Emerging Markets Equity Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
| Common Stocks (93.8%) | Country | Shares/ Par + | Value $ (000’s) | |||||
| Communication Services (6.1%) |
||||||||
| Telkom Indonesia Persero Tbk PT |
Indonesia | 29,118,700 | 8,482 | |||||
| Tencent Holdings, Ltd. |
China | 1,039,000 | 35,089 | |||||
| Vodacom Group, Ltd. |
South Africa | 409,463 | 2,746 | |||||
| Total |
46,317 | |||||||
| Consumer Discretionary (12.1%) |
||||||||
| Alibaba Group Holding, Ltd. * |
China | 3,253,400 | 32,634 | |||||
| China Tourism Group Duty Free Corp., Ltd. - Class A |
China | 286,686 | 7,961 | |||||
| China Tourism Group Duty Free Corp., Ltd. - Class H * |
China | 193,500 | 4,864 | |||||
| JD.com, Inc. - Class A |
China | 655,300 | 16,547 | |||||
| Maruti Suzuki India, Ltd. |
India | 67,901 | 7,355 | |||||
| MercadoLibre, Inc. * |
Brazil | 8,906 | 7,372 | |||||
| Midea Group Co., Ltd. - Class A |
China | 1,310,667 | 9,107 | |||||
| Zhongsheng Group Holdings, Ltd. |
China | 1,551,000 | 6,098 | |||||
| Total |
91,938 | |||||||
| Consumer Staples (8.8%) |
||||||||
| Budweiser Brewing Co. APAC, Ltd. |
China | 4,705,400 | 12,265 | |||||
| Fomento Economico Mexicano SAB de CV, ADR |
Mexico | 186,907 | 11,728 | |||||
| Foshan Haitian Flavouring and Food Co., Ltd. - Class A |
China | 754,484 | 8,771 | |||||
| Hindustan Unilever, Ltd. |
India | 479,301 | 15,786 | |||||
| Kweichow Moutai Co., Ltd. - Class A |
China | 43,473 | 11,435 | |||||
| Raia Drogasil SA |
Brazil | 1,639,141 | 6,907 | |||||
| Total |
66,892 | |||||||
| Energy (2.0%) |
||||||||
| LUKOIL PJSC Æ |
Russia | 225,143 | – | |||||
| NovaTek PJSC Æ |
Russia | 795,201 | – | |||||
| PTT Exploration & Production PCL - Foreign Shares |
Thailand | 3,637,600 | 15,478 | |||||
| Total |
15,478 | |||||||
| Financials (27.3%) |
||||||||
| AIA Group, Ltd. |
Hong Kong | 1,745,400 | 14,491 | |||||
| B3 SA - Brasil, Bolsa, Balcao |
Brazil | 3,857,830 | 9,333 | |||||
| Banco Bradesco SA, ADR |
Brazil | 4,416,757 | 16,254 | |||||
| Banco Santander Chile, ADR |
Chile | 440,748 | 6,175 | |||||
| Bank Central Asia Tbk PT |
Indonesia | 34,615,000 | 19,323 | |||||
| Bank of the Philippine Islands |
Philippines | 2,680,376 | 4,095 | |||||
| China Merchants Bank Co., Ltd. - Class H |
China | 3,087,500 | 14,285 | |||||
| Credicorp, Ltd. |
Peru | 30,500 | 3,745 | |||||
| Grupo Financiero Banorte SAB de CV |
Mexico | 2,977,752 | 19,121 | |||||
| Hong Kong Exchanges & Clearing, Ltd. |
Hong Kong | 251,492 | 8,539 | |||||
| Common Stocks (93.8%) | Country | Shares/ Par + | Value $ (000’s) | |||||
| Financials continued |
||||||||
| Housing Development Finance Corp., Ltd. |
India | 1,001,574 | 27,891 | |||||
| Kasikornbank PCL - Foreign Shares |
Thailand | 1,970,100 | 7,599 | |||||
| Kotak Mahindra Bank, Ltd. |
India | 734,791 | 16,264 | |||||
| PT Bank Rakyat Indonesia Persero Tbk |
Indonesia | 43,958,756 | 12,931 | |||||
| Sanlam, Ltd. |
South Africa | 2,825,439 | 7,998 | |||||
| Sberbank of Russia PJSC *,Æ |
Russia | 1,471,064 | – | |||||
| SBI Life Insurance Co., Ltd. |
India | 1,290,676 | 19,748 | |||||
| Total |
207,792 | |||||||
| Health Care (2.4%) |
||||||||
| Shenzhen Mindray Bio- Medical Electronics Co., Ltd. |
China | 210,106 | 8,872 | |||||
| Wuxi Biologics Cayman, Inc. * |
China | 1,533,000 | 9,185 | |||||
| Total |
18,057 | |||||||
