NPORT-EX 2 VCB.htm VIP CORPORATE BOND SOI HTML
     SCHEDULE OF INVESTMENTS   
    Corporate Bond (in thousands)    SEPTEMBER 30, 2020 (UNAUDITED)
    

 

ASSET-BACKED SECURITIES   Principal     Value  

 

  

AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust,
3.500%, 5-26-22

     $1,470       $1,484  

Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA,
3.750%, 12-15-27 (A)

     807       776  

American Airlines Class AA Pass-Through Certificates, Series 2016-2,
3.200%, 6-15-28

     1,572       1,478  

American Airlines, Inc. Pass-Through Certificates, Series 2016-1, Class AA,
3.575%, 1-15-28

     809       777  

American Airlines, Inc. Pass-Through Certificates, Series 2017-1, Class AA,
3.650%, 2-15-29

     2,072       1,992  

Delta Air Lines, Inc. Pass-Through Certificates, Series 2020AA, Class B,
2.000%, 6-10-28

     1,525       1,473  

United Airlines Pass-Through Certificates, Series 2016-AA,
3.100%, 7-7-28

     2,483       2,431  

TOTAL ASSET-BACKED SECURITIES – 1.5%

 

     $10,411  

 

  

(Cost: $10,638)

 

CORPORATE DEBT

SECURITIES

 

 

 

  

Communication Services

 

Advertising – 0.2%

 

Lamar Media Corp.,
4.875%, 1-15-29(A)

     1,350       1,404  
   

 

 

  

Alternative Carriers – 0.7%

 

Bell Canada (GTD by BCE, Inc.),
4.300%, 7-29-49

     3,554       4,360  

Cable & Satellite – 2.0%

 

Charter Communications Operating LLC and Charter Communications Operating Capital Corp.:

    

4.464%, 7-23-22

     1,800       1,906  

4.500%, 2-1-24

     931       1,032  

Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal):

    

3.900%, 3-1-38

     500       592  

4.600%, 10-15-38

     1,125       1,432  

Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC),
3.250%, 11-1-39

     3,875       4,288  

Cox Communications, Inc.:

    

1.800%, 10-1-30(A)

     850       838  

2.950%, 10-1-50(A)

     850       816  

Viacom, Inc.,
4.750%, 5-15-25

     2,000       2,295  
   

 

 

  
            13,199  
   

 

 

  

Integrated Telecommunication Services – 2.2%

 

AT&T, Inc.:

    

2.950%, 7-15-26

     2,000       2,184  

3.650%, 6-1-51

     600       606  

3.300%, 2-1-52

     1,584       1,474  

3.500%, 9-15-53(A)

     800       779  

3.550%, 9-15-55(A)

     942       901  

Verizon Communications, Inc.:

    

4.500%, 8-10-33

     3,500       4,420  

5.250%, 3-16-37

     1,250       1,728  

4.812%, 3-15-39

     1,684       2,207  
   

 

 

  
      14,299  
   

 

 

  

Interactive Media & Services – 0.4%

 

Alphabet, Inc.,
2.050%, 8-15-50

     2,570       2,388  
   

 

 

  

Movies & Entertainment – 0.3%

 

Walt Disney Co. (The),
4.125%, 6-1-44

     1,724       2,076  
   

 

 

  

Publishing – 0.4%

 

Thomson Reuters Corp.:

    

3.350%, 5-15-26

     850       935  

5.850%, 4-15-40

     1,500       2,009  
   

 

 

  
      2,944  
   

 

 

  

Wireless Telecommunication Service – 1.3%

 

Crown Castle Towers LLC,
3.663%, 5-15-25(A)

     2,450       2,622  

Sprint Spectrum L.P.,
3.360%, 9-20-21(A)

     875       885  

T-Mobile USA, Inc.:

    

3.500%, 4-15-25(A)

     2,805       3,078  

4.375%, 4-15-40(A)

     1,025       1,201  

3.300%, 2-15-51(A)

     425       419  
   

 

 

  
      8,205  
   

 

 

  
Total Communication Services - 7.5%

 

     48,875  

 

  

Consumer Discretionary

 

Apparel Retail – 0.6%

 

Ross Stores, Inc.,
5.450%, 4-15-50

     1,425       1,857  

TJX Cos., Inc. (The),
3.500%, 4-15-25

     2,000       2,230  
      4,087  
   

 

 

  

Apparel, Accessories & Luxury Goods – 0.5%

 

PVH Corp.,
4.625%, 7-10-25(A)

     1,050       1,094  

Ralph Lauren Corp.,
2.950%, 6-15-30

     2,025       2,113  
      3,207  
   

 

 

  

Automobile Manufacturers – 0.1%

 

Nissan Motor Co. Ltd.,
3.522%, 9-17-25(A)

     850       859  

Automotive Retail – 0.3%

 

AutoNation, Inc.,
4.750%, 6-1-30

     1,700       2,012  

Casinos & Gaming – 0.2%

 

