Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) September 30, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS - 0.0% | | | | | | | | |
| | | | | | | |
| Food & Staples Retailing - 0.0% | | | | | | | | |
Fresh Market, Inc. (The) Escrow*(a)
(Cost $—) | | | 800 | | | | — | |
| | | | | | | | | |
| Investments | | | Principal
Amount ($) | | | | Value ($) | |
| U.S. GOVERNMENT AGENCY SECURITIES - 76.2% | | | | | | | | |
| | | | | | | | | |
| Federal Agricultural Mortgage Corp., | | | | | | | | |
| 1.59%, 1/10/2024(b) | | | 2,800,000 | | | | 2,708,486 | |
| 2.62%, 2/26/2024(b) | | | 1,200,000 | | | | 1,173,383 | |
| FFCB, | | | | | | | | |
| (SOFR + 0.05%), 3.01%, 2/17/2023(c) | | | 1,000,000 | | | | 1,000,063 | |
| 0.13%, 5/10/2023 | | | 1,000,000 | | | | 975,880 | |
| FHLB, | | | | | | | | |
| 3.25%, 6/9/2023 | | | 4,500,000 | | | | 4,471,277 | |
| FHLMC, | | | | | | | | |
| 0.25%, 9/8/2023 | | | 2,500,000 | | | | 2,406,929 | |
| 0.25%, 11/6/2023(b) | | | 6,000,000 | | | | 5,737,319 | |
| FNMA, | | | | | | | | |
| 2.88%, 9/12/2023 | | | 8,000,000 | | | | 7,885,374 | |
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $27,119,530) | | | | | | | 26,358,711 | |
| | | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 24.2% | | | | | | | | |
| | | | | | | | | |
| U.S. Treasury Notes, | | | | | | | | |
| 1.63%, 12/15/2022(b) | | | 2,500,000 | | | | 2,492,481 | |
| 0.50%, 3/15/2023(b) | | | 2,200,000 | | | | 2,166,742 | |
| 0.38%, 9/15/2024 | | | 4,000,000 | | | | 3,710,781 | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $8,444,019) | | | | | | | 8,370,004 | |
| | | | | | | | | |
| Investments | | | No. of Rights | | | | Value ($) | |
| RIGHTS - 0.0% | | | | | | | | |
| | | | | | | | | |
| Biotechnology - 0.0% | | | | | | | | |
| Tobira Therapeutics, Inc., CVR*(a)(d) (Cost $3,092) | | | 225 | | | | — | |
| | | | | | | | | |
| Investments | | | Shares | | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 4.4% | | | | | | | | |
| | | | | | | | | |
| INVESTMENT COMPANIES - 4.4% | | | | | | | | |
| Invesco Government & Agency Portfolio, Institutional Class, 2.85%(e) | | | 1,537,171 | | | | 1,537,171 | |
| Morgan Stanley Institutional Liquidity Funds Treasury Portfolio, Institutional Class, 2.51%(e) | | | 1,850 | | | | 1,850 | |
TOTAL INVESTMENT COMPANIES
(Cost $1,539,020) | | | | | | | 1,539,021 | |
| | | | | | | | | |
Total Investments - 104.8%
(Cost $37,105,661) | | | | | | | 36,267,736 | |
| Liabilities Less Other Assets - (4.8%)(f) | | | | | | | (1,646,286 | ) |
| Net Assets - 100.0% | | | | | | | 34,621,450 | |
| * | Non-income producing security. |
| (a) | Value determined using significant unobservable inputs. |
| (b) | All or a portion of this security is pledged with the custodian for options written. |
| (c) | Variable or floating rate security. The interest rate shown was the current rate as of September 30, 2022, and changes periodically. |
| (d) | Security fair valued as of September 30, 2022, in accordance with procedures approved by the valuation designee. Total value of all such securities at September 30, 2022, amounted to $0, which represents 0.0% of net assets of the Fund. |
| (e) | Represents 7-day effective yield as of September 30, 2022. |
| (f) | Includes the impact of the Fund’s open positions in derivatives at September 30, 2022. |
| Abbreviations |
| CVR | Contingent Value Rights |
| FFCB | Federal Farm Credit Bank |
| FHLB | Federal Home Loan Bank |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| SOFR | Secured Overnight Financing Rate |
| |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) (cont'd)
Derivative Instruments
Written option contracts ("options written")
At September 30, 2022, the Fund had outstanding options written as follows:
| Description | | Number of
Contracts | | | Notional
Amount | | | Exercise
Price | | | Expiration
Date | | Value | |
| Puts | | | | | | | | | | | | | | |
| Index | | | | | | | | | | | | | | |
| S&P 500 Index | | | 3 | | | $ | (1,075,686 | ) | | $ | 3,630 | | | 10/7/2022 | | $ | (23,850 | ) |
| S&P 500 Index | | | 4 | | | | (1,434,248 | ) | | | 3,660 | | | 10/7/2022 | | | (39,180 | ) |
| S&P 500 Index | | | 6 | | | | (2,151,372 | ) | | | 3,670 | | | 10/7/2022 | | | (62,760 | ) |
| S&P 500 Index | | | 10 | | | | (3,585,620 | ) | | | 3,760 | | | 10/7/2022 | | | (174,300 | ) |
| S&P 500 Index | | | 2 | | | | (717,124 | ) | | | 3,630 | | | 10/14/2022 | | | (20,770 | ) |
| S&P 500 Index | | | 1 | | | | (358,562 | ) | | | 3,640 | | | 10/14/2022 | | | (11,100 | ) |
| S&P 500 Index | | | 1 | | | | (358,562 | ) | | | 3,670 | | | 10/14/2022 | | | (12,645 | ) |
| S&P 500 Index | | | 2 | | | | (717,124 | ) | | | 3,760 | | | 10/14/2022 | | | (37,550 | ) |
| S&P 500 Index | | | 17 | | | | (6,095,554 | ) | | | 3,845 | | | 10/14/2022 | | | (440,555 | ) |
| S&P 500 Index | | | 1 | | | | (358,562 | ) | | | 3,870 | | | 10/14/2022 | | | (28,195 | ) |
| S&P 500 Index | | | 13 | | | | (4,661,306 | ) | | | 3,675 | | | 10/21/2022 | | | (184,665 | ) |
| S&P 500 Index | | | 4 | | | | (1,434,248 | ) | | | 3,760 | | | 10/21/2022 | | | (79,200 | ) |
| S&P 500 Index | | | 2 | | | | (717,124 | ) | | | 3,840 | | | 10/21/2022 | | | (51,830 | ) |
| S&P 500 Index | | | 5 | | | | (1,792,810 | ) | | | 3,870 | | | 10/21/2022 | | | (142,975 | ) |
| S&P 500 Index | | | 1 | | | | (358,562 | ) | | | 3,875 | | | 10/21/2022 | | | (28,915 | ) |
| S&P 500 Index | | | 2 | | | | (717,124 | ) | | | 3,630 | | | 10/28/2022 | | | (26,160 | ) |
