MM1290B 05 178035 MM1291semi
User Manual: 178035
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STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Amounts in thousands, except per share amounts
Balanced
Bond Market
Core Plus
Account
Index Account
Bond Account(a)
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
41,817
$
2,174,990
$
324,853
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
44,307
$
2,238,612
$
329,855
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
133
17
1,939
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
128
11,045
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
20
40
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
125
31,365
3,326
–
–
5
44,564
2,281,175
335,182
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
21
419
113
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
7
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
16
9
Variation margin on financial derivative instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
22
5,882
394
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,510
184,026
28,528
Short sales (proceeds received $0, $510 and $0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
510
–
Variation margin on financial derivative instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
85
1,561
Total Liabilities
190,860
29,131
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
43,003
$
2,090,315
$
306,051
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
36,497
$
1,972,753
$
324,443
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
1,274
55,963
12,954
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,742
(2,023)
(36,564)
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
2,490
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63,622
$
100,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
43,003
43,003
18.11
N/A
5,218
$
200,000
$
2,375
$
2,090,315
2,090,315
300,000
$
194,880
$
(a)
Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
See accompanying notes.
1
306,009
26,216
10.73
$
11.67
N/A
$
42
$
11.64
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
306,051
4
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Diversified
Balanced
Amounts in thousands, except per share amounts
Diversified
Managed
Balanced
Volatility
Diversified
Account
Account
Growth Account
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
903,032
$
150,269
$
2,914,503
Assets
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,079,026
$
154,818
$
3,400,517
Receivables:
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
3,655
275
6,429
1,082,681
155,093
3,406,946
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
44
6
138
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
220
32
692
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1
10
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
4
5
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
3,655
275
6,429
3,928
318
7,274
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,078,753
$
154,775
$
3,399,672
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
880,388
$
148,494
$
2,838,051
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
11,807
844
37,398
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
10,564
888
38,209
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
175,994
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
2
4,549
$
250,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,078,753
1,078,753
14.70
486,014
$
200,000
$
73,372
$
154,775
154,775
300,000
$
13,885
$
11.15
3,399,672
3,399,672
217,249
$
15.65
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Diversified
Growth
Managed
Amounts in thousands, except per share amounts
Diversified
Volatility
Diversified
International
Account
Income Account
Account
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
–
$
234,096
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
280,847
$
210,116
$
–
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
–
$
251,230
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
287,547
228,165
–
1,318
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
242
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
148
2,485
1,957
287,695
230,650
254,747
179
Total Assets
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
9
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
58
46
–
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
4
42
Cash overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
64
Payables:
Deferred foreign tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
26
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
148
2,485
302
–
–
1,380
223
2,546
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
1,995
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
287,472
$
228,104
$
252,752
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
277,407
$
206,774
$
326,871
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
1,315
1,977
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,050
1,304
(100,239)
9,109
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,700
18,049
17,108
–
–
Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign
currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
$
287,472
$
228,104
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
200,000
50,000
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
N/A
(97)
$
300,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
3
251,427
18,828
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
252,752
287,472
$
25,738
$
11.17
228,104
$
13.35
$
1,325
$
13.44
18,382
$
12.41
99
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Government &
Equity
High Quality
Amounts in thousands, except per share amounts
Income Account
Bond Account
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
339,758
$
258,622
$
226,279
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
539,727
$
260,938
$
237,693
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Income Account
–
3
171
2,350
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,442
1,480
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
84
82
5
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,137
1,253
833
544,390
263,756
241,052
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
219
111
101
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1
1
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11
5
4
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
3,131
259
355
3,368
378
463
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
541,022
$
263,378
$
240,589
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
281,993
$
270,204
$
216,534
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
24,399
13,560
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
34,661
(22,702)
(1,377)
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
199,969
2,316
11,414
Total Net Assets
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
541,022
$
200,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
517,419
263,378
14,018
$
200,000
$
22,184
260,522
240,589
200,000
$
24,782
237,371
21,842
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
23.32
$
10.51
$
10.87
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
23,603
$
2,856
$
3,218
$
10.50
$
10.81
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
4
1,020
$
23.13
272
298
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
International
LargeCap
Emerging
LargeCap
Growth
Amounts in thousands, except per share amounts
Markets Account
Growth Account
Account I
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
81,392
$
88,551
$
189,547
Foreign currency--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
73
$
–
$
–
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
86,233
$
102,567
$
239,869
Foreign currency--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
73
–
–
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
111
Deposits with counterparty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
530
136
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
402
50
Expense reimbursement from Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
3
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
63
9
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
723
–
2,016
Variation margin on financial derivative instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
68
Prepaid professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11
–
–
87,449
102,680
242,742
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
87
58
152
Accrued custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
21
–
–
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
2
Total Assets
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4
9
Cash overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9
–
–
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
86
55
443
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
101
1,054
204
Total Liabilities
220
1,660
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
87,245
$
102,460
$
241,082
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
111,562
$
93,741
$
167,372
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
1,652
553
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
(30,811)
(5,850)
23,284
118
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,841
14,016
50,308
Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign
currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
$
87,245
$
200,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
87,175
102,460
–
$
300,000
$
6,441
101,343
241,082
200,000
$
240,573
4,167
9,429
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
13.53
$
24.32
$
25.51
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
70
$
1,117
$
509
$
25.45
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
5
5
$
13.50
46
$
24.20
20
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
LargeCap S&P
LargeCap
Amounts in thousands, except per share amounts
500 Managed
S&P 500
Volatility
LargeCap
Index Account
Index Account
Value Account
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,631,134
$
174,730
$
128,885
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
2,160,967
$
183,547
$
138,271
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
–
–
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,387
189
122
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
173
–
11
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,677
137
–
Variation margin on financial derivative instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
404
22
–
2,165,609
183,895
138,404
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
441
68
66
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
2
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
6
4
Total Assets
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,918
162
69
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,473
201
–
Options and swaptions contracts written (premiums received $0, $384 and $0) . . . . . . . . . .
–
158
–
7,846
597
141
Total Liabilities
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
2,157,763
$
183,298
$
138,263
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,513,088
$
173,011
$
116,169
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
56,489
3,345
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
58,142
(2,116)
8,555
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
530,044
9,058
9,386
Total Net Assets
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,157,763
300,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,157,547
$
14.94
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
216
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
6
183,298
$
100,000
$
144,418
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
4,153
183,298
200,000
$
15,770
$
14.90
138,238
4,685
11.62
$
29.51
N/A
$
25
$
29.42
15
$
138,263
1
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Principal Capital
Multi-Asset
Appreciation
Account
Amounts in thousands, except per share amounts and Multi-Asset Income Account
MidCap Account
Income Account
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
430,989
$
–
$
118,265
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
21,014
$
–
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
613,281
$
–
$
156,330
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
20,493
–
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
275
–
–
186
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
281
80
Expense reimbursement from Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
5,165
–
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
192
–
58
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
2,990
–
1,231
617,019
25,738
157,805
80
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
268
7
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
23
2
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
914
2
Accrued professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4,302
–
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
10
8
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
901
–
55
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,443
80
917
2,624
Total Liabilities
5,336
1,064
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
614,395
$
20,402
$
156,741
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
312,792
$
19,994
$
118,910
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
3,984
887
2,688
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
115,327
42
(2,922)
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
182,292
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
614,395
(521)
$
105,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
599,827
20,402
38,065
$
200,000,000
$
10,413
10,213
156,741
200,000
$
148,937
1,000
6,495
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
57.60
$
10.21
$
22.93
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
14,568
$
10,189
$
7,804
$
22.69
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
7
254
$
57.25
1,000
$
10.19
344
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Amounts in thousands, except per share amounts
Principal
Principal
Principal
LifeTime 2010
LifeTime 2020
LifeTime 2030
Account
Account
Account
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
41,474
$
187,256
$
117,693
Assets
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
42,736
$
191,024
$
119,987
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
23
114
62
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
87
110
41
36
–
42,801
191,261
120,159
Liabilities
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
1
Accrued professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
–
–
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4
4
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
43
123
87
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
23
114
85
71
Total Liabilities
243
177
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
42,730
$
191,018
$
119,982
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
40,011
$
177,010
$
110,660
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
1,000
4,077
2,175
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
457
6,163
4,853
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
1,262
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,768
$
100,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42,730
42,730
$
See accompanying notes.
8
190,993
119,982
200,000
$
14,714
119,940
10,273
12.57
$
12.98
$
11.68
N/A
$
25
$
42
$
11.64
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,294
$
200,000
3,400
$
191,018
2
$
12.94
4
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Amounts in thousands, except per share amounts
Principal
Principal
Principal
LifeTime 2040
LifeTime 2050
LifeTime 2060
Account
Account
Account
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
46,286
$
23,079
$
2,606
Assets
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
46,073
$
23,077
$
2,492
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
7
1
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
18
1
20
–
9
46,118
23,102
2,503
Liabilities
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
1
Accrued professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
4
4
10
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
1
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
24
1
51
30
16
Total Liabilities
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
46,067
$
23,072
$
2,487
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
43,927
$
21,741
$
2,499
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
726
355
29
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,627
978
73
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
(213)
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
46,067
(2)
$
200,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
46,046
23,072
200,000
$
3,372
23,037
$
13.66
$
13.15
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
21
$
35
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
9
2
$
13.62
3
$
13.11
2,487
100,000
$
2,487
$
11.80
1,752
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(114)
$
211
N/A
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Principal
LifeTime
Real Estate
Strategic Income
Securities
SAM Balanced
Account
Account
Portfolio
Amounts in thousands, except per share amounts
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
122,372
$
2,117
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
24,345
$
–
$
722,380
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
174,465
$
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
25,537
2,117
799,841
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
549
533
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
267
208
17
–
1,187
25,582
175,281
803,886
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
120
150
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
20
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
4
Accrued professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
–
–
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4
4
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
27
1,394
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
–
2,579
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Payables:
50
Total Liabilities
153
4,151
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
25,532
$
175,128
$
799,735
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
23,836
$
96,436
$
662,290
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
694
4,262
17,382
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
(190)
22,337
42,602
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Assets
1,192
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52,093
$
100,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
25,532
25,532
$
See accompanying notes.
10
172,938
799,735
300,000
$
6,997
702,457
46,421
11.58
$
24.72
$
15.13
N/A
$
2,190
$
97,278
$
24.78
$
14.97
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
77,461
$
300,000
2,205
$
175,128
88
6,497
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
SAM
Amounts in thousands, except per share amounts
Conservative
SAM
Balanced
Conservative
SAM Flexible
Portfolio
Growth Portfolio
Income Portfolio
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,522
$
1
$
1,110
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
193,146
$
272,817
$
198,995
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,522
$
1
$
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,110
208,797
295,763
217,619
257
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
167
141
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42
16
25
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
82
357
175
210,610
296,278
219,186
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
40
54
41
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
22
4
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
4
4
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
123
373
200
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,639
141
1,330
1,812
Total Liabilities
596
1,581
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
208,798
$
295,682
$
217,605
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
183,369
$
257,672
$
190,319
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
5,688
3,875
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,090
11,189
598
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15,651
22,946
18,624
Total Net Assets
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
208,798
$
200,000
$
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
191,081
295,682
8,064
$
200,000
$
16,013
190,635
217,605
200,000
$
10,825
196,851
15,295
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
11.93
$
17.61
$
12.87
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
17,717
$
105,047
$
20,754
$
17.39
$
12.75
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
11
1,502
$
11.80
6,042
1,628
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
SAM Strategic
Short-Term
SmallCap
Amounts in thousands, except per share amounts
Growth Portfolio
Income Account
Account(a)
Investment in securities--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,062
$
166,434
$
188,078
Investment in affiliated Accounts--at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
228,397
$
–
$
–
Assets
Investment in securities--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,062
$
167,258
$
198,067
Investment in affiliated Accounts--at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
238,260
–
–
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
3
–
189
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
92
872
Expense reimbursement from Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
58
650
3
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
84
347
2,247
239,556
169,131
200,506
Liabilities
Accrued management and investment advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
44
69
134
Accrued distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20
–
1
Accrued directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
2
Accrued other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
6
10
Total Assets
Payables:
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
142
28
561
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,119
878
2,701
1,331
Total Liabilities
983
3,409
Net Assets Applicable to Outstanding Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
238,225
$
168,148
$
197,097
Net Assets Consist of:
Capital shares and additional paid-in-capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
216,527
$
178,963
$
185,991
Accumulated undistributed (overdistributed) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
3,026
5,134
Accumulated undistributed (overdistributed) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,809
(16,773)
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,863
Total Net Assets
$
Capital Stock (par value: $.01 per share):
Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value Per Share:
Class 1: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
238,225
$
140,323
(783)
824
$
200,000
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,900
168,148
9,989
$
400,000
$
7,395
165,705
197,097
200,000
$
63,887
192,392
13,980
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
18.98
$
2.59
$
13.76
Class 2: Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
97,902
$
2,443
$
4,705
$
2.58
$
13.72
Shares issued and outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Asset Value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(a)
Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
See accompanying notes.
12
5,220
$
18.76
947
343
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Amounts in thousands
Balanced Account
Bond Market
Core Plus
Index Account
Bond Account(a)
Net Investment Income (Loss)
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Withholding tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
306
$
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Income
–
$
38
–
–
270
21,195
4,953
571
21,195
4,991
(5)
Expenses:
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
128
2,451
660
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9
21
11
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
20
4
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
2
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
1
Total Expenses
141
2,495
678
Net Investment Income (Loss)
430
18,700
4,313
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
475
4,983
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
Short sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(19)
–
Swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
64
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
75
75,363
11,874
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
537
Swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
(403)
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
(935)
560
Change in unrealized appreciation/depreciation of:
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
(a)
550
$
Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
See accompanying notes.
13
980
80,327
$
99,027
11,697
$
16,010
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Diversified
Amounts in thousands
Diversified
Balanced Managed
Diversified
Balanced Account
Volatility Account
Growth Account
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Total Income
–
$
–
–
$
–
–
–
Expenses:
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
259
36
808
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,295
181
4,041
32
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11
2
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
1
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
–
3
Total Expenses
Net Investment Income (Loss)
1,567
220
4,885
(1,567)
(220)
(4,885)
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
519
4
44,491
6,056
(160)
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
130,380
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
14
45,010
$
43,443
6,060
$
5,840
130,220
$
125,335
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Diversified Growth
Diversified
Managed Volatility
Diversified
International
Account
Income Account
Account
Amounts in thousands
Net Investment Income (Loss)
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
–
$
–
$
5,304
Withholding tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
1
–
–
4,734
1,090
Total Income
(571)
Expenses:
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
66
53
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
330
263
2
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
42
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
3
4
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
13
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Expenses
Net Investment Income (Loss)
–
–
1
401
320
1,152
(401)
(320)
3,582
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions (net of foreign taxes of $0, $0 and $3, respectively) . . . . . . . . . . . . .
–
–
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
5
–
Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
(13)
Litigation settlement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
240
(2,536)
Change in unrealized appreciation/depreciation of:
Investments (net of deferred foreign tax payable of $0, $0 and $26, respectively) . . . . . . . .
–
–
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10,165
10,081
–
Translation of assets and liabilities in foreign currencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
27
(7,925)
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
15
10,171
$
9,770
10,086
$
9,766
(10,207)
$
(6,625)
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Government &
Amounts in thousands
Equity
High Quality
Income Account
Bond Account
Income Account
Net Investment Income (Loss)
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
8,209
$
–
$
–
–
–
8
5,173
5,360
8,046
5,173
5,360
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,300
706
626
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
3
3
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
2
2
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
4
4
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
2
Total Expenses
1,342
717
637
Net Investment Income (Loss)
6,704
4,456
4,723
Withholding tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(171)
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Income
Expenses:
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,719
(11)
596
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20,968
5,186
9,679
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
16
32,687
$
39,391
5,175
$
9,631
10,275
$
14,998
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
International
Amounts in thousands
Emerging
LargeCap
LargeCap
Markets Account
Growth Account
Growth Account I
Net Investment Income (Loss)
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Withholding tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,374
$
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
639
$
–
(144)
1,016
(3)
1
3
8
1,231
642
1,021
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
516
368
909
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45
1
8
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
3
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
2
2
576
374
922
Total Income
Expenses:
Total Gross Expenses
–
–
19
Total Net Expenses
576
374
903
Net Investment Income (Loss)
655
268
118
3,751
Less: Reimbursement from Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(6,203)
6,522
Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(56)
–
–
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
250
Litigation settlement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
478
–
–
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,314
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(13,535)
–
(12,050)
19
Translation of assets and liabilities in foreign currencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
–
–
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
17
3,536
$
4,191
(7,013)
$
(6,745)
(8,030)
$
(7,912)
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
LargeCap S&P 500
LargeCap S&P 500
Managed Volatility
LargeCap
Index Account
Index Account
Value Account
Amounts in thousands
Net Investment Income (Loss)
Income:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
22,672
$
1,751
$
1,952
25
12
1
22,697
1,763
1,953
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,566
380
424
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
7
1
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20
3
3
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
2
2
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
1
–
Total Income
Expenses:
Total Expenses
2,606
393
430
Net Investment Income (Loss)
20,091
1,370
1,523
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
17,900
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(221)
Options and swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,418
315
–
–
87
–
44,191
4,174
(355)
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4,784)
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(30)
27
–
Options and swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
282
–
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
18
61,706
$
81,797
4,664
$
6,034
(366)
$
1,157
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Principal
Capital
Amounts in thousands, except for Multi-Asset Income Account
MidCap Account
Multi-Asset
Appreciation
Income Account
Account
Net Investment Income (Loss)
Income:
Dividends from Affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
$
2,233
436
$
–
–
1,437
–
Withholding tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(54)
–
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
–
2
2,180
436
1,439
481
Total Income
Expenses:
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,591
4
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
18
12
9
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
–
1
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
911
3
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
1,502
2
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
3
–
1,622
2,432
496
Less: Reimbursement from Manager - Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,207
–
Less: Reimbursement from Manager - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,204
–
Total Net Expenses
1,622
21
496
Net Investment Income (Loss)
558
415
943
15,123
–
(2,891)
Total Gross Expenses
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,877
–
5,731
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
559
–
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
19
24,000
$
24,558
559
$
974
2,840
$
3,783
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Principal LifeTime
Principal LifeTime
Principal LifeTime
2010 Account
2020 Account
2030 Account
Amounts in thousands
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Total Income
105
$
431
$
195
105
431
195
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
9
5
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
3
2
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
1
Total Expenses
5
13
8
Net Investment Income (Loss)
100
418
187
258
(271)
27
Expenses:
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
958
4,711
2,146
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
20
1,216
$
1,316
4,440
$
4,858
2,173
$
2,360
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Principal LifeTime
Principal LifeTime
Principal LifeTime
2040 Account
2050 Account
2060 Account
Amounts in thousands
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Total Income
41
$
41
19
$
19
2
2
Expenses:
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
1
–
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
1
1
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
1
5
3
2
–
–
1
Total Net Expenses
5
3
1
Net Investment Income (Loss)
36
16
1
(142)
(71)
(7)
644
117
29
502
46
22
Total Gross Expenses
Less: Reimbursement from Manager - Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
21
$
538
$
62
$
23
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Principal LifeTime
Amounts in thousands
Strategic
Real Estate
SAM Balanced
Income Account
Securities Account
Portfolio
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
72
$
–
$
1,944
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2,412
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
72
2,413
1,944
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
702
908
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
3
118
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
3
9
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
1
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
1
Total Expenses
3
711
1,037
Net Investment Income (Loss)
69
1,702
907
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
8,890
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(39)
Total Income
–
Expenses:
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
–
–
(1,711)
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
7,101
–
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
907
–
24,087
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
22
868
$
937
15,991
$
17,693
22,376
$
23,283
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Amounts in thousands
SAM Conservative
SAM Conservative
SAM Flexible
Balanced Portfolio
Growth Portfolio
Income Portfolio
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Total Income
760
$
319
$
1,267
760
319
1,267
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
234
329
246
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
22
127
26
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
4
3
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
1
Total Expenses
260
461
276
Net Investment Income (Loss)
500
(142)
991
Expenses:
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,216)
(3,139)
7,861
9,706
(836)
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,994
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
See accompanying notes.
23
6,645
$
7,145
6,567
$
6,425
9,158
$
10,149
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
Six Months Ended June 30, 2016 (unaudited)
Amounts in thousands
SAM Strategic
Short-Term
SmallCap
Growth Portfolio
Income Account
Account(a)
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
179
$
–
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
$
–
–
2,102
–
1,962
4
179
1,962
2,106
Management and investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
263
405
795
Distribution Fees - Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
117
2
5
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4
–
Directors' expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
3
3
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
2
384
416
805
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Income
Expenses:
Total Gross Expenses
Less: Reimbursement from Manager - Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Net Expenses
Net Investment Income (Loss)
–
8
–
384
408
805
1,554
1,301
(205)
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net realized gain (loss) from:
–
Investment transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investment transactions in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
158
(2,825)
(9,056)
–
–
Change in unrealized appreciation/depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,804
10,187
Investments in affiliated Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,338
–
–
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
Net Increase (Decrease) in Net Assets Resulting from Operations
(a)
Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
See accompanying notes.
24
3,513
$
3,308
1,962
$
3,516
1,131
$
2,432
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Balanced Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bond Market Index Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
430
$
827
$
18,700
$
32,850
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
475
2,319
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
75
(2,899)
Net Increase (Decrease) in Net Assets Resulting from Operations
980
4,964
2,717
75,363
(33,768)
99,027
1,799
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
247
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(844)
–
(28,036)
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(3,238)
–
Total Dividends and Distributions
–
(4,082)
–
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
424
1,479
217,360
456,166
–
4,082
–
28,036
(28,036)
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2,655)
(8,060)
(163,727)
(255,113)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(2,231)
(2,499)
53,633
229,089
Total Increase (Decrease)
(1,251)
(6,334)
152,660
202,852
Net Assets
44,254
50,588
1,937,655
1,734,803
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
43,003
$
44,254
$ 2,090,315
$ 1,937,655
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,274
$
844
$
$
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55,963
37,263
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
77
20,719
44,079
–
224
–
2,746
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(149)
(427)
(15,769)
(24,742)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(125)
(126)
4,950
22,083
See accompanying notes.
25
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Core Plus Bond Account(a)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Diversified Balanced Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015(b)
30, 2016
31, 2015
$
4,313
$
8,650
$
(1,567)
$
13,381
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(311)
(1,599)
10,200
519
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
12,008
(8,023)
44,491
(22,094)
Net Increase (Decrease) in Net Assets Resulting from Operations
16,010
(972)
43,443
1,487
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(9,626)
N/A
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1)
–
(10,360)
–
–
(11,596)
–
(21,956)
Dividends and Distributions to Shareholders
From net investment income:
N/A
From net realized gain on investments:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
Total Dividends and Distributions
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
33,144
25,822
N/A
N/A
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12
40
27,467
64,227
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
9,626
N/A
N/A
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
21,956
(9,627)
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(33,175)
(56,554)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(19)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
Total Increase (Decrease)
15,991
N/A
N/A
(11)
(23,268)
(45,709)
(21,076)
4,199
40,474
(31,675)
47,642
20,005
Net Assets
290,060
321,735
1,031,111
1,011,106
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
306,051
$
290,060
$ 1,078,753
$ 1,031,111
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
12,954
$
8,641
$
$
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,807
13,374
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,896
2,256
N/A
N/A
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
4
1,933
4,450
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
863
N/A
N/A
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
–
1,533
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2,917)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(20)
(a)
Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
(b)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
26
(4,963)
(1)
(1,841)
N/A
N/A
(1,630)
(3,181)
303
2,802
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Diversified Balanced
Amounts in thousands
Managed Volatility Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Diversified Growth Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
(220)
$
1,065
$
(4,885)
$
42,285
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
885
38,726
(160)
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
6,056
(2,470)
130,380
(79,942)
Net Increase (Decrease) in Net Assets Resulting from Operations
5,840
(520)
125,335
1,069
–
(1,010)
–
(31,927)
Dividends and Distributions to Shareholders
From net investment income:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(889)
–
(39,243)
Total Dividends and Distributions
–
(1,899)
–
(71,170)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13,995
60,772
110,398
359,378
–
1,899
–
71,170
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
(3,444)
(6,395)
(37,556)
(39,674)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
10,551
56,276
72,842
390,874
Total Increase (Decrease)
16,391
53,857
198,177
320,773
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Assets
138,384
84,527
3,201,495
2,880,722
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
154,775
$
138,384
$ 3,399,672
$ 3,201,495
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
844
$
1,064
$
$
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
37,398
42,283
Increase (Decrease) in Capital Shares
Shares sold:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,298
5,556
7,354
23,218
–
175
–
4,627
Shares issued in reinvestment of dividends and distributions:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
27
(321)
977
(593)
5,138
(2,457)
(2,612)
4,897
25,233
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Diversified Growth Managed
Amounts in thousands
Volatility Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Diversified Income Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
(401)
$
1,718
$
(320)
$
2,298
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
2,049
1,333
5
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
(3,561)
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
10,165
(5,003)
10,081
Net Increase (Decrease) in Net Assets Resulting from Operations
9,770
(1,236)
9,766
–
(2,225)
–
(1,447)
70
Dividends and Distributions to Shareholders
From net investment income:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(2,050)
–
(1,285)
Total Dividends and Distributions
–
(4,275)
–
(2,732)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29,499
108,374
29,164
51,346
–
4,275
–
2,732
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
(9,588)
(21,216)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
25,091
106,450
19,576
32,862
Total Increase (Decrease)
34,861
100,939
29,342
30,200
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4,408)
(6,199)
Net Assets
252,611
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
151,672
198,762
168,562
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
287,472
$
252,611
$
228,104
$
198,762
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,315
$
1,716
$
1,977
$
2,297
Increase (Decrease) in Capital Shares
Shares sold:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,735
9,801
2,428
4,273
–
389
–
228
Shares issued in reinvestment of dividends and distributions:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
28
(411)
2,324
(573)
9,617
(793)
1,635
(1,762)
2,739
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Diversified
Amounts in thousands
International Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Equity Income Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
3,582
$
6,425
$
6,704
$
14,903
Net realized gain (loss) on investments, foreign currencies, futures,
(2,309)
30,288
11,719
28,852
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
(7,898)
(32,671)
20,968
(66,010)
Net Increase (Decrease) in Net Assets Resulting from Operations
(6,625)
4,042
39,391
(22,255)
(13,573)
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(7,388)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(32)
–
(555)
Total Dividends and Distributions
–
(7,420)
–
(14,128)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,409
16,905
10,698
37,699
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
348
243
1,801
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
7,388
–
13,573
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
32
–
555
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
(102,756)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(21,692)
(176,857)
(44,122)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(34)
(238)
(1,529)
(3,046)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(15,283)
(152,422)
(34,710)
(52,174)
Total Increase (Decrease)
(21,908)
(155,800)
4,681
(88,557)
Net Assets
430,460
274,660
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
536,341
624,898
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
252,752
$
274,660
$
541,022
$
536,341
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
9,109
$
5,527
$
24,399
$
17,695
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
485
1,167
489
1,674
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
24
11
80
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
513
–
600
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2
–
25
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
(4,521)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,639)
(12,171)
(1,987)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(3)
(16)
(70)
(136)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,154)
(10,481)
(1,557)
(2,278)
See accompanying notes.