GLP Capital L.P. and GLP Financing II, Inc.,
5.375%, 4-15-26

     425       471  

Las Vegas Sands Corp.,
3.500%, 8-18-26

     595       603  
      1,074  
   

 

 

  

Education Services – 0.1%

 

University of Southern California,
3.028%, 10-1-39

     500       538  

Footwear – 1.0%

 

NIKE, Inc.:

    

3.250%, 3-27-40

     2,900       3,295  

3.375%, 3-27-50

     2,575       2,976  
   

 

 

  
      6,271  
   

 

 

  

General Merchandise Stores – 0.7%

 

Target Corp.,
2.650%, 9-15-30

     4,000       4,474  

Home Improvement Retail – 0.3%

 

Home Depot, Inc. (The),
4.200%, 4-1-43

     1,670       2,087  

Homebuilding – 1.0%

 

D.R. Horton, Inc.,
2.600%, 10-15-25

     3,080       3,303  

NVR, Inc.,
3.000%, 5-15-30

     3,302       3,563  
      6,866  
   

 

 

  

Hotels, Resorts & Cruise Lines – 0.7%

 

Royal Caribbean Cruises Ltd.:

    

2.650%, 11-28-20

     1,875       1,865  

3.700%, 3-15-28

     3,500       2,570  
   

 

 

  
      4,435  
   

 

 

  

Internet & Direct Marketing Retail – 1.2%

 

Amazon.com, Inc.:

    

3.875%, 8-22-37

     1,850       2,300  

2.500%, 6-3-50

     1,650       1,675  

Booking Holdings, Inc.,
4.625%, 4-13-30

     2,255       2,695  

Expedia Group, Inc.:

    

6.250%, 5-1-25(A)

     1,090       1,201  

7.000%, 5-1-25(A)

     117       127  
   

 

 

  
      7,998  
   

 

 

  

Restaurants – 0.3%

 

Darden Restaurants, Inc.,
4.550%, 2-15-48

     2,000       1,987  
Total Consumer Discretionary - 7.0%

 

     45,895  

 

  

Consumer Staples

 

Agricultural Products – 0.3%

 

Cargill, Inc.:

    

3.250%, 5-23-29(A)

     1,400       1,582  

3.875%, 5-23-49(A)

     500       601  
   

 

 

  
      2,183  
   

 

 

  
 

Brewers – 0.5%

 

Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB),
4.700%, 2-1-36

     2,850       3,438  

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB),
4.750%, 1-23-29

     113       137  
      3,575  
   

 

 

  

Drug Retail – 0.5%

 

CVS Health Corp.:

    

4.100%, 3-25-25

     1,613       1,823  

4.780%, 3-25-38

     1,175       1,422  
   

 

 

  
      3,245  
   

 

 

  

Food Distributors – 0.4%

 

Sysco Corp.,
6.600%, 4-1-40

     1,730       2,330  

Food Retail – 0.3%

 

Alimentation Couche-Tard, Inc.,
2.950%, 1-25-30(A)

     1,600       1,724  

Hypermarkets & Super Centers – 1.0%

 

Walmart, Inc.,
4.050%, 6-29-48

     5,240       6,821  

Packaged Foods & Meats – 1.8%

 

Hormel Foods Corp.,
1.800%, 6-11-30

     3,500       3,610  

Mars, Inc.,
2.375%, 7-16-40(A)

     2,520       2,515  

Nestle Holdings, Inc.:

    

3.900%, 9-24-38(A)

     980       1,228  

4.000%, 9-24-48(A)

     1,485       1,946  

Smithfield Foods, Inc.:

    

2.650%, 10-3-21(A)

     1,250       1,258  

3.350%, 2-1-22(A)

     1,500       1,516  
   

 

 

  
      12,073  
   

 

 

  

Personal Products – 0.4%

 

Estee Lauder Co., Inc. (The),
4.150%, 3-15-47

     1,875       2,353  

Soft Drinks – 1.2%

 

Coca-Cola Co. (The):

    

1.375%, 3-15-31

     1,325       1,312  

2.500%, 3-15-51

     850       844  

PepsiCo, Inc.:

    

3.450%, 10-6-46

     1,500       1,735  

3.375%, 7-29-49

     2,175       2,501  

3.625%, 3-19-50

     1,275       1,546  
   

 

 

  
              7,938  
   

 

 

  

Tobacco – 1.5%

 

Altria Group, Inc. (GTD by Philip Morris USA, Inc.):

    

3.490%, 2-14-22

     1,830       1,902  

2.850%, 8-9-22

     2,550       2,653  

Imperial Brands Finance plc,
3.125%, 7-26-24(A)

     4,200       4,441  

Philip Morris International, Inc.,
2.875%, 5-1-24

     585       627  
      9,623  
   

 

 

  
Total Consumer Staples - 7.9%

 

     51,865  

 

  

Energy

 

Integrated Oil & Gas – 0.3%

 

