780		$	25.6111		$	25.7251
Total Return**		(6.03	)%		(5.80	)%		(5.78	)%		26.89	%		27.52	%		27.58	%
Ratio of Expenses To Average Net Assets***		1.00	%†		0.50	%†		0.45	%†		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		1.09	%†		1.59	%†		1.64	%†		1.00	%		1.50	%		1.55	%
Portfolio Turnover Rate		33	%††		33	%††		33	%††		48	%		48	%		48	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		6,008			178			378			6,347			179			398

* Calculated by accumulating the actual per unit amounts daily.

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

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

† 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, 2018									Year Ended December 31, 2017
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.3666		$	0.4087		$	0.4102		$	0.2909		$	0.3229		$	0.3239
Expenses
Investment management fee		(0.0500	)		(0.0558	)		(0.0560	)		(0.0440	)		(0.0489	)		(0.0491	)
Administrative expenses		(0.1497	)		(0.0558	)		(0.0448	)		(0.1318	)		(0.0489	)		(0.0392	)
Net Investment Income		0.1669			0.2971			0.3094			0.1151			0.2251			0.2356
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.7016	)		(1.9064	)		(1.9142	)		3.4389			3.8193			3.8316
Net Increase (Decrease) in Accumulation Unit Value		(1.5347	)		(1.6093	)		(1.6048	)		3.5540			4.0444			4.0672
Accumulation Unit Value
Beginning of year		19.4818			21.6886			21.7635			15.9278			17.6442			17.6963
End of year	$	17.9471		$	20.0793		$	20.1588		$	19.4818		$	21.6886		$	21.7635
Total Return**		(7.88	)%		(7.42	)%		(7.37	)%		22.31	%		22.92	%		22.98	%
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***		0.84	%		1.34	%		1.39	%		0.65	%		1.15	%		1.20	%
Portfolio Turnover Rate		36	%		36	%		36	%		49	%		49	%		49	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		7,081			181			427			7,755			190			474

* 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, 2016									Year Ended December 31, 2015
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2736		$	0.3019		$	0.3027		$	0.2397		$	0.2631		$	0.2637
Expenses
Investment management fee		(0.0369	)		(0.0407	)		(0.0408	)		(0.0384	)		(0.0422	)		(0.0423	)
Administrative expenses		(0.1103	)		(0.0407	)		(0.0327	)		(0.1149	)		(0.0422	)		(0.0339	)
Net Investment Income		0.1264			0.2205			0.2292			0.0864			0.1787			0.1875
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.8068			0.8955			0.8983			(0.3479	)		(0.3837	)		(0.3847	)
Net Increase (Decrease) in Accumulation Unit Value		0.9332			1.1160			1.1275			(0.2615	)		(0.2050	)		(0.1972	)
Accumulation Unit Value
Beginning of year		14.9946			16.5282			16.5688			15.2561			16.7332			16.7660
End of year	$	15.9278		$	17.6442		$	17.6963		$	14.9946		$	16.5282		$	16.5688
Total Return**		6.22	%		6.75	%		6.80	%		(1.71	)%		(1.23	)%		(1.18	)%
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***		0.85	%		1.34	%		1.39	%		0.57	%		1.06	%		1.11	%
Portfolio Turnover Rate		42	%		42	%		42	%		47	%		47	%		47	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		8,606			212			522			9,595			219			609

* 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 (“Contractholders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital.

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

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. 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 ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an

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

Investments in open-end, 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 Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

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.

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, 2020, no such transactions were entered into by the Account.

During the six months ended June 30, 2020, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and

managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated Dividend Income”.

Note 5: Portfolio Securities

For the six months ended June 30, 2020, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $45,170,275 and $51,729,214, 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, 2020, is presented as follows:

Value, Beginning of Period	Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain(Loss)		Realized Gain(Loss)		Value, End of Period		Shares, End of Period		Income
PGIM Core Ultra Short Bond Fund*
$2,330,053	$	21,637,190	$	22,131,064	$	—	$	—	$	1,836,179		1,836,179	$	23,634

* 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, 2020 and the year ended December 31, 2019, respectively, are as follows:

Standard Contracts	Units			Amount
Six months ended June 30, 2020:
Account units issued		38,774		$	773,042
Account units redeemed		(378,103	)		(7,909,647	)
Net increase (decrease) in units outstanding		(339,329	)	$	(7,136,605	)
Year ended December 31, 2019:
Account units issued		40,120		$	830,102
Account units redeemed		(774,161	)		(16,004,104	)
Net increase (decrease) in units outstanding		(734,041	)	$	(15,174,002	)
0.50% Contracts	Units			Amount
Six months ended June 30, 2020:
Account units issued		—		$	—
Account units redeemed		(668	)		(15,943	)
Net increase (decrease) in units outstanding		(668	)	$	(15,943	)
Year ended December 31, 2019:
Account units issued		1,004		$	21,172
Account units redeemed		(3,754	)		(84,307	)
Net increase (decrease) in units outstanding		(2,750	)	$	(63,135	)
0.45% Contracts	Units			Amount
Six months ended June 30, 2020:
Account units issued		—		$	—
Account units redeemed		(19,887	)		(445,183	)
Net increase (decrease) in units outstanding		(19,887	)	$	(445,183	)
Year ended December 31, 2019:
Account units issued		—		$	—
Account units redeemed		(29,387	)		(682,134	)
Net increase (decrease) in units outstanding		(29,387	)	$	(682,134	)

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, 2020, $41,133 in participant loans were withdrawn from VCA-10 and $40,724 of principal and interest was repaid to VCA-10. For the year ended December 31, 2019, $114,485 in participant loans were withdrawn from VCA-10 and $54,004 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2020, PICA has advised the Account that it received $352 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers within the Statement of Changes in Net Assets.

Note 9: Risks of Investing in the Account

The Account’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Account’s risk, please refer to the Account’s Prospectus and Statement of Additional Information.

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

Foreign Market Disruption and Geopolitical Risks:    International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014 -2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets and may cause further long-term economic uncertainties in the United States and worldwide generally.

Foreign Securities Risk:    The 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.

ACCOUNT LIQUIDITY RISK MANAGEMENT PROGRAM

(Unaudited)

Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Account has adopted and implemented a liquidity risk management program (the “LRMP”). The Account’s LRMP seeks to assess and manage the Account’s liquidity risk, which is defined as the risk that the Account is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Account. The Account’s Committee Members (the “Committee”) has approved PGIM Investments LLC (“PGIM Investments”), the Account’s investment manager, to serve as the administrator of the Account’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.

The Account’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Account’s LRMP includes no less than annual assessments of factors that influence the Account’s liquidity risk; no less than monthly classifications of the Account’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Account’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Account does not invest primarily in highly liquid investments; and regular reporting to the Account’s Committee.

At a meeting of the Committee on March 3-5, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Committee addressing the operation, adequacy, and effectiveness of the Account’s LRMP, including any material changes to the LRMP for the period from the inception of the LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Account’s LRMP was reasonably designed to assess and manage the Account’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Account’s investment strategies continue to be appropriate given the Account’s status as an open-end fund.

There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Account, including liquidity risks presented by the Account’s investment portfolio, is found in the Account’s Prospectus and Statement of Additional Information.

The Prudential Series Fund

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

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

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

Important Note

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

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

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2020

Conservative Balanced Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	2.8%
Apple, Inc.	Technology Hardware, Storage & Peripherals	2.7%
Amazon.com, Inc.	Internet & Direct Marketing Retail	2.1%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.0%
Federal National Mortgage Assoc., 3.000%, TBA	U.S. Government Agency Obligations	0.9%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	0.8%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	0.8%
Johnson & Johnson	Pharmaceuticals	0.7%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	0.6%
Visa, Inc. (Class A Stock)	IT Services	0.6%

Diversified Bond Portfolio
Credit Quality	(% of Net Assets	)
AAA	40.2%
AA	2.9%
A	11.4%
BBB	21.7%
BB	8.8%
B	4.4%
CCC and Below	1.7%
NR	9.4%
Cash & Equivalents	(0.5)%
Total	100.0%

Equity Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Apple, Inc.	Technology Hardware, Storage & Peripherals	5.0%
Microsoft Corp.	Software	4.5%
Amazon.com, Inc.	Internet & Direct Marketing Retail	4.5%
AstraZeneca PLC (United Kingdom), ADR	Pharmaceuticals	3.1%
Tesla, Inc.	Automobiles	2.6%
Netflix, Inc.	Entertainment	2.4%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	2.3%
Eli Lilly & Co.	Pharmaceuticals	2.2%
Adobe, Inc.	Software	2.1%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	2.1%

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

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited (continued) June 30, 2020

Flexible Managed Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	3.9%
Apple, Inc.	Technology Hardware, Storage & Peripherals	3.8%
Amazon.com, Inc.	Internet & Direct Marketing Retail	2.3%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.7%
Procter & Gamble Co. (The)	Household Products	1.0%
Intel Corp.	Semiconductors & Semiconductor Equipment	1.0%
NVIDIA Corp.	Semiconductors & Semiconductor Equipment	1.0%
Johnson & Johnson	Pharmaceuticals	0.8%
Cisco Systems, Inc.	Communications Equipment	0.8%
AT&T, Inc.	Diversified Telecommunication Services	0.8%

Global Portfolio
Ten Largest Holdings	Line of Business	Country	(% of Net Assets	)
Microsoft Corp.	Software	United States	2.5%
Amazon.com, Inc.	Internet & Direct Marketing Retail	United States	1.7%
Thermo Fisher Scientific, Inc.	Life Sciences Tools & Services	United States	1.6%
PayPal Holdings, Inc.	IT Services	United States	1.6%
Electronic Arts, Inc.	Entertainment	United States	1.5%
SBA Communications Corp.	Equity Real Estate Investment Trusts (REITs)	United States	1.4%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	United States	1.4%
Zoetis, Inc.	Pharmaceuticals	United States	1.4%
Mastercard, Inc. (Class A Stock)	IT Services	United States	1.4%
Autodesk, Inc.	Software	United States	1.3%

Government Income Portfolio
Credit Quality	(% of Net Assets	)
AAA	98.9%
AA	2.4%
NR	0.6%
Cash & Equivalents	(1.9)%
Total	100.0%

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

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited (continued) June 30, 2020

Government Money Market Portfolio
Ten Largest Holdings	Interest Rate	Maturity Date	(% of Net Assets	)
U.S. Treasury Bills	0.148%	09/03/2020	3.6%
U.S. Treasury Bills	0.114%	07/07/2020	3.2%
U.S. Treasury Bills	0.159%	09/24/2020	3.1%
U.S. Treasury Bills	0.132%	08/27/2020	2.7%
U.S. Treasury Bills	0.053%	10/01/2020	2.5%
Federal Home Loan Bank	0.303%	09/01/2020	2.5%
U.S. Treasury Bills	0.118%	08/04/2020	2.2%
Federal Home Loan Bank	0.160%	03/04/2021	2.2%
Federal Home Loan Bank	0.165%	09/11/2020	1.9%
Federal Home Loan Mortgage Corp.	0.100%	07/10/2020	1.9%

Holdings reflect only short-term investments.

Stock Index Portfolio
Ten Largest Holdings	Line of Business	(% of Net Assets	)
Microsoft Corp.	Software	5.9%
Apple, Inc.	Technology Hardware, Storage & Peripherals	5.7%
Amazon.com, Inc.	Internet & Direct Marketing Retail	4.4%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	2.1%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	1.6%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	1.6%
Johnson & Johnson	Pharmaceuticals	1.4%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	1.3%
Visa, Inc. (Class A Stock)	IT Services	1.2%
Procter & Gamble Co. (The)	Household Products	1.1%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund Fees and Expenses — unaudited June 30, 2020

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2020		Ending Account Value June 30, 2020		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	997.50		0.58	%	$	2.88
	Hypothetical	$	1,000.00	$	1,021.98		0.58	%	$	2.92
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,036.40		0.44	%	$	2.23
	Hypothetical	$	1,000.00	$	1,022.68		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,018.00		0.47	%	$	2.36
	Hypothetical	$	1,000.00	$	1,022.53		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,015.90		0.87	%	$	4.36
	Hypothetical	$	1,000.00	$	1,020.54		0.87	%	$	4.37
Flexible Managed (Class I)	Actual	$	1,000.00	$	977.90		0.62	%	$	3.05
	Hypothetical	$	1,000.00	$	1,021.78		0.62	%	$	3.12
Global (Class I)	Actual	$	1,000.00	$	941.20		0.76	%	$	3.67
	Hypothetical	$	1,000.00	$	1,021.08		0.76	%	$	3.82
Government Income (Class I)	Actual	$	1,000.00	$	1,063.50		0.51	%	$	2.62
	Hypothetical	$	1,000.00	$	1,022.33		0.51	%	$	2.56
Government Money Market (Class I)	Actual	$	1,000.00	$	1,003.00		0.30	%	$	1.49
	Hypothetical	$	1,000.00	$	1,023.37		0.30	%	$	1.51
Government Money Market (Class III)	Actual**	$	1,000.00	$	1,000.00		0.19	%	$	0.23
	Hypothetical	$	1,000.00	$	1,023.92		0.19	%	$	0.96
Stock Index (Class I)	Actual	$	1,000.00	$	968.10		0.31	%	$	1.52
	Hypothetical	$	1,000.00	$	1,023.32		0.31	%	$	1.56

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

** “Actual” expenses are calculated using the 44-day period ended June 30, 2020 due to the inception date of May 18, 2020.

Glossary    

The following abbreviations are used in the Portfolios’ descriptions:

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CNH Chinese Renminbi

COP Colombian Peso

EUR Euro

GBP British Pound

HUF Hungarian Forint

JPY Japanese Yen

NZD New Zealand Dollar

USD US Dollar

ZAR South African Rand

144A — Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.

A — Annual payment frequency for swaps

ABS — Asset-Backed Security

Aces — Alternative Credit Enhancements Securities

ADR — American Depositary Receipt

BABs — Build America Bonds

BBR — New Zealand Bank Bill Rate

BBSW — Australian Bank Bill Swap Reference Rate

BROIS — Brazil Overnight Index Swap

BUBOR — Budapest Interbank Offered Rate

CDX — Credit Derivative Index

CLO — Collateralized Loan Obligation

CMBS — Collateralized Mortgage-Backed Security

CMBX — Commercial Mortgage-Backed Index

CMS — Constant Maturity Swap

COOIS — Colombia Overnight Interbank Reference Rate

CVA — Certificate Van Aandelen (Bearer)

CVT — Convertible Security

EAFE — Europe, Australasia, Far East

EMTN — Euro Medium Term Note

EONIA — Euro Overnight Index Average

ETF — Exchange-Traded Fund

EURIBOR — Euro Interbank Offered Rate

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

GDR — Global Depositary Receipt

GMTN — Global Medium Term Note

IO — Interest Only (Principal amount represents notional)

JIBAR — Johannesburg Interbank Agreed Rate

L2 — Level 2

L3 — Level 3

LIBOR — London Interbank Offered Rate

LP — Limited Partnership

M — Monthly payment frequency for swaps

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

OTC — Over-the-counter

PJSC — Public Joint-Stock Company

PO — Principal Only

PRFC — Preference Shares

Q — Quarterly payment frequency for swaps

REITs — Real Estate Investment Trust

REMICS — Real Estate Mortgage Investment Conduit Security

RSP — Savings Shares

S — Semiannual payment frequency for swaps

S&P — Standard & Poor’s

SONIA — Sterling Overnight Index Average

SPDR — Standard & Poor’s Depositary Receipts

Strips — Separate Trading of Registered Interest and Principal of Securities

T — Swap payment upon termination

TBA — To Be Announced

USAID — United States Agency for International Development

USOIS — United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS

A1

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
LONG-TERM INVESTMENTS — 88.1%
COMMON STOCKS — 48.2%
Aerospace & Defense — 0.8%
BAE Systems PLC (United Kingdom)		21,840	$	131,284
Boeing Co. (The)		24,250		4,445,025
General Dynamics Corp.		10,500		1,569,330
Howmet Aerospace, Inc.		17,280		273,888
Huntington Ingalls Industries, Inc.		1,900		331,531
L3Harris Technologies, Inc.		9,770		1,657,676
Leonardo SpA (Italy)		1,411		9,437
Lockheed Martin Corp.		11,220		4,094,402
Northrop Grumman Corp.		7,062		2,171,141
Raytheon Technologies Corp.		66,555		4,101,119
Teledyne Technologies, Inc.*		1,600		497,520
Textron, Inc.		10,400		342,264
TransDigm Group, Inc.(a)		2,400		1,060,920
				20,685,537
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)		5,900		466,454
Deutsche Post AG (Germany)*		10,434		384,624
Expeditors International of Washington, Inc.		7,900		600,716
FedEx Corp.		10,880		1,525,593
SG Holdings Co. Ltd. (Japan)		7,500		244,800
United Parcel Service, Inc. (Class B Stock)		31,900		3,546,642
Yamato Holdings Co. Ltd. (Japan)		1,100		23,787
				6,792,616
Airlines — 0.1%
Alaska Air Group, Inc.		5,700		206,682
American Airlines Group, Inc.(a)		14,400		188,208
Delta Air Lines, Inc.(a)		25,800		723,690
easyJet PLC (United Kingdom)		550		4,659
Qantas Airways Ltd. (Australia)		2,613		6,907
Southwest Airlines Co.		24,100		823,738
United Airlines Holdings, Inc.*(a)		9,700		335,717
				2,289,601
Auto Components — 0.1%
Aptiv PLC		11,900		927,248
BorgWarner, Inc.(a)		9,600		338,880
Cie Generale des Etablissements Michelin SCA (France)*		2,728		282,226
Faurecia SE (France)*		266		10,460
				1,558,814
Automobiles — 0.1%
Ferrari NV (Italy)		1,049		179,758
Fiat Chrysler Automobiles NV (United Kingdom)*		19,584		199,648
Ford Motor Co.(a)		175,785		1,068,773
General Motors Co.		56,200		1,421,860
Peugeot SA (France)*		14,533		238,503
Subaru Corp. (Japan)		2,200		45,754
Toyota Motor Corp. (Japan)		7,500		470,273
Volkswagen AG (Germany)*		111		17,961
				3,642,530

	Shares		Value
COMMON STOCKS (continued)
Banks — 1.8%
ABN AMRO Bank NV (Netherlands), 144A, CVA		1,508	$	13,123
Bank of America Corp.		353,141		8,387,099
Bankia SA (Spain)		268,478		287,365
Bankinter SA (Spain)		2,327		11,165
Banque Cantonale Vaudoise (Switzerland)		108		10,532
Barclays PLC (United Kingdom)		60,309		85,758
BNP Paribas SA (France)*		4,633		185,233
BOC Hong Kong Holdings Ltd. (China)		106,500		340,438
Citigroup, Inc.		94,135		4,810,298
Citizens Financial Group, Inc.		17,800		449,272
Comerica, Inc.		5,600		213,360
Commonwealth Bank of Australia (Australia)		7,856		379,244
Danske Bank A/S (Denmark)*		2,232		29,892
DBS Group Holdings Ltd. (Singapore)		2,800		41,982
DNB ASA (Norway)*		3,340		44,333
Erste Group Bank AG (Austria)*		1,000		23,669
Fifth Third Bancorp		30,521		588,445
FinecoBank Banca Fineco SpA (Italy)*		2,088		28,296
First Republic Bank		7,700		816,123
HSBC Holdings PLC (United Kingdom)		12,757		59,820
Huntington Bancshares, Inc.		42,136		380,699
Intesa Sanpaolo SpA (Italy)*		51,392		98,972
Japan Post Bank Co. Ltd. (Japan)		1,400		10,400
JPMorgan Chase & Co.		137,845		12,965,701
KeyCorp.		41,800		509,124
M&T Bank Corp.		5,800		603,026
Mebuki Financial Group, Inc. (Japan)		118,400		274,583
Mediobanca Banca di Credito Finanziario SpA (Italy)		2,220		16,053
Mitsubishi UFJ Financial Group, Inc. (Japan)		9,000		35,290
Mizrahi Tefahot Bank Ltd. (Israel)		14,214		266,151
Mizuho Financial Group, Inc. (Japan)		81,900		100,356
Oversea-Chinese Banking Corp. Ltd. (Singapore)		1,700		11,042
People’s United Financial, Inc.(a)		18,300		211,731
PNC Financial Services Group, Inc. (The)		19,233		2,023,504
Raiffeisen Bank International AG (Austria)*		5,276		94,382
Regions Financial Corp.		40,203		447,057
Resona Holdings, Inc. (Japan)		7,400		25,277
Seven Bank Ltd. (Japan)		38,700		105,791
Shinsei Bank Ltd. (Japan)		700		8,454
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)*		40,055		348,971
Sumitomo Mitsui Financial Group, Inc. (Japan)		9,000		253,133
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		2,000		56,108
SVB Financial Group*		2,400		517,272
Svenska Handelsbanken AB (Sweden) (Class A Stock)*		5,353		51,034
Swedbank AB (Sweden) (Class A Stock)*		1,470		18,875
Truist Financial Corp.		60,901		2,286,833

SEE NOTES TO FINANCIAL STATEMENTS.

A2

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Banks (cont’d.)
U.S. Bancorp		61,985	$	2,282,288
Wells Fargo & Co.		168,764		4,320,358
Zions Bancorp NA		6,350		215,900
				45,343,812
Beverages — 0.8%
Asahi Group Holdings Ltd. (Japan)		3,100		108,809
Brown-Forman Corp. (Class B Stock)(a)		8,475		539,518
Carlsberg A/S (Denmark) (Class B Stock)		372		49,389
Coca-Cola Amatil Ltd. (Australia)		1,677		10,110
Coca-Cola Co. (The)		174,901		7,814,577
Coca-Cola European Partners PLC (United Kingdom)		6,600		249,216
Coca-Cola HBC AG (Switzerland)		720		18,148
Constellation Brands, Inc. (Class A Stock)		7,600		1,329,620
Diageo PLC (United Kingdom)		770		25,620
Kirin Holdings Co. Ltd. (Japan)		2,900		61,157
Molson Coors Beverage Co. (Class B Stock)		8,800		302,368
Monster Beverage Corp.*		16,900		1,171,508
PepsiCo, Inc.		62,807		8,306,854
Pernod Ricard SA (France)		285		44,985
				20,031,879
Biotechnology — 1.2%
AbbVie, Inc.		79,701		7,825,044
Alexion Pharmaceuticals, Inc.*		10,300		1,156,072
Amgen, Inc.		26,637		6,282,603
Biogen, Inc.*		7,460		1,995,923
CSL Ltd. (Australia)		110		21,977
Gilead Sciences, Inc.		56,700		4,362,498
Incyte Corp.*		8,200		852,554
Regeneron Pharmaceuticals, Inc.*		4,640		2,893,736
Vertex Pharmaceuticals, Inc.*		11,800		3,425,658
				28,816,065
Building Products — 0.2%
A.O. Smith Corp.		5,600		263,872
Allegion PLC(a)		4,033		412,253
Carrier Global Corp.		35,702		793,299
Cie de Saint-Gobain (France)*		1,700		61,686
Fortune Brands Home & Security, Inc.		6,600		421,938
Geberit AG (Switzerland)		128		64,352
Johnson Controls International PLC		33,622		1,147,855
Kingspan Group PLC (Ireland)		527		34,122
Masco Corp.		11,900		597,499
Trane Technologies PLC		10,700		952,086
				4,748,962
Capital Markets — 1.3%
Ameriprise Financial, Inc.		5,520		828,221
Bank of New York Mellon Corp. (The)		36,458		1,409,102
BlackRock, Inc.		7,000		3,808,630
Cboe Global Markets, Inc.		5,100		475,728
Charles Schwab Corp. (The)		51,850		1,749,419

	Shares		Value
COMMON STOCKS (continued)
Capital Markets (cont’d.)
CME Group, Inc.		16,300	$	2,649,402
Credit Suisse Group AG (Switzerland)		8,463		88,597
Deutsche Boerse AG (Germany)		655		119,021
E*TRADE Financial Corp.		9,720		483,376
Franklin Resources, Inc.(a)		11,900		249,543
Goldman Sachs Group, Inc. (The)		14,000		2,766,680
Hargreaves Lansdown PLC (United Kingdom)		1,170		23,703
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		4,200		179,672
Intercontinental Exchange, Inc.		24,755		2,267,558
Invesco Ltd.(a)		16,000		172,160
Magellan Financial Group Ltd. (Australia)		8,343		341,117
MarketAxess Holdings, Inc.		1,720		861,582
Moody’s Corp.		7,350		2,019,265
Morgan Stanley		54,580		2,636,214
MSCI, Inc.		4,000		1,335,280
Nasdaq, Inc.		5,100		609,297
Nomura Holdings, Inc. (Japan)		75,100		335,851
Northern Trust Corp.		9,200		729,928
Raymond James Financial, Inc.		5,900		406,097
S&P Global, Inc.		10,900		3,591,332
Singapore Exchange Ltd. (Singapore)		11,700		70,368
Standard Life Aberdeen PLC (United Kingdom)		8,750		29,155
State Street Corp.		15,900		1,010,445
T. Rowe Price Group, Inc.		10,300		1,272,050
UBS Group AG (Switzerland)		29,884		348,046
				32,866,839
Chemicals — 0.9%
Air Products & Chemicals, Inc.		10,000		2,414,600
Albemarle Corp.(a)		5,100		393,771
Arkema SA (France)		275		26,426
Asahi Kasei Corp. (Japan)		4,300		35,297
BASF SE (Germany)		3,190		179,595
Celanese Corp.		5,600		483,504
CF Industries Holdings, Inc.		8,900		250,446
Corteva, Inc.		32,947		882,650
Dow, Inc.(a)		32,947		1,342,920
DuPont de Nemours, Inc.		33,247		1,766,413
Eastman Chemical Co.		6,400		445,696
Ecolab, Inc.		11,200		2,228,240
Evonik Industries AG (Germany)		756		19,332
FMC Corp.		6,200		617,644
Givaudan SA (Switzerland)		32		119,754
International Flavors & Fragrances, Inc.(a)		5,000		612,300
Linde PLC (United Kingdom)		23,800		5,048,218
LyondellBasell Industries NV (Class A Stock)		11,700		768,924
Mosaic Co. (The)		15,600		195,156
Nissan Chemical Corp. (Japan)		500		25,659
Orica Ltd. (Australia)		1,990		23,078
PPG Industries, Inc.		11,000		1,166,660
Sherwin-Williams Co. (The)		3,750		2,166,938
Shin-Etsu Chemical Co. Ltd. (Japan)		1,200		140,447
Showa Denko KK (Japan)		200		4,477

SEE NOTES TO FINANCIAL STATEMENTS.

A3

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Chemicals (cont’d.)
Symrise AG (Germany)		104	$	12,117
Tosoh Corp. (Japan)		5,600		76,374
Yara International ASA (Norway)		1,334		46,511
				21,493,147
Commercial Services & Supplies — 0.2%
Cintas Corp.		3,900		1,038,804
Copart, Inc.*		9,800		816,046
Dai Nippon Printing Co. Ltd. (Japan)		900		20,626
Republic Services, Inc.		9,565		784,808
Rollins, Inc.		6,600		279,774
Secom Co. Ltd. (Japan)		800		69,919
Toppan Printing Co. Ltd. (Japan)		5,000		83,486
Waste Management, Inc.		17,542		1,857,873
				4,951,336
Communications Equipment — 0.5%
Arista Networks, Inc.*(a)		2,600		546,078
Cisco Systems, Inc.		191,800		8,945,552
F5 Networks, Inc.*		2,900		404,492
Juniper Networks, Inc.		14,200		324,612
Motorola Solutions, Inc.		7,689		1,077,459
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		10,677		99,016
				11,397,209
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		5,655		143,731
Eiffage SA (France)*		271		24,873
HOCHTIEF AG (Germany)		88		7,873
Jacobs Engineering Group, Inc.		6,300		534,240
Obayashi Corp. (Japan)		31,100		290,670
Quanta Services, Inc.		6,100		239,303
Shimizu Corp. (Japan)		33,600		275,957
Skanska AB (Sweden) (Class B Stock)*		1,152		23,542
Taisei Corp. (Japan)		700		25,458
Vinci SA (France)		920		84,956
				1,650,603
Construction Materials — 0.1%
CRH PLC (Ireland)		2,786		96,052
HeidelbergCement AG (Germany)		3,565		191,975
LafargeHolcim Ltd. (Switzerland)*		6,970		309,333
Martin Marietta Materials, Inc.		2,800		578,396
Vulcan Materials Co.		6,000		695,100
				1,870,856
Consumer Finance — 0.2%
American Express Co.		29,900		2,846,480
Capital One Financial Corp.		20,561		1,286,913
Discover Financial Services		13,940		698,255
Synchrony Financial		22,872		506,843
				5,338,491
Containers & Packaging — 0.2%
Amcor PLC(a)		70,650		721,337

	Shares		Value
COMMON STOCKS (continued)
Containers & Packaging (cont’d.)
Avery Dennison Corp.		3,800	$	433,542
Ball Corp.		14,800		1,028,452
International Paper Co.		16,673		587,056
Packaging Corp. of America		4,200		419,160
Sealed Air Corp.		6,700		220,095
Westrock Co.		10,444		295,147
				3,704,789
Distributors — 0.0%
Genuine Parts Co.		6,500		565,240
LKQ Corp.*		12,200		319,640
				884,880
Diversified Consumer Services — 0.0%
H&R Block, Inc.		8,600		122,808
Diversified Financial Services — 0.6%
Berkshire Hathaway, Inc. (Class B Stock)*		88,000		15,708,880
EXOR NV (Netherlands)		377		21,735
M&G PLC (United Kingdom)		35,259		73,455
ORIX Corp. (Japan)		4,500		55,450
				15,859,520
Diversified Telecommunication Services — 0.9%
AT&T, Inc.		322,336		9,744,217
CenturyLink, Inc.(a)		41,379		415,031
Deutsche Telekom AG (Germany)		14,249		241,050
Elisa OYJ (Finland)		504		30,658
Nippon Telegraph & Telephone Corp. (Japan)		16,400		382,206
Orange SA (France)		5,325		63,813
Proximus SADP (Belgium)		560		11,432
Telecom Italia SpA (Italy), RSP		22,010		8,575
Telefonica Deutschland Holding AG (Germany)		52,242		155,093
Telenor ASA (Norway)		1,512		22,054
United Internet AG (Germany)		357		15,217
Verizon Communications, Inc.		187,176		10,319,013
				21,408,359
Electric Utilities — 0.9%
Alliant Energy Corp.		11,200		535,808
American Electric Power Co., Inc.		22,460		1,788,714
Chubu Electric Power Co., Inc. (Japan)		22,900		286,938
CK Infrastructure Holdings Ltd. (Hong Kong)		2,500		12,892
Duke Energy Corp.(a)		33,261		2,657,221
Edison International		16,700		906,977
Endesa SA (Spain)		1,140		28,161
Enel SpA (Italy)		46,695		404,443
Entergy Corp.		8,900		834,909
Evergy, Inc.		10,600		628,474
Eversource Energy		15,200		1,265,704
Exelon Corp.		43,413		1,575,458
FirstEnergy Corp.		24,406		946,465
Fortum OYJ (Finland)		1,519		29,057
Iberdrola SA (Spain)		50,227		583,816

SEE NOTES TO FINANCIAL STATEMENTS.

A4

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Electric Utilities (cont’d.)
Kansai Electric Power Co., Inc. (The) (Japan)		11,700	$	111,816
NextEra Energy, Inc.		22,200		5,331,774
NRG Energy, Inc.		10,400		338,624
Pinnacle West Capital Corp.(a)		5,300		388,437
PPL Corp.		34,200		883,728
Southern Co. (The)		47,800		2,478,430
Terna Rete Elettrica Nazionale SpA (Italy)		4,836		33,359
Tohoku Electric Power Co., Inc. (Japan)		1,500		14,273
Xcel Energy, Inc.		23,810		1,488,125
				23,553,603
Electrical Equipment — 0.2%
ABB Ltd. (Switzerland)		6,374		144,565
AMETEK, Inc.		10,300		920,511
Eaton Corp. PLC		18,137		1,586,625
Emerson Electric Co.		27,000		1,674,810
Fuji Electric Co. Ltd. (Japan)		500		13,670
Legrand SA (France)		910		69,579
Rockwell Automation, Inc.		5,500		1,171,500
Schneider Electric SE (France)		4,417		494,351
				6,075,611
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		13,300		1,274,273
CDW Corp.		6,500		755,170
Corning, Inc.		34,200		885,780
FLIR Systems, Inc.		6,100		247,477
Hexagon AB (Sweden) (Class B Stock)*		3,791		223,033
Hitachi Ltd. (Japan)		3,300		104,832
IPG Photonics Corp.*		1,700		272,663
Keysight Technologies, Inc.*		8,400		846,552
Murata Manufacturing Co. Ltd. (Japan)		2,100		123,125
TDK Corp. (Japan)		500		49,653
TE Connectivity Ltd.		14,900		1,215,095
Venture Corp. Ltd. (Singapore)		1,000		11,671
Zebra Technologies Corp. (Class A Stock)*		2,430		621,959
				6,631,283
Energy Equipment & Services — 0.1%
Baker Hughes Co.		28,798		443,201
Halliburton Co.		37,100		481,558
National Oilwell Varco, Inc.		14,100		172,725
Schlumberger Ltd.		60,324		1,109,359
TechnipFMC PLC (United Kingdom)		18,400		125,856
				2,332,699
Entertainment — 1.0%
Activision Blizzard, Inc.		34,900		2,648,910
Electronic Arts, Inc.*		13,100		1,729,855
Live Nation Entertainment, Inc.*		6,000		265,980
Netflix, Inc.*		19,970		9,087,149
Nexon Co. Ltd. (Japan)		1,800		40,654
Nintendo Co. Ltd. (Japan)		700		312,863

	Shares		Value
COMMON STOCKS (continued)
Entertainment (cont’d.)
Take-Two Interactive Software, Inc.*		5,300	$	739,721
Walt Disney Co. (The)		81,782		9,119,511
				23,944,643
Equity Real Estate Investment Trusts (REITs) — 1.3%
Alexandria Real Estate Equities, Inc.		5,600		908,600
American Tower Corp.		20,060		5,186,312
Apartment Investment & Management Co. (Class A Stock)		6,936		261,071
AvalonBay Communities, Inc.		6,575		1,016,758
Boston Properties, Inc.		6,500		587,470
British Land Co. PLC (The) (United Kingdom)		3,024		14,531
CapitaLand Commercial Trust (Singapore)		9,800		11,964
Crown Castle International Corp.		18,900		3,162,915
Daiwa House REIT Investment Corp. (Japan)		7		16,477
Digital Realty Trust, Inc.(a)		12,100		1,719,531
Duke Realty Corp.		16,500		583,935
Equinix, Inc.		4,054		2,847,124
Equity Residential		16,300		958,766
Essex Property Trust, Inc.		3,150		721,886
Extra Space Storage, Inc.		5,800		535,746
Federal Realty Investment Trust		3,300		281,193
GLP J-REIT (Japan)		13		18,860
Goodman Group (Australia)		10,066		104,033
Healthpeak Properties, Inc.		23,400		644,904
Host Hotels & Resorts, Inc.(a)		29,682		320,269
Iron Mountain, Inc.(a)		11,002		287,152
Japan Prime Realty Investment Corp. (Japan)		9		26,444
Japan Real Estate Investment Corp. (Japan)		5		25,724
Japan Retail Fund Investment Corp. (Japan)		9		11,284
Kimco Realty Corp.(a)		18,700		240,108
Klepierre SA (France)		14,863		297,441
Land Securities Group PLC (United Kingdom)		2,508		17,205
Mid-America Apartment Communities, Inc.		5,300		607,751
Prologis, Inc.		33,477		3,124,408
Public Storage(a)		6,800		1,304,852
Realty Income Corp.		15,700		934,150
Regency Centers Corp.		7,900		362,531
SBA Communications Corp.		5,100		1,519,392
Scentre Group (Australia)		19,018		28,682
Simon Property Group, Inc.		14,193		970,517
SL Green Realty Corp.		3,300		162,657
Stockland (Australia)		122,505		283,621
UDR, Inc.		13,000		485,940
United Urban Investment Corp. (Japan)		11		11,918
Ventas, Inc.(a)		16,318		597,565
Vornado Realty Trust(a)		6,325		241,678
Welltower, Inc.		18,800		972,900
Weyerhaeuser Co.		33,318		748,322
				33,164,587

SEE NOTES TO FINANCIAL STATEMENTS.

A5

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Food & Staples Retailing — 0.7%
Coles Group Ltd. (Australia)		3,854	$	46,048
Colruyt SA (Belgium)		200		11,024
Costco Wholesale Corp.		20,000		6,064,200
J Sainsbury PLC (United Kingdom)		6,112		15,786
Koninklijke Ahold Delhaize NV (Netherlands)		13,656		373,745
Kroger Co. (The)		35,492		1,201,404
Seven & i Holdings Co. Ltd. (Japan)		2,000		65,290
Sysco Corp.		22,600		1,235,316
Walgreens Boots Alliance, Inc.		33,300		1,411,587
Walmart, Inc.		64,100		7,677,898
Wm Morrison Supermarkets PLC (United Kingdom)		8,409		19,944
Woolworths Group Ltd. (Australia)		11,871		306,408
				18,428,650
Food Products — 0.6%
Archer-Daniels-Midland Co.		24,326		970,607
Campbell Soup Co.(a)		7,900		392,077
Conagra Brands, Inc.		21,500		756,155
General Mills, Inc.(a)		27,400		1,689,210
Hershey Co. (The)		6,700		868,454
Hormel Foods Corp.(a)		12,200		588,894
J.M. Smucker Co. (The)(a)		5,100		539,631
Kellogg Co.		11,800		779,508
Kraft Heinz Co. (The)		27,917		890,273
Lamb Weston Holdings, Inc.(a)		6,600		421,938
McCormick & Co., Inc.(a)		5,820		1,044,166
MEIJI Holdings Co. Ltd. (Japan)		400		31,827
Mondelez International, Inc. (Class A Stock)		64,553		3,300,595
Nestle SA (Switzerland)		7,758		860,385
Orkla ASA (Norway)		2,598		22,826
Tate & Lyle PLC (United Kingdom)		7,241		60,001
Toyo Suisan Kaisha Ltd. (Japan)		300		16,783
Tyson Foods, Inc. (Class A Stock)		13,300		794,143
WH Group Ltd. (Hong Kong), 144A		350,000		302,027
Wilmar International Ltd. (China)		3,900		11,477
				14,340,977
Gas Utilities — 0.0%
Atmos Energy Corp.		5,900		587,522
Enagas SA (Spain)		1,262		30,926
Naturgy Energy Group SA (Spain)		9,092		169,226
Snam SpA (Italy)		6,780		33,121
Tokyo Gas Co. Ltd. (Japan)		900		21,523
				842,318
Health Care Equipment & Supplies — 1.8%
Abbott Laboratories		80,000		7,314,400
ABIOMED, Inc.*		2,060		497,614
Align Technology, Inc.*		3,300		905,652
Baxter International, Inc.		23,000		1,980,300
Becton, Dickinson & Co.		13,410		3,208,611
Boston Scientific Corp.*		63,767		2,238,859
Cooper Cos., Inc. (The)		2,240		635,353
Danaher Corp.		28,500		5,039,655
DENTSPLY SIRONA, Inc.		9,600		422,976

	Shares		Value
COMMON STOCKS (continued)
Health Care Equipment & Supplies (cont’d.)
DexCom, Inc.*		4,200	$	1,702,680
DiaSorin SpA (Italy)		210		40,363
Edwards Lifesciences Corp.*		28,000		1,935,080
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand)		2,001		45,833
Hologic, Inc.*		11,500		655,500
IDEXX Laboratories, Inc.*		3,900		1,287,624
Intuitive Surgical, Inc.*		5,280		3,008,702
Medtronic PLC		60,690		5,565,273
ResMed, Inc.		6,700		1,286,400
Siemens Healthineers AG (Germany), 144A		515		24,793
STERIS PLC		3,850		590,744
Stryker Corp.		14,600		2,630,774
Teleflex, Inc.		2,200		800,756
Varian Medical Systems, Inc.*(a)		4,100		502,332
West Pharmaceutical Services, Inc.		3,500		795,095
Zimmer Biomet Holdings, Inc.		9,600		1,145,856
				44,261,225
Health Care Providers & Services — 1.4%
Alfresa Holdings Corp. (Japan)		3,500		73,060
AmerisourceBergen Corp.		6,900		695,313
Anthem, Inc.		11,400		2,997,972
Cardinal Health, Inc.		13,150		686,298
Centene Corp.*		26,250		1,668,187
Cigna Corp.		16,700		3,133,755
CVS Health Corp.		59,183		3,845,120
DaVita, Inc.*(a)		4,000		316,560
Fresenius Medical Care AG & Co. KGaA (Germany)*		1,450		125,102
Fresenius SE & Co. KGaA (Germany)*		5,716		285,627
HCA Healthcare, Inc.		11,800		1,145,308
Henry Schein, Inc.*(a)		6,800		397,052
Humana, Inc.		6,050		2,345,887
Laboratory Corp. of America Holdings*		4,600		764,106
McKesson Corp.		7,630		1,170,595
Medipal Holdings Corp. (Japan)		15,200		292,827
Quest Diagnostics, Inc.		6,200		706,552
Suzuken Co. Ltd. (Japan)		8,200		306,109
UnitedHealth Group, Inc.		42,960		12,671,052
Universal Health Services, Inc. (Class B Stock)		3,900		362,271
				33,988,753
Health Care Technology — 0.0%
Cerner Corp.(a)		13,800		945,990
M3, Inc. (Japan)		1,000		42,522
				988,512
Hotels, Restaurants & Leisure — 0.7%
Carnival Corp.(a)		19,300		316,906
Chipotle Mexican Grill, Inc.*		1,170		1,231,261
Darden Restaurants, Inc.		5,950		450,832
Domino’s Pizza, Inc.		1,800		664,992
Evolution Gaming Group AB (Sweden), 144A		4,369		263,583
Flutter Entertainment PLC (Ireland)		468		61,726

SEE NOTES TO FINANCIAL STATEMENTS.

A6

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Hotels, Restaurants & Leisure (cont’d.)
Galaxy Entertainment Group Ltd. (Macau)		8,000	$	54,497
Hilton Worldwide Holdings, Inc.		12,400		910,780
Las Vegas Sands Corp.		15,600		710,424
Marriott International, Inc. (Class A Stock)		12,128		1,039,733
McDonald’s Corp.		33,700		6,216,639
McDonald’s Holdings Co. Japan Ltd. (Japan)		1,600		86,304
MGM Resorts International(a)		20,800		349,440
Norwegian Cruise Line Holdings Ltd.*(a)		9,900		162,657
Royal Caribbean Cruises Ltd.(a)		7,300		367,190
Starbucks Corp.		52,900		3,892,911
Wynn Resorts Ltd.		4,700		350,103
Yum! Brands, Inc.		13,600		1,181,976
				18,311,954
Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)		3,530		21,847
Berkeley Group Holdings PLC (United Kingdom)		5,598		289,615
Casio Computer Co. Ltd. (Japan)		700		12,271
D.R. Horton, Inc.		15,000		831,750
Garmin Ltd.		6,500		633,750
Husqvarna AB (Sweden) (Class B Stock)		1,380		11,381
Leggett & Platt, Inc.		5,400		189,810
Lennar Corp. (Class A Stock)		12,400		764,088
Mohawk Industries, Inc.*		2,940		299,174
Newell Brands, Inc.		15,914		252,714
NVR, Inc.*		160		521,400
Persimmon PLC (United Kingdom)*		988		28,108
PulteGroup, Inc.		10,322		351,258
Sekisui House Ltd. (Japan)		2,200		41,869
Sony Corp. (Japan)		9,200		633,016
Taylor Wimpey PLC (United Kingdom)		10,680		18,995
Whirlpool Corp.(a)		3,026		391,958
				5,293,004
Household Products — 0.8%
Church & Dwight Co., Inc.		11,100		858,030
Clorox Co. (The)		5,700		1,250,409
Colgate-Palmolive Co.		38,800		2,842,488
Essity AB (Sweden) (Class B Stock)*		10,847		351,028
Henkel AG & Co. KGaA (Germany)		363		30,293
Kimberly-Clark Corp.		15,400		2,176,790
Lion Corp. (Japan)		800		19,216
Procter & Gamble Co. (The)		112,025		13,394,829
				20,923,083
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp. (The)		27,000		391,230
Industrial Conglomerates — 0.6%
3M Co.		26,100		4,071,339
CK Hutchison Holdings Ltd. (United Kingdom)		43,000		276,507

	Shares		Value
COMMON STOCKS (continued)
Industrial Conglomerates (cont’d.)
General Electric Co.		395,630	$	2,702,153
Honeywell International, Inc.		31,812		4,599,697
Roper Technologies, Inc.		4,720		1,832,587
Siemens AG (Germany)		2,653		314,798
Toshiba Corp. (Japan)		1,700		54,524
				13,851,605
Insurance — 0.9%
Admiral Group PLC (United Kingdom)		672		19,118
Aegon NV (Netherlands)		96,981		291,013
Aflac, Inc.		32,400		1,167,372
Ageas SA/NV (Belgium)		624		22,197
AIA Group Ltd. (Hong Kong)		11,800		110,307
Allianz SE (Germany)		1,467		301,379
Allstate Corp. (The)		14,200		1,377,258
American International Group, Inc.		38,239		1,192,292
Aon PLC (Class A Stock)		10,500		2,022,300
Arthur J Gallagher & Co.		9,000		877,410
Assurant, Inc.		3,000		309,870
Aviva PLC (United Kingdom)		13,083		44,646
Chubb Ltd.		20,486		2,593,937
Cincinnati Financial Corp.		7,237		463,385
Everest Re Group Ltd.		1,840		379,408
Globe Life, Inc.(a)		4,325		321,045
Hannover Rueck SE (Germany)		135		23,390
Hartford Financial Services Group, Inc. (The)		16,400		632,220
Japan Post Holdings Co. Ltd. (Japan)		5,500		39,188
Japan Post Insurance Co. Ltd. (Japan)		8,300		109,347
Legal & General Group PLC (United
Kingdom)		120,873		330,666
Lincoln National Corp.		8,318		306,019
Loews Corp.		11,275		386,620
Marsh & McLennan Cos., Inc.		23,100		2,480,247
Medibank Private Ltd. (Australia)		9,681		20,033
MetLife, Inc.		34,850		1,272,722
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		506		131,967
NN Group NV (Netherlands)		10,176		342,530
Principal Financial Group, Inc.		10,900		452,786
Progressive Corp. (The)		26,500		2,122,915
Sompo Holdings, Inc. (Japan)		1,200		41,249
Sony Financial Holdings, Inc. (Japan)		600		14,435
Swiss Life Holding AG (Switzerland)*		719		267,821
T&D Holdings, Inc. (Japan)		2,000		17,074
Travelers Cos., Inc. (The)		11,435		1,304,162
Unum Group		6,610		109,660
W.R. Berkley Corp.		6,500		372,385
Willis Towers Watson PLC		6,040		1,189,578
Zurich Insurance Group AG (Switzerland)		505		178,868
				23,638,819
Interactive Media & Services — 2.6%
Alphabet, Inc. (Class A Stock)*		13,580		19,257,119
Alphabet, Inc. (Class C Stock)*		13,283		18,776,981
Facebook, Inc. (Class A Stock)*		108,830		24,712,028
Twitter, Inc.*		34,900		1,039,671

SEE NOTES TO FINANCIAL STATEMENTS.

A7

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Interactive Media & Services (cont’d.)
Z Holdings Corp. (Japan)		3,600	$	17,578
				63,803,377
Internet & Direct Marketing Retail — 2.3%
Amazon.com, Inc.*		19,010		52,445,168
Booking Holdings, Inc.*		1,920		3,057,293
eBay, Inc.		29,900		1,568,255
Expedia Group, Inc.		6,150		505,530
Ocado Group PLC (United Kingdom)*		1,485		37,450
				57,613,696
IT Services — 2.7%
Accenture PLC (Class A Stock)		28,900		6,205,408
Akamai Technologies, Inc.*(a)		7,500		803,175
Atos SE (France)*		335		28,748
Automatic Data Processing, Inc.		19,500		2,903,355
Broadridge Financial Solutions, Inc.		5,100		643,569
Capgemini SE (France)		1,571		181,304
Cognizant Technology Solutions Corp. (Class A Stock)		24,500		1,392,090
DXC Technology Co.		11,328		186,912
Fidelity National Information Services, Inc.		28,000		3,754,520
Fiserv, Inc.*		25,500		2,489,310
FleetCor Technologies, Inc.*		3,800		955,814
Fujitsu Ltd. (Japan)		2,100		246,034
Gartner, Inc.*		4,400		533,852
Global Payments, Inc.		13,577		2,302,931
International Business Machines Corp.		40,200		4,854,954
Jack Henry & Associates, Inc.		3,500		644,105
Leidos Holdings, Inc.		6,400		599,488
Mastercard, Inc. (Class A Stock)		40,000		11,828,000
NEC Corp. (Japan)		400		19,169
Nomura Research Institute Ltd. (Japan)		9,700		264,849
Otsuka Corp. (Japan)		4,100		216,113
Paychex, Inc.		14,800		1,121,100
PayPal Holdings, Inc.*		53,200		9,269,036
VeriSign, Inc.*		4,600		951,418
Visa, Inc. (Class A Stock)(a)		76,400		14,758,188
Western Union Co. (The)(a)		17,610		380,728
				67,534,170
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		700		36,783
Hasbro, Inc.		5,700		427,215
				463,998
Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		13,814		1,220,743
Bio-Rad Laboratories, Inc. (Class A Stock)*		1,100		496,639
Illumina, Inc.*		6,700		2,481,345
IQVIA Holdings, Inc.*		8,000		1,135,040
Mettler-Toledo International, Inc.*		1,100		886,105
PerkinElmer, Inc.		5,300		519,877
QIAGEN NV*		786		33,792
Sartorius Stedim Biotech (France)		96		24,416
Thermo Fisher Scientific, Inc.		17,880		6,478,639

	Shares			Value
COMMON STOCKS (continued)
Life Sciences Tools & Services (cont’d.)
Waters Corp.*(a)		2,800		$	505,120
					13,781,716
Machinery — 0.7%
Alfa Laval AB (Sweden)*		1,071			23,715
Amada Co. Ltd. (Japan)		27,900			228,089
Atlas Copco AB (Sweden) (Class A Stock)		10,643			453,396
Atlas Copco AB (Sweden) (Class B Stock)		1,378			50,972
Caterpillar, Inc.		24,500			3,099,250
Cummins, Inc.		6,700			1,160,842
Deere & Co.		14,180			2,228,387
Dover Corp.		6,400			617,984
Epiroc AB (Sweden) (Class A Stock)		7,936			99,407
Epiroc AB (Sweden) (Class B Stock)		1,360			16,695
Flowserve Corp.		4,200			119,784
Fortive Corp.		13,650			923,559
GEA Group AG (Germany)		561			17,848
IDEX Corp.		3,510			554,720
Illinois Tool Works, Inc.		13,000			2,273,050
Ingersoll Rand, Inc.*		14,600			410,552
Kone OYJ (Finland) (Class B Stock)		1,346			92,665
MINEBEA MITSUMI, Inc. (Japan)		1,300			23,594
Nabtesco Corp. (Japan)		400	(r)		12,345
Otis Worldwide Corp.		18,601			1,057,653
PACCAR, Inc.		16,043			1,200,819
Parker-Hannifin Corp.		5,965			1,093,206
Pentair PLC		7,677			291,649
Sandvik AB (Sweden)*		997			18,868
Schindler Holding AG (Switzerland)		71			16,880
SKF AB (Sweden) (Class B Stock)		1,326			24,876
Snap-on, Inc.(a)		2,400			332,424
Stanley Black & Decker, Inc.		7,297			1,017,056
Volvo AB (Sweden) (Class B Stock)*		5,107			80,412
Westinghouse Air Brake Technologies Corp.		7,951			457,739
Xylem, Inc.		8,500			552,160
Yangzijiang Shipbuilding Holdings Ltd. (China)		13,600			9,123
					18,559,719
Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		12			13,085
Media — 0.6%
Charter Communications, Inc. (Class A Stock)*		6,840			3,488,673
Comcast Corp. (Class A Stock)		206,080			8,032,998
Discovery, Inc. (Class A Stock)*(a)		6,000			126,600
Discovery, Inc. (Class C Stock)*		14,100			271,566
DISH Network Corp. (Class A Stock)*		9,717			335,334
Fox Corp. (Class A Stock)(a)		14,200			380,844
Fox Corp. (Class B Stock)		6,633			178,030
Interpublic Group of Cos., Inc. (The)		16,431			281,956
News Corp. (Class A Stock)		16,175			191,835
News Corp. (Class B Stock)		4,800			57,360
Omnicom Group, Inc.(a)		9,300			507,780

SEE NOTES TO FINANCIAL STATEMENTS.

A8

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Media (cont’d.)
Publicis Groupe SA (France)		6,462	$	210,120
Telenet Group Holding NV (Belgium)		6,020		248,698
ViacomCBS, Inc. (Class B Stock)(a)		22,530		525,400
				14,837,194
Metals & Mining — 0.2%
Alumina Ltd. (Australia)		8,448		9,585
Anglo American PLC (South Africa)		15,280		357,798
ArcelorMittal SA (Luxembourg)*		2,502		26,842
BHP Group Ltd. (Australia)		10,236		255,067
BHP Group PLC (Australia)		13,769		284,392
BlueScope Steel Ltd. (Australia)		821		6,673
Boliden AB (Sweden)		945		21,663
Evolution Mining Ltd. (Australia)		5,566		22,043
Fortescue Metals Group Ltd. (Australia).		39,262		379,030
Freeport-McMoRan, Inc.		63,788		738,027
Newcrest Mining Ltd. (Australia)		2,607		57,617
Newmont Corp.		36,300		2,241,162
Northern Star Resources Ltd. (Australia)		2,472		23,243
Nucor Corp.		14,000		579,740
Rio Tinto Ltd. (Australia)		1,286		87,316
Rio Tinto PLC (Australia)		10,066		571,332
Sumitomo Metal Mining Co. Ltd. (Japan)		900		25,225
				5,686,755
Multiline Retail — 0.3%
Dollar General Corp.		11,400		2,171,814
Dollar Tree, Inc.*		10,965		1,016,236
Kohl’s Corp.		4,700		97,619
Pan Pacific International Holdings Corp. (Japan)		1,500		32,946
Target Corp.		22,600		2,710,418
Wesfarmers Ltd. (Australia)		3,921		122,246
				6,151,279
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		2,317		27,442
Ameren Corp.(a)		11,500		809,140
CenterPoint Energy, Inc.		20,900		390,203
CMS Energy Corp.(a)		13,100		765,302
Consolidated Edison, Inc.		15,000		1,078,950
Dominion Energy, Inc.		37,915		3,077,940
DTE Energy Co.		8,600		924,500
National Grid PLC (United Kingdom)		11,934		146,693
NiSource, Inc.		17,300		393,402
Public Service Enterprise Group, Inc.		22,400		1,101,184
Sempra Energy(a)		13,219		1,549,663
WEC Energy Group, Inc.		14,213		1,245,769
				11,510,188
Oil, Gas & Consumable Fuels — 1.3%
Apache Corp.		13,914		187,839
Cabot Oil & Gas Corp.		17,000		292,060
Chevron Corp.		84,522		7,541,898
Concho Resources, Inc.		8,900		458,350
ConocoPhillips		48,477		2,037,004

	Shares		Value
COMMON STOCKS (continued)
Oil, Gas & Consumable Fuels (cont’d.)
Devon Energy Corp.		13,500	$	153,090
Diamondback Energy, Inc.		7,200		301,104
EOG Resources, Inc.		26,300		1,332,358
Exxon Mobil Corp.		191,299		8,554,891
Hess Corp.		11,300		585,453
HollyFrontier Corp.		5,400		157,680
Inpex Corp. (Japan)		42,300		263,657
Kinder Morgan, Inc.		86,098		1,306,107
Koninklijke Vopak NV (Netherlands)		256		13,574
Lundin Energy AB (Sweden)		2,491		61,098
Marathon Oil Corp.(a)		28,782		176,146
Marathon Petroleum Corp.		29,419		1,099,682
Neste OYJ (Finland)		1,469		57,684
Noble Energy, Inc.		16,800		150,528
Occidental Petroleum Corp.(a)		39,104		715,603
OMV AG (Austria)*		6,338		214,501
ONEOK, Inc.		18,100		601,282
Origin Energy Ltd. (Australia)		60,060		244,947
Phillips 66		19,738		1,419,162
Pioneer Natural Resources Co.		7,450		727,865
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		14,702		235,889
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		3,301		50,412
Santos Ltd. (Australia)		60,705		224,294
TOTAL SA (France)		8,086		312,481
Valero Energy Corp.		18,900		1,111,698
Williams Cos., Inc. (The)		52,900		1,006,158
				31,594,495
Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		1,400		6,427
Personal Products — 0.1%
Coty, Inc. (Class A Stock)(a)		11,100		49,617
Estee Lauder Cos., Inc. (The) (Class A Stock)		10,400		1,962,272
Kao Corp. (Japan)		700		55,448
L’Oreal SA (France)*		351		112,883
Unilever NV (United Kingdom)		10,141		541,173
Unilever PLC (United Kingdom)		3,891		209,959
				2,931,352
Pharmaceuticals — 2.2%
Astellas Pharma, Inc. (Japan)		24,600		410,499
AstraZeneca PLC (United Kingdom)		1,570		164,754
Bayer AG (Germany)		2,160		160,875
Bristol-Myers Squibb Co.		102,370		6,019,356
Chugai Pharmaceutical Co. Ltd. (Japan)		5,700		305,102
Eisai Co. Ltd. (Japan)		800		63,411
Eli Lilly & Co.		38,100		6,255,258
GlaxoSmithKline PLC (United Kingdom)		30,207		614,697
Hikma Pharmaceuticals PLC (Jordan)		512		14,109
Johnson & Johnson		119,258		16,771,253
Kyowa Kirin Co. Ltd. (Japan)		800		21,002
Merck & Co., Inc.		114,233		8,833,638
Mylan NV*		23,300		374,664

SEE NOTES TO FINANCIAL STATEMENTS.