29
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Government & High
Amounts in thousands
Quality Bond Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Income Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
4,456
$
7,956
$
4,723
$
9,878
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(11)
1,203
2,468
596
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
5,186
(6,505)
9,679
(14,058)
Net Increase (Decrease) in Net Assets Resulting from Operations
9,631
2,654
14,998
(1,712)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(9,930)
–
(11,705)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(58)
–
(108)
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(402)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(2)
–
–
Total Dividends and Distributions
–
(10,392)
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10,636
16,889
3,201
11,316
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,096
1,035
678
45
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
10,332
–
11,705
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
60
–
108
–
(11,813)
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
(30,469)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(46,330)
(47,392)
(35,417)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(151)
(115)
(67)
(617)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(34,749)
(19,191)
(31,605)
(7,912)
Total Increase (Decrease)
(25,118)
(26,929)
(16,607)
(21,437)
Net Assets
288,496
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
315,425
257,196
278,633
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
263,378
$
288,496
$
240,589
$
257,196
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
13,560
$
9,104
$
14,018
$
9,295
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,027
1,625
305
1,049
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
106
98
64
4
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,018
–
1,129
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
6
–
10
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4,455)
(4,568)
(3,352)
(2,866)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(15)
(11)
(6)
(57)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(3,337)
(1,832)
(2,989)
(731)
See accompanying notes.
30
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
International Emerging
Amounts in thousands
Markets Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
LargeCap Growth Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015(a)
30, 2016
31, 2015
$
655
$
1,166
$
268
$
285
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,953
(5,781)
(6,376)
6,522
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
9,317
(8,516)
(13,535)
862
Net Increase (Decrease) in Net Assets Resulting from Operations
4,191
(13,726)
(6,745)
6,100
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1,655)
–
(173)
Total Dividends and Distributions
–
(1,655)
–
(173)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,726
11,049
3,100
6,552
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
26
46
503
504
–
1,655
–
173
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(6,173)
(14,985)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) in Net Assets from Capital Share Transactions
Total Increase (Decrease)
(17,325)
(13,463)
–
(410)
(108)
(2,421)
(2,235)
(10,270)
(10,204)
1,770
(17,616)
(17,015)
(4,277)
Net Assets
85,475
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
103,091
119,475
123,752
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
87,245
$
85,475
$
102,460
$
119,475
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
1,652
$
997
$
553
$
285
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
294
743
130
256
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
3
20
20
–
117
–
7
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(a)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
31
(485)
–
(189)
(1,005)
–
(142)
(553)
(676)
(17)
(4)
(420)
(397)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
LargeCap S&P 500
Amounts in thousands
LargeCap Growth Account I
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Index Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015(a)
30, 2016
31, 2015(a)
$
118
$
180
$
20,091
$
36,196
Net realized gain (loss) on investments, foreign currencies, futures,
4,001
20,379
17,545
53,618
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
(12,031)
(2,393)
44,161
(61,719)
Net Increase (Decrease) in Net Assets Resulting from Operations
(7,912)
18,166
81,797
28,095
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(562)
–
(29,180)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1)
–
(1)
(23,947)
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(37,084)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(62)
–
(1)
Total Dividends and Distributions
–
(37,709)
–
(53,129)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13,008
23,800
148,571
354,977
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
384
523
67
163
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
37,646
–
53,127
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
63
–
2
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
(212,649)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(16,911)
(29,218)
(106,272)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(374)
(13)
(20)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(3,893)
32,801
42,346
195,619
Total Increase (Decrease)
(11,805)
13,258
124,143
170,585
(1)
Net Assets
252,887
239,629
2,033,620
1,863,035
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
241,082
$
252,887
$ 2,157,763
$ 2,033,620
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
118
$
–
$
$
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56,489
36,398
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
520
846
10,723
24,799
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
17
5
11
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,415
–
3,629
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2
–
–
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(675)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(15)
–
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(154)
1,253
(a)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
32
(1,027)
(7,416)
(1)
3,311
(14,626)
–
13,813
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
LargeCap S&P 500 Managed
Amounts in thousands
Volatility Index Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
LargeCap Value Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015(a)
$
1,370
$
1,976
$
1,523
$
2,669
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
181
503
4,418
4,309
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
4,483
(1,200)
(4,784)
(8,693)
Net Increase (Decrease) in Net Assets Resulting from Operations
6,034
1,279
1,157
(1,715)
–
–
–
(2,487)
(567)
–
(18,013)
N/A
–
(2)
(567)
–
(20,502)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
Total Dividends and Distributions
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
22,791
77,842
2,283
5,397
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
N/A
4
20
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
567
–
20,500
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
N/A
–
2
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(21,295)
(7,181)
(14,703)
(18,261)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
15,610
63,706
(15,974)
4,624
Total Increase (Decrease)
21,644
64,418
(14,817)
(17,593)
Net Assets
161,654
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
97,236
153,080
170,673
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
183,298
$
161,654
$
138,263
$
153,080
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
3,345
$
1,975
$
4,153
$
2,630
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,070
6,940
81
170
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
N/A
N/A
–
1
–
49
–
686
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(a)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
33
(644)
1,426
(1,312)
(639)
(663)
5,677
(558)
194
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands, except for Multi-Asset Income Account
MidCap Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Multi-Asset Income Account
Period
Year Ended
Period
Period Ended
Ended June
December
Ended June
December 31,
30, 2016
31, 2015
30, 2016
2015(a)
$
558
$
2,468
$
415
$
466
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
42
15,123
100,918
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
8,877
(90,200)
559
(1,080)
Net Increase (Decrease) in Net Assets Resulting from Operations
24,558
13,186
974
(572)
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(3,384)
–
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(44)
–
–
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(69,262)
–
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1,683)
–
–
Total Dividends and Distributions
–
(74,373)
–
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,887
23,039
–
10,000
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
125
433
–
10,000
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
72,646
–
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,727
–
–
–
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(47,501)
(95,380)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,354)
(1,394)
–
–
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(42,843)
1,071
–
20,000
Total Increase (Decrease)
(18,285)
(60,116)
974
19,428
Net Assets
632,680
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
692,796
19,428
–
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
614,395
$
632,680
$
20,402
$
19,428
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
3,984
$
3,426
$
887
$
472
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
108
381
–
1,000
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
7
–
1,000
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,237
–
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
30
–
–
–
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(873)
(1,574)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(25)
(24)
–
–
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(788)
57
–
2,000
(a)
Period from July 28, 2015, date operations commenced, through December 31, 2015.
See accompanying notes.
34
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Principal Capital
Appreciation Account
Amounts in thousands
Period
Ended June
30, 2016
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
Net Increase (Decrease) in Net Assets Resulting from Operations
$
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Dividends and Distributions
Capital Share Transactions
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in acquisition:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
943
Year Ended
December
31, 2015
$
Net Assets
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Period
Ended June
30, 2016
$
100
Year Ended
December
31, 2015
$
901
1,263
(2,891)
1,188
5,731
3,783
(2,462)
459
958
1,316
(2,628)
(464)
–
–
(404)
(3)
–
N/A
(986)
N/A
–
–
–
(2,851)
(134)
(3,392)
–
N/A
–
–
N/A
(986)
2,020
714
3,759
702
4,842
N/A
5,796
N/A
N/A
N/A
139,230
1,001
N/A
N/A
N/A
N/A
–
–
3,255
137
–
N/A
986
N/A
(11,399)
(626)
(9,291)
(5,508)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
Total Increase (Decrease)
1,733
Principal
LifeTime 2010 Account
258
(21,791)
(1,192)
125,101
122,168
(11,512)
N/A
(4,730)
(6,180)
(4,560)
N/A
282
1,598
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
162,249
156,741
$
40,081
162,249
$
41,132
42,730
$
47,312
41,132
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
2,688
$
1,745
$
1,000
$
900
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in acquisition:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
35
93
33
169
30
397
N/A
456
N/A
N/A
N/A
6,089
44
N/A
N/A
N/A
N/A
–
–
143
6
–
N/A
79
N/A
(967)
(53)
5,461
(374)
N/A
23
(912)
N/A
(377)
(520)
(28)
(422)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Principal
Principal
LifeTime 2020 Account
LifeTime 2030 Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015(a)
30, 2016
31, 2015(a)
$
418
$
3,660
$
187
$
1,988
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(271)
6,614
4,932
27
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
4,711
(12,276)
2,146
(8,152)
Net Increase (Decrease) in Net Assets Resulting from Operations
4,858
(2,002)
2,360
(1,232)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(5,282)
–
(3,046)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1)
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(9,330)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1)
–
(1)
Total Dividends and Distributions
–
(14,614)
–
(7,493)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,576
23,798
11,455
18,970
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
26
16
28
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
14,612
–
7,492
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2
–
1
Dividends and Distributions to Shareholders
From net investment income:
–
From net realized gain on investments:
(4,446)
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(16,427)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(4,852)
Total Increase (Decrease)
(42,280)
6
(18,013)
(10,565)
–
(1)
(3,842)
905
(20,458)
3,265
(1)
8,477
(248)
Net Assets
191,012
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
211,470
116,717
116,965
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
191,018
$
191,012
$
119,982
$
116,717
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
4,077
$
3,659
$
2,175
$
1,988
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
922
1,743
1,024
1,550
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2
2
2
–
1,118
–
630
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,320)
(3,106)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(398)
(243)
(a)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
36
(941)
85
(1,465)
717
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Principal
Principal
LifeTime 2040 Account
LifeTime 2050 Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015(a)
30, 2016
31, 2015(a)
$
36
$
690
$
16
$
339
Net realized gain (loss) on investments, foreign currencies, futures,
(142)
1,810
(71)
1,071
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
644
(2,974)
117
(1,529)
Net Increase (Decrease) in Net Assets Resulting from Operations
538
(474)
62
(119)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1,129)
–
(602)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
–
(1)
(1,069)
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
–
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1,632)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(1)
–
(1)
Total Dividends and Distributions
–
(2,762)
–
(1,673)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,836
12,548
2,142
6,576
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11
11
–
37
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
2,761
–
1,671
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1
–
2
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(5,589)
(9,118)
(4,753)
(2,669)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
258
6,203
(527)
3,533
Total Increase (Decrease)
796
2,967
(465)
1,741
Net Assets
45,271
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42,304
23,537
21,796
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
46,067
$
45,271
$
23,072
$
23,537
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
726
$
690
$
355
$
339
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
446
871
169
473
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
–
3
–
196
–
123
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(a)
Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
37
(420)
(639)
(215)
(335)
27
429
(46)
264
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Principal
Principal LifeTime
LifeTime 2060 Account
Strategic Income Account
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
1
$
28
$
69
$
625
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
708
(7)
80
(39)
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
29
(150)
907
(1,542)
Net Increase (Decrease) in Net Assets Resulting from Operations
23
(42)
937
(209)
–
(22)
–
(608)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(32)
–
Total Dividends and Distributions
–
(54)
–
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
613
1,759
2,368
3,369
–
54
–
608
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
–
(608)
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(246)
(445)
(8,724)
(2,225)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
367
1,368
143
(4,747)
Total Increase (Decrease)
390
1,272
1,080
(5,564)
Net Assets
2,097
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
825
24,452
30,016
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
2,487
$
2,097
$
25,532
$
24,452
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
29
$
28
$
694
$
625
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55
142
211
292
–
5
–
54
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See accompanying notes.
38
(22)
(36)
(199)
(760)
33
111
12
(414)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Real Estate
Amounts in thousands
Securities Account
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SAM Balanced Portfolio
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
1,702
$
2,514
$
907
$
16,480
Net realized gain (loss) on investments, foreign currencies, futures,
8,890
14,073
(1,711)
50,604
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
7,101
(10,156)
24,087
(73,516)
Net Increase (Decrease) in Net Assets Resulting from Operations
17,693
6,431
23,283
(6,432)
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(2,423)
–
(22,820)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(27)
–
(2,672)
(58,520)
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(4,938)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(56)
–
(7,497)
Total Dividends and Distributions
–
(7,444)
–
(91,509)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,275
18,700
9,074
24,942
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
348
1,699
3,845
9,886
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
7,361
–
81,340
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
83
–
10,169
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(13,086)
(32,474)
(60,108)
(113,505)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(388)
(263)
(5,807)
(12,203)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(3,851)
(4,894)
(52,996)
13,842
(5,907)
(29,713)
Total Increase (Decrease)
629
(97,312)
Net Assets
161,286
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
167,193
829,448
926,760
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
175,128
$
161,286
$
799,735
$
829,448
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
4,262
$
2,560
$
17,382
$
16,475
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
411
826
616
1,554
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
75
267
616
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
339
–
5,380
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
4
–
678
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(588)
(1,458)
(4,106)
(7,117)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(17)
(12)
(402)
(762)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(178)
(226)
(3,625)
See accompanying notes.
39
349
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SAM Conservative
SAM Conservative
Balanced Portfolio
Growth Portfolio
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
500
$
5,189
$
(142)
$
4,017
Net realized gain (loss) on investments, foreign currencies, futures,
(1,216)
8,204
(3,139)
18,450
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
7,861
(14,940)
9,706
(25,979)
Net Increase (Decrease) in Net Assets Resulting from Operations
7,145
(1,547)
6,425
(3,512)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(6,438)
–
(4,461)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(547)
–
(2,142)
(12,644)
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
Dividends and Distributions to Shareholders
From net investment income:
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(9,390)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(857)
–
(6,779)
Total Dividends and Distributions
–
(17,232)
–
(26,026)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,690
18,108
6,830
20,596
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
579
4,029
3,512
13,112
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
15,828
–
17,105
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,404
–
8,921
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(15,737)
(29,800)
(14,353)
(23,015)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,238)
(2,783)
(4,469)
(10,666)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(9,706)
6,786
(8,480)
26,053
Total Increase (Decrease)
(2,561)
(11,993)
(2,055)
(3,485)
Net Assets
211,359
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
223,352
297,737
301,222
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
208,798
$
211,359
$
295,682
$
297,737
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
5,688
$
5,188
$
3,875
$
4,017
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
578
1,476
406
1,102
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
326
211
708
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,341
–
958
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
120
–
505
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,365)
(2,420)
(845)
(1,231)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(107)
(229)
(265)
(577)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(843)
614
(493)
See accompanying notes.
40
1,465
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SAM
SAM
Flexible Income Portfolio
Strategic Growth Portfolio
Period
Year Ended
Period
Year Ended
Ended June
December
Ended June
December
30, 2016
31, 2015
30, 2016
31, 2015
$
991
$
7,074
$
(205)
$
3,232
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(836)
5,358
(2,825)
14,756
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
9,994
(15,437)
6,338
(22,288)
Net Increase (Decrease) in Net Assets Resulting from Operations
10,149
(3,005)
3,308
(4,300)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(7,549)
–
(3,221)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(733)
–
(1,996)
(10,578)
Dividends and Distributions to Shareholders
From net investment income:
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(5,112)
–
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
(529)
–
(7,305)
Total Dividends and Distributions
–
(13,923)
–
(23,100)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,297
16,242
7,302
22,084
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
831
7,048
4,345
10,077
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
12,661
–
13,799
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,262
–
9,301
Capital Share Transactions
Shares sold:
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
(16,304)
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(19,464)
(28,075)
(11,165)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2,144)
(5,419)
(3,567)
(8,864)
Net Increase (Decrease) in Net Assets from Capital Share Transactions
(14,480)
3,719
(3,085)
30,093
Total Increase (Decrease)
(4,331)
(13,209)
223
2,693
Net Assets
221,936
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
235,145
238,002
235,309
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
217,605
$
221,936
$
238,225
$
238,002
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
8,064
$
7,073
$
3,026
$
3,231
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
503
1,243
402
1,080
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
69
536
241
498
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
1,011
–
712
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
–
102
–
484
Shares issued in reinvestment of dividends and distributions:
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,574)
(2,174)
(614)
(798)
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(175)
(416)
(197)
(442)
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(1,177)
302
(168)
See accompanying notes.
41
1,534
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Amounts in thousands
SmallCap Account(a)
Short-Term Income Account
Period
Ended June
30, 2016
Operations
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies . . . . . .
Net Increase (Decrease) in Net Assets Resulting from Operations
$
1,554
$
Net Assets
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Period
Ended June
30, 2016
$
1,301
Year Ended
December
31, 2015(b)
$
581
(9,056)
8,464
(1,547)
2,004
10,187
2,432
(19,142)
(10,097)
–
–
(4,419)
(40)
–
–
(139)
(3)
–
–
–
–
–
(4,459)
–
–
–
(6,835)
(147)
(7,124)
(32)
1,804
3,516
19,318
1,179
23,745
1,163
4,657
308
9,007
1,824
N/A
N/A
N/A
N/A
N/A
N/A
166,992
4,615
–
–
4,419
40
–
–
6,974
150
(17,922)
(261)
2,314
5,830
Net Increase (Decrease) in Net Assets from Capital Share Transactions
Total Increase (Decrease)
3,583
158
Dividends and Distributions to Shareholders
From net investment income:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
From net realized gain on investments:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Dividends and Distributions
Capital Share Transactions
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in acquisition:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Year Ended
December
31, 2015
(132,587)
(594)
(103,814)
(106,269)
(19,964)
(203)
(15,202)
(12,770)
(25,589)
(1,567)
162,406
145,185
End of period (including undistributed net investment income as set forth below) . . . . . . . . . . . . . . . .
$
162,318
168,148
$
268,587
162,318
$
209,867
197,097
$
64,682
209,867
Undistributed (Overdistributed) Net Investment Income (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
5,134
$
3,580
$
1,900
$
599
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in acquisition:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued in reinvestment of dividends and distributions:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed:
Class 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Increase (Decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7,520
461
9,199
449
364
25
627
121
N/A
N/A
N/A
N/A
N/A
N/A
11,187
309
–
–
1,740
16
–
–
475
10
(6,994)
(102)
885
(a)
Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
(b)
Period from February 17, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
See accompanying notes.
42
(51,006)
(231)
(39,833)
(1,543)
(16)
(1,170)
(1,754)
(106)
10,869
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
1. Organization
Principal Variable Contracts Funds, Inc. (the "Fund") is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company and operates as a series fund in the mutual fund industry. The financial statements for
Balanced Account, Bond Market Index Account, Core Plus Bond Account, Diversified Balanced Account, Diversified Balanced
Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account, Diversified Income
Account, Diversified International Account, Equity Income Account, Government & High Quality Bond Account, Income Account,
International Emerging Markets Account, LargeCap Growth Account, LargeCap Growth Account I, LargeCap S&P 500 Index
Account, LargeCap S&P 500 Managed Volatility Index Account, LargeCap Value Account, MidCap Account, Multi-Asset Income
Account, Principal Capital Appreciation Account, Principal LifeTime 2010 Account, Principal LifeTime 2020 Account, Principal
LifeTime 2030 Account, Principal LifeTime 2040 Account, Principal LifeTime 2050 Account, Principal LifeTime 2060 Account,
Principal LifeTime Strategic Income Account, Real Estate Securities Account, SAM Balanced Portfolio, SAM Conservative Balanced
Portfolio, SAM Conservative Growth Portfolio, SAM Flexible Income Portfolio, SAM Strategic Growth Portfolio, Short-Term
Income Account and SmallCap Account, (known as the “Accounts”), are presented herein.
Each of the Accounts is an investment company and applies specialized accounting and reporting under Accounting Standards
Codification Topic 946, Financial Services - Investment Companies. Each of the Accounts was an investment company at all times
during the period. The Accounts have not provided financial support, and are not contractually required to provide financial support to
any investee.
Effective February 17, 2015, the initial purchase of $10,000 of Class 2 shares of SmallCap Account was made by Principal
Management Corporation (the “Manager”).
Effective April 17, 2015, Principal Capital Appreciation Account acquired all the assets and assumed all the liabilities of LargeCap
Blend Account II pursuant to a plan of acquisition approved by shareholders on April 10, 2015. The purpose of the acquisition was to
combine two accounts managed by Principal Management Corporation with similar investment objectives, principal policies, and
risks. The acquisition was accomplished by a tax-free exchange of 16,768,000 shares from LargeCap Blend Account II for 6,133,000
shares valued at $140,231,000 of Principal Capital Appreciation Account at an approximate exchange rate of .37 for Class 1 and Class
2 shares. The investment securities of LargeCap Blend Account II, with a fair value of approximately $133,987,000 and a cost of
$121,386,000, were the primary asset acquired by Principal Capital Appreciation Account on April 17, 2015. For financial reporting
purposes, assets received and shares issued by Principal Capital Appreciation Account were recorded at fair value; however the cost
basis of the investments received from LargeCap Blend Account II was carried forward to align ongoing reporting of Principal Capital
Appreciation Account. The aggregate net assets of LargeCap Blend Account II and Principal Capital Appreciation Account
immediately prior to the acquisition in accordance with U.S. GAAP were approximately $140,231,000 ($1,448,000 of accumulated
realized losses and $12,601,000 of unrealized appreciation) and $40,552,000, respectively. The aggregate net assets of Principal
Capital Appreciation Account immediately following the acquisition were $180,783,000. In accordance with Sections 381-384 of the
Internal Revenue Code, a portion of accumulated realized losses may be subject to limitation.
Assuming the acquisition had been completed on January 1, 2015, the beginning of the fiscal year for Principal Capital Appreciation
Account, Principal Capital Appreciation Account’s pro forma results of operations for the year ended December 31, 2015, would have
been $2,211,000 of net investment income, $139,000 of net realized and unrealized gain on investments, and $2,350,000 of net
increase in net assets resulting from operations. Because the combined investment portfolios have been managed as a single integrated
portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of LargeCap Blend
Account II that have been included in Principal Capital Appreciation Account’s statement of operations since April 17, 2015.
43
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
1. Organization (Continued)
Effective April 17, 2015, SmallCap Account acquired all the assets and assumed all the liabilities of SmallCap Growth Account II and
SmallCap Value Account I pursuant to a plan of acquisition approved by shareholders on April 10, 2015. The purpose of the
acquisition was to combine three accounts managed by Principal Management Corporation with similar investment objectives,
principal policies, and risks. The acquisition was accomplished by a tax-free exchange of 4,083,000 and 7,295,000 shares from
SmallCap Growth Account II and SmallCap Value Account I, respectively for 4,587,000 and 6,909,000 shares valued at $68,471,000
and $103,136,000 of SmallCap Account at an approximate exchange rate of 1.13 and 1.10 for Class 1 and Class 2 shares and .95 and
.94 for Class 1 and Class 2 shares, respectively. The investment securities of SmallCap Growth Account II, with a fair value of
approximately $65,319,000 and a cost of $64,126,000, and the investment securities of SmallCap Value Account I with a fair value of
approximately $98,490,000 and a cost of $95,480,000 were the primary asset acquired by SmallCap Account on April 17, 2015. For
financial reporting purposes, assets received and shares issued by SmallCap Account were recorded at fair value; however the cost
basis of the investments received from SmallCap Growth Account II and SmallCap Value Account I were carried forward to align
ongoing reporting of SmallCap Account. The aggregate net assets of SmallCap Growth Account II, SmallCap Value Account I and
SmallCap Account immediately prior to the acquisition in accordance with U.S. GAAP were approximately $68,471,000 ($194,000 of
accumulated realized gain and $1,193,000 of unrealized appreciation) $103,136,000 ($665,000 of accumulated realized losses and
$3,010,000 of unrealized appreciation) and $68,436,000, respectively. The aggregate net assets of SmallCap Account immediately
following the acquisition were $240,043,000. In accordance with Sections 381-384 of the Internal Revenue Code, a portion of
accumulated realized losses may be subject to limitation.