National Fuel Gas Co.,
5.500%, 1-15-26

     1,875       2,046  

Oil & Gas Equipment & Services – 0.5%

 

Baker Hughes, a GE Co. LLC and Baker Hughes Co-Obligor, Inc.,
2.773%, 12-15-22

     3,000       3,137  

Oil & Gas Exploration & Production – 1.8%

 

BP Capital Markets plc (GTD by BP plc):

    

3.216%, 11-28-23

     1,000       1,075  

3.814%, 2-10-24

     3,000       3,297  

Canadian Natural Resources Ltd.,
3.850%, 6-1-27

     4,950       5,333  

ConocoPhillips Co. (GTD by ConocoPhillips), 4.150%, 11-15-34

     218       242  

EQT Corp.:

    

3.000%, 10-1-22

     1,450       1,419  

7.875%, 2-1-25(B)

     650       720  
   

 

 

  
              12,086  
   

 

 

  

Oil & Gas Refining & Marketing – 0.6%

 

Phillips 66 (GTD by Phillips 66 Co.) (3-Month U.S. LIBOR plus 60 bps),
0.834%, 2-26-21(C)

     2,000       2,000  

Valero Energy Corp.,
1.200%, 3-15-24

     1,750       1,743  
      3,743  
   

 

 

  

Oil & Gas Storage & Transportation – 4.7%

 

Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.),
4.450%, 7-15-27

     2,000       2,153  

Cheniere Corpus Christi Holdings LLC,
7.000%, 6-30-24

     1,075       1,238  

Colonial Pipeline Co.,
4.250%, 4-15-48(A)

     1,000       1,147  

Colorado Interstate Gas Co.,
4.150%, 8-15-26(A)

     1,000       1,125  

Energy Transfer Partners L.P.:

    

4.200%, 4-15-27

     500       517  

6.000%, 6-15-48

     1,000       1,004  

EQT Midstream Partners L.P.,
4.750%, 7-15-23

     1,000       999  

Kinder Morgan, Inc.,
5.550%, 6-1-45

     1,000       1,189  

Midwest Connector Capital Co. LLC,
4.625%, 4-1-29(A)

     2,409       2,433  

Plains All American Pipeline L.P. and PAA Finance Corp.:

    

3.600%, 11-1-24

     1,031       1,063  

4.500%, 12-15-26

     1,750       1,867  

Sabal Trail Transmission LLC,
4.246%, 5-1-28(A)

     2,500       2,808  

Sabine Pass Liquefaction LLC,
4.200%, 3-15-28

     2,150       2,333  

Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.),
4.000%, 10-1-27

     1,500       1,531  

Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.),
4.400%, 4-1-21

     500       507  

Tennessee Gas Pipeline Co.,
7.000%, 3-15-27

     2,000       2,464  

Transcontinental Gas Pipe Line Co. LLC:

    

3.250%, 5-15-30(A)

     1,225       1,323  

4.600%, 3-15-48

     1,000       1,138  

Williams Partners L.P.,
4.850%, 3-1-48

     3,250       3,648  
      30,487  
   

 

 

  
Total Energy - 7.9%

 

     51,499  

 

  

Financials

 

Asset Management & Custody Banks – 2.9%

 

Apollo Management Holdings L.P.,
2.650%, 6-5-30(A)

     4,850       4,852  

Blackstone Holdings Finance Co. LLC:

    

3.500%, 9-10-49(A)

     1,058       1,156  

2.800%, 9-30-50(A)

     2,150       2,105  

Brookfield Finance LLC (GTD by Brookfield Asset Management, Inc.),
3.450%, 4-15-50

     1,150       1,130  

KKR Group Finance Co. III LLC,
5.125%, 6-1-44(A)

     1,885       2,350  

KKR Group Finance Co. VIII LLC (GTD by KKR & Co., Inc. and KKR Group Partnership L.P.),
3.500%, 8-25-50(A)

     425       432  

National Securities Clearing Corp.,
1.500%, 4-23-25(A)

     5,000       5,154  

Owl Rock Capital Corp.:

    

5.250%, 4-15-24

     675       700  

4.000%, 3-30-25

     1,025       1,034  
   

 

 

  
            18,913  
   

 

 

  

Consumer Finance – 0.5%

 

Ford Motor Credit Co. LLC:

    

5.875%, 8-2-21

     1,500       1,528  

3.810%, 1-9-24

     1,500       1,485  

General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.),
3.200%, 7-6-21

     500       508  
      3,521  
   

 

 

  

Diversified Banks – 7.1%

 

Banco Santander S.A.,
3.500%, 4-11-22

     1,250       1,297  

Bank of America Corp.:

    

2.503%, 10-21-22

     4,000       4,084  

2.496%, 2-13-31

     2,000       2,085  

1.898%, 7-23-31

     1,200       1,195  

Bank of America Corp. (3-Month U.S. LIBOR plus 77 bps),
1.019%, 2-5-26(C)

