to
the
premium
paid.
There
is
no
significant
counterparty
risk
on
exchange-traded
options
as
the
exchange
guarantees
the
contract
against
default.
Writing
put
options
tends
to
increase
a
Portfolio’s
exposure
to
the
underlying
security
while
writing
call
options
tends
to
decrease
a
Portfolio’s
exposure
to
the
underlying
security.
The
writer
of
an
option
has
no
control
over
whether
the
underlying
security
may
be
bought
or
sold,
and
therefore
bears
the
market
risk
of
an
unfavorable
change
in
the
price
of
the
underlying
security.
The
counterparty
risk
for
purchased
options
arises
when
the
Portfolio
has
purchased
an
option,
exercises
that
option,
and
the
counterparty
doesn’t
buy
from
the
Portfolio
or
sell
to
the
Portfolio
the
underlying
asset
as
required.
In
the
case
where
the
Portfolio
has
written
an
option,
the
Portfolio
doesn’t
have
counterparty
risk.
Counterparty
risk
on
purchased
over-the-
counter
options
is
partially
mitigated
by
the
Portfolio’s
collateral
posting
requirements.
As
the
option
increases
in
value
to
the
Portfolio,
the
Portfolio
receives
collateral
from
the
counterparty.
Risks
of
loss
may
exceed
amounts
recognized
on
the
Statement
of
Assets
and
Liabilities.
During
the period
ended
September
30,
2020,
Aggressive
Allocation,
Government
Bond,
Moderate
Allocation,
Moderately
Aggressive
Allocation,
and
Moderately
Conservative
Allocation
used
options
on
mortgage
backed
securities
to
generate
income
and/or
manage
the
duration
of
the
Portfolio.
Futures
Contracts
—
All
Portfolios, with
the
exception
of
the
Money
Market
Portfolio, may
use
futures
contracts
to
manage
the
exposure
to
interest
rate
and
market
or
currency
fluctuations.
Gains
or
losses
on
futures
contracts
can
offset
changes
in
the
yield
of
securities.
When
a
futures
contract
is
opened,
cash
or
other
investments
equal
to
the
required
“initial
margin
deposit”
are
held
on
deposit
with
and
pledged
to
the
broker.
Additional
securities
held
by
the
Portfolios
may
be
earmarked
to
cover
open
futures
contracts. A
futures
contract’s
daily
change
in
value
(“variation
margin”)
is
either
paid
to
or
received
from
the
broker,
and
is
recorded
as
an
unrealized
gain
or
loss.
When
the
contract
is
closed,
realized
gain
or
loss
is
recorded
equal
to
the
difference
between
the
value
of
the
contract
when
opened
and
the
value
of
the
contract
when
closed.
Futures
contracts
involve,
to
varying
degrees,
risk
of
loss
in
excess
of
the
variation
margin
disclosed
in
the
Statement
of
Assets
and
Liabilities.
Exchange-traded
futures
have
no
significant
counterparty
risk
as
the
exchange
guarantees
the
contracts
against
default.
During
the period
ended
September
30,
2020,
Aggressive
Allocation,
Balanced
Income
Plus,
Diversified
Income
Plus, Government
Bond, Income, Limited
Maturity
Bond,
Moderate
Allocation,
Moderately
Aggressive
Allocation,
Moderately
Conservative
Allocation, and Opportunity
Income
Plus used
treasury
futures
to
manage
the
duration
and
yield
curve
exposure
of
the
respective
Portfolio
versus its
benchmark.
During
the period
ended
September
30,
2020,
Aggressive
Allocation,
Balanced
Income
Plus,
Diversified
Income
Plus,
ESG
Index,
Global
Stock, International
Allocation,
International
Index,
Large
Cap Index,
Low
Volatility
Equity,
Mid
Cap
Index,
Moderate
Allocation,
Moderately
Aggressive
Allocation,
Moderately
Conservative
Allocation,
Opportunity
Income
Plus,
and
Small
Cap
Index used
equity
futures
to
manage
exposure
to
the
equities
market.
During
the period
ended
September
30,
2020,
Aggressive
Allocation,
Balanced
Income
Plus,
Diversified
Income
Plus,
Global
Stock,
International
Allocation,
Moderate
Allocation,
Moderately
Aggressive
Allocation,
and
Moderately
Conservative
Allocation used foreign
exchange futures
to
hedge
currency
risk.
Foreign
Currency
Forward
Contracts
—
In
connection
with
purchases
and
sales
of
securities
denominated
in
foreign
currencies,
all
Portfolios,
with
the
exception
of
the Money
Market
Portfolio,
may
enter
into
foreign
currency
forward
contracts.
Additionally,
the
Portfolios
may
enter
into
such
contracts
to mitigate
currency
and
counterparty
exposure
to
other
foreign-currency-
denominated
investments.
These
contracts
are
recorded
at
value
and
the realized-
and
change
in unrealized-
foreign
exchange
gains
and
losses
are
included
in
the
Statement
of
Operations.
In
the
event
that
counterparties
fail
to
settle
these
forward
contracts,
the
Portfolios
could
be
exposed
to
foreign
currency
fluctuations.
Foreign
currency
contracts
are
valued
daily
and
unrealized
appreciation
or
depreciation
is
recorded
daily
as
the
difference
between
the
contract
exchange
rate
and
the
closing
forward
rate
applied
to
the
face
amount
of
the
contract.
A
realized
gain
or
loss
is
recorded
at
the
time
a
forward
contract
is
closed.
These
contracts
are
over-the-counter
and a
Portfolio
is
exposed
to
counterparty
risk
equal
to
the
discounted
net
amount
of
payments
to
the
Portfolio.
During
the period ended September
30,
2020,
Partner
Healthcare used
foreign
currency
forward
contracts
in
order
to
hedge
unwanted
currency
exposure.
Swap
Agreements
—
All
Portfolios,
with
the
exception
of
the
Money
Market
Portfolio,
may enter
into
swap
transactions,
which
involve
swapping
one
or
more
investment
characteristics
of
a
security
or
a
basket
of
securities
with
another
party.
Such
transactions
include
market
risk,
risk
of
default
by
the
other
party
to
the
transaction,
risk
of
imperfect
correlation
and
manager
risk
and
may
involve
commissions
or
other
costs.
Swap
transactions
generally
do
not
involve
delivery
of
securities,
other
underlying
assets
or
principal.
Accordingly,
the
risk
of
loss
with
respect
to
swap
transactions
is
generally
limited
to
the
net
amount
of
payments
that
the
Portfolio
is
contractually
obligated
to
make,
or
in
the
case
of
the
counterparty
defaulting,
the
net
amount
of
payments
that
the
Portfolio
is
contractually
entitled
to
receive.
Risks
of
loss
may
exceed
amounts
recognized
on
the
Statement
of
Assets
and
Liabilities.
If
there
is
a
default
by
the
counterparty,
the
Portfolio
may
have
contractual
remedies
pursuant
to
the
agreements
related
to
the
transaction.
The
contracts
are
valued
daily
and
unrealized
appreciation
or
depreciation
is
recorded.
Swap
agreements
are
valued
at
the
clearinghouse
end
of
day
prices
as
furnished
by
an
independent
pricing
service.
The
pricing
service
takes
into
account
such
factors
as
swap
curves,
default
probabilities,
recent
trades,
recovery
rates
and
other
factors
it