Assuming the acquisition had been completed on January 1, 2015, the beginning of the fiscal year for SmallCap Account, SmallCap
Account’s pro forma results of operations for the year ended December 31, 2015, would have been $974,000 of net investment
income, $4,922,000 of net realized and unrealized loss on investments, and $3,948,000 of net decrease in net assets resulting from
operations. Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was
completed, it is not practicable to separate the amounts of revenue and earnings of SmallCap Growth Account II and SmallCap Value
Account I that have been included in SmallCap Account’s statement of operations since April 17, 2015.
Effective May 1, 2015, the initial purchases of $10,000 of Class 2 shares of Core Plus Bond Account, International Emerging Markets
Account, LargeCap Growth Account I, LargeCap S&P 500 Index Account, LargeCap Value Account, Principal LifeTime 2020
Account, Principal LifeTime 2030 Account, Principal LifeTime 2040 Account and Principal LifeTime 2050 Account were made by
the Manager.
Effective July 28, 2015, the initial purchases of $10,000 of Class 1 and Class 2 shares of Multi-Asset Income Account were made by
the Manager.
Effective April 8, 2016, Money Market Account liquidated its net assets and proceeds were sent to shareholders.
Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
All classes of shares for each of the Accounts represent interests in the same portfolio of investments, and will vote together as a
single class except where otherwise required by law or as determined by the Fund’s Board of Directors. In addition, the Board of
Directors declares separate dividends on each class of shares.
2. Significant Accounting Policies
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual
results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
44
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
2. Significant Accounting Policies (Continued)
Security Valuation. Principal LifeTime 2010 Account, Principal LifeTime 2020 Account, Principal LifeTime 2030 Account,
Principal LifeTime 2040 Account, Principal LifeTime 2050 Account, Principal LifeTime 2060 Account, and Principal LifeTime
Strategic Income Account (collectively, the “Principal LifeTime Accounts”) along with SAM Balanced Portfolio, SAM Conservative
Balanced Portfolio, SAM Conservative Growth Portfolio, SAM Flexible Income Portfolio, SAM Strategic Growth Portfolio
(collectively, the “SAM Portfolios”) and Diversified Balanced Account, Diversified Balanced Managed Volatility Account,
Diversified Growth Account, Diversified Growth Managed Volatility Account, Diversified Income Account and Multi-Asset Income
Account invest in combinations of other series of Principal Variable Contracts Funds, Inc., Principal Funds, Inc. and Principal
Exchange-Traded Funds (the “Underlying Funds”). Investments in the Underlying Funds are valued at the closing net asset value per
share of each Underlying Fund on the day of valuation.
The Accounts (with the exception of Diversified Balanced Account, Diversified Balanced Managed Volatility Account, Diversified
Growth Account, Diversified Growth Managed Volatility Account, Diversified Income Account, Multi-Asset Income Account,
Principal LifeTime Accounts, and SAM Portfolios) value securities for which market quotations are readily available at fair value,
which is determined using the last reported sale price. If no sales are reported, as is regularly the case for some securities traded overthe-counter, securities are valued using the last reported bid price, an evaluated bid price or, in the case of certain credit default swaps,
a mean price provided by a pricing service. Pricing services use modeling techniques that incorporate security characteristics such as
current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, other yield and risk factors, and
other market conditions to determine an evaluated bid price. When reliable market quotations are not considered to be readily
available, which may be the case, for example, with respect to restricted securities, certain debt securities, preferred stocks and foreign
securities, the investments are valued at their fair value as determined in good faith by the Manager under procedures established and
periodically reviewed by the Fund’s Board of Directors.
The value of foreign securities used in computing the net asset value per share is generally determined as of the close of the foreign
exchange where the security is principally traded. Events that occur after the close of the applicable foreign market or exchange but
prior to the calculation of the Accounts’ net asset values are reflected in the Accounts’ net asset values and these securities are valued
at fair value as determined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board
of Directors. Many factors are reviewed in the course of making a good faith determination of a security’s fair value, including, but
not limited to, price movements in ADRs, futures contracts, industry indices, general indices, and foreign currencies.
To the extent the Accounts invest in foreign securities listed on foreign exchanges which trade on days on which the Accounts do not
determine net asset values, for example weekends and other customary national U.S. holidays, the Accounts’ net asset values could be
significantly affected on days when shareholders cannot purchase or redeem shares.
Certain securities issued by companies in emerging market countries may have more than one quoted valuation at any given point in
time, sometimes referred to as a "local" price and a "premium" price. The premium price is often a negotiated price, which may not
consistently represent a price at which a specific transaction can be effected. It is the policy of the Accounts to value such securities at
prices at which it is expected those shares may be sold, and the Manager or any sub-advisor is authorized to make such determinations
subject to such oversight by the Fund’s Board of Directors as may occasionally be necessary.
Currency Translation. Foreign holdings are translated to U.S. dollars using the exchange rate at the daily close of the New York
Stock Exchange. The identified cost of the Accounts’ holdings is translated at approximate rates prevailing when acquired. Income
and expense amounts are translated at approximate rates prevailing when received or paid, with daily accruals of such amounts
reported at approximate rates prevailing at the date of valuation. Since the carrying amount of the foreign securities is determined
based on the exchange rate and market values at the close of the period, it is not practicable to 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 securities during the period.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between trade
and settlement dates on security transactions, and the difference between the amount of dividends and foreign withholding taxes
recorded on the books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation
(depreciation) on translation of assets and liabilities in foreign currencies arise from changes in the exchange rate relating to assets and
liabilities, other than investments in securities, purchased and held in non-U.S. denominated currencies.
45
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
2. Significant Accounting Policies (Continued)
The following Accounts held securities denominated in foreign currencies that exceeded 5% of net assets of the Account:
Diversified
International Account
Euro
Japanese Yen
Canadian Dollar
British Pound Sterling
Swiss Franc
Hong Kong Dollar
23.3%
15.1
12.0
10.9
6.0
5.0
International
Emerging Markets Account
Hong Kong Dollar
South Korean Won
New Taiwan Dollar
South African Rand
Indian Rupee
Brazilian Real
19.9%
14.4
12.7
7.8
7.7
7.6
Income and Investment Transactions. The Accounts record investment transactions on a trade date basis. Trade date for senior
floating rate interests purchased in the primary market is considered the date on which the loan allocations are determined. Trade date
for senior floating rate interests purchased in the secondary market is the date on which the transaction is entered into. The identified
cost basis has been used in determining the net realized gain or loss from investment transactions and unrealized appreciation or
depreciation of investments. The Accounts record dividend income on the ex-dividend date, except dividend income from foreign
securities whereby the ex-dividend date has passed; such dividends are recorded as soon as the Accounts are informed of the exdividend date. Interest income is recognized on an accrual basis. Discounts and premiums on securities are accreted/amortized over
the lives of the respective securities. The Accounts allocate daily all income and realized and unrealized gains or losses to each class
of shares based upon the relative proportion of the value of shares outstanding of each class.
Expenses. Expenses directly attributed to a particular Account are charged to that Account. Other Account expenses not directly
attributed to an Account are apportioned among the registered investment companies managed by the Manager.
Management fees are allocated daily to each class of shares based upon the relative proportion of the value of shares outstanding of
each class. Expenses specifically attributable to a particular class are charged directly to such class and are included separately in the
statements of operations.
In addition to the expenses that each of the Principal LifeTime Accounts, SAM Portfolios, Diversified Balanced Account, Diversified
Balanced Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account, Diversified
Income Account and Multi-Asset Income Account (collectively, the “Fund of Funds”) bears directly, each of the Fund of Funds
indirectly bears a pro rata share of the fees and expenses of the Underlying Funds in which they invest. Because the Underlying Funds
have varied expense levels and each of the Fund of Funds may own different proportions of Underlying Funds at different times, the
amount of expense incurred indirectly by each of the Fund of Funds will vary. Expenses included in the statements of operations of
the Fund of Funds reflect the expenses of each Fund of Fund and do not include any expenses associated with the Underlying Funds.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded on the ex-dividend date.
Dividends and distributions to shareholders from net investment income and net realized gain from investments and foreign currency
transactions are determined in accordance with federal tax regulations, which may differ from U.S. generally accepted accounting
principles. These differences are primarily due to differing treatments for net operating losses, mortgage-backed securities, certain
defaulted securities, expiring capital loss carry forwards, certain preferred securities, redemptions-in-kind, amortization of premiums
and discounts, futures contracts, sales of Passive Foreign Investment Companies, losses deferred due to wash sales, swap agreements,
and foreign currency transactions. Permanent book and tax basis differences are reclassified within the capital accounts based on
federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed
current and accumulated earnings and profits for federal income tax purposes, they are reported as return of capital distributions.
Real Estate Securities Account receives distributions from holdings in Real Estate Investment Trusts (“REITs”). Distributions from
REITs may be characterized as ordinary income, net capital gain, or a return of capital to the Account. The proper characterization of
REIT distributions is generally not known until after the end of each calendar year. As such, estimates must be used in reporting the
character of income and distributions for financial statement purposes.
46
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
2. Significant Accounting Policies (Continued)
Federal Income Taxes. No provision for federal income taxes is considered necessary because each of the Accounts intends to
qualify as a “regulated investment company” under the Internal Revenue Code and intends to distribute each year substantially all of
its net investment income and realized capital gains to shareholders.
Management evaluates tax positions taken or expected to be taken in the course of preparing the Accounts’ tax returns to determine
whether it is “more likely than not” that each tax position would be sustained upon examination by a taxing authority based on the
technical merits of the position. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax
benefit or expense in the current year. During the period ended June 30, 2016, the Accounts did not record any such tax benefit or
expense in the accompanying financial statements. The statute of limitations remains open for the fiscal years from 2012-2015. No
examinations are in progress at this time.
Foreign Taxes. Certain of the Accounts are subject to foreign income taxes imposed by certain countries in which they invest.
Foreign income taxes are accrued by the Accounts as a reduction of income. These amounts are shown as withholding tax on foreign
dividends on the statements of operations. In consideration of recent decisions rendered by European courts, the Funds have filed
additional tax reclaims for taxes withheld in prior years. Due to the uncertainty and timing of these reclaims, a corresponding
receivable will only be recorded when both the amount is known and there are no significant uncertainties regarding collectability.
Gains realized upon the disposition of certain foreign securities held by the Accounts may be subject to capital gains tax, payable prior
to repatriation of sale proceeds. The tax is computed on certain net realized gains and, if any, is shown on the statement of operations.
Realized losses in excess of gains may be carried forward to offset future gains. In addition, the Accounts accrue an estimated deferred
tax liability for future gains on certain foreign securities. Any accrued tax liability is shown on the statement of assets and liabilities.
At June 30, 2016, Diversified International Account had no foreign tax refund receivable and had a deferred tax liability of $26,000
and International Emerging Markets Account had no foreign tax refund receivable and had no deferred tax liability relating to foreign
securities.
3. Operating Policies
Borrowings. Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Accounts and other registered
investment companies managed by the Manager may participate in an interfund lending facility (“Facility”). The Facility allows the
Accounts to borrow money from or loan money to the other participants. Loans under the Facility are made to handle unusual and/or
unanticipated short-term cash requirements. Interest paid and received on borrowings is the average of the current repurchase
agreement rate and the bank loan rate (the higher of (i) the Federal Funds Rate or (ii) the One Month LIBOR rate plus 1.00%). During
the period ended June 30, 2016, Diversified International Account, LargeCap Growth Account, LargeCap Value Account, MidCap
Account, and Real Estate Securities Account each borrowed from the Facility. Bond Market Index Account, Core Plus Bond Account,
Government & High Quality Bond Account, Income Account, LargeCap Growth Account I, LargeCap S&P 500 Index Account,
LargeCap Value Account, Principal Capital Appreciation Account, and SmallCap Account each loaned to the Facility. The interest
expense associated with these borrowings is included in other expenses on the statements of operations. The interest received is
included in interest on the statements of operations. There were no outstanding borrowings as of June 30, 2016.
In addition, certain of the Accounts participate with other registered investment companies managed by the Manager in an unsecured
joint line of credit with a bank which allows the participants to borrow up to $75 million, collectively. Borrowings are made solely to
facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to each participant, based on
its borrowings, at a rate equal to the higher of the Federal Funds Rate or the One Month LIBOR rate plus 1.00%. Additionally, a
commitment fee is charged at an annual rate of .15% on the amount of the line of credit. The Accounts did not borrow against the line
of credit during the period ended June 30, 2016.
47
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
Counterparties. The Accounts may be exposed to counterparty risk, or the risk that another party with which the Accounts have
unsettled or open transactions will fail to perform on their commitment. To the extent that unpaid amounts owed to the Accounts
exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Accounts in the
form of cash or cash equivalents equal in value to the unpaid amount owed to the Accounts. If the unpaid amount owed to the
Accounts subsequently decreases, the Accounts would be required to return all or a portion of the collateral.
Master Netting Agreements may also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged
exposure levels. Under the Master Netting Agreements, collateral is routinely transferred if the total net exposure to certain
transactions governed under the relevant master netting agreement with a counterparty exceeds a specified threshold.
The financial instruments that are subject to Master Netting Agreements or similar agreements may include right of setoff provisions.
Derivative instruments include provisions to setoff positions covered under the agreements with the same counterparties and
provisions to setoff positions outside of the agreements with the same counterparties in the event of default by one of the parties.
Derivative instruments also include collateral provisions. Collateral received and pledged are generally settled daily with each
counterparty.
Foreign Currency Contracts. Certain of the Accounts may be subject to foreign currency exchange rate risk in the normal course of
pursuing such Account’s investment objectives. The Accounts may use foreign currency contracts to gain exposure to, or hedge
against changes in the value of foreign currencies. Certain of the Accounts enter into forward contracts to purchase or sell foreign
currencies at a specified future date at a fixed exchange rate. Forward foreign currency contracts are valued at the forward rate, and are
marked-to-market daily. The change in market value is recorded by the Accounts as an unrealized gain or loss. When the contract is
closed, the Accounts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate the fluctuations in underlying prices of the Accounts’ portfolio
securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit
the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the
value of the currency increase. In addition, the Accounts could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts or if the value of the currency changes unfavorably to the U.S. dollar.
Futures Contracts. The Accounts are subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the
normal course of pursuing their investment objectives. The Accounts (with the exception of Diversified Balanced Account,
Diversified Balanced Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account,
Diversified Income Account, Multi-Asset Income Account, Principal LifeTime Accounts, and SAM Portfolios) may enter into futures
contracts to hedge against changes in or to gain exposure to, change in the value of equities, interest rates and foreign currencies.
Initial margin deposits are made by cash deposits or segregation of specific securities as may be required by the exchange on which
the transaction was conducted. Pursuant to the contracts, an account agrees to receive from or pay to the broker, an amount of cash
equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded
by the account as a variation margin receivable or payable on financial derivative instruments. During the period the futures contracts
are open, daily changes in the fair value of the contracts are recognized as unrealized gains or losses. These unrealized gains or losses
are included as a component of net unrealized appreciation (depreciation) of investments on the statements of assets and liabilities.
When the contracts are closed, the account recognizes a realized gain or loss equal to the difference between the proceeds from, or
cost of, the closing transaction and the account’s cost basis in the contract. There is minimal counterparty credit risk to the Accounts
because futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the
futures against default.
Illiquid Securities. Illiquid securities generally cannot be sold or disposed of in the ordinary course of business (within seven calendar
days) at approximately the value at which each of the Accounts has valued the investments. This may have an adverse effect on each
of the Accounts’ ability to dispose of particular illiquid securities at fair value and may limit each of the Accounts’ ability to obtain
accurate market quotations for purposes of valuing the securities.
48
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
Indemnification. Under the Fund’s by-laws, present and past officers, directors and employees are indemnified against certain
liabilities arising out of the performance of their duties. In addition, in the normal course of business, the Fund may enter into a variety
of contracts that may contain representations and warranties which provide general indemnifications. The Fund’s maximum exposure
under these arrangements is unknown, as this would involve future claims that may be made against the Fund.
Inflation-Indexed Bonds. Certain of the Accounts may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income
securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at
issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a
principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be
included as interest income on the statements of operations, even though the Accounts would not receive the principal until maturity.
Mortgage Dollar Rolls. Certain of the Accounts have entered into mortgage-dollar-roll transactions on “to-be-announced” securities
(“TBA’s”), in which the Account sells mortgage-backed securities and simultaneously agrees to purchase similar securities in the
future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are invested in additional
securities. The Account forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of
the initial sale and by a lower price on the securities to be repurchased. The Accounts treat mortgage-dollar-roll transactions as
purchases and sales; as such, these transactions may increase the Accounts' portfolio turnover ratio. Amounts to be received or paid in
connection with open mortgage-dollar-rolls are included in Investment securities sold and Investment securities purchased on the
statements of assets and liabilities.
Options Contracts. During the period LargeCap S&P 500 Managed Volatility Index Account wrote call and put options on indices it
owns or in which it may invest for both hedging and non-hedging purposes. Writing put options tends to increase a fund’s exposure to
the underlying instrument. Writing call options tends to decrease a fund’s exposure to the underlying instrument. When a fund writes a
call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the
current value of the option written. These liabilities are reflected as options contracts written on the statements of assets and
liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options
which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying index to determine the
realized gain or loss. A fund, as a writer of an option, has no control over whether the underlying index may be sold (call) or
purchased (put) and as a result bears the market risk of an unfavorable change in the price of the index underlying the written option.
There is the risk a fund may not be able to enter into a closing transaction because of an illiquid market. A fund may also purchase put
and call options. Purchasing call options tends to increase a fund’s exposure to the underlying instrument. Purchasing put options
tends to decrease a fund’s exposure to the underlying instrument. A fund pays a premium which is included on the fund’s statements
of assets and liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid
for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to
the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against
the proceeds on the underlying index transaction to determine the realized gain or loss. Details of options contracts open at period end
are included in the Funds' schedules of investments. Transactions in options written during the period ended June 30, 2016, were as
follows:
LargeCap S&P 500 Managed Volatility Index Account
Beginning of year
Number of Contracts
410
Premium (thousands)
$
355
Options written
7,170
6,901
Options expired
(4,625)
(4,460)
Options closed
(2,555)
(2,412)
Options exercised
—
Balance at end of period
400
49
—
$
384
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
Rebates. Subject to best execution, the Accounts may direct certain portfolio transactions to brokerage firms that, in turn, have agreed
to rebate a portion of the related brokerage commission to the Accounts in cash. Commission rebates are included as a component of
realized gain from investment transactions in the statements of operations.
Repurchase Agreements. The Accounts may invest in repurchase agreements that are fully collateralized, typically by U.S.
government or U.S. government agency securities. It is the Accounts’ policy that its custodian takes possession of the underlying
collateral securities. The fair value of the collateral is at all times at least equal to the total amount of the repurchase obligation. In the
event of default on the obligation to repurchase, the Accounts have the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. In the event the seller of a repurchase agreement defaults, the Accounts could experience delays in the
realization of the collateral.
Restricted Securities. Certain of the Accounts may invest in securities that are subject to legal or contractual restrictions on resale.
These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered.
Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be
difficult.
Senior Floating Rate Interests. The Accounts may invest in senior floating rate interests (bank loans). Senior floating rate interests
hold the most senior position in the capital structure of a business entity (the “Borrower”), are typically secured by specific collateral
and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debtholders and stockholders of
the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of
the lenders participating in the senior floating rate interest. Senior floating rate interests are typically rated below-investment-grade,
which means they are more likely to default than investment-grade loans. A default could lead to non-payment of income which
would result in a reduction of income to the account and there can be no assurance that the liquidation of any collateral would satisfy
the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be
readily liquidated.
Senior floating rate interests pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These
base lending rates are generally the prime rate offered by a designated U.S. bank or the London InterBank Offered Rate (LIBOR) or
the prime rate offered by one or more major United States banks.
Senior floating rate interests generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment
conditions and because there may be significant economic incentives for the Borrower to repay, prepayments of senior floating rate
interests may occur. As a result, the actual remaining maturity of senior floating rate interests may be substantially less than stated
maturities shown in the schedules of investments.
In connection with the Senior floating rate interests, the Accounts may also enter into unfunded loan commitments (“commitments”).
All or a portion of the commitments may be unfunded. The Accounts are obligated to fund these commitments at the borrower’s
discretion. Therefore, the Accounts must have funds sufficient to cover its contractual obligation. Unfunded loan commitments are
marked to market daily and the unrealized gain or loss is shown as a separate line item called unrealized gain or loss on unfunded loan
commitments on the statements of assets and liabilities. As of June 30, 2016, the Accounts had no unfunded loan commitments
outstanding.
50
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
Short Sales. Bond Market Index Account entered into short sales transactions during the period. A short sale is a transaction in which
an account sells a security it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the
market price of the security. The account must borrow the security sold short and deliver it to the broker dealer which made the short
sale. A security sold in a short sale transaction and the interest or dividend payable on the security if any, is reflected as a liability on
the statement of assets and liabilities. The account is obligated to pay any interest or dividends received on the borrowed securities.
Interest accrued and dividends declared on short positions are recorded as an expense and appear as dividends and interest on shorts
on the statement of operations. An account is obligated to deliver the security at the market price at the time the short position is
closed. Possible losses from short sales may be unlimited.
The account is required to pledge cash or securities to the broker as collateral for securities sold short. Collateral requirements are
calculated daily based on the current market value of the short positions. Cash deposited with the broker for collateral is included in
deposits with counterparty on the statement of assets and liabilities and securities segregated as collateral are footnoted in the schedule
of investments. The account may pay broker’s fees on the borrowed securities and may also pay a financing charge for the difference
in the market value of the short position and cash collateral deposited with the broker. These fees are included as short sale fees on the
statement of operations.
Swap Agreements. Core Plus Bond Account invested in swap agreements during the period. Swap agreements are privately
negotiated agreements between an Account and a counterparty to exchange a series of cash flows at specified intervals based upon, or
calculated by reference to, changes in specified prices or rates for a specified amount of an underlying asset. An Account may enter
into credit default, interest rate, or total return swap agreements to manage its exposure to credit, interest rate, or market risk. In
connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap
agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swap agreements are valued through a pricing service or using procedures established and periodically reviewed by the Fund’s Board
of Directors; changes in value are recorded as unrealized gain or loss. These unrealized gains or losses are included as a component of
net unrealized appreciation (depreciation) of investments on the statements of assets and liabilities.
Upon termination of swap agreements, the Accounts recognize a realized gain or loss. Net periodic payments to be received or paid
are accrued daily and are recorded in the statements of operations as realized gains or losses.
Payments received or made at the beginning of the measurement period are reflected as such on the statements of assets and liabilities
and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated
terms of the swap agreement and prevailing market conditions (credit spreads, interest rates, and other relevant factors). These upfront
payments are amortized daily over the term of the swap agreement as realized gains or losses on the statements of operations.
Notional principal amounts are used to express the extent of involvement in these agreements. Risks may exceed amounts shown on
the statements of assets and liabilities. These risks include changes in the returns of the underlying instruments, unfavorable interest
rate fluctuation, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of
contractual terms in the agreements, and the possible lack of liquidity with respect to the swap agreements.
The Accounts and any counterparty are required to maintain an agreement that requires the Accounts and that counterparty to monitor
the net fair value of all derivative transactions entered into pursuant to the contract between the Accounts and such counterparty. If the
net fair value of such derivatives transactions between the Accounts and that counterparty exceeds a certain threshold (as defined in
the agreement), the Accounts or the counterparty are required to post cash and/or securities as collateral. Fair values of derivatives
transactions presented in the financial statements are not netted with the fair values of other derivatives transactions or with any
collateral amounts posted by the Accounts or any counterparty.
Credit default swaps involve commitments to pay a fixed rate at a predetermined frequency in exchange for a lump sum payment if a
“credit event”, as defined in the agreement, affecting a third party occurs. Credit events may include a failure to pay interest,
bankruptcy, restructuring, or other event as defined in the agreement. A “buyer” of credit protection agrees to pay a counterparty to
assume the credit risk of an issuer upon the occurrence of a credit event. The “seller” of the protection receives periodic payments and
agrees to assume the credit risk of an issuer upon the occurrence of a credit event. As the seller of credit protection, an Account would
add leverage to its portfolio because, in addition to its total net assets, an Account would be subject to investment exposure on the
notional amount of the swap.