A9

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Pharmaceuticals (cont’d.)
Novartis AG (Switzerland)		10,988	$	961,885
Novo Nordisk A/S (Denmark) (Class B Stock)		6,084		396,607
Ono Pharmaceutical Co. Ltd. (Japan)		1,400		40,796
Orion OYJ (Finland) (Class B Stock)		2,255		108,906
Otsuka Holdings Co. Ltd. (Japan)		1,400		61,019
Perrigo Co. PLC		6,200		342,674
Pfizer, Inc.		251,270		8,216,529
Recordati SpA (Italy)		354		17,729
Roche Holding AG (Switzerland)		3,274		1,140,402
Sanofi (France)		4,491		460,364
Shionogi & Co. Ltd. (Japan)		2,700		169,031
UCB SA (Belgium)		440		51,142
Zoetis, Inc.		21,500		2,946,360
				54,922,062
Professional Services — 0.2%
Adecco Group AG (Switzerland)		513		24,273
Equifax, Inc.		5,500		945,340
IHS Markit Ltd.		18,000		1,359,000
Nielsen Holdings PLC		13,200		196,152
Nihon M&A Center, Inc. (Japan)		400		18,258
Recruit Holdings Co. Ltd. (Japan)		9,300		320,521
RELX PLC (United Kingdom)		5,920		137,873
Robert Half International, Inc.(a)		4,700		248,301
Teleperformance (France)*		124		31,620
Verisk Analytics, Inc.		7,400		1,259,480
Wolters Kluwer NV (Netherlands)		4,522		354,814
				4,895,632
Real Estate Management & Development — 0.0%
Aroundtown SA (Germany)*		3,861		22,249
CBRE Group, Inc. (Class A Stock)*(a)		14,500		655,690
CK Asset Holdings Ltd. (Hong Kong)		11,500		68,632
Daito Trust Construction Co. Ltd. (Japan)		300		27,561
Deutsche Wohnen SE (Germany)		1,255		56,554
Hulic Co. Ltd. (Japan)		1,100		10,332
Lendlease Group (Australia)		2,334		20,166
Mitsubishi Estate Co. Ltd. (Japan)		4,100		60,879
Nomura Real Estate Holdings, Inc. (Japan)		8,700		161,345
Sino Land Co. Ltd. (Hong Kong)		10,000		12,590
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		2,000		9,577
				1,105,575
Road & Rail — 0.5%
Aurizon Holdings Ltd. (Australia)		92,424		315,424
CSX Corp.		34,600		2,413,004
J.B. Hunt Transport Services, Inc.		4,100		493,394
Kansas City Southern		4,300		641,947
Norfolk Southern Corp.		11,600		2,036,612
Old Dominion Freight Line, Inc.		4,265		723,302
Union Pacific Corp.		30,700		5,190,449
				11,814,132

	Shares		Value
COMMON STOCKS (continued)
Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc.*		53,000	$	2,788,330
Advantest Corp. (Japan)		6,800		388,789
Analog Devices, Inc.		16,658		2,042,937
Applied Materials, Inc.		41,500		2,508,675
ASML Holding NV (Netherlands)		545		201,375
Broadcom, Inc.		18,080		5,706,229
Infineon Technologies AG (Germany)		4,264		101,219
Intel Corp.		191,500		11,457,445
KLA Corp.		7,050		1,371,084
Lam Research Corp.		6,570		2,125,132
Lasertec Corp. (Japan)		300		28,590
Maxim Integrated Products, Inc.		12,400		751,564
Microchip Technology, Inc.(a)		11,100		1,168,941
Micron Technology, Inc.*		50,300		2,591,456
NVIDIA Corp.		27,850		10,580,494
Qorvo, Inc.*		5,407		597,636
QUALCOMM, Inc.		50,900		4,642,589
Skyworks Solutions, Inc.		7,600		971,736
STMicroelectronics NV (Switzerland)		2,333		63,891
SUMCO Corp. (Japan)		3,200		49,446
Texas Instruments, Inc.(a)		41,500		5,269,255
Tokyo Electron Ltd. (Japan)		700		172,776
Xilinx, Inc.		11,000		1,082,290
				56,661,879
Software — 4.4%
Adobe, Inc.*		21,800		9,489,758
ANSYS, Inc.*		4,000		1,166,920
Autodesk, Inc.*		10,000		2,391,900
Cadence Design Systems, Inc.*		12,700		1,218,692
Check Point Software Technologies Ltd. (Israel)*(a)		2,800		300,804
Citrix Systems, Inc.		5,400		798,714
Fortinet, Inc.*		6,100		837,347
Intuit, Inc.		11,800		3,495,042
Microsoft Corp.		343,090		69,822,246
NortonLifeLock, Inc.		22,978		455,654
Oracle Corp.		94,200		5,206,434
Oracle Corp. (Japan)		200		23,738
Paycom Software, Inc.*(a)		2,220		687,601
salesforce.com, Inc.*		40,750		7,633,697
SAP SE (Germany)		1,580		222,052
ServiceNow, Inc.*		8,670		3,511,870
Synopsys, Inc.*		7,000		1,365,000
TeamViewer AG (Germany), 144A*		450		24,769
Trend Micro, Inc. (Japan)		500		28,116
Tyler Technologies, Inc.*		1,600		555,008
				109,235,362
Specialty Retail — 1.1%
Advance Auto Parts, Inc.		3,100		441,595
AutoZone, Inc.*		1,100		1,240,932
Best Buy Co., Inc.		10,625		927,244
CarMax, Inc.*(a)		7,500		671,625
Gap, Inc. (The)		9,500		119,890
Hennes & Mauritz AB (Sweden) (Class B Stock)		1,836		26,835
Hikari Tsushin, Inc. (Japan)		1,100		250,846
Home Depot, Inc. (The)		48,670		12,192,322

SEE NOTES TO FINANCIAL STATEMENTS.

A10

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Specialty Retail (cont’d.)
Industria de Diseno Textil SA (Spain)		11,778	$	313,322
JD Sports Fashion PLC (United Kingdom)		27,482		212,798
Kingfisher PLC (United Kingdom)		7,480		20,463
L Brands, Inc.		7,206		107,874
Lowe’s Cos., Inc.		34,200		4,621,104
Nitori Holdings Co. Ltd. (Japan)		300		58,790
O’Reilly Automotive, Inc.*		3,400		1,433,678
Ross Stores, Inc.		16,100		1,372,364
Tiffany & Co.		5,220		636,527
TJX Cos., Inc. (The)		54,200		2,740,352
Tractor Supply Co.		5,300		698,487
Ulta Beauty, Inc.*		2,600		528,892
Yamada Denki Co. Ltd. (Japan)		2,300		11,405
				28,627,345
Technology Hardware, Storage & Peripherals — 2.8%
Apple, Inc.		184,360		67,254,528
Brother Industries Ltd. (Japan)		5,300		95,650
FUJIFILM Holdings Corp. (Japan)		2,500		106,916
Hewlett Packard Enterprise Co.		55,348		538,536
HP, Inc.		64,448		1,123,329
Logitech International SA (Switzerland)		4,871		318,474
NetApp, Inc.		9,900		439,263
Seagate Technology PLC(a)		10,000		484,100
Western Digital Corp.		13,403		591,742
Xerox Holdings Corp.		8,190		125,225
				71,077,763
Textiles, Apparel & Luxury Goods — 0.3%
EssilorLuxottica SA (France)*		702		90,437
Hanesbrands, Inc.		15,400		173,866
Hermes International (France)		380		319,312
LVMH Moet Hennessy Louis Vuitton SE (France)		955		424,682
NIKE, Inc. (Class B Stock)		56,100		5,500,605
Pandora A/S (Denmark)		342		18,702
PVH Corp.(a)		3,700		177,785
Ralph Lauren Corp.		2,500		181,300
Swatch Group AG (The) (Switzerland)		77		3,028
Tapestry, Inc.(a)		10,100		134,128
Under Armour, Inc. (Class A Stock)*		7,500		73,050
Under Armour, Inc. (Class C Stock)*		7,374		65,186
VF Corp.		14,100		859,254
				8,021,335
Tobacco — 0.4%
Altria Group, Inc.		84,100		3,300,925
British American Tobacco PLC (United Kingdom)		15,271		589,330
Imperial Brands PLC (United Kingdom)		13,705		262,122
Japan Tobacco, Inc. (Japan)		18,000		333,955
Philip Morris International, Inc.		70,500		4,939,230
Swedish Match AB (Sweden)		567		40,013
				9,465,575
Trading Companies & Distributors — 0.1%
AerCap Holdings NV (Ireland)*		4,100		126,280

	Shares		Value
COMMON STOCKS (continued)
Trading Companies & Distributors (cont’d.)
Ashtead Group PLC (United Kingdom)		1,560	$	52,828
Brenntag AG (Germany)		513		27,059
Bunzl PLC (United Kingdom)		1,184		31,923
Fastenal Co.		26,000		1,113,840
Ferguson PLC		4,211		344,701
ITOCHU Corp. (Japan)		4,700		101,217
Marubeni Corp. (Japan)		5,400		24,430
Mitsui & Co. Ltd. (Japan)		5,600		82,785
MonotaRO Co. Ltd. (Japan)		500		20,025
Toyota Tsusho Corp. (Japan)		700		17,785
United Rentals, Inc.*		3,300		491,832
W.W. Grainger, Inc.		2,040		640,886
				3,075,591
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A*		231		30,954
Water Utilities — 0.0%
American Water Works Co., Inc.		8,100		1,042,146
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		16,400		491,755
NTT DOCOMO, Inc. (Japan)		8,500		226,222
Softbank Corp. (Japan)		9,900		126,142
T-Mobile US, Inc.*		22,800		2,374,620
Vodafone Group PLC (United Kingdom)		5,190		8,281
				3,227,020
TOTAL COMMON STOCKS (cost $373,390,752)				1,204,111,031
EXCHANGE-TRADED FUNDS — 0.4%
iShares Core S&P 500 ETF		32,950		10,204,286
iShares MSCI EAFE ETF		3,059		186,201
TOTAL EXCHANGE-TRADED FUNDS (cost $8,447,220)				10,390,487
PREFERRED STOCKS — 0.1%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		75		3,641
Porsche Automobil Holding SE (Germany) (PRFC)*		540		31,281
Volkswagen AG (Germany) (PRFC)*		629		96,170
				131,092
Banks — 0.0%
Citigroup Capital XIII, 7.130%, (Capital Security, fixed to floating preferred)		20,000		530,000
Capital Markets — 0.1%
State Street Corp., 5.350%, (Capital Security, fixed to floating preferred)(rr)		30,000		786,000
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		612		57,049
TOTAL PREFERRED STOCKS (cost $1,457,449)				1,504,141

SEE NOTES TO FINANCIAL STATEMENTS.

A11

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES — 7.8%
Automobiles — 2.3%
AmeriCredit Automobile Receivables Trust,
Series 2018-01, Class C
3.500%		01/18/24		1,200	$	1,248,546
Series 2019-01, Class B
3.130%		02/18/25		600		623,046
Series 2019-01, Class C
3.360%		02/18/25		700		727,448
Series 2019-02, Class C
2.740%		04/18/25		1,400		1,441,205
Series 2019-03, Class C
2.320%		07/18/25		2,300		2,345,905
Avis Budget Rental Car Funding AESOP LLC,
Series 2018-02A, Class A, 144A
4.000%		03/20/25		1,100		1,110,130
Series 2019-02A, Class A, 144A
3.350%		09/22/25		2,000		2,026,573
Series 2019-03A, Class A, 144A
2.360%		03/20/26		2,700		2,662,192
Series 2020-01A, Class A, 144A
2.330%		08/20/26		1,300		1,242,315
Drive Auto Receivables Trust,
Series 2019-03, Class B
2.650%		02/15/24		900		907,970
Ford Auto Securitization Trust (Canada),
Series 2019-BA, Class A2, 144A
2.321%		10/15/23		CAD 1,700		1,258,596
Ford Credit Auto Owner Trust,
Series 2017-02, Class A, 144A
2.360%		03/15/29		4,200		4,321,835
Series 2018-01, Class A, 144A
3.190%		07/15/31		2,700		2,891,203
Series 2018-02, Class A, 144A
3.470%		01/15/30		2,200		2,328,223
Series 2019-01, Class A, 144A
3.520%		07/15/30		3,900		4,172,092
Series 2020-01, Class A, 144A
2.040%		08/15/31		2,500		2,540,307
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24		1,400		1,415,907
Series 2018-02, Class A
3.170%		03/15/25		9,700		9,981,120
Series 2019-02, Class A
3.060%		04/15/26		1,000		1,046,124
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24		300		316,560
OneMain Direct Auto Receivables Trust,
Series 2017-02A, Class B, 144A
2.550%		11/14/23		556		556,282
Series 2018-01A, Class A, 144A
3.430%		12/16/24		3,800		3,854,159
Series 2019-01A, Class A, 144A
3.630%		09/14/27		3,600		3,870,463
Santander Drive Auto Receivables Trust,
Series 2019-03, Class C
2.490%		10/15/25		1,300		1,313,800

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (cont’d.)
Toyota Auto Loan Extended Note Trust,
Series 2019-01A, Class A, 144A
2.560%		11/25/31		1,700	$	1,809,389
Series 2020-01A, Class A, 144A
1.350%		05/25/33		400		405,979
						56,417,369
Collateralized Loan Obligations — 3.5%
Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
2.488%(c)		07/22/32		2,500		2,444,354
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.499%(c)		07/15/29		500		491,507
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.469%(c)		07/15/29		1,000		984,794
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%)
1.955%(c)		01/17/28		970		958,798
Canyon Capital CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.469%(c)		04/15/29		2,500		2,462,704
CBAM Ltd. (Cayman Islands),
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%)
2.495%(c)		10/20/32		4,000		3,925,237
CIFC Funding Ltd. (Cayman Islands),
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
2.335%(c)		10/17/31		7,000		6,849,744
Galaxy CLO Ltd. (Cayman Islands),
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor 0.000%)
1.182%(c)		11/15/26		757		743,509
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)
2.229%(c)		04/15/31		1,000		971,686
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)
1.541%(c)		02/05/31		248		241,680
HPS Loan Management Ltd. (Cayman Islands),
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)
3.122%(c)		07/22/32		2,500		2,453,274
ICG US CLO Ltd. (Cayman Islands),
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)
2.275%(c)		10/19/28		7,000		6,894,337

SEE NOTES TO FINANCIAL STATEMENTS.

A12

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.323%(c)		10/23/29		1,250	$	1,228,524
Jamestown CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)
2.605%(c)		04/20/32		4,750		4,665,232
Jefferson Mill CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%)
2.310%(c)		10/20/31		4,250		4,138,637
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)
2.229%(c)		04/21/31		3,488		3,393,431
Mountain View CLO Ltd. (Cayman Islands),
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%)
2.339%(c)		07/15/31		2,500		2,425,204
Ocean Trails CLO Ltd. (Cayman Islands),
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
2.535%(c)		04/17/30		1,750		1,706,972
OCP CLO Ltd. (Cayman Islands),
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)
2.465%(c)		07/20/32		7,000		6,882,233
OZLM Ltd. (Cayman Islands),
Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%)
2.215%(c)		04/17/31		2,989		2,898,463
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.010%(c)		10/30/30		746		724,695
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)
2.525%(c)		07/20/32		2,500		2,431,274
Palmer Square CLO Ltd. (Cayman Islands),
Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)
2.235%(c)		07/20/30		5,000		4,881,568
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
1.644%(c)		11/14/29		500		491,916
Telos CLO Ltd. (Cayman Islands),
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)
2.435%(c)		07/17/26		1,313		1,309,914
TIAA CLO Ltd. (Cayman Islands),
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 0.000%)
2.335%(c)		07/20/31		1,750		1,697,253
Trimaran Cavu Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)
2.595%(c)		07/20/32		7,500		7,415,239

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Trinitas CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.201%(c)		01/25/31		1,750	$	1,706,287
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)
2.099%(c)		07/15/27		874		866,419
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)
2.285%(c)		01/17/31		2,000		1,946,337
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
2.335%(c)		10/20/31		3,750		3,620,183
York CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
2.448%(c)		07/22/32		2,000		1,960,503
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)
2.589%(c)		07/15/29		1,238		1,217,377
						87,029,285
Consumer Loans — 0.1%
OneMain Financial Issuance Trust,
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%)
0.985%(c)		09/14/32		1,199		1,195,137
Oportun Funding LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,100		1,104,260
Series 2018-D, Class A, 144A
4.150%		12/09/24		800		799,384
						3,098,781
Equipment — 0.2%
MMAF Equipment Finance LLC,
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,214,727
Series 2018-A, Class A5, 144A
3.610%		03/10/42		500		538,832
Series 2019-A, Class A5, 144A
3.080%		11/12/41		1,600		1,722,925
Series 2019-B, Class A5, 144A
2.290%		11/12/41		1,600		1,694,160
						6,170,644
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%)
1.835%(c)		03/25/33		67		67,214

SEE NOTES TO FINANCIAL STATEMENTS.

A13

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (cont’d.)
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%)
1.085%(c)		07/25/32		22	$	21,963
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%)
1.460%(c)		09/25/32		1,370		1,340,402
						1,429,579
Other — 0.2%
Sierra Timeshare Receivables Funding LLC,
Series 2018-02A, Class A, 144A
3.500%		06/20/35		821		834,112
Series 2019-02A, Class A, 144A
2.590%		05/20/36		1,303		1,303,050
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.985%(c)		06/25/24		2,240		2,100,989
						4,238,151
Residential Mortgage-Backed Securities — 0.4%
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,075		1,100,342
CWABS, Inc., Asset-Backed Certificates,
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.500%)
0.935%(c)		03/25/34		494		489,555
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		165		167,504
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		981		979,111
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		123		123,883
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.530%)
0.980%(c)		06/25/34		159		151,284
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61		1,098		1,123,509
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23		EUR 1,867		1,944,769
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		722		743,688
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%)
0.785%(c)		02/25/57		1,774		1,758,344
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		1,820		1,885,396
Series 2018-02, Class A1, 144A
3.250%(cc)		03/25/58		106		110,852
Series 2018-03, Class A1, 144A
3.750%(cc)		05/25/58		80		85,732

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (cont’d.)
Series 2018-05, Class A1, 144A
3.250%(cc)		07/25/58		631	$	670,477
						11,334,446
Student Loans — 1.0%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		1,275		1,295,757
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		966		993,411
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		341		354,153
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		896		917,539
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		1,574		1,592,985
Series 2019-A, Class A2FX, 144A
2.730%		10/25/48		1,000		1,030,109
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		3,247		3,323,587
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		1,200		1,238,302
Series 2019-CA, Class A2, 144A
3.130%		02/15/68		1,400		1,444,377
Series 2019-EA, Class A2A, 144A
2.640%		05/15/68		1,500		1,532,735
Series 2020-BA, Class A2, 144A
2.120%		01/15/69		1,100		1,117,357
SoFi Professional Loan Program LLC,
Series 2019-A, Class A2FX, 144A
3.690%		06/15/48		2,600		2,725,568
Series 2019-B, Class A2FX, 144A
3.090%		08/17/48		1,400		1,454,509
Series 2019-C, Class A2FX, 144A
2.370%		11/16/48		1,700		1,735,438
SoFi Professional Loan Program Trust,
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		2,200		2,274,814
Series 2020-A, Class A2FX, 144A
2.540%		05/15/46		1,700		1,761,549
						24,792,190
TOTAL ASSET-BACKED SECURITIES (cost $193,614,013)						194,510,445
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.6%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		3,179,335
Barclays Commercial Mortgage Securities Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		3,850		4,462,569
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		3,600		4,111,826

SEE NOTES TO FINANCIAL STATEMENTS.

A14

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
CFCRE Commercial Mortgage Trust,
Series 2016-C04, Class A3
3.014%		05/10/58		2,500	$	2,655,331
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		974		1,038,114
Series 2016-C01, Class A3
2.944%		05/10/49		2,700		2,883,879
Series 2017-P07, Class A3
3.442%		04/14/50		4,000		4,408,067
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		590		591,777
Series 2014-CR18, Class A4
3.550%		07/15/47		2,088		2,233,739
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,412,894
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		2,500		2,716,371
Series 2017-C08, Class A3
3.127%		06/15/50		3,800		4,107,249
Fannie Mae-Aces,
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		738		791,639
Series 2015-M17, Class A2
3.015%(cc)		11/25/25		2,917		3,188,394
Series 2017-M01, Class A2
2.497%(cc)		10/25/26		1,600		1,725,625
Series 2017-M04, Class A2
2.670%(cc)		12/25/26		8,600		9,387,394
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		5,900		6,594,676
Series 2018-M04, Class A2
3.147%(cc)		03/25/28		3,075		3,469,196
FHLMC Multifamily Structured Pass-Through Certificates,
Series K0055, Class X1, IO
1.498%(cc)		03/25/26		4,558		301,220
Series K0069, Class A2
3.187%(cc)		09/25/27		3,500		4,002,500
Series K0072, Class A2
3.444%		12/25/27		1,400		1,629,411
Series K020, Class X1, IO
1.498%(cc)		05/25/22		18,211		385,412
Series K021, Class X1, IO
1.548%(cc)		06/25/22		5,135		113,094
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,774,028
Series K068, Class AM
3.315%		08/25/27		4,100		4,700,331
Series K069, Class AM
3.248%(cc)		09/25/27		750		853,396
Series K070, Class A2
3.303%(cc)		11/25/27		5,200		5,994,278
Series K070, Class AM
3.364%		12/25/27		1,100		1,270,061

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K075, Class AM
3.650%(cc)		02/25/28		2,550	$	2,985,773
Series K076, Class A2
3.900%		04/25/28		6,200		7,424,203
Series K076, Class AM
3.900%		04/25/28		1,825		2,175,505
Series K077, Class A2
3.850%(cc)		05/25/28		3,470		4,137,091
Series K077, Class AM
3.850%(cc)		05/25/28		690		822,169
Series K080, Class AM
3.986%(cc)		07/25/28		5,150		6,161,348
Series K081, Class AM
3.900%(cc)		08/25/28		2,600		3,099,691
Series K086, Class AM
3.919%(cc)		12/25/28		800		965,435
Series K157, Class A2
3.990%(cc)		05/25/33		3,100		3,835,135
Series W5FX, Class AFX
3.336%(cc)		04/25/28		1,630		1,851,656
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		3,188,684
Series 2015-GC34, Class A3
3.244%		10/10/48		4,800		5,160,037
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		4,381,411
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		4,346,437
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		700		749,399
Series 2015-C27, Class A3A1
2.920%		02/15/48		4,841		5,109,357
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,853,275
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		2,500		2,657,239
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		498		512,509
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,081		1,109,457
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48		5,000		5,448,868
Series 2016-UB11, Class A3
2.531%		08/15/49		6,300		6,628,255
Series 2019-H06, Class A3
3.158%		06/15/52		5,000		5,530,493
Series 2019-H07, Class A2
2.492%		07/15/52		9,400		9,769,530

SEE NOTES TO FINANCIAL STATEMENTS.

A15

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50			2,500	$	2,685,423
Series 2017-C05, Class A4
3.212%		11/15/50			5,000		5,418,712
Series 2018-C09, Class A3
3.854%		03/15/51			1,800		2,017,554
Series 2018-C14, Class A3
4.180%		12/15/51			2,900		3,335,831
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45			1,400		1,426,508
Series 2013-C05, Class A3
2.920%		03/10/46			967		988,677
Series 2013-C06, Class A3
2.971%		04/10/46			1,498		1,542,417
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49			4,500		4,716,262
Series 2017-C38, Class A4
3.190%		07/15/50			3,300		3,623,897
Series 2019-C49, Class A3
3.749%		03/15/52			7,300		8,089,707
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $196,165,371)							214,729,751
CORPORATE BONDS — 10.9%
Aerospace & Defense — 0.2%
Boeing Co. (The),
Sr. Unsec’d. Notes
3.750%		02/01/50	(a)		1,470		1,333,894
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25			551		489,089
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23			765		729,724
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			910		1,071,863
							3,624,570
Agriculture — 0.2%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			2,685		2,869,607
Vector Group Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,000		960,260
							3,829,867
Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28			1,983		1,658,865

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Airlines (cont’d.)
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			13	$	13,068
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			300		295,261
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26			273		249,215
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			198		194,348
Southwest Airlines Co.,
Sr. Unsec’d. Notes
2.625%		02/10/30			1,765		1,588,940
							3,999,697
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
1.721%(c)		04/12/21			355		353,610
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.350%		05/04/21			1,455		1,481,459
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46			665		547,962
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			515		509,850
3.350%		11/01/22			2,845		2,733,034
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			740		778,441
6.600%		04/01/36			585		629,881
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
2.170%(c)		04/09/21			820		812,906
Gtd. Notes
3.550%		04/09/21			620		627,412
3.950%		04/13/24			1,700		1,755,805
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			2,300		2,311,661
							12,542,021
Banks — 2.7%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
2.431%(c)		04/12/23			400		394,505
Sr. Unsec’d. Notes
3.848%		04/12/23			800		850,661
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		275		304,343
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,145		1,131,286

SEE NOTES TO FINANCIAL STATEMENTS.

A16

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Sr. Unsec’d. Notes, MTN
3.194%(ff)		07/23/30			1,050	$	1,158,186
3.824%(ff)		01/20/28			615		694,736
Sub. Notes, MTN
4.000%		01/22/25			1,700		1,879,941
4.200%		08/26/24			745		826,560
4.450%		03/03/26			4,790		5,502,246
Bank of America NA,
Sub. Notes
6.000%		10/15/36	(a)		805		1,141,691
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			610		660,729
3.684%		01/10/23			320		331,867
4.375%		01/12/26			323		364,622
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29	(a)		705		826,096
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
2.219%(ff)		06/09/26			1,650		1,686,370
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,590		1,501,033
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		945		923,858
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		640		679,328
Sr. Unsec’d. Notes
3.200%		10/21/26			670		734,687
3.700%		01/12/26			1,610		1,798,989
3.887%(ff)		01/10/28			560		630,317
8.125%		07/15/39	(a)		365		631,843
Sub. Notes
4.450%		09/29/27			1,485		1,690,000
4.750%		05/18/46	(a)		440		556,525
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.193%(ff)		06/05/26			1,100		1,114,342
4.282%		01/09/28			980		1,096,161
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,240		1,256,294
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,413,744
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			595		670,121
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.370%(c)		—	(rr)		1,800		1,646,642
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		560		566,140
Sr. Unsec’d. Notes
3.750%		02/25/26			1,165		1,303,549
3.814%(ff)		04/23/29			440		497,021
3.850%		01/26/27			2,625		2,951,504

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Sub. Notes
6.750%		10/01/37			225	$	325,632
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%
2.558%(c)		03/08/21			920		931,785
ING Groep NV (Netherlands),
Sr. Unsec’d. Notes
3.550%		04/09/24			400		435,854
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series FF
5.000%(ff)		—	(rr)		540		518,111
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
4.230%(c)		—	(rr)		979		895,522
Jr. Sub. Notes, Series II
4.000%(ff)		—	(rr)		230		200,971
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,175		1,204,238
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			270		305,314
3.964%(ff)		11/15/48			2,240		2,699,823
4.005%(ff)		04/23/29			1,360		1,571,149
Sub. Notes
3.875%		09/10/24			3,525		3,902,823
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
4.829%(c)		—	(a)(rr)		640		568,067
Sr. Unsec’d. Notes
4.375%		01/22/47	(a)		930		1,200,800
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			610		658,069
3.772%(ff)		01/24/29			1,295		1,473,740
3.875%		01/27/26			550		624,526
4.431%(ff)		01/23/30			455		541,938
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,030		1,157,837
Sub. Notes, GMTN
4.350%		09/08/26			3,050		3,511,927
Royal Bank of Scotland Group PLC (United Kingdom),
Sr. Unsec’d. Notes
4.445%(ff)		05/08/30			1,570		1,819,412
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24			1,255		1,331,661
Wells Fargo & Co.,
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			2,895		3,026,171
							68,321,307
Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.700%		02/01/36			1,220		1,427,187
Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28			300		304,152

SEE NOTES TO FINANCIAL STATEMENTS.

A17

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals — 0.3%
Braskem Netherlands Finance BV (Brazil),
Gtd. Notes, 144A
5.875%		01/31/50			335	$	290,805
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,160		1,210,198
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			740		801,028
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			2,675		2,743,003
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			350		420,113
9.400%		05/15/39			30		49,805
LYB International Finance BV,
Gtd. Notes
4.875%		03/15/44			620		727,249
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24	(a)		875		814,184
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			600		540,683
6.500%		09/27/28			405		357,979
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			500		600,050
							8,555,097
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			875		845,053
7.000%		10/15/37	(a)		390		499,988
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735		753,130
5.250%		01/15/30			265		273,940
5.875%		09/15/26			150		157,129
							2,529,240
Diversified Financial Services — 0.1%
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			445		490,079
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		953,804
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		532,950
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,850		20,720
6.875%		05/02/18	(d)		700		8,050

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Diversified Financial Services (cont’d.)
Private Export Funding Corp.,
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24			285	$	305,510
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			255		286,035
							2,597,148
Electric — 1.4%
Avista Corp.,
First Mortgage
4.350%		06/01/48			845		1,049,476
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			530		747,127
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37	(a)		335		473,977
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33			300		449,258
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series 09-C
5.500%		12/01/39			145		196,257
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,470		2,527,497
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48			1,075		1,331,935
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38			530		776,460
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			845		1,100,913
Enel Finance International NV (Italy),
Gtd. Notes, 144A
4.625%		09/14/25			1,545		1,760,620
Engie Energia Chile SA (Chile),
Sr. Unsec’d. Notes, 144A
3.400%		01/28/30			400		416,511
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22			2,397		2,502,115
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,375		1,643,209
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			265		339,287
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33			380		541,914
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			140		192,438

SEE NOTES TO FINANCIAL STATEMENTS.

A18

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (cont’d.)
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28			2,105	$	2,383,055
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			575		650,410
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24			1,560		1,724,502
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035		1,216,362
Ohio Power Co.,
Sr. Unsec’d. Notes
4.000%		06/01/49			465		565,888
PECO Energy Co.,
First Mortgage
2.800%		06/15/50			785		808,875
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		1,055,006
5.000%		03/15/44			495		593,203
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21			1,260		1,285,863
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			675		741,024
3.700%		05/01/28			850		983,412
Sr. Sec’d. Notes, MTN
5.800%		05/01/37	(a)		515		732,123
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		1,234,394
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			350		399,679
First Ref. Mortgage, Series C
3.600%		02/01/45			690		747,419
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			495		502,040
Sr. Sec’d. Notes, 144A
3.550%		07/15/24			1,475		1,525,642
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		582,912
							33,780,803
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			650		660,365
Engineering & Construction — 0.1%
AECOM,
Gtd. Notes
5.125%		03/15/27	(a)		1,000		1,074,214

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Engineering & Construction (cont’d.)
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
5.500%		07/31/47		1,350	$	1,190,761
						2,264,975
Foods — 0.1%
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.875%		10/01/49		1,030		1,066,375
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49		1,120		1,396,820
						2,463,195
Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41		1,270		1,655,333
Gas — 0.2%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.600%		12/15/44		45		51,837
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		2,355		2,658,021
Piedmont Natural Gas Co., Inc.,
Sr. Unsec’d. Notes
3.500%		06/01/29		2,090		2,384,363
						5,094,221
Healthcare-Products — 0.1%
Abbott Laboratories,
Sr. Unsec’d. Notes
4.900%		11/30/46		720		1,028,878
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39		EUR 1,125		1,201,679
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31		EUR 200		244,611
2.250%		03/07/39		EUR 300		378,288
						2,853,456
Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		480		676,404
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		330		412,413
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		435		435,195
HCA, Inc.,
Gtd. Notes
5.875%		02/01/29		575		650,055

SEE NOTES TO FINANCIAL STATEMENTS.

A19

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (cont’d.)
Sr. Sec’d. Notes
5.125%		06/15/39			665	$	773,864
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47			670		875,217
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			160		165,955
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%		12/01/23			725		720,985
New York and Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45			340		417,640
							5,127,728
Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27			405		420,584
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24			600		619,996
							1,040,580
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26	(a)		2,010		2,108,080
Insurance — 0.2%
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50			1,125		1,187,057
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37			701		930,834
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43			165		190,015
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39			650		985,698
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			105		128,951
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			1,430		1,707,237
6.850%		12/16/39			122		185,907
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			315		317,429
							5,633,128

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22			805	$	808,729
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,060		1,115,127
Media — 0.6%
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24			400		396,896
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50			870		989,952
6.384%		10/23/35			1,695		2,236,626
6.484%		10/23/45			1,000		1,335,420
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22			1,440		1,664,152
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28	(a)		1,455		1,742,341
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37			677		797,247
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41			270		326,126
ViacomCBS, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44			1,340		1,497,179
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22			850		878,501
Walt Disney Co. (The),
Gtd. Notes
7.625%		11/30/28			1,265		1,813,614
							13,678,054
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75			315		317,521
Miscellaneous Manufacturing — 0.1%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%		07/01/27			800		825,566
Pentair Finance Sarl,
Gtd. Notes
4.500%		07/01/29			2,415		2,651,424
							3,476,990

SEE NOTES TO FINANCIAL STATEMENTS.

A20

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest 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			480	$	483,209
2.750%		01/06/23			385		402,920
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			226		233,631
							1,119,760
Oil & Gas — 0.8%
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25			950		564,004
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			850		731,267
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
2.875%		09/30/29	(a)		1,350		1,435,060
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			150		168,741
Continental Resources, Inc.,
Gtd. Notes
4.500%		04/15/23	(a)		2,141		2,045,244
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			225		219,813
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			255		269,035
6.510%		03/07/22			440		471,861
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25			1,555		1,672,047
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25			400		430,241
Newfield Exploration Co.,
Gtd. Notes
5.750%		01/30/22			80		80,063
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			595		540,956
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36			1,000		424,074
4.850%		03/15/21			287		287,115
6.450%		09/15/36			1,040		895,999
Ovintiv, Inc.,
Gtd. Notes
6.500%		02/01/38			240		203,397
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.750%		02/01/29			610		626,698
6.900%		03/19/49			600		631,902

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
Gtd. Notes, 144A
5.093%		01/15/30			577	$	574,505
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.500%		01/21/21			205		205,505
6.350%		02/12/48			458		340,008
6.500%		03/13/27			230		209,815
Gtd. Notes, 144A
6.490%		01/23/27			346		315,679
7.690%		01/23/50			1,682		1,393,587
Gtd. Notes, MTN
6.750%		09/21/47			1,805		1,389,067
6.875%		08/04/26			770		727,695
Sinopec Group Overseas Development 2018 Ltd. (China),
Gtd. Notes, 144A
3.680%		08/08/49			990		1,120,516
Valero Energy Corp.,
Sr. Unsec’d. Notes
4.000%		04/01/29	(a)		580		646,440
							18,620,334
Oil & Gas Services — 0.0%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25			139		152,629
Packaging & Containers — 0.0%
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22			675		716,362
Pharmaceuticals — 0.7%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			950		1,050,320
4.500%		05/14/35			1,595		1,925,345
4.700%		05/14/45			855		1,065,490
Sr. Unsec’d. Notes, 144A
4.250%		11/21/49			1,480		1,789,223
4.550%		03/15/35			1,770		2,143,320
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
0.927%(c)		06/25/21	(a)		805		805,205
Gtd. Notes, 144A
3.500%		06/25/21			350		358,717
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			372		409,244
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
4.125%		06/15/39	(a)		280		355,875
4.250%		10/26/49			1,285		1,692,280
5.000%		08/15/45			745		1,037,367
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28			1,870		2,212,316
Sr. Unsec’d. Notes
3.200%		03/15/40			530		563,486

SEE NOTES TO FINANCIAL STATEMENTS.

A21

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (cont’d.)
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38			210	$	259,624
5.125%		07/20/45			991		1,278,605
5.300%		12/05/43			185		240,949
Upjohn, Inc.,
Gtd. Notes, 144A
3.850%		06/22/40			1,230		1,319,291
							18,506,657
Pipelines — 0.6%
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21			610		622,736
4.950%		06/15/28			795		855,664
5.000%		05/15/50			990		938,818
6.125%		12/15/45			120		126,122
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25	(a)		1,055		1,169,425
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,140		1,222,685
4.700%		04/15/48			750		751,843
4.875%		06/01/25			2,275		2,538,856
5.200%		03/01/47			25		26,684
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			130		145,541
ONEOK, Inc.,
Gtd. Notes
3.100%		03/15/30			3,495		3,344,775
4.500%		03/15/50			245		228,049
4.950%		07/13/47			640		617,630
Western Midstream Operating LP,
Sr. Unsec’d. Notes
4.000%		07/01/22			1,315		1,311,483
5.300%		03/01/48			80		64,939
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48			230		251,096
4.900%		01/15/45			1,100		1,171,177
							15,387,523
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			725		792,247
Retail — 0.3%
AutoZone, Inc.,
Sr. Unsec’d. Notes
3.750%		04/18/29			1,820		2,060,158
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,818,487

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail (cont’d.)
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23	(a)		500	$	472,887
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22			168		150,529
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		990,609
							7,492,670
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22	(a)		1,195		1,243,060
Semiconductors — 0.0%
Broadcom, Inc.,
Gtd. Notes, 144A
3.459%		09/15/26			667		716,001
Software — 0.0%
Microsoft Corp.,
Sr. Unsec’d. Notes
2.675%		06/01/60			360		375,562
Telecommunications — 0.6%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			1,665		1,827,254
3.600%		07/15/25			250		277,364
3.800%		02/15/27			1,200		1,347,161
4.300%		02/15/30			490		572,891
4.500%		05/15/35			225		265,235
4.550%		03/09/49			4		4,715
4.850%		03/01/39			3,615		4,386,879
5.350%		09/01/40			113		142,053
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30			350		572,132
CenturyLink, Inc.,
Sr. Sec’d. Notes, 144A
4.000%		02/15/27	(a)		785		760,858
Level 3 Financing, Inc.,
Sr. Sec’d. Notes, 144A
3.400%		03/01/27			250		264,468
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			438		443,471
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.016%		12/03/29			1,365		1,629,750
4.125%		08/15/46			520		644,562
4.500%		08/10/33			865		1,083,697
4.862%		08/21/46			615		833,559
							15,056,049

SEE NOTES TO FINANCIAL STATEMENTS.

A22

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		735	$	1,015,919
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		690		966,155
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		120		142,686
						2,124,760
TOTAL CORPORATE BONDS (cost $254,546,557)						272,112,185
MUNICIPAL BONDS — 0.7%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs, Series B
4.263%		09/15/32		180		214,178
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
2.574%		04/01/31		415		446,777
6.263%		04/01/49		1,305		2,250,916
State of California,
General Obligation, BABs
7.300%		10/01/39		1,250		2,073,963
7.500%		04/01/34		350		568,438
7.625%		03/01/40		205		356,288
						5,696,382
Colorado — 0.1%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, Series B, BABs
5.844%		11/01/50		565		939,132
Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970		1,444,505
State of Illinois,
General Obligation
5.100%		06/01/33		200		202,950
General Obligation, Series D, BABs
5.000%		11/01/22		2,305		2,417,230
						4,064,685
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, BABs
7.414%		01/01/40		1,000		1,699,180
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,440,934

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, BABs
4.910%		06/01/40		415	$	592,906
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		321,255
						914,161
Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, BABs
5.834%		11/15/34		425		617,882
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505		779,503
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		355		480,436
TOTAL MUNICIPAL BONDS (cost $12,056,172)						16,846,473
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.9%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/20		20		19,901
Banc of America Funding Trust,
Series 2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		104		102,357
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.709%(cc)		02/25/35		92		89,225
Bellemeade Re Ltd. (Bermuda),
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.785%(c)		04/25/28		87		86,114
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.535%(c)		08/25/28		148		147,167
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.770%(c)		08/25/28		300		272,129
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.845%(c)		06/25/30		620		620,109
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)
3.595%(c)		06/25/30		160		160,000
BVRT Financing Trust,
Series 2019-01, Class F, 144A
2.327%		09/15/21^		4,536		4,500,229
Central Park Funding Trust,
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.673%(c)		11/01/23		3,500		3,443,174

SEE NOTES TO FINANCIAL STATEMENTS.

A23

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Chase Mortgage Finance Trust,
Series 2007-A01, Class 1A5
3.988%(cc)		02/25/37		180	$	174,735
CIM Trust,
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)
2.173%(c)		01/25/57		1,831		1,830,094
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,854		1,863,800
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65		1,664		1,657,971
Credit Suisse Mortgage Trust,
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57		1,526		1,618,966
Freddie Mac REMICS,
Series 4535, Class PA
3.000%		03/15/44		810		847,017
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)
1.485%(c)		03/25/29		63		62,595
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
1.385%(c)		07/25/29		139		138,925
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		03/25/30		589		588,621
Freddie Mac Structured Agency Credit Risk Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		09/25/48		2		2,360
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		02/25/49		93		93,140
Home Re Ltd. (Bermuda),
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)
1.835%(c)		05/25/29		116		114,134
JPMorgan Mortgage Trust,
Series 2007-A01, Class 4A1
3.995%(cc)		07/25/35		73		69,811
LSTAR Securities Investment Trust,
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)
1.673%(c)		04/01/24		118		117,781
MetLife Securitization Trust,
Series 2018-01A, Class A, 144A
3.750%(cc)		03/25/57		298		317,631
Mill City Mortgage Loan Trust,
Series 2019-01, Class A1, 144A
3.250%(cc)		10/25/69		662		697,083
New Residential Mortgage Loan Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,071		1,135,201
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
0.935%(c)		01/25/48		388		384,369

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Oaktown Re Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)
1.735%(c)		07/25/28		42	$	41,828
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400%
1.585%(c)		07/25/29		29		28,697
Seasoned Credit Risk Transfer Trust,
Series 2019-02, Class MA
3.500%		08/25/58		1,401		1,526,890
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.765%(cc)		02/25/34		123		118,885
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $22,706,720)						22,870,939
SOVEREIGN BONDS — 1.0%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27		2,420		2,646,019
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		220		231,624
4.375%		07/12/21		400		411,131
5.000%		06/15/45		430		484,982
7.375%		09/18/37		450		616,394
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28		745		775,248
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25		400		434,188
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21		714		742,596
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR 1,200		1,462,797
4.450%		02/11/24		355		385,257
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24		750		849,473
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24		EUR 1,510		1,747,380
4.750%		01/08/26		350		394,620
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
3.375%		10/31/23		200		218,551
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		10/25/23		1,000		1,047,530
2.625%		04/20/22		1,400		1,451,196
3.000%		03/12/24		200		216,652
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24		395		429,872
4.500%		04/16/50		340		415,587

SEE NOTES TO FINANCIAL STATEMENTS.

A24

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date				Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Province of Manitoba (Canada),
Sr. Unsec’d. Notes, Series GX
2.600%		04/16/24				225	$	241,816
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23				240		262,612
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23				800		858,597
4.817%		03/14/49				200		264,288
5.103%		04/23/48				665		908,051
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39				EUR 960		1,188,298
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21				980		994,221
2.875%		03/04/23				1,285		1,340,177
4.000%		04/17/25				750		832,666
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				1,200		1,243,038
3.250%		06/01/23				600		644,686
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55	(a)			405		518,740
5.100%		06/18/50	(a)			395		510,109
TOTAL SOVEREIGN BONDS (cost $23,170,581)								24,768,396
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.5%
Federal Home Loan Bank
5.500%		07/15/36	(k)			850		1,328,449
Federal Home Loan Mortgage Corp.
2.000%		01/01/32				792		823,713
2.500%		03/01/30				451		479,346
3.000%		10/01/28				321		341,616
3.000%		06/01/29				634		674,841
3.000%		01/01/37				205		217,373
3.000%		06/01/42				327		349,520
3.000%		10/01/42				784		840,444
3.000%		01/01/43				705		755,490
3.000%		07/01/43				1,859		1,992,205
3.500%		06/01/42				329		356,497
3.500%		01/01/47				689		732,657
3.500%		02/01/47				958		1,016,525
4.000%		06/01/26				359		381,250
4.000%		09/01/26				131		139,280
4.000%		03/01/38				388		417,816
4.000%		10/01/39				584		640,606
4.000%		09/01/40				873		957,079
4.000%		12/01/40				343		375,981
4.000%		10/01/41				365		400,201
4.000%		01/01/42				128		140,376
4.500%		07/01/20		��		1		589
4.500%		02/01/39				75		83,178
4.500%		09/01/39				124		138,332
4.500%		10/01/39				1,113		1,238,306

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		12/01/39			109	$	121,592
4.500%		07/01/41			179		193,377
4.500%		07/01/41			1,635		1,820,495
4.500%		08/01/41			123		133,039
4.500%		08/01/41			186		203,351
4.500%		08/01/41			271		295,427
4.500%		10/01/41			146		157,766
4.500%		12/01/47			304		327,671
4.500%		08/01/48			788		847,820
5.000%		05/01/34			16		18,268
5.000%		05/01/34			233		266,846
5.000%		10/01/35			6		6,881
5.000%		07/01/37			386		442,442
5.000%		05/01/39			51		58,738
5.500%		12/01/33			42		46,598
5.500%		01/01/34			40		44,810
5.500%		06/01/34			75		86,105
5.500%		07/01/34			171		195,412
5.500%		05/01/37			45		51,985
5.500%		02/01/38			353		405,273
5.500%		05/01/38			38		43,709
5.500%		07/01/38			96		110,443
6.000%		03/01/32			138		154,874
6.000%		12/01/33			49		54,975
6.000%		11/01/36			46		52,343
6.000%		01/01/37			38		43,623
6.000%		05/01/37			20		23,613
6.000%		02/01/38			3		4,029
6.000%		08/01/39			51		59,141
6.750%		09/15/29			605		910,503
6.750%	��	03/15/31	(k)		550		864,845
7.000%		05/01/31			6		6,488
7.000%		06/01/31			13		13,755
7.000%		08/01/31			106		122,538
7.000%		10/01/31			6		6,713
Federal National Mortgage Assoc.
2.000%		TBA			3,500		3,572,224
2.000%		TBA			9,000		9,293,906
2.000%		08/01/31			731		759,651
2.500%		01/01/28			635		666,689
2.500%		10/01/43			623		659,806
2.500%		12/01/46			1,316		1,393,256
2.500%		09/01/49			3,125		3,257,677
2.500%		11/01/49			3,271		3,408,088
2.500%		12/01/49			571		594,663
3.000%		TBA			21,000		22,079,624
3.000%		02/01/27			1,248		1,320,040
3.000%		08/01/30			846		891,002
3.000%		11/01/36			1,841		1,939,939
3.000%		12/01/42			1,419		1,519,872
3.000%		03/01/43			295		315,573
3.000%		11/01/46			1,132		1,195,642
3.000%		01/01/47			1,601		1,693,406
3.000%		02/01/47			1,601		1,693,693
3.000%		03/01/47			802		848,746
3.500%		07/01/31			845		902,952
3.500%		02/01/33			2,293		2,418,538
3.500%		06/01/39			486		524,088

SEE NOTES TO FINANCIAL STATEMENTS.

A25

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.500%		01/01/42		3,801	$	4,108,664
3.500%		05/01/42		1,906		2,061,143
3.500%		07/01/42		766		833,112
3.500%		08/01/42		302		326,807
3.500%		08/01/42		918		992,775
3.500%		09/01/42		432		467,783
3.500%		09/01/42		1,629		1,763,748
3.500%		11/01/42		255		276,207
3.500%		03/01/43		2,179		2,382,950
3.500%		04/01/43		530		573,903
3.500%		04/01/43		718		776,696
3.500%		01/01/46		1,640		1,756,581
3.500%		07/01/46		1,832		1,946,275
3.500%		11/01/46		1,579		1,675,628
3.500%		09/01/47		1,004		1,057,128
3.500%		01/01/48		6,748		7,116,677
3.500%		05/01/48		1,851		1,949,753
3.500%		07/01/48		1,119		1,175,006
4.000%		10/01/41		2,324		2,550,082
4.000%		09/01/44		2,064		2,252,945
4.000%		10/01/46		472		506,392
4.000%		02/01/47		603		640,650
4.000%		09/01/47		1,548		1,647,303
4.000%		11/01/47		705		779,121
4.000%		11/01/47		2,691		2,868,919
4.500%		07/01/33		47		51,410
4.500%		08/01/33		36		39,307
4.500%		09/01/33		94		102,441
4.500%		10/01/33		9		10,282
4.500%		10/01/33		32		35,417
4.500%		10/01/33		110		119,953
4.500%		01/01/35		1		1,473
4.500%		07/01/39		771		857,989
4.500%		08/01/39		1,184		1,316,967
4.500%		03/01/41		395		442,035
4.500%		11/01/47		3,030		3,271,842
4.500%		01/01/49		725		777,932
5.000%		03/01/34		206		236,023
5.000%		06/01/35		76		86,992
5.000%		07/01/35		102		117,015
5.000%		09/01/35		69		79,344
5.000%		11/01/35		79		90,100
5.000%		02/01/36		95		109,209
5.000%		05/01/36		47		54,425
5.500%		09/01/33		196		223,083
5.500%		10/01/33		69		79,392
5.500%		12/01/33		48		55,397
5.500%		01/01/34		1		1,220
5.500%		12/01/34		155		177,123
5.500%		10/01/35		537		616,272
5.500%		03/01/36		96		108,377
5.500%		05/01/36		115		132,015
5.500%		04/01/37		84		96,823
6.000%		05/01/21		6		6,330
6.000%		08/01/22		18		18,123
6.000%		04/01/33		16		18,086
6.000%		06/01/33		5		5,568
6.000%		10/01/33		220		247,722

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		11/01/33			5		$	6,077
6.000%		11/01/33			15			16,229
6.000%		11/01/33			45			50,647
6.000%		01/01/34			271			315,548
6.000%		02/01/34			59			68,175
6.000%		03/01/34			29			32,029
6.000%		03/01/34			42			47,005
6.000%		07/01/34			163			190,350
6.000%		08/01/34			1			664
6.000%		10/01/34			3			3,558
6.000%		11/01/34			3			2,797
6.000%		11/01/34			29			32,801
6.000%		01/01/35			54			60,144
6.000%		01/01/35			151			169,439
6.000%		02/01/35			3			2,979
6.000%		02/01/35			74			82,378
6.000%		02/01/35			215			251,621
6.000%		03/01/35			2			2,262
6.000%		04/01/35			1			884
6.000%		07/01/36			35			41,197
6.000%		02/01/37			63			74,010
6.000%		05/01/37			24			27,735
6.000%		06/01/37			1			662
6.000%		08/01/37			—	(r)		109
6.000%		08/01/37			14			16,169
6.000%		09/01/37			—	(r)		368
6.000%		10/01/37			35			40,158
6.000%		05/01/38			57			66,634
6.000%		06/01/38			2			2,706
6.250%		05/15/29	(k)		610			883,585
6.500%		07/01/32			41			46,656
6.500%		09/01/32			2			1,729
6.500%		09/01/32			51			58,762
6.500%		09/01/32			59			68,420
6.500%		09/01/32			70			80,313
6.500%		04/01/33			79			90,984
6.500%		11/01/33			21			24,284
6.500%		01/01/34			31			36,356
6.500%		09/01/34			59			67,466
6.500%		10/01/34			65			75,409
6.500%		09/01/36			49			57,031
6.500%		10/01/36			18			21,542
6.500%		11/01/36			21			23,215
6.500%		01/01/37			39			43,137
6.500%		01/01/37			103			119,434
6.625%		11/15/30	(k)		800			1,237,411
7.000%		02/01/32			25			29,126
7.000%		05/01/32			13			15,854
7.000%		06/01/32			19			21,808
7.000%		07/01/32			49			57,468
7.125%		01/15/30	(k)		3,195			4,979,567
Government National Mortgage Assoc.
2.500%		TBA			4,000			4,200,312
2.500%		03/20/43			257			271,850
2.500%		12/20/46			626			663,036
3.000%		12/20/44			256			273,247
3.000%		03/15/45			819			866,971
3.000%		11/20/45			752			801,129

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		03/20/46		1,683		$	1,788,285
3.000%		07/20/46		4,402			4,681,755
3.000%		08/20/46		1,171			1,245,793
3.000%		10/20/46		996			1,059,731
3.000%		11/20/46		597			634,415
3.000%		12/20/46		1,068			1,134,265
3.000%		01/20/47		305			323,737
3.000%		04/20/47		1,272			1,351,652
3.500%		TBA		9,000			9,495,703
3.500%		12/20/42		1,143			1,243,212
3.500%		05/20/43		350			381,237
3.500%		04/20/45		1,371			1,468,001
3.500%		07/20/46		5,253			5,620,924
3.500%		07/20/48		4,692			4,986,879
3.500%		11/20/48		1,573			1,663,026
4.000%		06/15/40		73			79,807
4.000%		05/20/41		60			65,617
4.000%		12/20/42		591			650,869
4.000%		08/20/44		261			284,192
4.000%		11/20/45		577			624,736
4.000%		12/20/45		1,543			1,666,878
4.000%		09/20/47		5,575			5,975,990
4.000%		02/20/49		2,548			2,705,364
4.500%		04/15/40		465			518,222
4.500%		01/20/41		434			484,933
4.500%		02/20/41		713			796,042
4.500%		03/20/41		359			393,837
4.500%		06/20/44		524			574,311
4.500%		09/20/46		458			498,323
4.500%		11/20/46		673			736,433
4.500%		03/20/47		437			476,806
4.500%		05/20/48		975			1,051,836
4.500%		08/20/48		1,680			1,797,442
5.000%		10/20/37		82			92,267
5.000%		04/20/45		533			600,466
5.500%		08/15/33		175			192,532
5.500%		08/15/33		180			198,463
5.500%		09/15/33		76			82,997
5.500%		12/15/33		21			23,503
5.500%		03/15/34		149			164,994
5.500%		12/15/34		282			329,729
5.500%		07/15/35		57			66,006
5.500%		04/15/36		71			78,688
6.000%		11/15/23		—	(r)		220
6.000%		05/15/32		—	(r)		74
6.000%		04/15/33		7			7,728
6.000%		12/15/33		77			85,152
6.000%		01/15/34		20			22,671
6.000%		01/15/34		32			36,673
6.000%		01/15/34		61			72,257
6.000%		06/20/34		100			116,404
6.000%		07/15/34		72			85,607
6.500%		10/15/23		1			728
6.500%		12/15/23		2			2,561
6.500%		01/15/24		—	(r)		380
6.500%		01/15/24		1			744
6.500%		01/15/24		3			2,846
6.500%		01/15/24		9			9,383

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		01/15/24			9		$	9,425
6.500%		01/15/24			12			13,357
6.500%		01/15/24			16			17,141
6.500%		01/15/24			39			42,700
6.500%		02/15/24			2			1,716
6.500%		02/15/24			3			3,234
6.500%		02/15/24			4			4,439
6.500%		02/15/24			4			4,851
6.500%		02/15/24			5			5,322
6.500%		02/15/24			5			6,030
6.500%		03/15/24			1			861
6.500%		03/15/24			1			1,058
6.500%		03/15/24			3			2,984
6.500%		04/15/24			—	(r)		308
6.500%		04/15/24			1			1,216
6.500%		04/15/24			1			1,432
6.500%		04/15/24			1			1,654
6.500%		04/15/24			5			5,992
6.500%		04/15/24			8			8,279
6.500%		05/15/24			3			3,381
6.500%		05/15/24			3			3,476
6.500%		05/15/24			12			13,743
6.500%		10/15/24			12			12,809
6.500%		11/15/28			4			4,964
6.500%		08/15/31			5			5,883
6.500%		12/15/31			10			11,325
6.500%		02/15/32			34			38,931
6.500%		06/15/32			22			24,471
6.500%		07/15/32			37			41,773
6.500%		08/15/32			5			5,269
6.500%		08/15/32			6			6,824
6.500%		08/15/32			7			8,027
6.500%		08/15/32			25			28,912
6.500%		08/15/32			175			208,536
6.500%		08/15/34			24			28,199
6.500%		06/15/35			34			40,938
6.500%		09/15/36			48			57,802
8.000%		01/15/24			6			5,689
8.000%		07/15/24			—	(r)		344
Tennessee Valley Authority, Sr. Unsec’d. Notes
7.125%		05/01/30			510			790,116
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $204,251,207)								212,966,342
U.S. TREASURY OBLIGATIONS — 1.0%
U.S. Treasury Bonds
2.875%		05/15/43			840			1,096,725
3.000%		11/15/44			4,390			5,875,741
3.125%		02/15/43			840			1,138,462
3.375%		05/15/44			4,215			5,959,615
3.625%		02/15/44			490			717,084
3.750%		11/15/43			490			729,105
U.S. Treasury Notes
3.125%		11/15/28			6,650			8,036,109
U.S. Treasury Strips Coupon
2.000%(s)		08/15/39	(k)		360			280,491

SEE NOTES TO FINANCIAL STATEMENTS.

A27

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
2.345%(s)		11/15/43	(h)(k)		3,600	$	2,529,141
TOTAL U.S. TREASURY OBLIGATIONS (cost $25,700,887)							26,362,473
TOTAL LONG-TERM INVESTMENTS (cost $1,315,506,929)							2,201,172,663
				Shares
SHORT-TERM INVESTMENTS — 16.8%
AFFILIATED MUTUAL FUNDS — 16.7%
PGIM Core Ultra Short Bond Fund(w)					351,018,979		351,018,979
PGIM Institutional Money Market Fund (cost $65,936,449; includes $65,897,731 of cash collateral for securities on loan)(b)(w)					66,133,591		66,133,591
TOTAL AFFILIATED MUTUAL FUNDS (cost $416,955,428)							417,152,570
Interest Rate	Maturity Date			Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills 0.143%(n) (cost $3,074,047)		09/17/20	(k)		3,075		3,074,067
OPTIONS PURCHASED*~ — 0.0%
(cost $149,870)							864,810
TOTAL SHORT-TERM INVESTMENTS (cost $420,179,345)							421,091,447
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—104.9% (cost $1,735,686,274)							2,622,264,110
OPTION WRITTEN*~ — (0.0)%
(premiums received $82,739)							(28,031	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—104.9% (cost $1,735,603,535)							2,622,236,079
Liabilities in excess of other assets(z) — (4.9)%							(122,956,630	)
NET ASSETS — 100.0%						$	2,499,279,449

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

* Non-income producing security.

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

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

^ Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,500,229 and 0.2% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $65,058,656; cash collateral of $65,897,731 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

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

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

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

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

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

(r) Less than $500 par.

(rr) Perpetual security with no stated maturity date.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Call		07/24/20	$	140.00		299		299	$	60,734
10 Year U.S. Treasury Notes Futures		Call		07/24/20		143.00		598		598		18,688
Total Exchange Traded (cost $136,023)											$	79,422

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		2,424	$	54,095
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		2,357		52,481
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		5,892		124,488
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		11,696		247,615
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		11,860		259,723
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,357		46,986
Total OTC Traded (cost $13,847)													$	785,388
Total Options Purchased (cost $149,870)													$	864,810

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures (premiums received $82,739)		Call		07/24/20	$	142.00		897		897	$	(28,031	)

Futures contracts outstanding at June 30, 2020:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
47		2 Year U.S. Treasury Notes		Sep. 2020	$	10,378,922	$	6,486
19		5 Year U.S. Treasury Notes		Sep. 2020		2,389,102		7,932
130		10 Year U.S. Ultra Treasury Notes		Sep. 2020		20,472,969		93,493
419		30 Year U.S. Ultra Treasury Bonds		Sep. 2020		91,407,469		89,596
14		Mini MSCI EAFE Index		Sep. 2020		1,244,880		(15,937	)
228		S&P 500 E-Mini Index		Sep. 2020		35,228,280		176,758
								358,328
Short Positions:
24		10 Year Euro-Bund		Sep. 2020		4,759,685		(41,119	)
533		10 Year U.S. Treasury Notes		Sep. 2020		74,178,612		(249,482	)
27		20 Year U.S. Treasury Bonds		Sep. 2020		4,821,188		(60,862	)
								(351,463	)
							$	6,865

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2020:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/20	Morgan Stanley & Co. International PLC		EUR  7,209	$	8,126,956	$	8,099,100	$	—	$	(27,856	)
Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Canadian Dollar,
Expiring 07/20/20	Morgan Stanley & Co. International PLC		CAD  1,700	$	1,224,281	$	1,252,282	$	—	$	(28,001	)
Euro,
Expiring 07/02/20	Citibank, N.A		EUR  7,209		7,867,810		8,099,100		—		(231,290	)
Expiring 08/04/20	Morgan Stanley & Co. International PLC		EUR  7,209		8,132,903		8,105,081		27,822		—
				$	17,224,994	$	17,456,463		27,822		(259,291	)
								$	27,822	$	(287,147	)

Credit default swap agreement outstanding at June 30, 2020:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2020(4)			Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
Boeing Co.		12/20/21		1.000%(Q)		2,800		2.453	%	$	(57,950	)	$	22,405	$	(80,355	)	Bank of America, N.A.