     4,000       3,982  

Bank of New York Mellon Corp. (The),
3.550%, 9-23-21

     1,250       1,286  

BB&T Corp.,
2.750%, 4-1-22

     3,500       3,616  

Citizens Bank N.A.,
3.250%, 2-14-22

     1,050       1,088  

Commonwealth Bank of Australia,
2.000%, 9-6-21(A)(D)

     1,500       1,524  

Danske Bank A.S.,
2.700%, 3-2-22(A)

     1,300       1,339  

Fifth Third Bank N.A.:

    

2.250%, 6-14-21

     500       506  

3.350%, 7-26-21

     1,500       1,533  

ING Groep N.V.,
3.550%, 4-9-24

     1,325       1,443  

Korea Development Bank,
3.000%, 3-19-22

     1,125       1,163  

Mitsubishi UFJ Financial Group, Inc.:

    

2.998%, 2-22-22

     500       517  

3.218%, 3-7-22

     2,000       2,075  
 

Mizuho Financial Group, Inc.,
2.953%, 2-28-22

     3,000       3,100  

Toronto-Dominion Bank,
3.250%, 3-11-24

     1,275       1,382  

U.S. Bancorp,
3.375%, 2-5-24

     704       766  

U.S. Bank N.A.,
3.450%, 11-16-21

     3,500       3,616  

Wells Fargo & Co.:

    

2.100%, 7-26-21

     1,000       1,014  

3.069%, 1-24-23

     1,500       1,547  

2.393%, 6-2-28

     2,500       2,607  

4.150%, 1-24-29

     1,000       1,175  

2.572%, 2-11-31

     400       418  

5.013%, 4-4-51

     650       883  

Westpac Banking Corp.,
2.000%, 8-19-21

     1,000       1,015  
      46,256  
   

 

 

  

Diversified Capital Markets – 0.3%

 

Credit Suisse Group AG,
3.574%, 1-9-23(A)

     2,000       2,069  

Financial Exchanges & Data – 0.4%

 

Intercontinental Exchange, Inc.,
2.650%, 9-15-40

     2,475       2,474  

Insurance Brokers – 1.7%

 

Brown & Brown, Inc.:

    

4.200%, 9-15-24

     2,754       3,039  

4.500%, 3-15-29

     550       627  

2.375%, 3-15-31

     950       958  

Marsh & McLennan Cos., Inc.:

    

3.500%, 12-29-20

     1,000       1,008  

2.750%, 1-30-22

     2,000       2,057  

Willis North America, Inc.,
2.950%, 9-15-29

     3,320       3,588  
            11,277  
   

 

 

  

Investment Banking & Brokerage – 3.9%

 

Credit Suisse Group Funding (Guernsey) Ltd.,
3.125%, 12-10-20

     1,000       1,005  

Daiwa Securities Group, Inc.,
3.129%, 4-19-22(A)

     1,000       1,033  

Goldman Sachs Group, Inc. (The):

    

3.000%, 4-26-22

     1,000       1,015  

2.905%, 7-24-23

     1,000       1,037  

4.250%, 10-21-25

     3,250       3,692  

3.500%, 11-16-26

     2,000       2,210  

4.017%, 10-31-38

     2,700       3,145  

Morgan Stanley:

    

4.875%, 11-1-22

     2,931       3,169  

5.000%, 11-24-25

     2,150       2,522  

3.875%, 1-27-26

     3,850       4,388  

3.971%, 7-22-38

     800       946  

Morgan Stanley (3-Month U.S. LIBOR plus 140 bps), 1.664%, 10-24-23(C)

     1,500       1,524  
      25,686  
   

 

 

  

Life & Health Insurance – 3.0%

 

Aflac, Inc.,
4.750%, 1-15-49

     2,250       2,895  

MetLife Global Funding I,
1.950%, 9-15-21(A)

     2,000       2,032  

Metropolitan Life Insurance Co.,
3.450%, 10-9-21(A)

     3,000       3,094  

New York Life Global Funding,
2.900%, 1-17-24(A)

     5,500       5,893  

Northwestern Mutual Life Insurance Co. (The), 3.850%, 9-30-47(A)

     3,000       3,382  

Principal Life Global Funding II,
3.000%, 4-18-26(A)

     1,000       1,108  

Protective Life Global Funding,
2.700%, 11-25-20(A)

     1,000       1,003  
            19,407  
   

 

 

  

Other Diversified Financial Services – 4.3%

 

Citigroup, Inc.:

    

3.500%, 5-15-23

     2,260       2,410  

3.875%, 3-26-25

     2,000       2,200  

3.520%, 10-27-28

     1,750       1,944  

2.666%, 1-29-31

     1,925       2,025  

4.412%, 3-31-31

     1,300       1,559  

4.700%, 7-30-68

     850       821  

5.000%, 3-12-69

     2,500       2,488  

JPMorgan Chase & Co.:

    