51
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
If an Account is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the
account 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, other deliverable obligations 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. If an Account is a buyer of protection and a credit event occurs, as
defined under the terms of that particular swap agreement, an Account will either (i) receive from the seller of protection an amount
equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations 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.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the
right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the
referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be
representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of
dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may
include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or
various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed
spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the
credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six
months, and for most indices, each name has an equal weight in the index. An Account may use credit default swaps on credit indices
to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to
buy many credit default swaps to achieve a similar effect. Credit-default swap on indices are benchmarks for protecting investors
owning bonds against default, and traders use them to speculate on changes in credit quality.
For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve
as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing values, 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 or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that an Account as a seller of protection could be required to make
under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all
credit default swap agreements outstanding as of June 30, 2016 for which an Account is the seller of protection are disclosed in the
footnotes to the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective
referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of
buy protection credit default swap agreements entered into by an Account for the same referenced entity or entities.
Interest rate swaps involve the commitment to exchange cash flows based on changes in the value of a specific reference security or
basket of securities.
To Be Announced Securities. The Accounts may trade portfolio securities on a “to-be-announced” (“TBA”) or when-issued basis. In
a TBA or when-issued transaction, the Accounts commit to purchase or sell securities for which all specific information is not known
at the time of the trade. Securities purchased on a TBA or when-issued basis are not settled until they are delivered to the account,
normally 15 to 30 days later. These transactions are subject to market fluctuations and their current value is determined in the same
manner as for other portfolio securities.
Underlying Funds. The performance and risks of each Principal LifeTime Account, SAM Portfolio, Diversified Balanced Account,
Diversified Balanced Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account,
Diversified Income Account, and Multi-Asset Income Account (singly, “a fund of funds” and collectively, “the funds of funds”)
directly correspond to the performance and risks of the underlying funds in which the fund of funds invest. By investing in many
underlying funds, the funds of funds have partial exposure to the risks of many different areas of the market. The more a fund of funds
allocates to stock funds, the greater the expected risk.
52
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
An underlying fund to a fund of funds may experience relatively large redemptions or purchases as the fund of funds periodically
reallocates or rebalances its assets. These transactions may accelerate the realization of taxable income if sales of portfolio securities
result in gains and could increase transaction costs. In addition, when a fund of funds reallocates or redeems significant assets away
from an underlying fund, the loss of assets to the underlying fund could result in increased expense ratios for that fund.
The Manager is the advisor to the Principal LifeTime Accounts, SAM Portfolios, Diversified Balanced Account, Diversified Balanced
Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account, Diversified Income
Account, Multi-Asset Income Account and each of the underlying funds. Principal Global Investors, LLC ("PGI") is Sub-Advisor to
the Principal LifeTime Accounts and Edge Asset Management, Inc. ("Edge") is the Sub-Advisor to the SAM Portfolios. Either PGI or
Edge also serves as Sub-Advisor to some or all of the underlying funds. The Manager, PGI, and Edge are committed to minimizing
the potential impact of underlying fund risk on underlying funds to the extent consistent with pursuing the investment objectives of the
fund of funds which it manages. Each may face conflicts of interest in fulfilling its responsibilities to all such funds.
As of June 30, 2016, the Principal LifeTime Accounts, SAM Portfolios, Diversified Balanced Account, Diversified Balanced
Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account, Diversified Income
Account, and Multi-Asset Income Account owned the following percentages, in the aggregate, of the outstanding shares of the
underlying funds listed below:
Account
Total Percentage
of Outstanding
Shares Owned
Account
Total Percentage
of Outstanding
Shares Owned
Bond Market Index Account
99.82%
LargeCap S&P 500 Index Account
90.87%
Core Plus Bond Account
23.23
LargeCap S&P 500 Managed Volatility Index Account
100.00
Equity Income Account
34.67
MidCap Account
13.20
Government & High Quality Bond Account
35.07
Short-Term Income Account
10.79
Income Account
94.89
U.S. Government Agencies or Government-Sponsored Enterprises. Certain of the Accounts may invest in U.S. Government
agencies or government-sponsored enterprises. U.S. Government securities are obligations of, and in certain cases, guaranteed by, the
U.S. Government or its agencies. The U.S. Government does not guarantee the net asset value of the Accounts’ shares. Some U.S.
Government securities such as treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage
Association (“GNMA”) are supported by the full faith and credit of the U.S. Government. Other securities, such as those of the
Federal Home Loan Bank are supported by the right of the issuer to borrow from the U.S. Department of the Treasury. Still other
securities, such as those of the Federal National Mortgage Association (“FNMA”) are supported by the discretionary authority of the
U.S. Government to purchase the agency’s obligations.
Government related guarantors (those not backed by the full faith and credit of the United States Government) include FNMA and the
Federal Home Loan Mortgage Corporation (“FHLMC”). FNMA is a government sponsored corporation the common stock of which is
owned entirely by private stockholders. FNMA purchases conventional residential mortgages from a list of approved seller/servicers
which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks, credit unions, and
mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to the timely payment of principal and interest by
FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates which are
pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely
payment of interest and ultimate collection of principal, but Participation Certificates are not backed by the full faith and credit of the
U.S. Government.
53
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
3. Operating Policies (Continued)
Derivatives. The following tables provide information about where in the statements of assets and liabilities and statements of
operations information about derivatives can be found (amounts shown in thousands):
Asset Derivatives June 30, 2016
Liability Derivatives June 30, 2016
Derivatives not accounted for
as hedging instruments
Core Plus Bond Account
Credit contracts
Fair
Statement of Assets and Liabilities Location
Receivables, Net Assets Consist of Net unrealized
Value
$
— Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
Interest rate contracts
Value
$
382*
$
38*
appreciation (depreciation) of investments
Receivables, Net Assets Consist of Net unrealized
$
636* Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
appreciation (depreciation) of investments
Total$
LargeCap Growth Account I
Equity contracts
Fair
Statement of Assets and Liabilities Location
Receivables, Net Assets Consist of Net unrealized
$
appreciation (depreciation) of investments
636
$
— Payables, Net Assets Consist of Net unrealized
420
$
14*
$
—
$
158
appreciation (depreciation) of investments
LargeCap S&P 500 Index Account
Equity contracts
Receivables, Net Assets Consist of Net unrealized
$
appreciation (depreciation) of investments
211* Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
LargeCap S&P 500 Managed Volatility Index Account
Equity contracts
Receivables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$
413* Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
*Includes cumulative unrealized appreciation/depreciation of exchange cleared swaps and futures contracts as shown in the schedules of investments. Only the portion
of the unrealized appreciation/depreciation not yet cash settled is shown in the statements of assets and liabilities as variation margin.
Derivatives not accounted for Location of Gain or (Loss) on Derivatives
as hedging instruments
Recognized in Statement of Operations
Core Plus Bond Account
Net realized gain (loss) from Swap
Credit contracts
agreements/Change in unrealized
appreciation/(depreciation) of Swap
agreements
Net realized gain (loss) from Futures
Interest rate contracts
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
Total
LargeCap Growth Account I
Equity contracts
Net realized gain (loss) from Futures
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
LargeCap S&P 500 Index Account
Equity contracts
Net realized gain (loss) from Futures
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
LargeCap S&P 500 Managed Volatility Index Account
Net realized gain (loss) from Investment
Equity contracts
transactions, Futures contracts, and Options
and swaptions/Change in unrealized
appreciation/(depreciation) of Investments,
Futures contracts, and Options and
swaptions
Realized Gain or (Loss) on Derivatives
Recognized in Statement of Operations
Change in Unrealized
Appreciation/(Depreciation) of
Derivatives Recognized in Statement
of Operations
$
64
$
(403)
$
560
$
537
$
624
$
134
$
250
$
19
$
(355)
$
(30)
$
(66)
$
(35)
Long equity futures contracts are used to obtain market exposure for the cash balances that are maintained by certain of the Accounts
and the notional values of the futures contracts will vary in accordance with the changing cash balances. Long and short U.S. Treasury
futures contracts are used to obtain interest rate exposure in order to manage duration of the Core Plus Bond Account. The level of
derivative activity disclosed in the schedules of investments is representative of the level of derivative activity used in the Accounts
throughout the period ended June 30, 2016.
54
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value
Fair value is defined as the price that the Accounts would receive upon selling a security in a timely transaction to an independent
buyer in the principal or most advantageous market of the security at the measurement date. In determining fair value, the Accounts
use various valuation approaches, including market, income and/or cost approaches. A hierarchy for inputs is used in measuring fair
value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable
inputs be used when available.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed
based on market data obtained from sources independent of the Accounts. Unobservable inputs are inputs that reflect the Accounts
own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best
information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 – Quoted prices are available in active markets for identical securities as of the reporting date. The type of securities
included in Level 1 includes listed equities and listed derivatives.
Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayments speeds,
credit risk, etc.). Investments which are generally included in this category include corporate bonds, senior floating rate interests, and
municipal bonds.
Level 3 – Significant unobservable inputs (including the Accounts’ assumptions in determining the fair value of investments).
Investments which are generally included in this category include certain corporate bonds and certain mortgage backed securities.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for
example, the type of security, whether the security is new and not yet established in the market place, and other characteristics
particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the
market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Accounts in
determining fair value is greatest for instruments categorized in Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for
disclosure purposes the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined
based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair value is a market based measure considered from the perspective of a market participant who holds the asset rather than an entity
specific measure. Therefore, even when market assumptions are not readily available, the Account’s own assumptions are set to reflect
those that market participants would use in pricing the asset or liability at the measurement date. The Accounts use prices and inputs
that are current as of the measurement date.
Investments which are generally included in the Level 3 category are primarily valued using quoted prices from brokers and dealers
participating in the market for these investments. These investments are classified as Level 3 investments due to the lack of market
transparency and market corroboration to support these quoted prices. Valuation models may be used as the pricing source for other
investments classified as Level 3. Valuation models rely on one or more significant unobservable inputs such as prepayment rates,
probability of default, or loss severity in the event of default. Significant increases in any of those inputs in isolation would result in a
significantly lower fair value measurement. Benchmark pricing procedures set the base price of a security based on current market
data. The base price may be a broker-dealer quote, transaction price, or internal value based on relevant market data.
The fair values of these entities are dependent on economic, political and other considerations. The values of the investments may be
affected by significant changes in the economic conditions, changes in government policies, and other factors (e.g., natural disasters,
accidents, conflicts, etc.).
55
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by
the Account’s Board of Directors. The Manager has established a Valuation Committee of senior officers and employees, with the
responsibility of overseeing the pricing and valuation of all securities, including securities where market quotations are not readily
available. The Valuation Committee meets monthly and reports directly to the Board of Directors. The Pricing Group who reports to
the Valuation Committee relies on the established Pricing Policies to determine fair valuation. Included in the Pricing Policies is an
overview of the approved valuation technique established for each asset class. The Pricing Group will consider all appropriate
information available when determining fair valuation.
The Pricing Group relies on externally provided valuation inputs to determine the value of Level 3 securities. Security values are
updated as new information becomes available. Valuation data and changes in valuation amounts are reviewed on a daily basis based
on specified criteria for the security, asset class, and other factors. In addition, valuation data is periodically compared to actual
transactions executed by the Accounts (i.e., purchases/sales) and differences between transaction prices and prior period valuation data
are investigated based on specified tolerances.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those
instruments.
The beginning of the period timing recognition has been adopted for the significant transfers between levels of each Account’s assets
and liabilities. There were no significant purchases, sales, or transfers into or out of Level 3, except as noted in the Level 3 roll
forward. In the Core Plus Bond Account, $398,100 was transferred from Level 2 to Level 1 as of June 30, 2016 due to the resumption
of trading for a previous thinly traded security.
The following is a summary of the inputs used as of June 30, 2016 in valuing the Funds' securities carried at value (amounts shown in
thousands):
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
Balanced Account
$
Bonds*
—
$
10,343
$
15
$
10,358
25,453
—
—
25,453
767
—
—
767
Senior Floating Rate Interests*
—
32
—
32
U.S. Government & Government Agency Obligations*
—
7,697
—
7,697
Common Stocks*
Investment Companies*
Total investments in securities $
26,220
$
18,072
$
15
$
—
$
710,104
$
—
$
44,307
Bond Market Index Account
$
Bonds*
155,216
Investment Companies*
—
—
710,104
155,216
Municipal Bonds*
—
20,146
—
20,146
U.S. Government & Government Agency Obligations*
—
1,353,146
—
1,353,146
Total investments in securities $
155,216
$
2,083,396
$
—
$
2,238,612
Short Sales
$
—
$
(510)
$
—
$
(510)
Total Short Sales $
—
$
(510)
$
—
$
(510)
$
—
$
75
$
U.S. Government & Government Agency Obligations
Core Plus Bond Account
Bonds*
Convertible Bonds*
Investment Companies*
Preferred Stocks
Senior Floating Rate Interests*
U.S. Government & Government Agency Obligations*
Total investments in securities $
190,709
$
190,784
—
86
—
86
18,608
—
—
18,608
1,389
—
—
1,389
—
5,927
—
5,927
—
19,997
56
—
113,061
$
309,783
$
75
113,061
$
329,855
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
Core Plus Bond Account (Con tinued)
Assets
Interest Rate Contracts**
Futures
Liabilities
Credit Contracts**
Exchange Cleared Credit Default Swaps
Interest Rate Contracts**
Futures
$
636
$
—
$
—
$
636
$
—
$
(382)
$
—
$
(382)
$
(38)
$
—
$
—
$
(38)
Diversified Balanced Account
$
1,079,026
$
—
$
—
$
1,079,026
Total investments in securities $
1,079,026
$
—
$
—
$
1,079,026
Investment Companies*
Diversified Balanced Managed Volatility Account
$
154,818
$
—
$
—
$
154,818
Total investments in securities $
154,818
$
—
$
—
$
154,818
$
3,400,517
$
—
$
—
$
3,400,517
Total investments in securities $
3,400,517
$
—
$
—
$
3,400,517
Investment Companies*
Diversified Growth Account
Investment Companies*
Diversified Growth Managed Volatility Account
Investment Companies*
$
287,547
$
—
$
—
$
287,547
Total investments in securities $
287,547
$
—
$
—
$
287,547
Diversified Income Account
Investment Companies*
$
228,165
$
—
$
—
$
228,165
Total investments in securities $
228,165
$
—
$
—
$
228,165
$
2,668
$
7,702
$
—
$
10,370
Diversified International Account
Common Stocks
Basic Materials
725
31,394
—
32,119
Consumer, Cyclical
7,937
27,916
—
35,853
Consumer, Non-cyclical
4,401
38,564
—
42,965
—
2,511
—
2,511
7,906
9,723
—
17,629
Financial
17,165
37,949
—
55,114
Industrial
2,777
24,255
—
27,032
Technology
1,304
15,710
—
17,014
—
9,464
—
9,464
1,159
—
—
Communications
Diversified
Energy
Utilities
Investment Companies*
1,159
Total investments in securities $
46,042
$
205,188
$
—
$
251,230
$
532,897
$
—
$
—
$
532,897
$
539,727
Equity Income Account
Common Stocks*
—
6,830
Investment Companies*
Total investments in securities $
539,727
57
$
—
—
$
—
6,830
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
Government & High Quality Bond Account
$
Bonds*
Investment Companies*
U.S. Government & Government Agency Obligations*
—
$
81,536
$
—
$
81,536
2,084
—
—
2,084
—
177,318
—
177,318
Total investments in securities $
2,084
$
258,854
$
—
$
260,938
$
—
$
152,717
$
2,536
$
155,253
Income Account
Bonds*
Common Stocks*
Investment Companies*
—
—
—
—
2,869
—
—
2,869
Senior Floating Rate Interests*
—
183
—
183
U.S. Government & Government Agency Obligations*
—
79,388
—
79,388
Total investments in securities $
2,869
$
306
$
232,288
$
2,536
$
2,521
$
—
$
237,693
International Emerging Markets Account
Common Stocks
Basic Materials
$
Communications
2,684
2,827
13,888
—
16,572
824
8,315
—
9,139
2,196
5,365
—
7,561
—
738
—
738
3,329
5,232
—
8,561
Financial
2,253
13,795
—
16,048
Industrial
1,459
4,191
—
5,650
Technology
1,653
10,347
—
12,000
Consumer, Cyclical
Consumer, Non-cyclical
Diversified
Energy
Utilities
Investment Companies*
Preferred Stocks
Basic Materials
—
3,179
—
3,179
1,362
—
—
1,362
651
—
651
—
Communications
—
43
—
43
Diversified
—
1,416
—
1,416
—
Financial
—
486
486
Total investments in securities $
16,066
$
70,167
$
—
$
86,233
$
99,213
$
—
$
—
$
99,213
$
102,567
LargeCap Growth Account
Common Stocks*
3,354
Investment Companies*
Total investments in securities $
102,567
58
—
$
—
—
$
—
3,354
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
LargeCap Growth Account I
Common Stocks
Basic Materials
$
4,532
$
—
$
—
$
4,532
50,799
—
30
50,829
Consumer, Cyclical
35,445
—
—
35,445
Consumer, Non-cyclical
67,130
—
—
67,130
239
—
—
239
18,411
—
—
18,411
Industrial
19,387
—
—
19,387
Technology
37,070
—
—
37,070
26
—
—
26
—
—
889
889
5,373
—
—
5,373
—
—
257
257
—
281
—
281
Communications
Energy
Financial
Utilities
Convertible Preferred Stocks
Communications
Investment Companies*
Preferred Stocks
Communications
Technology
Total investments in securities $
Liabilities
Equity Contracts**
Futures
$
238,412
(14)
$
281
$
1,176
$
239,869
$
—
$
—
$
$
—
$
—
$
2,107,919
(14)
LargeCap S&P 500 Index Account
$
Common Stocks*
2,107,919
53,048
Investment Companies*
—
—
53,048
Total investments in securities $
2,160,967
$
—
$
—
$
2,160,967
$
211
$
—
$
—
$
211
$
171,225
$
—
$
—
$
171,225
Assets
Equity Contracts**
Futures
LargeCap S&P 500 Managed Volatility Index Account
Common Stocks*
Investment Companies*
Purchased Options
Assets
Equity Contracts**
Futures
Liabilities
Equity Contracts**
Options
11,924
—
—
398
—
—
11,924
398
Total investments in securities $
183,547
$
—
$
—
$
183,547
$
15
$
—
$
—
$
15
$
(158)
$
—
$
—
$
(158)
$
—
$
—
$
137,219
LargeCap Value Account
Common Stocks*
$
137,219
1,052
Investment Companies*
—
—
1,052
Total investments in securities $
138,271
$
—
$
—
$
138,271
$
613,275
$
—
$
—
$
613,275
$
613,281
MidCap Account
Common Stocks*
6
Investment Companies*
Total investments in securities $
613,281
59
—
$
—
—
$
—
6
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
Multi-Asset Income Account
$
20
$
—
$
—
$
20
Total investments in securities $
20
$
—
$
—
$
20
154,990
$
—
$
—
$
154,990
Investment Companies*
Principal Capital Appreciation Account
$
Common Stocks*
1,340
Investment Companies*
—
—
1,340
Total investments in securities $
156,330
$
—
$
—
$
156,330
Principal LifeTime 2010 Account
$
42,736
$
—
$
—
$
42,736
Total investments in securities $
42,736
$
—
$
—
$
42,736
$
191,024
$
—
$
—
$
191,024
Total investments in securities $
191,024
$
—
$
—
$
191,024
Investment Companies*
Principal LifeTime 2020 Account
Investment Companies*
Principal LifeTime 2030 Account
$
119,987
$
—
$
—
$
119,987
Total investments in securities $
119,987
$
—
$
—
$
119,987
Investment Companies*
Principal LifeTime 2040 Account
$
46,073
$
—
$
—
$
46,073
Total investments in securities $
46,073
$
—
$
—
$
46,073
Investment Companies*
Principal LifeTime 2050 Account
$
23,077
$
—
$
—
$
23,077
Total investments in securities $
23,077
$
—
$
—
$
23,077
$
2,492
$
—
$
—
$
2,492
Total investments in securities $
2,492
$
—
$
—
$
2,492
Investment Companies*
Principal LifeTime 2060 Account
Investment Companies*
Principal LifeTime Strategic Income Account
$
25,537
$
—
$
—
$
25,537
Total investments in securities $
25,537
$
—
$
—
$
25,537
$
173,208
$
—
$
—
$
173,208
Investment Companies*
Real Estate Securities Account
Common Stocks*
1,257
Investment Companies*
—
—
1,257
Total investments in securities $
174,465
$
—
$
—
$
174,465
$
801,958
$
—
$
—
$
801,958
Total investments in securities $
801,958
$
—
$
—
$
801,958
$
210,319
$
—
$
—
$
210,319
Total investments in securities $
210,319
$
—
$
—
$
210,319
SAM Balanced Portfolio
Investment Companies*
SAM Conservative Balanced Portfolio
Investment Companies*
60
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Level 2 - Other
Account
Level 1 - Quoted
Significant Observable
Level 3 - Significant
Prices
Inputs
Unobservable Inputs
Totals (Level 1,2,3)
SAM Conservative Growth Portfolio
$
295,764
$
—
$
—
$
295,764
Total investments in securities $
295,764
$
—
$
—
$
295,764
Investment Companies*
SAM Flexible Income Portfolio
$
218,729
$
—
$
—
$
218,729
Total investments in securities $
218,729
$
—
$
—
$
218,729
$
239,322
$
—
$
—
$
239,322
Total investments in securities $
239,322
$
—
$
—
$
239,322
—
$
163,721
$
400
$
164,121
Investment Companies*
SAM Strategic Growth Portfolio
Investment Companies*
Short-Term Income Account
$
Bonds*
Investment Companies*
U.S. Government & Government Agency Obligations*
2,812
—
—
—
325
—
2,812
325
Total investments in securities $
2,812
$
164,046
$
400
$
$
1,225
$
—
$
—
$
167,258
SmallCap Account
Common Stocks
Basic Materials
1,225
5,932
—
4
5,936
Consumer, Cyclical
28,387
—
—
28,387
Consumer, Non-cyclical
39,298
9
—
39,307
7,715
—
—
7,715
49,501
—
—
49,501
Industrial
29,785
—
—
29,785
Technology
22,776
—
—
22,776
8,799
—
—
8,799
4,636
—
—
Communications
Energy
Financial
Utilities
Investment Companies*
Total investments in securities $
198,054
$
9
*For additional detail regarding sector classifications, please see the Schedules of Investments
**Exchange Cleared Swaps and Futures are valued at the unrealized appreciation/(depreciation) of the instrument.
61
$
4
4,636
$
198,067
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
4. Fair Value (Continued)
Certain detailed information is provided for those Accounts with significant investments in Level 3 securities. Quantitative
information about the significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value
hierarchy is as follows (amounts in thousands):
Fair Value at June 30,
Fund
Asset Type
Bonds
Income Account
2016
Valuation Technique
Unobservable Input
Input Value
$ 2,536
Benchmark Pricing
Base Price
$94.00
The changes in investments measured at fair value for which Level 3 inputs have been used to determine fair value are as follows
(amounts in thousands):
Accrued
Discounts/
Premiums
Value
Account
Realized
and Change
December
Gain/
in Unrealized
31, 2015
(Loss)
Gain/(Loss)
Net Change in Unrealized
Proceeds Transfers Transfers Fair Value Appreciation/(Depreciation)
Purchases
from
into Level
Out of
June 30,
on Investments Held at
Sales
3*
Level 3**
2016
June 30, 2016
Income Account
Bonds
Total
$
2,341
$
—
$
(26)
$
221
$
—
$
—
$
—
$
2,536
$
(23)
$
2,341
$
—
$
(26)
$
221
$
—
$
—
$
—
$
2,536
$
(23)
*Securities are transferred into Level 3 for a variety of reasons including, but not limited to:
1. Securities where trading has been halted
2. Securities that have certain restrictions on trading
3. Instances in which a security is not priced by pricing services
**Securities are transferred out of Level 3 for a variety of reasons including, but not limited to:
1. Securities where trading resumes
2. Securities where trading restrictions have expired
3. Instances in which a price becomes available from a pricing service
At the end of the period, there were no other Accounts which had a significant Level 3 balance. During the period, there were no
significant purchases, sales or transfers into or out of Level 3, except as noted above.