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Value at Trade Date

Value at June 30, 2020

Unrealized Appreciation (Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

CDX.NA.IG.33.V1

12/20/29

1.000%(Q)

15,600

$

59,282

$

95,816

$

36,534

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Implied Credit Spread at June 30, 2020(4)

Value at Trade Date

Value at June 30, 2020

Unrealized Appreciation (Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Sell Protection(2):

iTraxx.EUR.33.V1

06/20/25

1.000%(Q)

EUR  25,750

0.664

%

$

208,554

$

490,405

$

281,851

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

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

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

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

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

Interest rate swap agreements outstanding at June 30, 2020:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR	2,835		05/11/24	0.050%(A)	1 Day EONIA(1)(A)	$	(31,287	)	$	(75,174	)	$	(43,887	)
	EUR	790		05/11/39	1.100%(A)	1 Day EONIA(1)(A)		(7,175	)		(201,416	)		(194,241	)
		70,008		06/15/21	1.830%(S)	3 Month LIBOR(2)(Q)		—			1,094,393			1,094,393
		40,535		09/15/21	1.381%(S)	3 Month LIBOR(2)(Q)		(50,561	)		712,870			763,431
		19,355		09/15/21	1.480%(S)	3 Month LIBOR(2)(Q)		11,386			369,078			357,692
		13,105		09/15/21	1.604%(S)	3 Month LIBOR(2)(Q)		37,983			274,348			236,365
		570		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(26,843	)		(26,843	)
		860		11/15/45	1.044%(A)	1 Day USOIS(1)(A)		—			(76,513	)		(76,513	)
		4,480		11/15/45	1.253%(A)	1 Day USOIS(1)(A)		(56,367	)		(623,493	)		(567,126	)
		2,120		08/09/49	1.508%(A)	1 Day USOIS(1)(A)		—			(480,842	)		(480,842	)
		1,764		03/30/50	0.855%(S)	3 Month LIBOR(1)(Q)		—			25,558			25,558
							$	(96,021	)	$	991,966		$	1,087,987

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

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

Total return swap agreements outstanding at June 30, 2020:

Reference Entity	Financing Rate	Counterparty	Termination Date		Long (Short) Notional Amount (000)#(1)	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(2)
OTC Total Return Swap Agreement:
Barclays US Agency CMBS Index(M)	1Month LIBOR(M)	Barclays Bank PLC		10/01/20	11,000	$	183,545	$	—	$	183,545

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

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

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

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	22,405	$	—	$	183,545	$	(80,355	)

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	10,000	$	7,275,321
Goldman Sachs & Co. LLC		—		3,074,067
Total	$	10,000	$	10,349,388

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Assets
Common Stocks.	$	1,159,490,177		$	44,620,854		$	—
Exchange-Traded Funds		10,390,487			—			—
Preferred Stocks		1,316,000			188,141			—
Asset-Backed Securities
Automobiles		—			56,417,369			—
Collateralized Loan Obligations		—			87,029,285			—
Consumer Loans		—			3,098,781			—
Equipment		—			6,170,644			—
Home Equity Loans		—			1,429,579			—
Other		—			4,238,151			—
Residential Mortgage-Backed Securities		—			11,334,446			—
Student Loans		—			24,792,190			—
Commercial Mortgage-Backed Securities		—			214,729,751			—
Corporate Bonds		—			272,112,185			—
Municipal Bonds		—			16,846,473			—
Residential Mortgage-Backed Securities		—			18,370,710			4,500,229
Sovereign Bonds		—			24,768,396			—
U.S. Government Agency Obligations		—			212,966,342			—
U.S. Treasury Obligations		—			29,436,540			—
Affiliated Mutual Funds		417,152,570			—			—
Options Purchased		79,422			785,388			—
Total	$	1,588,428,656		$	1,029,335,225		$	4,500,229
Liabilities
Option Written	$	(28,031	)	$	—		$	—
Other Financial Instruments*
Assets
Futures Contracts	$	374,265		$	—		$	—
OTC Forward Foreign Currency Exchange Contract		—			27,822			—
Centrally Cleared Credit Default Swap Agreements		—			318,385			—
Centrally Cleared Interest Rate Swap Agreements		—			2,477,439			—
OTC Total Return Swap Agreement		—			183,545			—
Total	$	374,265		$	3,007,191		$	—
Liabilities
Futures Contracts	$	(367,400	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(287,147	)		—

SEE NOTES TO FINANCIAL STATEMENTS.

A32

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1			Level 2			Level 3
Other Financial Instruments* (continued)
Liabilities (continued)
OTC Credit Default Swap Agreement	$	—		$	(57,950	)	$	—
Centrally Cleared Interest Rate Swap Agreements.		—			(1,389,452	)		—
Total	$	(367,400	)	$	(1,734,549	)	$	—

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

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Affiliated Mutual Funds (2.6% represents investments purchased with collateral from securities on loan)	16.7	%
Commercial Mortgage-Backed Securities	8.6
U.S. Government Agency Obligations	8.5
Banks	4.5
Software	4.4
Collateralized Loan Obligations	3.5
Pharmaceuticals	2.9
Technology Hardware, Storage & Peripherals	2.8
IT Services	2.7
Interactive Media & Services	2.6
Automobiles	2.4
Internet & Direct Marketing Retail	2.3
Semiconductors & Semiconductor Equipment	2.3
Health Care Equipment & Supplies	1.8
Health Care Providers & Services	1.4
Electric	1.4
Capital Markets	1.4
Residential Mortgage-Backed Securities	1.3
Equity Real Estate Investment Trusts (REITs)	1.3
Oil, Gas & Consumable Fuels	1.3
Chemicals	1.2
Biotechnology	1.2
Media	1.2	��
U.S. Treasury Obligations	1.1
Insurance	1.1
Specialty Retail	1.1
Student Loans	1.0
Sovereign Bonds	1.0
Aerospace & Defense	1.0
Entertainment	1.0
Electric Utilities	0.9
Beverages	0.9
Diversified Telecommunication Services	0.9
Household Products	0.8
Oil & Gas	0.8
Machinery	0.7
Diversified Financial Services	0.7
Food & Staples Retailing	0.7
Hotels, Restaurants & Leisure	0.7
Municipal Bonds	0.7
Pipelines	0.6
Telecommunications	0.6
Food Products	0.6
Industrial Conglomerates	0.6

Life Sciences Tools & Services	0.6	%
Auto Manufacturers	0.5
Road & Rail	0.5
Multi-Utilities	0.5
Communications Equipment	0.5
Exchange-Traded Funds	0.4
Tobacco	0.4
Textiles, Apparel & Luxury Goods	0.3
Retail	0.3
Air Freight & Logistics	0.3
Electronic Equipment, Instruments & Components	0.3
Airlines	0.3
Multiline Retail	0.3
Equipment	0.2
Electrical Equipment	0.2
Metals & Mining	0.2
Consumer Finance	0.2
Household Durables	0.2
Healthcare-Services	0.2
Gas	0.2
Commercial Services & Supplies	0.2
Professional Services	0.2
Building Products	0.2
Other	0.2
Agriculture	0.2
Containers & Packaging	0.2
Miscellaneous Manufacturing	0.1
Wireless Telecommunication Services	0.1
Consumer Loans	0.1
Trading Companies & Distributors	0.1
Personal Products	0.1
Healthcare-Products	0.1
Commercial Services	0.1
Foods	0.1
Energy Equipment & Services	0.1
Engineering & Construction	0.1
Transportation	0.1
Housewares	0.1
Construction Materials	0.1
Forest Products & Paper	0.1
Construction & Engineering	0.1
Auto Components	0.1
Home Equity Loans	0.1
Savings & Loans	0.1
Multi-National	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A33

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Industry Classification (continued):

Machinery-Diversified	0.0	*%
Real Estate Management & Development	0.0	*
Water Utilities	0.0	*
Home Builders	0.0	*
Health Care Technology	0.0	*
Distributors	0.0	*
Options Purchased	0.0	*
Gas Utilities	0.0	*
Lodging	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Packaging & Containers	0.0	*
Semiconductors	0.0	*
Electronics	0.0	*
Leisure Products	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*

Mining	0.0	*%
Building Materials	0.0	*
Oil & Gas Services	0.0	*
Diversified Consumer Services	0.0	*
Transportation Infrastructure	0.0	*
Marine	0.0	*
Paper & Forest Products	0.0	*
	104.9
Option Written	(0.0	)*
Liabilities in excess of other assets	(4.9	)
	100.0	%

* Less than +/- 0.05%

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker-variation margin swaps	$	318,385	*	—	$	—
Credit contracts	Premiums paid for OTC swap agreements		22,405		—		—
Credit contracts	—		—		Unrealized depreciation on OTC swap agreements		80,355
Equity contracts	Due from/to broker-variation margin futures		176,758	*	Due from/to broker-variation margin futures		15,937	*
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		27,822		Unrealized depreciation on OTC forward foreign currency exchange contracts		287,147
Interest rate contracts	Due from/to broker-variation margin futures		197,507	*	Due from/to broker-variation margin futures		351,463	*
Interest rate contracts	Due from/to broker-variation margin swaps		2,477,439	*	Due from/to broker-variation margin swaps		1,389,452	*
Interest rate contracts	Unaffiliated investments		864,810		Options written outstanding, at value		28,031
Interest rate contracts	Unrealized appreciation on OTC swap agreements		183,545		—		—
		$	4,268,671			$	2,152,385

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

SEE NOTES TO FINANCIAL STATEMENTS.

A34

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Swaps
Credit contracts	$	—	$	—		$	—	$	—		$	—	$	(37,032	)
Equity contracts		3,564		—			—		(1,681,933	)		—		—
Foreign exchange contracts		—		—			—		—			262,829		—
Interest rate contracts		—		(178,656	)		65,485		9,790,964			—		(13,273,416	)
Total	$	3,564	$	(178,656	)	$	65,485	$	8,109,031		$	262,829	$	(13,310,448	)

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)		Options Written		Futures			Forward Currency Exchange Contracts			Swaps
Credit contracts	$	—		$	—	$	—	$	—		$	—		$	442,916
Equity contracts.		(11	)		—		—		(322,656	)		—			—
Foreign exchange contracts		—			—		—		—			(137,405	)		—
Interest rate contracts		—			357,560		54,708		1,237,673			—			7,628,248
Total	$	(11	)	$	357,560	$	54,708	$	915,017		$	(137,405	)	$	8,071,164

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

For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts— Purchased(3)
$118,740	$419,667	$185,828,025	$131,910,639	$5,294,441

Forward Foreign Currency Exchange Contracts—Sold(3)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$14,907,810	$230,802,754	$15,600,000

Credit Default Swap Agreements— Sell Protection(2)	Total Return Swap Agreements(2)
$11,510,042	$11,000,000

(1) Cost.

(2) Notional Amount in USD. (3) Value at Settlement Date.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A35

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	65,058,656	$	(65,058,656	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	654,231	$	(80,355	)	$	573,876		$	(540,000	)	$	33,876
Barclays Bank PLC		337,107		—			337,107			(270,000	)		67,107
Citibank, N.A		—		(231,290	)		(231,290	)		231,290			—
Morgan Stanley & Co. International PLC		27,822		(55,857	)		(28,035	)		—			(28,035	)
	$	1,019,160	$	(367,502	)	$	651,658		$	(578,710	)	$	72,948

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A36

CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $65,058,656:
Unaffiliated investments (cost $1,318,730,846)	$	2,205,111,540
Affiliated investments (cost $416,955,428)		417,152,570
Foreign currency, at value (cost $355,733)		356,412
Cash		11,471
Receivable for investments sold		45,255,681
Dividends and interest receivable		6,247,177
Due from broker-variation margin futures		482,120
Tax reclaim receivable		316,565
Unrealized appreciation on OTC swap agreements		183,545
Due from broker-variation margin swaps		83,017
Unrealized appreciation on OTC forward foreign currency exchange contracts		27,822
Premiums paid for OTC swap agreements		22,405
Deposit with broker for centrally cleared/exchange-traded derivatives		10,000
Receivable for Portfolio shares sold		8,542
Receivable from affiliate		1,997
Prepaid expenses		2,557
Total Assets		2,675,273,421
LIABILITIES
Payable for investments purchased		106,738,622
Payable to broker for collateral for securities on loan		65,897,731
Management fee payable		1,127,204
Payable for Portfolio shares repurchased		804,033
Accrued expenses and other liabilities		560,774
Due to broker-variation margin futures		364,857
Unrealized depreciation on OTC forward foreign currency exchange contracts		287,147
Payable to affiliate		104,292
Unrealized depreciation on OTC swap agreements		80,355
Options written outstanding, at value (proceeds received $82,739)		28,031
Affiliated transfer agent fee payable		926
Total Liabilities		175,993,972
NET ASSETS	$	2,499,279,449
Net assets were comprised of:
Partners’ Equity	$	2,499,279,449
Net asset value and redemption price per share, $2,499,279,449 / 79,793,188 outstanding shares of beneficial interest	$	31.32

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	15,176,424
Unaffiliated dividend income (net of $108,611 foreign withholding tax, of which $32,562 is reimbursable by an affiliate)		12,696,332
Affiliated dividend income		1,603,649
Income from securities lending, net (including affiliated income of $188,818)		192,957
Total income		29,669,362
EXPENSES
Management fee		6,751,459
Custodian and accounting fees		170,889
Shareholders’ reports		149,157
Audit fee		24,861
Trustees’ fees		19,146
Legal fees and expenses		10,139
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		30,991
Total expenses		7,161,954
NET INVESTMENT INCOME (LOSS)		22,507,408
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(150,498))		59,436,816
Futures transactions		8,109,031
Forward currency contract transactions		262,829
Options written transactions		65,485
Swap agreements transactions		(13,310,448	)
Foreign currency transactions		352
		54,564,065
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $183,453)		(94,247,802	)
Futures		915,017
Forward currency contracts		(137,405	)
Options written		54,708
Swap agreements		8,071,164
Foreign currencies		(19,377	)
		(85,363,695	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(30,799,630	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(8,292,222	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	22,507,408		$	50,692,568
Net realized gain (loss) on investment and foreign currency transactions		54,564,065			92,944,851
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(85,363,695	)		279,582,716
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(8,292,222	)		423,220,135
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [191,168 and 246,721 shares, respectively]		5,665,947			7,257,351
Portfolio shares repurchased [3,099,171 and 6,977,375 shares, respectively]		(95,083,430	)		(203,275,054	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(89,417,483	)		(196,017,703	)
CAPITAL CONTRIBUTIONS		—			13,184
TOTAL INCREASE (DECREASE)		(97,709,705	)		227,215,616
NET ASSETS:
Beginning of period		2,596,989,154			2,369,773,538
End of period	$	2,499,279,449		$	2,596,989,154

SEE NOTES TO FINANCIAL STATEMENTS.

A37

DIVERSIFIED BOND PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 99.1%
ASSET-BACKED SECURITIES — 24.5%
Automobiles — 1.0%
Avis Budget Rental Car Funding AESOP LLC,
Series 2019-03A, Class A, 144A
2.360%		03/20/26		1,000	$	985,997
Ford Credit Floorplan Master Owner Trust,
Series 2018-04, Class A
4.060%		11/15/30		3,300		3,541,316
Hertz Vehicle Financing II LP,
Series 2019-02A, Class A, 144A
3.420%		05/25/25		1,531		1,515,153
Series 2019-03A, Class A, 144A
2.670%		12/26/25		1,771		1,754,177
OneMain Direct Auto Receivables Trust,
Series 2019-01A, Class A, 144A
3.630%		09/14/27		3,500		3,762,950
Series 2019-01A, Class B, 144A
3.950%		11/14/28		800		850,255
						12,409,848
Collateralized Loan Obligations — 17.4%
Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
2.488%(c)		07/22/32		4,000		3,910,967
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%)
3.691%(c)		01/20/32		3,000		2,940,651
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.499%(c)		07/15/29		250		245,754
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.436%(c)		07/16/29		497		490,876
Atrium (Cayman Islands),
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%)
1.928%(c)		04/22/27		8,182		8,092,263
Ballyrock CLO Ltd. (Cayman Islands),
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)
2.569%(c)		10/15/28		2,500		2,472,554
Battalion CLO Ltd.,
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%)
1.456%(c)		05/17/31		3,000		2,907,646
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.469%(c)		10/15/30		4,500		4,410,462
Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 1.340%)
2.559%(c)		10/15/32		2,500		2,455,926

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
2.485%(c)		01/17/28		2,500	$	2,387,314
Carlyle US CLO Ltd. (Cayman Islands),
Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%)
2.399%(c)		01/15/30		4,000		3,918,730
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.358%(c)		04/22/30		7,710		7,444,368
CIFC Funding Ltd. (Cayman Islands),
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A, Floor 0.980%)
2.000%(c)		04/24/31		1,500		1,451,402
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%)
2.208%(c)		01/22/31		3,750		3,691,036
Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%)
2.005%(c)		04/19/29		5,000		4,908,280
Elevation CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%)
2.449%(c)		10/15/29		7,500		7,349,957
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
2.439%(c)		07/15/30		5,250		5,136,590
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)
2.229%(c)		04/15/31		6,000		5,830,114
Greywolf CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)
2.021%(c)		04/26/31		3,500		3,384,891
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)
1.541%(c)		02/05/31		3,973		3,866,886
HPS Loan Management Ltd. (Cayman Islands),
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)
3.122%(c)		07/22/32		4,000		3,925,239
ICG US CLO Ltd. (Cayman Islands),
Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)
2.021%(c)		04/25/31		2,494		2,416,145
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.323%(c)		10/23/29		1,250		1,228,524
Madison Park Funding Ltd. (Cayman Islands),
Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)
2.569%(c)		10/15/32		1,750		1,719,584

SEE NOTES TO FINANCIAL STATEMENTS.

A38

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Mariner CLO Ltd. (Cayman Islands),
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%)
2.101%(c)		04/25/31		5,750	$	5,620,670
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)
2.229%(c)		04/21/31		9,716		9,453,130
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%)
1.527%(c)		02/20/31		4,000		3,910,072
Mountain View CLO LLC (Cayman Islands),
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.386%(c)		01/16/31		4,000		3,900,073
Mountain View CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.561%(c)		10/12/30		8,000		7,800,206
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%)
2.339%(c)		07/15/31		6,000		5,820,490
OCP CLO Ltd. (Cayman Islands),
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.479%(c)		07/15/30		750		742,600
OZLM Ltd. (Cayman Islands),
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
2.415%(c)		10/20/31		2,731		2,656,020
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.010%(c)		10/30/30		1,243		1,207,824
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)
2.525%(c)		07/20/32		4,000		3,890,039
Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%)
2.265%(c)		01/17/31		4,000		3,915,776
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
1.644%(c)		11/14/29		3,500		3,443,412
Romark WM-R Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)
2.165%(c)		04/20/31		4,000		3,886,906
Shackleton CLO Ltd. (Cayman Islands),
Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)
1.574%(c)		05/07/31		4,955		4,809,115
Sound Point CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%)
2.061%(c)		01/26/31		3,500		3,386,316

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
2.355%(c)		10/20/30		5,750	$	5,645,267
Telos CLO Ltd. (Cayman Islands),
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%)
2.375%(c)		01/17/30		3,484		3,432,964
TICP CLO Ltd. (Cayman Islands),
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)
2.435%(c)		07/20/27		6,000		5,742,284
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%)
2.275%(c)		01/20/31		3,000		2,930,124
Trinitas CLO Ltd. (Cayman Islands),
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
2.619%(c)		07/15/27		5,000		4,838,976
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.201%(c)		01/25/31		4,000		3,900,084
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
2.591%(c)		01/25/31		1,500		1,429,472
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)
2.099%(c)		07/15/27		4,372		4,332,094
Voya CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.429%(c)		10/15/30		7,500		7,342,057
Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%)
1.961%(c)		04/25/31		3,000		2,909,952
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)
2.285%(c)		01/17/31		6,500		6,325,596
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
2.335%(c)		10/20/31		2,750		2,654,801
York CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%)
2.248%(c)		01/22/31		2,000		1,952,186
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)
2.589%(c)		07/15/29		991		973,901
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%)
2.169%(c)		04/15/29		8,407		8,109,153
						213,547,719

SEE NOTES TO FINANCIAL STATEMENTS.

A39

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans — 1.6%
Lendmark Funding Trust,
Series 2018-02A, Class A, 144A
4.230%		04/20/27		1,400	$	1,404,657
Series 2019-01A, Class A, 144A
3.000%		12/20/27		2,100		2,019,772
Series 2019-02A, Class A, 144A
2.780%		04/20/28		1,000		1,000,145
Mariner Finance Issuance Trust,
Series 2019-AA, Class A, 144A
2.960%		07/20/32		700		690,202
OneMain Financial Issuance Trust,
Series 2017-01A, Class B, 144A
2.790%		09/14/32		500		495,197
Series 2017-01A, Class C, 144A
3.350%		09/14/32		500		492,785
Series 2018-01A, Class A, 144A
3.300%		03/14/29		930		945,120
Oportun Funding IX LLC,
Series 2018-B, Class A, 144A
3.910%		07/08/24		1,200		1,208,608
Series 2018-B, Class C, 144A
5.430%		07/08/24		500		465,568
Oportun Funding VII LLC,
Series 2017-B, Class A, 144A
3.220%		10/10/23		3,000		2,990,200
Oportun Funding VIII LLC,
Series 2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,141,849
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,400		1,405,422
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		1,000		999,230
Oportun Funding XIII LLC,
Series 2019-A, Class A, 144A
3.080%		08/08/25		1,400		1,376,748
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%)
3.035%(c)		02/25/23		1,280		1,254,493
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.835%(c)		08/25/25		1,200		1,145,570
						19,035,566
Credit Cards — 0.2%
Citibank Credit Card Issuance Trust,
Series 2018-A07, Class A7
3.960%		10/13/30		2,500		3,006,561
Home Equity Loans — 0.2%
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245% (Cap N/A, Floor 0.830%)
1.430%(c)		06/15/33		650		631,414

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (cont’d.)
Centex Home Equity Loan Trust,
Series 2004-B, Class AF6
4.686%		03/25/34		90	$	90,454
Floating Rate Mortgage Pass-Through Certificates,
Series 2001-02, Class M3, 1 Month LIBOR + 2.925% (Cap N/A, Floor 1.950%)
3.110%(c)		10/25/31		200		206,075
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.800%)
1.385%(c)		08/25/35		157		154,073
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 0.680%)
1.205%(c)		10/25/33		284		281,270
Securitized Asset-Backed Receivables LLC Trust,
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.520%)
0.965%(c)		02/25/34		1,465		1,415,783
						2,779,069
Other ��� 0.2%
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%)
2.535%(c)		04/25/23		120		115,511
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.985%(c)		06/25/24		2,250		2,110,369
						2,225,880
Residential Mortgage-Backed Securities — 1.5%
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.390%)
0.965%(c)		10/25/34		929		899,913
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,222		1,250,748
Legacy Mortgage Asset Trust,
Series 2019-GS01, Class A1, 144A
4.000%		01/25/59		838		850,858
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		910		921,270
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		1,427		1,424,162
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		492		495,531
Merrill Lynch Mortgage Investors Trust,
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% (Cap N/A, Floor 0.260%)
0.705%(c)		06/25/35		476		466,396
Structured Asset Investment Loan Trust,
Series 2004-07, Class A8, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.600%)
1.385%(c)		08/25/34		1,400		1,333,118

SEE NOTES TO FINANCIAL STATEMENTS.

A40

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (cont’d.)
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23	EUR	3,838	$	3,998,590
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		1,794		1,847,417
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		2,056		2,130,166
Series 2018-02, Class A1, 144A
3.250%(cc)		03/25/58		260		273,434
Series 2018-03, Class A1, 144A
3.750%(cc)		05/25/58		152		163,670
Series 2018-05, Class A1, 144A
3.250%(cc)		07/25/58		474		502,858
Series 2018-06, Class A1A, 144A
3.750%(cc)		03/25/58		1,623		1,707,740
						18,265,871
Student Loans — 2.4%
Earnest Student Loan Program LLC,
Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
1.585%(c)		01/25/41		80		79,690
Laurel Road Prime Student Loan Trust,
Series 2018-A, Class A, 144A
—%(p)		02/25/43		2,980		2,553,496
Series 2018-C, Class A, 144A
—%(p)		08/25/43		2,299		2,375,056
Series 2018-D, Class A, 144A
—%(p)		11/25/43		2,331		2,421,548
Series 2019-A, Class R, 144A
—%(p)		10/25/48		4,157		266,026
SoFi Alternative Trust,
Series 2019-B, Class PT, 144A
—%(p)		12/15/45		5,561		5,798,401
Series 2019-D, Class 1PT, 144A
2.460%(cc)		01/16/46		5,029		5,201,034
Series 2019-F, Class PT1, 144A
1.870%(cc)		02/15/45		4,519		4,552,731
SoFi RR Funding III Trust,
Series 2020-01, Class A, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 3.750%)
3.918%(c)		11/29/24^		2,250		2,272,500
SoFi RR Funding Trust,
Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.435%(c)		11/29/24		4,226		4,162,694
						29,683,176
TOTAL ASSET-BACKED SECURITIES (cost $304,470,610)						300,953,690
BANK LOANS — 0.4%
Computers — 0.0%
McAfee LLC,
Second Lien Initial Loan, 1 Month LIBOR + 8.500%
9.500%(c)		09/29/25		437		431,667

Interest Rate	Maturity Date		Principal Amount (000)#		Value
BANK LOANS (continued)
Foods — 0.1%
Sigma Bidco BV (Netherlands),
Facility B-4 Loan, 1 Month GBP LIBOR + 4.000%
4.109%(c)		07/02/25	GBP	1,550	$	1,820,734
Oil & Gas — 0.1%
Chesapeake Energy Corp.,
Term Loan
—%(p)		06/23/24		1,525		865,437
Pharmaceuticals — 0.1%
Nidda Healthcare Holding GmbH (Germany),
Term Loan F(GBP), 3 Month GBP LIBOR + 4.500%
4.756%(c)		08/21/26	GBP	1,000		1,187,470
Retail — 0.1%
EG America LLC (United Kingdom),
Second Lien Facility (USD),1-6 Month LIBOR + 8.000%
9.072%(c)		04/20/26^		565		508,101
EG Finco Ltd. (United Kingdom),
Second Lien Term Loan, 6 Month EURIBOR + 7.750%
8.750%(c)		04/20/26	EUR	374		378,431
						886,532
TOTAL BANK LOANS (cost $6,404,322)						5,191,840
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.0%
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A3
2.903%		07/15/49		2,300		2,426,407
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60		4,400		4,816,362
Series 2017-BNK06, Class A4
3.254%		07/15/60		920		1,014,716
Series 2017-BNK08, Class A3
3.229%		11/15/50		1,950		2,157,158
Series 2019-BN18, Class A3
3.325%		05/15/62		1,500		1,690,080
BBCMS Mortgage Trust,
Series 2016-ETC, Class A, 144A
2.937%		08/14/36		1,170		1,125,031
Series 2016-ETC, Class B, 144A
3.189%		08/14/36		510		459,734
Series 2016-ETC, Class C, 144A
3.391%		08/14/36		430		352,744
Series 2016-ETC, Class D, 144A
3.729%(cc)		08/14/36		1,560		1,173,592
Benchmark Mortgage Trust,
Series 2019-B09, Class A4
3.751%		03/15/52		3,400		3,916,162
BX Commercial Mortgage Trust,
Series 2019-XL, Class G, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%)
2.485%(c)		10/15/36		1,529		1,467,419
Series 2020-BXLP, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)
2.185%(c)		12/15/36		1,500		1,424,910

SEE NOTES TO FINANCIAL STATEMENTS.

A41

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Cantor Commercial Real Estate Lending,
Series 2019-CF01, Class A5
3.786%		05/15/52		4,000	$	4,595,438
Series 2019-CF02, Class A3
2.647%		11/15/52		7,700		7,866,697
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50		3,500		3,807,170
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.871%(cc)		11/10/31		2,400		2,414,468
Series 2016-CLNE, Class C, 144A
2.871%(cc)		11/10/31		900		861,094
Commercial Mortgage Trust,
Series 2014-UBS04, Class A4
3.420%		08/10/47		3,200		3,407,592
Series 2014-UBS05, Class A4
3.838%		09/10/47		3,600		3,903,197
Series 2015-DC01, Class A4
3.078%		02/10/48		5,000		5,300,833
Series 2015-LC21, Class A4
3.708%		07/10/48		820		901,167
Series 2015-PC01, Class A5
3.902%		07/10/50		730		803,568
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,643,603
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		4,900,083
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%)
2.335%(c)		05/15/36		2,600		2,482,860
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class A2
3.067%		06/15/52		1,200		1,310,277
DBJPM Mortgage Trust,
Series 2017-C06, Class A4
3.071%		06/10/50		2,800		3,050,384
DBWF Mortgage Trust,
Series 2016-85T, Class D, 144A
3.935%(cc)		12/10/36		1,400		1,408,184
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.673%(cc)		09/10/35		3,000		3,032,065
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.498%(cc)		05/25/22		24,988		528,822
Series K021, Class X1, IO
1.548%(cc)		06/25/22		14,533		320,113
Series K025, Class X1, IO
0.934%(cc)		10/25/22		9,868		154,034
Series K027, Class X1, IO
0.869%(cc)		01/25/23		124,911		1,917,423
Series K044, Class X1, IO
0.862%(cc)		01/25/25		80,808		2,187,455
Series K053, Class X1, IO
1.024%(cc)		12/25/25		87,969		3,682,143

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K055, Class X1, IO
1.498%(cc)		03/25/26		13,674	$	903,661
GS Mortgage Securities Trust,
Series 2015-GC30, Class A3
3.119%		05/10/50		2,984		3,185,142
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400		3,720,577
Series 2019-GC38, Class A3
3.703%		02/10/52		5,800		6,604,998
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		310		328,121
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		1,070		1,137,298
Series 2017-C05, Class A4
3.414%		03/15/50		1,975		2,174,384
Series 2017-C07, Class A4
3.147%		10/15/50		3,600		3,939,521
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2018-AON, Class E, 144A
4.767%(cc)		07/05/31		5,875		5,790,384
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-JP02, Class A3
2.559%		08/15/49		2,900		3,038,369
KKR Industrial Portfolio Trust,
Series 2020-AIP, Class E, 144A, 1 Month LIBOR + 2.626% (Cap N/A, Floor 2.626%)
2.811%(c)		03/15/37		800		767,960
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C05, Class XA, IO, 144A
1.579%(cc)		08/15/45		35,046		777,627
Series 2013-C08, Class A3
2.863%		12/15/48		1,531		1,571,730
Series 2013-C10, Class A3
4.103%(cc)		07/15/46		4,340		4,637,696
Morgan Stanley Capital I Trust,
Series 2017-H01, Class A4
3.259%		06/15/50		2,750		3,007,240
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		6,086,153
Series 2019-L03, Class A3
2.874%		11/15/52		1,200		1,312,195
Series 2019-MEAD, Class E, 144A
3.177%		11/10/36		575		439,031
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		140		132,909
UBS Commercial Mortgage Trust,
Series 2017-C02, Class A3
3.225%		08/15/50		4,400		4,748,332
Series 2017-C07, Class A3
3.418%		12/15/50		5,600		6,192,336
Series 2018-C10, Class A3
4.048%		05/15/51		2,200		2,524,078
Series 2019-C17, Class A3
2.669%		10/15/52		2,000		2,123,732

SEE NOTES TO FINANCIAL STATEMENTS.

A42

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2019-C17, Class ASB
2.866%		10/15/52			600		$	647,472
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C05, Class A3
2.920%		03/10/46			1,391			1,421,223
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.548%		08/15/50			4,130			4,388,446
Series 2016-C32, Class A3
3.294%		01/15/59			2,250			2,426,280
Series 2016-C34, Class A3
2.834%		06/15/49			2,500			2,632,590
Series 2016-C35, Class A3
2.674%		07/15/48			4,600			4,854,095
Series 2017-C40, Class A3
3.317%		10/15/50			1,370			1,492,681
Series 2019-C54, Class A3
2.892%		12/15/52			1,200			1,309,309
Series 2020-C56, Class A4
2.194%		06/15/53			3,600			3,729,200
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $163,449,891)								171,547,755
CORPORATE BONDS — 36.4%
Aerospace & Defense — 0.5%
BAE Systems PLC (United Kingdom),
Sr. Unsec’d. Notes, 144A
3.400%		04/15/30			385			420,371
Boeing Co. (The),
Sr. Unsec’d. Notes
3.950%		08/01/59			1,450			1,239,174
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24			1,600			1,040,035
7.500%		03/15/25			1,525			993,703
7.875%		04/15/27			1,825			1,191,536
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28	(a)		1,115			1,313,326
								6,198,145
Agriculture — 0.2%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			2,810			3,003,201
Airlines — 0.3%
American Airlines 2016-1 Class AA Pass-Through Trust,
Pass-Through Certificates
3.575%		07/15/29			1,529			1,479,080
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			—	(r)		247
Continental Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983%		10/19/23			1,123			1,053,481

Interest Rate	Maturity Date				Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Airlines (cont’d.)
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22				228	$	224,961
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24				736		721,032
United Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.636%		01/02/24				506		430,167
								3,908,968
Auto Manufacturers — 0.9%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
1.721%(c)		04/12/21				425		423,336
Gtd. Notes, 144A
3.100%		04/12/21				570		579,644
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.350%		05/04/21				1,715		1,746,187
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46				290		238,961
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.350%		11/01/22				3,800		3,650,450
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23				1,350		1,433,530
6.250%		10/02/43				1,455		1,530,584
6.600%		04/01/36				210		226,111
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
2.170%(c)		04/09/21				610		604,723
Gtd. Notes
3.550%		04/09/21				460		465,499
								10,899,025
Auto Parts & Equipment — 0.5%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24		EUR		701		696,224
Adient US LLC,
Sr. Sec’d. Notes, 144A
7.000%		05/15/26				175		180,982
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.500%		04/01/27	(a)			1,225		1,188,227
6.625%		10/15/22				272		275,277
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%		11/15/26				1,150		729,997
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
5.750%		04/15/25	(a)			875		888,322

SEE NOTES TO FINANCIAL STATEMENTS.

A43

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Parts & Equipment (cont’d.)
Dana, Inc.,
Sr. Unsec’d. Notes
5.375%		11/15/27	(a)		350	$	347,654
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24			EUR  1,275		1,479,347
							5,786,030
Banks — 9.3%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
2.431%(c)		04/12/23			400		394,505
Sr. Unsec’d. Notes
3.848%		04/12/23			600		637,996
Bank of America Corp.,
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,655		1,635,177
Jr. Sub. Notes, Series MM
4.300%(ff)		—	(rr)		1,575		1,407,795
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23	(a)		5,870		6,251,224
3.593%(ff)		07/21/28			740		831,148
Sr. Unsec’d. Notes, MTN
3.824%(ff)		01/20/28			3,185		3,597,943
3.974%(ff)		02/07/30			685		796,237
4.078%(ff)		04/23/40	(a)		2,340		2,855,090
4.125%		01/22/24			3,750		4,152,610
4.271%(ff)		07/23/29			910		1,070,762
Sub. Notes, MTN
4.000%		01/22/25			1,117		1,235,232
4.450%		03/03/26			1,735		1,992,985
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			700		758,213
3.684%		01/10/23			480		497,801
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			475		556,590
Sub. Notes
4.836%		05/09/28			720		789,333
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
4.400%		08/14/28			420		486,228
Sr. Unsec’d. Notes, 144A, MTN
3.800%		01/10/24	(a)		855		924,880
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27	(a)		300		325,574
Sub. Notes, 144A, MTN
4.500%		03/15/25			1,120		1,227,612
4.875%		04/01/26			380		429,562
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,355		1,279,182
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,085		1,060,726
Jr. Sub. Notes, Series V
4.700%(ff)		—	(rr)		350		312,546

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Sr. Unsec’d. Notes
2.666%(ff)		01/29/31			1,225	$	1,269,660
3.200%		10/21/26			3,255		3,569,261
3.887%(ff)		01/10/28			1,710		1,924,718
8.125%		07/15/39	(a)		1,060		1,834,941
Sub. Notes
4.450%		09/29/27			2,630		2,993,064
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24			1,050		1,159,364
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%
1.846%(c)		02/04/21			1,025		1,019,899
Sr. Unsec’d. Notes
4.250%		02/04/21			950		962,667
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			900		911,826
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24			159		165,925
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,413,744
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26			280		302,677
4.250%		03/13/26			1,150		1,295,193
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.370%(c)		—	(rr)		1,950		1,783,862
Sr. Unsec’d. Notes
3.272%(ff)		09/29/25			4,063		4,372,972
3.750%		02/25/26			125		139,866
3.814%(ff)		04/23/29			1,060		1,197,369
3.850%		01/26/27			1,765		1,984,535
5.750%		01/24/22			4,200		4,530,296
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
4.583%(ff)		06/19/29	(a)		1,000		1,152,738
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series HH
4.600%(ff)		—	(rr)		400		356,499
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
4.230%(c)		—	(a)(rr)		2,998		2,742,365
Jr. Sub. Notes, Series II
4.000%(ff)		—	(rr)		1,350		1,179,611
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,450		1,486,082
Sr. Unsec’d. Notes
2.950%		10/01/26	(a)		1,740		1,907,950
3.200%		01/25/23			470		499,522
3.200%		06/15/26			3,020		3,350,489
3.509%(ff)		01/23/29			1,435		1,616,808
3.782%(ff)		02/01/28			965		1,091,214
3.964%(ff)		11/15/48			985		1,187,199
4.005%(ff)		04/23/29			1,200		1,386,308
4.250%		10/15/20			600		606,668
Sub. Notes
4.250%		10/01/27			420		487,229

SEE NOTES TO FINANCIAL STATEMENTS.

A44

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
KeyCorp,
Sr. Unsec’d. Notes, MTN
5.100%		03/24/21			1,155	$	1,193,684
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
4.829%(c)		—	(a)(rr)		975		865,415
Sr. Unsec’d. Notes
4.375%		01/22/47	(a)		895		1,155,608
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23	(a)		1,190		1,262,119
3.750%		02/25/23			395		426,127
3.772%(ff)		01/24/29			1,875		2,133,794
4.431%(ff)		01/23/30			1,340		1,596,038
Sr. Unsec’d. Notes, MTN
3.125%		07/27/26	(a)		2,725		3,005,615
Sub. Notes, GMTN
4.350%		09/08/26			750		863,589
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975		1,074,849
Santander UK Group Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
2.875%		10/16/20			1,550		1,558,907
Truist Financial Corp.,
Jr. Sub. Notes, Series N
4.800%(ff)		—	(rr)		960		884,993
UBS Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.859%(ff)		08/15/23			1,100		1,139,524
3.491%		05/23/23			2,970		3,105,599
Wells Fargo & Co.,
Sr. Unsec’d. Notes
3.068%(ff)		04/30/41			2,675		2,788,881
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			3,500		3,658,583
							114,102,797
Beverages — 0.4%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.900%		02/01/46			1,880		2,280,358
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
5.550%		01/23/49			1,440		1,925,430
Keurig Dr. Pepper, Inc.,
Gtd. Notes
3.551%		05/25/21			970		997,042
							5,202,830
Building Materials — 0.3%
Masonite International Corp.,
Gtd. Notes, 144A
5.375%		02/01/28			525		537,433
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			2,550		2,620,113

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Building Materials (cont’d.)
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24	(a)		600	$	595,497
							3,753,043
Chemicals �� 1.4%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			1,400		1,617,009
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43	(a)		675		728,281
5.375%		03/15/44			700		757,729
Chemours Co. (The),
Gtd. Notes
7.000%		05/15/25	(a)		1,000		955,606
DuPont de Nemours, Inc.,
Sr. Unsec’d. Notes
3.766%		11/15/20			490		495,009
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
6.000%		11/15/21			3,550		3,745,243
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.625%		11/15/43			155		166,777
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24	(a)		1,150		1,070,070
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43			870		1,019,038
5.250%		01/15/45			420		523,840
6.125%		01/15/41			450		574,194
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22			1,525		1,383,643
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			375		337,927
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25			445		490,930
TPC Group, Inc.,
Sr. Sec’d. Notes, 144A
10.500%		08/01/24			450		404,694
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.875%		04/01/23	(a)		3,058		3,489,041
							17,759,031
Commercial Services — 0.7%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34			920		1,176,620
7.000%		10/15/37	(a)		770		987,156

SEE NOTES TO FINANCIAL STATEMENTS.

A45

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Commercial Services (cont’d.)
Gartner, Inc.,
Gtd. Notes, 144A
4.500%		07/01/28			470	$	474,756
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22	(a)		1,225		1,220,607
Refinitiv US Holdings, Inc.,
Gtd. Notes, 144A
8.250%		11/15/26	(a)		950		1,028,304
United Rentals North America, Inc.,
Gtd. Notes
4.000%		07/15/30			250		242,069
4.875%		01/15/28	(a)		1,325		1,357,683
5.250%		01/15/30	(a)		525		542,711
5.500%		05/15/27	(a)		975		1,009,246
							8,039,152
Computers — 0.1%
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25	(a)		780		756,624
Diversified Financial Services — 0.7%
Capital One Financial Corp.,
Sr. Unsec’d. Notes
3.450%		04/30/21			5,235		5,345,741
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			650		744,984
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
6.875%		05/02/18	(d)		2,740		31,510
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
6.000%		01/15/27			275		264,193
8.125%		07/15/23			1,250		1,281,787
Power Finance Corp. Ltd. (India),
Sr. Unsec’d. Notes, 144A, MTN
6.150%		12/06/28			400		442,360
							8,110,575
Electric — 2.4%
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23			550		588,504
Calpine Corp.,
Sr. Unsec’d. Notes
5.750%		01/15/25	(a)		3,100		3,130,429
Sr. Unsec’d. Notes, 144A
5.125%		03/15/28			1,000		977,662
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56			235		284,035
Dominion Energy South Carolina, Inc.,
First Mortgage
4.600%		06/15/43			2,025		2,555,083

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (cont’d.)
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,710	$	2,773,083
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			2,325		3,029,141
Eskom Holdings SOC Ltd. (South Africa),
Gov’t. Gtd. Notes, 144A, MTN
6.350%		08/10/28			550		551,153
Sr. Unsec’d. Notes
5.750%		01/26/21			520		497,232
Sr. Unsec’d. Notes, 144A
5.750%		01/26/21			1,300		1,243,081
7.125%		02/11/25			390		361,902
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,900		2,270,616
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			400		512,132
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			1,150		1,580,737
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			680		769,181
Kentucky Utilities Co.,
First Mortgage
4.375%		10/01/45			3,050		3,732,896
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21			250		260,108
Narragansett Electric Co. (The),
Sr. Unsec’d. Notes, 144A
3.395%		04/09/30			1,050		1,182,488
NRG Energy, Inc.,
Gtd. Notes, 144A
5.250%		06/15/29	(a)		375		395,383
PacifiCorp,
First Mortgage
3.300%		03/15/51			380		419,427
Tucson Electric Power Co.,
Sr. Unsec’d. Notes
4.000%		06/15/50			1,500		1,766,993
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			450		456,400
5.625%		02/15/27			600		615,755
							29,953,421
Electrical Components & Equipment — 0.1%
WESCO Distribution, Inc.,
Gtd. Notes, 144A
7.125%		06/15/25			575		606,308
7.250%		06/15/28			550		579,696
							1,186,004

SEE NOTES TO FINANCIAL STATEMENTS.

A46

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electronics — 0.1%
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25	(a)		1,000	$	1,064,918
Engineering & Construction — 0.2%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27			345		304,902
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
4.250%		10/31/26			605		572,123
5.500%		07/31/47			1,690		1,490,657
							2,367,682
Entertainment — 0.4%
AMC Entertainment Holdings, Inc.,
Gtd. Notes
5.750%		06/15/25			950		300,263
5.875%		11/15/26			1,200		383,032
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250%		10/15/25	(a)		750		652,766
Colt Merger Sub, Inc.,
Sr. Sec’d. Notes, 144A
6.250%		07/01/25			860		865,424
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.875%		02/28/47			GBP   125		143,507
Golden Entertainment, Inc.,
Sr. Unsec’d. Notes, 144A
7.625%		04/15/26			875		815,422
Penn National Gaming, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		01/15/27	(a)		800		749,284
Scientific Games International, Inc.,
Gtd. Notes, 144A
7.000%		05/15/28			350		279,440
7.250%		11/15/29			475		381,129
							4,570,267
Foods — 0.6%
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23			78		78,484
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25			1,800		1,823,900
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.625%		10/01/39			645		646,461
4.875%		10/01/49			1,325		1,371,793
Mars, Inc.,
Gtd. Notes, 144A
3.875%		04/01/39			440		528,834
4.200%		04/01/59			380		486,366

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Foods (cont’d.)
McCormick & Co., Inc.,
Sr. Unsec’d. Notes
2.500%		04/15/30			2,000	$	2,099,695
							7,035,533
Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
7.300%		11/15/39			1,000		1,408,826
Gas — 0.4%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.875%		08/20/26			1,100		1,170,179
Korea Gas Corp. (South Korea),
Sr. Unsec’d. Notes
4.250%		11/02/20			1,750		1,770,019
NiSource, Inc.,
Sr. Unsec’d. Notes
3.600%		05/01/30	(a)		375		428,447
4.800%		02/15/44			300		367,127
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43			1,050		1,193,855
							4,929,627
Healthcare-Products — 0.3%
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39		EUR	1,275		1,361,903
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31		EUR	200		244,611
2.250%		03/07/39		EUR	300		378,288
Stryker Corp.,
Sr. Unsec’d. Notes
2.125%		11/30/27		EUR	510		627,344
Thermo Fisher Scientific, Inc.,
Sr. Unsec’d. Notes, EMTN
1.500%		10/01/39		EUR	600		662,025
1.875%		10/01/49		EUR	425		455,063
							3,729,234
Healthcare-Services — 0.9%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37			1,900		2,699,447
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43			385		486,372
Cigna Holding Co.,
Gtd. Notes
4.375%		12/15/20			745		749,991
DaVita, Inc.,
Gtd. Notes, 144A
4.625%		06/01/30	(a)		1,025		1,017,222

SEE NOTES TO FINANCIAL STATEMENTS.

A47

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (cont’d.)
Encompass Health Corp.,
Gtd. Notes
4.750%		02/01/30	(a)		500	$	479,554
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20			330		330,148
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			1,475		1,587,160
5.875%		02/01/29			25		28,263
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			240		248,932
3.250%		09/01/24			1,495		1,609,738
Tenet Healthcare Corp.,
Sec’d. Notes, 144A
6.250%		02/01/27	(a)		375		371,991
Sr. Sec’d. Notes, 144A
4.625%		06/15/28			285		279,330
5.125%		11/01/27			600		593,540
Sr. Unsec’d. Notes
7.000%		08/01/25	(a)		600		589,367
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42			220		260,287
							11,331,342
Home Builders — 0.2%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		01/31/25			300		304,209
5.875%		06/15/27			875		908,670
6.625%		07/15/27			1,050		1,100,461
							2,313,340
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26	(a)		670		702,693
Insurance — 1.0%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.750%		07/10/25			2,110		2,336,418
4.500%		07/16/44			1,075		1,235,493
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24			EUR   800		933,736
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50			1,030		1,086,816
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40			405		570,738
Markel Corp.,
Sr. Unsec’d. Notes
4.150%		09/17/50			180		199,708
5.000%		03/30/43			350		403,062

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Insurance (cont’d.)
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			150	$	184,216
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34			1,350		1,843,738
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			2,310		2,757,844
6.850%		12/16/39			196		298,670
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			500		503,856
							12,354,295
Lodging — 0.1%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22	(a)		1,325		1,331,138
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes
5.125%		08/08/25			400		435,032
							1,766,170
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.,
Sr. Unsec’d. Notes
3.250%		04/09/50	(a)		585		653,757
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21			1,050		1,077,409
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98			1,100		1,533,830
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,960		2,061,933
							4,673,172
Media — 2.3%
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.375%		06/01/29			975		1,028,557
5.500%		05/01/26			3,300		3,420,884
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50			875		995,641
6.384%		10/23/35			2,470		3,259,272
6.484%		10/23/45			1,125		1,502,348
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes
9.250%		02/15/24	(a)		1,234		1,144,738
Comcast Corp.,
Gtd. Notes
3.450%		02/01/50			955		1,081,275

SEE NOTES TO FINANCIAL STATEMENTS.

A48

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Media (cont’d.)
4.150%		10/15/28	(a)		1,820	$	2,179,424
4.250%		10/15/30			620		758,507
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24			2,800		3,008,813
CSC Holdings LLC,
Sr. Unsec’d. Notes, 144A
10.875%		10/15/25			1,500		1,612,775
Diamond Sports Group LLC/Diamond Sports Finance Co.,
Gtd. Notes, 144A
6.625%		08/15/27			270		144,511
Sr. Sec’d. Notes, 144A
5.375%		08/15/26			1,000		730,164
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37			1,010		1,189,394
5.300%		05/15/49			265		322,990
DISH DBS Corp.,
Sr. Unsec’d. Notes, 144A
7.375%		07/01/28			800		800,757
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43			15		18,892
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26			750		1,013,059
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25	(a)		1,175		1,107,091
6.625%		06/01/27	(a)		975		930,841
Walt Disney Co. (The),
Gtd. Notes
7.625%		11/30/28			1,415		2,028,667
							28,278,600
Mining — 0.2%
Barrick Gold Corp. (Canada),
Sr. Unsec’d. Notes
5.250%		04/01/42			680		887,314
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43			410		572,074
Newmont Corp.,
Gtd. Notes
3.625%		06/09/21			825		841,977
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			295		400,184
							2,701,549
Multi-National — 0.3%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			1,240		1,248,290
4.375%		06/15/22			500		525,438

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Multi-National (cont’d.)
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26			1,500	$	2,008,074
							3,781,802
Oil & Gas — 2.4%
Antero Resources Corp.,
Gtd. Notes
5.625%		06/01/23			1,200		775,381
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.000%		11/01/26			350		227,092
10.000%		04/01/22			575		494,320
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,000		860,315
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
9.250%		08/01/24			125		124,562
CITGO Petroleum Corp.,
Sr. Sec’d. Notes, 144A
7.000%		06/15/25			800		800,940
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23	(a)		750		783,467
CNX Resources Corp.,
Gtd. Notes, 144A
7.250%		03/14/27			975		897,163
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			180		202,489
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			850		830,406
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22			390		411,465
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22			1,665		1,785,565
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25			1,500		1,612,907
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25			1,160		1,247,699
4.750%		04/19/27			200		216,867
Lukoil International Finance BV (Russia),
Gtd. Notes, 144A
6.125%		11/09/20			600		610,803
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
7.000%		03/31/24			250		214,209
Sr. Unsec’d. Notes, 144A
7.125%		02/01/27			425		353,049
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36			2,000		848,148

SEE NOTES TO FINANCIAL STATEMENTS.

A49

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
6.450%		09/15/36			945	$	814,153
Ovintiv, Inc.,
Gtd. Notes
6.500%		02/01/38			200		169,497
Petrobras Global Finance BV (Brazil),
Gtd. Notes
4.750%		01/14/25		EUR	400		471,870
5.750%		02/01/29			725		744,846
6.625%		01/16/34		GBP	680		858,454
6.900%		03/19/49			1,495		1,574,488
7.375%		01/17/27			405		450,533
Gtd. Notes, 144A
5.093%		01/15/30			339		337,534
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.750%		02/26/29		EUR	800		757,906
6.350%		02/12/48			840		623,595
6.500%		03/13/27			2,155		1,965,877
6.500%		01/23/29			400		349,844
Gtd. Notes, 144A
6.490%		01/23/27			1,565		1,427,856
6.840%		01/23/30			100		87,531
7.690%		01/23/50			1,297		1,074,603
Gtd. Notes, EMTN
3.750%		02/21/24		EUR	400		413,448
4.875%		02/21/28		EUR	1,050		1,022,827
Gtd. Notes, MTN
6.750%		09/21/47			1,025		788,805
Range Resources Corp.,
Gtd. Notes, 144A
9.250%		02/01/26	(a)		1,200		1,080,314
Transocean, Inc.,
Gtd. Notes, 144A
8.000%		02/01/27			700		386,629
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/21			235		198,542
							28,895,999
Oil & Gas Services — 0.1%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38			450		589,742
Pharmaceuticals — 3.1%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,020		1,127,712
4.500%		05/14/35			1,715		2,070,199
Sr. Unsec’d. Notes, 144A
4.050%		11/21/39			5,135		5,995,401
4.550%		03/15/35			2,040		2,470,267
4.875%		02/15/21			1,350		1,370,806
Bausch Health Americas, Inc.,
Gtd. Notes, 144A
8.500%		01/31/27			320		341,010

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (cont’d.)
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
5.000%		01/30/28	(a)		300	$	282,686
5.250%		01/30/30	(a)		300		286,017
6.125%		04/15/25			325		329,288
6.250%		02/15/29			1,050		1,055,858
7.250%		05/30/29			100		104,970
Sr. Sec’d. Notes, 144A
5.750%		08/15/27			130		137,725
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
2.250%		08/15/21			1,070		1,090,681
4.125%		06/15/39	(a)		420		533,812
4.250%		10/26/49			650		856,017
4.550%		02/20/48			1,145		1,546,457
5.000%		08/15/45			750		1,044,329
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28			1,320		1,561,635
Gtd. Notes, 144A
4.500%		02/25/26			3,690		4,292,183
Sr. Unsec’d. Notes
3.200%		03/15/40			440		467,800
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38			270		333,803
5.050%		03/25/48			655		855,380
5.125%		07/20/45			565		728,972
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		06/30/28			233		150,285
Sec’d. Notes, 144A
9.500%		07/31/27			185		194,991
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48			1,890		2,330,400
Par Pharmaceutical, Inc.,
Sr. Sec’d. Notes, 144A
7.500%		04/01/27			92		94,333
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26			3,745		4,159,172
Takeda Pharmaceutical Co. Ltd. (Japan),
Sr. Unsec’d. Notes
3.025%		07/09/40			525		528,045
4.000%		11/26/21			600		625,816
Upjohn, Inc.,
Gtd. Notes, 144A
3.850%		06/22/40	(a)		555		595,290
4.000%		06/22/50			1,030		1,101,449
							38,662,789
Pipelines — 1.3%
Energy Transfer Operating LP,
Gtd. Notes
5.000%		05/15/50			280		265,524
5.150%		03/15/45			55		52,141

SEE NOTES TO FINANCIAL STATEMENTS.

A50

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines (cont’d.)
5.300%		04/15/47			120	$	118,535
6.125%		12/15/45			90		94,591
6.250%		04/15/49			1,400		1,491,787
Jr. Sub. Notes, Series G
7.125%(ff)		—	(rr)		875		750,746
Enterprise Products Operating LLC,
Gtd. Notes
3.700%		01/31/51			130		136,030
3.950%		01/31/60			145		150,984
4.900%		05/15/46			2,110		2,465,647
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38			375		393,025
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45			1,000		947,878
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38			970		969,589
5.200%		03/01/47			115		122,746
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22			50		51,537
4.875%		08/15/27	(a)		225		247,534
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37			1,250		1,400,077
ONEOK, Inc.,
Gtd. Notes
4.500%		03/15/50			2,685		2,499,237
4.950%		07/13/47			450		434,271
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45	(a)		1,900		2,022,047
Sunoco Logistics Partners Operations LP,
Gtd. Notes
5.400%		10/01/47			55		53,992
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.450%		04/01/44	(a)		575		479,340
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.900%		01/15/45			1,200		1,277,647
							16,424,905
Real Estate — 0.1%
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750%		12/01/25			1,200		1,201,136
Real Estate Investment Trusts (REITs) — 0.0%
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
Gtd. Notes, 144A
4.625%		06/15/25			405		398,629

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail — 0.6%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.200%		05/15/28	(a)		1,875	$	2,177,416
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes
8.625%		07/31/20			850		211,877
8.625%		07/31/20			900		223,875
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23	(a)		1,600		1,513,238
6.625%		04/01/21			551		571,129
Michaels Stores, Inc.,
Gtd. Notes, 144A
8.000%		07/15/27	(a)		625		543,443
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25			439		440,544
Rite Aid Corp.,
Gtd. Notes, 144A
6.125%		04/01/23			238		231,288
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
Sr. Unsec’d. Notes
5.500%		06/01/24			1,800		1,786,577
							7,699,387
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22	(a)		1,675		1,742,365
Semiconductors — 0.9%
Broadcom, Inc.,
Gtd. Notes, 144A
3.459%		09/15/26			3,509		3,766,790
4.700%		04/15/25			1,250		1,407,514
5.000%		04/15/30			2,500		2,869,025
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23			2,675		2,928,595
							10,971,924
Software — 0.3%
Fidelity National Information Services, Inc.,
Gtd. Notes
0.750%		05/21/23		EUR	400		452,575
Fiserv, Inc.,
Sr. Unsec’d. Notes
3.500%		10/01/22	(a)		1,162		1,228,186
Microsoft Corp.,
Sr. Unsec’d. Notes
2.525%		06/01/50			1,815		1,877,244
2.675%		06/01/60			435		453,804
							4,011,809
Telecommunications — 1.9%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			1,010		1,108,425

SEE NOTES TO FINANCIAL STATEMENTS.

A51

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (cont’d.)
3.600%		07/15/25			150	$	166,418
3.800%		02/15/27			1,065		1,195,606
4.300%		02/15/30			485		567,045
4.550%		03/09/49			774		912,356
4.850%		03/01/39			4,230		5,133,194
5.150%		03/15/42			800		997,765
5.250%		03/01/37			680		842,507
5.350%		09/01/40			424		533,012
CenturyLink, Inc.,
Sr. Unsec’d. Notes, Series P
7.600%		09/15/39	(a)		850		914,894
Embarq Corp.,
Sr. Unsec’d. Notes
7.995%		06/01/36			1,700		1,910,116
Level 3 Financing, Inc.,
Gtd. Notes, 144A
4.250%		07/01/28	(a)		1,525		1,521,670
Sr. Sec’d. Notes, 144A
3.400%		03/01/27			230		243,311
Qwest Corp.,
Sr. Unsec’d. Notes
6.750%		12/01/21			600		632,501
Sprint Capital Corp.,
Gtd. Notes
8.750%		03/15/32			700		1,001,216
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25	(a)		500		576,755
7.875%		09/15/23			1,500		1,691,109
T-Mobile USA, Inc.,
Sr. Sec’d. Notes, 144A
4.375%		04/15/40			425		491,339
4.500%		04/15/50			580		682,787
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.016%		12/03/29			120		143,275
4.500%		08/10/33			990		1,240,300
4.522%		09/15/48			360		476,042
							22,981,643
Textiles — 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850%		02/01/23	(a)		294		310,907
Transportation — 0.0%
Lima Metro Line 2 Finance Ltd. (Peru),
Sr. Sec’d. Notes
5.875%		07/05/34			108		126,748
Water — 0.1%
American Water Capital Corp.,
Sr. Unsec’d. Notes
3.450%		05/01/50	(a)		625		706,690
TOTAL CORPORATE BONDS (cost $427,013,803)							447,046,326

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS — 1.9%
California — 0.5%
Bay Area Toll Authority,
Taxable, Revenue Bonds, BABs, Series S3
6.907%		10/01/50		1,125	$	2,041,515
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39		1,550		2,571,713
General Obligation Unlimited, Taxable, BABs
7.625%		03/01/40		725		1,260,043
						5,873,271
Colorado — 0.1%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, BABs, Series B
5.844%		11/01/50		770		1,279,879
Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,380		2,055,068
State of Illinois,
General Obligation Unlimited, Series A
5.000%		10/01/22		20		20,946
General Obligation Unlimited, Series D
5.000%		11/01/22		2,650		2,779,029
						4,855,043
New Jersey — 0.4%
New Jersey Turnpike Authority,
Taxable, Revenue Bonds, BABs, Series A
7.102%		01/01/41		1,175		1,949,995
Taxable, Revenue Bonds, BABs, Series F
7.414%		01/01/40		2,050		3,483,319
						5,433,314
Ohio — 0.1%
Ohio State University (The),
Taxable, Revenue Bonds, BABs, Series C
4.910%		06/01/40		695		992,940
Oregon — 0.1%
State of Oregon Department of Transportation,
Taxable, Revenue Bonds, BABs, Series A
5.834%		11/15/34		615		894,112
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		800		1,234,856
Puerto Rico — 0.1%
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue,
Revenue Bonds, Restructured, Series A-1
5.000%		07/01/58		1,710		1,787,685
Texas — 0.0%
Texas Private Activity Bond Surface Transportation Corp.,
Taxable, Revenue Bonds, Series B
3.922%		12/31/49		450		461,830

SEE NOTES TO FINANCIAL STATEMENTS.