3.220%, 3-1-25

     6,000       6,449  

4.493%, 3-24-31

     3,000       3,656  

2.522%, 4-22-31

     2,000       2,129  

4.000%, 10-1-68

     1,650       1,559  

5.000%, 2-1-69

     1,000       998  
   

 

 

  
      28,238  
   

 

 

  

Regional Banks – 0.9%

 

PNC Bank N.A.:

    

2.450%, 11-5-20

     264       264  

3.300%, 10-30-24

     1,000       1,098  

PNC Financial Services Group, Inc. (The),
2.600%, 7-23-26

     1,875       2,047  

SunTrust Banks, Inc.,
3.200%, 4-1-24

     2,500       2,711  
      6,120  
   

 

 

  

Reinsurance – 0.4%

 

Reinsurance Group of America, Inc.,
3.900%, 5-15-29

     2,085       2,379  

Specialized Finance – 0.7%

 

Air Lease Corp.:

    

2.875%, 1-15-26

     355       349  

3.000%, 2-1-30

     1,075       1,000  

Diamond 1 Finance Corp. and Diamond 2 Finance Corp., 4.420%, 6-15-21(A)

     748       766  

Fidelity National Financial, Inc.:

    

5.500%, 9-1-22

     750       814  

3.400%, 6-15-30

     1,850       1,987  
   

 

 

  
      4,916  
   

 

 

  

Total Financials - 26.1%

 

     171,256  

 

  

Health Care

 

Biotechnology – 0.6%

 

Amgen, Inc.:

    

3.875%, 11-15-21

     2,071       2,132  

4.950%, 10-1-41

     1,500       1,981  
   

 

 

  
      4,113  
   

 

 

  

Health Care Distributors – 0.4%

 

McKesson Corp.,
3.650%, 11-30-20

     2,500       2,513  

Health Care Equipment – 1.0%

 

Becton Dickinson & Co.,
2.894%, 6-6-22

     3,000       3,104  

Boston Scientific Corp.,
4.550%, 3-1-39

     1,875       2,344  

Zimmer Biomet Holdings, Inc.,
5.750%, 11-30-39

     725       965  
      6,413  
   

 

 

  

Health Care Facilities – 0.7%

 

HCA, Inc. (GTD by HCA Holdings, Inc.),
4.750%, 5-1-23

     2,435       2,656  

Universal Health Services, Inc.,
2.650%, 10-15-30(A)

     1,925       1,916  
      4,572  
   

 

 

  

Health Care Services – 0.6%

 

Cigna Corp.,
3.400%, 9-17-21

     2,500       2,573  

CVS Caremark Corp.,
3.875%, 7-20-25

     1,250       1,409  
      3,982  
   

 

 

  

Health Care Supplies – 0.8%

 

Abbott Laboratories,
4.750%, 11-30-36

     1,315       1,758  

Dentsply Sirona, Inc.,
3.250%, 6-1-30

     2,523       2,741  

Shire Acquisitions Investments Ireland Designated Activity Co., 2.400%, 9-23-21

     274       279  
      4,778  
   

 

 

  

Managed Health Care – 1.6%

 

Humana, Inc.,
2.900%, 12-15-22

     5,000       5,231  

UnitedHealth Group, Inc.:

    

3.500%, 2-15-24

     2,500       2,745  

2.750%, 5-15-40

     1,400       1,470  

3.700%, 8-15-49

     1,000       1,194  
   

 

 

  
      10,640  
   

 

 

  

Pharmaceutials – 0.2%

 

Royalty Pharma plc (GTD by Royalty Pharma Holdings Ltd.):

    

2.200%, 9-2-30(A)

     750       745  

3.300%, 9-2-40(A)

     750       735  
   

 

 

  
      1,480  
   

 

 

  

Pharmaceuticals – 1.4%

 

Bayer U.S. Finance LLC,
3.000%, 10-8-21(A)

     1,500       1,538  

Elanco Animal Health, Inc.:

    

4.912%, 8-27-21(B)

     1,250       1,283  

5.022%, 8-28-23(B)

     1,500       1,607  

Merck & Co., Inc.,
2.350%, 6-24-40

     1,250       1,268  

Novartis Capital Corp. (GTD by Novartis AG),
2.750%, 8-14-50

     1,850       1,982  

Zoetis, Inc.,
4.700%, 2-1-43

     1,100       1,446  
      9,124  
   

 

 

  

Total Health Care - 7.3%

 

     47,615  

 

  

Industrials

 

Aerospace & Defense – 2.0%

 

BAE Systems Holdings, Inc.,
3.850%, 12-15-25(A)

     1,500       1,693  

Boeing Co. (The):

    

1.650%, 10-30-20(D)

     500       500  

2.950%, 2-1-30

     2,000       1,934  

3.750%, 2-1-50

     3,375       3,088  

Harris Corp.,
5.054%, 4-27-45

     1,500       2,032  

Raytheon Technologies Corp.,
3.125%, 7-1-50

     1,075       1,147  

Rockwell Collins, Inc.,
2.800%, 3-15-22(A)