62
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
5. Management Agreement and Transactions with Affiliates
Management Services. The Fund has agreed to pay investment advisory and management fees to the Manager (wholly owned by
Principal Financial Services, Inc.) computed at an annual percentage rate of each account’s average daily net assets. A portion of the
management fee is paid by Principal Management Corporation to the sub-advisor of each of the Accounts, some of which are affiliates
of the Manager. On March 1, 2016, the investment and advisory fees paid by each of the Principal LifeTime Accounts were
eliminated. Prior to March 1, 2016, the annual rate paid by each of the Principal LifeTime Accounts was .03% of each of the Principal
LifeTime Accounts’ average net assets. The annual rate paid by the SAM Portfolios is based upon the aggregate average daily net
assets (“aggregate net assets”) of the SAM Portfolios. The investment advisory and management fee schedule for the SAM Portfolios
is .25% of aggregate net assets up to the first $1 billion and .20% of aggregate net assets over $1 billion. The annual rates used in this
calculation for each of the other Accounts are as follows:
Net Assets of Accounts (in millions)
Balanced Account
First $100
.60%
Next $100
.55%
Next $100
.50%
Next $100
.45%
Thereafter
.40%
Core Plus Bond Account
.50
.45
.40
.35
.30
Equity Income Account
.60
.55
.50
.45
.40
LargeCap Growth Account I
.80
.75
.70
.65
.60
MidCap Account
.65
.60
.55
.50
.45
Real Estate Securities Account
.90
.85
.80
.75
.70
SmallCap Account
.85
.80
.75
.70
.65
First $250
.85%
Next $250
.80%
Next $250
.75%
Next $250
.70%
Net Assets of Accounts (in millions)
Diversified International Account
International Emerging Markets Account
Thereafter
.65%
1.25
1.20
1.15
1.10
1.05
LargeCap Value Account
.60
.55
.50
.45
.40
Short-Term Income Account
Net Assets of Account (in millions)
First
Next
Over
$200
$300
$500
.50%
.45%
.40%
Next $1
billion
.56%
Over $3
billion
.51%
Net Assets of Account (in millions)
Principal Capital Appreciation Account
First $500
.625%
Over $500
.50%
LargeCap Growth Account
First $500
million
.68%
Net Assets of Account
Next $500
Next $1
million
billion
.63%
.61%
Net Assets of Accounts (in billions)
First $2
Over $2
Government & High Quality Bond Account
.50%
Income Account
.50
.45%
.45
63
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
5. Management Agreement and Transactions with Affiliates (Continued)
All Net Assets
Bond Market Index Account
.25%
Diversified Balanced Account
.05
Diversified Balanced Managed Volatility Account
.05
Diversified Growth Account
.05
Diversified Growth Managed Volatility Account
.05
Diversified Income Account
.05
LargeCap S&P 500 Index Account
.25
LargeCap S&P 500 Managed Volatility Index Account
.45
Multi-Asset Income Account
.03
The Manager has contractually agreed to limit the Account’s management and investment advisory fees for certain of the Accounts
through the period ended April 30, 2017. The expense limit will reduce the Account’s management and investment advisory fees by
the following amounts:
LargeCap Growth Account I
.016%
The Manager has contractually agreed to limit the expenses (excluding interest expense, expenses related to fund investments,
acquired fund fees and expenses, and other extraordinary expenses) for certain classes of shares of certain of the Accounts. The
reductions and reimbursements are in amounts that maintain total operating expenses at or below certain limits. The limits are
expressed as a percentage of average daily net assets attributable to each class of shares on an annualized basis during the reporting
period. The operating expense limits are as follows:
Period from January 1, 2016 through June 30, 2016
Diversified Balanced Managed Volatility Account
Class 1
N/A
Class 2
.31%
Expiration
April 30, 2017
Diversified Growth Managed Volatility Account
N/A
.31
April 30, 2017
LargeCap S&P 500 Managed Volatility Index Account
.49%
N/A
April 30, 2017
Multi-Asset Income Account
.08
.33
April 30, 2017
Principal LifeTime 2060 Account
.10*
N/A
April 30, 2017
* Prior to March 1, 2016, the contractual limit was .13%.
The Manager has contractually agreed to reduce Short-Term Income Account’s expenses by .01% through the period ended April 30,
2017.
In addition, the Manager has voluntarily agreed to limit the expenses (excluding interest expense, expenses related to fund
investments, acquired fund fees and expenses, and other extraordinary expenses) attributable to Class 2 shares of certain of the
Accounts. The reductions and reimbursements are in amounts that maintain total operating expenses at or below certain limits. The
limits are expressed as a percentage of average daily net assets on an annualized basis during the reporting period. The expense limit
may be terminated at any time. The operating expense limits are as follows:
Expense Limit
Diversified Balanced Account
.31%
Diversified Growth Account
.31
Diversified Income Account
.31
Amounts owed to the Accounts under the terms of the expense limitation agreements are reflected in the statement of assets and
liabilities as expense reimbursement from Manager and are settled monthly.
64
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
5. Management Agreement and Transactions with Affiliates (Continued)
Distribution Fees. Class 2 shares of the Accounts bear distribution fees. The fee is computed at an annual rate of the average daily net
assets attributable to Class 2 shares of each of the Accounts. Distribution fees are paid to Principal Funds Distributor, Inc., the
principal distributor of the Accounts. A portion of the distribution fees may be paid to other selling dealers for providing certain
services. The annual rate for Class 2 shares is .25%.
Affiliated Ownership. At June 30, 2016, Principal Life Insurance Company (an affiliate of the Manager) and/or one or more separate
accounts sponsored by Principal Life Insurance Company owned shares of the Accounts as follows (amounts in thousands):
Balanced Account
Bond Market Index Account
Core Plus Bond Account
Class 1
Class 2
2,375
N/A
346
N/A
20,126
4
Diversified Balanced Account
N/A
73,372
Diversified Balanced Managed Volatility Account
N/A
13,885
Diversified Growth Account
N/A
217,249
Diversified Growth Managed Volatility Account
N/A
25,738
Diversified Income Account
N/A
18,382
Diversified International Account
18,651
15
Equity Income Account
10,899
41
Government & High Quality Bond Account
15,580
152
Income Account
198
64
International Emerging Markets Account
6,441
5
LargeCap Growth Account
3,804
21
LargeCap Growth Account I
9,429
20
13,174
15
LargeCap S&P 500 Index Account
LargeCap Value Account
4,685
1
MidCap Account
8,853
—
Multi-Asset Income Account
1
1
Principal Capital Appreciation Account
5,664
45
Principal LifeTime 2010 Account
3,400
N/A
Principal LifeTime 2020 Account
14,714
2
Principal LifeTime 2030 Account
10,273
4
Principal LifeTime 2040 Account
3,372
2
Principal LifeTime 2050 Account
1,752
3
Principal LifeTime 2060 Account
211
N/A
Principal LifeTime Strategic Income Account
2,205
N/A
Real Estate Securities Account
6,977
77
SAM Balanced Portfolio
42,950
312
SAM Conservative Balanced Portfolio
15,658
272
8,979
316
SAM Flexible Income Portfolio
14,520
348
SAM Strategic Growth Portfolio
6,790
74
Short-Term Income Account
56,028
559
SmallCap Account
13,720
76
SAM Conservative Growth Portfolio
65
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
6. Investment Transactions
For the period ended June 30, 2016, the cost of investment securities purchased and proceeds from investment securities sold (not
including short-term investments and U.S. government securities) by the Accounts were as follows (amounts shown in thousands):
Purchases
Sales
Balanced Account
$20,285
$21,627
Bond Market Index Account
683,092
662,732
Core Plus Bond Account
168,104
171,561
86,583
83,951
Diversified Balanced Account
Diversified Balanced Managed Volatility Account
Diversified Growth Account
Diversified Growth Managed Volatility Account
21,035
10,703
280,510
212,542
41,462
16,767
Diversified Income Account
39,259
19,998
Diversified International Account
74,118
86,594
Equity Income Account
43,849
70,775
Government & High Quality Bond Account
26,463
49,108
7,070
30,814
International Emerging Markets Account
56,607
59,793
LargeCap Growth Account
39,120
50,795
Income Account
LargeCap Growth Account I
LargeCap S&P 500 Index Account
LargeCap S&P 500 Managed Volatility Index Account
43,532
43,112
125,815
56,807
22,717
5,722
LargeCap Value Account
67,345
82,195
MidCap Account
44,198
83,890
Principal Capital Appreciation Account
34,527
42,289
Principal LifeTime 2010 Account
7,125
6,743
Principal LifeTime 2020 Account
16,739
21,178
Principal LifeTime 2030 Account
14,776
13,688
Principal LifeTime 2040 Account
8,489
8,195
Principal LifeTime 2050 Account
3,488
4,000
Principal LifeTime 2060 Account
766
398
3,414
3,202
Principal LifeTime Strategic Income Account
Real Estate Securities Account
29,746
30,827
SAM Balanced Portfolio
82,600
134,763
SAM Conservative Balanced Portfolio
26,913
36,170
SAM Conservative Growth Portfolio
44,381
53,008
SAM Flexible Income Portfolio
20,456
33,985
SAM Strategic Growth Portfolio
36,690
40,018
Short-Term Income Account
48,680
39,044
SmallCap Account
60,951
75,823
In addition Bond Market Index Account had $9,221,000 of covers on securities sold short and $9,712,000 of securities sold short.
66
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
6. Investment Transactions (Continued)
For the period ended June 30, 2016, the cost of U.S. government securities purchased and proceeds from U.S. government securities
sold (not including short-term investments) by the Accounts were as follows (amounts shown in thousands):
Sales
Purchases
Balanced Account
$
5,086
$
5,534
666,374
609,121
Core Plus Bond Account
93,600
88,076
Government & High Quality Bond Account
11,492
15,827
1,051
1,038
—
4
Bond Market Index Account
Income Account
Short-Term Income Account
In addition Bond Market Index Account had $1,386,000 of covers on U.S. government securities sold short and $1,385,000 of U.S.
government securities sold short.
During the period, Diversified International Account and International Emerging Markets Account received litigation settlement
proceeds from a class action lawsuit regarding forex transactions. The amounts received are shown as litigation settlement on the
statement of operations.
67
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
7. Federal Tax Information
Distributions to Shareholders. The federal income tax character of distributions paid for the periods ended June 30, 2016 and
December 31, 2015 were as follows (amounts in thousands):
Long-Term
2015
2016
Balanced Account
$
— $
Bond Market Index Account
—
Core Plus Bond Account
Diversified Balanced Account
Section 1250 Gain
Capital Gain
Ordinary Income
2016
1,171 $
2015*
— $
2016
2015^
— $
—
—
—
—
2,911 $
28,036
—
—
9,627
—
—
—
—
—
11,110
—
10,846
—
—
Diversified Balanced Managed Volatility Account
—
1,016
—
883
—
—
Diversified Growth Account
—
32,652
—
38,518
—
—
Diversified Growth Managed Volatility Account
—
2,237
—
2,038
—
—
Diversified Income Account
—
1,504
—
1,228
—
—
Diversified International Account
—
7,420
—
—
—
—
Equity Income Account
—
14,128
—
—
—
—
Government & High Quality Bond Account
—
9,988
—
404
—
—
Income Account
—
11,813
—
—
—
—
International Emerging Markets Account
—
1,655
—
—
—
—
LargeCap Growth Account
—
173
—
—
—
—
LargeCap Growth Account I
—
3,092
—
34,617
—
—
LargeCap S&P 500 Index Account
—
31,696
—
21,433
—
—
LargeCap S&P 500 Managed Volatility Index Account
—
237
—
330
—
—
LargeCap Value Account
—
8,223
—
12,279
—
—
MidCap Account
—
3,428
—
70,945
—
—
Principal Capital Appreciation Account
—
482
—
2,910
—
—
Principal LifeTime 2010 Account
—
986
—
—
—
—
Principal LifeTime 2020 Account
—
6,410
—
8,204
—
—
Principal LifeTime 2030 Account
—
3,343
—
4,150
—
—
Principal LifeTime 2040 Account
—
1,187
—
1,575
—
—
Principal LifeTime 2050 Account
—
787
—
886
—
—
Principal LifeTime 2060 Account
—
23
—
31
—
—
Principal LifeTime Strategic Income Account
—
608
—
—
—
—
Real Estate Securities Account
—
2,450
—
4,755
—
239
SAM Balanced Portfolio
—
26,872
—
64,637
—
—
SAM Conservative Balanced Portfolio
—
7,193
—
10,039
—
—
SAM Conservative Growth Portfolio
—
6,858
—
19,168
—
—
SAM Flexible Income Portfolio
—
8,698
—
5,225
—
—
SAM Strategic Growth Portfolio
—
5,459
—
17,641
—
—
Short-Term Income Account
—
4,459
—
—
—
—
SmallCap Account
—
476
—
6,648
—
—
*The Accounts designate these distributions as long-term capital gain dividends per IRC Sec. 852(b)(3)(C) in the 20-percent group (which may be taxed at a 20-percent
rate, a 15-percent rate or a 0-percent rate, depending on the shareholder’s taxable income).
^Unrecaptured Section 1250 gains are gains from the sale of depreciable property that are subject to a maximum tax rate of 25%.
For U.S. federal income tax purposes, short-term capital gain distributions are considered ordinary income distributions.
68
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
7. Federal Tax Information (Continued)
Distributable Earnings. As of December 31, 2015, the components of distributable earnings on a federal tax basis were as follows
(amounts in thousands):
Undistributed
Ordinary
Income
Balanced Account
Bond Market Index Account
Core Plus Bond Account
Diversified Balanced Account
Diversified Balanced Managed Volatility Account
$
Undistributed
Long-Term
Capital Gains
Accumulated
Losses
$
Net Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences*
Total
Accumulated
Earnings (Deficit)
844
$ 2,308
—
$ 2,374
$ —
$ 5,526
37,263
—
(5,501)
(13,227)
—
18,535
9,410
—
(36,155)
(7,674)
17
(34,402)
13,975
9,752
—
131,195
—
154,922
1,068
886
—
(1,513)
—
441
42,881
38,431
—
354,974
—
436,286
Diversified Growth Managed Volatility Account
1,722
2,053
—
(3,480)
—
295
Diversified Income Account
2,345
1,313
—
7,906
—
11,564
Diversified International Account
5,956
—
(97,737)
24,287
—
(67,494)
14,477
26,547
—
178,614
—
219,638
9,147
—
(22,657)
(2,887)
(60)
(16,457)
10,626
—
(1,973)
404
—
9,057
1,002
—
(24,772)
(4,738)
—
(28,508)
284
—
(12,361)
27,541
—
15,464
Diversified Growth Account
Equity Income Account
Government & High Quality Bond Account
Income Account
International Emerging Markets Account
LargeCap Growth Account
LargeCap Growth Account I
LargeCap S&P 500 Index Account
—
19,879
—
61,783
(40)
81,622
36,546
52,535
—
473,797
—
562,878
LargeCap S&P 500 Managed Volatility Index
Account
2,772
1,622
—
4,355
(4,496)
4,253
LargeCap Value Account
2,630
4,153
—
14,154
—
20,937
MidCap Account
2,759
100,852
—
173,434
—
277,045
—
—
—
(1)
—
(1)
1,744
1,187
—
31,117
—
34,048
Multi-Asset Income Account
Principal Capital Appreciation Account
Principal LifeTime 2010 Account
900
244
—
259
—
1,403
Principal LifeTime 2020 Account
3,878
6,403
—
(1,131)
—
9,150
Principal LifeTime 2030 Account
2,132
4,803
—
27
—
6,962
Principal LifeTime 2040 Account
752
1,760
—
(910)
—
1,602
Principal LifeTime 2050 Account
375
1,040
—
(146)
—
1,269
Principal LifeTime 2060 Account
Principal LifeTime Strategic Income Account
Real Estate Securities Account
SAM Balanced Portfolio
SAM Conservative Balanced Portfolio
29
80
—
(144)
—
(35)
626
—
(133)
266
—
759
2,560
13,725
—
44,714
—
60,999
16,569
48,124
—
49,469
—
114,162
5,225
7,819
—
5,240
—
18,284
SAM Conservative Growth Portfolio
4,022
15,685
—
11,878
—
31,585
SAM Flexible Income Portfolio
7,106
4,130
—
5,901
—
17,137
SAM Strategic Growth Portfolio
3,369
12,907
—
2,114
—
18,390
Short-Term Income Account
3,579
—
(16,882)
(1,004)
(24)
(14,331)
620
8,408
—
(354)
—
8,674
SmallCap Account
*Represents book-to-tax accounting differences.
69
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
7. Federal Tax Information (Continued)
Capital Loss Carryforwards. For federal income tax purposes, capital loss carryforwards are losses that can be used to offset future
capital gains of the Accounts. At December 31, 2015, the Accounts had approximate net capital loss carryforwards as follows
(amounts in thousands):
Net Capital Loss Carryforward Expiring In:
2017
2016
Bond Market Index Account
— $
— $
No Expiration
Short-Term Long-Term
Total
—
$ —
10,511
23,287
—
941
1,416
36,155
$
Core Plus Bond Account
2018
$ 5,501 $
5,501
—
97,737
—
—
—
97,737
18,770
3,887
—
—
—
22,657
Income Account
—
389
1,584
—
—
1,973
International Emerging Markets Account
—
16,991
—
7,781
—
24,772
LargeCap Growth Account
—
12,361
—
—
—
12,361
—
—
133
—
—
133
8,447
8,298
—
137
—
16,882
Diversified International Account
Government & High Quality Bond Account
Principal LifeTime Strategic Income Account
Short-Term Income Account
Capital losses generated in taxable years beginning after the enactment date of the Regulated Investment Company Modernization Act
of 2010, December 22, 2010, will be carried forward with no expiration and with the character of the loss retained. These capital
losses must be fully utilized before the pre-enactment capital loss carryforwards listed in the table above.
As of December 31, 2015, the following Accounts utilized capital loss carryforwards as follows (amounts in thousands):
Utilized
Diversified International Account
$
13,070
Equity Income Account
3,348
Income Account
1,409
LargeCap Growth Account
4,958
Principal LifeTime 2010 Account
1,010
Principal LifeTime Strategic Income Account
703
Late-Year Losses. A regulated investment company may elect to treat any portion of its qualified late-year loss as arising on the first
day of the next taxable year. Qualified late-year losses are certain capital and ordinary losses which occur during the portion of the
Account’s taxable year subsequent to October 31. For the taxable year ended December 31, 2015, the Accounts do not plan to defer
any late-year losses.
70
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
7. Federal Tax Information (Continued)
Reclassification of Capital Accounts. The Accounts may record reclassifications in their capital accounts. These reclassifications
have no impact on the total net assets of the Accounts. The reclassifications are a result of permanent differences between GAAP and
tax accounting. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders.
Therefore, the source of the Accounts’ distributions may be shown in the accompanying Statement of Changes in Net Assets as from
net investment income, from net realized gains on investments or from capital depending on the type of book and tax differences that
exist. For the year ended December 31, 2015, the Accounts recorded reclassifications as follows (amounts in thousands):
Accumulated
Undistributed Net
Investment Income
Balanced Account
Bond Market Index Account
Core Plus Bond Account
Diversified International Account
Equity Income Account
$
31
Accumulated
Net Realized
Gain on Investments
$
(31)
Paid in Capital
$
—
4,427
(4,427)
—
774
(774)
—
411
(17,215)
16,804
(2,171)
2,172
(1)
Government & High Quality Bond Account
1,152
(1,152)
—
Income Account
1,060
(1,060)
—
International Emerging Markets Account
LargeCap Growth Account I
LargeCap S&P 500 Index Account
LargeCap S&P 500 Managed Volatility Index Account
MidCap Account
(12)
12
—
14
1
(15)
(43)
43
—
(1)
1
—
(117)
117
—
Principal Capital Appreciation Account
—
(1,102)
1,102
Short-Term Income Account
—
(106)
106
SmallCap Account
45
(150)
105
71
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
7. Federal Tax Information (Continued)
Federal Income Tax Basis. At June 30, 2016, the net federal income tax unrealized appreciation (depreciation) and federal tax cost of
investments held by the Accounts were as follows (amounts in thousands):
Balanced Account
Bond Market Index Account
Core Plus Bond Account
Diversified Balanced Account
Diversified Balanced Managed Volatility Account
Unrealized
Appreciation
$
3,336
Unrealized
(Depreciation)
$
(888)
64,967
(2,830)
62,137
8,642
(4,456)
4,186
325,669
184,032
(8,345)
175,687
903,339
Net Unrealized
Appreciation (Depreciation)
$
2,448
$
Cost for Federal
Income Tax Purposes
41,859
2,176,475
6,460
(1,918)
4,542
150,276
533,604
(48,250)
485,354
2,915,163
Diversified Growth Managed Volatility Account
11,646
(4,961)
6,685
280,862
Diversified Income Account
19,315
(1,329)
17,986
210,179
Diversified Growth Account
Diversified International Account
Equity Income Account
Government & High Quality Bond Account
Income Account
International Emerging Markets Account
LargeCap Growth Account
LargeCap Growth Account I
31,561
(15,049)
16,512
234,718
210,375
(11,162)
199,213
340,514
7,624
(5,325)
2,299
258,639
15,034
(5,066)
9,968
227,725
8,528
(3,950)
4,578
81,655
16,273
(2,268)
14,005
88,562
58,347
(8,615)
49,732
190,137
594,968
(76,775)
518,193
1,642,774
LargeCap S&P 500 Managed Volatility Index
Account
19,843
(11,173)
8,670
174,877
LargeCap Value Account
11,639
(2,263)
9,376
128,895
198,467
(16,124)
182,343
430,938
—
(1)
40,791
(3,931)
36,860
Principal LifeTime 2010 Account
2,491
(1,274)
1,217
41,519
Principal LifeTime 2020 Account
11,869
(8,289)
3,580
187,444
Principal LifeTime 2030 Account
6,913
(4,741)
2,172
117,815
Principal LifeTime 2040 Account
2,294
(2,561)
(267)
46,340
Principal LifeTime 2050 Account
1,226
(1,255)
(29)
23,106
Principal LifeTime 2060 Account
42
(157)
(115)
1,625
(452)
LargeCap S&P 500 Index Account
MidCap Account
Multi-Asset Income Account
Principal Capital Appreciation Account
Principal LifeTime Strategic Income Account
(1)
1,173
21
119,470
2,607
24,364
Real Estate Securities Account
52,398
(613)
51,785
122,680
SAM Balanced Portfolio
94,447
(20,892)
73,555
728,403
197,218
SAM Conservative Balanced Portfolio
17,032
(3,931)
13,101
SAM Conservative Growth Portfolio
32,279
(10,695)
21,584
274,180
SAM Flexible Income Portfolio
18,603
(2,707)
15,896
202,833
SAM Strategic Growth Portfolio
21,153
(12,701)
8,452
230,870
1,993
(1,194)
799
166,459
24,463
(14,568)
9,895
188,172
Short-Term Income Account
SmallCap Account
8. Subsequent Events
Management has evaluated events and transactions that have occurred through the date the financial statements were issued that would
merit recognition or disclosure in the financial statements. There were no items requiring adjustment of the financial statements or
additional disclosure.
72
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
COMMON STOCKS - 59.19%
Shares Held
Advertising - 0.21%
Interpublic Group of Cos Inc/The
WPP PLC ADR
Aerospace & Defense - 0.66%
General Dynamics Corp
Northrop Grumman Corp
Spirit AeroSystems Holdings Inc
2,370 $
360
$
(a)
Agriculture - 0.92%
Altria Group Inc
British American Tobacco PLC ADR
Japan Tobacco Inc
Airlines - 0.21%
Delta Air Lines Inc
Ryanair Holdings PLC ADR
Southwest Airlines Co
Apparel - 0.22%
Michael Kors Holdings Ltd
Skechers U.S.A. Inc (a)
Automobile Manufacturers - 0.71%
Ford Motor Co
Fuji Heavy Industries Ltd ADR
General Motors Co
Toyota Motor Corp ADR
Automobile Parts & Equipment - 0.73%
Bridgestone Corp ADR
Cooper Tire & Rubber Co
Goodyear Tire & Rubber Co/The
Lear Corp
Visteon Corp
Banks - 3.70%
Bancolombia SA ADR
Bank Mandiri Persero Tbk PT ADR
Bank of America Corp
Bank of Montreal
Bank Rakyat Indonesia Persero Tbk PT ADR
BNP Paribas SA ADR
Central Pacific Financial Corp
Chemical Financial Corp
Citigroup Inc
Credicorp Ltd
FCB Financial Holdings Inc (a)
Hanmi Financial Corp
HDFC Bank Ltd ADR
IBERIABANK Corp
JPMorgan Chase & Co
Mitsubishi UFJ Financial Group Inc ADR
Sumitomo Mitsui Trust Holdings Inc ADR
SunTrust Banks Inc
Svenska Handelsbanken AB ADR
Toronto-Dominion Bank/The
Union Bankshares Corp
Wells Fargo & Co
Wilshire Bancorp Inc
Beverages - 0.94%
Ambev SA ADR
Dr Pepper Snapple Group Inc
PepsiCo Inc
Biotechnology - 2.23%
AMAG Pharmaceuticals Inc
Amgen Inc
See accompanying notes.