A52

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Virginia — 0.1%
University of Virginia,
Taxable, Revenue Bonds, Series C
4.179%		09/01/2117		425	$	575,169
TOTAL MUNICIPAL BONDS (cost $16,278,692)						23,388,099
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/20		25		24,615
Bellemeade Re Ltd. (Bermuda),
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.785%(c)		04/25/28		416		411,351
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.535%(c)		08/25/28		222		220,750
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.785%(c)		08/25/28		450		408,194
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%)
2.035%(c)		10/25/28		568		562,107
Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%)
1.635%(c)		04/25/29		268		266,947
Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
1.585%(c)		10/25/29		174		172,982
Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)
2.185%(c)		10/25/29		700		673,276
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.845%(c)		06/25/30		1,030		1,030,180
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)
3.595%(c)		06/25/30		270		270,000
BVRT Financing Trust,
Series 2019-01, Class F, 144A
2.327%		09/15/21^		8,788		8,719,193
Central Park Funding Trust,
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.673%(c)		11/01/23		5,400		5,312,326
CIM Trust,
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)
2.173%(c)		01/25/57		1,172		1,171,648
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,069		1,074,791
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65		1,968		1,960,923
Citigroup Mortgage Loan Trust,
Series 2011-12, Class 3A2, 144A
3.772%(cc)		09/25/47		439		397,120

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Connecticut Avenue Securities Trust,
Series 2019-R04, Class 2M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%)
2.285%(c)		06/25/39		980	$	951,844
Series 2019-R07, Class 1M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%)
2.285%(c)		10/25/39		900		872,390
Credit Suisse Mortgage Trust,
Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
1.585%(c)		12/26/59^		3,004		2,995,961
Eagle Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%)
1.885%(c)		11/25/28		585		566,082
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%)
1.985%(c)		04/25/29		180		178,978
Fannie Mae Connecticut Avenue Securities,
Series 2018-C03, Class 1M2, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%)
2.335%(c)		10/25/30		376		369,565
Fannie Mae REMICS,
Series 2011-116, Class ZA
3.500%		11/25/41		2,166		2,337,662
Series 2012-34, Class EB
4.000%		04/25/42		1,575		1,865,622
Freddie Mac REMICS,
Series 4289, Class WZ
3.000%		01/15/44		767		827,783
Series 4768, Class GA
3.500%		09/15/45		1,733		1,828,938
Series 4768, Class VB
3.500%		06/15/38		500		524,583
Series 4939, Class KT
3.000%		07/15/48		1,000		1,044,618
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.535%(c)		03/25/29		152		151,697
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)
1.485%(c)		04/25/29		222		221,461
Series 2020-DNA03, Class B1, 144A
—%(p)		06/25/50		205		205,000
Series 2020-DNA03, Class M2, 144A
—%(p)		06/25/50		755		755,000
Freddie Mac Structured Agency Credit Risk REMIC Trust,
Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%)
2.035%(c)		02/25/50		1,220		1,156,687
Series 2020-HQA02, Class M2, 144A, 1 Month LIBOR + 3.100% (Cap N/A, Floor 0.000%)
3.285%(c)		03/25/50		90		86,169

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Structured Agency Credit Risk Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		09/25/48		3	$	2,879
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.835%(c)		01/25/49		222		218,427
GCAT LLC,
Series 2019-04, Class A1, 144A
3.228%		11/26/49		1,813		1,784,598
GSMSC Resecuritization Trust,
Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%)
0.325%(c)		01/26/37		163		161,148
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%)
0.325%(c)		01/26/37		1,400		1,362,949
Home Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.785%(c)		10/25/28		151		150,490
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)
1.835%(c)		05/25/29		179		176,636
Legacy Mortgage Asset Trust,
Series 2019-GS06, Class A1, 144A
3.000%		06/25/59		651		650,598
Series 2020-GS01, Class A1, 144A
2.882%		10/25/59		1,359		1,345,634
LSTAR Securities Investment Trust,
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)
1.673%(c)		04/01/24		604		603,629
MetLife Securitization Trust,
Series 2018-01A, Class A, 144A
3.750%(cc)		03/25/57		596		635,263
MRA Issuance Trust,
Series 2019-03, Class A2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 0.000%)
2.034%(c)		07/10/20^		1,754		1,778,353
Series 2020-01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
1.573%(c)		12/08/20		5,223		5,228,714
New Residential Mortgage Loan Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,033		1,095,135
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
0.935%(c)		01/25/48		999		988,376
Oaktown Re II Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)
1.735%(c)		07/25/28		42		41,828
Oaktown Re III Ltd. (Bermuda),
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
1.585%(c)		07/25/29		46		46,318

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Park Avenue Funding Trust,
Series 2020-02, Class PT, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)
2.184%(c)		06/02/22		7,720	$	7,720,000
Radnor Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
1.585%(c)		03/25/28		27		27,016
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%)
2.885%(c)		03/25/28		360		338,687
Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
1.385%(c)		06/25/29		47		46,562
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%)
1.135%(c)		02/25/30		500		494,197
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%)
1.635%(c)		02/25/30		1,500		1,375,831
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.765%(cc)		02/25/34		346		332,876
Series 2004-18, Class 3A1
3.279%(cc)		12/25/34		1,816		1,736,953
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $68,027,160)						67,959,540
SOVEREIGN BONDS — 7.2%
Argentine Republic Government International Bond (Argentina),
Bonds
3.380%		12/31/38	EUR	300		126,469
Sr. Unsec’d. Notes
4.625%		01/11/23		1,625		678,632
6.875%		04/22/21		1,775		739,294
7.820%		12/31/33	EUR	958		463,466
7.820%		12/31/33	EUR	634		306,474
8.280%		12/31/33		582		262,816
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28		1,284		1,297,352
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		250		263,209
5.000%		06/15/45		205		231,213
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes
7.500%		05/06/21		750		774,538
Sr. Unsec’d. Notes, 144A
6.000%		07/19/28		575		579,230
7.500%		05/06/21		200		206,543
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A, MTN
4.750%		04/11/25	EUR	875		954,616
4.750%		04/16/26	EUR	1,540		1,644,204
6.375%		04/11/31	EUR	1,015		1,057,130

SEE NOTES TO FINANCIAL STATEMENTS.

A54

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Ghana Government International Bond (Ghana),
Sr. Unsec’d. Notes, 144A
6.375%		02/11/27		970	$	907,600
Hellenic Republic Government Bond (Greece),
Bonds
3.650%(cc)		02/24/23	EUR	1,200		1,464,302
3.650%(cc)		02/24/26	EUR	380		495,049
3.650%(cc)		02/24/29	EUR	1,000		1,360,484
3.650%(cc)		02/24/31	EUR	620		861,840
3.650%(cc)		02/24/32	EUR	1,280		1,807,561
3.650%(cc)		02/24/34	EUR	640		938,645
3.650%(cc)		02/24/39	EUR	1,000		1,522,173
3.750%		01/30/28	EUR	3,095		4,168,115
3.900%		01/30/33	EUR	1,990		2,915,713
4.000%		01/30/37	EUR	378		586,811
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34	EUR	1,500		2,373,374
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23		436		477,749
5.375%		03/25/24		290		329,120
5.750%		11/22/23		2,300		2,614,028
6.375%		03/29/21		1,126		1,171,098
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
1.450%		09/18/26	EUR	375		417,099
3.375%		07/30/25	EUR	3,125		3,809,367
Sr. Unsec’d. Notes, EMTN
2.875%		07/08/21	EUR	1,225		1,405,758
3.750%		06/14/28	EUR	1,250		1,600,988
Iraq International Bond (Iraq),
Sr. Unsec’d. Notes, 144A
5.800%		01/15/28		450		406,877
6.752%		03/09/23		400		370,175
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
2.500%		05/23/24		1,000		1,073,512
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A
3.375%		09/27/23		600		651,857
Sr. Unsec’d. Notes, 144A, MTN
1.750%		09/05/24		600		624,554
2.000%		09/08/20		800		802,113
2.625%		04/20/22		1,000		1,036,568
3.000%		03/12/24		600		649,955
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22		1,000		1,088,942
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25		450		486,796
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, EMTN
5.125%		10/15/24		12,675		14,769,145
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23		295		322,794

Interest Rate	Maturity Date			Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23			120	$	49,283
9.950%		06/09/21			1,940		789,883
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
5.103%		04/23/48			780		1,065,082
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes
2.375%		10/17/24			1,000		1,014,336
6.875%		09/27/23			260		301,488
Sr. Unsec’d. Notes, EMTN
6.000%		08/04/28		GBP	2,060		3,154,225
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33			4,730		5,856,706
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35		EUR	945		1,146,975
Sr. Unsec’d. Notes, EMTN
3.875%		10/29/35		EUR	940		1,140,907
4.125%		03/11/39		EUR	254		314,404
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25			675		749,400
Serbia International Bond (Serbia),
Sr. Unsec’d. Notes
7.250%		09/28/21			2,000		2,129,973
Sri Lanka Government International Bond (Sri Lanka),
Sr. Unsec’d. Notes, 144A
5.750%		01/18/22			800		627,969
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			600		621,519
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21	(a)		500		508,122
Ukraine Government International Bond (Ukraine),
Sr. Unsec’d. Notes
7.750%		09/01/20			145		145,718
7.750%		09/01/21			160		165,007
7.750%		09/01/22			1,120		1,167,584
8.994%		02/01/24			200		215,051
Sr. Unsec’d. Notes, 144A
4.375%		01/27/30		EUR	1,325		1,282,033
7.750%		09/01/20			520		522,576
7.750%		09/01/22			930		969,511
8.994%		02/01/24			200		215,051
9.750%		11/01/28			400		457,203
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55	(a)		500		640,420
TOTAL SOVEREIGN BONDS (cost $87,066,266)							88,345,774
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4%
Federal Home Loan Mortgage Corp.
3.500%		02/01/47			1,601		1,722,643
5.500%		10/01/33			507		587,110

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		06/01/34			6	$	6,909
6.000%		11/01/33			136		154,233
6.000%		05/01/34			53		59,150
6.000%		06/01/34			94		104,460
6.250%		07/15/32	(k)		830		1,303,923
6.500%		07/01/32			17		18,729
6.500%		07/01/32			20		22,129
6.500%		08/01/32			36		40,367
6.500%		08/01/32			39		44,053
6.500%		08/01/32			40		45,872
6.500%		09/01/32			33		37,986
6.500%		09/01/32			99		114,511
6.750%		09/15/29	(k)		525		790,106
6.750%		03/15/31	(k)		600		943,468
Federal National Mortgage Assoc.
4.500%		08/01/40			1,829		2,034,738
5.500%		02/01/33			15		16,954
5.500%		02/01/33			20		23,096
5.500%		03/01/33			21		24,089
5.500%		03/01/33			38		43,097
5.500%		03/01/33			44		49,959
5.500%		04/01/33			5		5,893
5.500%		04/01/33			26		30,121
5.500%		04/01/33			29		33,022
5.500%		04/01/33			30		34,406
5.500%		07/01/33			26		28,613
5.500%		07/01/33			30		34,664
5.500%		08/01/33			15		17,270
5.500%		02/01/34			26		29,942
5.500%		04/01/34			26		29,416
5.500%		06/01/34			37		41,716
6.000%		10/01/33			3		2,788
6.000%		10/01/33			198		224,433
6.000%		03/01/34			56		62,674
6.000%		02/01/35			177		206,817
6.000%		11/01/36			51		59,155
6.250%		05/15/29			535		774,947
6.500%		08/01/32			97		109,138
6.500%		09/01/32			99		114,034
6.500%		09/01/32			145		172,786
6.500%		10/01/32			77		88,763
6.500%		04/01/33			133		153,883
6.500%		11/01/33			3		3,571
6.625%		11/15/30	(k)		530		819,785
7.000%		05/01/32			56		60,027
7.000%		06/01/32			7		8,775
7.125%		01/15/30			785		1,223,462
Government National Mortgage Assoc.
3.500%		01/20/48			404		429,729
4.000%		02/20/49			1,009		1,071,431
5.500%		01/15/33			59		68,886
5.500%		02/15/33			41		48,161
5.500%		05/15/33			121		133,085
5.500%		05/15/33			177		195,096
5.500%		06/15/33			186		210,106
5.500%		09/15/33			87		97,200
5.500%		07/15/35			57		66,006
6.000%		12/15/32			111		131,706

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		11/15/33			56	$	66,328
6.000%		01/15/34			11		12,953
6.000%		06/20/34			302		349,213
6.000%		11/15/34			462		550,823
6.500%		09/15/32			34		37,718
6.500%		09/15/32			139		156,729
6.500%		09/15/32			210		244,149
6.500%		11/15/33			134		154,491
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $15,280,827)							16,581,493
U.S. TREASURY OBLIGATIONS — 7.6%
U.S. Treasury Bonds
2.000%		02/15/50	(a)		2,260		2,586,641
2.500%		05/15/46	(k)		965		1,196,449
2.875%		05/15/43	(a)		6,420		8,382,112
3.000%		11/15/44	(a)		2,360		3,158,712
3.000%		05/15/45	(k)		10,715		14,381,539
3.000%		02/15/48	(k)		270		369,394
3.125%		02/15/43	(k)		11,050		14,976,203
3.375%		05/15/44	(a)		2,160		3,054,037
3.625%		08/15/43	(h)		10,950		15,988,711
3.625%		02/15/44	(a)		2,295		3,358,589
3.750%		11/15/43	(a)		4,395		6,539,623
U.S. Treasury Notes
1.125%		02/28/22	(a)		230		233,684
1.500%		10/31/21			210		213,716
2.375%		08/15/24			1,780		1,935,889
U.S. Treasury Principal Strips
2.049%(s)		11/15/44			3,650		2,551,150
U.S. Treasury Strips Coupon
1.434%(s)		11/15/41			1,100		813,141
1.450%(s)		08/15/42			285		207,037
2.056%(s)		11/15/38	(k)		1,690		1,337,609
2.058%(s)		02/15/39			1,725		1,356,753
2.169%(s)		05/15/39	(h)(k)		4,925		3,860,354
2.394%(s)		11/15/43	(a)		3,019		2,120,965
2.762%(s)		08/15/29	(k)		1,200		1,121,766
2.857%(s)		05/15/31	(k)		940		854,409
3.019%(s)		11/15/35	(k)		1,665		1,404,323
3.176%(s)		08/15/40	(k)		2,400		1,825,875
TOTAL U.S. TREASURY OBLIGATIONS (cost $85,789,220)							93,828,681
				Shares
PREFERRED STOCKS — 0.2%
Banks — 0.1%
Citigroup Capital XIII, 7.130%					45,000		1,192,500
Capital Markets — 0.1%
State Street Corp. 5.350%, Series G					35,000		917,000
TOTAL PREFERRED STOCKS (cost $2,000,000)							2,109,500
TOTAL LONG-TERM INVESTMENTS (cost $1,175,780,791)							1,216,952,698

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
SHORT-TERM INVESTMENTS — 6.8%
AFFILIATED MUTUAL FUNDS — 6.7%
PGIM Core Ultra Short Bond Fund(w)		3,158,241	$	3,158,241
PGIM Institutional Money Market Fund (cost $79,245,865; includes $79,218,409 of cash collateral for securities on loan)(b)(w)		79,278,308		79,278,308
TOTAL AFFILIATED MUTUAL FUNDS (cost $82,404,106)				82,436,549
OPTIONS PURCHASED*~ — 0.1% (cost $17,284)				914,820
TOTAL SHORT-TERM INVESTMENTS (cost $82,421,390)				83,351,369
TOTAL INVESTMENTS — 105.9% (cost $1,258,202,181)				1,300,304,067
Liabilities in excess of other assets(z) — (5.9)%				(71,973,017	)
NET ASSETS — 100.0%			$	1,228,331,050

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

* Non-income producing security.

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

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

^ Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $16,271,330 and 1.3% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $77,613,485; cash collateral of $79,218,409 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

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

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

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

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

(p) Interest rate not available as of June 30, 2020.

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

(rr) Perpetual security with no stated maturity date.

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

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

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

Options Purchased:

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,026	$	67,529
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		7,356		155,419
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		14,601		309,117
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		14,800		324,107
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,942		58,648
Total Options Purchased (cost $ 17,284)													$	914,820

SEE NOTES TO FINANCIAL STATEMENTS.

A57

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Futures contracts outstanding at June 30, 2020:

Number of Contracts		Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
	Long Positions:
	528	5 Year U.S. Treasury Notes		Sep. 2020	$	66,391,876	$	120,210
	169	10 Year U.S. Ultra Treasury Notes		Sep. 2020		26,614,860		121,810
	490	30 Year U.S. Ultra Treasury Bonds		Sep. 2020		106,896,563		121,329
	30	Euro Schatz Index		Sep. 2020		3,779,679		3,175
								366,524
	Short Positions:
	2,283	2 Year U.S. Treasury Notes		Sep. 2020		504,150,612		(119,843	)
	13	5 Year Euro-Bobl		Sep. 2020		1,971,450		(16,077	)
	64	10 Year Euro-Bund		Sep. 2020		12,692,494		(131,810	)
	185	10 Year U.S. Treasury Notes		Sep. 2020		25,746,798		(20,403	)
	43	20 Year U.S. Treasury Bonds		Sep. 2020		7,678,188		(56,302	)
								(344,435	)
							$	22,089

Forward foreign currency exchange contracts outstanding at June 30, 2020:

Purchase Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
British Pound,
Expiring 07/02/20		Citibank, N.A.		GBP	5,305	$	6,623,293	$	6,573,502	$	—	$	(49,791	)
Euro,
Expiring 07/02/20		Bank of America, N.A.		EUR	40,220		45,375,107		45,189,518		—		(185,589	)
Expiring 07/02/20		Citibank, N.A.		EUR	329		370,000		369,484		—		(516	)
Expiring 07/02/20		Citibank, N.A.		EUR	215		245,000		241,766		—		(3,234	)
Expiring 07/02/20		JPMorgan Chase Bank, N.A.		EUR	264		299,408		296,191		—		(3,217	)
						$	52,912,808	$	52,670,461		—		(242,347	)

Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 07/20/20	HSBC Bank USA, N.A.		AUD	559	$	357,957	$	386,062	$	—	$	(28,105	)
British Pound,
Expiring 07/02/20	Barclays Bank PLC		GBP	5,305		6,459,103		6,573,502		—		(114,399	)
Expiring 08/04/20	Citibank, N.A.		GBP	5,305		6,624,465		6,574,935		49,530		—
Expiring 08/04/20	JPMorgan Chase Bank, N.A.		GBP	409		505,066		506,519		—		(1,453	)
Euro,
Expiring 07/02/20	Citibank, N.A.		EUR	1,229		1,350,000		1,381,388		—		(31,388	)
Expiring 07/02/20	Goldman Sachs International		EUR	932		1,057,627		1,046,973		10,654		—
Expiring 07/02/20	JPMorgan Chase Bank, N.A.		EUR	37,749		41,205,299		42,412,727		—		(1,207,428	)
Expiring 07/02/20	UBS AG		EUR	1,118		1,263,809		1,255,870		7,939		—
Expiring 08/04/20	Bank of America, N.A.		EUR	40,220		45,408,007		45,222,890		185,117		—
					$	104,231,333	$	105,360,866		253,240		(1,382,773	)
									$	253,240	$	(1,625,120	)

SEE NOTES TO FINANCIAL STATEMENTS.

A58

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Credit default swap agreements outstanding at June 30, 2020:    

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1):
Kingdom of Spain		06/20/23		1.000%(Q)		2,100	$	(37,894	)	$	(36,459	)	$	(1,435	)	Bank of America, N.A.
United Mexican States		06/20/23		1.000%(Q)		665		562			2,903			(2,341	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		655		553			7,246			(6,693	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		185			2,725			(2,540	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		185			2,502			(2,317	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		215		182			883			(701	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		115		97			502			(405	)	Citibank, N.A.
United Mexican States		12/20/24		1.000%(Q)		160		2,936			1,008			1,928		Citibank, N.A.
United Mexican States		12/20/24		1.000%(Q)		130		2,386			981			1,405		Citibank, N.A.
							$	(30,808	)	$	(17,709	)	$	(13,099	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2020(4)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2):
Boeing Co.		12/20/21		1.000%(Q)		3,700		2.453	%	$	(76,577	)	$	29,607		$	(106,184	)	Bank of America, N.A.
Hellenic Republic		06/20/23		1.000%(Q)		660		1.001	%		142			(45,296	)		45,438		Citibank, N.A.
Hellenic Republic		06/20/24		1.000%(Q)		500		1.239	%		(4,516	)		(82,041	)		77,525		Barclays Bank PLC
Hellenic Republic		12/20/25		1.000%(Q)		1,280		1.552	%		(36,548	)		(188,321	)		151,773		Bank of America, N.A.
Kingdom of Saudi Arabia		06/20/24		1.000%(Q)		405		0.889	%		1,874			1,493			381		Morgan Stanley & Co. International PLC
Kingdom of Spain		06/20/23		1.000%(Q)		2,100		0.570	%		27,309			22,320			4,989		Bank of America, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		2,205		5.232	%		(253,303	)		(44,179	)		(209,124	)	Credit Suisse International
Petroleos Mexicanos		06/20/23		1.000%(Q)		550		5.232	%		(63,182	)		(21,333	)		(41,849	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		545		5.232	%		(62,608	)		(25,375	)		(37,233	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		5.232	%		(21,252	)		(8,827	)		(12,425	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		5.232	%		(21,252	)		(8,667	)		(12,585	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		180		5.232	%		(20,678	)		(7,015	)		(13,663	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		90		5.232	%		(10,339	)		(3,489	)		(6,850	)	Citibank, N.A.
Petroleos Mexicanos		12/20/24		1.000%(Q)		160		5.566	%		(28,199	)		(13,506	)		(14,693	)	Citibank, N.A.
Petroleos Mexicanos		12/20/24		1.000%(Q)		130		5.566	%		(22,912	)		(11,103	)		(11,809	)	Citibank, N.A.
State of Illinois		06/20/24		1.000%(Q)		580		2.854	%		(37,223	)		(5,839	)		(31,384	)	Citibank, N.A.
										$	(629,264	)	$	(411,571	)	$	(217,693	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at June 30, 2020		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):
CDX.NA.IG.33.V1		12/20/29		1.000%(Q)		42,125	$	(298,366	)	$	258,732	$	557,098

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)			Implied Credit Spread at June 30, 2020(4)			Value at Trade Date		Value at June 30, 2020			Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2):
CDX.NA.HY.34.V6		06/20/25		5.000%(Q)			84,821		5.157	%	$	142,076	$	(447,264	)	$	(589,340	)
iTraxx.EUR.33.V1		06/20/25		1.000%(Q)		EUR	69,500		0.664	%		562,895		1,323,619			760,724
											$	704,971	$	876,355		$	171,384

SEE NOTES TO FINANCIAL STATEMENTS.

A59

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Credit default swap agreements outstanding at June 30, 2020 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on credit indices - Buy Protection(1):
CMBX.NA.10.AAA		11/17/59		0.500%	(M)		6,000	$	(44,808	)	$	66,785	$	(111,593	)	Deutsche Bank AG

Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2020(4)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on credit indices - Sell Protection(2):
CDX.BEIJING 1Y 30% - 100%^		12/20/20		0.000%			8,880		*	$	(2,778	)	$	(2,437	)	$	(341	)	Citibank, N.A.
CMBX.NA.6.AA		05/11/63		1.500%	(M)		650		*		(9,417	)		(2,301	)		(7,116	)	Deutsche Bank AG
										$	(12,195	)	$	(4,738	)	$	(7,457	)

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

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

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

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

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

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

Interest rate swap agreements outstanding at June 30, 2020:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2020		Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	AUD	6,000		02/13/30	1.210%(S)	6 Month BBSW(2)(S)	$	(27	)	$	142,180	$	142,207
	BRL	12,664		01/02/25	5.903%(T)	1 Day BROIS(2)(T)		—			70,399		70,399

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (cont’d.):
	BRL	6,276		01/02/25	6.640%(T)	1 Day BROIS(2)(T)	$	—		$	83,624		$	83,624
	BRL	7,043		01/02/25	6.670%(T)	1 Day BROIS(2)(T)		—			96,389			96,389
	BRL	18,662		01/02/25	6.670%(T)	1 Day BROIS(2)(T)		—			254,280			254,280
	CNH	16,230		06/14/24	2.900%(Q)	7 Day China Fixing Repo Rates(2)(Q)		46			54,518			54,472
	CNH	46,000		06/28/24	2.901%(Q)	7 Day China Fixing Repo Rates(2)(Q)		—			153,533			153,533
	CNH	16,400		09/19/24	2.940%(Q)	7 Day China Fixing Repo Rates(2)(Q)		(13	)		60,431			60,444
	CNH	15,700		10/10/24	2.860%(Q)	7 Day China Fixing Repo Rates(2)(Q)		(8	)		56,226			56,234
	COP	3,909,000		02/18/25	4.505%(Q)	1 Day COOIS(2)(Q)		—			64,380			64,380
	COP	6,724,755		02/21/25	4.565%(Q)	1 Day COOIS(2)(Q)		—			115,453			115,453
	COP	2,761,000		02/18/30	5.072%(Q)	1 Day COOIS(2)(Q)		—			42,211			42,211
	COP	1,932,000		02/18/30	5.081%(Q)	1 Day COOIS(2)(Q)		—			31,313			31,313
	COP	4,156,000		02/24/30	5.078%(Q)	1 Day COOIS(2)(Q)		—			66,529			66,529
	EUR	7,065		05/11/21	(0.300)%(A)	1 Day EONIA(1)(A)		(6,014	)		(15,713	)		(9,699	)
	EUR	8,125		05/11/22	(0.250)%(A)	1 Day EONIA(1)(A)		(5,161	)		(51,418	)		(46,257	)
	EUR	4,650		05/11/23	(0.100)%(A)	1 Day EONIA(1)(A)		(26,137	)		(69,727	)		(43,590	)
	EUR	3,980		05/11/24	0.050%(A)	1 Day EONIA(1)(A)		(61,623	)		(105,535	)		(43,912	)
	EUR	2,110		05/11/25	0.100%(A)	1 Day EONIA(1)(A)		(12,404	)		(73,839	)		(61,435	)
	EUR	3,815		05/11/26	0.250%(A)	1 Day EONIA(1)(A)		(62,921	)		(192,830	)		(129,909	)
	EUR	1,240		05/11/36	0.950%(A)	1 Day EONIA(1)(A)		(23,480	)		(243,897	)		(220,417	)
	GBP	977		10/22/28	0.680%(A)	1 Day SONIA(1)(A)		—			(63,006	)		(63,006	)
	GBP	2,100		05/08/30	1.100%(A)	1 Day SONIA(1)(A)		(145,549	)		(257,321	)		(111,772	)
	GBP	230		05/08/34	1.200%(A)	1 Day SONIA(1)(A)		(9,088	)		(40,965	)		(31,877	)
	HUF	99,000		02/13/30	1.595%(A)	6 Month BUBOR(2)(S)		—			10,805			10,805
	HUF	1,548,000		02/14/30	1.605%(A)	6 Month BUBOR(2)(S)		—			172,792			172,792
	HUF	432,000		02/18/30	1.803%(A)	6 Month BUBOR(2)(S)		—			73,973			73,973
	JPY	2,215,030		12/17/20	0.015%(S)	6 Month JPY LIBOR(1)(S)		—			(2,772	)		(2,772	)
	NZD	2,100		02/14/30	1.523%(S)	3 Month BBR(2)(Q)		—			111,756			111,756
		31,050		03/16/21	0.109%(T)	1 Day USOIS(1)(T)		—			(1,765	)		(1,765	)
		62,337		06/15/21	1.830%(S)	3 Month LIBOR(2)(Q)		—			974,477			974,477
		65,004		09/15/21	1.381%(S)	3 Month LIBOR(2)(Q)		(65,642	)		1,143,193			1,208,835
		53,393		09/15/21	1.480%(S)	3 Month LIBOR(2)(Q)		29,906			1,018,142			988,236
		62,856		09/15/21	1.604%(S)	3 Month LIBOR(2)(Q)		153,816			1,315,866			1,162,050
		31,850		03/10/22	0.330%(A)	1 Day USOIS(1)(A)		—			(195,813	)		(195,813	)
		5,260		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(247,711	)		(247,711	)
		4,490		09/27/22	2.360%(A)	1 Day USOIS(1)(A)		53			(287,944	)		(287,997	)
		3,100		02/14/30	1.382%(A)	1 Day USOIS(1)(A)		—			(312,666	)		(312,666	)
		3,792		11/15/45	0.508%(A)	1 Day USOIS(1)(A)		19,334			149,119			129,785
		869		11/15/45	0.553%(A)	1 Day USOIS(1)(A)		—			24,782			24,782
		515		11/15/45	1.044%(A)	1 Day USOIS(1)(A)		—			(45,819	)		(45,819	)
	ZAR	27,400		02/11/30	7.481%(Q)	3 Month JIBAR(2)(Q)		(1,229	)		76,600			77,829
	ZAR	36,800		02/28/30	7.500%(Q)	3 Month JIBAR(2)(Q)		(11,266	)		103,570			114,836
	ZAR	19,800		03/02/30	7.625%(Q)	3 Month JIBAR(2)(Q)		548			66,037			65,489
	ZAR	22,200		03/12/30	7.840%(Q)	3 Month JIBAR(2)(Q)		(205	)		93,488			93,693
	ZAR	14,700		03/12/30	7.900%(Q)	3 Month JIBAR(2)(Q)		(141	)		65,798			65,939
	ZAR	58,300		03/18/30	10.650%(Q)	3 Month JIBAR(2)(Q)		—			142,638			142,638
	ZAR	6,400		03/27/30	9.150%(Q)	3 Month JIBAR(2)(Q)		(135	)		63,094			63,229
	ZAR	12,600		04/01/30	8.600%(Q)	3 Month JIBAR(2)(Q)		(56	)		98,635			98,691
	ZAR	29,700		04/03/30	9.300%(Q)	3 Month JIBAR(2)(Q)		(622	)		326,374			326,996
							$	(228,018	)	$	5,113,864		$	5,341,882

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A61

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Total return swap agreements outstanding at June 30, 2020:

Reference Entity

Financing Rate

Counterparty

Termination Date

Long (Short) Notional Amount (000)#(1)

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)(2)

OTC Total Return Swap Agreement:

IOS.FN30.450.10(M)

1 Month LIBOR(M)

Credit Suisse International

1/12/41

1,200

$

995

$

(3,451

)

$

4,446

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

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

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

	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	138,955	$	(509,639	)	$	287,885	$	(633,281	)

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

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

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	146,000	$	24,674,708

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Asset-Backed Securities
Automobiles	$	—	$	12,409,848	$	—
Collateralized Loan Obligations		—		213,547,719		—
Consumer Loans		—		19,035,566		—
Credit Cards		—		3,006,561		—
Home Equity Loans		—		2,779,069		—
Other		—		2,225,880		—
Residential Mortgage-Backed Securities		—		18,265,871		—
Student Loans		—		27,410,676		2,272,500
Bank Loans		—		4,683,739		508,101
Commercial Mortgage-Backed Securities		—		171,547,755		—
Corporate Bonds		—		447,046,326		—
Municipal Bonds		—		23,388,099		—
Residential Mortgage-Backed Securities		—		54,466,033		13,493,507
Sovereign Bonds		—		88,345,774		—
U.S. Government Agency Obligations		—		16,581,493		—
U.S. Treasury Obligations		—		93,828,681		—
Preferred Stocks		2,109,500		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A62

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1			Level 2			Level 3
Investments in Securities (continued)
Assets (continued)
Affiliated Mutual Funds	$	82,436,549		$	—		$	—
Options Purchased		—			914,820			—
Total	$	84,546,049		$	1,199,483,910		$	16,274,108
Other Financial Instruments*
Assets
Futures Contracts	$	366,524		$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			253,240			—
Centrally Cleared Credit Default Swap Agreements		—			1,317,822			—
OTC Credit Default Swap Agreements		—			36,411			—
Centrally Cleared Interest Rate Swap Agreements		—			7,198,299			—
OTC Total Return Swap Agreement		—			995			—
Total	$	366,524		$	8,806,767		$	—
Liabilities
Futures Contracts	$	(344,435	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(1,625,120	)		—
Centrally Cleared Credit Default Swap Agreement		—			(589,340	)		—
OTC Credit Default Swap Agreements		—			(750,708	)		(2,778	)
Centrally Cleared Interest Rate Swap Agreements		—			(1,856,417	)		—
Total	$	(344,435	)	$	(4,821,585	)	$	(2,778	)

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

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

	Asset-Backed Securities- Student Loans		Bank Loans			Residential Mortgage-Backed Securities			OTC Credit Default Swap Agreements
Balance as of 12/31/19	$	—	$	1,051,134		$	11,680,644		$	—
Realized gain (loss)		—		387			—			—
Change in unrealized appreciation (depreciation)		22,500		(24,455	)		(51,876	)		(1,930	)
Purchases/Exchanges/Issuances		2,250,000		—			7,665,442			—
Sales/Paydowns		—		(99,500	)		(5,800,703	)		—
Accrued discount/premium		—		340			—			—
Transfers into Level 3		—		—			—			(848	)
Transfers out of Level 3		—		(419,805	)		—			—
Balance as of 06/30/20	$	2,272,500	$	508,101		$	13,493,507		$	(2,778	)
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	22,500	$	(24,455	)	$	(51,876	)	$	(1,930	)

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

Level 3 Securities	Fair Value as of June 30, 2020			Valuation Methodology		Unobservable Inputs
Asset-Backed Securities-Student Loans	$	2,272,500			Market Approach	Single Broker Indicative Quote
Bank Loans		508,101			Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		13,493,507			Market Approach	Single Broker Indicative Quote
OTC Credit Default Swap Agreements		(2,778	)		Market Approach	Single Broker Indicative Quote
	$	16,271,330

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

Investments in Securities	Amount Transferred		Level Transfer	Logic
Bank Loans		$419,805	L3 to L2	Single Broker Indicative Quote to Multiple Broker Quotes
OTC Credit Default Swap Agreements		$       848	L2 to L3	Vendor Pricing to Single Broker Indicative Quote

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Collateralized Loan Obligations	17.4	%
Commercial Mortgage-Backed Securities	14.0
Banks	9.4
U.S. Treasury Obligations	7.6
Sovereign Bonds	7.2
Residential Mortgage-Backed Securities	7.0
Affiliated Mutual Funds (6.4% represents investments purchased with collateral from securities on loan)	6.7
Pharmaceuticals	3.2
Oil & Gas	2.5
Electric	2.4
Student Loans	2.4
Media	2.3
Municipal Bonds	1.9
Telecommunications	1.9
Consumer Loans	1.6
Chemicals	1.4
U.S. Government Agency Obligations	1.4
Pipelines	1.3
Automobiles	1.0
Insurance	1.0
Healthcare-Services	0.9
Semiconductors	0.9
Auto Manufacturers	0.9
Foods	0.7
Retail	0.7
Diversified Financial Services	0.7
Commercial Services	0.7
Aerospace & Defense	0.5
Auto Parts & Equipment	0.5
Beverages	0.4
Gas	0.4
Machinery-Diversified	0.4
Entertainment	0.4

Software	0.3	%
Airlines	0.3
Multi-National	0.3
Building Materials	0.3
Healthcare-Products	0.3
Credit Cards	0.2
Agriculture	0.2
Home Equity Loans	0.2
Mining	0.2
Engineering & Construction	0.2
Home Builders	0.2
Other	0.2
Lodging	0.1
Savings & Loans	0.1
Forest Products & Paper	0.1
Real Estate	0.1
Computers	0.1
Electrical Components & Equipment	0.1
Electronics	0.1
Capital Markets	0.1
Options Purchased	0.1
Water	0.1
Housewares	0.1
Machinery-Construction & Mining	0.1
Oil & Gas Services	0.1
Real Estate Investment Trusts (REITs)	0.0	*
Textiles	0.0	*
Transportation	0.0	*
	105.9
Liabilities in excess of other assets	(5.9	)
	100.0	%

* Less than +/- 0.05%

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

SEE NOTES TO FINANCIAL STATEMENTS.

A64

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker-variation margin swaps	$	1,317,822	*	Due from/to broker-variation margin swaps	$	589,340	*
Credit contracts	Premiums paid for OTC swap agreements		138,955		Premiums received for OTC swap agreements		506,188
Credit contracts	Unrealized appreciation on OTC swap agreements		283,439		Unrealized depreciation on OTC swap agreements		633,281
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		253,240		Unrealized depreciation on OTC forward foreign currency exchange contracts		1,625,120
Interest rate contracts	Due from/to broker-variation margin futures		366,524	*	Due from/to broker-variation margin futures		344,435	*
Interest rate contracts	Due from/to broker-variation margin swaps		7,198,299	*	Due from/to broker-variation margin swaps		1,856,417	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		3,451
Interest rate contracts	Unaffiliated investments		914,820		—		—
Interest rate contracts	Unrealized appreciation on OTC swap agreements		4,446		—		—
		$	10,477,545			$	5,558,232

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Written			Futures		Forward & Cross Currency Exchange Contracts		Swaps
Credit contracts	$	(8,252,678	)	$	—	$	—	$	(947,531	)
Foreign exchange contracts		—			—		1,318,102		—
Interest rate contracts		—			37,428,843		—		(43,052,312	)
Total	$	(8,252,678	)	$	37,428,843	$	1,318,102	$	(43,999,843	)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)		Options Written			Futures		Forward & Cross Currency Exchange Contracts			Swaps
Credit contracts	$	—	$	(33,112	)	$	—	$	—		$	621,651
Foreign exchange contracts		—		—			—		(352,007	)		—
Interest rate contracts		482,070		—			5,005,832		—			23,433,118
Total	$	482,070	$	(33,112	)	$	5,005,832	$	(352,007	)	$	24,054,769

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

SEE NOTES TO FINANCIAL STATEMENTS.

A65

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:    

Options Purchased(1)	Options     Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts— Purchased(3)
$17,284	$85,990,000	$502,890,765	$628,397,268	$38,304,425

Forward Foreign Currency Exchange Contracts—Sold(3)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$95,297,036	$735,920,931	$82,598,177

Credit Default Swap Agreements— Sell Protection(2)	Total Return Swap Agreements(2)
$146,799,466	$1,275,260

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	77,613,485	$	(77,613,485	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	1,182,449	$	(517,988	)	$	664,461		$	(664,461	)	$	—
Barclays Bank PLC		203,702		(196,440	)		7,262			—			7,262
Citibank, N.A.		117,051		(435,645	)		(318,594	)		318,594			—
Credit Suisse International		4,446		(256,754	)		(252,308	)		252,308			—
Deutsche Bank AG		66,785		(121,010	)		(54,225	)		—			(54,225	)
Goldman Sachs International		10,654		—			10,654			—			10,654
HSBC Bank USA, N.A.		—		(28,105	)		(28,105	)		28,105			—
JPMorgan Chase Bank, N.A.		—		(1,212,098	)		(1,212,098	)		1,212,098			—
Morgan Stanley & Co. International PLC		1,874		—			1,874			—			1,874
UBS AG		7,939		—			7,939			—			7,939
	$	1,594,900	$	(2,768,040	)	$	(1,173,140	)	$	1,146,644		$	(26,496	)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A66

DIVERSIFIED BOND PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $77,613,485:
Unaffiliated investments (cost $1,175,798,075)	$	1,217,867,518
Affiliated investments (cost $82,404,106)		82,436,549
Cash		167,440
Foreign currency, at value (cost $75,131)		75,214
Dividends and interest receivable		9,457,669
Receivable for investments sold		4,220,318
Due from broker-variation margin swaps		1,289,929
Unrealized appreciation on OTC swap agreements		287,885
Unrealized appreciation on OTC forward foreign currency exchange contracts		253,240
Deposit with broker for centrally cleared/exchange-traded derivatives		146,000
Premiums paid for OTC swap agreements		138,955
Receivable for Portfolio shares sold		127,119
Tax reclaim receivable		26,366
Prepaid expenses and other assets		104,468
Total Assets		1,316,598,670
LIABILITIES
Payable to broker for collateral for securities on loan		79,218,409
Payable for investments purchased		4,997,902
Unrealized depreciation on OTC forward foreign currency exchange contracts		1,625,120
Unrealized depreciation on OTC swap agreements		633,281
Premiums received for OTC swap agreements		509,639
Due to broker-variation margin futures		504,722
Management fee payable		401,926
Accrued expenses and other liabilities		205,860
Payable for Portfolio shares repurchased		169,835
Affiliated transfer agent fee payable		926
Total Liabilities		88,267,620
NET ASSETS	$	1,228,331,050
Net assets were comprised of:
Partners’ Equity	$	1,228,331,050
Net asset value and redemption price per share, $1,228,331,050 / 81,479,908 outstanding shares of beneficial interest	$	15.08

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	21,979,807
Affiliated dividend income		100,215
Unaffiliated dividend income		70,426
Income from securities lending, net (including affiliated income of $68,421)		70,108
Total income		22,220,556
EXPENSES
Management fee		2,399,184
Custodian and accounting fees		91,894
Shareholders’ reports		64,924
Audit fee		28,529
Trustees’ fees		11,841
Legal fees and expenses		7,853
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		15,648
Total expenses		2,625,185
NET INVESTMENT INCOME (LOSS)		19,595,371
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(22,175))		5,325,870
Futures transactions		37,428,843
Forward and cross currency contract transactions		1,318,102
Options written transactions		(8,252,678	)
Swap agreements transactions		(43,999,843	)
Foreign currency transactions		(100,887	)
		(8,280,593	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $28,166)		2,379,912
Futures		5,005,832
Forward and cross currency contracts		(352,007	)
Options written		(33,112	)
Swap agreements		24,054,769
Foreign currencies		(173,820	)
		30,881,574
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		22,600,981
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	42,196,352

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	19,595,371		$	41,162,817
Net realized gain (loss) on investment and foreign currency transactions		(8,280,593	)		77,712,920
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		30,881,574			1,002,602
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		42,196,352			119,878,339
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [2,953,433 and 3,069,133 shares, respectively]		43,565,793			43,101,026
Portfolio shares repurchased [3,264,415 and 6,864,355 shares, respectively]		(47,535,823	)		(95,800,032	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(3,970,030	)		(52,699,006	)
TOTAL INCREASE (DECREASE)		38,226,322			67,179,333
NET ASSETS:
Beginning of period		1,190,104,728			1,122,925,395
End of period	$	1,228,331,050		$	1,190,104,728

SEE NOTES TO FINANCIAL STATEMENTS.

A67

EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
LONG-TERM INVESTMENTS — 98.7%
COMMON STOCKS
Aerospace & Defense — 1.4%
Northrop Grumman Corp.		113,274	$	34,824,959
Raytheon Technologies Corp.		481,662		29,680,012
				64,504,971
Automobiles — 3.1%
General Motors Co.		913,396		23,108,919
Tesla, Inc.*(a)		110,540		119,362,197
				142,471,116
Banks — 5.1%
Bank of America Corp.		2,012,819		47,804,451
Citigroup, Inc.		843,610		43,108,471
JPMorgan Chase & Co.		779,295		73,300,488
PNC Financial Services Group, Inc. (The)		356,809		37,539,875
Truist Financial Corp.		928,081		34,849,441
				236,602,726
Beverages — 0.7%
PepsiCo, Inc.		246,730		32,632,510
Biotechnology — 1.5%
BioMarin Pharmaceutical, Inc.*(a)		244,462		30,151,943
Vertex Pharmaceuticals, Inc.*		139,796		40,584,177
				70,736,120
Building Products — 0.8%
Johnson Controls International PLC		1,122,321		38,316,039
Capital Markets — 1.6%
Goldman Sachs Group, Inc. (The)		239,754		47,380,185
S&P Global, Inc.		78,602		25,897,787
				73,277,972
Chemicals — 2.1%
FMC Corp.		402,333		40,080,413
Linde PLC (United Kingdom)		279,016		59,182,084
				99,262,497
Consumer Finance — 0.9%
Capital One Financial Corp.		375,691		23,514,500
SLM Corp.(a)		2,482,612		17,452,762
				40,967,262
Diversified Telecommunication Services — 1.1%
Verizon Communications, Inc.		914,796		50,432,704
Electric Utilities — 1.2%
American Electric Power Co., Inc.		715,917		57,015,630
Electrical Equipment — 0.6%
Emerson Electric Co.		460,709		28,577,779
Entertainment — 3.8%
Netflix, Inc.*		245,286		111,614,942
Spotify Technology SA*		97,611		25,202,184
Walt Disney Co. (The)		348,318		38,840,940
				175,658,066
Equity Real Estate Investment Trusts (REITs) — 1.3%
American Tower Corp.		230,429		59,575,114

	Shares		Value
COMMON STOCKS (continued)
Food & Staples Retailing — 2.1%
Costco Wholesale Corp.		154,135	$	46,735,273
Walmart, Inc.		428,409		51,314,830
				98,050,103
Food Products — 1.0%
Mondelez International, Inc. (Class A Stock)		931,374		47,621,153
Health Care Equipment & Supplies — 1.8%
Alcon, Inc. (Switzerland)*(a)		263,144		15,083,414
Danaher Corp.		143,871		25,440,709
DexCom, Inc.*		32,306		13,096,852
Zimmer Biomet Holdings, Inc.		242,438		28,937,400
				82,558,375
Health Care Providers & Services — 1.5%
Cigna Corp.		157,552		29,564,633
Laboratory Corp. of America Holdings*		233,985		38,867,248
				68,431,881
Health Care Technology — 0.3%
Teladoc Health, Inc.*(a)		77,911		14,868,535
Hotels, Restaurants & Leisure — 0.5%
McDonald’s Corp.		132,522		24,446,333
Household Durables — 0.7%
D.R. Horton, Inc.		543,350		30,128,758
Household Products — 0.9%
Procter & Gamble Co. (The)		343,025		41,015,499
Insurance — 2.4%
Chubb Ltd.		362,217		45,863,916
Marsh & McLennan Cos., Inc.(a)		286,259		30,735,629
MetLife, Inc.		995,673		36,361,978
				112,961,523
Interactive Media & Services — 7.0%
Alphabet, Inc. (Class A Stock)*		75,320		106,807,526
Alphabet, Inc. (Class C Stock)*		45,975		64,990,720
Facebook, Inc. (Class A Stock)*		422,552		95,948,882
Match Group, Inc.*		15,114		1,617,954
Tencent Holdings Ltd. (China)		842,145		54,302,811
				323,667,893
Internet & Direct Marketing Retail — 5.6%
Alibaba Group Holding Ltd. (China), ADR*		243,469		52,516,264
Amazon.com, Inc.*		75,299		207,736,387
				260,252,651
IT Services — 8.6%
Adyen NV (Netherlands), 144A*		47,935		70,094,296
Mastercard, Inc. (Class A Stock)		299,236		88,484,085
PayPal Holdings, Inc.*		408,735		71,213,899
Shopify, Inc. (Canada) (Class A Stock)* .		97,604		92,645,717
Visa, Inc. (Class A Stock)(a)		401,478		77,553,505
				399,991,502
Life Sciences Tools & Services — 0.5%
Illumina, Inc.*(a)		61,943		22,940,590

SEE NOTES TO FINANCIAL STATEMENTS.

A68

EQUITY PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Machinery — 0.6%
Otis Worldwide Corp.		500,961	$	28,484,642
Multi-Utilities — 1.0%
Dominion Energy, Inc.		556,566		45,182,028
Oil, Gas & Consumable Fuels — 1.9%
Chevron Corp.		597,252		53,292,796
ConocoPhillips		863,992		36,304,944
				89,597,740
Personal Products — 0.8%
Estee Lauder Cos., Inc. (The) (Class A Stock)		190,701		35,981,465
Pharmaceuticals — 6.0%
AstraZeneca PLC (United Kingdom), ADR		2,766,843		146,338,326
Bristol-Myers Squibb Co.		530,038		31,166,235
Eli Lilly & Co.		624,110		102,466,380
				279,970,941
Road & Rail — 2.1%
Uber Technologies, Inc.*		1,554,828		48,324,054
Union Pacific Corp.		288,307		48,744,065
				97,068,119
Semiconductors & Semiconductor Equipment — 4.1%
Broadcom, Inc.		125,299		39,545,617
NVIDIA Corp.		228,150		86,676,466
QUALCOMM, Inc.		294,618		26,872,108
Texas Instruments, Inc.(a)		286,374		36,360,907
				189,455,098
Software — 13.2%
Adobe, Inc.*		224,120		97,561,677
Atlassian Corp. PLC (Class A Stock)*		143,021		25,782,396
Coupa Software, Inc.*(a)		221,801		61,447,749
Crowdstrike Holdings, Inc. (Class A Stock)*		315,503		31,641,796
Microsoft Corp.		1,023,969		208,387,931
RingCentral, Inc. (Class A Stock)*		150,953		43,023,115
salesforce.com, Inc.*		416,833		78,085,326
SAP SE (Germany), ADR(a)		295,105		41,314,700
Trade Desk, Inc. (The) (Class A Stock)*(a)		65,771		26,735,911
				613,980,601
Specialty Retail — 3.0%
Advance Auto Parts, Inc.		118,160		16,831,892
Home Depot, Inc. (The)		190,777		47,791,546
Lowe’s Cos., Inc.		352,215		47,591,291
Ross Stores, Inc.		289,271		24,657,460
				136,872,189

	Shares		Value
COMMON STOCKS (continued)
Technology Hardware, Storage & Peripherals — 5.0%
Apple, Inc.		631,155	$	230,245,344
Textiles, Apparel & Luxury Goods — 2.3%
Lululemon Athletica, Inc.*		255,170		79,615,592
NIKE, Inc. (Class B Stock)		274,168		26,882,172
				106,497,764
Trading Companies & Distributors — 0.6%
United Rentals, Inc.*		188,976		28,164,983
TOTAL LONG-TERM INVESTMENTS (cost $2,776,870,247)				4,578,466,216
SHORT-TERM INVESTMENTS — 9.0%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		54,432,740		54,432,740
PGIM Institutional Money Market Fund (cost $359,564,215; includes $359,401,620 of cash collateral for securities on loan)(b)(w)		360,372,055		360,372,055
TOTAL SHORT-TERM INVESTMENTS (cost $413,996,955)				414,804,795
TOTAL INVESTMENTS — 107.7% (cost $3,190,867,202)				4,993,271,011
Liabilities in excess of other assets — (7.7)%				(355,072,358	)
NET ASSETS — 100.0%			$	4,638,198,653

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $360,675,868; cash collateral of $359,401,620 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

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

Fair Value Measurements:

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A69

EQUITY PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	64,504,971	$	—	$	—
Automobiles		142,471,116		—		—
Banks		236,602,726		—		—
Beverages		32,632,510		—		—
Biotechnology		70,736,120		—		—
Building Products		38,316,039		—		—
Capital Markets		73,277,972		—		—
Chemicals		99,262,497		—		—
Consumer Finance		40,967,262		—		—
Diversified Telecommunication Services		50,432,704		—		—
Electric Utilities		57,015,630		—		—
Electrical Equipment		28,577,779		—		—
Entertainment		175,658,066		—		—
Equity Real Estate Investment Trusts (REITs)		59,575,114		—		—
Food & Staples Retailing		98,050,103		—		—
Food Products		47,621,153		—		—
Health Care Equipment & Supplies		82,558,375		—		—
Health Care Providers & Services		68,431,881		—		—
Health Care Technology		14,868,535		—		—
Hotels, Restaurants & Leisure		24,446,333		—		—
Household Durables		30,128,758		—		—
Household Products		41,015,499		—		—
Insurance		112,961,523		—		—
Interactive Media & Services		269,365,082		54,302,811		—
Internet & Direct Marketing Retail		260,252,651		—		—
IT Services		329,897,206		70,094,296		—
Life Sciences Tools & Services		22,940,590		—		—
Machinery		28,484,642		—		—
Multi-Utilities		45,182,028		—		—
Oil, Gas & Consumable Fuels		89,597,740		—		—
Personal Products		35,981,465		—		—
Pharmaceuticals		279,970,941		—		—
Road & Rail		97,068,119		—		—
Semiconductors & Semiconductor Equipment		189,455,098		—		—
Software		613,980,601		—		—
Specialty Retail		136,872,189		—		—
Technology Hardware, Storage & Peripherals		230,245,344		—		—
Textiles, Apparel & Luxury Goods		106,497,764		—		—
Trading Companies & Distributors		28,164,983		—		—
Affiliated Mutual Funds		414,804,795		—		—
Total	$	4,868,873,904	$	124,397,107	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Software	13.2	%
Affiliated Mutual Funds (7.7% represents investments purchased with collateral from securities on loan)	9.0
IT Services	8.6
Interactive Media & Services	7.0

Pharmaceuticals	6.0	%
Internet & Direct Marketing Retail	5.6
Banks	5.1
Technology Hardware, Storage & Peripherals	5.0
Semiconductors & Semiconductor Equipment	4.1

SEE NOTES TO FINANCIAL STATEMENTS.

A70

EQUITY PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Industry Classification (continued):

Entertainment	3.8	%
Automobiles	3.1
Specialty Retail	3.0
Insurance	2.4
Textiles, Apparel & Luxury Goods	2.3
Chemicals	2.1
Food & Staples Retailing	2.1
Road & Rail	2.1
Oil, Gas & Consumable Fuels	1.9
Health Care Equipment & Supplies	1.8
Capital Markets	1.6
Biotechnology	1.5
Health Care Providers & Services	1.5
Aerospace & Defense	1.4
Equity Real Estate Investment Trusts (REITs)	1.3
Electric Utilities	1.2
Diversified Telecommunication Services	1.1
Food Products	1.0

Multi-Utilities	1.0	%
Household Products	0.9
Consumer Finance	0.9
Building Products	0.8
Personal Products	0.8
Beverages	0.7
Household Durables	0.7
Electrical Equipment	0.6
Machinery	0.6
Trading Companies & Distributors	0.6
Hotels, Restaurants & Leisure	0.5
Life Sciences Tools & Services	0.5
Health Care Technology	0.3
	107.7
Liabilities in excess of other assets	(7.7	)
	100.0	%

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	360,675,868	$	(359,401,620	)	$	1,274,248

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

SEE NOTES TO FINANCIAL STATEMENTS.

A71

EQUITY PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $360,675,868:
Unaffiliated investments (cost $2,776,870,247)	$	4,578,466,216
Affiliated investments (cost $413,996,955)		414,804,795
Cash		44
Receivable for investments sold		9,320,795
Dividends receivable		1,495,759
Tax reclaim receivable		1,159,202
Receivable for Portfolio shares sold		2,659
Prepaid expenses		4,553
Total Assets		5,005,254,023
LIABILITIES
Payable to broker for collateral for securities on loan		359,401,620
Payable for investments purchased		3,531,738
Management fee payable		1,690,509
Payable for Portfolio shares repurchased		1,399,854
Payable to affiliate		656,881
Accrued expenses and other liabilities		373,220
Affiliated transfer agent fee payable		926
Distribution fee payable		332
Administration fee payable		290
Total Liabilities		367,055,370
NET ASSETS	$	4,638,198,653
Net assets were comprised of:
Partners’ Equity	$	4,638,198,653
Class I:
Net asset value and redemption price per share, $4,636,550,416 / 72,090,344 outstanding shares of beneficial interest	$	64.32
Class II:
Net asset value and redemption price per share, $1,648,237 / 26,128 outstanding shares of beneficial interest	$	63.08

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $219,789 foreign withholding tax)	$	31,781,223
Income from securities lending, net (including affiliated income of $612,932)		650,626
Affiliated dividend income		572,464
Total income		33,004,313
EXPENSES
Management fee		9,810,029
Distribution fee—Class II		1,961
Administration fee—Class II		1,176
Shareholders’ reports		157,821
Custodian and accounting fees		152,780
Trustees’ fees		30,084
Audit fee		15,910
Legal fees and expenses		13,247
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		41,960
Total expenses		10,230,280
NET INVESTMENT INCOME (LOSS)		22,774,033
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(48,015))		17,166,125
Foreign currency transactions		84,917
		17,251,042
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $746,962)		36,398,314
Foreign currencies		(1,410	)
		36,396,904
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		53,647,946
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	76,421,979

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020				Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)		$	22,774,033			$	51,222,459
Net realized gain (loss) on investment and foreign currency transactions			17,251,042				305,388,687
Net change in unrealized appreciation (depreciation) on investments and foreign currencies			36,396,904				742,710,537
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS			76,421,979				1,099,321,683
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold			6,449,696				5,848,700
Portfolio shares repurchased			(157,391,425	)			(313,517,496	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS			(150,941,729	)			(307,668,796	)
CAPITAL CONTRIBUTIONS			—				3
TOTAL INCREASE (DECREASE)			(74,519,750	)			791,652,890
NET ASSETS:
Beginning of period			4,712,718,403				3,921,065,513
End of period		$	4,638,198,653			$	4,712,718,403

SEE NOTES TO FINANCIAL STATEMENTS.

A72

FLEXIBLE MANAGED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
LONG-TERM INVESTMENTS — 94.4%
COMMON STOCKS — 60.0%
Aerospace & Defense — 1.4%
BAE Systems PLC (United Kingdom)		18,270	$	109,824
Dassault Aviation SA (France)*		15		13,917
General Dynamics Corp.		67,200		10,043,712
Huntington Ingalls Industries, Inc.		21,500		3,751,535
Leonardo SpA (Italy)		2,329		15,577
Lockheed Martin Corp.		52,300		19,085,316
Northrop Grumman Corp.		50,300		15,464,232
Raytheon Technologies Corp.		164,600		10,142,652
				58,626,765
Air Freight & Logistics — 0.0%
Deutsche Post AG (Germany)*		19,529		719,890
Expeditors International of Washington, Inc.		11,600		882,064
SG Holdings Co. Ltd. (Japan)		10,000		326,399
Yamato Holdings Co. Ltd. (Japan)		1,800		38,924
				1,967,277
Airlines — 0.0%
easyJet PLC (United Kingdom)		4,258		36,069
Qantas Airways Ltd. (Australia)		4,355		11,512
				47,581
Auto Components — 0.1%
BorgWarner, Inc.(a)		47,200		1,666,160
Cie Generale des Etablissements Michelin SCA (France)*		4,494		464,928
Faurecia SE (France)*		448		17,617
				2,148,705
Automobiles — 0.4%
Ferrari NV (Italy)		1,703		291,828
Fiat Chrysler Automobiles NV (United Kingdom)*		33,113		337,569
General Motors Co.		599,500		15,167,350
Peugeot SA (France)*		24,097		395,460
Subaru Corp. (Japan)		3,600		74,870
Toyota Motor Corp. (Japan)		12,400		777,518
Volkswagen AG (Germany)*		184		29,773
				17,074,368
Banks — 1.8%
ABN AMRO Bank NV (Netherlands), 144A, CVA		2,483		21,608
Aozora Bank Ltd. (Japan)		700		12,183
Banco de Sabadell SA (Spain)		34,044		11,950
Bank of America Corp.		275,750		6,549,062
Bankia SA (Spain)		424,270		454,116
Bankinter SA (Spain)		4,015		19,264
BankUnited, Inc.		46,400		939,600
Banque Cantonale Vaudoise (Switzerland)		176		17,163
Barclays PLC (United Kingdom)		88,887		126,396
BNP Paribas SA (France)*		6,632		265,155
BOC Hong Kong Holdings Ltd. (China)		175,500		561,003
Chiba Bank Ltd. (The) (Japan)		3,200		15,077
CIT Group, Inc.		183,600		3,806,028

	Shares		Value
COMMON STOCKS (continued)
Banks (cont’d.)
Citigroup, Inc.		466,550	$	23,840,705
Commonwealth Bank of Australia (Australia)		10,928		527,543
Credit Agricole SA (France)*		6,175		59,258
Danske Bank A/S (Denmark)*		3,600		48,213
DBS Group Holdings Ltd. (Singapore)		10,200		152,934
DNB ASA (Norway)*		5,465		72,539
Erste Group Bank AG (Austria)*		1,675		39,646
FNB Corp.		364,400		2,733,000
HSBC Holdings PLC (United Kingdom)		20,807		97,568
Intesa Sanpaolo SpA (Italy)*		85,472		164,604
Japan Post Bank Co. Ltd. (Japan)		2,400		17,829
JPMorgan Chase & Co.		59,094		5,558,382
Mebuki Financial Group, Inc. (Japan)		240,800		558,442
Mediobanca Banca di Credito Finanziario SpA (Italy)		3,658		26,451
Mitsubishi UFJ Financial Group, Inc. (Japan)		24,500		96,067
Mizrahi Tefahot Bank Ltd. (Israel)		23,506		440,139
Mizuho Financial Group, Inc. (Japan)		134,200		164,442
PacWest Bancorp		230,400		4,541,184
Popular, Inc. (Puerto Rico)		138,700		5,155,479
Raiffeisen Bank International AG (Austria)*		13,320		238,281
Resona Holdings, Inc. (Japan)		12,400		42,357
Seven Bank Ltd. (Japan)		81,500		222,790
Shinsei Bank Ltd. (Japan)		1,100		13,285
Simmons First National Corp. (Class A Stock)		111,200		1,902,632
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)*		66,587		580,126
Sterling Bancorp(a)		93,000		1,089,960
Sumitomo Mitsui Financial Group, Inc. (Japan)		7,600		213,757
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		3,000		84,162
Svenska Handelsbanken AB (Sweden) (Class A Stock)*		8,949		85,318
Synovus Financial Corp.		91,500		1,878,495
Umpqua Holdings Corp.		85,100		905,464
United Overseas Bank Ltd. (Singapore)		4,600		66,977
Wells Fargo & Co.		446,200		11,422,720
				75,839,354
Beverages — 1.2%
Asahi Group Holdings Ltd. (Japan)		8,000		280,797
Carlsberg A/S (Denmark) (Class B Stock)		620		82,315
Coca-Cola Amatil Ltd. (Australia)		2,568		15,482
Coca-Cola Co. (The)		277,700		12,407,636
Coca-Cola European Partners PLC (United Kingdom)		10,600		400,256
Coca-Cola HBC AG (Switzerland)		1,175		29,616
Keurig Dr. Pepper, Inc.(a)		491,100		13,947,240
Kirin Holdings Co. Ltd. (Japan)		4,700		99,116
Molson Coors Beverage Co. (Class B Stock)		15,200		522,272
Monster Beverage Corp.*		69,900		4,845,468

SEE NOTES TO FINANCIAL STATEMENTS.