     1,500       1,547  

Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.),
4.600%, 6-15-28

     720       591  

United Technologies Corp.,
4.625%, 11-16-48

     400       520  
            13,052  
   

 

 

  
 

Agricultural & Farm Machinery – 0.3%

 

CNH Industrial Capital LLC (GTD by CNH Industrial Capital America LLC and New Holland Credit Co. LLC),
1.950%, 7-2-23

     1,850       1,880  

Airlines – 0.6%

 

Aviation Capital Group Corp.,
2.875%, 1-20-22(A)

     3,000       2,977  

Sydney Airport Finance,
3.625%, 4-28-26(A)

     1,000       1,081  
   

 

 

  
      4,058  
   

 

 

  

Building Products – 0.4%

 

Lennox International, Inc.,
1.350%, 8-1-25

     2,500       2,518  

Diversified Support Services – 0.2%

 

Genpact Luxembourg S.a.r.l. (GTD by Genpact Ltd.),
3.375%, 12-1-24

     1,500       1,571  

Environmental & Facilities Services – 1.3%

 

Republic Services, Inc.,
3.050%, 3-1-50

     3,800       3,980  

Waste Connections, Inc.,
3.500%, 5-1-29

     1,549       1,763  

Waste Management, Inc. (GTD by Waste Management Holdings, Inc.),
4.100%, 3-1-45

     2,500       3,053  
      8,796  
   

 

 

  

Industrial Machinery – 0.6%

 

IDEX Corp.,
3.000%, 5-1-30

     1,530       1,683  

Roper Technologies, Inc.,
2.950%, 9-15-29

     2,000       2,200  
   

 

 

  
            3,883  
   

 

 

  

Railroads – 0.8%

 

Burlington Northern Santa Fe LLC,
4.550%, 9-1-44

     1,000       1,299  

Kansas City Southern,
4.300%, 5-15-43

     1,475       1,556  

Union Pacific Corp.,
3.550%, 8-15-39

     1,875       2,142  
      4,997  
   

 

 

  

Research & Consulting Services – 1.1%

 

CoStar Group, Inc.,
2.800%, 7-15-30(A)

     1,850       1,916  

IHS Markit Ltd.,
5.000%, 11-1-22(A)

     1,705       1,830  

RELX Capital, Inc. (GTD by RELX plc),
4.000%, 3-18-29

     1,148       1,349  

Verisk Analytics, Inc.,
3.625%, 5-15-50

     1,605       1,826  
      6,921  
   

 

 

  

Total Industrials - 7.3%

 

     47,676  

 

  

Information Technology

 

Application Software – 2.2%

 

Adobe, Inc.,
2.300%, 2-1-30

     4,050       4,368  

Autodesk, Inc.,
2.850%, 1-15-30

     3,500       3,849  

Infor, Inc.,
1.750%, 7-15-25(A)

     3,270       3,370  

NXP B.V. and NXP Funding LLC,
4.625%, 6-1-23(A)

     2,595       2,841  
      14,428  
   

 

 

  

Communications Equipment – 0.2%

 

Motorola Solutions, Inc., 5.500%, 9-1-44

     1,200       1,388  

Data Processing & Outsourced Services – 1.8%

 

Global Payments, Inc.,
2.650%, 2-15-25

     3,000       3,183  

PayPal Holdings, Inc.:

    

2.650%, 10-1-26

     2,050       2,237  

2.300%, 6-1-30

     2,600       2,743  

Visa, Inc.,
2.700%, 4-15-40

     3,397       3,667  
      11,830  
   

 

 

  

Electronic Components – 0.4%

 

Amphenol Corp.,
2.050%, 3-1-25

     695       728  

Maxim Integrated Products, Inc.,
3.450%, 6-15-27

     1,700       1,894  
      2,622  
   

 

 

  

IT Consulting & Other Services – 0.3%

 

Leidos, Inc. (GTD by Leidos Holdings, Inc.):

    

2.950%, 5-15-23(A)

     478       502  

4.375%, 5-15-30(A)

     1,275       1,492  
   

 

 

  
      1,994  
   

 

 

  

Semiconductor Equipment – 0.3%

 

Lam Research Corp.:

    

3.750%, 3-15-26

     1,275       1,462  

2.875%, 6-15-50

     415       429  
   

 

 

  
      1,891  
   

 

 

  

Semiconductors – 3.8%

 

Broadcom, Inc.,
5.000%, 4-15-30

     2,000       2,359  

Intel Corp.:

    

4.000%, 12-15-32

     1,500       1,859  

4.100%, 5-19-46

     4,000       4,982  

Microchip Technology, Inc.,
3.922%, 6-1-21

     2,750       2,810  

QUALCOMM, Inc.:

    