320
770
1,590
$
$
279
64
51
394
$
50
27
15
92
$
65
29
94
$
175
20
50
60
305
$
27
36
79
156
17
315
$
11
12
96
29
13
32
36
30
55
13
21
15
29
60
663
24
23
256
11
29
12
107
16
1,593
$
38
233
132
403
4,050
498
1,265
1,320
980
13,920
298
1,750
598
1,687
1,222
3,090
1,528
250
316
1,692
7,230
461
778
1,423
1,520
800
1,301
86
620
623
436
1,000
10,677
5,442
7,117
6,240
1,910
674
470
2,250
1,540
6,369
2,410
1,250
(a)
50
3,570
Biotechnology (continued)
Bellicum Pharmaceuticals Inc (a)
Charles River Laboratories International Inc
55
37
92
45
171
68
284
1,370
389
390
(a)
COMMON STOCKS (continued)
Value (000's)
Shares Held
Value (000's)
340 $
578
5
48
(a)
CSL Ltd ADR
Epizyme Inc (a)
Exact Sciences Corp (a)
Genocea Biosciences Inc (a)
Gilead Sciences Inc
Intercept Pharmaceuticals Inc (a)
Spark Therapeutics Inc (a)
Ultragenyx Pharmaceutical Inc (a)
Versartis Inc (a)
Building Materials - 0.77%
Masco Corp
Owens Corning
Universal Forest Products Inc
US Concrete Inc (a)
Chemicals - 1.46%
Cabot Corp
Dow Chemical Co/The
Lonza Group AG ADR(a)
LyondellBasell Industries NV
Commercial Services - 1.36%
ABM Industries Inc
Brookfield Business Partners LP (a)
Equifax Inc
Navigant Consulting Inc (a)
New Oriental Education & Technology Group
Inc ADR
Ritchie Bros Auctioneers Inc
Sabre Corp
TAL Education Group ADR(a)
Total System Services Inc
Computers - 3.73%
Accenture PLC - Class A
Amdocs Ltd
Apple Inc
CACI International Inc (a)
Manhattan Associates Inc
SecureWorks Corp (a)
Sykes Enterprises Inc (a)
Synopsys Inc (a)
(a)
Cosmetics & Personal Care - 0.28%
Procter & Gamble Co/The
Svenska Cellulosa AB SCA ADR
Unilever NV - NY shares
Distribution & Wholesale - 0.09%
ITOCHU Corp ADR
SiteOne Landscape Supply Inc (a)
Diversified Financial Services - 0.90%
CME Group Inc/IL
CoreLogic Inc/United States (a)
Macquarie Group Ltd ADR
Moelis & Co
ORIX Corp ADR
Synchrony Financial
T Rowe Price Group Inc
Electric - 1.28%
Avista Corp
Enel SpA ADR
1
543
73
866
310
565
965
3,450
30
120
120
560
$
36
3
7
4
288
4
6
6
6
957
$
160
91
42
39
332
$
32
269
30
299
630
5,190
1,770
450
640
710
5,400
1,829
4,014
1,190
57
2,690
1,080
232
44
1
345
18
10
477
980
439
1,880
$
16
26
27
100
587
$
446
81
726
40
45
8
24
234
1,604
$
48
29
44
121
$
11
26
37
$
46
108
25
15
26
6
163
389
3,933
1,400
7,598
440
700
605
830
4,326
570
902
933
467
770
470
2,800
499
690
400
232
2,230
1,141
8,394
51
37
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Electric (continued)
Entergy Corp
Exelon Corp
Iberdrola SA ADR
Korea Electric Power Corp ADR
PPL Corp
Electrical Components & Equipment - 0.23%
Advanced Energy Industries Inc (a)
EnerSys
Insteel Industries Inc
Electronics - 0.27%
Hoya Corp ADR
II-VI Inc (a)
Vishay Intertechnology Inc
Engineering & Construction - 0.72%
Dycom Industries Inc (a)
EMCOR Group Inc
Fluor Corp
Vinci SA ADR
Entertainment - 0.44%
Isle of Capri Casinos Inc (a)
Marriott Vacations Worldwide Corp
Vail Resorts Inc
Environmental Control - 0.60%
Waste Management Inc
Food - 1.73%
Delhaize Group ADR
Ingredion Inc
Kroger Co/The
Nestle SA ADR
SUPERVALU Inc (a)
Tyson Foods Inc
Shares Held
Value (000's)
1,539 $
5,350
1,108
1,313
2,040
$
1,340
420
740
$
$
45
26
46
117
$
21
46
169
73
309
$
24
40
126
190
230
930
3,440
4,098
1,284
590
915
3,890
Gas - 0.20%
CenterPoint Energy Inc
Southwest Gas Corp
942
1,950
4,570
815
6,660
3,064
655
Healthcare - Products - 0.61%
Baxter International Inc
Cynosure Inc (a)
EndoChoice Holdings Inc (a)
ICU Medical Inc (a)
K2M Group Holdings Inc (a)
Nevro Corp (a)
STAAR Surgical Co (a)
2,318
410
2,290
3,600
542
610
250
930
290
830
See accompanying notes.
300
2,757
1,588
2,767
639
418
320
290
Insurance - 3.03%
Aflac Inc
American Financial Group Inc/OH
Argo Group International Holdings Ltd
Assured Guaranty Ltd
AXA SA ADR
Berkshire Hathaway Inc - Class B (a)
Everest Re Group Ltd
Hannover Rueck SE ADR
Prudential Financial Inc
SCOR SE ADR
Travelers Cos Inc/The
Unum Group
Internet - 3.30%
Alphabet Inc - A Shares (a)
Alphabet Inc - C Shares (a)
Amazon.com Inc (a)
Facebook Inc (a)
GoDaddy Inc (a)
Tencent Holdings Ltd ADR
Iron & Steel - 0.27%
Nucor Corp
Steel Dynamics Inc
25
252
168
63
31
205
744
56
32
88
1,340 $
$
189
893
3,078
34
331
13
5,920
740
381
900
1,487
440
790
670
2,000
6,473
1,440
5,440
$
427
55
20
23
30
64
144
35
143
19
171
173
1,304
$
343
479
143
344
57
54
1,420
$
71
44
115
487
692
200
3,010
1,827
2,375
1,430
1,820
Leisure Products & Services - 0.07%
Planet Fitness Inc (a)
1,500
28
Machinery - Construction & Mining - 0.05%
ABB Ltd ADR(a)
1,144
23
Machinery - Diversified - 0.29%
Briggs & Stratton Corp
BWX Technologies Inc
2,070
2,210
$
44
79
123
$
463
22
181
666
$
30
16
46
$
44
75
175
131
67
40
532
Media - 1.55%
Comcast Corp - Class A
ITV PLC ADR
Scripps Networks Interactive Inc
255
$
Healthcare - Services - 2.08%
Aetna Inc
Anthem Inc
Fresenius SE & Co KGaA ADR
HCA Holdings Inc (a)
HealthSouth Corp
ICON PLC (a)
Natera Inc (a)
Teladoc Inc (a)
Home Builders - 0.03%
Persimmon PLC ADR
Value (000's)
12
$
Hand & Machine Tools - 0.59%
Stanley Black & Decker Inc
Holding Companies - Diversified - 0.08%
CK Hutchison Holdings Ltd ADR
Shares Held
258
$
Food Service - 0.03%
Compass Group PLC ADR
Healthcare - Services (continued)
UnitedHealth Group Inc
125
195
30
34
77
549
51
25
21
97
1,265
1,400
3,730
COMMON STOCKS (continued)
Mining - 0.11%
Kinross Gold Corp
Yamana Gold Inc
163
26
3
28
15
21
5
261
(a)
Miscellaneous Manufacturers - 1.24%
FUJIFILM Holdings Corp ADR
General Electric Co
Illinois Tool Works Inc
Ingersoll-Rand PLC
Parker-Hannifin Corp
Trinseo SA
37
362
29
213
25
29
4
5
Oil & Gas - 3.13%
Callon Petroleum Co (a)
Canadian Natural Resources Ltd
Carrizo Oil & Gas Inc (a)
Chevron Corp
74
7,110
904
2,900
6,096
3,100
1,147
2,370
1,680
2,060
620
940
970
1,214
380
596
11
37
14
62
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Oil & Gas (continued)
Diamond Offshore Drilling Inc
Exxon Mobil Corp
Helmerich & Payne Inc
Lukoil PJSC ADR
Murphy Oil Corp
Murphy USA Inc (a)
Newfield Exploration Co (a)
PDC Energy Inc (a)
Royal Dutch Shell PLC ADR
Tesoro Corp
Oil & Gas Services - 0.08%
Pioneer Energy Services Corp
Superior Energy Services Inc
Technip SA ADR
Value (000's)
5,240 $
5,940
890
295
6,160
990
670
190
226
1,900
$
(a)
Pharmaceuticals - 4.34%
AbbVie Inc
Array BioPharma Inc (a)
Bristol-Myers Squibb Co
Cardinal Health Inc
FibroGen Inc (a)
Johnson & Johnson
Nektar Therapeutics (a)
Neurocrine Biosciences Inc (a)
Novo Nordisk A/S ADR
Pfizer Inc
PRA Health Sciences Inc (a)
Prestige Brands Holdings Inc (a)
Proteon Therapeutics Inc (a)
Quintiles Transnational Holdings Inc
Relypsa Inc (a)
Revance Therapeutics Inc (a)
Roche Holding AG ADR
Shire PLC ADR
Pipelines - 0.13%
ONEOK Inc
TransCanada Corp
1,000
600
1,250
(a)
128
557
60
12
196
73
30
11
12
142
1,345
$
5
11
17
33
$
182
3
103
337
6
383
9
13
63
511
33
59
4
29
6
3
73
49
1,866
$
20
36
56
2,940
950
1,400
4,320
340
3,160
630
280
1,173
14,510
780
1,070
520
450
330
250
2,202
263
420
788
Real Estate - 0.22%
Brookfield Asset Management Inc
2,895
96
REITS - 2.59%
CYS Investments Inc
Digital Realty Trust Inc
Duke Realty Corp
Equity One Inc
Equity Residential
Extra Space Storage Inc
First Industrial Realty Trust Inc
Highwoods Properties Inc
Kimco Realty Corp
Public Storage
Regency Centers Corp
Simon Property Group Inc
2,230
550
1,530
1,800
440
890
2,460
1,100
2,300
670
1,870
1,369
19
60
41
58
30
82
68
58
72
171
157
297
1,113
$
Retail - 4.39%
CVS Health Corp
Darden Restaurants Inc
Dollar General Corp
Foot Locker Inc
Lowe's Cos Inc
McDonald's Corp
Michaels Cos Inc/The (a)
Pandora A/S ADR
Panera Bread Co (a)
Target Corp
Tile Shop Holdings Inc (a)
Walgreens Boots Alliance Inc
See accompanying notes.
2,200
4,440
620
1,250
3,360
1,060
1,400
1,060
140
3,754
1,310
1,400
COMMON STOCKS (continued)
Shares Held
Retail (continued)
Wal-Mart Stores Inc
World Fuel Services Corp
Savings & Loans - 0.11%
Banc of California Inc
Oritani Financial Corp
Pacific Premier Bancorp Inc
Value (000's)
4,510 $
780
$
1,460
840
360
(a)
$
Semiconductors - 0.90%
ARM Holdings PLC ADR
Intel Corp
NVIDIA Corp
Taiwan Semiconductor Manufacturing Co Ltd
ADR
Tokyo Electron Ltd ADR
Software - 1.82%
Aspen Technology Inc (a)
Black Knight Financial Services Inc
Fiserv Inc (a)
Microsoft Corp
MSCI Inc
Nuance Communications Inc (a)
SYNNEX Corp
635
4,030
3,290
972
800
790
90
911
560
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 1.78%
Shares Held
Money Market Funds - 1.78%
BlackRock Liquidity Funds FedFund Portfolio
BONDS - 24.09%
Aerospace & Defense - 0.16%
Air 2 US
8.03%, 10/01/2020(b)
BAE Systems Holdings Inc
2.85%, 12/15/2020(b)
3.85%, 12/15/2025(b)
Lockheed Martin Corp
2.50%, 11/23/2020
3.55%, 01/15/2026
4.70%, 05/15/2046
United Technologies Corp
4.50%, 06/01/2042
211
281
58
69
266
127
40
36
30
262
26
117
45
386
$
39
27
99
494
65
12
48
784
$
391
25
31
560
35
49
90
30
37
145
1,393
9,040
906
541
19,520
2,039
3,257
1,909
1,115
830
2,596
Transportation - 0.32%
Ardmore Shipping Corp
Canadian National Railway Co
Canadian Pacific Railway Ltd
East Japan Railway Co ADR
United Parcel Service Inc
TOTAL INVESTMENT COMPANIES
$
960
720
914
9,660
840
740
510
Telecommunications - 3.24%
AT&T Inc
BT Group PLC ADR
China Mobile Ltd ADR
Cisco Systems Inc
Deutsche Telekom AG ADR
KDDI Corp ADR
Nippon Telegraph & Telephone Corp ADR
NTT DOCOMO Inc ADR
Plantronics Inc
Verizon Communications Inc
5
47
12
14
60
$
138
$
25,453
Value (000's)
767,499
767
$
767
Principal
Amount (000's) Value (000's)
$
12$
13
15
10
15
11
5
5
10
5
5
12
5
$
Agriculture - 0.26%
Altria Group Inc
4.50%, 05/02/2043
75
26
13
9
48
29
132
155
25
2,153
(a)
329
37
1,889
10
6
67
11
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
Principal
Amount (000's) Value (000's)
BONDS (continued)
Agriculture (continued)
BAT International Finance PLC
2.75%, 06/15/2020(b)
Philip Morris International Inc
1.88%, 02/25/2021
4.38%, 11/15/2041
Pinnacle Operating Corp
9.00%, 11/15/2020(b)
Reynolds American Inc
4.45%, 06/12/2025
5.70%, 08/15/2035
5.85%, 08/15/2045
6.88%, 05/01/2020
$
10$
10
25
10
25
11
10
9
15
15
5
5
17
18
7
6
114
$
Airlines - 0.21%
Air Canada
6.75%, 10/01/2019(b)
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028
American Airlines 2015-1 Class A Pass
Through Trust
3.38%, 11/01/2028
United Airlines 2014-1 Class A Pass Through
Trust
4.00%, 10/11/2027
United Airlines 2014-1 Class B Pass Through
Trust
4.75%, 10/11/2023
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028
US Airways 2001-1G Pass Through Trust
7.08%, 09/20/2022
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027
10
9
10
19
19
Automobile Asset Backed Securities - 2.16%
AmeriCredit Automobile Receivables 2016-1
1.20%, 06/10/2019(c)
AmeriCredit Automobile Receivables Trust
2015-3
0.96%, 01/08/2019(c)
Capital Auto Receivables Asset Trust 2014-2
1.26%, 05/21/2018(c)
Capital Auto Receivables Asset Trust 2015-2
0.85%, 10/20/2017(c)
Capital Auto Receivables Asset Trust 2016-1
1.15%, 11/20/2018(c)
CarMax Auto Owner Trust 2015-2
0.72%, 06/15/2018(c)
Chesapeake Funding LLC
1.69%, 04/07/2024(b),(c)
Drive Auto Receivables Trust 2015-D
1.31%, 06/15/2018(b),(c)
GM Financial Automobile Leasing Trust
2016-2
0.95%, 10/22/2018(c)
Honda Auto Receivables 2015-3 Owner
Trust
0.92%, 11/20/2017
See accompanying notes.
Automobile Manufacturers - 0.50%
American Honda Finance Corp
2.45%, 09/24/2020
Ford Motor Co
7.40%, 11/01/2046
General Motors Co
3.50%, 10/02/2018
6.25%, 10/02/2043
General Motors Financial Co Inc
3.25%, 05/15/2018
Hyundai Capital America
2.55%, 02/06/2019(b)
Navistar International Corp
8.25%, 11/01/2021
Nissan Motor Acceptance Corp
1.23%, 03/03/2017(b),(c)
Toyota Motor Credit Corp
1.02%, 01/17/2019(c)
2.00%, 10/24/2018
14
Automobile Parts & Equipment - 0.03%
Dana Holding Corp
5.50%, 12/15/2024
Lear Corp
5.25%, 01/15/2025
15
9
9
16
15
21
25
5
26
6
10
10
60
61
5
3
30
30
25
15
25
15
213
5
5
10
$
15
16
1
1
9
9
89
10
11
200
200
68
68
190
190
126
126
20
20
96
96
11
11
92
92
50
50
77
200
Banks - 2.45%
Associated Banc-Corp
2.75%, 11/15/2019
4.25%, 01/15/2025
Bank of America Corp
2.63%, 04/19/2021
3.50%, 04/19/2026
3.95%, 04/21/2025
4.10%, 07/24/2023
4.20%, 08/26/2024
4.25%, 10/22/2026
6.10%, 12/29/2049(c),(d)
Bank of New York Mellon Corp/The
4.95%, 12/29/2049(c),(d)
Citigroup Inc
2.70%, 03/30/2021
3.40%, 05/01/2026
4.60%, 03/09/2026
4.75%, 05/18/2046
First Horizon National Corp
3.50%, 12/15/2020
Goldman Sachs Group Inc/The
2.38%, 01/22/2018
2.55%, 10/23/2019
3.50%, 01/23/2025
3.85%, 07/08/2024
4.25%, 10/21/2025
5.15%, 05/22/2045
5.38%, 03/15/2020
5.38%, 12/29/2049(c),(d)
6.75%, 10/01/2037
JPMorgan Chase & Co
1.63%, 05/15/2018
4.25%, 10/01/2027
4.40%, 07/22/2020
4.50%, 01/24/2022
4.95%, 06/01/2045
5.00%, 12/29/2049(c),(d)
5.63%, 08/16/2043
Morgan Stanley
2.38%, 07/23/2019
77
930
200
76
75
275
15
$
$
Automobile Floor Plan Asset Backed Securities - 0.64%
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(c)
Principal
Amount (000's) Value (000's)
Automobile Floor Plan Asset Backed Securities (continued)
GE Dealer Floorplan Master Note Trust
0.83%, 07/20/2019(c)
$
75$
$
10
$
Apparel - 0.03%
NIKE Inc
3.88%, 11/01/2045
BONDS (continued)
10
15
10
20
10
21
40
10
15
10
20
31
10
41
10
15
11
21
32
10
30
30
15
10
5
5
15
10
5
5
20
20
100
20
10
10
45
15
15
25
10
101
20
10
11
47
16
17
25
12
35
10
50
10
20
20
10
35
11
55
11
22
19
12
60
61
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Banks (continued)
Morgan Stanley (continued)
2.50%, 04/21/2021
2.65%, 01/27/2020
4.00%, 07/23/2025
4.10%, 05/22/2023
4.88%, 11/01/2022
5.00%, 11/24/2025
5.55%, 12/29/2049(c),(d)
RBC USA Holdco Corp
5.25%, 09/15/2020
Royal Bank of Scotland Group PLC
5.13%, 05/28/2024
6.13%, 12/15/2022
US Bancorp
2.35%, 01/29/2021
Wells Fargo & Co
2.50%, 03/04/2021
2.60%, 07/22/2020
3.90%, 05/01/2045
4.40%, 06/14/2046
5.87%, 12/29/2049(c),(d)
5.90%, 12/29/2049(c),(d)
Principal
Amount (000's) Value (000's)
$
20$
5
20
70
15
30
10
17
5
5
5
5
30
31
25
5
10
10
5
20
26
5
10
10
5
21
1,054
25
26
70
10
65
25
30
73
10
70
28
35
15
15
7
5
8
6
271
25
15
5
5
5
25
16
5
5
6
15
17
10
10
84
$
Building Materials - 0.29%
Boise Cascade Co
6.38%, 11/01/2020
CRH America Inc
8.13%, 07/15/2018
Martin Marietta Materials Inc
1.73%, 06/30/2017(c)
Norbord Inc
5.38%, 12/01/2020(b)
5
5
45
51
65
65
See accompanying notes.
$
5$
5
5
5
10
10
5
Commercial Mortgage Backed Securities - 2.15%
BCRR Trust 2009-1
5.86%, 07/17/2040(b)
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048
Citigroup Commercial Mortgage Trust 2015GC27
3.14%, 02/10/2048(c)
Citigroup Commercial Mortgage Trust 2015GC29
3.19%, 04/10/2048(c)
4.29%, 04/10/2048(c)
COMM 2014-CCRE17 Mortgage Trust
4.90%, 05/10/2047(c)
Credit Suisse First Boston Mortgage Securities
Corp
0.57%, 11/15/2037(b),(c),(e)
CSMC Series 2009-RR3
5.34%, 12/15/2043(b),(c)
GE Commercial Mortgage Corp Series 2007C1 Trust
5.61%, 12/10/2049(c)
GS Mortgage Securities Trust 2013-GCJ12
3.78%, 06/10/2046(c)
GS Mortgage Securities Trust 2015-GC34
3.51%, 10/10/2048(c)
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043
LB-UBS Commercial Mortgage Trust 2007C2
5.43%, 02/15/2040
Morgan Stanley Bank of America Merrill
Lynch Trust 2013-C9
3.46%, 05/15/2046
Morgan Stanley Bank of America Merrill
Lynch Trust 2014-C18
4.59%, 10/15/2047(c)
UBS Commercial Mortgage Trust 2012-C1
3.40%, 05/10/2045(c)
UBS-Barclays Commercial Mortgage Trust
2013-C5
3.18%, 03/10/2046(c)
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34
5.68%, 05/15/2046(c)
WFRBS Commercial Mortgage Trust 2013C12
1.54%, 03/15/2048(b),(c),(e)
5
5
126
15
15
20
20
Commercial Services - 0.02%
Ahern Rentals Inc
7.38%, 05/15/2023(b)
Jurassic Holdings III Inc
6.88%, 02/15/2021(b)
TMS International Corp
7.63%, 10/15/2021(b)
25
12
12
75
79
50
100
53
99
50
51
40
—
25
25
100
97
25
26
125
135
16
16
8
8
25
26
50
54
55
59
15
16
105
108
563
5
5
10
5
10
77
35
924
5
3
5
3
5
$
5
5
80
25
$
$
Chemicals - 0.19%
A Schulman Inc
6.88%, 06/01/2023(b)
Agrium Inc
3.38%, 03/15/2025
Aruba Investments Inc
8.75%, 02/15/2023(b)
CF Industries Inc
4.95%, 06/01/2043
5.15%, 03/15/2034
20
5
21
73
16
33
10
15
$
Biotechnology - 0.20%
Celgene Corp
2.13%, 08/15/2018
2.88%, 08/15/2020
4.63%, 05/15/2044
5.00%, 08/15/2045
5.25%, 08/15/2043
Genzyme Corp
5.00%, 06/15/2020
Gilead Sciences Inc
3.05%, 12/01/2016
Chemicals (continued)
Dow Chemical Co/The
4.38%, 11/15/2042
Eagle Spinco Inc
4.63%, 02/15/2021
LYB International Finance BV
4.88%, 03/15/2044
Monsanto Co
3.95%, 04/15/2045
Principal
Amount (000's) Value (000's)
$
$
Beverages - 0.63%
Anheuser-Busch Cos LLC
5.60%, 03/01/2017
Anheuser-Busch InBev Finance Inc
2.65%, 02/01/2021
3.30%, 02/01/2023
3.65%, 02/01/2026
4.70%, 02/01/2036
4.90%, 02/01/2046
Constellation Brands Inc
3.75%, 05/01/2021
Corp Lindley SA
6.75%, 11/23/2021(b)
6.75%, 11/23/2021
BONDS (continued)
4
10
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Computers - 0.36%
Apple Inc
0.89%, 05/03/2018(c)
$
1.70%, 02/22/2019
2.85%, 05/06/2021
2.85%, 02/23/2023
3.45%, 02/09/2045
4.65%, 02/23/2046
Denali International LLC / Denali Finance
Corp
5.63%, 10/15/2020(b)
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(b)
4.42%, 06/15/2021(b)
6.02%, 06/15/2026(b)
7.13%, 06/15/2024(b)
Hewlett Packard Enterprise Co
6.20%, 10/15/2035(b)
50$
5
5
5
20
15
50
5
5
5
19
17
5
5
5
15
10
5
5
16
11
5
10
10
153
$
Consumer Products - 0.01%
Spectrum Brands Inc
5.75%, 07/15/2025
Credit Card Asset Backed Securities - 0.81%
BA Credit Card Trust
0.71%, 09/16/2019(c)
0.73%, 01/15/2020(c)
Barclays Dryrock Issuance Trust
0.78%, 03/16/2020(c)
Citibank Credit Card Issuance Trust
0.65%, 08/24/2018(c)
5
75
75
75
75
100
100
100
100
350
5
4
15
$
Diversified Financial Services - 0.46%
Aircastle Ltd
4.63%, 12/15/2018
5.00%, 04/01/2023
5.13%, 03/15/2021
Ally Financial Inc
3.25%, 11/05/2018
3.60%, 05/21/2018
CIT Group Inc
3.88%, 02/19/2019
Credit Acceptance Corp
6.13%, 02/15/2021
Intercontinental Exchange Inc
2.75%, 12/01/2020
International Lease Finance Corp
6.25%, 05/15/2019
National Rural Utilities Cooperative Finance
Corp
4.75%, 04/30/2043(c)
Navient Corp
6.13%, 03/25/2024
OneMain Financial Holdings LLC
7.25%, 12/15/2021(b)
Springleaf Finance Corp
5.25%, 12/15/2019
Synchrony Financial
2.70%, 02/03/2020
Visa Inc
2.20%, 12/14/2020
3.15%, 12/14/2025
4.30%, 12/14/2045
5
5
10
5
15
5
15
10
10
5
5
15
16
5
5
10
10
10
9
10
10
10
9
15
15
30
15
20
31
16
23
199
$
See accompanying notes.