A73

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Beverages (cont’d.)
PepsiCo, Inc.		120,420	$	15,926,749
				48,556,947
Biotechnology — 1.9%
AbbVie, Inc.		288,700		28,344,566
Amgen, Inc.		23,700		5,589,882
Biogen, Inc.*		37,000		9,899,350
CSL Ltd. (Australia)		183		36,562
Gilead Sciences, Inc.		176,250		13,560,675
Vertex Pharmaceuticals, Inc.*		67,800		19,683,018
				77,114,053
Building Products — 0.7%
American Woodmark Corp.*		37,000		2,799,050
Carrier Global Corp.		363,800		8,083,636
Cie de Saint-Gobain (France)*		2,896		105,084
Geberit AG (Switzerland)		212		106,583
Johnson Controls International PLC		169,900		5,800,386
Kingspan Group PLC (Ireland)		870		56,330
Masco Corp.		113,400		5,693,814
UFP Industries, Inc.		115,400		5,713,454
				28,358,337
Capital Markets — 1.7%
Affiliated Managers Group, Inc.		132,000		9,841,920
Ameriprise Financial, Inc.		119,650		17,952,286
Bank of New York Mellon Corp. (The)		263,300		10,176,545
Credit Suisse Group AG (Switzerland)		13,950		146,039
Deutsche Boerse AG (Germany)		832		151,184
Evercore, Inc. (Class A Stock)		49,100		2,892,972
Hargreaves Lansdown PLC (United Kingdom)		1,920		38,897
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		8,600		367,899
Intercontinental Exchange, Inc.		55,500		5,083,800
LPL Financial Holdings, Inc.		40,000		3,136,000
Magellan Financial Group Ltd. (Australia)		13,848		566,198
Nomura Holdings, Inc. (Japan)		124,500		556,770
S&P Global, Inc.		49,300		16,243,364
Singapore Exchange Ltd. (Singapore)		4,600		27,666
Standard Life Aberdeen PLC (United Kingdom)		14,525		48,398
Stifel Financial Corp.		48,000		2,276,640
UBS Group AG (Switzerland)		46,278		538,980
				70,045,558
Chemicals — 1.0%
Arkema SA (France)		386		37,092
Asahi Kasei Corp. (Japan)		7,200		59,101
BASF SE (Germany)		5,283		297,430
Cabot Corp.		10,600		392,730
Corteva, Inc.		532,900		14,276,391
Eastman Chemical Co.		92,700		6,455,628
Evonik Industries AG (Germany)		2,967		75,871
Givaudan SA (Switzerland)		53		198,342
Huntsman Corp.		143,100		2,571,507
Linde PLC (United Kingdom)		38,000		8,060,180

	Shares		Value
COMMON STOCKS (continued)
Chemicals (cont’d.)
LyondellBasell Industries NV (Class A Stock)		73,600	$	4,836,992
Mitsubishi Gas Chemical Co., Inc. (Japan)		900		13,635
Nissan Chemical Corp. (Japan)		700		35,923
Orica Ltd. (Australia)		2,483		28,796
Sensient Technologies Corp.		17,500		912,800
Sherwin-Williams Co. (The)		1,100		635,635
Shin-Etsu Chemical Co. Ltd. (Japan)		1,500		175,558
Showa Denko KK (Japan)		800		17,908
Symrise AG (Germany)		741		86,337
Tosoh Corp. (Japan)		7,900		107,742
Yara International ASA (Norway)		1,014		35,354
				39,310,952
Commercial Services & Supplies — 0.1%
Dai Nippon Printing Co. Ltd. (Japan)		1,400		32,084
Deluxe Corp.		114,700		2,700,038
Secom Co. Ltd. (Japan)		2,100		183,538
Toppan Printing Co. Ltd. (Japan)		5,000		83,486
				2,999,146
Communications Equipment — 0.8%
Cisco Systems, Inc.		699,300		32,615,352
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		17,683		163,988
				32,779,340
Construction & Engineering — 0.2%
ACS Actividades de Construccion y Servicios SA (Spain)		9,566		243,135
Eiffage SA (France)*		446		40,936
EMCOR Group, Inc.		92,600		6,124,564
HOCHTIEF AG (Germany)		154		13,777
Obayashi Corp. (Japan)		51,500		481,335
Quanta Services, Inc.		27,700		1,086,671
Shimizu Corp. (Japan)		55,700		457,464
Skanska AB (Sweden) (Class B Stock)*		1,910		39,032
Taisei Corp. (Japan)		1,200		43,642
				8,530,556
Construction Materials — 0.0%
CRH PLC (Ireland)		4,617		159,179
HeidelbergCement AG (Germany)		6,165		331,985
LafargeHolcim Ltd. (Switzerland)*		9,663		428,850
				920,014
Consumer Finance — 0.2%
Discover Financial Services		124,500		6,236,205
Navient Corp.		185,150		1,301,605
OneMain Holdings, Inc.		41,400		1,015,956
				8,553,766
Distributors — 0.3%
LKQ Corp.*		467,100		12,238,020

SEE NOTES TO FINANCIAL STATEMENTS.

A74

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Diversified Financial Services — 0.4%
Berkshire Hathaway, Inc. (Class B Stock)*		80,550	$	14,378,981
Equitable Holdings, Inc.		109,800		2,118,042
EXOR NV (Netherlands)		616		35,513
M&G PLC (United Kingdom)		66,755		139,071
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		2,100		9,940
ORIX Corp. (Japan)		7,400		91,185
Wendel SE (France)*		160		15,282
				16,788,014
Diversified Telecommunication Services — 1.5%
AT&T, Inc.(a)		1,011,100		30,565,553
Deutsche Telekom AG (Germany)		24,662		417,207
Elisa OYJ (Finland)		780		47,447
Nippon Telegraph & Telephone Corp. (Japan)		27,000		629,242
Orange SA (France)		11,375		136,313
Proximus SADP (Belgium)		928		18,944
Telecom Italia SpA (Italy), RSP		18,981		7,395
Telefonica Deutschland Holding AG (Germany)		42,906		127,376
Telenor ASA (Norway)		4,136		60,327
TPG Corp. Ltd. (Australia)		2,368		14,666
United Internet AG (Germany)		595		25,363
Verizon Communications, Inc.(a)		540,588		29,802,616
				61,852,449
Electric Utilities — 0.8%
Chubu Electric Power Co., Inc. (Japan)		37,900		474,889
CK Infrastructure Holdings Ltd. (Hong Kong)		3,500		18,049
Enel SpA (Italy)		58,735		508,725
Exelon Corp.		409,600		14,864,384
Fortum OYJ (Finland)		2,430		46,483
Iberdrola SA (Spain)		82,171		955,119
Kansai Electric Power Co., Inc. (The) (Japan)		16,900		161,511
NRG Energy, Inc.		299,050		9,737,068
Power Assets Holdings Ltd. (Hong Kong)		8,000		43,498
PPL Corp.		206,900		5,346,296
Red Electrica Corp. SA (Spain)		2,520		47,169
Terna Rete Elettrica Nazionale SpA (Italy)		8,029		55,385
Tohoku Electric Power Co., Inc. (Japan)		2,400		22,837
Tokyo Electric Power Co. Holdings, Inc. (Japan)*		7,600		23,353
				32,304,766
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		10,512		238,417
Acuity Brands, Inc.		46,000		4,404,040
Atkore International Group, Inc.*		120,050		3,283,367
Eaton Corp. PLC		26,600		2,326,968
Fuji Electric Co. Ltd. (Japan)		700		19,139
Legrand SA (France)		1,508		115,302

	Shares		Value
COMMON STOCKS (continued)
Electrical Equipment (cont’d.)
Schneider Electric SE (France)		7,313	$	818,471
				11,205,704
Electronic Equipment, Instruments & Components — 0.0%
Hexagon AB (Sweden) (Class B Stock)*		6,235		366,819
Hitachi Ltd. (Japan)		5,400		171,543
Murata Manufacturing Co. Ltd. (Japan)		3,300		193,482
TDK Corp. (Japan)		700		69,515
Venture Corp. Ltd. (Singapore)		1,500		17,507
				818,866
Energy Equipment & Services — 0.1%
TechnipFMC PLC (United Kingdom)		454,700		3,110,148
Entertainment — 1.2%
Activision Blizzard, Inc.		260,500		19,771,950
Electronic Arts, Inc.*		148,200		19,569,810
Netflix, Inc.*		18,300		8,327,232
Nexon Co. Ltd. (Japan)		2,900		65,499
Nintendo Co. Ltd. (Japan)		1,100		491,642
				48,226,133
Equity Real Estate Investment Trusts (REITs) — 1.2%
Apple Hospitality REIT, Inc.		185,850		1,795,311
British Land Co. PLC (The) (United Kingdom)		29,197		140,301
CapitaLand Commercial Trust (Singapore)		16,800		20,509
CoreCivic, Inc.		237,550		2,223,468
Crown Castle International Corp.		22,700		3,798,845
Equinix, Inc.		5,800		4,073,340
Franklin Street Properties Corp.(a)		83,550		425,270
Gaming & Leisure Properties, Inc.(a)		298,817		10,339,068
Gecina SA (France)		264		32,708
GEO Group, Inc. (The)		233,450		2,761,713
GLP J-REIT (Japan)		21		30,466
Goodman Group (Australia)		9,150		94,566
Japan Prime Realty Investment Corp. (Japan)		5		14,691
Japan Real Estate Investment Corp. (Japan)		8		41,158
Japan Retail Fund Investment Corp. (Japan)		14		17,552
Klepierre SA (France)(a)		24,451		489,317
Land Securities Group PLC (United Kingdom)		3,328		22,831
Prologis, Inc.		154,400		14,410,152
Retail Properties of America, Inc. (Class A Stock)		103,100		754,692
Scentre Group (Australia)		30,744		46,367
Service Properties Trust		99,400		704,746
SITE Centers Corp.		297,900		2,412,990
Spirit Realty Capital, Inc.(a)		118,700		4,137,882
Stockland (Australia)		202,641		469,149
United Urban Investment Corp. (Japan)		17		18,418
WP Carey, Inc.		17,800		1,204,170
				50,479,680

SEE NOTES TO FINANCIAL STATEMENTS.

A75

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Food & Staples Retailing — 1.3%
Coles Group Ltd. (Australia)		7,599	$	90,793
Colruyt SA (Belgium)		325		17,914
ICA Gruppen AB (Sweden)		231		10,976
Koninklijke Ahold Delhaize NV (Netherlands)		23,896		653,999
Kroger Co. (The)		299,500		10,138,075
Seven & i Holdings Co. Ltd. (Japan)		4,400		143,638
Walgreens Boots Alliance, Inc.		344,300		14,594,877
Walmart, Inc.		235,400		28,196,212
Wm Morrison Supermarkets PLC (United Kingdom)		13,956		33,100
Woolworths Group Ltd. (Australia)		17,308		446,746
				54,326,330
Food Products — 0.5%
Archer-Daniels-Midland Co.		6,650		265,335
Bunge Ltd.		34,500		1,418,985
J.M. Smucker Co. (The)(a)		28,900		3,057,909
MEIJI Holdings Co. Ltd. (Japan)		600		47,741
Nestle SA (Switzerland)		12,996		1,441,294
Orkla ASA (Norway)		4,251		37,349
Pilgrim’s Pride Corp.*		247,300		4,176,897
Tate & Lyle PLC (United Kingdom)		14,472		119,919
Toyo Suisan Kaisha Ltd. (Japan)		500		27,972
Tyson Foods, Inc. (Class A Stock)		143,800		8,586,298
WH Group Ltd. (Hong Kong), 144A		578,500		499,207
Wilmar International Ltd. (China)		32,400		95,347
				19,774,253
Gas Utilities — 0.3%
Enagas SA (Spain)		1,273		31,195
Naturgy Energy Group SA (Spain)		19,522		363,357
Snam SpA (Italy)		11,949		58,372
UGI Corp.		332,600		10,576,680
				11,029,604
Health Care Equipment & Supplies — 2.0%
Abbott Laboratories		287,200		26,258,696
Baxter International, Inc.		141,050		12,144,405
Becton, Dickinson & Co.		53,800		12,872,726
Coloplast A/S (Denmark) (Class B Stock)		144		22,388
DiaSorin SpA (Italy)		144		27,677
Edwards Lifesciences Corp.*		244,200		16,876,662
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand)		3,248		74,395
Medtronic PLC		46,400		4,254,880
Quidel Corp.*		7,700		1,722,798
ResMed, Inc.		8,100		1,555,200
Siemens Healthineers AG (Germany), 144A		847		40,776
STERIS PLC		21,900		3,360,336
West Pharmaceutical Services, Inc.		14,400		3,271,248
				82,482,187
Health Care Providers & Services — 1.9%
Alfresa Holdings Corp. (Japan)		1,100		22,962
Anthem, Inc.		73,800		19,407,924

	Shares		Value
COMMON STOCKS (continued)
Health Care Providers & Services (cont’d.)
Cardinal Health, Inc.		16,800	$	876,792
Cigna Corp.		97,500		18,295,875
CVS Health Corp.		183,350		11,912,249
Fresenius Medical Care AG & Co. KGaA (Germany)*		2,754		237,607
Fresenius SE & Co. KGaA (Germany)*		10,686		533,976
Humana, Inc.		1,200		465,300
Medipal Holdings Corp. (Japan)		25,300		487,403
Sonic Healthcare Ltd. (Australia)		701		14,825
Suzuken Co. Ltd. (Japan)		13,600		507,693
UnitedHealth Group, Inc.		83,300		24,569,335
Universal Health Services, Inc. (Class B Stock)		14,900		1,384,061
				78,716,002
Health Care Technology — 0.0%
M3, Inc. (Japan)		1,500		63,783
Hotels, Restaurants & Leisure — 0.5%
Carnival PLC		5,263		64,927
Domino’s Pizza, Inc.		4,800		1,773,312
Evolution Gaming Group AB (Sweden), 144A		4,717		284,578
Flutter Entertainment PLC (Ireland)		866		114,219
Galaxy Entertainment Group Ltd. (Macau)		13,000		88,558
McDonald’s Corp.		101,400		18,705,258
McDonald’s Holdings Co. Japan Ltd. (Japan)		4,700		253,518
				21,284,370
Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)		5,762		35,660
Berkeley Group Holdings PLC (United Kingdom)		9,150		473,380
Casio Computer Co. Ltd. (Japan)		1,100		19,282
Husqvarna AB (Sweden) (Class B Stock)		2,280		18,803
M/I Homes, Inc.*		74,300		2,558,892
Meritage Homes Corp.*		43,100		3,280,772
Persimmon PLC (United Kingdom)*		1,935		55,050
Rinnai Corp. (Japan)		200		16,699
Sekisui House Ltd. (Japan)		3,600		68,514
Sony Corp. (Japan)		14,700		1,011,450
Taylor Wimpey PLC (United Kingdom)		31,431		55,901
				7,594,403
Household Products — 1.1%
Essity AB (Sweden) (Class B Stock)*		18,036		583,677
Henkel AG & Co. KGaA (Germany)		601		50,154
Kimberly-Clark Corp.		27,400		3,872,990
Lion Corp. (Japan)		1,300		31,225
Procter & Gamble Co. (The)		348,505		41,670,743
Reckitt Benckiser Group PLC (United Kingdom)		528		48,601
				46,257,390

SEE NOTES TO FINANCIAL STATEMENTS.

A76

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Independent Power & Renewable Electricity Producers — 0.3%
AES Corp. (The)		339,400	$	4,917,906
Electric Power Development Co. Ltd. (Japan)		700		13,280
Vistra Energy Corp.		405,300		7,546,686
				12,477,872
Industrial Conglomerates — 0.8%
3M Co.		132,800		20,715,472
CK Hutchison Holdings Ltd. (United Kingdom)		71,000		456,558
Honeywell International, Inc.		62,900		9,094,711
Siemens AG (Germany)		4,273		507,023
Toshiba Corp. (Japan)		2,800		89,803
				30,863,567
Insurance — 1.5%
Admiral Group PLC (United Kingdom)		1,104		31,409
Aegon NV (Netherlands)		159,917		479,867
Aflac, Inc.		98,800		3,559,764
Ageas SA/NV (Belgium)		1,011		35,963
AIA Group Ltd. (Hong Kong)		18,000		168,265
Allianz SE (Germany)		2,427		498,600
Allstate Corp. (The)		74,100		7,186,959
American International Group, Inc.		141,400		4,408,852
Aviva PLC (United Kingdom)		21,609		73,742
Direct Line Insurance Group PLC (United Kingdom)		7,754		26,134
Japan Post Holdings Co. Ltd. (Japan)		9,100		64,838
Japan Post Insurance Co. Ltd. (Japan)		2,800		36,888
Legal & General Group PLC (United Kingdom)		199,817		546,629
Lincoln National Corp.(a)		196,400		7,225,556
Medibank Private Ltd. (Australia)		15,918		32,939
MetLife, Inc.		421,300		15,385,876
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		403		105,104
NN Group NV (Netherlands)		16,946		570,412
Old Republic International Corp.		110,800		1,807,148
Principal Financial Group, Inc.		93,100		3,867,374
Progressive Corp. (The)		89,800		7,193,878
Sompo Holdings, Inc. (Japan)		1,900		65,311
Sony Financial Holdings, Inc. (Japan)		800		19,246
Swiss Life Holding AG (Switzerland)		659		245,472
T&D Holdings, Inc. (Japan)		3,200		27,319
Unum Group		345,700		5,735,163
Zurich Insurance Group AG (Switzerland)		1,960		694,221
				60,092,929
Interactive Media & Services — 3.1%
Alphabet, Inc. (Class A Stock)*		19,750		28,006,488
Alphabet, Inc. (Class C Stock)*		21,132		29,872,407
Facebook, Inc. (Class A Stock)*		304,550		69,154,168
				127,033,063
Internet & Direct Marketing Retail — 3.3%
Amazon.com, Inc.*		33,800		93,248,116

	Shares		Value
COMMON STOCKS (continued)
Internet & Direct Marketing Retail (cont’d.)
Booking Holdings, Inc.*		10,750	$	17,117,655
eBay, Inc.		368,600		19,333,070
Ocado Group PLC (United Kingdom)*		2,430		61,281
PetMed Express, Inc.(a)		45,100		1,607,364
Prosus NV (China)*		829		77,319
Qurate Retail, Inc. (Class A Stock)*		81,100		770,450
Stamps.com, Inc.*		21,700		3,986,073
Zalando SE (Germany), 144A*		773		54,851
				136,256,179
IT Services — 3.0%
Accenture PLC (Class A Stock)		128,650		27,623,728
Amdocs Ltd.		40,400		2,459,552
Atos SE (France)*		558		47,884
Automatic Data Processing, Inc.		41,500		6,178,935
Capgemini SE (France)		2,852		329,139
Cognizant Technology Solutions Corp. (Class A Stock)		283,500		16,108,470
Fujitsu Ltd. (Japan)		2,900		339,761
International Business Machines Corp.(a)		154,500		18,658,965
Itochu Techno-Solutions Corp. (Japan)		600		22,600
Jack Henry & Associates, Inc.		4,800		883,344
KBR, Inc.		53,000		1,195,150
Leidos Holdings, Inc.		120,900		11,324,703
NEC Corp. (Japan)		700		33,546
Nomura Research Institute Ltd. (Japan)		17,600		480,551
Otsuka Corp. (Japan)		6,400		337,348
PayPal Holdings, Inc.*		37,300		6,498,779
Perspecta, Inc.		55,900		1,298,557
Science Applications International Corp.		13,300		1,033,144
Visa, Inc. (Class A Stock)(a)		152,500		29,458,425
				124,312,581
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		1,100		57,802
Brunswick Corp.		71,200		4,557,512
Sega Sammy Holdings, Inc. (Japan)		900		10,771
				4,626,085
Life Sciences Tools & Services — 0.3%
Bio-Techne Corp.		9,800		2,587,886
IQVIA Holdings, Inc.*		61,100		8,668,868
QIAGEN NV*		1,287		55,331
Sartorius Stedim Biotech (France)		159		40,438
				11,352,523
Machinery — 0.5%
Alfa Laval AB (Sweden)*		1,770		39,192
Allison Transmission Holdings, Inc.		65,600		2,412,768
Amada Co. Ltd. (Japan)		46,200		377,696
ANDRITZ AG (Austria)*		451		16,457
Atlas Copco AB (Sweden) (Class A Stock)		17,663		752,451
Atlas Copco AB (Sweden) (Class B Stock)		2,266		83,818
Crane Co.		37,000		2,200,020

SEE NOTES TO FINANCIAL STATEMENTS.

A77

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Machinery (cont’d.)
Dover Corp.		14,600	$	1,409,776
Epiroc AB (Sweden) (Class A Stock)		13,919		174,351
Epiroc AB (Sweden) (Class B Stock)		2,251		27,633
GEA Group AG (Germany)		918		29,205
Kone OYJ (Finland) (Class B Stock)		3,926		270,284
MINEBEA MITSUMI, Inc. (Japan)		2,100		38,114
Nabtesco Corp. (Japan)		700		21,604
Oshkosh Corp.		124,100		8,888,042
Otis Worldwide Corp.		43,400		2,467,724
Pentair PLC		45,200		1,717,148
Schindler Holding AG (Switzerland)		115		27,341
SKF AB (Sweden) (Class B Stock)		2,210		41,460
Timken Co. (The)		1,000		45,490
Volvo AB (Sweden) (Class B Stock)*		8,371		131,806
Yangzijiang Shipbuilding Holdings Ltd. (China)		13,100		8,788
				21,181,168
Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		21		22,899
Nippon Yusen KK (Japan)		900		12,671
				35,570
Media — 0.4%
Discovery, Inc. (Class C Stock)*		90,700		1,746,882
Publicis Groupe SA (France)		13,506		439,164
Telenet Group Holding NV (Belgium)		8,980		370,981
ViacomCBS, Inc. (Class B Stock)(a)		598,455		13,955,971
				16,512,998
Metals & Mining — 0.2%
Alumina Ltd. (Australia)		13,815		15,674
Anglo American PLC (South Africa)		25,126		588,353
ArcelorMittal SA (Luxembourg)*		4,031		43,246
BHP Group Ltd. (Australia)		16,748		417,337
BHP Group PLC (Australia)		22,195		458,427
BlueScope Steel Ltd. (Australia)		3,027		24,605
Boliden AB (Sweden)		1,596		36,586
Evolution Mining Ltd. (Australia)		8,820		34,930
Evraz PLC (Russia)		3,352		12,097
Fortescue Metals Group Ltd. (Australia)		64,961		627,125
Newcrest Mining Ltd. (Australia)		5,053		111,675
Northern Star Resources Ltd. (Australia)		4,104		38,587
Nucor Corp.		82,400		3,412,184
Rio Tinto Ltd. (Australia)		2,129		144,554
Rio Tinto PLC (Australia)		16,464		934,473
Steel Dynamics, Inc.		36,700		957,503
Sumitomo Metal Mining Co. Ltd. (Japan)		1,400		39,239
				7,896,595
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Starwood Property Trust, Inc.(a)		203,000		3,036,880
TPG RE Finance Trust, Inc.		162,900		1,400,940
				4,437,820

	Shares		Value
COMMON STOCKS (continued)
Multiline Retail — 0.5%
Dollar General Corp.		74,600	$	14,212,046
Dollar Tree, Inc.*		55,300		5,125,204
Marks & Spencer Group PLC (United Kingdom)		11,490		14,188
Pan Pacific International Holdings Corp. (Japan)		2,500		54,909
Wesfarmers Ltd. (Australia)		6,351		198,007
				19,604,354
Multi-Utilities — 0.7%
AGL Energy Ltd. (Australia)		3,811		45,136
National Grid PLC (United Kingdom)		19,760		242,890
Public Service Enterprise Group, Inc.		271,900		13,366,604
RWE AG (Germany)		1,909		67,162
Sempra Energy		120,000		14,067,600
				27,789,392
Oil, Gas & Consumable Fuels — 1.3%
Chevron Corp.		129,900		11,590,977
Diamondback Energy, Inc.		148,500		6,210,270
Exxon Mobil Corp.		20,000		894,400
Inpex Corp. (Japan)		68,100		424,470
Kinder Morgan, Inc.		945,100		14,337,167
Koninklijke Vopak NV (Netherlands)		392		20,785
Lundin Energy AB (Sweden)		11,941		292,884
Neste OYJ (Finland)		2,417		94,910
OMV AG (Austria)*		4,553		154,090
ONEOK, Inc.		50,000		1,661,000
Origin Energy Ltd. (Australia)		99,682		406,540
Phillips 66		165,400		11,892,260
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		23,406		375,542
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		5,450		83,230
Santos Ltd. (Australia)		100,593		371,673
Teekay Tankers Ltd. (Bermuda) (Class A Stock)*(a)		82,600		1,058,932
TOTAL SA (France)		13,435		519,192
World Fuel Services Corp.		84,200		2,168,992
				52,557,314
Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		4,700		21,576
Personal Products — 0.1%
Coty, Inc. (Class A Stock)(a)		579,900		2,592,153
L’Oreal SA (France)*		675		217,084
Unilever NV (United Kingdom)		16,496		880,306
Unilever PLC (United Kingdom)		6,580		355,058
				4,044,601
Pharmaceuticals — 3.1%
Astellas Pharma, Inc. (Japan)		39,600		660,803
AstraZeneca PLC (United Kingdom)		2,601		272,947
Bayer AG (Germany)		3,571		265,966
Bristol-Myers Squibb Co.		452,200		26,589,360
Chugai Pharmaceutical Co. Ltd. (Japan)		14,100		754,726
Eisai Co. Ltd. (Japan)		1,000		79,264

SEE NOTES TO FINANCIAL STATEMENTS.

A78

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Pharmaceuticals (cont’d.)
Eli Lilly & Co.		163,800	$	26,892,684
GlaxoSmithKline PLC (United Kingdom)		50,542		1,028,504
Hikma Pharmaceuticals PLC (Jordan)		795		21,908
Hisamitsu Pharmaceutical Co., Inc. (Japan)		300		16,198
Johnson & Johnson		239,048		33,617,320
Merck & Co., Inc.		360,800		27,900,664
Novartis AG (Switzerland)		18,216		1,594,620
Novo Nordisk A/S (Denmark) (Class B Stock)		10,097		658,208
Ono Pharmaceutical Co. Ltd. (Japan)		2,200		64,108
Orion OYJ (Finland) (Class B Stock)		1,522		73,506
Otsuka Holdings Co. Ltd. (Japan)		1,300		56,661
Pfizer, Inc.		165,500		5,411,850
Recordati SpA (Italy)		588		29,447
Roche Holding AG (Switzerland)		5,453		1,899,392
Sanofi (France)		6,509		667,225
Shionogi & Co. Ltd. (Japan)		4,600		287,979
UCB SA (Belgium)		738		85,779
				128,929,119
Professional Services — 0.0%
Adecco Group AG (Switzerland)		832		39,367
Nihon M&A Center, Inc. (Japan)		600		27,387
Recruit Holdings Co. Ltd. (Japan)		12,700		437,700
RELX PLC (United Kingdom)		8,742		203,596
Teleperformance (France)*		276		70,380
Wolters Kluwer NV (Netherlands)		8,664		679,811
				1,458,241
Real Estate Management & Development — 0.1%
Aroundtown SA (Germany)*		5,214		30,046
CBRE Group, Inc. (Class A Stock)*(a)		58,750		2,656,675
CK Asset Holdings Ltd. (Hong Kong)		14,500		86,536
Daito Trust Construction Co. Ltd. (Japan)		800		73,497
Deutsche Wohnen SE (Germany)		2,048		92,289
Hulic Co. Ltd. (Japan)		1,700		15,968
Lendlease Group (Australia)		3,693		31,908
Mitsubishi Estate Co. Ltd. (Japan)		6,800		100,970
Nomura Real Estate Holdings, Inc. (Japan)		24,500		454,361
Sino Land Co. Ltd. (Hong Kong)		16,000		20,144
				3,562,394
Road & Rail — 0.5%
Aurizon Holdings Ltd. (Australia)		152,616		520,847
CSX Corp.		112,650		7,856,211
Kansas City Southern		11,700		1,746,693
Union Pacific Corp.		66,400		11,226,248
				21,349,999
Semiconductors & Semiconductor Equipment — 3.0%
Advantest Corp. (Japan)		11,300		646,076
Applied Materials, Inc.		225,000		13,601,250
ASML Holding NV (Netherlands)		962		355,454
Disco Corp. (Japan)		200		48,453

	Shares		Value
COMMON STOCKS (continued)
Semiconductors & Semiconductor Equipment (cont’d.)
Infineon Technologies AG (Germany)		7,072	$	167,876
Intel Corp.		686,150		41,052,354
Lasertec Corp. (Japan)		400		38,120
Micron Technology, Inc.*		15,100		777,952
NVIDIA Corp.		104,900		39,852,559
QUALCOMM, Inc.		231,900		21,151,599
Semtech Corp.*		45,000		2,349,900
Skyworks Solutions, Inc.		24,700		3,158,142
STMicroelectronics NV (Switzerland)		3,855		105,572
SUMCO Corp. (Japan)		2,900		44,811
Synaptics, Inc.*(a)		16,200		973,944
Tokyo Electron Ltd. (Japan)		1,000		246,824
				124,570,886
Software — 5.9%
Adobe, Inc.*		62,350		27,141,578
Check Point Software Technologies Ltd. (Israel)*(a)		4,700		504,921
Intuit, Inc.		70,000		20,733,300
Microsoft Corp.		795,300		161,851,503
NortonLifeLock, Inc.		320,400		6,353,532
Oracle Corp.		466,550		25,786,219
Oracle Corp. (Japan)		300		35,608
SAP SE (Germany)		2,621		368,353
TeamViewer AG (Germany), 144A*		720		39,631
Trend Micro, Inc. (Japan)		800		44,985
				242,859,630
Specialty Retail — 1.5%
Asbury Automotive Group, Inc.*		20,300		1,569,799
AutoNation, Inc.*		174,200		6,546,436
Best Buy Co., Inc.		24,400		2,129,388
Hennes & Mauritz AB (Sweden) (Class B Stock)		3,192		46,654
Hikari Tsushin, Inc. (Japan)		1,300		296,455
Home Depot, Inc. (The)		87,400		21,894,574
Industria de Diseno Textil SA (Spain)		20,531		546,172
JD Sports Fashion PLC (United Kingdom)		38,095		294,976
Kingfisher PLC (United Kingdom)		12,100		33,102
Lowe’s Cos., Inc.		203,000		27,429,360
Murphy USA, Inc.*		12,500		1,407,375
Nitori Holdings Co. Ltd. (Japan)		500		97,984
Sonic Automotive, Inc. (Class A Stock)		12,800		408,448
Yamada Denki Co. Ltd. (Japan)		3,800		18,843
				62,719,566
Technology Hardware, Storage & Peripherals — 3.8%
Apple, Inc.		419,900		153,179,520
Brother Industries Ltd. (Japan)		8,100		146,182
FUJIFILM Holdings Corp. (Japan)		4,800		205,279
Logitech International SA (Switzerland)		8,162		533,645
Xerox Holdings Corp.		49,400		755,326
				154,819,952
Textiles, Apparel & Luxury Goods — 0.0%
EssilorLuxottica SA (France)*		1,020		131,403
Hermes International (France)		495		415,946

SEE NOTES TO FINANCIAL STATEMENTS.

A79

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Textiles, Apparel & Luxury Goods (cont’d.)
LVMH Moet Hennessy Louis Vuitton SE (France)		1,584	$	704,394
Pandora A/S (Denmark)		570		31,171
Swatch Group AG (The) (Switzerland)		140		5,505
				1,288,419
Thrifts & Mortgage Finance — 0.0%
MGIC Investment Corp.		202,300		1,656,837
Tobacco — 0.5%
Altria Group, Inc.		457,350		17,950,988
British American Tobacco PLC (United Kingdom)		25,333		977,636
Imperial Brands PLC (United Kingdom)		25,608		489,780
Japan Tobacco, Inc. (Japan)		29,800		552,881
Swedish Match AB (Sweden)		945		66,688
				20,037,973
Trading Companies & Distributors — 0.3%
AerCap Holdings NV (Ireland)*		11,900		366,520
Ashtead Group PLC (United Kingdom)		2,552		86,422
BMC Stock Holdings, Inc.*		96,700		2,431,038
Brenntag AG (Germany)		868		45,784
Bunzl PLC (United Kingdom)		1,952		52,630
Ferguson PLC		6,980		571,363
GMS, Inc.*		96,300		2,368,017
ITOCHU Corp. (Japan)		7,700		165,824
Marubeni Corp. (Japan)		9,000		40,716
Mitsui & Co. Ltd. (Japan)		9,200		136,003
MonotaRO Co. Ltd. (Japan)		2,600		104,131
Toyota Tsusho Corp. (Japan)		1,200		30,488
Univar Solutions, Inc.*		95,600		1,611,816
W.W. Grainger, Inc.		10,100		3,173,016
WESCO International, Inc.*		43,100		1,513,241
				12,697,009
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A*		369		49,446
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		27,200		815,593
NTT DOCOMO, Inc. (Japan)		15,700		417,845
Softbank Corp. (Japan)		11,500		146,529
Vodafone Group PLC (United Kingdom)		8,538		13,623
				1,393,590
TOTAL COMMON STOCKS (cost $1,925,992,702)				2,469,914,069
EXCHANGE-TRADED FUND — 0.0%
iShares MSCI EAFE ETF		6,088		370,576
(cost $297,717)
PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		320		15,536
Porsche Automobil Holding SE (Germany) (PRFC)*		884		51,209

			Shares		Value
PREFERRED STOCKS (continued)
Automobiles (cont’d.)
Volkswagen AG (Germany) (PRFC)*				1,042	$	159,315
						226,060
Banks — 0.0%
Citigroup Capital XIII, 7.130%				22,000		583,000
Health Care Equipment & Supplies — 0.0%
Sartorius AG (Germany) (PRFC)				40		13,240
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)				1,616		150,639
TOTAL PREFERRED STOCKS (cost $969,773)						972,939
Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES — 7.1%
Automobiles — 2.0%
AmeriCredit Automobile Receivables Trust,
Series 2018-01, Class C
3.500%		01/18/24		1,600		1,664,729
Series 2019-01, Class B
3.130%		02/18/25		1,000		1,038,410
Series 2019-01, Class C
3.360%		02/18/25		1,000		1,039,212
Series 2019-02, Class C
2.740%		04/18/25		2,000		2,058,865
Series 2019-03, Class C
2.320%		07/18/25		3,400		3,467,859
Avis Budget Rental Car Funding AESOP LLC,
Series 2018-02A, Class A, 144A
4.000%		03/20/25		1,600		1,614,735
Series 2019-02A, Class A, 144A
3.350%		09/22/25		3,000		3,039,859
Series 2019-03A, Class A, 144A
2.360%		03/20/26		4,000		3,943,988
Series 2020-01A, Class A, 144A
2.330%		08/20/26		1,800		1,720,128
Drive Auto Receivables Trust,
Series 2019-03, Class B
2.650%		02/15/24		1,400		1,412,398
Ford Auto Securitization Trust (Canada),
Series 2019-BA, Class A2, 144A
2.321%		10/15/23		CAD         2,500		1,850,877
Ford Credit Auto Owner Trust,
Series 2017-02, Class A, 144A
2.360%		03/15/29		2,500		2,572,521
Series 2018-01, Class A, 144A
3.190%		07/15/31		3,800		4,069,101
Series 2018-02, Class A, 144A
3.470%		01/15/30		3,000		3,174,849
Series 2019-01, Class A, 144A
3.520%		07/15/30		5,900		6,311,626
Series 2020-01, Class A, 144A
2.040%		08/15/31		3,600		3,658,042

SEE NOTES TO FINANCIAL STATEMENTS.

A80

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (cont’d.)
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24		1,900	$	1,921,588
Series 2018-02, Class A
3.170%		03/15/25		13,350		13,736,903
Series 2019-02, Class A
3.060%		04/15/26		1,500		1,569,186
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24		500		527,599
GMF Floorplan Owner Revolving Trust,
Series 2019-02, Class A, 144A
2.900%		04/15/26		5,700		5,939,586
OneMain Direct Auto Receivables Trust,
Series 2017-02A, Class B, 144A
2.550%		11/14/23		1,402		1,402,797
Series 2018-01A, Class A, 144A
3.430%		12/16/24		5,200		5,274,112
Series 2019-01A, Class A, 144A
3.630%		09/14/27		5,500		5,913,207
Santander Drive Auto Receivables Trust,
Series 2019-03, Class C
2.490%		10/15/25		1,900		1,920,169
Toyota Auto Loan Extended Note Trust,
Series 2019-01A, Class A, 144A
2.560%		11/25/31		2,400		2,554,431
Series 2020-01A, Class A, 144A
1.350%		05/25/33		600		608,969
						84,005,746
Collateralized Loan Obligations — 3.2%
Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
2.488%(c)		07/22/32		3,750		3,666,531
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.499%(c)		07/15/29		500		491,508
Ballyrock CLO Ltd. (Cayman Islands),
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)
2.569%(c)		10/15/28		4,500		4,450,597
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.469%(c)		07/15/29		1,500		1,477,191
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%)
1.955%(c)		01/17/28		1,455		1,438,197
Canyon Capital CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.469%(c)		04/15/29		3,000		2,955,245

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
2.535%(c)		10/18/26		156	$	155,306
CBAM Ltd. (Cayman Islands),
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%)
2.495%(c)		10/20/32		5,800		5,691,593
CIFC Funding Ltd. (Cayman Islands),
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
2.335%(c)		10/17/31		9,750		9,540,714
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)
2.229%(c)		04/15/31		2,000		1,943,371
Greywolf CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)
2.021%(c)		04/26/31		4,000		3,868,447
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)
1.541%(c)		02/05/31		248		241,680
HPS Loan Management Ltd. (Cayman Islands),
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)
3.122%(c)		07/22/32		3,750		3,679,912
ICG US CLO Ltd. (Cayman Islands),
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)
2.275%(c)		10/19/28		10,000		9,849,053
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
2.323%(c)		10/23/29		1,250		1,228,524
Jamestown CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)
2.605%(c)		04/20/32		5,750		5,647,386
Jefferson Mill CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%)
2.310%(c)		10/20/31		6,750		6,573,129
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)
2.229%(c)		04/21/31		2,391		2,326,924
Ocean Trails CLO Ltd. (Cayman Islands),
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
2.535%(c)		04/17/30		2,750		2,682,384
OCP CLO Ltd. (Cayman Islands),
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.479%(c)		07/15/30		1,250		1,237,667
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)
2.465%(c)		07/20/32		10,000		9,831,762

SEE NOTES TO FINANCIAL STATEMENTS.

A81

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
OZLM Ltd. (Cayman Islands),
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
2.415%(c)		10/20/31		7,449	$	7,243,690
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.010%(c)		10/30/30		1,491		1,449,389
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)
2.525%(c)		07/20/32		3,750		3,646,911
Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%)
2.265%(c)		01/17/31		1,500		1,468,416
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)
2.276%(c)		07/16/31		2,350		2,291,048
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
2.415%(c)		10/20/31		8,750		8,643,530
Romark CLO Ltd. (Cayman Islands),
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%)
2.166%(c)		07/25/31		1,000		972,887
Telos CLO Ltd. (Cayman Islands),
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)
2.435%(c)		07/17/26		788		785,948
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%)
2.375%(c)		01/17/30		2,489		2,452,117
TICP CLO Ltd. (Cayman Islands),
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%)
1.975%(c)		04/20/28		4,000		3,959,902
Trimaran Cavu Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)
2.595%(c)		07/20/32		3,000		2,966,096
Trinitas CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.201%(c)		01/25/31		2,500		2,437,553
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)
2.099%(c)		07/15/27		874		866,419
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)
2.285%(c)		01/17/31		2,750		2,676,214
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)
2.235%(c)		07/17/31		3,500		3,404,814
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
2.335%(c)		10/20/31		5,750		5,550,947

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)
2.589%(c)		07/15/29		1,734	$	1,704,327
						131,497,329
Consumer Loans — 0.1%
OneMain Financial Issuance Trust,
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%)
0.985%(c)		09/14/32		1,706		1,700,772
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,600		1,606,196
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		1,100		1,099,153
						4,406,121
Equipment — 0.2%
MMAF Equipment Finance LLC,
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,800		2,952,969
Series 2018-A, Class A5, 144A
3.610%		03/10/42		800		862,131
Series 2019-A, Class A5, 144A
3.080%		11/12/41		2,500		2,692,071
Series 2019-B, Class A5, 144A
2.290%		11/12/41		2,400		2,541,240
						9,048,411
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%)
1.835%(c)		03/25/33		53		53,352
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%)
1.085%(c)		07/25/32		20		20,229
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%)
1.460%(c)		09/25/32		1,766		1,727,616
						1,801,197
Other — 0.2%
Sierra Timeshare Receivables Funding LLC,
Series 2018-02A, Class A, 144A
3.500%		06/20/35		1,094		1,112,149
Series 2019-02A, Class A, 144A
2.590%		05/20/36		1,924		1,923,550
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.985%(c)		06/25/24		3,250		3,048,310
						6,084,009

SEE NOTES TO FINANCIAL STATEMENTS.

A82

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities — 0.4%
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,129	$	1,155,755
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		745		753,766
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		1,338		1,335,152
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		431		433,590
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.530%)
0.980%(c)		06/25/34		158		151,284
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61		1,526		1,561,309
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23		EUR      2,599		2,708,136
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		3,629		3,736,150
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%)
0.785%(c)		02/25/57		2,523		2,500,756
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		2,516		2,606,477
Series 2018-02, Class A1, 144A
3.250%(cc)		03/25/58		246		258,654
Series 2018-03, Class A1, 144A
3.750%(cc)		05/25/58		145		155,876
Series 2018-05, Class A1, 144A
3.250%(cc)		07/25/58		553		586,667
						17,943,572
Student Loans — 0.9%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		1,742		1,770,868
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		1,342		1,379,738
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		511		531,229
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		1,195		1,223,385
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		2,146		2,172,252
Series 2019-A, Class A2FX, 144A
2.730%		10/25/48		1,400		1,442,153
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		4,527		4,632,879
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		1,700		1,754,262
Series 2019-CA, Class A2, 144A
3.130%		02/15/68		2,100		2,166,565

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans (cont’d.)
Series 2019-EA, Class A2A, 144A
2.640%		05/15/68		2,100	$	2,145,829
Series 2020-BA, Class A2, 144A
2.120%		01/15/69		1,600		1,625,247
SoFi Professional Loan Program LLC,
Series 2019-A, Class A2FX, 144A
3.690%		06/15/48		3,800		3,983,523
Series 2019-B, Class A2FX, 144A
3.090%		08/17/48		2,100		2,181,764
Series 2019-C, Class A2FX, 144A
2.370%		11/16/48		2,500		2,552,114
SoFi Professional Loan Program Trust,
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		3,100		3,205,419
Series 2020-A, Class A2FX, 144A
2.540%		05/15/46		2,400		2,486,892
						35,254,119
TOTAL ASSET-BACKED SECURITIES (cost $288,667,341)						290,040,504
COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.2%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		4,000		4,102,368
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		7,193,391
Barclays Commercial Mortgage Securities Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		5,400		6,259,188
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		5,000		5,710,869
Series 2018-B08, Class A4
3.963%		01/15/52		6,700		7,790,383
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		1,282		1,365,940
Series 2014-GC23, Class A3
3.356%		07/10/47		2,193		2,333,728
Series 2016-C01, Class A3
2.944%		05/10/49		5,000		5,340,517
Series 2016-GC37, Class A3
3.050%		04/10/49		6,500		6,825,769
Series 2017-P07, Class A3
3.442%		04/14/50		5,500		6,061,092
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		797		798,899
Series 2014-CR18, Class A4
3.550%		07/15/47		2,783		2,978,319
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		5,302,559
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		6,636,729

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		3,000	$	3,259,645
Series 2017-C08, Class A3
3.127%		06/15/50		5,300		5,728,531
Fannie Mae-Aces,
Series 2015-M17, Class A2
3.015%(cc)		11/25/25		3,792		4,144,912
Series 2017-M01, Class A2
2.497%(cc)		10/25/26		2,200		2,372,735
Series 2017-M04, Class A2
2.670%(cc)		12/25/26		11,800		12,880,377
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		8,250		9,221,369
Series 2018-M04, Class A2
3.147%(cc)		03/25/28		4,325		4,879,439
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.498%(cc)		05/25/22		22,023		466,080
Series K021, Class X1, IO
1.548%(cc)		06/25/22		6,353		139,930
Series K055, Class X1, IO
1.498%(cc)		03/25/26		13,671		903,500
Series K057, Class AM
2.624%		08/25/26		7,230		7,868,487
Series K064, Class AM
3.327%(cc)		03/25/27		5,900		6,706,372
Series K068, Class AM
3.315%		08/25/27		5,600		6,419,965
Series K069, Class A2
3.187%(cc)		09/25/27		4,900		5,603,499
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,194,755
Series K070, Class A2
3.303%(cc)		11/25/27		7,250		8,357,406
Series K070, Class AM
3.364%		12/25/27		1,525		1,760,767
Series K072, Class A2
3.444%		12/25/27		2,000		2,327,730
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		4,185,936
Series K076, Class AM
3.900%		04/25/28		2,575		3,069,548
Series K077, Class A2
3.850%(cc)		05/25/28		4,800		5,722,777
Series K077, Class AM
3.850%(cc)		05/25/28		950		1,131,971
Series K080, Class AM
3.986%(cc)		07/25/28		7,050		8,434,467
Series K081, Class AM
3.900%(cc)		08/25/28		3,500		4,172,661
Series K086, Class AM
3.919%(cc)		12/25/28		1,300		1,568,832
Series K087, Class AM
3.832%(cc)		12/25/28		1,350		1,614,773
Series K157, Class A2
3.990%(cc)		05/25/33		4,200		5,195,990

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series W5FX, Class AFX
3.336%(cc)		04/25/28			2,260	$	2,567,327
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48			4,000		4,251,579
Series 2015-GC32, Class A3
3.498%		07/10/48			5,800		6,303,687
Series 2016-GS03, Class A3
2.592%		10/10/49			5,800		6,050,520
Series 2016-GS04, Class A3
3.178%		11/10/49			5,500		5,976,351
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47			890		952,808
Series 2015-C27, Class A3A1
2.920%		02/15/48			5,809		6,131,228
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46			634		652,284
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48			1,351		1,386,821
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49			10,400		10,941,881
Series 2018-H04, Class A3
4.043%		12/15/51			1,900		2,212,834
Series 2019-H07, Class A2
2.492%		07/15/52			13,500		14,030,708
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50			3,500		3,759,592
Series 2017-C05, Class A4
3.212%		11/15/50			6,750		7,315,261
Series 2018-C09, Class A3
3.854%		03/15/51			2,500		2,802,158
Series 2018-C14, Class A3
4.180%		12/15/51			4,100		4,716,174
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45	��		1,700		1,732,188
Series 2013-C05, Class A3
2.920%		03/10/46			1,179		1,204,950
Series 2013-C06, Class A3
2.971%		04/10/46			1,798		1,850,901
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49			8,000		8,384,466
Series 2017-C38, Class A4
3.190%		07/15/50			4,600		5,051,493
Series 2018-C48, Class A4
4.037%		01/15/52			7,000		8,093,737
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $268,500,836)							294,401,153

SEE NOTES TO FINANCIAL STATEMENTS.

A84

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS — 9.7%
Aerospace & Defense — 0.1%
Boeing Co. (The),
Sr. Unsec’d. Notes
3.750%		02/01/50	(a)		2,130	$	1,932,785
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25			906		804,201
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23			950		906,193
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			1,270		1,495,897
							5,139,076
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			3,740		3,997,143
Vector Group Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,450		1,392,377
							5,389,520
Airlines — 0.1%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28			2,453		2,052,334
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			348		343,467
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26			476		433,819
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			206		202,122
							3,031,742
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
1.721%(c)		04/12/21			495		493,062
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.350%		05/04/21			2,010		2,046,552
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46			1,220		1,005,284
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			680		673,199
3.350%		11/01/22			4,205		4,039,511
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			980		1,030,909
6.600%		04/01/36			760		818,307

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers (cont’d.)
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
2.170%(c)		04/09/21			1,060	$	1,050,829
Gtd. Notes
3.550%		04/09/21			805		814,624
3.950%		04/13/24			2,800		2,891,914
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705		4,728,854
							19,593,045
Banks — 3.0%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
2.431%(c)		04/12/23			800		789,010
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		1,063,327
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—(rr)			445		492,482
Jr. Sub. Notes, Series JJ
5.125%(ff)		—(rr)			1,665		1,645,057
Jr. Sub. Notes, Series MM
4.300%(ff)		—(rr)			940		840,208
Sr. Unsec’d. Notes, MTN
3.824%(ff)		01/20/28			955		1,078,818
4.125%		01/22/24			4,830		5,348,562
4.271%(ff)		07/23/29			510		600,097
Sub. Notes, MTN
4.000%		01/22/25			2,000		2,211,696
4.450%		03/03/26			8,455		9,712,211
Bank of America NA,
Sub. Notes
6.000%		10/15/36			410		581,482
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			850		920,687
3.684%		01/10/23			585		606,695
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29	(a)		3,825		4,482,012
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
2.219%(ff)		06/09/26			2,330		2,381,360
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—(rr)			2,205		2,081,621
Jr. Sub. Notes, Series R
6.125%(ff)		—(rr)			1,375		1,344,238
Jr. Sub. Notes, Series T
6.250%(ff)		—(rr)			625		663,406
Sr. Unsec’d. Notes
3.200%		10/21/26			1,870		2,050,543
3.700%		01/12/26			6,180		6,905,435
Sub. Notes
4.450%		09/29/27			5,965		6,788,452
4.750%		05/18/46	(a)		820		1,037,161

SEE NOTES TO FINANCIAL STATEMENTS.

A85

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.193%(ff)		06/05/26			1,560	$	1,580,340
4.282%		01/09/28			1,370		1,532,389
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,640		1,661,550
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			2,400		2,513,322
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970		1,092,467
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.370%(c)		—(rr)			2,215		2,026,284
Jr. Sub. Notes, Series O
5.300%(ff)		—(rr)			740		748,113
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		4,471,767
3.750%		02/25/26			1,010		1,130,115
3.814%(ff)		04/23/29			540		609,980
3.850%		01/26/27			2,910		3,271,953
Sub. Notes
6.750%		10/01/37			104		150,514
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%
2.558%(c)		03/08/21			1,025		1,038,130
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series HH
4.600%(ff)		—(rr)			290		258,462
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
4.230%(c)		—(rr)			978		894,608
Jr. Sub. Notes, Series II
4.000%(ff)		—(rr)			1,045		913,106
Jr. Sub. Notes, Series X
6.100%(ff)		—(rr)			1,275		1,306,727
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			695		785,900
3.964%(ff)		11/15/48			3,250		3,917,154
4.005%(ff)		04/23/29			2,170		2,506,907
4.452%(ff)		12/05/29			3,350		4,015,302
Sub. Notes
3.875%		09/10/24			3,775		4,179,619
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
4.829%(c)		—(rr)			840		745,588
Sr. Unsec’d. Notes
4.375%		01/22/47	(a)		1,045		1,349,286
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			950		1,024,862
3.772%(ff)		01/24/29			8,775		9,986,157
3.875%		01/27/26			675		766,463
4.431%(ff)		01/23/30			515		613,403
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28	(a)		1,255		1,410,763
Sub. Notes, GMTN
4.350%		09/08/26			3,825		4,404,302

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24			1,925	$	2,042,587
Wells Fargo & Co.,
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			4,175		4,364,167
							120,936,847
Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.900%		02/01/46			620		752,033
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
5.550%		01/23/49			450		601,697
8.000%		11/15/39			1,285		2,017,069
8.200%		01/15/39			250		400,185
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23			1,400		1,533,220
							5,304,204
Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28	(a)		700		709,687
Chemicals — 0.3%
Braskem Netherlands Finance BV (Brazil),
Gtd. Notes, 144A
5.875%		01/31/50			485		421,016
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,500		1,564,911
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			1,015		1,098,707
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			3,680		3,773,553
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			45		54,015
9.400%		05/15/39			347		576,075
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			1,300		1,209,644
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22			780		813,944
Orbia Advance Corp. SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22	(a)		2,000		2,101,103
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			700		630,797
6.500%		09/27/28			670		592,212

SEE NOTES TO FINANCIAL STATEMENTS.

A86

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (cont’d.)
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			460	$	552,046
							13,388,023
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			975		941,631
6.700%		06/01/34			420		537,153
7.000%		10/15/37	(a)		380		487,168
Massachusetts Institute of Technology,
Unsec’d. Notes
3.885%		07/01/2116			1,500		1,865,288
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			1,190		1,219,353
5.250%		01/15/30	(a)		385		397,988
5.875%		09/15/26			135		141,416
							5,589,997
Diversified Financial Services — 0.1%
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			480		528,624
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		953,804
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560		641,833
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,715		19,208
6.875%		05/02/18	(d)		700		8,050
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,915		1,944,407
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24			475		509,183
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			330		370,163
							4,975,272
Electric — 1.1%
Avista Corp.,
First Mortgage
4.350%		06/01/48			1,160		1,440,700
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			550		775,320
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37	(a)		305		431,532
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33			590		883,541

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (cont’d.)
Commonwealth Edison Co.,
First Mortgage, Series 123
3.750%		08/15/47		1,610	$	1,908,942
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series 09-C
5.500%		12/01/39		220		297,769
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		3,210		3,284,722
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,490		1,846,124
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		550		805,760
First Ref. Mortgage
4.000%		09/30/42		570		687,517
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		670		872,914
Enel Finance International NV (Italy),
Gtd. Notes, 144A
4.625%		09/14/25		2,245		2,558,311
Engie Energia Chile SA (Chile),
Sr. Unsec’d. Notes, 144A
3.400%		01/28/30		400		416,511
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		3,470		3,622,169
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39		1,425		1,702,962
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		355		454,517
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		295		420,697
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		145		199,310
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,910		3,294,390
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		470		531,640
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		2,170		2,398,827
Northern States Power Co.,
First Mortgage
3.600%		09/15/47		1,580		1,856,862
PECO Energy Co.,
First Mortgage
2.800%		06/15/50		1,110		1,143,760

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (cont’d.)
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360	$	1,464,091
5.000%		03/15/44			695		832,881
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21			1,760		1,796,126
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			1,130		1,240,529
3.700%		05/01/28			1,280		1,480,903
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		760,555
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,711,041
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			580		662,324
First Ref. Mortgage, Series C
3.600%		02/01/45			860		931,566
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			725		735,311
Sr. Sec’d. Notes, 144A
3.550%		07/15/24			2,135		2,208,302
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		582,912
							46,241,338
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			900		914,352
Engineering & Construction — 0.1%
AECOM,
Gtd. Notes
5.125%		03/15/27	(a)		1,050		1,127,925
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
3.875%		04/30/28			700		638,787
5.500%		07/31/47			800		705,636
							2,472,348
Foods — 0.1%
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.875%		10/01/49			1,290		1,335,557
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49			1,720		2,145,116
							3,480,673

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,595	$	2,078,942
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.600%		12/15/44			65		74,875
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27			3,285		3,707,685
							3,782,560
Healthcare-Products — 0.1%
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39			EUR      1,635		1,746,441
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31			EUR         300		366,916
2.250%		03/07/39			EUR         400		504,384
							2,617,741
Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36			515		725,726
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42			390		487,398
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20			640		640,287
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			555		597,202
5.875%		02/01/29	(a)		525		593,528
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47			940		1,227,916
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			190		197,071
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%		12/01/23			1,075		1,069,046
New York and Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45			445		546,617
Providence St. Joseph Health Obligated Group,
Unsec’d. Notes, Series 19A
2.532%		10/01/29			765		798,617
							6,883,408
Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27			525		545,202

SEE NOTES TO FINANCIAL STATEMENTS.