| Industrials (6.4%) |
||||||||
| Grupo Aeroportuario del Sureste SAB de CV - Class B |
Mexico | 343,370 | 6,763 | |||||
| NARI Technology Co., Ltd. - Class A |
China | 2,843,232 | 9,926 | |||||
| Rumo SA |
Brazil | 2,410,817 | 8,259 | |||||
| Samsung Engineering Co., Ltd. * |
South Korea | 684,375 | 10,784 | |||||
| Sungrow Power Supply Co., Ltd. - Class A |
China | 410,997 | 6,347 | |||||
| WEG SA |
Brazil | 1,097,046 | 6,536 | |||||
| Total |
48,615 | |||||||
| Information Technology (17.2%) |
||||||||
| ASM International NV |
Netherlands | 21,243 | 4,753 | |||||
| ASML Holding NV |
Netherlands | 15,815 | 6,560 | |||||
| Delta Electronics, Inc. |
Taiwan | 1,115,000 | 8,861 | |||||
| Globant SA * |
United States | 34,929 | 6,534 | |||||
| Hon Hai Precision Industry Co., Ltd. |
Taiwan | 3,645,000 | 11,636 | |||||
| LONGi Green Energy Technology Co., Ltd. - Class A |
China | 1,494,242 | 10,036 | |||||
| Samsung Electronics Co., Ltd. |
South Korea | 370,318 | 13,607 | |||||
| Taiwan Semiconductor Manufacturing Co., Ltd. |
Taiwan | 4,040,290 | 53,107 | |||||
| Tata Consultancy Services, Ltd. |
India | 362,588 | 13,258 | |||||
| Yonyou Network Technology Co., Ltd. - Class A |
China | 1,237,380 | 3,057 | |||||
| Total |
131,409 | |||||||
| Materials (8.9%) |
||||||||
| Anglo American Platinum, Ltd. |
South Africa | 190,573 | 13,382 | |||||
| Grupo Mexico SAB de CV |
Mexico | 4,236,628 | 14,330 | |||||
Emerging Markets Equity Portfolio
| Common Stocks (93.8%) | Country | Shares/ Par + | Value $ (000’s) | |||||
| Materials continued |
||||||||
| LG Chem, Ltd. |
South Korea | 37,623 | 13,942 | |||||
| Mondi PLC |
Austria | 697,977 | 10,771 | |||||
| UltraTech Cement, Ltd. |
India | 120,558 | 9,254 | |||||
| Yunnan Energy New Material Co., Ltd. - Class A |
China | 264,883 | 6,500 | |||||
| Total |
68,179 | |||||||
| Real Estate (1.2%) |
||||||||
| China Resources Land, Ltd. |
China | 2,320,000 | 9,045 | |||||
| Total |
9,045 | |||||||
| Utilities (1.4%) |
||||||||
| Power Grid Corp. of India, Ltd. |
India | 4,092,090 | 10,589 | |||||
| Total |
10,589 | |||||||
| Total Common Stocks (Cost: $832,979) |
|
714,311 | ||||||
| Preferred Stocks (3.5%) | Country | Shares/ Par + | Value $ (000’s) | |||||
| Information Technology (3.5%) |
||||||||
| Samsung Electronics Co., Ltd. |
South Korea | 809,516 | 26,340 | |||||
| Total |
26,340 | |||||||
| Total Preferred Stocks (Cost: $31,441) |
|
26,340 | ||||||
| Short-Term Investments (3.1%) |
||||||||
| Money Market Funds (3.1%) |
||||||||
| State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940%# |
United States | 23,361,089 | 23,361 | |||||
| Total |
23,361 | |||||||
| Total Short-Term Investments (Cost: $23,361) |
|
23,361 | ||||||
| Total Investments (100.4%) (Cost: $887,781)@ |
|
764,012 | ||||||
| Other Assets, Less Liabilities (-0.4%) |
|
(2,884) | ||||||
| Net Assets (100.0%) |
|
761,128 | ||||||
| Investments by Country of Risk as a Percentage of Net Assets: |
||||
| China |
29.1% | |||
| India |
15.8% | |||
| Taiwan |
9.7% | |||
| South Korea |
8.5% | |||
| Brazil |
7.2% | |||
| Mexico |
6.8% | |||
| Indonesia |
5.4% | |||
| Other |
17.9% | |||
|
|
|
|||
| Total |
100.4% | |||
|
|
|
| + | All par is stated in U.S. Dollar unless otherwise noted. |
| * | Non income producing |
| Æ | Security valued using significant unobservable inputs. |