4.800%, 5-20-45

     500       669  

4.300%, 5-20-47

     1,500       1,923  

Taiwan Semiconductor Manufacturing Co. Ltd., 1.375%, 9-28-30(A)

     2,500       2,453  

Texas Instruments, Inc.:

    

3.875%, 3-15-39

     3,500       4,320  

4.150%, 5-15-48

     400       522  

Xilinx, Inc.,
2.375%, 6-1-30

     2,625       2,762  
      24,659  
   

 

 

  

Systems Software – 1.1%

 

Microsoft Corp.,
3.450%, 8-8-36

     4,500       5,442  

ServiceNow, Inc.,
1.400%, 9-1-30

     2,050       1,992  
      7,434  
   

 

 

  

Technology Hardware, Storage & Peripherals – 2.2%

 

Apple, Inc.:

    

2.400%, 5-3-23

     2,895       3,046  

4.500%, 2-23-36

     2,500       3,340  

3.850%, 5-4-43

     1,350       1,680  

3.850%, 8-4-46

     2,300       2,871  

2.950%, 9-11-49

     725       793  

2.400%, 8-20-50

     1,667       1,669  

Seagate HDD Cayman (GTD by Seagate Technology plc), 5.750%, 12-1-34

     875       994  
            14,393  
   

 

 

  
Total Information Technology - 12.3%

 

     80,639  

 

  

Materials

 

Construction Materials – 0.1%

 

Vulcan Materials Co.,
3.900%, 4-1-27

     425       482  

Diversified Chemicals – 0.2%

 

DowDuPont, Inc.,
4.205%, 11-15-23

     1,300       1,429  

Diversified Metals & Mining – 0.2%

 

Anglo American Capital plc,
3.750%, 4-10-22(A)

     1,500       1,554  

Fertilizers & Agricultural Chemicals – 0.3%

 

Mosaic Co. (The),
4.250%, 11-15-23

     400       434  

Nutrien Ltd.,
5.250%, 1-15-45

     1,320       1,682  
      2,116  
   

 

 

  

Metal & Glass Containers – 0.1%

 

Colonial Enterprises, Inc.,
3.250%, 5-15-30(A)

     700       785  

Specialty Chemicals – 0.6%

 

Ecolab, Inc.,
4.800%, 3-24-30

     850       1,080  

Methanex Corp.,
5.250%, 3-1-22

     2,404       2,547  
            3,627  
   

 

 

  

Total Materials - 1.5%

 

     9,993  

 

  

Real Estate

 

Health Care REITs – 0.2%

 

Healthpeak Properties, Inc.,
2.875%, 1-15-31

     1,025       1,085  

Industrial REITs – 0.2%

 

Aircastle Ltd.,
5.500%, 2-15-22

     598       611  

Avolon Holdings Funding Ltd.,
3.250%, 2-15-27(A)

     1,000       892  
      1,503  
   

 

 

  

Specialized REITs – 2.2%

 

American Tower Corp.:

    

3.070%, 3-15-23(A)

     1,500       1,531  

3.000%, 6-15-23

     2,500       2,647  

4.400%, 2-15-26

     1,000       1,141  

American Tower Trust I,
3.652%, 3-23-28(A)

     1,000       1,084  

Crown Castle International Corp.:

    

5.250%, 1-15-23

     1,027       1,128  

3.200%, 9-1-24

     1,250       1,348  

4.000%, 3-1-27

     2,000       2,271  

CubeSmart L.P. (GTD by CubeSmart),
4.375%, 2-15-29

     1,615       1,894  

Life Storage L.P. (GTD by Life Storage, Inc.),
2.200%, 10-15-30

     425       424  

Public Storage, Inc.,
3.385%, 5-1-29

     700       807  
      14,275  
   

 

 

  

Total Real Estate - 2.6%

 

     16,863  

 

  

Utilities

 

Electric Utilities – 3.1%

 

Appalachian Power Co.,
4.500%, 3-1-49

     1,500       1,871  

CenterPoint Energy, Inc.:

    

4.250%, 11-1-28

     1,683       2,006  

2.950%, 3-1-30

     750       821  

Commonwealth Edison Co.,
3.650%, 6-15-46

     3,000       3,534  

Duke Energy Indiana LLC,
3.750%, 5-15-46

     1,000       1,168  

Entergy Corp.:

    
 

 

0.900%, 9-15-25

     1,300       1,298  

3.750%, 6-15-50

     1,200       1,364  

National Rural Utilities Cooperative Finance Corp.,
4.400%, 11-1-48

     2,000       2,617  

Southern California Edison Co.,
4.125%, 3-1-48

     1,525       1,667  

Virginia Electric and Power Co., Series B,
4.600%, 12-1-48

     1,736       2,365  

Wisconsin Electric Power Co.:

    

4.250%, 6-1-44

     250       296  

4.300%, 10-15-48

     1,250       1,592  
   

 

 

  
            20,599  
   

 

 

  

Gas Utilities – 0.3%

 