A88

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Home Builders (cont’d.)
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24			800	$	826,661
							1,371,863
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26	(a)		1,695		1,777,709
Insurance — 0.2%
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50			1,215		1,282,021
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37			772		1,025,113
Markel Corp.,
Sr. Unsec’d. Notes
4.150%		09/17/50			410		454,890
5.000%		03/30/43			200		230,321
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39			660		1,000,863
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			130		159,654
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			1,450		1,731,114
6.850%		12/16/39			124		188,954
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			350		352,699
							6,425,629
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22			980		984,540
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,260		1,325,528
Media — 0.3%
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24			600		595,344
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50			1,260		1,433,723
5.375%		04/01/38			1,950		2,366,056
6.384%		10/23/35			875		1,154,601
6.484%		10/23/45			1,386		1,850,893

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Media (cont’d.)
Comcast Corp.,
Gtd. Notes
3.700%		04/15/24			330	$	366,049
6.400%		05/15/38			530		786,742
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41			360		434,835
ViacomCBS, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44			1,450		1,620,081
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22			1,040		1,074,872
							11,683,196
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75			425		428,401
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			425		576,536
							1,004,937
Miscellaneous Manufacturing — 0.0%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%		07/01/27			1,200		1,238,348
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			905		911,050
2.750%		01/06/23			315		329,662
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			289		298,759
							1,539,471
Oil & Gas — 0.6%
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25			1,400		831,164
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,200		1,032,377
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
2.875%		09/30/29	(a)		1,950		2,072,865
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			210		236,238
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			300		293,085
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			350		369,263

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
6.510%		03/07/22			580	$	621,999
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25			1,995		2,145,166
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25			550		591,581
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			835		759,157
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36			2,000		848,148
4.850%		03/15/21			575		575,230
6.450%		09/15/36			1,155		995,076
Ovintiv, Inc.,
Gtd. Notes
6.500%		08/15/34			370		330,080
6.500%		02/01/38			275		233,059
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.750%		02/01/29			840		862,994
6.900%		03/19/49			1,000		1,053,169
Gtd. Notes, 144A
5.093%		01/15/30			797		793,554
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.500%		01/21/21	(a)		330		330,814
6.350%		02/12/48			1,536		1,140,287
6.500%		03/13/27			330		301,039
Gtd. Notes, 144A
6.490%		01/23/27			471		429,725
7.690%		01/23/50			2,146		1,778,024
Gtd. Notes, MTN
6.750%		09/21/47			2,265		1,743,067
6.875%		08/04/26			670		633,189
Sinopec Group Overseas Development 2018 Ltd. (China),
Gtd. Notes, 144A
3.680%		08/08/49			1,445		1,635,500
							22,635,850
Oil & Gas Services — 0.0%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25			183		200,943
Packaging & Containers — 0.0%
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22			800		849,021
Pharmaceuticals — 0.9%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,175		1,299,080
4.500%		05/14/35			1,910		2,305,586
4.700%		05/14/45			1,460		1,819,433
Sr. Unsec’d. Notes, 144A
4.250%		11/21/49			2,515		3,040,469

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (cont’d.)
4.550%		03/15/35			2,190	$	2,651,904
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
0.927%(c)		06/25/21			1,115		1,115,284
Gtd. Notes, 144A
3.500%		06/25/21			500		512,453
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			474		521,456
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes, 144A
4.125%		06/15/39	(a)		410		521,103
4.250%		10/26/49			1,115		1,468,399
4.550%		02/20/48			1,200		1,620,741
5.000%		08/15/45			645		898,123
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28			9,285		10,984,683
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38			310		383,255
5.050%		03/25/48			3,685		4,812,327
5.125%		07/20/45			610		787,032
5.300%		12/05/43			250		325,607
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48			1,375		1,695,397
Upjohn, Inc.,
Gtd. Notes, 144A
3.850%		06/22/40			1,380		1,480,180
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24			60		72,123
							38,314,635
Pipelines — 0.5%
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21			675		689,093
4.950%		06/15/28			1,115		1,200,082
5.000%		05/15/50			1,435		1,360,812
6.125%		12/15/45			180		189,183
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25			1,345		1,490,878
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,430		1,533,719
4.000%		03/15/28			1,980		2,096,873
4.875%		06/01/25			3,250		3,626,938
5.200%		03/01/47			40		42,694
5.500%		02/15/49	(a)		395		437,551
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			145		162,334

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines (cont’d.)
ONEOK, Inc.,
Gtd. Notes
3.100%		03/15/30			5,205	$	4,981,275
4.500%		03/15/50			295		274,590
4.950%		07/13/47			935		902,318
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.300%		03/01/48			125		101,467
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48	(a)		315		343,892
4.900%		01/15/45			1,000		1,064,706
5.100%		09/15/45			500		546,708
							21,045,113
Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			1,050		1,147,392
Retail — 0.2%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.000%		05/15/25			4,705		5,291,895
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23	(a)		750		709,330
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22			201		180,097
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,335,380
							7,516,702
Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,513,517
Semiconductors — 0.0%
Broadcom, Inc.,
Gtd. Notes, 144A
3.459%		09/15/26			1,052		1,129,286
Software — 0.0%
Microsoft Corp.,
Sr. Unsec’d. Notes
2.525%		06/01/50			1,425		1,473,869
Telecommunications — 0.5%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			1,840		2,019,308
3.600%		07/15/25			275		305,100
3.800%		02/15/27			1,065		1,195,606
4.300%		02/15/30			615		719,036
4.550%		03/09/49			139		163,847
4.850%		03/01/39			6,690		8,118,456
5.250%		03/01/37			65		80,534

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (cont’d.)
5.350%		09/01/40			82	$	103,082
CenturyLink, Inc.,
Sr. Sec’d. Notes, 144A
4.000%		02/15/27	(a)		1,150		1,114,632
Level 3 Financing, Inc.,
Sr. Sec’d. Notes, 144A
3.400%		03/01/27			300		317,362
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			625		633,530
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.016%		12/03/29			1,900		2,268,516
4.125%		08/15/46			725		898,668
4.500%		08/10/33			1,205		1,509,659
4.862%		08/21/46			860		1,165,628
							20,612,964
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28			670		926,076
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37			715		1,001,160
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25			100		118,906
							2,046,142
TOTAL CORPORATE BONDS (cost $368,133,583)							398,365,430
MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Taxable, Revenue Bonds, Series B
4.263%		09/15/32			240		285,571
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs, Series F2
6.263%		04/01/49			1,325		2,285,413
Taxable, Revenue Bonds
2.574%		04/01/31			1,210		1,302,649
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39			1,270		2,107,146
General Obligation Unlimited, Taxable, BABs
7.500%		04/01/34			475		771,452
7.625%		03/01/40			215		373,668
7.550%		04/01/39			245		434,400
							7,274,728

SEE NOTES TO FINANCIAL STATEMENTS.

A91

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
MUNICIPAL BONDS (continued)
Colorado — 0.0%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, BABs, Series B
5.844%		11/01/50		680	$	1,130,283
Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,030		1,533,855
State of Illinois,
General Obligation Unlimited, Series D
5.000%		11/01/22		3,190		3,345,321
General Obligation Unlimited, Taxable, Pension
5.100%		06/01/33		325		329,794
						5,208,970
New Jersey — 0.1%
New Jersey Turnpike Authority,
Taxable, Revenue Bonds, BABs, Series F
7.414%		01/01/40		1,070		1,818,123
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Taxable, Revenue Bonds, BABs
5.767%		08/01/36		1,130		1,480,232
Ohio — 0.0%
Ohio State University (The),
Taxable, Revenue Bonds, BABs, Series C
4.910%		06/01/40		455		650,054
Ohio Water Development Authority Water Pollution Control Loan Fund,
Taxable, Revenue Bonds, BABs, Series B2
4.879%		12/01/34		300		350,460
						1,000,514
Oregon — 0.0%
State of Oregon Department of Transportation,
Taxable, Revenue Bonds, BABs, Series A
5.834%		11/15/34		445		646,959
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		550		848,964
Virginia — 0.0%
University of Virginia,
Taxable, Revenue Bonds, Series C
4.179%		09/01/2117		495		669,903
TOTAL MUNICIPAL BONDS (cost $14,941,622)						20,364,247
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.8%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/20		16		15,712
Banc of America Funding Trust,
Series 2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		127		125,619
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.709%(cc)		02/25/35		249		241,503

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Bellemeade Re Ltd. (Bermuda),
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.535%(c)		08/25/28			148	$	147,167
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.785%(c)		08/25/28			300		272,129
Series 2019-03A, Class M1A, 144A, 1 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)
1.285%(c)		07/25/29			404		402,227
Series 2019-03A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%)
1.785%(c)		07/25/29			1,200		1,162,612
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.845%(c)		06/25/30			880		880,154
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)
3.595%(c)		06/25/30			230		230,000
BVRT Financing Trust,
Series 2019-01, Class F, 144A
2.327%(cc)		09/15/21	^		6,520		6,469,079
Central Park Funding Trust,
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.673%(c)		11/01/23			4,700		4,623,691
Chase Mortgage Finance Trust,
Series 2007-A01, Class 1A5
3.988%(cc)		02/25/37			187		180,975
CIM Trust,
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)
2.173%(c)		01/25/57			2,475		2,474,016
Series 2017-05, Class A3, 144A
4.000%(cc)		05/25/57			600		596,137
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57			2,639		2,652,808
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65			2,306		2,296,924
Credit Suisse Mortgage Trust,
Series 2018-RPL09, Class A, 144A
3.850%(cc)		09/25/57			2,059		2,185,605
Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)
1.585%(c)		12/26/59	^		676		674,091
Eagle Re Ltd. (Bermuda),
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%)
1.985%(c)		04/25/29			180		178,978
Freddie Mac REMICS,
Series 4535, Class PA
3.000%		03/15/44			1,170		1,223,159
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)
1.485%(c)		03/25/29			86		85,656

SEE NOTES TO FINANCIAL STATEMENTS.

A92

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)
1.485%(c)		04/25/29		261	$	260,917
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
1.385%(c)		07/25/29		189		188,455
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		03/25/30		726		725,965
Freddie Mac Structured Agency Credit Risk Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		09/25/48		3		3,256
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.935%(c)		02/25/49		124		124,187
Home Re Ltd. (Bermuda),
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)
1.835%(c)		05/25/29		168		165,766
JPMorgan Mortgage Trust,
Series 2007-A01, Class 4A1
3.995%(cc)		07/25/35		79		75,348
LSTAR Securities Investment Trust,
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)
1.673%(c)		04/01/24		496		495,663
MetLife Securitization Trust,
Series 2018-01A, Class A, 144A
3.750%(cc)		03/25/57		447		476,447
Mill City Mortgage Loan Trust,
Series 2019-01, Class A1, 144A
3.250%(cc)		10/25/69		993		1,045,625
New Residential Mortgage Loan Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,481		1,569,249
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
0.935%(c)		01/25/48		610		604,008
Oaktown Re II Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)
1.735%(c)		07/25/28		56		55,214
Oaktown Re III Ltd. (Bermuda),
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
1.585%(c)		07/25/29		47		47,325
Seasoned Credit Risk Transfer Trust,
Series 2019-02, Class MA
3.500%		08/25/58		1,182		1,288,313
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.765%(cc)		02/25/34		99		95,108
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $34,161,798)						34,339,088

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
SOVEREIGN BONDS — 0.8%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			3,350	$	3,662,877
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			175		184,246
4.375%		07/12/21			500		513,914
5.000%		06/15/45			620		699,277
7.375%		09/18/37			625		856,103
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			1,040		1,082,226
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		434,188
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			924		961,007
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25			EUR       1,500		1,828,496
4.450%		02/11/24			505		548,042
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			950		1,075,999
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24			EUR       2,100		2,430,131
4.750%		01/08/26			540		608,842
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21			200		202,477
2.125%		10/25/23			1,400		1,466,541
2.625%		04/20/22			2,000		2,073,137
3.000%		03/12/24			400		433,303
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24	(a)		515		560,466
4.500%		04/16/50			475		580,600
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23			1,105		1,185,937
4.817%		03/14/49			500		660,720
5.103%		04/23/48			915		1,249,423
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39			EUR       1,395		1,726,746
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			1,325		1,344,228
2.875%		03/04/23			1,785		1,861,646
4.000%		04/17/25			1,035		1,149,079
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,800		1,864,557
3.250%		06/01/23			800		859,581
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55	(a)		1,025		1,312,861

SEE NOTES TO FINANCIAL STATEMENTS.

A93

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
SOVEREIGN BONDS (continued)
5.100%		06/18/50	(a)		545	$	703,821
TOTAL SOVEREIGN BONDS (cost $31,857,563)							34,120,471
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1%
Federal Home Loan Bank
5.500%		07/15/36	(k)		1,080		1,687,912
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			863		897,035
2.500%		03/01/30			451		479,346
2.500%		10/01/32			921		976,647
3.000%		10/01/28			321		341,616
3.000%		06/01/29			793		843,551
3.000%		03/01/32			958		1,021,598
3.000%		01/01/37			479		507,203
3.000%		01/01/43			940		1,007,320
3.000%		07/01/43			1,859		1,992,205
3.000%		01/01/47			5,607		5,924,888
3.500%		03/01/42			562		608,066
3.500%		06/01/42			329		356,497
3.500%		01/01/47			1,033		1,099,303
3.500%		02/01/47			1,251		1,327,702
4.000%		06/01/26			419		444,792
4.000%		09/01/26			221		234,689
4.000%		10/01/39			779		854,142
4.000%		12/01/40			343		375,981
4.000%		10/01/41			365		400,201
4.000%		01/01/42			138		151,360
4.000%		10/01/45			507		546,636
4.500%		07/01/20			1		590
4.500%		09/01/39			249		276,664
4.500%		10/01/39			1,417		1,576,026
4.500%		12/01/39			437		486,369
4.500%		07/01/41			188		202,887
4.500%		07/01/41			1,715		1,910,027
4.500%		08/01/41			129		139,583
4.500%		08/01/41			195		213,352
4.500%		08/01/41			285		309,957
4.500%		10/01/41			146		157,766
4.500%		10/01/46			258		279,834
4.500%		12/01/47			1,430		1,541,477
5.000%		05/01/34			20		23,017
5.000%		05/01/34			186		213,477
5.000%		08/01/35			19		22,084
5.000%		09/01/35			31		35,283
5.000%		10/01/36			31		35,996
5.000%		05/01/37			20		22,982
5.000%		07/01/37			401		459,963
5.000%		09/01/38			48		54,782
5.000%		09/01/38			50		57,727
5.000%		09/01/38			58		66,294
5.000%		02/01/39			19		21,954
5.000%		06/01/39			55		63,030
5.500%		02/01/34			32		35,468
5.500%		04/01/34			301		335,225
5.500%		06/01/34			99		113,652
5.500%		06/01/34			155		177,725
5.500%		05/01/37			45		51,985

Interest Rate	Maturity Date	Principal     Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%	02/01/38		353	$	405,273
5.500%	05/01/38		64		72,848
5.500%	07/01/38		318		364,463
6.000%	03/01/32		138		154,874
6.000%	12/01/33		49		54,975
6.000%	07/01/36		3		3,268
6.000%	12/01/36		8		9,048
6.000%	05/01/37		12		13,549
6.000%	12/01/37		23		26,946
6.000%	01/01/38		4		4,064
6.000%	01/01/38		13		14,714
6.000%	01/01/38		267		310,856
6.000%	10/01/38		71		81,954
6.000%	08/01/39		35		41,192
6.750%	09/15/29		935		1,407,140
6.750%	03/15/31		500		786,223
7.000%	01/01/31		20		22,953
7.000%	06/01/31		28		31,875
7.000%	09/01/31		3		3,671
7.000%	10/01/31		37		42,304
7.000%	10/01/32		29		31,561
Federal National Mortgage Assoc.
2.000%	TBA		5,000		5,103,178
2.000%	TBA		13,000		13,424,531
2.000%	08/01/31		1,218		1,266,085
2.500%	TBA		8,000		8,321,334
2.500%	01/01/28		953		1,000,034
2.500%	10/01/43		935		989,709
2.500%	12/01/46		1,703		1,803,037
3.000%	TBA		23,500		24,708,151
3.000%	02/01/27		1,381		1,460,439
3.000%	08/01/30		846		891,002
3.000%	11/01/36		2,455		2,586,586
3.000%	12/01/42		1,117		1,196,268
3.000%	12/01/42		1,702		1,823,846
3.000%	03/01/43		295		315,573
3.000%	11/01/46		315		332,516
3.000%	01/01/47		2,403		2,541,900
3.000%	02/01/47		1,601		1,693,693
3.000%	03/01/47		1,204		1,273,119
3.500%	07/01/31		845		902,952
3.500%	11/01/32		419		451,205
3.500%	02/01/33		1,135		1,196,903
3.500%	05/01/33		1,950		2,057,061
3.500%	06/01/39		608		655,110
3.500%	01/01/42		5,590		6,042,153
3.500%	05/01/42		2,668		2,885,370
3.500%	07/01/42		766		833,112
3.500%	08/01/42		302		326,807
3.500%	08/01/42		918		992,775
3.500%	09/01/42		864		935,566
3.500%	09/01/42		1,560		1,688,896
3.500%	11/01/42		511		552,415
3.500%	03/01/43		2,774		3,032,846
3.500%	04/01/43		530		573,903
3.500%	04/01/43		1,196		1,294,494
3.500%	07/01/43		245		265,027
3.500%	06/01/45		5,717		6,111,807

SEE NOTES TO FINANCIAL STATEMENTS.

A94

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.500%		07/01/46		1,135	$	1,206,142
3.500%		11/01/46		1,579		1,675,628
3.500%		09/01/47		1,726		1,826,799
3.500%		01/01/48		12,270		12,940,627
3.500%		05/01/48		1,851		1,949,753
3.500%		06/01/48		5,373		5,779,233
4.000%		12/01/36		968		1,042,088
4.000%		10/01/41		2,904		3,187,603
4.000%		07/01/44		1,061		1,160,346
4.000%		09/01/44		2,359		2,574,795
4.000%		10/01/46		749		802,836
4.000%		06/01/47		1,269		1,354,487
4.000%		09/01/47		460		490,060
4.000%		11/01/47		986		1,089,982
4.000%		11/01/47		2,395		2,553,653
4.000%		12/01/47		6,103		6,505,484
4.500%		07/01/33		47		51,410
4.500%		08/01/33		11		11,979
4.500%		09/01/33		40		44,180
4.500%		10/01/33		110		119,953
4.500%		03/01/34		31		33,405
4.500%		01/01/35		2		2,303
4.500%		07/01/39		771		857,989
4.500%		08/01/39		592		658,483
4.500%		09/01/39		407		452,786
4.500%		12/01/39		4		4,910
4.500%		03/01/41		1,381		1,547,122
4.500%		07/01/42		122		136,296
5.000%		03/01/34		206		236,023
5.000%		04/01/35		494		566,254
5.000%		06/01/35		120		138,187
5.000%		07/01/35		81		92,470
5.000%		07/01/35		122		140,418
5.000%		09/01/35		76		87,279
5.000%		11/01/35		86		99,109
5.000%		02/01/36		68		78,363
5.500%		02/01/33		96		109,489
5.500%		08/01/33		171		192,514
5.500%		10/01/33		46		52,928
5.500%		12/01/33		48		55,397
5.500%		12/01/34		124		141,698
5.500%		10/01/35		483		554,645
5.500%		03/01/36		49		54,236
5.500%		04/01/36		108		122,169
5.500%		01/01/37		60		68,922
5.500%		04/01/37		32		36,841
5.500%		05/01/37		194		222,263
5.500%		08/01/37		240		275,883
6.000%		05/01/21		10		10,355
6.000%		10/01/33		189		212,333
6.000%		11/01/33		23		26,101
6.000%		11/01/33		29		32,633
6.000%		01/01/34		237		276,105
6.000%		02/01/34		94		109,268
6.000%		03/01/34		2		2,126
6.000%		03/01/34		12		13,599
6.000%		03/01/34		28		31,337
6.000%		11/01/34		23		25,258

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		01/01/35			46	$	52,330
6.000%		01/01/35			113		127,079
6.000%		02/01/35			3		2,955
6.000%		02/01/35			105		117,230
6.000%		02/01/35			186		217,563
6.000%		04/01/35			16		18,251
6.000%		12/01/35			87		96,689
6.000%		05/01/36			39		44,965
6.000%		06/01/36			15		16,550
6.000%		02/01/37			63		74,010
6.000%		06/01/37			24		26,825
6.000%		05/01/38			166		193,387
6.250%		05/15/29			950		1,376,075
6.500%		09/01/32			1		1,152
6.500%		09/01/32			13		14,428
6.500%		09/01/32			35		40,359
6.500%		09/01/32			39		45,614
6.500%		10/01/32			40		46,277
6.500%		04/01/33			52		59,835
6.500%		11/01/33			21		24,284
6.500%		01/01/34			31		36,356
6.500%		09/01/34			49		55,938
6.500%		10/01/34			43		50,273
6.500%		09/01/36			108		125,924
6.500%		10/01/36			26		30,914
6.500%		11/01/36			37		41,193
6.500%		01/01/37			39		43,137
6.500%		01/01/37			103		119,434
6.500%		09/01/37			13		15,150
6.625%		11/15/30	(k)		550		850,720
7.000%		02/01/32			25		29,126
7.000%		05/01/32			13		15,854
7.000%		06/01/32			13		15,577
7.000%		07/01/32			49		57,468
7.125%		01/15/30	(k)		3,600		5,610,780
Government National Mortgage Assoc.
2.500%		TBA			5,000		5,261,133
2.500%		TBA			6,000		6,300,469
2.500%		03/20/43			687		727,963
2.500%		12/20/46			860		911,674
3.000%		03/15/45			1,024		1,083,714
3.000%		11/20/45			1,128		1,201,443
3.000%		03/20/46			7,293		7,749,237
3.000%		07/20/46			4,889		5,200,425
3.000%		10/20/46			1,594		1,695,813
3.000%		12/20/46			1,068		1,134,265
3.000%		02/20/47			2,210		2,346,562
3.500%		TBA			11,000		11,605,859
3.500%		12/20/42			1,715		1,864,819
3.500%		05/20/43			350		381,237
3.500%		03/20/45			1,411		1,510,258
3.500%		04/20/45			1,959		2,097,144
3.500%		07/20/46			7,164		7,664,896
4.000%		06/15/40			150		162,681
4.000%		05/20/41			267		294,304
4.000%		12/20/42			591		650,869
4.000%		08/20/44			261		284,193
4.000%		11/20/45			1,443		1,561,840

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate		Maturity Date		Principal     Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.000%			12/20/45		1,543		$	1,666,878
4.000%			11/20/46		351			377,433
4.000%			09/20/47		5,680			6,088,745
4.000%			02/20/49		4,079			4,331,260
4.500%			04/15/40		582			647,777
4.500%			01/20/41		1,181			1,319,738
4.500%			02/20/41		740			826,255
4.500%			06/20/44		787			862,538
4.500%			09/20/46		458			498,323
4.500%			11/20/46		897			981,910
4.500%			03/20/47		873			953,612
4.500%			05/20/48		1,213			1,308,270
4.500%	��		06/20/48		1,633			1,759,872
4.500%			08/20/48		5,097			5,453,068
5.000%			10/20/37		108			121,571
5.000%			04/20/45		704			793,272
5.500%			11/15/32		69			78,852
5.500%			02/15/33		51			59,216
5.500%			08/15/33		90			99,353
5.500%			08/15/33		156			171,738
5.500%			09/15/33		41			45,560
5.500%			09/15/33		80			90,945
5.500%			10/15/33		65			73,782
5.500%			12/15/33		11			11,751
5.500%			04/15/34		307			357,780
5.500%			07/15/35		56			66,006
5.500%			02/15/36		113			130,665
6.000%			02/15/33		2			2,014
6.000%			04/15/33		18			19,840
6.000%			09/15/33		12			13,177
6.000%			12/15/33		34			40,954
6.000%			12/15/33		77			85,152
6.000%			01/15/34		19			22,963
6.000%			01/15/34		32			36,673
6.000%			06/20/34		67			77,603
6.000%			07/15/34		144			171,214
6.000%			10/15/34		159			182,186
6.500%			10/15/23		1			728
6.500%			12/15/23		2			2,561
6.500%			01/15/24		1			1,116
6.500%			01/15/24		1			1,512
6.500%			01/15/24		3			3,661
6.500%			01/15/24		9			9,383
6.500%			01/15/24		9			9,540
6.500%			01/15/24		39			42,700
6.500%			02/15/24		—	(r)		172
6.500%			02/15/24		—	(r)		209
6.500%			02/15/24		2			1,893
6.500%			02/15/24		2			1,987
6.500%			02/15/24		3			3,086
6.500%			02/15/24		5			5,322
6.500%			02/15/24		5			6,030
6.500%			02/15/24		6			7,138
6.500%			02/15/24		10			10,956
6.500%			02/15/24		23			25,234
6.500%			04/15/24		1			645
6.500%			04/15/24		1			1,229
6.500%			04/15/24		1			1,594

Interest Rate	Maturity Date			Principal     Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		04/15/24			1	$	1,654
6.500%		04/15/24			2		1,925
6.500%		04/15/24			2		2,265
6.500%		04/15/24			7		8,279
6.500%		05/15/24			8		8,729
6.500%		05/15/24			11		12,578
6.500%		10/15/24			12		12,809
6.500%		12/15/30			7		7,459
6.500%		01/15/32			19		21,712
6.500%		02/15/32			16		17,811
6.500%		07/15/32			39		44,665
6.500%		08/15/32			5		5,595
6.500%		08/15/32			8		8,482
6.500%		08/15/32			27		30,703
6.500%		08/15/32			186		221,495
6.500%		06/15/35			5		5,558
6.500%		06/15/35			34		40,098
6.500%		07/15/35			7		7,396
8.000%		01/15/24			6		5,689
8.000%		04/15/25			3		3,848
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $281,020,984)							292,319,447
U.S. TREASURY OBLIGATIONS — 1.2%
U.S. Treasury Bonds
2.875%		05/15/43	(a)		1,075		1,403,547
3.000%		11/15/44			5,060		6,772,494
3.125%		02/15/43			965		1,307,877
3.375%		05/15/44	(a)		9,210		13,022,076
3.625%		02/15/44			490		717,084
3.750%		11/15/43			490		729,105
U.S. Treasury Notes
2.250%		11/15/25			5,000		5,508,203
3.125%		11/15/28	(k)		11,625		14,048,086
U.S. Treasury Strips Coupon
2.000%(s)		08/15/39	(h)(k)		3,780		2,945,152
2.228%(s)		05/15/28	(k)		718		682,408
2.365%(s)		08/15/44	(k)		3,095		2,136,517
2.395%(s)		11/15/43			1,156		812,135
TOTAL U.S. TREASURY OBLIGATIONS (cost $48,847,537)							50,084,684
TOTAL LONG-TERM INVESTMENTS (cost $3,263,391,456)							3,885,292,608

	Shares
SHORT-TERM INVESTMENTS — 11.4%
AFFILIATED MUTUAL FUNDS — 11.3%
PGIM Core Ultra Short Bond Fund(w)		325,454,314	325,454,314
PGIM Institutional Money Market Fund (cost $139,695,942; includes $139,617,982 of cash collateral for securities on loan)(b)(w)		140,069,128	140,069,128
TOTAL AFFILIATED MUTUAL FUNDS (cost $465,150,256)			465,523,442

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal     Amount (000)#		Value
U.S. TREASURY OBLIGATION(k)(n) — 0.0%
U.S. Treasury Bills
0.159%		09/17/20		250	$	249,924
(cost $249,914)
OPTIONS PURCHASED*~ — 0.1% (cost $211,734)						1,207,241
TOTAL SHORT-TERM INVESTMENTS (cost $465,611,904)						466,980,607
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 105.8% (cost $3,729,003,360)						4,352,273,215
OPTION WRITTEN*~ — (0.0)% (premiums received $117,053)						(39,656	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 105.8% (cost $3,728,886,307)						4,352,233,559
Liabilities in excess of other assets(z) — (5.8)%						(237,641,773	)
NET ASSETS — 100.0%					$	4,114,591,786

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

* Non-income producing security.

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

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

^ Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $7,143,170 and 0.2% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $137,365,070; cash collateral of $139,617,982 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

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

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

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

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

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

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

(rr) Perpetual security with no stated maturity date.

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

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

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

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Call		07/24/20		$	140.00		423		423		$	85,922
10 Year U.S. Treasury Notes Futures		Call		07/24/20		$	143.00		846		846			26,438
Total Exchange Traded (cost $192,434)													$	112,360

SEE NOTES TO FINANCIAL STATEMENTS.

A97

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Options Purchased (continued):

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts	Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%	—		3,379	$	75,406
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%	—		3,285		73,144
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%	—		8,212		173,505
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%	—		16,302		345,129
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%	—		16,540		362,211
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%	—		3,285		65,486
Total OTC Traded (cost $19,300)												$	1,094,881
Total Options Purchased (cost $211,734)												$	1,207,241

Options Written:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures (premiums received $117,053)		Call		07/24/20		$	142.00		1,269		1,269		$	(39,656	)

Futures contracts outstanding at June 30, 2020:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
13	2 Year U.S. Treasury Notes		Sep. 2020	$	2,870,766	$	2,319
12	5 Year U.S. Treasury Notes		Sep. 2020		1,508,906		11,421
243	10 Year U.S. Ultra Treasury Notes		Sep. 2020		38,268,704		173,941
5	20 Year U.S. Treasury Bonds		Sep. 2020		892,813		15,149
559	30 Year U.S. Ultra Treasury Bonds		Sep. 2020		121,949,344		(19,755	)
22	Mini MSCI EAFE Index		Sep. 2020		1,956,240		(25,043	)
							158,032
Short Positions:
20	10 Year Euro-Bund		Sep. 2020		3,966,404		(34,419	)
885	10 Year U.S. Treasury Notes		Sep. 2020		123,167,114		(412,219	)
							(446,638	)
						$	(288,606	)

Forward foreign currency exchange contracts outstanding at June 30, 2020:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/02/20		Morgan Stanley & Co. International PLC		EUR    9,530	$	10,744,769	$	10,707,940	$	—	$	(36,829	)

SEE NOTES TO FINANCIAL STATEMENTS.

A98

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):

Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date			Current Value			Unrealized Appreciation			Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Canadian Dollar,
Expiring 07/20/20	Morgan Stanley & Co. International PLC		CAD	2,500		$	1,800,413		$	1,841,591		$	—		$	(41,178	)
Euro,
Expiring 07/02/20	Citibank, N.A.		EUR	9,530			10,402,148			10,707,941			—			(305,793	)
Expiring 08/04/20	Morgan Stanley & Co. International PLC		EUR	9,530			10,752,631			10,715,847			36,784			—
						$	22,955,192		$	23,265,379			36,784			(346,971	)
												$	36,784		$	(383,800	)

Credit default swap agreements outstanding at June 30, 2020:

Reference Entity/ Obligation	Termination Date	Fixed Rate	Notional Amount (000)#(3)	Implied Credit Spread at June 30, 2020(4)	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
Boeing Co.	12/20/21	1.000%(Q)	4,100	2.453%	$	(84,855	)	$	32,808	$	(117,663	)	Bank of America, N.A.

Reference Entity/ Obligation	Termination Date	Fixed Rate	Notional Amount (000)#(3)	Value at Trade Date		Value at June 30, 2020		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.IG.33.V1	12/20/29	1.000%(Q)	24,000	$	91,203	$	147,408	$	56,205

Reference Entity/ Obligation	Termination Date	Fixed Rate	Notional Amount (000)#(3)	Implied Credit Spread at June 30, 2020(4)	Value at Trade Date		Value at June 30, 2020		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Sell Protection(2):
iTraxx.EUR.33.V1	06/20/25	1.000%(Q)	EUR   39,500	0.664%	$	319,918	$	752,272	$	432,354

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

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

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

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

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the

SEE NOTES TO FINANCIAL STATEMENTS.

A99

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Interest rate swap agreements outstanding at June 30, 2020:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR	3,905		05/11/24	0.050%(A)	1 Day EONIA(1)(A)	$	(43,095	)	$	(103,546	)	$	(60,451	)
	EUR	1,190		05/11/39	1.100%(A)	1 Day EONIA(1)(A)		(10,808	)		(303,399	)		(292,591	)
		165,795		06/15/21	1.830%(S)	3 Month LIBOR(2)(Q)		—			2,591,774			2,591,774
		53,193		09/15/21	1.381%(S)	3 Month LIBOR(2)(Q)		(64,878	)		935,480			1,000,358
		20,385		09/15/21	1.480%(S)	3 Month LIBOR(2)(Q)		11,978			388,719			376,741
		13,965		09/15/21	1.604%(S)	3 Month LIBOR(2)(Q)		40,476			292,352			251,876
		685		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(32,259	)		(32,259	)
		744		11/15/45	0.508%(A)	1 Day USOIS(1)(A)		(12,240	)		29,258			41,498
		1,205		11/15/45	1.044%(A)	1 Day USOIS(1)(A)		—			(107,207	)		(107,207	)
		5,001		11/15/45	1.253%(A)	1 Day USOIS(1)(A)		(60,276	)		(696,002	)		(635,726	)
		3,085		08/09/49	1.508%(A)	1 Day USOIS(1)(A)		—			(699,716	)		(699,716	)
		2,551		03/30/50	0.855%(S)	3 Month LIBOR(1)(Q)		—			36,961			36,961
							$	(138,843	)	$	2,332,415		$	2,471,258

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

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

Total return swap agreements outstanding at June 30, 2020:

Reference Entity

Financing Rate

Counterparty

Termination Date

Long (Short) Notional Amount (000)#(1)

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)(2)

OTC Total Return Swap Agreement:

Barclays US Agency CMBS Index(T)

1 Month LIBOR(M)

Barclays Bank PLC

10/01/20

16,000

$266,974

$—

$266,974

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

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

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

	Premiums Paid	Premiums Received	Unrealized Appreciation	Unrealized Depreciation
OTC Swap Agreements	$32,808	$—	$266,974	$(117,663)

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

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

Broker	Cash and/or Foreign Currency			Securities Market Value
Citigroup Global Markets, Inc.		$	—		$	9,699,962
Goldman Sachs & Co. LLC			—			249,924
Total		$	—		$	9,949,886

Fair Value Measurements:

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A100

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Assets
Common Stocks	$	2,396,241,053		$	73,673,016		$	—
Exchange-Traded Fund		370,576			—			—
Preferred Stocks		583,000			389,939			—
Asset-Backed Securities
Automobiles		—			84,005,746			—
Collateralized Loan Obligations		—			131,497,329			—
Consumer Loans		—			4,406,121			—
Equipment		—			9,048,411			—
Home Equity Loans		—			1,801,197			—
Other		—			6,084,009			—
Residential Mortgage-Backed Securities		—			17,943,572			—
Student Loans		—			35,254,119			—
Commercial Mortgage-Backed Securities		—			294,401,153			—
Corporate Bonds		—			398,365,430			—
Municipal Bonds		—			20,364,247			—
Residential Mortgage-Backed Securities		—			27,195,918			7,143,170
Sovereign Bonds		—			34,120,471			—
U.S. Government Agency Obligations		—			292,319,447			—
U.S. Treasury Obligations		—			50,334,608			—
Affiliated Mutual Funds		465,523,442			—			—
Options Purchased		112,360			1,094,881			—
Total	$	2,862,830,431		$	1,482,299,614		$	7,143,170
Liabilities
Option Written	$	(39,656	)	$	—		$	—
Other Financial Instruments*
Assets
Futures Contracts	$	202,830		$	—		$	—
OTC Forward Foreign Currency Exchange Contract		—			36,784			—
Centrally Cleared Credit Default Swap Agreements		—			488,559			—
Centrally Cleared Interest Rate Swap Agreements		—			4,299,208			—
OTC Total Return Swap Agreement		—			266,974			—
Total	$	202,830		$	5,091,525		$	—
Liabilities
Futures Contracts	$	(491,436	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(383,800	)		—
OTC Credit Default Swap Agreement		—			(84,855	)		—
Centrally Cleared Interest Rate Swap Agreements		—			(1,827,950	)		—
Total	$	(491,436	)	$	(2,296,605	)	$	—

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

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Affiliated Mutual Funds (3.4% represents investments purchased with collateral from securities on loan)	11.3	%	Commercial Mortgage-Backed Securities	7.2	%
			U.S. Government Agency Obligations	7.1

SEE NOTES TO FINANCIAL STATEMENTS.

A101

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Industry Classification (continued):

Software	5.9	%
Banks	4.8
Pharmaceuticals	4.0
Technology Hardware, Storage & Peripherals	3.8
Internet & Direct Marketing Retail	3.3
Collateralized Loan Obligations	3.2
Interactive Media & Services	3.1
Semiconductors & Semiconductor Equipment	3.0
IT Services	3.0
Automobiles	2.4
Health Care Equipment & Supplies	2.0
Health Care Providers & Services	1.9
Biotechnology	1.9
Capital Markets	1.7
Insurance	1.7
Aerospace & Defense	1.5
Specialty Retail	1.5
Diversified Telecommunication Services	1.5
Food & Staples Retailing	1.3
Beverages	1.3
Chemicals	1.3
Oil, Gas & Consumable Fuels	1.3
Residential Mortgage-Backed Securities	1.2
Equity Real Estate Investment Trusts (REITs)	1.2
U.S. Treasury Obligations	1.2
Entertainment	1.2
Household Products	1.1
Electric	1.1
Student Loans	0.9
Sovereign Bonds	0.8
Communications Equipment	0.8
Electric Utilities	0.8
Industrial Conglomerates	0.8
Building Products	0.7
Media	0.7
Multi-Utilities	0.7
Oil & Gas	0.6
Diversified Financial Services	0.5
Road & Rail	0.5
Hotels, Restaurants & Leisure	0.5
Machinery	0.5
Pipelines	0.5
Telecommunications	0.5
Municipal Bonds	0.5
Tobacco	0.5
Food Products	0.5
Multiline Retail	0.5
Auto Manufacturers	0.5
Trading Companies & Distributors	0.3
Independent Power & Renewable Electricity Producers	0.3
Distributors	0.3
Life Sciences Tools & Services	0.3
Electrical Equipment	0.3
Gas Utilities	0.3
Equipment	0.2
Consumer Finance	0.2
Construction & Engineering	0.2

Metals & Mining	0.2	%
Household Durables	0.2
Retail	0.2
Healthcare-Services	0.2
Other	0.2
Commercial Services	0.1
Agriculture	0.1
Leisure Products	0.1
Mortgage Real Estate Investment Trusts (REITs)	0.1
Consumer Loans	0.1
Personal Products	0.1
Gas	0.1
Real Estate Management & Development	0.1
Foods	0.1
Energy Equipment & Services	0.1
Airlines	0.1
Commercial Services & Supplies	0.1
Healthcare-Products	0.1
Engineering & Construction	0.1
Auto Components	0.1
Forest Products & Paper	0.1
Transportation	0.1
Home Equity Loans	0.1
Housewares	0.1
Multi-National	0.1
Options Purchased	0.1
Air Freight & Logistics	0.0	*
Thrifts & Mortgage Finance	0.0	*
Savings & Loans	0.0	*
Professional Services	0.0	*
Wireless Telecommunication Services	0.0	*
Home Builders	0.0	*
Machinery-Diversified	0.0	*
Textiles, Apparel & Luxury Goods	0.0	*
Miscellaneous Manufacturing	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Semiconductors	0.0	*
Mining	0.0	*
Lodging	0.0	*
Construction Materials	0.0	*
Electronics	0.0	*
Packaging & Containers	0.0	*
Electronic Equipment, Instruments & Components	0.0	*
Building Materials	0.0	*
Exchange-Traded Fund	0.0	*
Oil & Gas Services	0.0	*
Health Care Technology	0.0	*
Transportation Infrastructure	0.0	*
Marine	0.0	*
Paper & Forest Products	0.0	*
	105.8
Option Written	(0.0	)*
Liabilities in excess of other assets	(5.8	)
	100.0	%

* Less than +/- 0.05%    

SEE NOTES TO FINANCIAL STATEMENTS.

A102

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker-variation margin swaps	$	488,559	*	—	$	—
Credit contracts	Premiums paid for OTC swap agreements		32,808		—		—
Credit contracts	—		—		Unrealized depreciation on OTC swap agreements		117,663
Equity contracts	—		—		Due from/to broker-variation margin futures		25,043	*
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		36,784		Unrealized depreciation on OTC forward foreign currency exchange contracts		383,800
Interest rate contracts	Due from/to broker-variation margin futures		202,830	*	Due from/to broker-variation margin futures		466,393	*
Interest rate contracts	Due from/to broker-variation margin swaps		4,299,208	*	Due from/to broker-variation margin swaps		1,827,950
Interest rate contracts	Unaffiliated investments		1,207,241		Options written outstanding, at value		39,656
Interest rate contracts	Unrealized appreciation on OTC swap agreements		266,974		—		—
		$	6,534,404			$	2,860,505

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)				Options Purchased(1)				Options Written			Futures				Forward Currency Contracts			Swaps
Credit contracts		$	—			$	—			$	—		$	—			$	—		$	(60,181	)
Equity contracts			(468	)			—				—			(197,318	)			—			—
Foreign exchange contracts			—				—				—			—				359,349			—
Interest rate contracts			—				(257,616	)			94,601			15,889,137				—			(20,763,582	)
Total		$	(468	)		$	(257,616	)		$	94,601		$	15,691,819			$	359,349		$	(20,823,763	)

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)				Options Purchased(2)			��	Options Written			Futures				Forward Currency Exchange Contracts			Swaps
Credit contracts		$	—			$	—			$	—		$	—			$	—		$	686,105
Equity contracts.			(18	)			—				—			(21,975	)			—			—

SEE NOTES TO FINANCIAL STATEMENTS.

A103

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)				Options Purchased(2)			Options Written			Futures			Forward Currency Exchange Contracts				Swaps
Foreign exchange contracts		$	—			$	—		$	—		$	—		$	(196,573	)		$	—
Interest rate contracts			—				497,291			77,397			2,281,607			—				12,369,978
Total		$	(18	)		$	497,291		$	77,397		$	2,259,632		$	(196,573	)		$	13,056,083

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

For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts— Purchased(3)
$169,317	$597,333	$231,587,888	$222,611,941	$7,707,135

Forward Foreign Currency Exchange Contracts—Sold(3)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$20,189,669	$386,615,123	$24,000,000

Credit Default Swap Agreements— Sell Protection(2)	Total Return Swap Agreements(2)
$17,526,083	$16,000,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)				Net Amount
Securities on Loan		$	137,365,070		$	(137,365,070	)		$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)			Gross Amounts of Recognized Liabilities(1)				Net Amounts of Recognized Assets/(Liabilities)				Collateral Pledged/(Received)(2)				Net Amount
Bank of America, N.A.		$	913,653		$	(117,663	)		$	795,990			$	(795,990	)		$	—
Barclays Bank PLC			481,010			—				481,010				(270,000	)			211,010
Citibank, N.A.			—			(305,793	)			(305,793	)			294,559				(11,234	)

SEE NOTES TO FINANCIAL STATEMENTS.

A104

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Counterparty	Gross Amounts of Recognized Assets(1)			Gross Amounts of Recognized Liabilities(1)				Net Amounts of Recognized Assets/(Liabilities)				Collateral Pledged/(Received)(2)				Net Amount
Morgan Stanley & Co. International PLC		$	36,784		$	(78,007	)		$	(41,223	)		$	—			$	(41,223	)
		$	1,431,447		$	(501,463	)		$	929,984			$	(771,431	)		$	158,553

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A105

FLEXIBLE MANAGED PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $137,365,070:
Unaffiliated investments (cost $3,263,853,104)	$	3,886,749,773
Affiliated investments (cost $465,150,256)		465,523,442
Foreign currency, at value (cost $492,000)		492,521
Cash		33,718
Receivable for investments sold		57,192,888
Dividends and interest receivable		9,741,180
Tax reclaim receivable		438,712
Unrealized appreciation on OTC swap agreements		266,974
Due from broker-variation margin swaps		115,197
Unrealized appreciation on OTC forward foreign currency exchange contracts		36,784
Premiums paid for OTC swap agreements		32,808
Receivable for Portfolio shares sold		4,248
Receivable from affiliate		3,279
Prepaid expenses and other assets		252,536
Total Assets		4,420,884,060
LIABILITIES
Payable for investments purchased		162,042,158
Payable to broker for collateral for securities on loan		139,617,982
Management fee payable		2,023,000
Payable for Portfolio shares repurchased		879,220
Due to broker-variation margin futures		502,162
Accrued expenses and other liabilities		501,788
Unrealized depreciation on OTC forward foreign currency exchange contracts		383,800
Payable to affiliate		183,919
Unrealized depreciation on OTC swap agreements		117,663
Options written outstanding, at value (proceeds received $117,053)		39,656
Affiliated transfer agent fee payable		926
Total Liabilities		306,292,274
NET ASSETS	$	4,114,591,786
Net assets were comprised of:
Partners’ Equity	$	4,114,591,786
Net asset value and redemption price per share, $4,114,591,786 / 122,596,992 outstanding shares of beneficial interest	$	33.56

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $174,879 foreign withholding tax, of which $39,504 is reimbursable by an affiliate)	$	27,349,221
Interest income		21,747,036
Affiliated dividend income.		1,065,914
Income from securities lending, net (including affiliated income of $274,187)		275,670
Total income		50,437,841
EXPENSES
Management fee		12,063,084
Custodian and accounting fees		213,862
Shareholders’ reports		159,481
Trustees’ fees		28,513
Audit fee		23,320
Legal fees and expenses		12,957
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		44,597
Total expenses		12,551,126
NET INVESTMENT INCOME (LOSS)		37,886,715
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $240,600)		(31,350,619	)
Futures transactions		15,691,819
Forward currency contract transactions		359,349
Options written transactions		94,601
Swap agreements transactions		(20,823,763	)
Foreign currency transactions		(542	)
		(36,029,155	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $348,673)		(114,865,955	)
Futures		2,259,632
Forward currency contracts		(196,573	)
Options written		77,397
Swap agreements		13,056,083
Foreign currencies		(11,320	)
		(99,680,736	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(135,709,891	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(97,823,176	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020				Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)		$	37,886,715			$	79,405,892
Net realized gain (loss) on investment and foreign currency transactions			(36,029,155	)			176,760,040
Net change in unrealized appreciation (depreciation) on investments and foreign currencies			(99,680,736	)			485,992,068
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS			(97,823,176	)			742,158,000
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [220,120 and 177,562 shares, respectively]			6,696,631				5,636,300
Portfolio shares repurchased [3,727,810 and 7,989,312 shares, respectively]			(122,137,875	)			(253,479,611	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS			(115,441,244	)			(247,843,311	)
CAPITAL CONTRIBUTIONS			—				14,632
TOTAL INCREASE (DECREASE)			(213,264,420	)			494,329,321
NET ASSETS:
Beginning of period			4,327,856,206				3,833,526,885
End of period		$	4,114,591,786			$	4,327,856,206

SEE NOTES TO FINANCIAL STATEMENTS.

A106

GLOBAL PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
LONG-TERM INVESTMENTS — 96.9%
COMMON STOCKS — 96.4%
Argentina — 0.3%
MercadoLibre, Inc.*		3,141	$	3,096,304
Australia — 1.4%
AGL Energy Ltd.		66,200		784,045
Aristocrat Leisure Ltd.		108,730		1,940,430
Beach Energy Ltd.		395,200		421,862
CSL Ltd.		18,219		3,640,022
Fortescue Metals Group Ltd.		201,900		1,949,117
Harvey Norman Holdings Ltd.(a)		196,000		483,116
Inghams Group Ltd.		268,900		595,346
Metcash Ltd.		412,500		777,276
Perenti Global Ltd.		432,300		346,801
Qantas Airways Ltd.		292,200		772,428
Rio Tinto Ltd.		20,600		1,398,685
Service Stream Ltd.		343,700		453,062
St. Barbara Ltd.		343,600		755,906
Stockland, REIT		200,300		463,729
Super Retail Group Ltd.		105,600		592,274
				15,374,099
Austria — 0.2%
BAWAG Group AG, 144A*		15,500		537,577
OMV AG*		33,700		1,140,529
Wienerberger AG		26,400		577,086
				2,255,192
Belgium — 0.2%
Bekaert SA		22,500		442,523
UCB SA		15,000		1,743,484
				2,186,007
Canada — 1.6%
Brookfield Asset Management, Inc. (Class A Stock)		92,409		3,040,256
Canadian National Railway Co.		45,270		4,005,141
Dollarama, Inc.		63,758		2,120,884
Enbridge, Inc.		53,950		1,641,159
Magna International, Inc.		47,177		2,100,792
TC Energy Corp.		117,000		5,014,620
				17,922,852
China — 3.1%
Alibaba Group Holding Ltd.*		271,344		7,346,601
Alibaba Group Holding Ltd., ADR*		31,140		6,716,898
China Merchants Bank Co. Ltd. (Class H Stock)		673,000		3,106,329
China Resources Cement Holdings Ltd.		1,042,000		1,279,712
Kingboard Holdings Ltd.		216,000		563,007
Lee & Man Paper Manufacturing Ltd.		1,049,000		568,971
NetEase, Inc., ADR		9,229		3,962,748
TAL Education Group, ADR*		68,403		4,677,397
Tencent Holdings Ltd.		116,100		7,486,307
				35,707,970
Denmark — 1.4%
Chr Hansen Holding A/S		10,056		1,038,598
Coloplast A/S (Class B Stock)		24,882		3,868,413

	Shares		Value
COMMON STOCKS (continued)
Denmark (cont’d.)
Danske Bank A/S*		61,200	$	819,630
Dfds A/S*		11,300		351,449
DSV Panalpina A/S		17,821		2,185,158
Novo Nordisk A/S (Class B Stock)		59,739		3,894,296
Orsted A/S, 144A		28,559		3,318,339
Pandora A/S		10,800		590,599
				16,066,482
Finland — 0.4%
Neste OYJ		59,471		2,335,284
Nordea Bank Abp*		83,600		581,160
Valmet OYJ(a)		41,500		1,089,599
				4,006,043
France — 4.1%
Airbus SE*		32,883		2,355,790
Arkema SA		11,900		1,143,505
AXA SA*		54,100		1,141,443
BNP Paribas SA*		23,200		927,564
Bouygues SA*		27,600		951,445
Capgemini SE		34,087		3,933,864
Cie Generale des Etablissements Michelin SCA*		9,600		993,170
CNP Assurances*		42,800		498,345
Credit Agricole SA*		78,500		753,315
Engie SA*		82,000		1,017,939
L’Oreal SA*		10,334		3,323,468
LVMH Moet Hennessy Louis Vuitton SE		13,598		6,046,940
Natixis SA*		146,400		387,044
Nexity SA		13,100		425,147
Orange SA		67,300		806,496
Peugeot SA*		30,500		500,541
Safran SA*		31,138		3,137,684
Sanofi		39,700		4,069,568
Societe BIC SA		15,900		808,762
Societe Generale SA*		28,600		481,726
Sopra Steria Group		7,100		882,842
Teleperformance*		7,681		1,958,661
TOTAL SA		58,800		2,272,309
TOTAL SA, ADR		191,892		7,380,166
				46,197,734
Germany — 2.6%
Allianz SE		8,900		1,828,406
Aurubis AG		10,800		668,537
Bayer AG		20,200		1,504,483
Bayerische Motoren Werke AG		12,500		798,284
Covestro AG, 144A*		21,600		826,519
Daimler AG*		17,600		718,958
Deutsche Lufthansa AG*(a)		54,200		546,958
Deutsche Post AG*		60,200		2,219,129
Evonik Industries AG		36,500		933,367
Infineon Technologies AG		185,475		4,402,831
METRO AG		46,000		438,922
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		4,500		1,173,616

SEE NOTES TO FINANCIAL STATEMENTS.

A107

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Germany (cont’d.)
Rational AG(a)		3,915	$	2,204,487
Rheinmetall AG		9,200		804,387
SAP SE		31,707		4,456,076
Siemens AG		10,740		1,274,381
Siltronic AG		8,900		914,149
TeamViewer AG, 144A*		20,377		1,121,612
United Internet AG		24,700		1,052,869
Volkswagen AG*		10,600		1,715,206
				29,603,177
Hong Kong — 0.6%
AIA Group Ltd.		415,800		3,886,921
PAX Global Technology Ltd.		933,000		409,406
Skyworth Group Ltd.*(a)		1,072,000		302,787
Tongda Group Holdings Ltd.		8,180,000		490,266
WH Group Ltd., 144A		1,291,500		1,114,478
Yue Yuen Industrial Holdings Ltd.		296,500		453,958
				6,657,816
India — 0.5%
HDFC Bank Ltd., ADR		53,739		2,442,975
Reliance Industries Ltd., 144A, GDR		80,036		3,697,059
				6,140,034
Ireland — 0.4%
Kingspan Group PLC		62,366		4,038,030
Smurfit Kappa Group PLC		23,100		777,927
				4,815,957
Italy — 0.4%
A2A SpA		546,200		775,508
Enel SpA		280,300		2,427,782
Leonardo SpA		97,000		648,741
Mediobanca Banca di Credito Finanziario SpA		87,600		633,434
UnipolSai Assicurazioni SpA		253,700		608,465
				5,093,930
Japan — 5.9%
AGC, Inc.		42,400		1,207,930
Aisan Industry Co. Ltd.		68,400		335,646
Asahi Intecc Co. Ltd.		54,700		1,550,042
Astellas Pharma, Inc.		152,500		2,544,757
Brother Industries Ltd.		34,700		626,237
Credit Saison Co. Ltd.		42,600		486,917
Daikin Industries Ltd.		23,800		3,831,565
Daiwa House Industry Co. Ltd.		31,900		752,047
DTS Corp.		11,800		243,514
EDION Corp.		63,900		647,572
Haseko Corp.		35,500		447,177
Hazama Ando Corp.		85,900		496,637
Hitachi Capital Corp.		28,500		631,256
Hitachi Ltd.		27,000		857,713
Honda Motor Co. Ltd.		33,200		848,259
Hoya Corp.		35,200		3,352,173
Isuzu Motors Ltd.		78,200		706,582
ITOCHU Corp.		69,900		1,505,337
Japan Airlines Co. Ltd.		35,700		647,352

	Shares		Value
COMMON STOCKS (continued)
Japan (cont’d.)
Japan Aviation Electronics Industry Ltd.		46,000	$	621,945
JTEKT Corp.		22,200		172,507
Kaneka Corp.		14,800		384,482
KDDI Corp.		83,000		2,488,758
Keiyo Bank Ltd. (The)		76,500		366,985
Keyence Corp.		13,500		5,644,653
Komatsu Ltd.		30,800		630,424
Lintec Corp.		30,000		713,215
Marubeni Corp.		173,200		783,568
Matsumotokiyoshi Holdings Co. Ltd.		23,800		863,780
Mitsubishi Chemical Holdings Corp.		82,800		481,792
Mitsubishi Gas Chemical Co., Inc.		70,200		1,063,517
Mitsubishi UFJ Financial Group, Inc.		274,000		1,074,378
Mitsubishi UFJ Lease & Finance Co. Ltd.		165,800		784,758
Mitsui & Co. Ltd.		56,300		832,280
Mitsui Chemicals, Inc.		42,400		884,765
Mizuho Financial Group, Inc.		736,200		902,102
Nikon Corp.		45,200		378,872
Nippon Telegraph & Telephone Corp.		117,400		2,736,036
Nishi-Nippon Financial Holdings, Inc.		48,600		328,187
Nisshin Oillio Group Ltd. (The)		21,400		669,092
Nomura Holdings, Inc.		180,800		808,546
Nomura Real Estate Holdings, Inc.		27,200		504,434
NTT DOCOMO, Inc.		22,000		585,515
Obayashi Corp.		84,600		790,698
ORIX Corp.		64,800		798,482
Resona Holdings, Inc.		366,600		1,252,260
Sankyu, Inc.		8,400		315,301
Sawai Pharmaceutical Co. Ltd.		9,200		472,514
Shiseido Co. Ltd.		45,600		2,897,045
SKY Perfect JSAT Holdings, Inc.		151,000		561,087
SMC Corp.		7,600		3,893,530
Sompo Holdings, Inc.		26,600		914,361
Sumitomo Corp.		109,000		1,247,673
Sumitomo Forestry Co. Ltd.		50,100		629,074
Sumitomo Heavy Industries Ltd.		32,300		706,973
Sumitomo Mitsui Financial Group, Inc.		40,900		1,150,349
Teijin Ltd.		67,300		1,069,605
Toagosei Co. Ltd.		28,700		281,187
Toho Holdings Co. Ltd.		12,400		231,850
Towa Pharmaceutical Co. Ltd.		28,200		520,749
Toyoda Gosei Co. Ltd.		15,200		316,739
Toyota Motor Corp.		15,730		986,320
Tsubakimoto Chain Co.		17,000		412,992
Ube Industries Ltd.		30,100		517,327
Ulvac, Inc.		17,900		516,604
Yokohama Rubber Co. Ltd. (The)		45,000		635,361
				67,541,385
Luxembourg — 0.1%
Tenaris SA		110,223		718,212
Netherlands — 2.1%
ABN AMRO Bank NV, 144A, CVA		45,300		394,213
Adyen NV, 144A*		3,006		4,395,608
Aegon NV		215,700		647,257
ASML Holding NV		4,559		1,684,527
ING Groep NV		79,200		554,097

SEE NOTES TO FINANCIAL STATEMENTS.

A108

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Netherlands (cont’d.)
Koninklijke Ahold Delhaize NV		95,900	$	2,624,644
NN Group NV		27,800		935,764
NXP Semiconductors NV		94,473		10,773,701
Royal Dutch Shell PLC (Class B Stock)		69,700		1,064,430
Signify NV, 144A*		46,800		1,217,384
				24,291,625
New Zealand — 0.0%
Air New Zealand Ltd.		485,600		416,961
Norway — 0.2%
DNB ASA*		68,200		905,241
Equinor ASA		41,200		589,099
Leroy Seafood Group ASA		148,600		893,701
				2,388,041
Portugal — 0.0%
Altri SGPS SA		46,700		225,256
Singapore — 0.2%
DBS Group Holdings Ltd.		62,300		934,099
Venture Corp. Ltd.		79,500		927,858
				1,861,957
South Africa — 0.1%
Anglo American PLC		40,600		950,693
Investec PLC		79,700		160,596
				1,111,289
Spain — 0.5%
Amadeus IT Group SA		46,737		2,444,655
Banco Santander SA*		199,500		489,281
Enagas SA		18,000		441,100
Mapfre SA		494,400		882,586
Repsol SA		117,700		1,041,704
Telefonica SA		142,000		680,211
				5,979,537
Sweden — 1.4%
Atlas Copco AB (Class A Stock)		109,610		4,669,432
Boliden AB		35,400		811,494
Hexagon AB (Class B Stock)*		76,445		4,497,430
Sandvik AB*		35,300		668,038
Skanska AB (Class B Stock)*		31,100		635,548
SKF AB (Class B Stock)		70,400		1,320,704
Swedbank AB (Class A Stock)*		18,400		236,256
Swedish Orphan Biovitrum AB*		46,250		1,076,240
Volvo AB (Class B Stock)*		133,200		2,097,298
				16,012,440
Switzerland — 3.0%
Adecco Group AG		15,300		723,939
Baloise Holding AG		6,000		903,634
Credit Suisse Group AG		136,900		1,433,174
Helvetia Holding AG		4,600		431,437
Landis+Gyr Group AG*		5,300		345,246
Lonza Group AG		9,162		4,855,907
Novartis AG		19,700		1,724,529
Partners Group Holding AG		3,758		3,426,061
Roche Holding AG		18,600		6,478,762

	Shares		Value
COMMON STOCKS (continued)
Switzerland (cont’d.)
Sika AG		16,458	$	3,185,844
Straumann Holding AG		4,034		3,486,023
Swiss Life Holding AG		3,400		1,266,470
Temenos AG		22,198		3,478,194
UBS Group AG		100,600		1,171,644
Zurich Insurance Group AG		4,700		1,664,714
				34,575,578
Taiwan — 0.5%
Taiwan Semiconductor Manufacturing Co. Ltd.		489,000		5,207,975
United Kingdom — 5.1%
3i Group PLC		92,900		962,346
Abcam PLC		52,935		873,424
Ashtead Group PLC		99,748		3,377,901
Aviva PLC		164,200		560,340
Babcock International Group PLC		113,300		438,196
BAE Systems PLC		251,200		1,510,003
Barclays PLC		373,500		531,111
Barratt Developments PLC		61,900		383,092
Bellway PLC		13,600		430,954
BP PLC		127,200		488,065
British American Tobacco PLC		53,700		2,072,359
BT Group PLC		455,900		648,861
Centrica PLC		457,200		218,522
CK Hutchison Holdings Ltd.		160,300		1,030,792
Compass Group PLC		159,988		2,215,792
Crest Nicholson Holdings PLC		143,814		352,521
Diageo PLC		79,491		2,644,922
Dialog Semiconductor PLC*		14,700		677,151
Experian PLC		133,687		4,709,317
GlaxoSmithKline PLC		159,000		3,235,569
Go-Ahead Group PLC (The)		34,500		355,790
Halma PLC		74,732		2,136,946
Imperial Brands PLC		56,400		1,078,709
Inchcape PLC		66,600		404,833
International Consolidated Airlines Group SA		150,000		418,193
J Sainsbury PLC		458,700		1,184,708
Keller Group PLC		48,200		378,945
Kingfisher PLC		357,200		977,192
Legal & General Group PLC		302,800		828,355
Lloyds Banking Group PLC		1,666,000		645,393
London Stock Exchange Group PLC		37,024		3,845,162
Marks & Spencer Group PLC		279,900		345,630
Micro Focus International PLC		34,519		184,788
National Express Group PLC		114,300		266,374
Ninety One PLC*		14,350		36,824
Paragon Banking Group PLC		105,900		461,107
Premier Foods PLC*		357,756		311,271
QinetiQ Group PLC		88,900		327,954
Redrow PLC		77,600		416,815
RELX PLC		155,318		3,617,257
Rentokil Initial PLC		395,673		2,505,581
Royal Mail PLC		120,900		273,388
Segro PLC, REIT		266,399		2,957,527
Spirax-Sarco Engineering PLC		18,003		2,232,630
Tate & Lyle PLC		141,000		1,168,360

SEE NOTES TO FINANCIAL STATEMENTS.