| S&P 500 Index | | | 6 | | | | (2,151,372 | ) | | | 3,635 | | | 10/28/2022 | | | (80,100 | ) |
| S&P 500 Index | | | 12 | | | | (4,302,744 | ) | | | 3,640 | | | 10/28/2022 | | | (162,900 | ) |
| S&P 500 Index | | | 4 | | | | (1,434,248 | ) | | | 3,660 | | | 10/28/2022 | | | (58,620 | ) |
| S&P 500 Index | | | 1 | | | | (358,562 | ) | | | 3,705 | | | 10/28/2022 | | | (17,125 | ) |
| | | | | | | | | | | | | | | | | | | |
| Total options written (premium received $996,195) | | | | | | | | | $ | (1,683,395 | ) |
At September 30, 2022, the Fund had securities pledged in the amount of $14,278,411 to cover collateral requirements for options written.
The following is a summary, categorized by Level (See the Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2022:
| Asset Valuation Inputs | | Level 1 | | | Level 2 | | | Level 3* | | | Total | |
| Investments: | | | | | | | | | | | | |
| Common Stocks(a)(b)(c) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| U.S. Government Agency Securities | | | — | | | | 26,358,711 | | | | — | | | | 26,358,711 | |
| U.S. Treasury Obligations | | | — | | | | 8,370,004 | | | | — | | | | 8,370,004 | |
| Rights(a) | | | — | | | | — | | | | — | | | | — | |
| Short-Term Investments | | | — | | | | 1,539,021 | | | | — | | | | 1,539,021 | |
| Total Long Positions | | $ | — | | | $ | 36,267,736 | | | $ | — | | | $ | 36,267,736 | |
| (a) | The Schedule of Investments provides information on the industry or sector categorization. |
| (b) | The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values rounded to less than $1. |
| (c) | As of the period ended September 30, 2022, these investments were valued in accordance with procedures approved by the valuation designee. These investments did not have a material impact on the Fund’s net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) (cont'd)
* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | | Rights(a) | |
| Assets: | | | | |
| Investments in Securities: | | | | |
| Beginning Balance as of January 1, 2022 | | $ | – | |
| Transfers into Level 3 | | | – | |
| Transfers out of Level 3 | | | – | |
| Accrued discounts/(premiums) | | | – | |
| Realized gain/(loss) | | | (3,809 | ) |
| Change in unrealized appreciation/(depreciation) | | | 4,080 | |
| Purchases | | | – | |
| Sales | | | (271 | ) |
| Balance as of September 30, 2022 | | $ | – | |
| Net change in unrealized appreciation/(depreciation) on investments still held as of September 30, 2022 | | $ | – | |
| (a) | As of the period ended September 30, 2022, these investments were fair valued in accordance with procedures approved by the valuation designee. These investments did not have a material impact on the Fund’s net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
The following is a summary, categorized by level (See the Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of September 30, 2022:
| Other Financial Instruments | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Options Written | | | | | | | | | | | | | | | | |
| Liabilities | | $ | (1,683,395 | ) | | $ | — | | | $ | — | | | $ | (1,683,395 | ) |
^ A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
September 30, 2022
Notes to Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Advisers Management Trust U.S. Equity Index PutWrite Strategy Portfolio (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. At times, Management may need to apply significant judgment to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
| · | Level 1 – unadjusted quoted prices in active markets for identical investments |
| · | Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.) |
| · | Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund’s investments in equity securities, exchange traded options written and rights, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and other market information which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities and reference data, such as market research publications, when available (“Other Market Information”).
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
Notes to Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited) (cont’d)
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs), when available.
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, the Board of Trustees designated Management as the Fund's valuation designee. As the Fund's valuation designee, Management is responsible for determining fair value in good faith for any and all Fund investments. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
Other matters:
Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact certain issuers of the securities held by the Fund and in turn, may impact the financial performance of the Fund.
Russia’s invasion of Ukraine: Russia’s invasion of Ukraine, and corresponding events in late February 2022, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia’s actions, various governments, including the United States, have issued broad-ranging economic sanctions against Russia. The current events have had, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of the Fund’s investments beyond any direct exposure to Russian or Ukrainian issuers. The duration of ongoing hostilities and the vast array of sanctions and related events cannot be predicted. Those events present material uncertainty and risk with respect to markets globally and the performance of the Fund and its investments or operations could be negatively impacted.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