18
22
5
5
10
Principal
Amount (000's) Value (000's)
Electric - 1.19%
Alabama Power Co
3.75%, 03/01/2045
$
3.85%, 12/01/2042
4.15%, 08/15/2044
CMS Energy Corp
3.00%, 05/15/2026
4.70%, 03/31/2043
4.88%, 03/01/2044
Commonwealth Edison Co
3.70%, 03/01/2045
3.80%, 10/01/2042
4.35%, 11/15/2045
Consolidated Edison Co of New York Inc
4.50%, 12/01/2045
4.63%, 12/01/2054
Dominion Resources Inc/VA
3.90%, 10/01/2025
DTE Energy Co
6.38%, 04/15/2033
Dynegy Inc
7.38%, 11/01/2022
Edison International
3.75%, 09/15/2017
Electricite de France SA
2.35%, 10/13/2020(b)
3.63%, 10/13/2025(b)
4.95%, 10/13/2045(b)
Elwood Energy LLC
8.16%, 07/05/2026
Emera US Finance LP
2.70%, 06/15/2021(b)
Exelon Corp
2.85%, 06/15/2020
4.45%, 04/15/2046
Florida Power & Light Co
4.05%, 06/01/2042
4.13%, 02/01/2042
Kentucky Utilities Co
3.30%, 10/01/2025
Louisville Gas & Electric Co
3.30%, 10/01/2025
MidAmerican Energy Co
4.25%, 05/01/2046
Northern States Power Co/MN
3.40%, 08/15/2042
NRG Energy Inc
6.25%, 05/01/2024
8.25%, 09/01/2020
Oncor Electric Delivery Co LLC
5.25%, 09/30/2040
Pacific Gas & Electric Co
3.50%, 06/15/2025
4.45%, 04/15/2042
PacifiCorp
3.85%, 06/15/2021
PPL Capital Funding Inc
3.10%, 05/15/2026
PPL Electric Utilities Corp
3.00%, 09/15/2021
4.75%, 07/15/2043
PPL WEM Ltd / Western Power Distribution
Ltd
5.38%, 05/01/2021(b)
Public Service Electric & Gas Co
4.15%, 11/01/2045
Puget Energy Inc
6.00%, 09/01/2021
Southern California Edison Co
3.60%, 02/01/2045
4.05%, 03/15/2042
Southern Co/The
2.95%, 07/01/2023
5
$
Distribution & Wholesale - 0.05%
Global Partners LP / GLP Finance Corp
7.00%, 06/15/2023
WW Grainger Inc
4.60%, 06/15/2045
BONDS (continued)
78
10$
10
10
10
10
11
5
5
5
5
6
6
10
5
5
10
5
6
10
10
11
12
15
16
15
19
10
10
10
10
20
10
5
20
10
6
15
17
10
10
15
5
16
5
10
5
11
6
15
16
5
5
10
11
5
5
5
10
5
10
5
6
10
5
11
6
10
11
10
10
5
5
5
6
25
28
5
6
15
18
15
15
16
16
5
5
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Electric (continued)
Southern Co/The (continued)
4.40%, 07/01/2046
Virginia Electric & Power Co
4.00%, 01/15/2043
4.65%, 08/15/2043
Wisconsin Electric Power Co
4.30%, 12/15/2045
Xcel Energy Inc
2.40%, 03/15/2021
3.30%, 06/01/2025
Principal
Amount (000's) Value (000's)
$
5$
5
5
5
5
6
5
6
35
10
36
11
513
$
Electronics - 0.08%
Fortive Corp
2.35%, 06/15/2021(b)
3.15%, 06/15/2026(b)
Sanmina Corp
4.38%, 06/01/2019(b)
5
10
5
10
20
21
36
$
Engineering & Construction - 0.06%
SBA Tower Trust
2.90%, 10/15/2044(b)
Entertainment - 0.32%
CCM Merger Inc
9.13%, 05/01/2019(b)
Churchill Downs Inc
5.38%, 12/15/2021(b)
Cinemark USA Inc
4.88%, 06/01/2023
DreamWorks Animation SKG Inc
6.88%, 08/15/2020(b)
Lions Gate Entertainment Corp
5.25%, 08/01/2018
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(b)
Regal Entertainment Group
5.75%, 03/15/2022
WMG Acquisition Corp
6.00%, 01/15/2021(b)
WMG Holdings Corp
13.75%, 10/01/2019
25
20
21
35
36
5
5
10
11
20
20
5
5
5
5
13
13
19
Food - 0.33%
Arcor SAIC
6.00%, 07/06/2023(b),(f),(g)
BI-LO LLC / BI-LO Finance Corp
9.25%, 02/15/2019(b)
Ingles Markets Inc
5.75%, 06/15/2023
JBS USA LLC / JBS USA Finance Inc
5.75%, 06/15/2025(b)
JM Smucker Co/The
4.38%, 03/15/2045
Kraft Heinz Foods Co
2.80%, 07/02/2020(b)
4.38%, 06/01/2046(b)
5.00%, 07/15/2035(b)
Post Holdings Inc
7.75%, 03/15/2024(b)
Smithfield Foods Inc
5.88%, 08/01/2021(b)
TreeHouse Foods Inc
6.00%, 02/15/2024(b)
See accompanying notes.
25
Food (continued)
Wm Wrigley Jr Co
2.40%, 10/21/2018(b)
3.38%, 10/21/2020(b)
Forest Products & Paper - 0.06%
Domtar Corp
6.25%, 09/01/2042
Tembec Industries Inc
9.00%, 12/15/2019(b)
Gas - 0.04%
Dominion Gas Holdings LLC
2.80%, 11/15/2020
Healthcare - Products - 0.39%
Hill-Rom Holdings Inc
5.75%, 09/01/2023(b),(c)
Kinetic Concepts Inc / KCI USA Inc
10.50%, 11/01/2018
Mallinckrodt International Finance SA /
Mallinckrodt CB LLC
5.63%, 10/15/2023(b)
Medtronic Inc
2.50%, 03/15/2020
4.38%, 03/15/2035
4.63%, 03/15/2045
Universal Hospital Services Inc
7.63%, 08/15/2020
Zimmer Biomet Holdings Inc
2.70%, 04/01/2020
3.15%, 04/01/2022
3.55%, 04/01/2025
Healthcare - Services - 0.83%
Aetna Inc
2.40%, 06/15/2021
2.75%, 11/15/2022
2.80%, 06/15/2023
3.20%, 06/15/2026
4.25%, 06/15/2036
4.38%, 06/15/2046
Anthem Inc
4.63%, 05/15/2042
Centene Corp
4.75%, 05/15/2022
5.75%, 06/01/2017
6.13%, 02/15/2024(b)
Cigna Corp
4.00%, 02/15/2022
4.38%, 12/15/2020
Fresenius Medical Care US Finance II Inc
5.88%, 01/31/2022(b)
HCA Inc
4.75%, 05/01/2023
5.25%, 04/15/2025
5.88%, 03/15/2022
Molina Healthcare Inc
5.38%, 11/15/2022(b)
MPH Acquisition Holdings LLC
7.13%, 06/01/2024(b)
UnitedHealth Group Inc
1.90%, 07/16/2018
4.63%, 07/15/2035
4.75%, 07/15/2045
WellCare Health Plans Inc
5.75%, 11/15/2020
26
15
5
4
5
5
5
5
10
11
15
25
5
16
26
6
5
6
5
5
5
5
$
10$
25
$
20
5
4
25
15
16
5
5
15
15
5
5
20
19
20
21
21
24
10
9
35
20
10
35
21
10
166
20
30
25
20
10
10
20
31
26
21
10
10
10
11
10
14
5
10
14
5
5
50
5
54
5
6
10
20
5
10
21
6
5
5
5
5
10
55
5
10
64
6
5
$
79
10
27
141
21
$
20
136
15
Principal
Amount (000's) Value (000's)
$
25
$
Environmental Control - 0.06%
Republic Services Inc
3.80%, 05/15/2018
BONDS (continued)
5
355
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Holding Companies - Diversified - 0.01%
Argos Merger Sub Inc
7.13%, 03/15/2023(b)
Principal
Amount (000's) Value (000's)
$
Home Builders - 0.10%
Beazer Homes USA Inc
6.63%, 04/15/2018
Lennar Corp
4.13%, 12/01/2018
4.75%, 11/15/2022(c)
WCI Communities Inc
6.88%, 08/15/2021
Woodside Homes Co LLC / Woodside Homes
Finance Inc
6.75%, 12/15/2021(b)
5$
15
5
5
5
5
15
15
5
$
Home Equity Asset Backed Securities - 0.05%
Specialty Underwriting & Residential Finance
Trust Series 2004-BC1
1.22%, 02/25/2035(c)
21
Iron & Steel (continued)
Vale Overseas Ltd
5.88%, 06/10/2021
5
15
Principal
Amount (000's) Value (000's)
BONDS (continued)
$
Leisure Products & Services - 0.02%
NCL Corp Ltd
4.63%, 11/15/2020(b)
5.25%, 11/15/2019(b)
25$
$
25
85
5
5
5
5
10
$
Lodging - 0.09%
Boyd Gaming Corp
6.88%, 05/15/2023
MGM Growth Properties Operating
Partnership LP / MGP Escrow Co-Issuer Inc
5.63%, 05/01/2024(b)
MGM Resorts International
6.00%, 03/15/2023
6.63%, 12/15/2021
Wyndham Worldwide Corp
2.50%, 03/01/2018
5
45
20
5
6
5
5
5
5
5
6
15
$
Housewares - 0.03%
Newell Brands Inc
3.15%, 04/01/2021
3.85%, 04/01/2023
5
5
$
Insurance - 1.10%
American International Group Inc
3.30%, 03/01/2021
Chubb INA Holdings Inc
2.30%, 11/03/2020
3.35%, 05/03/2026
CNO Financial Group Inc
4.50%, 05/30/2020
Liberty Mutual Group Inc
7.00%, 03/07/2067(b),(c)
Markel Corp
5.00%, 04/05/2046
Metropolitan Life Global Funding I
2.30%, 04/10/2019(b)
Prudential Financial Inc
5.38%, 05/15/2045(c)
Teachers Insurance & Annuity Association of
America
4.90%, 09/15/2044(b)
TIAA Asset Management Finance Co LLC
2.95%, 11/01/2019(b)
Travelers Cos Inc/The
3.75%, 05/15/2046
Voya Financial Inc
5.65%, 05/15/2053(c)
XLIT Ltd
4.45%, 03/31/2025
5.50%, 03/31/2045
Internet - 0.01%
Zayo Group LLC / Zayo Capital Inc
6.00%, 04/01/2023
Iron & Steel - 0.20%
AK Steel Corp
7.63%, 05/15/2020
ArcelorMittal
8.00%, 10/15/2039(c)
Commercial Metals Co
7.35%, 08/15/2018
Signode Industrial Group Lux SA/Signode
Industrial Group US Inc
6.38%, 05/01/2022(b)
See accompanying notes.
5
6
11
15
15
45
25
46
27
10
10
15
13
15
16
150
154
15
15
15
17
40
41
10
10
30
28
60
20
61
20
473
$
5
5
5
5
20
19
25
26
10
Machinery - Construction & Mining - 0.01%
Vander Intermediate Holding II Corp
9.75%, PIK 10.50%, 02/01/2019(b),(h)
Media - 0.84%
21st Century Fox America Inc
4.75%, 09/15/2044
5.40%, 10/01/2043
CCO Holdings LLC / CCO Holdings Capital
Corp
5.13%, 05/01/2023(b)
5.75%, 02/15/2026(b)
Charter Communications Operating LLC /
Charter Communications Operating Capital
4.91%, 07/23/2025(b)
6.83%, 10/23/2055(b)
Comcast Corp
2.75%, 03/01/2023
3.38%, 02/15/2025
4.60%, 08/15/2045
6.40%, 03/01/2040
6.50%, 11/15/2035
DISH DBS Corp
4.25%, 04/01/2018
5.88%, 07/15/2022
5.88%, 11/15/2024
7.88%, 09/01/2019
Grupo Televisa SAB
6.63%, 01/15/2040
RCN Telecom Services LLC / RCN Capital
Corp
8.50%, 08/15/2020(b)
Time Warner Cable Inc
6.75%, 07/01/2018
Time Warner Inc
2.10%, 06/01/2019
2.95%, 07/15/2026
3.60%, 07/15/2025
3.88%, 01/15/2026
4.05%, 12/15/2023
4.65%, 06/01/2044
4.85%, 07/15/2045
6.25%, 03/29/2041
Viacom Inc
4.85%, 12/15/2034
Walt Disney Co/The
2.30%, 02/12/2021
10
80
15
37
5
3
10
5
11
6
15
5
15
5
25
10
27
12
35
5
5
20
5
37
5
6
28
7
5
15
5
10
5
15
5
11
35
40
10
10
5
5
10
5
10
5
5
10
10
5
10
5
11
5
6
11
11
6
15
14
10
10
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Media (continued)
WideOpenWest Finance LLC /
WideOpenWest Capital Corp
13.38%, 10/15/2019
Metal Fabrication & Hardware - 0.01%
Wise Metals Intermediate Holdings LLC/Wise
Holdings Finance Corp
9.75%, PIK 10.50%, 06/15/2019(b),(h)
Mining - 0.08%
Barrick North America Finance LLC
4.40%, 05/30/2021
BHP Billiton Finance USA Ltd
2.05%, 09/30/2018
FMG Resources August 2006 Pty Ltd
6.88%, 04/01/2022(b)
9.75%, 03/01/2022(b)
Taseko Mines Ltd
7.75%, 04/15/2019
Principal
Amount (000's) Value (000's)
$
20$
$
11
11
10
10
5
5
5
5
5
4
70
81
10
5
11
6
15
15
15
16
10
8
222
10
18
5
10
5
$
Oil & Gas - 1.27%
Anadarko Petroleum Corp
3.45%, 07/15/2024
4.85%, 03/15/2021
5.55%, 03/15/2026
Apache Corp
4.75%, 04/15/2043
Baytex Energy Corp
5.13%, 06/01/2021(b)
BP Capital Markets PLC
1.17%, 05/10/2019(c)
3.12%, 05/04/2026
Chaparral Energy Inc
0.00%, 11/15/2022(a)
Chesapeake Energy Corp
8.00%, 12/15/2022(b)
ConocoPhillips Co
1.53%, 05/15/2022(c)
Continental Resources Inc/OK
3.80%, 06/01/2024
4.50%, 04/15/2023
5.00%, 09/15/2022
See accompanying notes.
12
145
180
$
Office & Business Equipment - 0.05%
Xerox Corp
2.95%, 03/15/2017
3.50%, 08/20/2020
6.75%, 02/01/2017
3
34
5
$
Mortgage Backed Securities - 0.04%
Fannie Mae Interest Strip
4.50%, 10/25/2035(c),(e)
Freddie Mac REMICS
3.50%, 02/15/2025(c),(e)
21
360
10
5
10
5
20
10
55
10
10
58
11
5
5
5
4
50
5
50
5
10
6
7
6
20
19
5
5
5
4
5
5
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
Denbury Resources Inc
5.50%, 05/01/2022
$
Devon Energy Corp
2.25%, 12/15/2018
Ecopetrol SA
5.88%, 05/28/2045
Encana Corp
5.15%, 11/15/2041
EP Energy LLC / Everest Acquisition Finance
Inc
9.38%, 05/01/2020
Exxon Mobil Corp
1.71%, 03/01/2019
2.22%, 03/01/2021
Halcon Resources Corp
8.63%, 02/01/2020(b)
Kerr-McGee Corp
7.88%, 09/15/2031
Nabors Industries Inc
2.35%, 09/15/2016
Northern Blizzard Resources Inc
7.25%, 02/01/2022(b)
Oasis Petroleum Inc
6.50%, 11/01/2021
PDC Energy Inc
7.75%, 10/15/2022
Petrobras Global Finance BV
4.38%, 05/20/2023
8.38%, 05/23/2021
Petroleos Mexicanos
5.50%, 02/04/2019(b)
6.88%, 08/04/2026(b)
8.00%, 05/03/2019
Phillips 66
4.65%, 11/15/2034
Pioneer Natural Resources Co
3.45%, 01/15/2021
4.45%, 01/15/2026
QEP Resources Inc
5.25%, 05/01/2023
Repsol Oil & Gas Canada Inc
7.75%, 06/01/2019
Shell International Finance BV
4.00%, 05/10/2046
Sunoco LP / Sunoco Finance Corp
5.50%, 08/01/2020(b)
6.38%, 04/01/2023(b)
Whiting Petroleum Corp
5.75%, 03/15/2021
Woodside Finance Ltd
3.65%, 03/05/2025(b)
WPX Energy Inc
7.50%, 08/01/2020
6
$
Miscellaneous Manufacturers - 0.34%
Bombardier Inc
7.50%, 03/15/2025(b)
General Electric Co
5.30%, 02/11/2021
Ingersoll-Rand Global Holding Co Ltd
2.88%, 01/15/2019
5.75%, 06/15/2043
Ingersoll-Rand Luxembourg Finance SA
2.63%, 05/01/2020
3.55%, 11/01/2024
Tyco International Finance SA
5.13%, 09/14/2045
BONDS (continued)
10$
30
30
5
4
10
8
20
14
55
20
56
21
5
5
5
6
10
10
6
5
10
9
10
10
5
15
4
15
10
10
25
11
11
28
10
11
20
5
21
5
10
9
25
27
5
5
5
5
5
5
5
5
5
5
5
$
Oil & Gas Services - 0.02%
Schlumberger Investment SA
3.30%, 09/14/2021(b)
Seventy Seven Operating LLC
0.00%, 11/15/2019(a)
5
5
37
3
8
34
19
$
81
5
545
5
$
Other Asset Backed Securities - 0.12%
Countrywide Asset-Backed Certificates
2.06%, 01/25/2034(c)
JP Morgan Mortgage Acquisition Trust 2007CH3
0.60%, 03/25/2037(c)
7
19
53
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Packaging & Containers - 0.26%
Beverage Packaging Holdings Luxembourg II
SA / Beverage Packaging Holdings II
5.63%, 12/15/2016(b)
$
Coveris Holding Corp
10.00%, 06/01/2018(b)
Crown Cork & Seal Co Inc
7.38%, 12/15/2026
Packaging Corp of America
4.50%, 11/01/2023
Reynolds Group Issuer Inc / Reynolds Group
Issuer LLC / Reynolds Group Issuer
(Luxembourg) S.A.
5.75%, 10/15/2020
WestRock RKT Co
3.50%, 03/01/2020
5$
15
8
9
20
21
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
10$
5
5
11
6
6
5
15
5
14
10
$
30
31
30
31
112
50
25
10
50
26
11
25
5
26
5
5
5
5
6
15
17
20
20
10
11
5
5
4
4
185
$
Pipelines - 0.59%
Boardwalk Pipelines LP
3.38%, 02/01/2023
Columbia Pipeline Group Inc
3.30%, 06/01/2020
Enbridge Inc
1.14%, 06/02/2017(c)
Energy Transfer Equity LP
5.88%, 01/15/2024
Energy Transfer Partners LP
4.05%, 03/15/2025
4.90%, 03/15/2035
EnLink Midstream Partners LP
4.15%, 06/01/2025
4.40%, 04/01/2024
5.05%, 04/01/2045
Enterprise Products Operating LLC
3.70%, 02/15/2026
4.90%, 05/15/2046
Kinder Morgan Energy Partners LP
4.70%, 11/01/2042
5.63%, 09/01/2041
Kinder Morgan Inc/DE
3.05%, 12/01/2019
MPLX LP
4.88%, 06/01/2025(b)
ONEOK Partners LP
4.90%, 03/15/2025
Sabine Pass Liquefaction LLC
5.63%, 03/01/2025
Tesoro Logistics LP / Tesoro Logistics
Finance Corp
6.13%, 10/15/2021
Pipelines (continued)
TransCanada PipeLines Ltd
4.63%, 03/01/2034
5.00%, 10/16/2043
7.13%, 01/15/2019
Western Gas Partners LP
4.65%, 07/01/2026(f),(g)
5.45%, 04/01/2044
Williams Partners LP
3.60%, 03/15/2022
5
15
$
Pharmaceuticals - 0.43%
AbbVie Inc
1.80%, 05/14/2018
2.50%, 05/14/2020
4.70%, 05/14/2045
Actavis Funding SCS
3.45%, 03/15/2022
3.80%, 03/15/2025
Baxalta Inc
4.00%, 06/23/2025
Forest Laboratories LLC
5.00%, 12/15/2021(b)
Johnson & Johnson
3.70%, 03/01/2046
Merck & Co Inc
1.30%, 05/18/2018
Novartis Capital Corp
4.00%, 11/20/2045
Valeant Pharmaceuticals International Inc
5.38%, 03/15/2020(b)
5.63%, 12/01/2021(b)
BONDS (continued)
15
14
20
21
30
29
5
5
5
5
5
4
20
15
10
18
14
8
5
10
5
11
15
5
14
5
10
10
2
2
10
10
20
20
10
10
Private Equity - 0.01%
Icahn Enterprises LP / Icahn Enterprises
Finance Corp
6.00%, 08/01/2020
Real Estate - 0.08%
American Campus Communities Operating
Partnership LP
3.35%, 10/01/2020
4.13%, 07/01/2024
Crescent Resources LLC / Crescent Ventures
Inc
10.25%, 08/15/2017(b)
Prologis LP
3.75%, 11/01/2025
5
5
10
10
10
11
10
10
5
$
REITS - 0.51%
American Tower Corp
3.50%, 01/31/2023
AvalonBay Communities Inc
2.95%, 05/11/2026
Brixmor Operating Partnership LP
4.13%, 06/15/2026
DDR Corp
3.63%, 02/01/2025
DuPont Fabros Technology LP
5.88%, 09/15/2021
Equinix Inc
4.88%, 04/01/2020
5.38%, 01/01/2022
5.38%, 04/01/2023
Essex Portfolio LP
3.38%, 04/15/2026
Hospitality Properties Trust
4.25%, 02/15/2021
Iron Mountain US Holdings Inc
5.38%, 06/01/2026(b)
iStar Inc
4.88%, 07/01/2018
6.50%, 07/01/2021
9.00%, 06/01/2017
Kimco Realty Corp
3.40%, 11/01/2022
4.25%, 04/01/2045
Retail Properties of America Inc
4.00%, 03/15/2025
Select Income REIT
4.15%, 02/01/2022
Simon Property Group LP
2.50%, 09/01/2020
2.50%, 07/15/2021
Ventas Realty LP
3.13%, 06/15/2023
82
5
36
5
5
15
15
5
5
10
10
5
5
5
5
5
5
5
5
25
26
20
21
10
10
5
10
5
5
10
5
5
15
5
15
15
15
15
15
5
15
5
16
15
$
Retail - 0.67%
BMC Stock Holdings Inc
9.00%, 09/15/2018(b)
CVS Health Corp
2.80%, 07/20/2020
4.75%, 12/01/2022
9
256
15
218
15
16
15
25
16
29
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Retail (continued)
CVS Health Corp (continued)
5.00%, 12/01/2024
5.13%, 07/20/2045
CVS Pass-Through Trust
7.51%, 01/10/2032(b)
Dollar Tree Inc
5.75%, 03/01/2023(b)
Home Depot Inc/The
3.35%, 09/15/2025
JC Penney Corp Inc
5.65%, 06/01/2020
KFC Holding Co/Pizza Hut Holdings
LLC/Taco Bell of America LLC
5.00%, 06/01/2024(b)
L Brands Inc
6.88%, 11/01/2035
Landry's Holdings II Inc
10.25%, 01/01/2018(b)
Macy's Retail Holdings Inc
5.90%, 12/01/2016
McDonald's Corp
2.10%, 12/07/2018
2.75%, 12/09/2020
3.70%, 01/30/2026
4.88%, 12/09/2045
Michaels Stores Inc
5.88%, 12/15/2020(b)
Target Corp
3.63%, 04/15/2046
Tops Holding LLC / Tops Markets II Corp
8.00%, 06/15/2022(b)
Principal
Amount (000's) Value (000's)
$
10$
10
12
13
4
5
5
5
20
22
15
14
5
5
5
5
15
15
36
37
15
25
10
25
15
26
11
29
5
5
5
5
5
$
Software - 0.14%
Fidelity National Information Services Inc
2.85%, 10/15/2018
First Data Corp
5.00%, 01/15/2024(b)
Microsoft Corp
2.00%, 11/03/2020
MSCI Inc
5.75%, 08/15/2025(b)
Oracle Corp
1.90%, 09/15/2021(f)
2.65%, 07/15/2026(f)
4.00%, 07/15/2046(f)
4.38%, 05/15/2055
Sovereign - 0.26%
Hungary Government International Bond
5.38%, 02/21/2023
Peruvian Government International Bond
5.63%, 11/18/2050
Poland Government International Bond
3.25%, 04/06/2026
Romanian Government International Bond
4.88%, 01/22/2024(b)
11
5
5
5
5
5
5
15
10
5
5
15
10
5
5
61
10
11
15
19
50
51
30
33
114
$
Student Loan Asset Backed Securities - 0.38%
Navient Student Loan Trust 2014-8
0.73%, 08/25/2020(c)
Navient Student Loan Trust 2015-1
0.75%, 09/26/2022(c)
SLM Private Education Loan Trust 2012-E
1.19%, 10/16/2023(b),(c)
SLM Private Education Loan Trust 2013-A
1.04%, 08/15/2022(b),(c)
20
20
80
80
18
18
45
$
Telecommunications - 1.03%
AT&T Inc
1.58%, 11/27/2018(c)
See accompanying notes.