A109

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
United Kingdom (cont’d.)
Taylor Wimpey PLC		263,400	$	468,461
Tesco PLC		611,284		1,730,154
Vesuvius PLC		81,100		389,227
Vistry Group PLC		39,863		352,723
				57,661,535
United States — 60.1%
AbbVie, Inc.		54,128		5,314,287
Adobe, Inc.*		22,226		9,675,200
Alphabet, Inc. (Class C Stock)*		11,345		16,037,405
Amazon.com, Inc.*		7,108		19,609,693
Ameren Corp.		19,859		1,397,279
American International Group, Inc.		208,058		6,487,248
Amphenol Corp. (Class A Stock)		102,941		9,862,777
Applied Materials, Inc.		99,834		6,034,965
Atlassian Corp. PLC (Class A Stock)*		9,919		1,788,098
Autodesk, Inc.*		64,364		15,395,225
Bank of America Corp.		42,000		997,500
Becton, Dickinson & Co.		20,404		4,882,065
Boeing Co. (The)		18,446		3,381,152
Booking Holdings, Inc.*		300		477,702
Brown-Forman Corp. (Class B Stock)(a)		164,591		10,477,863
Bunge Ltd.		58,265		2,396,439
Capital One Financial Corp.		9,264		579,834
CenterPoint Energy, Inc.		125,544		2,343,907
CF Industries Holdings, Inc.		87,323		2,457,269
Charles Schwab Corp. (The)		85,368		2,880,316
Chubb Ltd.		61,862		7,832,966
Cintas Corp.		46,040		12,263,214
Cisco Systems, Inc.		114,985		5,362,900
Comcast Corp. (Class A Stock)		89,642		3,494,245
Conagra Brands, Inc.		113,636		3,996,578
ConocoPhillips		55,000		2,311,100
Costco Wholesale Corp.		31,858		9,659,664
Cummins, Inc.		9,700		1,680,622
CVS Health Corp.		94,005		6,107,505
Danaher Corp.		80,339		14,206,345
DexCom, Inc.*		35,956		14,576,562
DuPont de Nemours, Inc.		112,144		5,958,211
Edison International		71,589		3,887,999
Edwards Lifesciences Corp.*		142,665		9,859,578
Elanco Animal Health, Inc.*		84,124		1,804,460
Electronic Arts, Inc.*		128,542		16,973,971
Equitable Holdings, Inc.		120,432		2,323,133
Estee Lauder Cos., Inc. (The) (Class A Stock)		56,214		10,606,458
Exxon Mobil Corp.		96,172		4,300,812
Fifth Third Bancorp		251,457		4,848,091
Fortive Corp.		179,002		12,111,275
Fortune Brands Home & Security, Inc.		29,797		1,904,922
Fox Corp. (Class B Stock)		104,852		2,814,228
Franklin Resources, Inc.(a)		43,948		921,590
General Electric Co.		1,015,796		6,937,887
Genpact Ltd.		329,066		12,017,490
Gilead Sciences, Inc.		38,022		2,925,413
Hologic, Inc.*		70,339		4,009,323
Illinois Tool Works, Inc.		16,708		2,921,394
Illumina, Inc.*		29,959		11,095,316

	Shares		Value
COMMON STOCKS (continued)
United States (cont’d.)
International Paper Co.		131,412	$	4,627,017
Intuit, Inc.		48,967		14,503,536
Intuitive Surgical, Inc.*(a)		24,565		13,997,874
Johnson & Johnson		53,395		7,508,939
JPMorgan Chase & Co.		60,871		5,725,526
Kimberly-Clark Corp.		33,018		4,667,094
Kohl’s Corp.		37,156		771,730
L3Harris Technologies, Inc.		58,066		9,852,058
Las Vegas Sands Corp.		40,845		1,860,081
Lululemon Athletica, Inc.*		44,477		13,877,269
Marsh & McLennan Cos., Inc.		40,402		4,337,963
Mastercard, Inc. (Class A Stock)		53,251		15,746,321
McDonald’s Corp.		3,650		673,316
Medtronic PLC		68,096		6,244,403
Merck & Co., Inc.		21,425		1,656,795
MetLife, Inc.		126,754		4,629,056
Microsoft Corp.		142,756		29,052,274
Morgan Stanley		204,941		9,898,650
News Corp. (Class A Stock)		180,500		2,140,730
NextEra Energy, Inc.		19,813		4,758,488
Nielsen Holdings PLC		110,505		1,642,104
PayPal Holdings, Inc.*		105,552		18,390,325
PepsiCo, Inc.		17,058		2,256,091
Perrigo Co. PLC		51,228		2,831,372
Pfizer, Inc.		120,916		3,953,953
Philip Morris International, Inc.		66,758		4,677,066
Pioneer Natural Resources Co.		26,078		2,547,821
QUALCOMM, Inc.		86,332		7,874,342
Raytheon Technologies Corp.		20,397		1,256,863
Rockwell Automation, Inc.		9,800		2,087,400
Roper Technologies, Inc.		36,164		14,041,035
salesforce.com, Inc.*		60,428		11,319,977
SBA Communications Corp.		54,223		16,154,116
Schlumberger Ltd.		52,600		967,314
Sempra Energy		15,174		1,778,848
Sherwin-Williams Co. (The)		23,199		13,405,542
Signature Bank		20,093		2,148,344
SL Green Realty Corp., REIT(a)		46,791		2,306,328
Southern Co. (The)		160,712		8,332,917
Southwest Airlines Co.		67,654		2,312,414
State Street Corp.		46,270		2,940,459
Stericycle, Inc.*(a)		31,289		1,751,558
TE Connectivity Ltd.		25,710		2,096,651
Texas Instruments, Inc.(a)		35,627		4,523,560
Thermo Fisher Scientific, Inc.		51,242		18,567,026
TJX Cos., Inc. (The)		27,400		1,385,344
Tyson Foods, Inc. (Class A Stock)		96,235		5,746,192
United Parcel Service, Inc. (Class B Stock)		64,838		7,208,689
Verizon Communications, Inc.		82,272		4,535,655
Walmart, Inc.		34,977		4,189,545
Walt Disney Co. (The)		26,828		2,991,590
Wells Fargo & Co.		291,963		7,474,253
Weyerhaeuser Co.		214,038		4,807,294
Zimmer Biomet Holdings, Inc.		23,101		2,757,335

SEE NOTES TO FINANCIAL STATEMENTS.

A110

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
United States (cont’d.)
Zoetis, Inc.		116,295	$	15,937,067
				685,914,986
TOTAL COMMON STOCKS (cost $821,896,425)				1,099,030,374
PREFERRED STOCKS — 0.5%
Germany — 0.1%
Porsche Automobil Holding SE (PRFC)*		17,000		984,791
United States — 0.4%
Becton, Dickinson & Co., Series B, CVT, 6.000%(a)		16,525		879,130
Elanco Animal Health, Inc., CVT, 5.000%		2,497		95,985
Sempra Energy, Series A, CVT, 6.000%		21,874		2,137,746
Sempra Energy, Series B, CVT, 6.750%(a)		4,673		459,169
Southern Co. (The), CVT, 6.750%		29,319		1,291,795
				4,863,825
TOTAL PREFERRED STOCKS (cost $6,073,671)				5,848,616
	Units
RIGHTS* — 0.0%
Australia — 0.0%
Super Retail Group Ltd., expiring 07/06/20		15,086		9,758
Spain — 0.0%
Repsol SA, expiring 07/07/20		117,700		59,797
TOTAL RIGHTS (cost $65,074)				69,555
TOTAL LONG-TERM INVESTMENTS (cost $828,035,170)				1,104,948,545

	Shares		Value
SHORT-TERM INVESTMENTS — 5.8%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		30,892,538	$	30,892,538
PGIM Institutional Money Market Fund (cost $35,806,982; includes $35,790,038 of cash collateral for securities on loan)(b)(w)		35,868,136		35,868,136
TOTAL SHORT-TERM INVESTMENTS (cost $66,699,520)				66,760,674
TOTAL INVESTMENTS — 102.7% (cost $894,734,690)				1,171,709,219
Liabilities in excess of other assets — (2.7)%				(30,862,097	)
NET ASSETS — 100.0%			$	1,140,847,122

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $35,395,801; cash collateral of $35,790,038 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

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

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Argentina	$	3,096,304	$	—	$	—
Australia		—		15,374,099		—
Austria		—		2,255,192		—
Belgium		—		2,186,007		—

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Canada	$	17,922,852	$	—	$	—
China		15,357,043		20,350,927		—
Denmark		—		16,066,482		—
Finland		—		4,006,043		—
France		7,380,166		38,817,568		—
Germany		—		29,603,177		—
Hong Kong		—		6,657,816		—
India		2,442,975		3,697,059		—
Ireland		—		4,815,957		—
Italy		—		5,093,930		—
Japan		—		67,541,385		—
Luxembourg		—		718,212		—
Netherlands		10,773,701		13,517,924		—
New Zealand		—		416,961		—
Norway		—		2,388,041		—
Portugal		—		225,256		—
Singapore		—		1,861,957		—
South Africa		—		1,111,289		—
Spain		—		5,979,537		—
Sweden		—		16,012,440		—
Switzerland		—		34,575,578		—
Taiwan		—		5,207,975		—
United Kingdom		—		57,661,535		—
United States		685,914,986		—		—
Preferred Stocks
Germany		—		984,791		—
United States		4,863,825		—		—
Rights
Australia		—		9,758		—
Spain		—		59,797		—
Affiliated Mutual Funds		66,760,674		—		—
Total	$	814,512,526	$	357,196,693	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Software	7.9	%
Health Care Equipment & Supplies	7.2
Affiliated Mutual Funds (3.1% represents investments purchased with collateral from securities on loan)	5.8
Pharmaceuticals	5.2
IT Services	5.1
Insurance	3.8
Semiconductors & Semiconductor Equipment	3.7
Banks	3.7
Machinery	3.3
Internet & Direct Marketing Retail	3.2
Oil, Gas & Consumable Fuels	3.1
Life Sciences Tools & Services	3.0
Chemicals	3.0
Capital Markets	2.9
Electronic Equipment, Instruments & Components	2.6
Equity Real Estate Investment Trusts (REITs)	2.3
Industrial Conglomerates	2.1
Entertainment	2.1

Interactive Media & Services	2.1	%
Electric Utilities	2.0
Aerospace & Defense	2.0
Food & Staples Retailing	1.9
Textiles, Apparel & Luxury Goods	1.8
Commercial Services & Supplies	1.7
Food Products	1.5
Personal Products	1.5
Beverages	1.3
Biotechnology	1.3
Professional Services	1.1
Air Freight & Logistics	1.0
Multi-Utilities	1.0
Diversified Telecommunication Services	1.0
Building Products	0.9
Media	0.7
Tobacco	0.7
Trading Companies & Distributors	0.7
Automobiles	0.7

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Industry Classification (continued):

Hotels, Restaurants & Leisure	0.7	%
Metals & Mining	0.6
Health Care Providers & Services	0.5
Containers & Packaging	0.5
Communications Equipment	0.5
Airlines	0.4
Road & Rail	0.4
Diversified Consumer Services	0.4
Household Products	0.4
Auto Components	0.4
Diversified Financial Services	0.4
Specialty Retail	0.4
Multiline Retail	0.3
Electrical Equipment	0.3
Wireless Telecommunication Services	0.3
Household Durables	0.2
Construction & Engineering	0.2

Construction Materials	0.2	%
Energy Equipment & Services	0.2
Consumer Finance	0.1
Real Estate Management & Development	0.1
Paper & Forest Products	0.1
Technology Hardware, Storage & Peripherals	0.1
Thrifts & Mortgage Finance	0.1
Gas Utilities	0.0	*
Distributors	0.0	*
Marine	0.0	*
	102.7
Liabilities in excess of other assets	(2.7	)
	100.0	%

* Less than +/- 0.05%

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

	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	$	69,555	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

For the six months ended June 30, 2020, the Portfolio did not have any net realized gain (loss) on derivatives in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)
Equity contracts	$	4,216

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A113

GLOBAL PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	35,395,801	$	(35,395,801	)	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A114

GLOBAL PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $35,395,801:
Unaffiliated investments (cost $828,035,170)	$	1,104,948,545
Affiliated investments (cost $66,699,520)		66,760,674
Foreign currency, at value (cost $2,840,762)		2,797,223
Cash		9,426
Tax reclaim receivable		2,017,670
Dividends and interest receivable		1,268,295
Receivable for investments sold		1,263,833
Receivable from affiliate		4,948
Receivable for Portfolio shares sold		306
Prepaid expenses		1,199
Total Assets		1,179,072,119
LIABILITIES
Payable to broker for collateral for securities on loan		35,790,038
Payable to affiliate		869,355
Management fee payable		668,009
Payable for investments purchased		366,546
Payable for Portfolio shares repurchased		290,458
Accrued expenses and other liabilities		239,665
Affiliated transfer agent fee payable		926
Total Liabilities		38,224,997
NET ASSETS	$	1,140,847,122
Net assets were comprised of:
Partners’ Equity	$	1,140,847,122
Net asset value and redemption price per share, $1,140,847,122 / 29,212,675 outstanding shares of beneficial interest	$	39.05

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $738,467 foreign withholding tax, of which $111,234 is reimbursable by an affiliate)	$	10,379,805
Affiliated dividend income		228,176
Income from securities lending, net (including affiliated income of $68,181)		92,924
Total income		10,700,905
EXPENSES
Management fee		4,203,401
Custodian and accounting fees		156,883
Shareholders’ reports		59,160
Audit fee		14,302
Trustees’ fees		11,587
Legal fees and expenses		7,774
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		22,528
Total expenses		4,480,947
Less: Fee waiver and/or expense reimbursement		(195,132	)
Net expenses		4,285,815
NET INVESTMENT INCOME (LOSS)		6,415,090
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(34,885))		32,291,249
Foreign currency transactions		(136,505	)
		32,154,744
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $52,112)		(115,249,788	)
Foreign currencies		(66,486	)
		(115,316,274	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(83,161,530	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(76,746,440	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	6,415,090		$	16,320,560
Net realized gain (loss) on investment and foreign currency transactions		32,154,744			49,044,379
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(115,316,274	)		235,305,845
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(76,746,440	)		300,670,784
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [162,916 and 589,747 shares, respectively]		6,025,228			22,043,834
Portfolio shares repurchased [1,405,213 and 1,764,963 shares, respectively]		(52,119,862	)		(65,786,251	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(46,094,634	)		(43,742,417	)
CAPITAL CONTRIBUTIONS		—			85,664
TOTAL INCREASE (DECREASE)		(122,841,074	)		257,014,031
NET ASSETS:
Beginning of period		1,263,688,196			1,006,674,165
End of period	$	1,140,847,122		$	1,263,688,196

SEE NOTES TO FINANCIAL STATEMENTS.

A115

GOVERNMENT INCOME PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 101.0%
ASSET-BACKED SECURITIES — 10.5%
Collateralized Loan Obligations
AGL Core CLO Ltd. (Cayman Islands),
Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
2.525%(c)		04/20/32		1,000	$	986,459
Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%)
2.893%(c)		04/20/28		2,000		2,001,329
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.436%(c)		07/16/29		1,243		1,227,189
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)
2.476%(c)		01/16/30		250		244,844
Battalion CLO Ltd.,
Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)
3.012%(c)		01/17/33		2,500		2,451,327
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),
Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)
2.455%(c)		01/20/32		750		733,395
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
2.358%(c)		04/22/30		1,990		1,921,127
Elevation CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
2.439%(c)		07/15/30		2,000		1,956,796
Mountain View CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%)
2.709%(c)		04/15/29		2,000		1,970,797
Octagon Investment Partners 45 Ltd. (Cayman Islands),
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)
2.549%(c)		10/15/32		2,250		2,225,607
OZLM Ltd. (Cayman Islands),
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
2.010%(c)		10/30/30		3,728		3,623,473
Race Point CLO Ltd. (Cayman Islands),
Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
2.429%(c)		10/15/30		1,000		975,314
Sound Point CLO Ltd. (Cayman Islands),
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
2.293%(c)		10/23/31		1,000		966,961
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%)
2.505%(c)		01/20/32		1,000		979,147
Trimaran Cavu Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)
2.595%(c)		07/20/32		2,500		2,471,746

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%)
2.195%(c)		10/20/29		1,250	$	1,220,965
TOTAL ASSET-BACKED SECURITIES (cost $25,766,328)						25,956,476
COMMERCIAL MORTGAGE-BACKED SECURITIES — 19.0%
Barclays Commercial Mortgage Trust,
Series 2019-C04, Class A4
2.661%		08/15/52		3,000		3,207,491
CD Mortgage Trust,
Series 2019-CD08, Class A3
2.657%		08/15/57		4,000		4,276,873
Fannie Mae-Aces,
Series 2012-M02, Class A2
2.717%		02/25/22		110		112,313
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		288		308,932
Series 2015-M10, Class A2
3.092%(cc)		04/25/27		1,600		1,780,252
Series 2015-M17, Class A2
3.015%(cc)		11/25/25		1,458		1,594,197
Series 2016-M11, Class A2
2.369%(cc)		07/25/26		1,200		1,291,620
Series 2016-M13, Class A2
2.565%(cc)		09/25/26		2,100		2,221,195
Series 2018-M14, Class A1
3.697%(cc)		08/25/28		882		983,421
Series 2019-M01, Class A2
3.673%(cc)		09/25/28		1,100		1,288,317
FHLMC Multifamily Structured Pass-Through Certificates,
Series K0019, Class X1, IO
1.730%(cc)		03/25/22		15,306		346,788
Series K0020, Class X1, IO
1.498%(cc)		05/25/22		8,047		170,298
Series K0021, Class X1, IO
1.548%(cc)		06/25/22		8,703		191,684
Series K0025, Class X1, IO
0.934%(cc)		10/25/22		24,365		380,314
Series K0060, Class AM
3.300%(cc)		10/25/26		1,930		2,185,717
Series K0064, Class AM
3.327%(cc)		03/25/27		1,100		1,250,341
Series K0068, Class AM
3.315%		08/25/27		1,700		1,948,918
Series K0076, Class AM
3.900%		04/25/28		425		506,624
Series K0077, Class A2
3.850%(cc)		05/25/28		900		1,073,021
Series K0077, Class AM
3.850%(cc)		05/25/28		180		214,479
Series K0078, Class AM
3.920%		06/25/28		525		627,369
Series K0079, Class AM
3.930%		06/25/28		675		807,056

SEE NOTES TO FINANCIAL STATEMENTS.

A116

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K0080, Class AM
3.986%(cc)		07/25/28		1,900	$	2,273,119
Series K0081, Class AM
3.900%(cc)		08/25/28		1,500		1,788,283
Series K0083, Class AM
4.030%(cc)		10/25/28		250		302,380
Series K0084, Class AM
3.880%(cc)		10/25/28		1,300		1,541,582
Series K0085, Class AM
4.060%(cc)		10/25/28		650		785,474
Series K0086, Class A2
3.859%(cc)		11/25/28		1,400		1,688,870
Series K0086, Class AM
3.919%(cc)		12/25/28		200		241,359
Series K0087, Class AM
3.832%(cc)		12/25/28		200		239,226
Series K0088, Class AM
3.761%(cc)		01/25/29		520		621,598
Series K0090, Class AM
3.492%(cc)		03/25/29		800		941,225
Series K0091, Class AM
3.566%		03/25/29		850		1,006,848
Series K0151, Class A3
3.511%		04/25/30		400		469,941
Series K0152, Class A2
3.080%		01/25/31		140		162,675
Series K0157, Class A2
3.990%(cc)		05/25/33		1,700		2,103,139
Series K0157, Class A3
3.990%(cc)		08/25/33		280		356,697
Series K0158, Class A2
3.900%(cc)		12/25/30		700		860,738
Series K1514, Class A2
2.859%		10/25/34		2,720		3,137,944
Series KC03, Class A2
3.499%		01/25/26		650		711,948
Series W5FX, Class AFX
3.336%(cc)		04/25/28		1,100		1,249,584
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $41,964,302)						47,249,850
CORPORATE BONDS — 1.2%
Diversified Financial Services
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,655		1,680,414
U.S. Gov’t. Gtd. Notes, Series BB
4.300%		12/15/21		1,255		1,324,568
TOTAL CORPORATE BONDS (cost $2,954,224)						3,004,982
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2%
Government National Mortgage Assoc.,
Series 2015-143, Class WA
4.000%		10/20/45		465		509,754

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.310%)
0.805%(c)		10/25/28		13	$	12,468
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.765%(cc)		02/25/34		57		54,686
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $558,844)						576,908
U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.8%
Fannie Mae Principal Strip, MTN
2.001%(s)		10/08/27		350		326,570
Federal Home Loan Bank
3.250%		11/16/28		1,025		1,221,102
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		253		262,791
2.500%		03/01/30		451		479,346
3.000%		06/01/29		317		337,420
3.000%		01/01/37		664		702,838
3.000%		06/01/45		373		395,810
3.000%		01/01/48		724		762,638
3.500%		12/01/32		578		612,070
3.500%		07/01/42		531		574,642
3.500%		10/01/42		847		914,210
3.500%		08/01/43		1,030		1,113,604
3.500%		09/01/45		398		427,484
3.500%		10/01/45		447		478,003
3.500%		02/01/47		431		457,436
3.500%		07/01/47		1,087		1,150,246
3.500%		03/01/48		1,392		1,473,903
4.000%		06/01/26		39		41,810
4.000%		09/01/26		148		156,459
4.000%		09/01/40		306		334,451
4.000%		12/01/40		328		359,618
4.000%		12/01/40		343		375,981
4.000%		11/01/43		623		684,867
4.500%		09/01/39		1,120		1,244,989
4.500%		08/01/48		555		596,614
5.000%		06/01/33		244		277,128
5.000%		05/01/34		221		253,139
5.500%		05/01/37		45		51,985
5.500%		02/01/38		151		173,688
5.500%		05/01/38		64		72,848
6.000%		09/01/34		69		76,621
6.000%		01/01/37		69		80,533
6.000%		09/01/38		43		50,742
6.000%		08/01/39		51		59,141
6.250%		07/15/32		30		47,130
6.500%		09/01/32		20		23,189
Federal Home Loan Mortgage Corp., MTN
1.846%(s)		11/15/38		600		424,226
Federal National Mortgage Assoc.
2.000%		08/01/31		244		253,217
2.000%		10/01/34		106		109,289
2.500%		TBA		3,000		3,120,500

SEE NOTES TO FINANCIAL STATEMENTS.

A117

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
2.500%		03/01/24		56	$	58,850
2.500%		06/01/28		1,390		1,480,549
2.500%		06/01/34		579		606,739
2.500%		02/01/43		172		181,875
2.500%		12/01/46		619		655,650
3.000%		TBA		2,000		2,102,822
3.000%		02/01/31		789		829,307
3.000%		11/01/36		614		646,646
3.000%		03/01/43		820		878,656
3.000%		07/01/43		755		815,899
3.000%		07/01/43		920		985,162
3.000%		09/01/46		970		1,023,635
3.000%		11/01/46		380		401,897
3.000%		11/01/46		502		529,903
3.000%		12/01/47		1,097		1,168,021
3.000%		06/01/50		590		621,630
3.500%		07/01/31		845		902,952
3.500%		02/01/33		164		172,977
3.500%		06/01/39		243		262,044
3.500%		04/01/42		415		451,316
3.500%		06/01/42		723		786,624
3.500%		07/01/42		432		465,188
3.500%		07/01/42		766		833,112
3.500%		06/01/45		1,504		1,608,073
3.500%		07/01/46		722		767,545
3.500%		12/01/46		369		392,551
3.500%		12/01/46		861		930,474
3.500%		11/01/48		1,112		1,176,418
4.000%		09/01/40		1,129		1,233,626
4.000%		06/01/42		849		931,915
4.000%		09/01/44		590		643,699
4.000%		09/01/44		946		1,031,437
4.000%		04/01/45		540		582,759
4.000%		07/01/45		511		548,641
4.000%		10/01/45		706		762,361
4.000%		10/01/46		243		260,781
4.000%		02/01/47		301		320,325
4.000%		06/01/47		406		433,436
4.000%		07/01/47		436		464,372
4.000%		10/01/47		1,223		1,303,096
4.000%		11/01/47		326		347,436
4.000%		11/01/47		553		589,547
4.500%		05/01/40		1,640		1,826,189
4.500%		04/01/42		621		690,669
5.000%		12/01/31		25		27,492
5.000%		03/01/34		274		314,697
5.000%		06/01/35		120		138,187
5.000%		07/01/35		61		70,209
5.000%		05/01/36		81		93,549
5.500%		02/01/34		198		227,276
5.500%		09/01/34		198		226,652
5.500%		02/01/35		202		229,894
5.500%		06/01/35		34		37,837
5.500%		06/01/35		104		115,249
5.500%		09/01/35		37		40,956
5.500%		09/01/35		98		109,357
5.500%		10/01/35		206		235,301
5.500%		11/01/35		102		112,491

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		11/01/35			252		$	283,762
5.500%		11/01/35			373			428,665
6.000%		05/01/21			3			3,452
6.000%		12/01/33			10			11,260
6.000%		02/01/34			94			109,270
6.000%		08/01/34			—	(r)		424
6.000%		11/01/34			—	(r)		542
6.000%		12/01/34			1			1,010
6.000%		01/01/35			20			21,861
6.000%		01/01/36			59			65,883
6.000%		05/01/38			36			42,251
6.500%		07/01/32			160			189,690
6.500%		08/01/32			66			74,890
6.500%		10/01/32			209			250,794
6.500%		10/01/37			103			123,329
6.625%		11/15/30			435			672,842
7.000%		12/01/31			—	(r)		508
7.000%		12/01/31			67			78,800
7.000%		01/01/36			16			18,454
8.000%		10/01/23			—	(r)		101
8.000%		09/01/24			1			808
8.000%		11/01/24			1			933
8.000%		01/01/26			—	(r)		220
9.000%		02/01/25			6			6,745
9.000%		04/01/25			3			3,351
Government National Mortgage Assoc.
2.500%		TBA			1,000			1,050,078
2.500%		TBA	(tt)		4,500			4,735,020
2.500%		12/20/46			235			248,638
3.000%		03/15/45			1,229			1,300,456
3.000%		07/20/46			1,114			1,184,929
3.000%		09/20/46			1,189			1,263,671
3.000%		10/20/46			295			313,595
3.000%		04/20/47			1,242			1,319,470
3.000%		12/20/48			825			876,838
3.000%		04/20/49			935			992,080
3.500%		01/20/43			905			983,676
3.500%		04/20/43			438			476,520
3.500%		03/20/45			705			755,129
3.500%		04/20/45			587			628,304
3.500%		04/20/46			986			1,057,345
3.500%		07/20/46			1,514			1,619,982
3.500%		07/20/48			1,444			1,534,269
3.500%		11/20/48			383			404,629
3.500%		01/20/49			615			652,208
4.000%		06/15/40			153			165,747
4.000%		08/20/46			574			618,627
4.000%		11/20/46			351			377,433
4.000%		09/20/47			579			620,150
4.000%		02/20/49			1,009			1,071,431
4.500%		02/20/41			428			477,625
4.500%		03/20/41			365			400,102
4.500%		06/20/44			272			298,513
4.500%		09/20/46			341			370,927
4.500%		11/20/46			673			736,433
4.500%		01/20/47			84			92,008
5.000%		07/15/33			120			137,506
5.000%		09/15/33			175			198,410

SEE NOTES TO FINANCIAL STATEMENTS.

A118

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%		04/15/34			77		$	83,966
5.000%		10/20/48			216			236,537
5.500%		03/15/34			229			266,556
5.500%		03/15/36			50			58,087
6.500%		07/15/32			16			18,316
6.500%		08/15/32			2			2,308
6.500%		08/15/32			3			3,484
6.500%		08/15/32			11			12,793
6.500%		08/15/32			76			91,110
7.000%		05/15/23			2			2,123
7.000%		06/15/23			1			605
7.000%		06/15/23			3			2,881
7.000%		06/15/23			5			5,379
7.000%		07/15/23			—	(r)		354
7.000%		07/15/23			8			8,431
7.000%		08/15/23			1			1,436
7.000%		08/15/23			3			3,369
7.000%		09/15/23			1			907
7.000%		10/15/23			2			1,786
7.000%		10/15/23			2			1,889
7.000%		11/15/23			2			2,158
7.000%		11/15/23			5			5,653
7.000%		01/15/24			35			37,105
7.000%		05/15/24			26			27,211
7.000%		08/15/28			32			37,845
7.500%		12/15/25			2			1,672
7.500%		12/15/25			23			25,687
7.500%		02/15/26			5			4,557
8.500%		09/15/24			36			38,631
8.500%		04/15/25			4			4,536
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes
2.903%(s)		11/15/25			450			419,282
2.938%(s)		05/15/26			440			405,939
2.975%(s)		02/15/26			325			304,948
5.500%		09/18/33			300			447,949
Residual Funding Corp., Principal Strip, Bonds, PO
1.875%(s)		01/15/30			285			252,099
3.143%(s)		04/15/30			2,305			2,024,589
Resolution Funding Corp., Interest Strip, Bonds
1.636%(s)		04/15/28			500			457,191
2.197%(s)		01/15/30			140			123,629
2.477%(s)		01/15/29			300			266,993
3.624%(s)		04/15/30			500			437,159
Tennessee Valley Authority, Sr. Unsec’d. Notes
0.750%		05/15/25			325			329,053
2.875%		02/01/27			175			197,233
5.880%		04/01/36			230			357,727
6.750%		11/01/25			510			672,950
7.125%		05/01/30			530			821,100
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $89,591,885)								94,101,036
U.S. TREASURY OBLIGATIONS — 32.3%
U.S. Treasury Bonds
2.875%		05/15/43	(a)(k)		4,290			5,601,131
3.000%		11/15/44			170			227,534
3.125%		02/15/43			130			176,191
3.625%		08/15/43			6,090			8,892,352

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
3.750%		11/15/43	(a)		21,640	$	32,199,644
U.S. Treasury Notes
0.625%		05/15/30			150		149,531
2.375%		08/15/24			6,980		7,591,295
U.S. Treasury Strips Coupon
0.807%(s)		11/15/29			15		13,951
1.225%(s)		02/15/41			130		98,120
1.351%(s)		08/15/43			205		144,893
1.374%(s)		05/15/42			380		277,548
1.450%(s)		08/15/42			60		43,587
1.463%(s)		11/15/42			155		111,800
1.488%(s)		11/15/41			730		539,630
1.982%(s)		08/15/39			2,120		1,651,778
1.990%(s)		02/15/39			2,900		2,280,918
2.010%(s)		08/15/30			1,060		974,165
2.022%(s)		02/15/37			240		197,194
2.056%(s)		11/15/38			345		273,062
2.169%(s)		05/15/39			990		775,990
2.172%(s)		02/15/28	(k)		550		523,897
2.334%(s)		08/15/41	(a)		3,115		2,319,093
2.353%(s)		02/15/44			780		544,598
2.365%(s)		05/15/44			2,860		1,982,338
2.370%(s)		05/15/29			565		530,107
2.380%(s)		05/15/41			1,855		1,389,221
2.434%(s)		11/15/45			345		232,767
2.436%(s)		02/15/46			390		261,498
2.506%(s)		11/15/43	(a)		4,315		3,031,456
2.741%(s)		08/15/27			2,575		2,464,858
2.763%(s)		08/15/29			500		467,402
2.856%(s)		05/15/31			500		454,473
3.018%(s)		11/15/35			695		586,189
3.176%(s)		08/15/40			800		608,625
4.096%(s)		02/15/42	(k)		3,725		2,732,928
TOTAL U.S. TREASURY OBLIGATIONS (cost $70,317,170)							80,349,764
TOTAL LONG-TERM INVESTMENTS (cost $231,152,753)							251,239,016
				Shares
SHORT-TERM INVESTMENTS — 18.7%
AFFILIATED MUTUAL FUNDS — 18.5%
PGIM Core Ultra Short Bond Fund(w)					8,408,183		8,408,183
PGIM Institutional Money Market Fund (cost $37,762,502; includes $37,748,707 of cash collateral for securities on loan)(b)(w)					37,777,617		37,777,617
TOTAL AFFILIATED MUTUAL FUNDS (cost $46,170,685)							46,185,800
OPTIONS PURCHASED*~ — 0.2%
(cost $61,600)							429,333
TOTAL SHORT-TERM INVESTMENTS (cost $46,232,285)							46,615,133
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—119.7%
(cost $277,385,038)							297,854,149

SEE NOTES TO FINANCIAL STATEMENTS.

A119

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Value
OPTION WRITTEN*~ — (0.0)%
(premiums received $33,206)	$	(11,250	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—119.7%
(cost $277,351,832)		297,842,899
Liabilities in excess of other assets(z) — (19.7)%		(49,028,655	)
NET ASSETS — 100.0%	$	248,814,244

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

* Non-income producing security.

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

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

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,772,386; cash collateral of $37,748,707 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

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

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

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

(tt) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 4,500,000 is 1.8% of net assets.

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

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

Options Purchased:

Exchange Traded

Description	Call/ Put		Expiration Date		Strike	Contracts		Notional Amount (000)#		Value
10 Year U.S. Treasury Notes Futures		Call		07/24/20	$140.00		120		120	$	24,375
10 Year U.S. Treasury Notes Futures		Call		07/24/20	$143.00		240		240		7,500
Total Exchange Traded (cost $54,591)										$	31,875

OTC Traded

Description	Call/ Put		Counterparty	Expiration Date	Strike			Contracts		Notional Amount (000)#		Value
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/12/21		0.11	%		—		1,227	$	27,382
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	07/13/21		0.11	%		—		1,193		26,563
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/16/21		0.15	%		—		2,982		63,004
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	08/20/21		0.15	%		—		5,920		125,332
2-Year 10 CMS Curve CAP		Call	Bank of America, N.A.	09/13/21		0.14	%		—		6,000		131,395
2-Year 10 CMS Curve CAP		Call	Barclays Bank PLC	11/09/21		0.21	%		—		1,193		23,782
Total OTC Traded (cost $7,009)												$	397,458
Total Options Purchased (cost $61,600)												$	429,333

Options Written:

Exchange Traded

Description

Call/ Put

Expiration Date

Strike

Contracts

Notional Amount (000)#

Value

10 Year U.S. Treasury Notes Futures

Call

07/24/20

$142.00

360

360

$

(11,250

)

(premiums received $33,206)

SEE NOTES TO FINANCIAL STATEMENTS.

A120

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Futures contracts outstanding at June 30, 2020:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value/ Unrealized Appreciation (Depreciation)
Long Positions:
275		5 Year U.S. Treasury Notes		Sep. 2020	$	34,579,102	$	69,012
8		10 Year U.S. Ultra Treasury Notes		Sep. 2020		1,259,875		5,747
								74,759
Short Positions:
13		2 Year U.S. Treasury Notes		Sep. 2020		2,870,766		(698	)
119		10 Year U.S. Treasury Notes		Sep. 2020		16,561,454		(57,959	)
302		20 Year U.S. Treasury Bonds		Sep. 2020		53,925,875		(238,925	)
23		30 Year U.S. Ultra Treasury Bonds		Sep. 2020		5,017,594		(61,334	)
								(358,916	)
							$	(284,157	)

Interest rate swap agreements outstanding at June 30, 2020:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	12,354		06/15/21		1.830%(S)	3 Month LIBOR(2)(Q)	$	—		$	193,123		$	193,123
	20,373		09/15/21		1.381%(S)	3 Month LIBOR(2)(Q)		(26,376	)		358,290			384,666
	13,720		09/15/21		1.480%(S)	3 Month LIBOR(2)(Q)		8,070			261,624			253,554
	23,760		09/15/21		1.604%(S)	3 Month LIBOR(2)(Q)		26,781			497,406			470,625
	1,350		08/09/49		1.508%(A)	1 Day USOIS(1)(A)		(107,931	)		(306,196	)		(198,265	)
							$	(99,456	)	$	1,004,247		$	1,103,703

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

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

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

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

Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	2,826,632

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	25,956,476	$	—
Commercial Mortgage-Backed Securities		—		47,249,850		—
Corporate Bonds		—		3,004,982		—
Residential Mortgage-Backed Securities		—		576,908		—
U.S. Government Agency Obligations		—		94,101,036		—

SEE NOTES TO FINANCIAL STATEMENTS.

A121

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1			Level 2			Level 3
Investments in Securities (continued)
Assets (continued)
U.S. Treasury Obligations	$	—		$	80,349,764		$	—
Affiliated Mutual Funds		46,185,800			—			—
Options Purchased		31,875			397,458			—
Total	$	46,217,675		$	251,636,474		$	—
Liabilities
Option Written	$	(11,250	)	$	—		$	—
Other Financial Instruments*
Assets
Futures Contracts	$	74,759		$	—		$	—
Centrally Cleared Interest Rate Swap Agreements		—			1,301,968			—
Total	$	74,759		$	1,301,968		$	—
Liabilities
Futures Contracts	$	(358,916	)	$	—		$	—
Centrally Cleared Interest Rate Swap Agreement		—			(198,265	)		—
Total	$	(358,916	)	$	(198,265	)	$	—

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

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

U.S. Government Agency Obligations	37.8	%
U.S. Treasury Obligations	32.3
Commercial Mortgage-Backed Securities	19.0
Affiliated Mutual Funds (15.2% represents investments purchased with collateral from securities on loan)	18.5
Collateralized Loan Obligations	10.5
Diversified Financial Services	1.2
Residential Mortgage-Backed Securities	0.2

Options Purchased	0.2	%
	119.7
Option Written	(0.0	)*
Liabilities in excess of other assets	(19.7	)
	100.0	%

* Less than +/- 0.05%

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Due from/to broker-variation margin futures	$	74,759	*	Due from/to broker-variation margin futures	$	358,916	*
Interest rate contracts	Due from/to broker-variation margin swaps		1,301,968	*	Due from/to broker-variation margin swaps		198,265
Interest rate contracts	Unaffiliated investments		429,333		Options written outstanding, at value		11,250
		$	1,806,060			$	568,431

* 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.

A122

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Swaps
Interest rate contracts	$	(67,112	)	$	24,607	$	(2,614,470	)	$	(6,797,136	)

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)		Options Written		Futures			Swaps
Interest rate contracts	$	186,877	$	21,956	$	(938,576	)	$	3,943,213

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

For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)
$47,577	$165,333	$66,748,791	$96,250,508

Interest Rate
Swap
Agreements(2)

$107,020,933

(1) Cost.

(2) Notional Amount in USD.

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	36,772,386	$	(36,772,386	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)		Net Amounts of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	319,731	$	—	$	319,731	$	(270,000	)	$	49,731
Barclays Bank PLC		77,727		—		77,727		—			77,727
	$	397,458	$	—	$	397,458	$	(270,000	)	$	127,458

SEE NOTES TO FINANCIAL STATEMENTS.

A123

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A124

GOVERNMENT INCOME PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $36,772,386:
Unaffiliated investments (cost $231,214,353)	$	251,668,349
Affiliated investments (cost $46,170,685)		46,185,800
Cash		9,067
Receivable for investments sold		4,730,589
Interest receivable		855,328
Due from broker-variation margin futures		173,003
Due from broker-variation margin swaps		20,490
Receivable for Portfolio shares sold		12,948
Prepaid expenses and other assets		8,784
Total Assets		303,664,358
LIABILITIES
Payable to broker for collateral for securities on loan		37,748,707
Payable for investments purchased		16,850,993
Accrued expenses and other liabilities		114,933
Management fee payable		81,426
Payable for Portfolio shares repurchased		41,879
Options written outstanding, at value (proceeds received $33,206)		11,250
Affiliated transfer agent fee payable		926
Total Liabilities		54,850,114
NET ASSETS	$	248,814,244
Net assets were comprised of:
Partners’ Equity	$	248,814,244
Net asset value and redemption price per share, $248,814,244 / 17,283,159 outstanding shares of beneficial interest	$	14.40

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	2,862,698
Affiliated dividend income		55,910
Affiliated income from securities lending, net		14,534
Total income		2,933,142
EXPENSES
Management fee		486,141
Shareholders’ reports		47,918
Custodian and accounting fees		46,440
Audit fee		17,783
Legal fees and expenses.		6,156
Trustees’ fees		6,107
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		7,956
Total expenses		623,813
NET INVESTMENT INCOME (LOSS)		2,309,329
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $147,150)		1,650,093
Futures transactions		(2,614,470	)
Options written transactions		24,607
Swap agreements transactions		(6,797,136	)
		(7,736,906	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(163,837))		17,231,301
Futures		(938,576	)
Options written		21,956
Swap agreements		3,943,213
		20,257,894
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		12,520,988
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	14,830,317

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	2,309,329		$	5,492,268
Net realized gain (loss) on investment transactions		(7,736,906	)		8,921,459
Net change in unrealized appreciation (depreciation) on investments		20,257,894			719,183
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		14,830,317			15,132,910
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [612,569 and 2,289,238 shares, respectively]		8,661,546			29,826,157
Portfolio shares repurchased [946,424 and 2,084,878 shares, respectively]		(13,270,864	)		(27,448,072	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(4,609,318	)		2,378,085
TOTAL INCREASE (DECREASE)		10,220,999			17,510,995
NET ASSETS:
Beginning of period		238,593,245			221,082,250
End of period	$	248,814,244		$	238,593,245

SEE NOTES TO FINANCIAL STATEMENTS.

A125

GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
REPURCHASE AGREEMENT(m) — 0.4%
Bank of America Securities, Inc., 0.09%, dated 06/30/20, due 07/01/20 in the amount of $3,056,008 (amortized cost $3,056,000)				3,056	$	3,056,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 59.1%
Federal Farm Credit Bank, 1 Month LIBOR + (0.015)% (Cap N/A, Floor 0.000%)
0.156%(c)		09/01/20		6,000		6,001,560
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%)
0.140%(c)		07/21/20		7,000		7,000,016
Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%)
0.123%(c)		02/03/21		7,000		7,000,000
Federal Farm Credit Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%)
0.180%(c)		07/09/20		5,000		4,999,995
0.185%(c)		09/25/20		4,500		4,499,825
Federal Farm Credit Bank, 1 Month LIBOR + 0.010% (Cap N/A, Floor 0.000%)
0.201%(c)		08/12/20		6,000		5,999,965
Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%)
0.295%(c)		03/25/21		6,000		5,999,424
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%)
0.120%(c)		02/09/21		8,000		8,000,000
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor 0.000%)
0.160%(c)		01/14/21		1,500		1,500,000
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.105% (Cap N/A, Floor 0.000%)
0.185%(c)		01/15/21		6,000		6,000,000
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.110% (Cap N/A, Floor 0.000%)
0.190%(c)		05/18/21		6,000		6,000,000
Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030% (Cap N/A, Floor 0.000%)
0.110%(c)		07/28/20		5,000		5,000,000
Federal Home Loan Bank
0.110%(n)		07/31/20		2,000		1,999,817
0.120%(n)		08/26/20		2,000		1,999,627
0.121%(n)		08/21/20		6,000		5,998,971
0.145%		09/22/20		6,000		6,000,000
0.147%(n)		09/25/20		8,000		7,997,191
0.150%(n)		09/23/20		10,000		9,996,500
0.160%(n)		08/24/20		1,100		1,099,736
0.165%(n)		09/02/20		3,800		3,798,903
0.165%(n)		09/11/20		4,775		4,773,424
0.240%(n)		08/04/20		7,000		6,998,413
0.260%(n)		07/15/20		7,000		6,999,292
0.270%(n)		09/18/20		7,000		6,995,852
0.303%(n)		09/01/20		17,000		16,991,148
0.308%(n)		07/10/20		8,000		7,999,385
1.750%		08/26/20		5,500		5,499,987
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%)
0.164%(c)		04/05/21		8,000		8,000,000

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
0.174%(c)		08/28/20		12,000	$	12,000,497
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%)
0.161%(c)		08/12/20		8,000		7,999,495
Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%)
0.177%(c)		05/10/21		8,000		8,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.120)% (Cap N/A, Floor 0.000%)
0.436%(c)		11/03/20		6,000		6,000,289
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%)
0.110%(c)		07/17/20		2,000		2,000,000
0.110%(c)		09/04/20		7,000		7,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%)
0.120%(c)		08/25/20		4,500		4,500,063
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%)
0.125%(c)		08/14/20		9,000		9,000,000
0.125%(c)		09/28/20		2,000		2,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050% (Cap N/A, Floor 0.000%)
0.130%(c)		01/22/21		13,000		12,999,036
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%)
0.155%(c)		06/11/21		7,000		6,990,281
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor 0.000%)
0.160%(c)		03/04/21		15,000		15,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.085% (Cap N/A, Floor 0.000%)
0.165%(c)		09/11/20		13,000		13,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.090% (Cap N/A, Floor 0.000%)
0.170%(c)		11/20/20		5,000		5,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.100% (Cap N/A, Floor 0.000%)
0.180%(c)		09/15/20		7,000		7,000,000
0.180%(c)		12/24/20		7,500		7,500,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%)
0.200%(c)		10/07/20		2,500		2,500,000
0.200%(c)		12/11/20		5,000		5,000,000
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.160% (Cap N/A, Floor 0.000%)
0.240%(c)		05/07/21		5,000		5,002,156
Federal Home Loan Mortgage Corp.
0.120%(n)		08/19/20		7,000		6,998,857
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.020% (Cap N/A, Floor 0.000%)
0.100%(c)		07/10/20		13,000		12,999,886
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.025% (Cap N/A, Floor 0.000%)
0.105%(c)		02/26/21		7,000		7,000,000
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%)
0.110%(c)		01/22/21		6,000		5,997,453
0.110%(c)		02/05/21		6,000		5,997,826

SEE NOTES TO FINANCIAL STATEMENTS.

A126

GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
0.110%(c)		02/19/21		5,000	$	4,999,030
0.110%(c)		02/24/21		7,000		7,000,000
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%)
0.120%(c)		09/10/20		6,000		6,000,000
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%)
0.125%(c)		08/27/21		3,000		3,000,000
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.400% (Cap N/A, Floor 0.000%)
0.480%(c)		10/21/21		5,000		5,000,000
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060% (Cap N/A, Floor 0.000%)
0.140%(c)		07/30/20		2,000		2,000,000
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.070% (Cap N/A, Floor 0.000%)
0.150%(c)		12/11/20		7,000		6,995,258
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%)
0.155%(c)		10/30/20		6,000		5,999,799
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%)
0.200%(c)		03/16/21		6,000		6,000,000
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (amortized cost $395,628,957)						395,628,957
U.S. TREASURY OBLIGATIONS(n) — 41.5%
U.S. Cash Management Bill
0.131%		09/08/20		6,000		5,998,494
0.165%		12/01/20		8,000		7,994,390
0.170%		11/03/20		6,000		5,996,458
0.180%		11/10/20		6,500		6,495,710
0.190%		11/17/20		5,000		4,996,332
0.245%		09/15/20		7,000		6,996,379
U.S. Treasury Bills
0.053%		10/01/20		17,000		16,994,667
0.078%		07/02/20		12,000		11,999,974
0.104%		07/21/20		12,000		11,999,306
0.108%		07/14/20		7,000		6,999,727

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS(n) (continued)
0.114%		07/07/20		21,500	$	21,499,590
0.117%		08/06/20		7,000		6,999,181
0.118%		08/04/20		15,000		14,998,331
0.120%		07/09/20		6,000		5,999,840
0.123%		08/13/20		8,000		7,998,825
0.130%		08/25/20		8,000		7,998,411
0.132%		08/27/20		18,000		17,996,228
0.137%		07/28/20		12,000		11,998,768
0.148%		09/03/20		24,000		23,993,698
0.155%		11/12/20		5,000		4,997,115
0.156%		07/23/20		8,000		7,999,237
0.159%		09/24/20		21,000		20,992,122
0.160%		08/11/20		5,000		4,999,089
0.160%		09/10/20		8,000		7,997,476
0.175%		10/22/20		7,000		6,996,155
0.178%		09/17/20		6,000		5,997,686
0.220%		10/08/20		5,000		4,996,975
0.305%		07/16/20		7,000		6,999,110
TOTAL U.S. TREASURY OBLIGATIONS (amortized cost $277,929,274)						277,929,274
TOTAL INVESTMENTS — 101.0% (amortized cost $676,614,231)						676,614,231
Liabilities in excess of other assets — (1.0)%						(6,867,926	)
NET ASSETS — 100.0%					$	669,746,305

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

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.

(m) The Repurchase Agreement is collateralized by FHLB (coupon rate 3.150%, maturity date 07/17/34), with the value, including accrued interest, of $3,121,440.

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

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Repurchase Agreement	$	—	$	3,056,000	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A127

GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
U.S. Government Agency Obligations	$	—	$	395,628,957	$	—
U.S. Treasury Obligations		—		277,929,274		—
Total	$	—	$	676,614,231	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

U.S. Government Agency Obligations	59.1	%
U.S. Treasury Obligations	41.5
Repurchase Agreement	0.4
	101.0
Liabilities in excess of other assets	(1.0	)
	100.0	%

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Counterparty		Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Repurchase Agreement		Bank of America Securities, Inc.	$	3,056,000	$	(3,056,000	)	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A128

GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments, at amortized cost which approximates fair value:	$	676,614,231
Cash		476
Receivable for Portfolio shares sold		1,628,262
Interest receivable		79,224
Prepaid expenses		587
Total Assets		678,322,780
LIABILITIES
Payable for investments purchased		7,996,967
Payable for Portfolio shares repurchased		411,398
Accrued expenses and other liabilities		86,103
Management fee payable		81,081
Affiliated transfer agent fee payable		926
Total Liabilities		8,576,475
NET ASSETS	$	669,746,305
Net assets were comprised of:
Partners’ Equity	$	669,746,305
Class I:
Net asset value and redemption price per share, $656,509,855 / 65,648,226 outstanding shares of beneficial interest	$	10.00
Class III:
Net asset value and redemption price per share, $13,236,450 / 1,323,645 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
Interest income	$	2,685,423
EXPENSES
Management fee		923,601
Distribution fee—Class III		1,296
Shareholders’ reports		52,160
Custodian and accounting fees		40,707
Audit fee		12,478
Trustees’ fees		8,057
Legal fees and expenses		6,473
Transfer agent’s fees and expenses (including affiliated expense of $2,886)		5,311
Miscellaneous		7,749
Total expenses		1,057,832
Less: Fee waivers and/or expense reimbursement		(135,849	)
Less: Distribution fee waiver		(1,296	)
Net expenses		920,687
NET INVESTMENT INCOME (LOSS)		1,764,736
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions		25,701
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,790,437

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	1,764,736		$	10,597,982
Net realized gain (loss) on investment transactions		25,701			59,675
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,790,437			10,657,657
DISTRIBUTIONS
Class I		(1,790,426	)		(10,650,252	)
Class III		(11	)		—
		(1,790,437	)		(10,650,252	)
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		323,417,774			518,391,129
Portfolio shares issued in reinvestment of distributions		1,790,437			10,650,252
Portfolio shares repurchased		(255,013,672	)		(465,881,208	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		70,194,539			63,160,173
TOTAL INCREASE (DECREASE)		70,194,539			63,167,578
NET ASSETS:
Beginning of period		599,551,766			536,384,188
End of period	$	669,746,305		$	599,551,766

SEE NOTES TO FINANCIAL STATEMENTS.

A129

STOCK INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
LONG-TERM INVESTMENTS — 97.9%
COMMON STOCKS — 97.5%
Aerospace & Defense — 1.7%
Boeing Co. (The)		93,536	$	17,145,149
General Dynamics Corp.		41,300		6,172,698
Howmet Aerospace, Inc.		69,992		1,109,373
Huntington Ingalls Industries, Inc.		7,400		1,291,226
L3Harris Technologies, Inc.		38,980		6,613,737
Lockheed Martin Corp.		43,758		15,968,169
Northrop Grumman Corp.		27,726		8,524,081
Raytheon Technologies Corp.		258,148		15,907,080
Teledyne Technologies, Inc.*		5,500		1,710,225
Textron, Inc.		41,450		1,364,120
TransDigm Group, Inc.(a)		8,800		3,890,040
				79,695,898
Air Freight & Logistics — 0.5%
C.H. Robinson Worldwide, Inc.(a)		24,100		1,905,346
Expeditors International of Washington, Inc.		30,100		2,288,804
FedEx Corp.		42,640		5,978,981
United Parcel Service, Inc. (Class B Stock)		123,600		13,741,848
				23,914,979
Airlines — 0.2%
Alaska Air Group, Inc.		22,000		797,720
American Airlines Group, Inc.(a)		70,100		916,207
Delta Air Lines, Inc.(a)		101,200		2,838,660
Southwest Airlines Co.		89,737		3,067,211
United Airlines Holdings, Inc.*(a)		43,900		1,519,379
				9,139,177
Auto Components — 0.1%
Aptiv PLC.		44,900		3,498,608
BorgWarner, Inc.(a)		37,000		1,306,100
				4,804,708
Automobiles — 0.2%
Ford Motor Co.(a)		682,959		4,152,391
General Motors Co.		221,200		5,596,360
				9,748,751
Banks — 3.6%
Bank of America Corp.		1,382,882		32,843,447
Citigroup, Inc.		368,722		18,841,694
Citizens Financial Group, Inc.		77,400		1,953,576
Comerica, Inc.		25,850		984,885
Fifth Third Bancorp		125,849		2,426,369
First Republic Bank		29,600		3,137,304
Huntington Bancshares, Inc.		183,075		1,654,083
JPMorgan Chase & Co.		538,895		50,688,464
KeyCorp.		177,600		2,163,168
M&T Bank Corp.		23,700		2,464,089
People’s United Financial, Inc.(a)		77,900		901,303
PNC Financial Services Group, Inc. (The)		77,093		8,110,955
Regions Financial Corp.		171,712		1,909,437
SVB Financial Group*		9,300		2,004,429
Truist Financial Corp.		235,226		8,832,736

	Shares		Value
COMMON STOCKS (continued)
Banks (cont’d.)
U.S. Bancorp		242,381	$	8,924,468
Wells Fargo & Co.		664,876		17,020,826
Zions Bancorp NA(a)		30,000		1,020,000
				165,881,233
Beverages — 1.6%
Brown-Forman Corp. (Class B Stock)(a)		32,025		2,038,712
Coca-Cola Co. (The)		678,350		30,308,678
Constellation Brands, Inc. (Class A Stock)		29,700		5,196,015
Molson Coors Beverage Co. (Class B Stock)(a)		33,200		1,140,752
Monster Beverage Corp.*		68,300		4,734,556
PepsiCo, Inc.		245,294		32,442,584
				75,861,297
Biotechnology — 2.4%
AbbVie, Inc.		310,389		30,473,992
Alexion Pharmaceuticals, Inc.*		39,200		4,399,808
Amgen, Inc.		104,694		24,693,127
Biogen, Inc.*		29,915		8,003,758
Gilead Sciences, Inc.		222,600		17,126,844
Incyte Corp.*		31,400		3,264,658
Regeneron Pharmaceuticals, Inc.*		17,810		11,107,207
Vertex Pharmaceuticals, Inc.*		45,500		13,209,105
				112,278,499
Building Products — 0.4%
A.O. Smith Corp.		24,800		1,168,576
Allegion PLC(a)		16,533		1,690,003
Carrier Global Corp.		142,767		3,172,283
Fortune Brands Home & Security, Inc.(a)		25,100		1,604,643
Johnson Controls International PLC		137,115		4,681,106
Masco Corp.		51,230		2,572,258
Trane Technologies PLC		42,200		3,754,956
				18,643,825
Capital Markets — 2.6%
Ameriprise Financial, Inc.		22,750		3,413,410
Bank of New York Mellon Corp. (The)		148,949		5,756,879
BlackRock, Inc.		26,740		14,548,967
Cboe Global Markets, Inc.		19,800		1,846,944
Charles Schwab Corp. (The)		200,500		6,764,870
CME Group, Inc.		63,310		10,290,407
E*TRADE Financial Corp.		40,710		2,024,508
Franklin Resources, Inc.(a)		50,800		1,065,276
Goldman Sachs Group, Inc. (The)		54,820		10,833,528
Intercontinental Exchange, Inc.		97,990		8,975,884
Invesco Ltd.(a)		70,800		761,808
MarketAxess Holdings, Inc.		6,700		3,356,164
Moody’s Corp.		28,620		7,862,773
Morgan Stanley		205,310		9,916,473
MSCI, Inc.		14,900		4,973,918
Nasdaq, Inc.		20,300		2,425,241
Northern Trust Corp.		37,500		2,975,250
Raymond James Financial, Inc.		22,600		1,555,558

SEE NOTES TO FINANCIAL STATEMENTS.

A130

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Capital Markets (cont’d.)
S&P Global, Inc.		43,080	$	14,193,999
State Street Corp.		63,975		4,065,611
T. Rowe Price Group, Inc.		41,100		5,075,850
				122,683,318
Chemicals — 1.7%
Air Products & Chemicals, Inc.		38,800		9,368,648
Albemarle Corp.(a)		18,600		1,436,106
Celanese Corp.		21,400		1,847,676
CF Industries Holdings, Inc.		39,800		1,119,972
Corteva, Inc.(a)		132,356		3,545,817
Dow, Inc.(a)		130,222		5,307,849
DuPont de Nemours, Inc.		130,056		6,909,875
Eastman Chemical Co.		24,400		1,699,216
Ecolab, Inc.		44,400		8,833,380
FMC Corp.		23,150		2,306,203
International Flavors & Fragrances, Inc.(a)		18,740		2,294,901
Linde PLC (United Kingdom)		92,900		19,705,019
LyondellBasell Industries NV (Class A Stock)(a)		45,400		2,983,688
Mosaic Co. (The)		60,800		760,608
PPG Industries, Inc.		41,500		4,401,490
Sherwin-Williams Co. (The)		14,500		8,378,825
				80,899,273
Commercial Services & Supplies — 0.4%
Cintas Corp.(a)		14,900		3,968,764
Copart, Inc.*		35,900		2,989,393
Republic Services, Inc.		37,435		3,071,542
Rollins, Inc.		24,750		1,049,152
Waste Management, Inc.		69,130		7,321,558
				18,400,409
Communications Equipment — 0.9%
Arista Networks, Inc.*(a)		9,600		2,016,288
Cisco Systems, Inc.		746,275		34,806,266
F5 Networks, Inc.*		11,000		1,534,280
Juniper Networks, Inc.		59,700		1,364,742
Motorola Solutions, Inc.		30,127		4,221,696
				43,943,272
Construction & Engineering — 0.1%
Jacobs Engineering Group, Inc.		23,800		2,018,240
Quanta Services, Inc.		26,200		1,027,826
				3,046,066
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		11,000		2,272,270
Vulcan Materials Co.		23,300		2,699,305
				4,971,575
Consumer Finance — 0.5%
American Express Co.		118,500		11,281,200
Capital One Financial Corp.		82,069		5,136,699
Discover Financial Services		55,805		2,795,272
Synchrony Financial		100,830		2,234,393
				21,447,564

	Shares		Value
COMMON STOCKS (continued)
Containers & Packaging — 0.3%
Amcor PLC(a)		284,200	$	2,901,682
Avery Dennison Corp.		14,900		1,699,941
Ball Corp.		57,800		4,016,522
International Paper Co.		70,167		2,470,580
Packaging Corp. of America		16,700		1,666,660
Sealed Air Corp.		28,620		940,167
Westrock Co.		45,261		1,279,076
				14,974,628
Distributors — 0.1%
Genuine Parts Co.		25,925		2,254,438
LKQ Corp.*		55,100		1,443,620
				3,698,058
Diversified Consumer Services — 0.0%
H&R Block, Inc.(a)		35,900		512,652
Diversified Financial Services — 1.3%
Berkshire Hathaway, Inc. (Class B Stock)*		344,060		61,418,151
Diversified Telecommunication Services — 1.7%
AT&T, Inc.		1,261,771		38,143,338
CenturyLink, Inc.(a)		172,143		1,726,594
Verizon Communications, Inc.		727,538		40,109,170
				79,979,102
Electric Utilities — 1.8%
Alliant Energy Corp.		42,000		2,009,280
American Electric Power Co., Inc.		87,440		6,963,722
Duke Energy Corp.(a)		128,748		10,285,678
Edison International		62,900		3,416,099
Entergy Corp.		35,000		3,283,350
Evergy, Inc.		40,700		2,413,103
Eversource Energy		57,200		4,763,044
Exelon Corp.		170,573		6,190,094
FirstEnergy Corp.		94,780		3,675,568
NextEra Energy, Inc.		86,075		20,672,633
NRG Energy, Inc.		46,400		1,510,784
Pinnacle West Capital Corp.(a)		20,200		1,480,458
PPL Corp.		135,000		3,488,400
Southern Co. (The)		185,200		9,602,620
Xcel Energy, Inc.		91,995		5,749,687
				85,504,520
Electrical Equipment — 0.5%
AMETEK, Inc.		40,200		3,592,674
Eaton Corp. PLC		72,761		6,365,132
Emerson Electric Co.		107,200		6,649,616
Rockwell Automation, Inc.		20,420		4,349,460
				20,956,882
Electronic Equipment, Instruments & Components — 0.5%
Amphenol Corp. (Class A Stock)		52,300		5,010,863
CDW Corp.		25,200		2,927,736
Corning, Inc.(a)		134,900		3,493,910
FLIR Systems, Inc.		24,100		977,737
IPG Photonics Corp.*		6,600		1,058,574
Keysight Technologies, Inc.*		33,300		3,355,974
TE Connectivity Ltd.		59,000		4,811,450

SEE NOTES TO FINANCIAL STATEMENTS.