Southern California Gas Co.,
4.300%, 1-15-49

     1,500       1,907  

Independent Power Producers & Energy Traders – 0.4%

 

Black Hills Corp.,
4.350%, 5-1-33

     2,000       2,402  

Multi-Utilities – 1.6%

 

Baltimore Gas and Electric Co.,
4.250%, 9-15-48

     1,500       1,903  

Dominion Energy, Inc.:

    

3.600%, 3-15-27

     2,000       2,274  

4.600%, 3-15-49

     1,200       1,599  

Dominion Resources, Inc.,
2.750%, 1-15-22

     3,000       3,076  

Public Service Electric and Gas Co.,
1.900%, 3-15-21

     2,000       2,012  
      10,864  
   

 

 

  

Water Utilities – 0.5%

 

American Water Capital Corp.,
4.150%, 6-1-49

     2,500       3,133  

Total Utilities - 5.9%

 

     38,905  

 

  

TOTAL CORPORATE DEBT SECURITIES – 93.3%

 

     $611,081  

 

  

(Cost: $577,789)

 

MORTGAGE-BACKED
SECURITIES		            

 

  

Non-Agency REMIC/CMO - 0.1%

 

MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index),
3.365%, 3-25-35(C)

     847       671  

TOTAL MORTGAGE-BACKED SECURITIES – 0.1%

 

     $671  

 

  

(Cost: $843)

 

MUNICIPAL BONDS -
TAXABLE		            

 

  

New York – 0.6%

 

NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, 11.000%, 3-1-29 (A)

     2,805       3,866  

Ohio – 0.4%

 

OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A,
3.798%, 12-1-46

     2,000       2,520  

TOTAL MUNICIPAL BONDS - TAXABLE – 1.0%

 

     $6,386  

 

  

(Cost: $4,805)

 

OTHER GOVERNMENT

SECURITIES(E)

            

 

  

Canada - 0.5%

 

Province de Quebec,
7.140%, 2-27-26

     2,500       3,248  

TOTAL OTHER GOVERNMENT SECURITIES – 0.5%

 

     $3,248  

 

  

(Cost: $2,675)

 

UNITED STATES
GOVERNMENT AGENCY
OBLIGATIONS		            

 

  

Agency Obligations - 0.2%

 

Tennessee Valley Authority,
2.875%, 2-1-27

     1,000       1,136  
   

 

 

  

Mortgage-Backed Obligations - 0.0%

 

Government National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index),
0.004%, 6-17-45(C)(F)

     11       —*  

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.2%

 

     $1,136  

 

  

(Cost: $1,001)

 

SHORT-TERM

SECURITIES

   Shares        

 

  

Money Market Funds(H) - 2.9%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares,
0.040%(G)

     207       207  

State Street Institutional U.S. Government Money Market Fund - Premier Class,
0.030%

     18,878       18,878  
      19,085  
   

 

 

  

TOTAL SHORT-TERM SECURITIES – 2.9%

 

     $19,085  

 

  

(Cost: $19,085)

 

TOTAL INVESTMENT SECURITIES – 99.5%

 

     $652,018  

 

  

(Cost: $616,836)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES(I) – 0.5%

 

     3,248  

 

  

NET ASSETS – 100.0%

 

     $655,266  

 

  

    

 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

(A)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $118,287 or 18.1% of net assets.

(B)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020.

(C)

Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description.

(D)

All or a portion of securities with an aggregate value of $371 are on loan.

(E)

Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

(F)

Interest-only security. Amount shown as principal represents notional amount for computation of interest.

(G)

Investment made with cash collateral received from securities on loan.

(H)

Rate shown is the annualized 7-day yield at September 30, 2020.

(I)

Cash of $104 has been pledged as collateral on open futures contracts.

The following futures contracts were outstanding at September 30, 2020 (contracts unrounded):

 

Description    Type      Number
of
Contracts		    Expiration Date    Notional
Amount		    Value     Unrealized
Depreciation

U.S. 10-Year Treasury Note

      Short      67    12-21-20    6,700            $ (9,349 )    $(25)
                  

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of September 30, 2020:

 

      Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

  Asset-Backed Securities

    $ —      $ 10,411      $             —  

  Corporate Debt Securities

      —          611,081        —  

  Mortgage-Backed Securities

      —        671        —  

  Municipal Bonds

      —        6,386        —  

  Other Government Securities

      —        3,248        —  

  United States Government Agency Obligations

      —        1,136        —  

  Short-Term Securities

      19,085        —        —  
        

   Total

    $     19,085      $ 632,933      $ —  
        

Liabilities

         

Futures Contracts

    $ 25      $ —      $ —  
        

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

LIBOR = London Interbank Offered Rate

REIT = Real Estate Investment Trust

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at September 30, 2020 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

                  $616,836  
  

 

 

  

Gross unrealized appreciation

      38,730  

Gross unrealized depreciation

      (3,548)  
  

 

 

  

Net unrealized appreciation

      $35,182