| # | 7-Day yield as of 9/30/2022. |
| @ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $887,781 and the net unrealized depreciation of investments based on that cost was $123,769 which is comprised of $72,867 aggregate gross unrealized appreciation and $196,636 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
Emerging Markets Equity Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
| Valuation Inputs | ||||||||||||
| Description | Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Inputs | |||||||||
| (Amounts in thousands) | ||||||||||||
| Assets: |
||||||||||||
| Preferred Stocks |
$ | — | $ | 26,340 | $ | — | ||||||
| Common Stocks |
||||||||||||
| Consumer Discretionary |
12,236 | 79,702 | — | |||||||||
| Consumer Staples |
18,635 | 48,257 | — | |||||||||
| Energy |
— | 15,478 | — | |||||||||
| Financials |
54,628 | 153,164 | — | |||||||||
| Industrials |
21,558 | 27,057 | — | |||||||||
| Information Technology |
6,534 | 124,875 | — | |||||||||
| Materials |
14,330 | 53,849 | — | |||||||||
| All Others |
— | 84,008 | — | |||||||||
| Short-Term Investments |
23,361 | — | — | |||||||||
|
|
|
| ||||||||||
| Total Assets: |
$ | 151,282 | $ | 612,730 | $ | — | ||||||
|
|
|
| ||||||||||
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended September 30, 2022.
For the period ended September 30, 2022, there were transfers from Level 1 to level 3 and Level 2 to Level 3 in the amount of $0 (in thousands). These transfers were the result of the third party vendor not being able to provide a daily price due to the liquidity and current market conditions in Russia.
Abbreviations
Abbreviations that may be used in the preceding statements
| ADR |
American Depositary Receipt | |
| AFC |
Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
| CSTR |
Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
| EXE |
Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
| IO |
Interest Only Security | |
| PO |
Principal Only Security | |
| GDR |
Global Depositary Receipt | |
| GO |
General Obligation | |
| RB |
Revenue Bond | |
| CPURNSA |
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
| LIBOR |
London Interbank Offered Rate | |
| SOFR |
Secured Overnight Financing Rate | |
| ICE |
Intercontinental Exchange | |
| SONIO |
Sterling Overnight Interbank Average Rate | |
| DAC |
Designated Activity Company | |
| TBA |
To Be Announced | |
| OIS |
Overnight Index Swaps | |
| DIFC |
Dubai International Financial Centre | |
| EURIBOR |
Euro Interbank Offered Rate | |
| SDR |
Swedish Depository Receipt | |
| ETF |
Exchange Traded Fund |
| Currency Abbreviations | ||
| ARS |
Argentine Peso | |
| AUD |
Australian Dollar | |
| BRL |
Brazilian Real | |
| CAD |
Canadian Dollar | |
| CHF |
Swiss Franc | |
| CNH |
Chinese Yuan Renminbi - Offshore | |
| CNY |
Chinese Yuan Renminbi | |
| DKK |
Danish Krone | |
| EUR |
Euro | |
| GBP |
British Pound | |
| HKD |
Hong Kong Dollar | |
| IDR |
Indonesian Rupiah | |
| INR |
Indian Rupee | |
| JPY |
Japanese Yen | |
| KES |
Kenyan Shilling | |
| KRW |
South Korean Won | |
| MXN |
Mexican New Peso | |
| NOK |
Norwegian Krone | |
| NZD |
New Zealand Dollar | |
| PHP |
Philippines Peso | |
| RUB |
Russian Ruble | |
| SEK |
Swedish Krona | |
| THB |
Thai Baht | |
| TWD |
Taiwan Dollar | |
| USD |
United States Dollar | |
| ZAR |
South African Rand | |