A131

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Electronic Equipment, Instruments & Components (cont’d.)
Zebra Technologies Corp. (Class A Stock)*		9,500	$	2,431,525
				24,067,769
Energy Equipment & Services — 0.2%
Baker Hughes Co.		114,048		1,755,199
Halliburton Co.		154,000		1,998,920
National Oilwell Varco, Inc.(a)		68,400		837,900
Schlumberger Ltd.		242,798		4,465,055
TechnipFMC PLC (United Kingdom)		74,200		507,528
				9,564,602
Entertainment — 2.0%
Activision Blizzard, Inc.		135,700		10,299,630
Electronic Arts, Inc.*		51,500		6,800,575
Live Nation Entertainment, Inc.*(a)		24,800		1,099,384
Netflix, Inc.*		77,290		35,170,041
Take-Two Interactive Software, Inc.*		20,000		2,791,400
Walt Disney Co. (The)		317,072		35,356,699
				91,517,729
Equity Real Estate Investment Trusts (REITs) — 2.7%
Alexandria Real Estate Equities, Inc.		21,480		3,485,130
American Tower Corp.		78,000		20,166,120
Apartment Investment & Management Co. (Class A Stock)		27,387		1,030,847
AvalonBay Communities, Inc.		24,518		3,791,464
Boston Properties, Inc.		25,300		2,286,614
Crown Castle International Corp.		73,500		12,300,225
Digital Realty Trust, Inc.(a)		46,300		6,579,693
Duke Realty Corp.		64,500		2,282,655
Equinix, Inc.		15,525		10,903,207
Equity Residential		61,300		3,605,666
Essex Property Trust, Inc.		11,670		2,674,414
Extra Space Storage, Inc.(a)		22,800		2,106,036
Federal Realty Investment Trust		12,400		1,056,604
Healthpeak Properties, Inc.		85,800		2,364,648
Host Hotels & Resorts, Inc.(a)		127,426		1,374,927
Iron Mountain, Inc.(a)		50,830		1,326,663
Kimco Realty Corp.(a)		74,500		956,580
Mid-America Apartment Communities, Inc.		20,100		2,304,867
Prologis, Inc.		130,328		12,163,512
Public Storage		26,750		5,133,057
Realty Income Corp.		58,300		3,468,850
Regency Centers Corp.		29,700		1,362,933
SBA Communications Corp.		19,830		5,907,754
Simon Property Group, Inc.		53,861		3,683,015
SL Green Realty Corp.(a)		14,900		734,421
UDR, Inc.		51,400		1,921,332
Ventas, Inc.(a)		65,404		2,395,094
Vornado Realty Trust(a)		28,257		1,079,700
Welltower, Inc.		71,200		3,684,600
Weyerhaeuser Co.		130,730		2,936,196
				125,066,824
Food & Staples Retailing — 1.5%
Costco Wholesale Corp.		77,792		23,587,312

`	Shares		Value
COMMON STOCKS (continued)
Food & Staples Retailing (cont’d.)
Kroger Co. (The)		140,700	$	4,762,695
Sysco Corp.		89,500		4,892,070
Walgreens Boots Alliance, Inc.		131,500		5,574,285
Walmart, Inc.		250,100		29,956,978
				68,773,340
Food Products — 1.1%
Archer-Daniels-Midland Co.(a)		97,938		3,907,726
Campbell Soup Co.(a)		30,600		1,518,678
Conagra Brands, Inc.		85,400		3,003,518
General Mills, Inc.(a)		106,000		6,534,900
Hershey Co. (The)		26,100		3,383,082
Hormel Foods Corp.(a)		48,800		2,355,576
J.M. Smucker Co. (The)(a)		20,100		2,126,781
Kellogg Co.(a)		43,700		2,886,822
Kraft Heinz Co. (The)		109,237		3,483,568
Lamb Weston Holdings, Inc.(a)		25,700		1,643,001
McCormick & Co., Inc.(a)		21,700		3,893,197
Mondelez International, Inc. (Class A Stock)		253,811		12,977,357
Tyson Foods, Inc. (Class A Stock)		51,800		3,092,978
				50,807,184
Gas Utilities — 0.0%
Atmos Energy Corp.		21,000		2,091,180
Health Care Equipment & Supplies — 3.7%
Abbott Laboratories		310,925		28,427,873
ABIOMED, Inc.*		8,200		1,980,792
Align Technology, Inc.*		12,600		3,457,944
Baxter International, Inc.		90,300		7,774,830
Becton, Dickinson & Co.		52,049		12,453,764
Boston Scientific Corp.*		244,499		8,584,360
Cooper Cos., Inc. (The)		8,830		2,504,541
Danaher Corp.		110,800		19,592,764
DENTSPLY SIRONA, Inc.(a)		39,300		1,731,558
DexCom, Inc.*		15,800		6,405,320
Edwards Lifesciences Corp.*		111,150		7,681,576
Hologic, Inc.*		47,400		2,701,800
IDEXX Laboratories, Inc.*		15,200		5,018,432
Intuitive Surgical, Inc.*(a)		20,390		11,618,834
Medtronic PLC.		235,828		21,625,428
ResMed, Inc.		25,300		4,857,600
STERIS PLC		15,200		2,332,288
Stryker Corp.		56,870		10,247,405
Teleflex, Inc.		8,200		2,984,636
Varian Medical Systems, Inc.*(a)		16,200		1,984,824
West Pharmaceutical Services, Inc.		13,300		3,021,361
Zimmer Biomet Holdings, Inc.(a)		36,386		4,343,033
				171,330,963
Health Care Providers & Services — 2.8%
AmerisourceBergen Corp.		27,300		2,751,021
Anthem, Inc.		44,600		11,728,908
Cardinal Health, Inc.		52,575		2,743,889
Centene Corp.*		102,468		6,511,841
Cigna Corp.		65,952		12,375,893
CVS Health Corp.		229,199		14,891,059
DaVita, Inc.*(a)		16,200		1,282,068

SEE NOTES TO FINANCIAL STATEMENTS.

A132

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Health Care Providers & Services (cont’d.)
HCA Healthcare, Inc.		47,000	$	4,561,820
Henry Schein, Inc.*(a)		26,500		1,547,335
Humana, Inc.		23,500		9,112,125
Laboratory Corp. of America Holdings*.		17,400		2,890,314
McKesson Corp.		28,707		4,404,228
Quest Diagnostics, Inc.		23,800		2,712,248
UnitedHealth Group, Inc.		166,830		49,206,509
Universal Health Services, Inc. (Class B Stock)		14,800		1,374,772
				128,094,030
Health Care Technology — 0.1%
Cerner Corp.(a)		55,100		3,777,105
Hotels, Restaurants & Leisure — 1.5%
Carnival Corp.(a)		75,900		1,246,278
Chipotle Mexican Grill, Inc.*		4,540		4,777,714
Darden Restaurants, Inc.		21,550		1,632,843
Domino’s Pizza, Inc.		6,800		2,512,192
Hilton Worldwide Holdings, Inc.		49,700		3,650,465
Las Vegas Sands Corp.		59,300		2,700,522
Marriott International, Inc. (Class A Stock)		47,623		4,082,720
McDonald’s Corp.		132,810		24,499,461
MGM Resorts International(a)		90,400		1,518,720
Norwegian Cruise Line Holdings Ltd.*(a)		37,500		616,125
Royal Caribbean Cruises Ltd.(a)		30,300		1,524,090
Starbucks Corp.		208,100		15,314,079
Wynn Resorts Ltd.		17,000		1,266,330
Yum! Brands, Inc.		53,100		4,614,921
				69,956,460
Household Durables — 0.4%
D.R. Horton, Inc.		59,600		3,304,820
Garmin Ltd.		25,400		2,476,500
Leggett & Platt, Inc.		23,800		836,570
Lennar Corp. (Class A Stock)		49,900		3,074,838
Mohawk Industries, Inc.*		10,900		1,109,184
Newell Brands, Inc.(a)		71,149		1,129,846
NVR, Inc.*		620		2,020,425
PulteGroup, Inc.		45,185		1,537,646
Whirlpool Corp.(a)		11,367		1,472,367
				16,962,196
Household Products — 1.7%
Church & Dwight Co., Inc.(a)		43,100		3,331,630
Clorox Co. (The)		22,300		4,891,951
Colgate-Palmolive Co.(a)		151,300		11,084,238
Kimberly-Clark Corp.		60,688		8,578,249
Procter & Gamble Co. (The)		439,176		52,512,274
				80,398,342
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp. (The)		116,500		1,688,085
Industrial Conglomerates — 1.1%
3M Co.		101,570		15,843,904
General Electric Co.		1,531,847		10,462,515
Honeywell International, Inc.		125,900		18,203,881

	Shares		Value
COMMON STOCKS (continued)
Industrial Conglomerates (cont’d.)
Roper Technologies, Inc.		18,300	$	7,105,158
				51,615,458
Insurance — 1.8%
Aflac, Inc.		129,200		4,655,076
Allstate Corp. (The)		57,428		5,569,942
American International Group, Inc.		152,629		4,758,972
Aon PLC (Class A Stock)		41,325		7,959,195
Arthur J Gallagher & Co.		32,800		3,197,672
Assurant, Inc.		10,700		1,105,203
Chubb Ltd.		79,630		10,082,750
Cincinnati Financial Corp.		26,728		1,711,394
Everest Re Group Ltd.		7,200		1,484,640
Globe Life, Inc.(a)		17,575		1,304,592
Hartford Financial Services Group, Inc. (The)		63,300		2,440,215
Lincoln National Corp.(a)		36,263		1,334,116
Loews Corp.		46,026		1,578,231
Marsh & McLennan Cos., Inc.		89,000		9,555,930
MetLife, Inc.		137,980		5,039,030
Principal Financial Group, Inc.		45,700		1,898,378
Progressive Corp. (The)		103,400		8,283,374
Travelers Cos., Inc. (The)(a)		45,598		5,200,452
Unum Group		37,456		621,395
W.R. Berkley Corp.		25,500		1,460,895
Willis Towers Watson PLC		22,800		4,490,460
				83,731,912
Interactive Media & Services — 5.4%
Alphabet, Inc. (Class A Stock)*		52,949		75,084,330
Alphabet, Inc. (Class C Stock)*		51,980		73,479,448
Facebook, Inc. (Class A Stock)*		425,320		96,577,412
Twitter, Inc.*(a)		137,300		4,090,167
				249,231,357
Internet & Direct Marketing Retail — 4.8%
Amazon.com, Inc.*		74,260		204,869,973
Booking Holdings, Inc.*		7,430		11,831,086
eBay, Inc.		122,000		6,398,900
Expedia Group, Inc.		24,600		2,022,120
				225,122,079
IT Services — 5.6%
Accenture PLC (Class A Stock)		111,800		24,005,696
Akamai Technologies, Inc.*(a)		28,500		3,052,065
Automatic Data Processing, Inc.		76,460		11,384,129
Broadridge Financial Solutions, Inc.		20,500		2,586,895
Cognizant Technology Solutions Corp. (Class A Stock)		96,700		5,494,494
DXC Technology Co.		45,350		748,275
Fidelity National Information Services, Inc.		107,800		14,454,902
Fiserv, Inc.*		100,900		9,849,858
FleetCor Technologies, Inc.*		15,400		3,873,562
Gartner, Inc.*		15,700		1,904,881
Global Payments, Inc.		52,863		8,966,622
International Business Machines Corp.(a)		155,925		18,831,062

SEE NOTES TO FINANCIAL STATEMENTS.

A133

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
IT Services (cont’d.)
Jack Henry & Associates, Inc.		13,500	$	2,484,405
Leidos Holdings, Inc.		23,400		2,191,878
Mastercard, Inc. (Class A Stock)(a)		156,200		46,188,340
Paychex, Inc.		55,950		4,238,213
PayPal Holdings, Inc.*		206,600		35,995,918
VeriSign, Inc.*		18,200		3,764,306
Visa, Inc. (Class A Stock)(a)		299,000		57,757,830
Western Union Co. (The)(a)		75,004		1,621,587
				259,394,918
Leisure Products — 0.0%
Hasbro, Inc.		22,350		1,675,132
Life Sciences Tools & Services — 1.2%
Agilent Technologies, Inc.		54,782		4,841,085
Bio-Rad Laboratories, Inc. (Class A Stock)*		3,600		1,625,364
Illumina, Inc.*		25,960		9,614,286
IQVIA Holdings, Inc.*		31,700		4,497,596
Mettler-Toledo International, Inc.*		4,320		3,479,976
PerkinElmer, Inc.		19,800		1,942,182
Thermo Fisher Scientific, Inc.		70,600		25,581,204
Waters Corp.*(a)		11,600		2,092,640
				53,674,333
Machinery — 1.5%
Caterpillar, Inc.		97,600		12,346,400
Cummins, Inc.		27,000		4,678,020
Deere & Co.		55,650		8,745,398
Dover Corp.		25,600		2,471,936
Flowserve Corp.		23,600		673,072
Fortive Corp.		51,900		3,511,554
IDEX Corp.		13,400		2,117,736
Illinois Tool Works, Inc.		51,475		9,000,404
Ingersoll Rand, Inc.*		58,837		1,654,496
Otis Worldwide Corp.		71,383		4,058,837
PACCAR, Inc.		60,828		4,552,976
Parker-Hannifin Corp.		22,687		4,157,846
Pentair PLC		29,907		1,136,167
Snap-on, Inc.(a)		9,900		1,371,249
Stanley Black & Decker, Inc.		26,735		3,726,324
Westinghouse Air Brake Technologies Corp.		32,012		1,842,931
Xylem, Inc.		31,800		2,065,728
				68,111,074
Media — 1.2%
Charter Communications, Inc. (Class A Stock)*		26,740		13,638,470
Comcast Corp. (Class A Stock)		798,592		31,129,116
Discovery, Inc. (Class A Stock)*(a)		28,000		590,800
Discovery, Inc. (Class C Stock)*		61,400		1,182,564
DISH Network Corp. (Class A Stock)*		45,075		1,555,538
Fox Corp. (Class A Stock)(a)		62,166		1,667,292
Fox Corp. (Class B Stock)		29,466		790,867
Interpublic Group of Cos., Inc. (The)		68,962		1,183,388
News Corp. (Class A Stock)(a)		68,125		807,963
News Corp. (Class B Stock)		22,800		272,460
Omnicom Group, Inc.(a)		38,300		2,091,180

	Shares		Value
COMMON STOCKS (continued)
Media (cont’d.)
ViacomCBS, Inc. (Class B Stock)(a)		94,866	$	2,212,275
				57,121,913
Metals & Mining — 0.3%
Freeport-McMoRan, Inc.		254,512		2,944,704
Newmont Corp.		143,803		8,878,397
Nucor Corp.		53,900		2,231,999
				14,055,100
Multiline Retail — 0.5%
Dollar General Corp.		44,800		8,534,848
Dollar Tree, Inc.*		42,047		3,896,916
Kohl’s Corp.(a)		28,500		591,945
Target Corp.		89,468		10,729,897
				23,753,606
Multi-Utilities — 0.9%
Ameren Corp.(a)		43,200		3,039,552
CenterPoint Energy, Inc.		88,110		1,645,014
CMS Energy Corp.(a)		49,800		2,909,316
Consolidated Edison, Inc.		58,300		4,193,519
Dominion Energy, Inc.(a)		145,340		11,798,701
DTE Energy Co.		33,700		3,622,750
NiSource, Inc.		65,500		1,489,470
Public Service Enterprise Group, Inc.		88,700		4,360,492
Sempra Energy		49,954		5,856,108
WEC Energy Group, Inc.(a)		55,376		4,853,706
				43,768,628
Oil, Gas & Consumable Fuels — 2.5%
Apache Corp.		62,650		845,775
Cabot Oil & Gas Corp.		74,700		1,283,346
Chevron Corp.		332,662		29,683,430
Concho Resources, Inc.		35,300		1,817,950
ConocoPhillips		192,529		8,090,069
Devon Energy Corp.		70,100		794,934
Diamondback Energy, Inc.(a)		28,300		1,183,506
EOG Resources, Inc.		102,100		5,172,386
Exxon Mobil Corp.		744,304		33,285,275
Hess Corp.		45,475		2,356,060
HollyFrontier Corp.		26,200		765,040
Kinder Morgan, Inc.		341,643		5,182,724
Marathon Oil Corp.(a)		137,994		844,523
Marathon Petroleum Corp.		113,887		4,257,096
Noble Energy, Inc.		83,100		744,576
Occidental Petroleum Corp.(a)		156,728		2,868,122
ONEOK, Inc.		72,540		2,409,779
Phillips 66		78,464		5,641,562
Pioneer Natural Resources Co.		29,400		2,872,380
Valero Energy Corp.		72,200		4,246,804
Williams Cos., Inc. (The)		212,600		4,043,652
				118,388,989
Personal Products — 0.2%
Coty, Inc. (Class A Stock)(a)		56,000		250,320
Estee Lauder Cos., Inc. (The) (Class A Stock)		39,200		7,396,256
				7,646,576

SEE NOTES TO FINANCIAL STATEMENTS.

A134

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Shares		Value
COMMON STOCKS (continued)
Pharmaceuticals — 4.2%
Bristol-Myers Squibb Co.		405,240	$	23,828,112
Eli Lilly & Co.		149,100		24,479,238
Johnson & Johnson		465,996		65,533,018
Merck & Co., Inc.		447,903		34,636,339
Mylan NV*		91,500		1,471,320
Perrigo Co. PLC		23,900		1,320,953
Pfizer, Inc.		973,523		31,834,202
Zoetis, Inc.		84,200		11,538,768
				194,641,950
Professional Services — 0.3%
Equifax, Inc.		21,400		3,678,232
IHS Markit Ltd.		70,400		5,315,200
Nielsen Holdings PLC		62,900		934,694
Robert Half International, Inc.(a)		21,600		1,141,128
Verisk Analytics, Inc.		28,800		4,901,760
				15,971,014
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*(a)		58,800		2,658,936
Road & Rail — 1.0%
CSX Corp.		136,672		9,531,505
J.B. Hunt Transport Services, Inc.(a)		15,100		1,817,134
Kansas City Southern		17,500		2,612,575
Norfolk Southern Corp.(a)		46,000		8,076,220
Old Dominion Freight Line, Inc.		17,250		2,925,428
Union Pacific Corp.		122,300		20,677,261
				45,640,123
Semiconductors & Semiconductor Equipment — 4.7%
Advanced Micro Devices, Inc.*		205,800		10,827,138
Analog Devices, Inc.		65,223		7,998,949
Applied Materials, Inc.		162,100		9,798,945
Broadcom, Inc.		69,920		22,067,451
Intel Corp.		753,900		45,105,837
KLA Corp.		27,900		5,425,992
Lam Research Corp.		25,500		8,248,230
Maxim Integrated Products, Inc.		47,500		2,878,975
Microchip Technology, Inc.(a)		42,000		4,423,020
Micron Technology, Inc.*		194,200		10,005,184
NVIDIA Corp.		108,590		41,254,427
Qorvo, Inc.*		20,486		2,264,318
QUALCOMM, Inc.		201,150		18,346,891
Skyworks Solutions, Inc.		30,400		3,886,944
Texas Instruments, Inc.(a)		164,600		20,899,262
Xilinx, Inc.		44,200		4,348,838
				217,780,401
Software — 9.1%
Adobe, Inc.*		85,375		37,164,591
ANSYS, Inc.*		15,100		4,405,123
Autodesk, Inc.*		38,670		9,249,477
Cadence Design Systems, Inc.*		49,700		4,769,212
Citrix Systems, Inc.		20,800		3,076,528
Fortinet, Inc.*		25,400		3,486,658
Intuit, Inc.		46,000		13,624,740
Microsoft Corp.		1,343,530		273,421,791
NortonLifeLock, Inc.		102,411		2,030,810

	Shares		Value
COMMON STOCKS (continued)
Software (cont’d.)
Oracle Corp.		373,095	$	20,620,961
Paycom Software, Inc.*(a)		8,700		2,694,651
salesforce.com, Inc.*		159,600		29,897,868
ServiceNow, Inc.*		33,300		13,488,498
Synopsys, Inc.*		26,400		5,148,000
Tyler Technologies, Inc.*		6,100		2,115,968
				425,194,876
Specialty Retail — 2.4%
Advance Auto Parts, Inc.		12,560		1,789,172
AutoZone, Inc.*		4,280		4,828,354
Best Buy Co., Inc.		41,025		3,580,252
CarMax, Inc.*(a)		29,100		2,605,905
Gap, Inc. (The)(a)		37,187		469,300
Home Depot, Inc. (The)		191,269		47,914,797
L Brands, Inc.(a)		41,796		625,686
Lowe’s Cos., Inc.		135,275		18,278,358
O’Reilly Automotive, Inc.*		13,360		5,633,511
Ross Stores, Inc.		63,700		5,429,788
Tiffany & Co.		19,000		2,316,860
TJX Cos., Inc. (The)		214,100		10,824,896
Tractor Supply Co.		21,200		2,793,948
Ulta Beauty, Inc.*		10,270		2,089,123
				109,179,950
Technology Hardware, Storage & Peripherals — 6.0%
Apple, Inc.		721,605		263,241,504
Hewlett Packard Enterprise Co.		232,166		2,258,975
HP, Inc.		259,966		4,531,207
NetApp, Inc.(a)		41,200		1,828,044
Seagate Technology PLC(a)		41,100		1,989,651
Western Digital Corp.(a)		52,168		2,303,217
Xerox Holdings Corp.		32,902		503,072
				276,655,670
Textiles, Apparel & Luxury Goods — 0.6%
Hanesbrands, Inc.(a)		62,100		701,109
NIKE, Inc. (Class B Stock)		219,400		21,512,170
PVH Corp.(a)		13,300		639,065
Ralph Lauren Corp.(a)		9,200		667,184
Tapestry, Inc.(a)		50,300		667,984
Under Armour, Inc. (Class A Stock)*		34,300		334,082
Under Armour, Inc. (Class C Stock)*(a)		33,303		294,399
VF Corp.		57,444		3,500,637
				28,316,630
Tobacco — 0.7%
Altria Group, Inc.		329,300		12,925,025
Philip Morris International, Inc.		273,800		19,182,428
				32,107,453
Trading Companies & Distributors — 0.2%
Fastenal Co.		100,600		4,309,704
United Rentals, Inc.*		13,440		2,003,098
W.W. Grainger, Inc.		7,820		2,456,731
				8,769,533

SEE NOTES TO FINANCIAL STATEMENTS.

A135

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

			Shares		Value
COMMON STOCKS (continued)
Water Utilities — 0.1%
American Water Works Co., Inc.				31,800	$	4,091,388
Wireless Telecommunication Services — 0.2%
T-Mobile US, Inc.*				94,800		9,873,420
TOTAL COMMON STOCKS (cost $1,396,333,814)						4,534,672,065
EXCHANGE-TRADED FUNDS — 0.4%
iShares Core S&P 500 ETF(a)				39,800		12,325,662
SPDR S&P 500 ETF Trust(a)				14,000		4,317,040
TOTAL EXCHANGE-TRADED FUNDS (cost $14,523,422)						16,642,702
TOTAL LONG-TERM INVESTMENTS (cost $1,410,857,236)						4,551,314,767
SHORT-TERM INVESTMENTS — 8.7%
AFFILIATED MUTUAL FUNDS — 8.5%
PGIM Core Ultra Short Bond Fund(w)				86,852,887		86,852,887
PGIM Institutional Money Market Fund (cost $307,942,579; includes $307,768,313 of cash collateral for securities on loan)(b)(w)				308,848,059		308,848,059
TOTAL AFFILIATED MUTUAL FUNDS (cost $394,795,466)						395,700,946
Interest Rate	Maturity Date		Principal Amount (000)#
U.S. TREASURY OBLIGATION(k)(n) — 0.2%
U.S. Treasury Bills
0.130%		09/17/20		7,400		7,397,755
(cost $7,397,920)
TOTAL SHORT-TERM INVESTMENTS (cost $402,193,386)						403,098,701
TOTAL INVESTMENTS — 106.6% (cost $1,813,050,622)						4,954,413,468
Liabilities in excess of other assets(z) — (6.6)%						(305,247,234	)
NET ASSETS — 100.0%					$	4,649,166,234

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

* Non-income producing security.

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

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $304,362,116; cash collateral of $307,768,313 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

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

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

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

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

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

Futures contracts outstanding at June 30, 2020:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Position:
589		S&P 500 E-Mini Index		Sep. 2020	$	91,006,390	$	833,558

SEE NOTES TO FINANCIAL STATEMENTS.

A136

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

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

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

Broker	Cash and/or Foreign Currency		Securities Market Value
UBS Securities LLC	$	—	$	7,397,755

Fair Value Measurements:

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

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

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

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

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	79,695,898	$	—	$	—
Air Freight & Logistics		23,914,979		—		—
Airlines		9,139,177		—		—
Auto Components		4,804,708		—		—
Automobiles		9,748,751		—		—
Banks		165,881,233		—		—
Beverages		75,861,297		—		—
Biotechnology		112,278,499		—		—
Building Products		18,643,825		—		—
Capital Markets		122,683,318		—		—
Chemicals		80,899,273		—		—
Commercial Services & Supplies		18,400,409		—		—
Communications Equipment		43,943,272		—		—
Construction & Engineering		3,046,066		—		—
Construction Materials		4,971,575		—		—
Consumer Finance		21,447,564		—		—
Containers & Packaging		14,974,628		—		—
Distributors		3,698,058		—		—
Diversified Consumer Services		512,652		—		—
Diversified Financial Services		61,418,151		—		—
Diversified Telecommunication Services		79,979,102		—		—
Electric Utilities		85,504,520		—		—
Electrical Equipment		20,956,882		—		—
Electronic Equipment, Instruments & Components		24,067,769		—		—
Energy Equipment & Services		9,564,602		—		—
Entertainment		91,517,729		—		—
Equity Real Estate Investment Trusts (REITs)		125,066,824		—		—
Food & Staples Retailing		68,773,340		—		—
Food Products		50,807,184		—		—
Gas Utilities		2,091,180		—		—
Health Care Equipment & Supplies		171,330,963		—		—
Health Care Providers & Services		128,094,030		—		—
Health Care Technology		3,777,105		—		—
Hotels, Restaurants & Leisure		69,956,460		—		—
Household Durables		16,962,196		—		—
Household Products		80,398,342		—		—
Independent Power & Renewable Electricity Producers		1,688,085		—		—
Industrial Conglomerates		51,615,458		—		—
Insurance		83,731,912		—		—
Interactive Media & Services		249,231,357		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A137

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Internet & Direct Marketing Retail	$	225,122,079	$	—	$	—
IT Services		259,394,918		—		—
Leisure Products		1,675,132		—		—
Life Sciences Tools & Services		53,674,333		—		—
Machinery		68,111,074		—		—
Media		57,121,913		—		—
Metals & Mining		14,055,100		—		—
Multiline Retail		23,753,606		—		—
Multi-Utilities		43,768,628		—		—
Oil, Gas & Consumable Fuels		118,388,989		—		—
Personal Products		7,646,576		—		—
Pharmaceuticals		194,641,950		—		—
Professional Services		15,971,014		—		—
Real Estate Management & Development		2,658,936		—		—
Road & Rail		45,640,123		—		—
Semiconductors & Semiconductor Equipment		217,780,401		—		—
Software		425,194,876		—		—
Specialty Retail		109,179,950		—		—
Technology Hardware, Storage & Peripherals		276,655,670		—		—
Textiles, Apparel & Luxury Goods		28,316,630		—		—
Tobacco		32,107,453		—		—
Trading Companies & Distributors		8,769,533		—		—
Water Utilities		4,091,388		—		—
Wireless Telecommunication Services		9,873,420		—		—
Exchange-Traded Funds		16,642,702		—		—
Affiliated Mutual Funds		395,700,946		—		—
U.S. Treasury Obligation		—		7,397,755		—
Total	$	4,947,015,713	$	7,397,755	$	—
Other Financial Instruments*
Assets
Futures Contracts	$	833,558	$	—	$	—

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

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

Software	9.1	%
Affiliated Mutual Funds (6.6% represents investments purchased with collateral from securities on loan)	8.5
Technology Hardware, Storage & Peripherals	6.0
IT Services	5.6
Interactive Media & Services	5.4
Internet & Direct Marketing Retail	4.8
Semiconductors & Semiconductor Equipment	4.7
Pharmaceuticals	4.2
Health Care Equipment & Supplies	3.7
Banks	3.6
Health Care Providers & Services	2.8
Equity Real Estate Investment Trusts (REITs)	2.7
Capital Markets	2.6
Oil, Gas & Consumable Fuels	2.5
Biotechnology	2.4

Specialty Retail	2.4	%
Entertainment	2.0
Electric Utilities	1.8
Insurance	1.8
Chemicals	1.7
Household Products	1.7
Diversified Telecommunication Services	1.7
Aerospace & Defense	1.7
Beverages	1.6
Hotels, Restaurants & Leisure	1.5
Food & Staples Retailing	1.5
Machinery	1.5
Diversified Financial Services	1.3
Media	1.2
Life Sciences Tools & Services	1.2
Industrial Conglomerates	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A138

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

Industry Classification (continued):

Food Products	1.1	%
Road & Rail	1.0
Communications Equipment	0.9
Multi-Utilities	0.9
Tobacco	0.7
Textiles, Apparel & Luxury Goods	0.6
Electronic Equipment, Instruments & Components	0.5
Air Freight & Logistics	0.5
Multiline Retail	0.5
Consumer Finance	0.5
Electrical Equipment	0.5
Building Products	0.4
Commercial Services & Supplies	0.4
Household Durables	0.4
Exchange-Traded Funds	0.4
Professional Services	0.3
Containers & Packaging	0.3
Metals & Mining	0.3
Wireless Telecommunication Services	0.2
Automobiles	0.2
Energy Equipment & Services	0.2

Airlines	0.2	%
Trading Companies & Distributors	0.2
Personal Products	0.2
U.S. Treasury Obligation	0.2
Construction Materials	0.1
Auto Components	0.1
Water Utilities	0.1
Health Care Technology	0.1
Distributors	0.1
Construction & Engineering	0.1
Real Estate Management & Development	0.1
Gas Utilities	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Leisure Products	0.0	*
Diversified Consumer Services	0.0	*
	106.6
Liabilities in excess of other assets	(6.6	)
	100.0	%

* Less than +/- 0.05%

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

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

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Equity contracts	Due from/to broker-variation margin futures	$	833,558	*	—	$	—

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Futures
Equity contracts	$	14,163	$	(6,854,822	)

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(435,489	)

SEE NOTES TO FINANCIAL STATEMENTS.

A139

STOCK INDEX PORTFOLIO (CONTINUED)

SCHEDULE OF INVESTMENTS as of June 30, 2020 (unaudited)

For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:

Futures
Contracts—
Long
Positions(1)

$85,821,290

(1) Notional Amount in USD.

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

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	304,362,116	$	(304,362,116	)	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A140

STOCK INDEX PORTFOLIO (CONTINUED)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS
Investments at value, including securities on loan of $304,362,116:
Unaffiliated investments (cost $1,418,255,156)	$	4,558,712,522
Affiliated investments (cost $394,795,466)		395,700,946
Cash		43,186
Dividends and interest receivable		3,596,406
Due from broker-variation margin futures		1,251,625
Receivable for investments sold		401,788
Receivable for Portfolio shares sold		209,968
Tax reclaim receivable		5,592
Prepaid expenses		4,407
Total Assets		4,959,926,440
LIABILITIES
Payable to broker for collateral for securities on loan		307,768,313
Management fee payable		1,115,655
Payable for Portfolio shares repurchased		1,001,283
Payable for investments purchased		630,724
Accrued expenses and other liabilities		243,305
Affiliated transfer agent fee payable		926
Total Liabilities		310,760,206
NET ASSETS	$	4,649,166,234
Net assets were comprised of:
Partners’ Equity	$	4,649,166,234
Net asset value and redemption price per share, $4,649,166,234 / 64,690,052 outstanding shares of beneficial interest	$	71.87

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2020

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	43,720,833
Income from securities lending, net (including affiliated income of $664,750)		685,349
Affiliated dividend income		533,088
Interest income		3,405
Total income		44,942,675
EXPENSES
Management fee		6,545,107
Custodian and accounting fees		130,781
Shareholders’ reports		78,159
Trustees’ fees		31,267
Legal fees and expenses		13,532
Audit fee		12,462
Transfer agent’s fees and expenses (including affiliated expense of $2,887)		5,312
Miscellaneous		40,461
Total expenses		6,857,081
NET INVESTMENT INCOME (LOSS)		38,085,594
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $13,503)		5,344,743
Futures transactions		(6,854,822	)
		(1,510,079	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $863,655)		(194,319,219	)
Futures		(435,489	)
		(194,754,708	)
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(196,264,787	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(158,179,193	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	38,085,594		$	72,524,098
Net realized gain (loss) on investment transactions		(1,510,079	)		79,062,396
Net change in unrealized appreciation (depreciation) on investments		(194,754,708	)		988,963,592
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(158,179,193	)		1,140,550,086
PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [2,356,978 and 2,978,605 shares, respectively]		170,616,971			192,206,253
Portfolio shares repurchased [1,737,399 and 3,748,907 shares, respectively]		(120,172,544	)		(248,177,505	)
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		50,444,427			(55,971,252	)
TOTAL INCREASE (DECREASE)		(107,734,766	)		1,084,578,834
NET ASSETS:
Beginning of period		4,756,901,000			3,672,322,166
End of period	$	4,649,166,234		$	4,756,901,000

SEE NOTES TO FINANCIAL STATEMENTS.

A141

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 8 Portfolios listed below together with their investment objectives. Each Portfolio below is a diversified portfolio.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

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 a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing

B1

price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

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

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

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

B2

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

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio (excluding money market portfolios and closed-end funds) limit their illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Subject to the Board approved LRMP, the Portfolios with the exception of Government Money Market Portfolio may invest up to 15% of their respective net assets in illiquid securities. Separately and subject to guidelines adopted by the Board, the Government Money Market Portfolio may invest up to 5% of its net assets in illiquid securities.

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

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

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

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

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

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends

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and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

Forward and Cross Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily

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basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans:    Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios acquired interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.

Repurchase Agreements:    Certain Portfolios entered into repurchase agreements. In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Swap Agreements:    Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.

Credit Default Swaps (“CDS”):    CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

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Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Total Return Swaps:    In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with

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respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2020, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

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.

Securities Lending:    Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.

The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.

Mortgage Dollar Rolls:    Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The

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difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs):    Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced below. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

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

2. Agreements

The Series Fund, on behalf of the Portfolios, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with each of PGIM, Inc., which provides subadvisory services to the Portfolios through PGIM Limited (commenced as a subadviser on April 27, 2020), PGIM Fixed Income (“PFI”) (a business unit of PGIM, Inc.), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), QMA LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

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The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee	Effective Management Fee, Net of Waiver, if Applicable
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.72	*
Government Income Portfolio	0.40		0.40
Government Money Market Portfolio	0.30		0.26	**
Stock Index Portfolio	0.30% up to $ 4 billion 0.25% over $ 4 billion		0.29

* The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021.

** The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time without notice. During the period ended June 30, 2020, the Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $135,849, 0.04% of the Government Money Market Portfolio’s average daily net assets.

At June 30, 2020, the subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one subadviser is listed, each subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PFI, PGIM Limited & QMA
Diversified Bond Portfolio	PFI & PGIM Limited
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI, PGIM Limited & QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
Government Money Market Portfolio	PFI
Stock Index Portfolio	QMA

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I, Class II and Class III shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Plans, the Class II and Class III shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II and Class III shares.

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

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solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	84,072
Global Portfolio		14,456

PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.

3. Other Transactions with Affiliates

a.) Related Parties

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolios.

b.) Securities Lending and Foreign Withholding Tax Reclaim Matters

In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolios.

In February 2016, Prudential, the parent company of the Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction.At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status,

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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 years ended December 31, 2018 and December 31, 2019.

In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.

Prudential instituted a process in consultation with the Series Fund’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.

The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	2020 Payments
Conservative Balanced Portfolio	$	32,562
Flexible Managed Portfolio		39,504
Global Portfolio		111,234

The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	2020 Payments
Conservative Balanced Portfolio	$	1,480

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Portfolio	2020 Payments
Flexible Managed Portfolio	$	3,066
Global Portfolio		87,287

The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	Capital Contributions
Conservative Balance Portfolio	$	13,184
Equity Portfolio		3
Flexible Managed Portfolio		14,632
Global Portfolio		85,664

4. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	774,107,521	$	905,783,541
Diversified Bond Portfolio		137,723,811		153,071,010
Equity Portfolio		1,402,634,456		1,524,096,986
Flexible Managed Portfolio		2,226,886,889		2,427,231,366
Global Portfolio		178,043,807		213,443,784
Government Income Portfolio		85,472,789		92,903,821
Stock Index Portfolio		124,300,604		42,273,613

A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, is presented as follows:

Conservative Balanced Portfolio

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*
	$255,146,173	$	379,552,543	$	283,679,737	$	—	$	—		$	351,018,979		351,018,979	$	1,603,649
	PGIM Institutional Money Market Fund*
	75,225,305		554,947,424		564,072,093		183,453		(150,498	)		66,133,591		66,133,591		188,818	**
	$330,371,478	$	934,499,967	$	847,751,830	$	183,453	$	(150,498	)	$	417,152,570			$	1,792,467

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 Ultra Short Bond Fund*
	$  2,890,447	$	155,175,756	$	154,907,962	$	—	$	—		$	3,158,241		3,158,241	$	100,215
	PGIM Institutional Money Market Fund*
	33,315,035		131,835,026		85,877,744		28,166		(22,175	)		79,278,308		79,278,308		68,421	**
	$36,205,482	$	287,010,782	$	240,785,706	$	28,166	$	(22,175	)	$	82,436,549			$	168,636

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Equity Portfolio

Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
	$  54,364,910	$	651,224,476	$	651,156,646	$	—	$	—		$	54,432,740		54,432,740	$	572,464
	PGIM Institutional Money Market Fund*
	220,901,277		1,388,849,094		1,250,077,263		746,962		(48,015	)		360,372,055		360,372,055		612,932	**
	$275,266,187	$	2,040,073,570	$	1,901,233,909	$	746,962	$	(48,015	)	$	414,804,795			$	1,185,396

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 Ultra Short Bond Fund*
	$153,379,057	$	583,524,549	$	411,449,292	$	—	$	—	$	325,454,314		325,454,314	$	1,065,914
	PGIM Institutional Money Market Fund*
	117,674,766		769,271,911		747,466,822		348,673		240,600		140,069,128		140,069,128		274,187	**
	$271,053,823	$	1,352,796,460	$	1,158,916,114	$	348,673	$	240,600	$	465,523,442			$	1,340,101

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*
	$35,350,796	$	146,574,563	$	151,032,821	$	—	$	—		$	30,892,538		30,892,538	$	228,176
	PGIM Institutional Money Market Fund*
	46,466,559		189,378,321		199,993,971		52,112		(34,885	)		35,868,136		35,868,136		68,181	**
	$81,817,355	$	335,952,884	$	351,026,792	$	52,112	$	(34,885	)	$	66,760,674			$	296,357

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*
	$  7,285,947	$	31,751	$	7,277,989	$	(178,952	)	$	139,243	$	—		—	$	31,751
	PGIM Core Ultra Short Bond Fund*
	5,041,716		65,167,571		61,801,104		—			—		8,408,183		8,408,183		24,159
	PGIM Institutional Money Market Fund*
	—		68,370,693		30,616,098		15,115			7,907		37,777,617		37,777,617		14,534	**
	$12,327,663	$	133,570,015	$	99,695,191	$	(163,837	)	$	147,150	$	46,185,800			$	70,444

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Stock Index Portfolio

Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Period		Shares, End of Period		Income
	PGIM Core Ultra Short Bond Fund*
	$  88,663,837	$	181,610,431	$	183,421,381	$	—	$	—	$	86,852,887		86,852,887	$	533,088
	PGIM Institutional Money Market Fund*
	238,544,735	$	2,310,189,091	$	2,240,762,925	$	863,655	$	13,503	$	308,848,059		308,848,059	$	664,750	**
	$327,208,572	$	2,491,799,522	$	2,424,184,306	$	863,655	$	13,503	$	395,700,946			$	1,197,838

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

** The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations.

5. Tax Information

All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.

6. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end.

	SCA
Term of Commitment	10/3/2019 –10/1/2020
Total Commitment	$1,222,500,000*
Annualized Commitment Fee on the Unused Portion of the SCA	0.15%
Annualized Interest Rate on Borrowings	1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent

* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000.

Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the reporting period ended June 30, 2020.

Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding		Maximum Balance Outstanding		Balance Outstanding at June 30, 2020
Government Income Portfolio	$	789,000		2.86	%		3	$	789,000	$	—

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7. Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

As of June 30, 2020, the following number of shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.

Portfolio	Number of Shares		Percentage of Outstanding Shares
Conservative Balanced Portfolio		79,793,188		100.0	%
Diversified Bond Portfolio		80,499,836		98.8	%
Equity Portfolio - Class I		72,090,344		100.0	%
Flexible Managed Portfolio		122,596,992		100.0	%
Global Portfolio		29,212,675		100.0	%
Government Income Portfolio		17,283,159		100.0	%
Government Money Market Portfolio - Class I		65,605,372		99.9	%
Government Money Market Portfolio - Class III		1,323,645		100.0	%
Stock Index Portfolio		64,690,052		100.0	%

The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:

	Affiliated					Unaffiliated
Portfolio	Number of Shareholders		Percentage of Outstanding Shares			Number of Shareholders		Percentage of Outstanding Shares
Conservative Balanced Portfolio		3		100.0	%		—		—	%
Diversified Bond Portfolio		3		98.8			—		—
Equity Portfolio		3		99.9			—		—
Flexible Managed Portfolio		3		100.0			—		—
Global Portfolio		2		97.8			—		—
Government Income Portfolio		2		98.4			—		—
Government Money Market Portfolio		3		98.0			—		—
Stock Index Portfolio		3		100.0			—		—

Transactions in shares of beneficial interest of the Equity and Government Money Market Portfolios were as follows:

Equity Portfolio

Class I:	Shares			Amount
Six months ended June 30, 2020:
Portfolio shares sold		126,073		$	6,449,664
Portfolio shares repurchased		(2,599,726	)		(157,268,375	)
Net increase (decrease) in shares outstanding		(2,473,653	)	$	(150,818,711	)
Year ended December 31, 2019:
Portfolio shares sold		102,565		$	5,848,661
Portfolio shares repurchased		(5,496,601	)		(313,401,998	)
Capital contributions		—			3
Net increase (decrease) in shares outstanding		(5,394,036	)	$	(307,553,334	)

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Class II:	Shares			Amount
Six months ended June 30, 2020:
Portfolio shares sold		1		$	32
Portfolio shares repurchased		(2,031	)		(123,050	)
Net increase (decrease) in shares outstanding		(2,030	)	$	(123,018	)
Year ended December 31, 2019:
Portfolio shares sold		1		$	39
Portfolio shares repurchased		(2,102	)		(115,498	)
Net increase (decrease) in shares outstanding		(2,101	)	$	(115,459	)

Government Money Market Portfolio

Class I:	Shares			Amount
Six months ended June 30, 2020:
Portfolio shares sold		30,697,714		$	306,977,142
Shares issued in reinvestment of dividends and distributions		179,043			1,790,426
Portfolio shares repurchased		(25,180,948	)		(251,809,479	)
Net increase (decrease) in shares outstanding		5,695,809		$	56,958,089
Year ended December 31, 2019:
Portfolio shares sold		51,839,113		$	518,391,129
Shares issued in reinvestment of dividends and distributions		1,065,025			10,650,252
Portfolio shares repurchased		(46,588,121	)		(465,881,208	)
Net increase (decrease) in shares outstanding		6,316,017		$	63,160,173
Class III:
Period ended June 30, 2020*:
Portfolio shares sold		1,644,063		$	16,440,632
Shares issued in reinvestment of dividends and distributions		1			11
Portfolio shares repurchased		(320,419	)		(3,204,193	)
Net increase (decrease) in shares outstanding		1,323,645		$	13,236,450

* Commencement of offering was May 18, 2020.

8. Risks of Investing in the Portfolios

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.

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.

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Emerging Markets Risk:    The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.

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

Foreign Market Disruption and Geopolitical Risks:    International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.

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

Geographic Concentration Risk:    The Portfolios’ performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolios invest. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk:    The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk”. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.

LIBOR Risk:    Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Portfolios or the financial instruments in which the Portfolios invest cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Portfolios’ performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.

Liquidity Risk:    The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The

B17

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.

Risks of Investing in equity REITs:    Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolios will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolios. Since certain Portfolios concentrate in the real estate industry, the holdings of such Portfolios can vary significantly from broad market indexes. As a result, the performance of such Portfolios can deviate from the performance of such indexes.

Risks of Investing in Treasury Inflation Protected Securities (TIPS):    The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if the Portfolios purchase TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, they may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period the Portfolios hold TIPS, the Portfolios may earn less on the security than on a conventional bond.

U.S. Government and Agency Securities Risk:    U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.

B18

Financial Highlights

(Unaudited)

Conservative Balanced Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	31.40		$	26.50		$	27.17		$	24.18		$	22.54		$	22.45
Income (Loss) From Investment Operations:
Net investment income (loss)		0.28			0.59			0.53			0.45			0.42			0.39
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.36	)		4.31			(1.20	)		2.54			1.20			(0.30	)
Total from investment operations		(0.08	)		4.90			(0.67	)		2.99			1.62			0.09
Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.02	(d)		—
Net Asset Value, end of period	$	31.32		$	31.40		$	26.50		$	27.17		$	24.18		$	22.54
Total Return(e)		(0.25	)%		18.49	%(f)		(2.47	)%(f)		12.37	%		7.28	%(g)		0.40	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,499		$	2,597		$	2,370		$	2,595		$	2,473		$	2,554
Average net assets (in millions)	$	2,469		$	2,506		$	2,535		$	2,535		$	2,487		$	2,522
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.58	%(i)		0.59	%		0.59	%		0.58	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.58	%(i)		0.59	%		0.59	%		0.58	%		0.58	%		0.58	%
Net investment income (loss)		1.83	%(i)		2.02	%		1.94	%		1.75	%		1.79	%		1.70	%
Portfolio turnover rate(j)		36	%		90	%		101	%		136	%		185	%		208	%
Diversified Bond Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	14.55		$	13.12		$	13.14		$	12.28		$	11.64		$	11.66
Income (Loss) From Investment Operations:
Net investment income (loss)		0.24			0.49			0.45			0.42			0.43			0.41
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.29			0.94			(0.48	)		0.44			0.21			(0.43	)
Total from investment operations		0.53			1.43			(0.03	)		0.86			0.64			(0.02	)
Capital Contributions		—			—			0.01	(b)		—			—	(c)(d)		—
Net Asset Value, end of period	$	15.08		$	14.55		$	13.12		$	13.14		$	12.28		$	11.64
Total Return(e)		3.64	%		10.90	%		(0.15	)%(k)		7.00	%		5.50	%(f)		(0.17	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,228		$	1,190		$	1,123		$	1,145		$	1,105		$	1,085
Average net assets (in millions)	$	1,206		$	1,166		$	1,132		$	1,123		$	1,121		$	1,074
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.44	%		0.44	%		0.46	%
Expenses before waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.44	%		0.44	%		0.46	%
Net investment income (loss)		3.27	%(i)		3.53	%		3.44	%		3.28	%		3.52	%		3.48	%
Portfolio turnover rate(j)		15	%		48	%		51	%		71	%		49	%		81	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

(k) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(Unaudited)

Equity Portfolio—Class I
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	63.18		$	49.02		$	51.52		$	40.96		$	39.47		$	38.56
Income (Loss) From Investment Operations:
Net investment income (loss)		0.31			0.66			0.53			0.41			0.38			0.34
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.83			13.50			(3.07	)		10.15			1.07			0.57
Total from investment operations		1.14			14.16			(2.54	)		10.56			1.45			0.91
Capital Contributions		—			—	(b)(c)		0.04	(b)		—			0.04	(d)		—
Net Asset Value, end of period	$	64.32		$	63.18		$	49.02		$	51.52		$	40.96		$	39.47
Total Return(e)		1.80	%		28.89	%(f)		(4.85	)%(g)		25.78	%		3.78	%(h)		2.36	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,637		$	4,711		$	3,920		$	4,416		$	3,742		$	3,846
Average net assets (in millions)	$	4,382		$	4,407		$	4,497		$	4,099		$	3,615		$	3,959
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.47	%(j)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%(j)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		1.04	%(j)		1.16	%		0.98	%		0.89	%		1.01	%		0.86	%
Portfolio turnover rate(k)		32	%		43	%		37	%		55	%		39	%		37	%
Equity Portfolio—Class II
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	62.09		$	48.37		$	51.04		$	40.74		$	39.42		$	38.66
Income (Loss) From Investment Operations:
Net investment income (loss)		0.19			0.43			0.32			0.23			0.23			0.18
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.80			13.29			(3.03	)		10.07			1.05			0.58
Total from investment operations		0.99			13.72			(2.71	)		10.30			1.28			0.76
Capital Contributions		—			—	(b)(c)		0.04	(b)		—			0.04	(d)		—
Net Asset Value, end of period	$	63.08		$	62.09		$	48.37		$	51.04		$	40.74		$	39.42
Total Return(e)		1.59	%		28.36	%(f)		(5.23	)%(g)		25.28	%		3.35	%(h)		1.97	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2		$	2		$	2		$	2		$	2		$	2
Average net assets (in millions)	$	2		$	2		$	2		$	2		$	2		$	2
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.87	%(j)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%(j)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.64	%(j)		0.76	%		0.59	%		0.50	%		0.61	%		0.46	%
Portfolio turnover rate(k)		32	%		43	%		37	%		55	%		39	%		37	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.93)% and (5.31)% for Class I and Class II, respectively.

(h) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

(i) Does not include expenses of the underlying funds in which the Portfolio invests.

(j) Annualized.

(k) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(Unaudited)

Flexible Managed Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	34.32		$	28.63		$	29.88		$	25.99		$	23.95		$	23.71
Income (Loss) From Investment Operations:
Net investment income (loss)		0.30			0.61			0.53			0.45			0.44			0.42
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.06	)		5.08			(1.78	)		3.44			1.58			(0.18	)
Total from investment operations		(0.76	)		5.69			(1.25	)		3.89			2.02			0.24
Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.02	(d)		—
Net Asset Value, end of period	$	33.56		$	34.32		$	28.63		$	29.88		$	25.99		$	23.95
Total Return(e)		(2.21	)%		19.87	%(f)		(4.18	)%(f)		14.97	%		8.52	%(g)		1.01	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,115		$	4,328		$	3,834		$	4,230		$	3,890		$	3,769
Average net assets (in millions)	$	4,043		$	4,127		$	4,157		$	4,043		$	3,799		$	3,878
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.62	%(i)		0.63	%		0.63	%		0.62	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.62	%(i)		0.63	%		0.63	%		0.62	%		0.63	%		0.63	%
Net investment income (loss)		1.88	%(i)		1.92	%		1.75	%		1.62	%		1.78	%		1.74	%
Portfolio turnover rate(j)(k)		58	%		125	%		139	%		175	%		203	%		213	%
Global Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	41.49		$	31.83		$	34.33		$	27.50		$	26.33		$	25.72
Income (Loss) From Investment Operations:
Net investment income (loss)		0.21			0.52			0.47			0.42			0.34			0.34
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(2.65	)		9.14			(2.99	)		6.41			0.81			0.27
Total from investment operations		(2.44	)		9.66			(2.52	)		6.83			1.15			0.61
Capital Contributions		—			—	(b)(c)		0.02	(b)		—			0.02	(d)		—
Net Asset Value, end of period	$	39.05		$	41.49		$	31.83		$	34.33		$	27.50		$	26.33
Total Return(e)		(5.88	)%		30.39	%(f)		(7.28	)%(l)		24.84	%		4.44	%(m)		2.37	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,141		$	1,264		$	1,007		$	1,133		$	955		$	965
Average net assets (in millions)	$	1,127		$	1,158		$	1,140		$	1,052		$	942		$	813
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.76	%(i)		0.77	%		0.77	%		0.79	%		0.80	%		0.81	%
Expenses before waivers and/or expense reimbursement		0.79	%(i)		0.80	%		0.80	%		0.81	%		0.81	%		0.82	%
Net investment income (loss)		1.14	%(i)		1.41	%		1.33	%		1.34	%		1.29	%		1.28	%
Portfolio turnover rate(j)		16	%		26	%		28	%		33	%		40	%		33	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

(k) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(l) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%.

(m) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(Unaudited)

Government Income Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	13.54		$	12.70		$	12.62		$	12.26		$	12.00		$	11.92
Income (Loss) From Investment Operations:
Net investment income (loss)		0.13			0.31			0.28			0.23			0.20			0.18
Net realized and unrealized gain (loss) on investment transactions		0.73			0.53			(0.20	)		0.13			0.06			(0.10	)
Total from investment operations		0.86			0.84			0.08			0.36			0.26			0.08
Capital Contributions		—			—			—	(b)(c)		—			—	(c)(d)		—
Net Asset Value, end of period	$	14.40		$	13.54		$	12.70		$	12.62		$	12.26		$	12.00
Total Return(e)		6.35	%		6.61	%		0.63	%(f)		2.94	%		2.17	%(f)		0.67	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	249		$	239		$	221		$	244		$	226		$	232
Average net assets (in millions)	$	244		$	235		$	231		$	252		$	236		$	325
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.51	%(h)		0.52	%		0.51	%		0.53	%		0.51	%		0.48	%
Expenses before waivers and/or expense reimbursement		0.51	%(h)		0.52	%		0.51	%		0.53	%		0.51	%		0.48	%
Net investment income (loss)		1.90	%(h)		2.34	%		2.28	%		1.84	%		1.60	%		1.48	%
Portfolio turnover rate(i)(j)		53	%		269	%		284	%		495	%		705	%		746	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g) Does not include expenses of the underlying funds in which the Portfolio invests.

(h) Annualized.

(i) The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate.

(j) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(Unaudited)

Government Money Market Portfolio—Class I
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.03			0.19			0.15			0.06			0.01			—	(b)
Less Dividends and Distributions:		(0.03	)		(0.19	)		(0.15	)		(0.06	)		(0.01	)		—	(c)
Net asset value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(d)		0.30	%		1.92	%		1.53	%		0.56	%		0.10	%		0.00	%(e)
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	657		$	600		$	536		$	560		$	724		$	651
Average net assets (in millions)	$	618		$	563		$	560		$	665		$	717		$	725
Ratios to average net assets(f):
Expenses after waivers and/or expense reimbursement		0.30	%(g)		0.35	%		0.35	%		0.35	%		0.35	%		0.19	%
Expenses before waivers and/or expense reimbursement		0.34	%(g)		0.35	%		0.35	%		0.35	%		0.35	%		0.44	%
Net investment income (loss)		0.57	%(g)		1.88	%		1.52	%		0.55	%		0.09	%		—	%(e)

Government Money Market Portfolio—Class III
	May 18, 2020(a) through June 30, 2020
Per Share Operating Performance:
Net Asset Value, beginning of period	$	10.00
Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		—	(b)
Less Dividends and Distributions:		—	(c)
Net asset value, end of period.	$	10.00
Total Return(d)		0.00	%(e)
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	13
Average net assets (in millions)	$	4
Ratios to average net assets(f):
Expenses after waivers and/or expense reimbursement.		0.19	%(g)
Expenses before waivers and/or expense reimbursement		0.59	%(g)
Net investment income (loss)		—	%(e)(g)

(a) Calculated based on average shares outstanding during the period. (b) Less than $0.005 per share.

(c) Less than $(0.005) per share.

(d) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(e) Less than 0.005%.

(f) Does not include expenses of the underlying funds in which the Portfolio invests.

(g) Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

(Unaudited)

Stock Index Portfolio
	Six Months Ended June 30, 2020			Year Ended December 31,
				2019			2018			2017			2016			2015
Per Share Operating Performance(a) :
Net Asset Value, beginning of period.	$	74.24		$	56.64		$	59.38		$	50.70		$	48.59		$	49.33
Income (Loss) From Investment Operations:
Net investment income (loss)		0.59			1.12			1.00			0.92			0.89			0.86
Net realized and unrealized gain (loss) on investment transactions		(2.96	)		16.48			(3.74	)		9.75			4.52			(0.26	)
Total from investment operations		(2.37	)		17.60			(2.74	)		10.67			5.41			0.60
Less Dividends and Distributions		—			—			—			(1.99	)		(3.37	)		(1.34	)
Capital Contributions		—			—			—			—			0.07	(b)		—
Net Asset Value, end of period	$	71.87		$	74.24		$	56.64		$	59.38		$	50.70		$	48.59
Total Return(c)		(3.19	)%		31.07	%		(4.61	)%		21.46	%		11.83	%(d)		1.18	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,649		$	4,757		$	3,672		$	3,928		$	3,305		$	3,010
Average net assets (in millions)	$	4,465		$	4,298		$	4,051		$	3,630		$	3,122		$	3,299
Ratios to average net assets(e) :
Expenses after waivers and/or expense reimbursement		0.31	%(f)		0.31	%		0.31	%		0.32	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%(f)		0.31	%		0.31	%		0.32	%		0.34	%		0.37	%
Net investment income (loss)		1.72	%(f)		1.69	%		1.63	%		1.69	%		1.84	%		1.74	%
Portfolio turnover rate(g)		1	%		3	%		4	%		4	%		5	%		9	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(c) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(d) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

(e) Does not include expenses of the underlying funds in which the Portfolio invests.

(f) Annualized.

(g) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

The Prudential Series Fund   Portfolio Liquidity Risk Management Program — unaudited June 30, 2020

Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), each Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). Each Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolios’ investment manager, to serve as the administrator of each Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.

Each Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, each Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.

At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of each Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that each Portfolio’s LRMP was reasonably designed to assess and manage that Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that each Portfolio’s investment strategies continue to be appropriate given each Portfolio’s status as an open-end fund.

There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in a Portfolio, including liquidity risks presented by each Portfolio’s investment portfolio, is found in a Portfolio’s Prospectus and Statement of Additional Information.

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.

The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited (PGIML), Jennison Associates LLC (Jennison) and QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolios’ liquidity risk management program. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services

provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates from serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, PGIML, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PGIM Investments and the Subadvisers

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2019, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles over various periods, with the 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
	2nd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that the Portfolio underperformed its benchmark index over the one-year period, and outperformed over all other periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Diversified Bond Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Equity Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	2nd Quartile	3rd Quartile	4th Quartile
Actual Management Fees: 1st Quartile
Gross Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the three-year period, though it underperformed its benchmark index over the remaining periods.

• The Board considered the Manager’s assertion that it believes the Portfolio’s more recent underperformance to be temporary, and primarily attributable to performance challenges in calendar year 2019.

• The Board considered information provided by the Manager indicating that the Portfolio outperformed both its benchmark and peer median over the trailing three-year period ending March 31, 2020; and that the Portfolio outperformed both its benchmark and peer median in three out of the last five calendar years.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Flexible Managed Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	2nd Quartile	1st Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed its benchmark index over the remaining periods.

• The Board noted that the Fund’s underperformance during the periods identified above was largely the result of underperformance during one year, 2020. In that regard, the Board noted that when it considered the performance of the Fund one year before, the Fund ranked in the first quartile of its Peer Universe over all periods ended December 31, 2018.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Global Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Income Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	2nd Quartile	1st Quartile	2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Money Market Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	3rd Quartile	3rd Quartile	3rd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Stock Index Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

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 Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3714 Presorted Standard U.S. Postage PAID Prudential

^©2020 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

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 required, as this is not an annual filing.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.

Item 13 – Exhibits

(a) (1) Code of Ethics – Not required, as this is not an annual filing.

(2) Certifications pursuant to Section  302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1 – Not applicable.

(b) Certifications pursuant to Section  906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: The Prudential Variable Contract Account-10

By:	/s/ Andrew R. French
	Andrew R. French
	Secretary
Date:	August 24, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	August 24, 2020

By:	/s/ Christian J. Kelly
	Christian J. Kelly
	Treasurer and Principal Financial and Accounting Officer
Date:	August 24, 2020