10
Telecommunications (continued)
AT&T Inc (continued)
2.38%, 11/27/2018
2.45%, 06/30/2020
3.60%, 02/17/2023
3.80%, 03/15/2022
4.13%, 02/17/2026
4.50%, 05/15/2035
6.00%, 08/15/2040
6.38%, 03/01/2041
CC Holdings GS V LLC / Crown Castle GS
III Corp
3.85%, 04/15/2023
Cisco Systems Inc
1.60%, 02/28/2019
2.20%, 02/28/2021
Frontier Communications Corp
11.00%, 09/15/2025
10.50%, 09/15/2022
Goodman Networks Inc
12.13%, 07/01/2018
Intelsat Luxembourg SA
8.13%, 06/01/2023
Level 3 Communications Inc
5.75%, 12/01/2022
Level 3 Financing Inc
5.38%, 01/15/2024
6.13%, 01/15/2021
Sprint Capital Corp
6.88%, 11/15/2028
Sprint Communications Inc
6.00%, 11/15/2022
7.00%, 08/15/2020
9.13%, 03/01/2017
T-Mobile USA Inc
6.25%, 04/01/2021
6.50%, 01/15/2026
6.63%, 04/28/2021
Verizon Communications Inc
1.35%, 06/09/2017
2.41%, 09/14/2018(c)
4.52%, 09/15/2048
5.01%, 08/21/2054
5.15%, 09/15/2023
Vodafone Group PLC
2.50%, 09/26/2022
4
289
10
$
BONDS (continued)
Principal
Amount (000's) Value (000's)
$
5$
45
25
20
5
10
15
10
5
46
26
21
5
10
18
12
30
32
5
20
5
21
10
10
10
11
5
3
15
4
5
5
10
5
10
5
10
8
10
10
3
8
9
3
10
5
5
11
5
5
25
50
3
17
25
25
51
3
18
29
10
$
Transportation - 0.35%
Burlington Northern Santa Fe LLC
3.85%, 09/01/2023
5.05%, 03/01/2041
CSX Corp
3.70%, 10/30/2020
3.95%, 05/01/2050
5.50%, 04/15/2041
Eletson Holdings Inc
9.63%, 01/15/2022(b)
FedEx Corp
4.55%, 04/01/2046
4.75%, 11/15/2045
Hornbeck Offshore Services Inc
5.00%, 03/01/2021
Navios Maritime Acquisition Corp / Navios
Acquisition Finance US Inc
8.13%, 11/15/2021(b)
Navios Maritime Holdings Inc / Navios
Maritime Finance II US Inc
7.38%, 01/15/2022(b)
Navios South American Logistics Inc / Navios
Logistics Finance US Inc
7.25%, 05/01/2022(b)
45
163
10
83
10
444
10
15
11
18
15
5
10
16
5
13
5
4
10
25
11
28
10
6
20
16
10
4
5
3
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
BONDS (continued)
Transportation (continued)
Union Pacific Corp
4.38%, 11/15/2065
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
$
Trucking & Leasing - 0.02%
Penske Truck Leasing Co Lp / PTL Finance
Corp
3.38%, 02/01/2022(b)
15$
$
10
Federal National Mortgage Association (FNMA) (continued)
3.00%, 07/01/2043
$
47$
3.00%, 07/01/2046(i)
215
3.50%, 10/01/2033
74
3.50%, 05/01/2043
54
3.50%, 07/01/2043
201
3.50%, 08/01/2043
77
3.50%, 09/01/2044
88
3.50%, 11/01/2044
100
3.50%, 07/01/2045(i)
395
4.00%, 08/01/2020
4
4.00%, 02/01/2031
6
4.00%, 06/01/2031
15
4.00%, 03/01/2041
22
4.00%, 05/01/2045
201
4.00%, 12/01/2045
24
4.50%, 05/01/2040
78
4.50%, 11/01/2045
41
5.00%, 01/01/2042
29
5.50%, 03/01/2034
12
5.50%, 04/01/2035
2
5.50%, 07/01/2038
59
6.00%, 02/01/2025
17
6.00%, 11/01/2035
88
6.00%, 11/01/2037
30
6.00%, 03/01/2038
8
6.50%, 02/01/2032
5
6.50%, 07/01/2037
3
6.50%, 07/01/2037
3
6.50%, 02/01/2038
5
6.50%, 09/01/2038
6
$
Government National Mortgage Association (GNMA) 2.00%
3.00%, 02/15/2043
25
3.00%, 01/20/2046
68
3.00%, 07/01/2046
190
3.50%, 05/15/2042
69
3.50%, 10/15/2042
38
3.50%, 07/01/2046
200
(i)
4.00%, 07/01/2045
50
4.50%, 11/15/2040
53
5.00%, 02/15/2039
73
6.00%, 09/20/2026
11
6.00%, 01/15/2029
13
7.00%, 05/15/2031
5
7.00%, 02/20/2032
8
$
16
151
10
TOTAL BONDS
$
10,358
SENIOR FLOATING RATE INTERESTS Principal
0.07%
Amount (000's) Value (000's)
Forest Products & Paper - 0.01%
Caraustar Industries Inc, Term Loan B
8.00%, 04/26/2019(c)
Oil & Gas - 0.02%
Seadrill Operating LP, Term Loan B
4.00%, 02/12/2021(c)
$
5$
4
20
9
Packaging & Containers - 0.01%
SIG Combibloc PurchaseCo Sarl, Term Loan
B
4.25%, 03/11/2022(c)
5
5
Retail - 0.01%
Academy Ltd, Term Loan B
5.00%, 06/16/2022(c)
4
4
10
10
Semiconductors - 0.02%
Avago Technologies Cayman Finance Ltd,
Term Loan B1
4.25%, 11/11/2022(c)
TOTAL SENIOR FLOATING RATE INTERESTS
$
32
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 17.90%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 2.12%
3.00%, 11/01/2042
$
88$
92
4.00%, 02/01/2044
57
61
4.00%, 10/01/2044
83
90
4.00%, 01/01/2045
88
95
4.00%, 01/01/2046
98
105
4.50%, 04/01/2031
12
14
4.50%, 12/01/2043
43
48
4.50%, 05/01/2044
73
79
5.00%, 06/01/2031
29
32
5.00%, 08/01/2040
96
107
5.00%, 06/01/2041
40
45
5.50%, 12/01/2022
5
5
6.00%, 01/01/2029
5
6
6.00%, 10/01/2036(c)
7
8
6.00%, 08/01/2037
25
29
6.00%, 01/01/2038(c)
5
5
6.00%, 07/01/2038
17
20
6.50%, 05/01/2031
2
2
6.50%, 06/01/2031
6
7
6.50%, 10/01/2035
14
17
7.00%, 12/01/2027
7
8
7.50%, 08/01/2030
1
1
8.00%, 12/01/2030
29
34
$
910
Federal National Mortgage Association (FNMA) - 6.21%
2.50%, 03/01/2030
87
2.50%, 07/01/2031(i)
240
3.00%, 06/01/2027
176
3.00%, 07/01/2031(i)
45
3.00%, 10/01/2034
41
See accompanying notes.
Principal
Amount (000's) Value (000's)
U.S. Treasury - 7.07%
0.50%, 11/30/2016
0.63%, 08/15/2016
0.88%, 04/30/2017
0.88%, 07/15/2018
1.38%, 01/31/2020
1.38%, 04/30/2020
1.75%, 09/30/2019
1.88%, 11/30/2021
2.00%, 05/31/2021
2.13%, 06/30/2022
2.25%, 11/15/2025
2.38%, 12/31/2020
2.38%, 08/15/2024
2.50%, 02/15/2045
2.75%, 08/15/2042
2.88%, 08/15/2045
3.00%, 11/15/2044
3.00%, 05/15/2045
3.00%, 11/15/2045
3.13%, 11/15/2041
3.13%, 08/15/2044
3.75%, 11/15/2043
4.50%, 02/15/2036
90
248
187
47
43
84
10
60
145
5
350
40
385
300
25
450
175
50
10
15
20
45
100
100
200
20
10
100
165
49
223
79
58
215
82
94
106
417
4
6
16
23
217
26
87
45
33
14
2
67
19
102
34
10
7
4
4
6
7
2,671
26
71
199
73
41
212
54
59
83
12
15
6
10
861
10
60
145
5
357
41
397
312
26
474
187
53
11
16
22
50
115
115
230
24
12
132
238
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
U.S. Treasury (continued)
4.75%, 02/15/2037
Principal
Amount (000's) Value (000's)
$
5$
$
U.S. Treasury Bill - 0.12%
0.28%, 09/15/2016(j)
U.S. Treasury Inflation-Indexed Obligations - 0.38%
0.13%, 04/15/2019
0.13%, 01/15/2022
0.25%, 01/15/2025
50
50
10
21
131
11
22
133
166
$
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
Total Investments
Other Assets and Liabilities - (3.03)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
7
3,039
$
$
$
$
7,697
44,307
(1,304)
43,003
Non-Income Producing Security
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $1,501 or 3.49% of net assets.
Variable Rate. Rate shown is in effect at June 30, 2016.
Perpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
Security is an Interest Only Strip.
Security purchased on a when-issued basis.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$20 or 0.05% of net assets.
Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
Security was purchased in a "to-be-announced" ("TBA") transaction. See
Notes to Financial Statements for additional information.
Rate shown is the discount rate of the original purchase.
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Financial
Mortgage Securities
Communications
Consumer, Cyclical
Government
Industrial
Technology
Energy
Asset Backed Securities
Utilities
Basic Materials
Investment Companies
Diversified
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
17.59%
15.16%
12.52%
10.18%
8.98%
7.83%
7.38%
7.02%
5.25%
4.16%
2.71%
2.38%
1.78%
0.09%
(3.03)%
100.00%
85
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 7.43%
Shares Held
BONDS (continued)
Money Market Funds - 7.43%
First American Government Obligations Fund
TOTAL INVESTMENT COMPANIES
BONDS - 33.97%
Advertising - 0.01%
Omnicom Group Inc
4.45%, 08/15/2020
Aerospace & Defense - 0.37%
Boeing Capital Corp
4.70%, 10/27/2019
Boeing Co/The
1.88%, 06/15/2023
2.25%, 06/15/2026
5.88%, 02/15/2040
7.95%, 08/15/2024
Harris Corp
4.40%, 12/15/2020
L-3 Communications Corp
4.95%, 02/15/2021
Lockheed Martin Corp
2.50%, 11/23/2020
3.35%, 09/15/2021
3.55%, 01/15/2026
3.60%, 03/01/2035
4.07%, 12/15/2042
4.70%, 05/15/2046
5.50%, 11/15/2039
6.15%, 09/01/2036
Northrop Grumman Corp
1.75%, 06/01/2018
3.25%, 08/01/2023
3.50%, 03/15/2021
Raytheon Co
3.13%, 10/15/2020
4.88%, 10/15/2040
United Technologies Corp
3.10%, 06/01/2022
4.50%, 04/15/2020
4.50%, 06/01/2042
5.38%, 12/15/2017
5.70%, 04/15/2040
6.13%, 07/15/2038
6.70%, 08/01/2028
155,215,544 $
See accompanying notes.
Agriculture (continued)
Reynolds American Inc (continued)
5.85%, 08/15/2045
6.88%, 05/01/2020
8.13%, 06/23/2019
155,216
$
155,216
Principal
Amount (000's) Value (000's)
$
128 $
37
500
500
154
200
500
502
214
283
51
55
277
303
255
102
225
350
47
345
220
290
263
109
244
355
50
407
272
385
500
500
277
505
537
297
77
154
83
189
1,000
74
580
102
51
18
175
1,066
82
664
108
67
25
236
7,838
350
500
128
200
126
57
68
392
564
146
256
155
103
126
29
33
100
500
270
51
51
131
400
25
100
100
502
279
54
56
146
450
27
138
220
350
246
400
$
Airlines - 0.07%
American Airlines 2011-1 Class A Pass
Through Trust
5.25%, 07/31/2022
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028
Continental Airlines 2010-1 Class A Pass
Through Trust
4.75%, 07/12/2022
Continental Airlines 2012-2 Class A Pass
Through Trust
4.00%, 04/29/2026
Delta Air Lines 2007-1 Class A Pass Through
Trust
6.82%, 02/10/2024
Southwest Airlines Co
2.75%, 11/06/2019
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027
141
33
$
Agriculture - 0.25%
Altria Group Inc
4.00%, 01/31/2024
4.50%, 05/02/2043
4.75%, 05/05/2021
5.38%, 01/31/2044
9.25%, 08/06/2019
9.95%, 11/10/2038
10.20%, 02/06/2039
Archer-Daniels-Midland Co
4.48%, 03/01/2021(a)
Philip Morris International Inc
1.13%, 08/21/2017
1.25%, 11/09/2017
2.75%, 02/25/2026
2.90%, 11/15/2021
4.38%, 11/15/2041
4.50%, 03/26/2020
4.50%, 03/20/2042
5.65%, 05/16/2018
6.38%, 05/16/2038
Reynolds American Inc
4.45%, 06/12/2025
4.85%, 09/15/2023
Principal
Amount (000's) Value (000's)
Value (000's)
390 $
500
36
$
127
137
365
380
37
40
174
183
71
83
300
310
194
205
174
$
Apparel - 0.05%
NIKE Inc
2.25%, 05/01/2023
3.63%, 05/01/2043
Under Armour Inc
3.25%, 06/15/2026
VF Corp
6.00%, 10/15/2033
206
211
160
162
350
86
454
1,033
500
501
1,000
1,001
182
181
500
502
1,000
1,005
443
443
379
379
266
266
515
$
Automobile Manufacturers - 0.40%
American Honda Finance Corp
1.55%, 12/11/2017
Daimler Finance North America LLC
8.50%, 01/18/2031
Ford Motor Co
4.75%, 01/15/2043
7.45%, 07/16/2031
184
1,522
200
200
$
Automobile Asset Backed Securities - 0.23%
Ally Auto Receivables Trust 2013-2
1.24%, 11/15/2018
Capital Auto Receivables Asset Trust 2015-2
1.39%, 09/20/2018(a)
CarMax Auto Owner Trust 2013-4
0.80%, 07/16/2018
Fifth Third Auto Trust 2014-3
1.47%, 05/17/2021(a)
Ford Credit Auto Owner Trust 2016-B
1.33%, 10/15/2020
Honda Auto Receivables 2014-4 Owner
Trust
0.99%, 09/17/2018
Honda Auto Receivables Owner Trust 20143
0.88%, 06/15/2018(a)
Hyundai Auto Receivables Trust 2012-C
1.06%, 06/15/2018
World Omni Auto Receivables Trust 2013-B
1.32%, 01/15/2020(a)
498
590
43
5,304
517
4,795
350
353
102
166
400
100
423
134
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Automobile Manufacturers (continued)
Ford Motor Credit Co LLC
2.15%, 01/09/2018
2.24%, 06/15/2018
2.55%, 10/05/2018
3.34%, 03/18/2021
3.66%, 09/08/2024
4.25%, 09/20/2022
4.38%, 08/06/2023
5.00%, 05/15/2018
5.88%, 08/02/2021
PACCAR Financial Corp
1.40%, 11/17/2017
Toyota Motor Credit Corp
1.25%, 10/05/2017
1.55%, 07/13/2018
1.70%, 02/19/2019
2.13%, 07/18/2019
2.15%, 03/12/2020
2.63%, 01/10/2023
3.30%, 01/12/2022
Principal
Amount (000's) Value (000's)
$
500 $
370
500
1,000
750
200
350
200
200
322
400
500
500
500
500
100
77
402
505
506
513
514
105
83
8,265
500
511
200
77
64
128
201
82
70
143
1,007
$
Banks - 5.70%
Associated Banc-Corp
4.25%, 01/15/2025
Australia & New Zealand Banking Group
Ltd/New York NY
1.50%, 01/16/2018
Bank of America Corp
1.95%, 05/12/2018
2.00%, 01/11/2018
2.25%, 04/21/2020
2.60%, 01/15/2019
2.63%, 04/19/2021
3.30%, 01/11/2023
3.50%, 04/19/2026
3.95%, 04/21/2025
4.13%, 01/22/2024
4.88%, 04/01/2044
5.63%, 07/01/2020
5.65%, 05/01/2018
5.70%, 01/24/2022
5.88%, 02/07/2042
6.00%, 09/01/2017
6.88%, 04/25/2018
7.63%, 06/01/2019
7.75%, 05/14/2038
Bank of Montreal
1.40%, 04/10/2018
1.45%, 04/09/2018
Bank of Nova Scotia/The
1.45%, 04/25/2018
2.35%, 10/21/2020
2.45%, 03/22/2021
4.50%, 12/16/2025
Barclays Bank PLC
5.14%, 10/14/2020
BB&T Corp
1.60%, 08/15/2017
6.85%, 04/30/2019
BNP Paribas SA
2.38%, 09/14/2017
See accompanying notes.
500
516
500
502
460
500
160
750
750
300
745
830
1,000
500
380
455
580
228
265
205
300
750
463
503
161
767
762
309
770
845
1,076
570
428
488
672
288
279
224
347
1,056
750
300
753
301
300
500
500
500
301
511
514
519
1,000
1,060
200
18
201
21
200
203
Principal
Amount (000's) Value (000's)
Banks (continued)
BNP Paribas SA (continued)
2.40%, 12/12/2018
$
4.25%, 10/15/2024
5.00%, 01/15/2021
BPCE SA
1.61%, 07/25/2017
4.00%, 04/15/2024
Branch Banking & Trust Co
1.45%, 05/10/2019
2.30%, 10/15/2018
2.85%, 04/01/2021
Capital One Financial Corp
2.45%, 04/24/2019
3.20%, 02/05/2025
3.50%, 06/15/2023
Capital One NA/Mclean VA
1.50%, 09/05/2017
Citigroup Inc
1.55%, 08/14/2017
1.70%, 04/27/2018
2.05%, 12/07/2018
2.40%, 02/18/2020
2.65%, 10/26/2020
3.50%, 05/15/2023
3.70%, 01/12/2026
3.75%, 06/16/2024
4.05%, 07/30/2022
4.30%, 11/20/2026
4.50%, 01/14/2022
4.65%, 07/30/2045
5.50%, 09/13/2025
5.88%, 01/30/2042
6.63%, 06/15/2032
8.13%, 07/15/2039
Citizens Bank NA/Providence RI
1.60%, 12/04/2017
Commonwealth Bank of Australia/New York
NY
2.05%, 03/15/2019
2.30%, 03/12/2020
2.50%, 09/20/2018
Cooperatieve Rabobank UA
3.88%, 02/08/2022
3.95%, 11/09/2022
4.50%, 01/11/2021
5.25%, 05/24/2041
5.25%, 08/04/2045
Cooperatieve Rabobank UA/NY
2.25%, 01/14/2020
Credit Suisse AG/New York NY
3.63%, 09/09/2024
5.40%, 01/14/2020
Credit Suisse Group Funding Guernsey Ltd
3.75%, 03/26/2025
4.88%, 05/15/2045
Deutsche Bank AG
4.10%, 01/13/2026
Discover Bank/Greenwood DE
2.00%, 02/21/2018
4.25%, 03/13/2026
Fifth Third Bancorp
8.25%, 03/01/2038
Fifth Third Bank/Cincinnati OH
2.25%, 06/14/2021
2.30%, 03/15/2019
3.85%, 03/15/2026
Goldman Sachs Group Inc/The
2.55%, 10/23/2019
2.75%, 09/15/2020
3.50%, 01/23/2025
4.25%, 10/21/2025
504
374
509
1,037
777
216
381
212
229
320
$
Automobile Parts & Equipment - 0.05%
BorgWarner Inc
3.38%, 03/15/2025
Johnson Controls Inc
1.40%, 11/02/2017
3.75%, 12/01/2021
5.00%, 03/30/2020
5.25%, 12/01/2041
BONDS (continued)
87
750 $
750
77
765
771
86
750
250
749
272
750
750
1,000
753
769
1,051
250
400
84
254
403
87
500
500
750
1,000
1,000
200
1,000
600
500
500
200
500
454
260
300
328
112
127
752
1,002
1,008
202
1,018
612
526
526
211
515
502
286
336
415
137
198
500
500
500
750
200
507
764
205
328
300
51
500
500
356
310
57
622
556
300
305
400
200
414
217
750
500
734
498
500
497
200
500
201
523
385
575
500
300
500
508
306
525
1,000
500
1,500
1,250
1,023
510
1,541
1,292
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Goldman Sachs Group Inc/The (continued)
4.75%, 10/21/2045
$
5.25%, 07/27/2021
5.38%, 03/15/2020
5.75%, 01/24/2022
6.15%, 04/01/2018
6.25%, 02/01/2041
6.45%, 05/01/2036
HSBC Holdings PLC
2.95%, 05/25/2021
3.40%, 03/08/2021
3.60%, 05/25/2023
3.90%, 05/25/2026
4.00%, 03/30/2022
4.25%, 03/14/2024
4.30%, 03/08/2026
5.10%, 04/05/2021
6.10%, 01/14/2042
6.50%, 05/02/2036
6.50%, 09/15/2037
HSBC USA Inc
1.50%, 11/13/2017
1.63%, 01/16/2018
2.63%, 09/24/2018
2.75%, 08/07/2020
Huntington National Bank/The
2.20%, 11/06/2018
Industrial & Commercial Bank of China
Ltd/New York
2.35%, 11/13/2017
JPMorgan Chase & Co
1.63%, 05/15/2018
1.85%, 03/22/2019
2.25%, 01/23/2020
2.55%, 10/29/2020
2.75%, 06/23/2020
3.13%, 01/23/2025
3.20%, 01/25/2023
3.25%, 09/23/2022
3.30%, 04/01/2026
3.38%, 05/01/2023
3.88%, 09/10/2024
4.40%, 07/22/2020
4.50%, 01/24/2022
4.63%, 05/10/2021
4.95%, 03/25/2020
5.40%, 01/06/2042
5.60%, 07/15/2041
5.63%, 08/16/2043
6.30%, 04/23/2019
6.40%, 05/15/2038
JPMorgan Chase Bank NA
6.00%, 10/01/2017
KeyBank NA/Cleveland OH
2.25%, 03/16/2020
2.50%, 12/15/2019
KeyCorp
5.10%, 03/24/2021
KFW
0.00%, 04/18/2036(b)
0.00%, 06/29/2037(b)
1.00%, 01/26/2018
1.13%, 08/06/2018
1.13%, 11/16/2018
1.50%, 06/15/2021
1.63%, 03/15/2021
1.75%, 10/15/2019
1.88%, 04/01/2019
1.88%, 11/30/2020
2.00%, 05/02/2025
2.63%, 01/25/2022
See accompanying notes.
360 $
502
500
228
821
700
351
397
566
556
265
885
906
415
500
345
500
395
128
500
445
728
154
400
500
505
355
511
406
135
506
471
803
199
480
601
400
300
200
500
399
299
203
504
500
506
400
404
300
500
670
1,000
1,000
1,000
1,000
300
500
400
500
162
257
257
57
102
154
350
800
200
301
505
679
1,022
1,030
1,022
1,037
314
517
408
518
177
286
286
63
127
195
409
899
274
1,000
1,056
200
500
203
513
102
115
380
200
500
1,500
500
290
670
750
250
500
880
1,257
228
116
502
1,509
503
294
683
768
257
515
902
1,339
BONDS (continued)
Banks (continued)
KFW (continued)
2.75%, 09/08/2020
4.00%, 01/27/2020
4.38%, 03/15/2018
4.50%, 07/16/2018
4.88%, 06/17/2019
Korea Development Bank/The
2.50%, 03/11/2020
2.88%, 08/22/2018
Landwirtschaftliche Rentenbank
0.88%, 09/12/2017
1.75%, 04/15/2019
2.00%, 01/13/2025
2.38%, 09/13/2017
Lloyds Bank PLC
1.75%, 03/16/2018
2.35%, 09/05/2019
6.38%, 01/21/2021
Lloyds Banking Group PLC
4.58%, 12/10/2025(c)
Manufacturers & Traders Trust Co
2.10%, 02/06/2020
Morgan Stanley
2.50%, 04/21/2021
2.80%, 06/16/2020
3.75%, 02/25/2023
5.00%, 11/24/2025
5.63%, 09/23/2019
5.75%, 01/25/2021
6.25%, 08/28/2017
6.38%, 07/24/2042
MUFG Union Bank NA
2.25%, 05/06/2019
National Australia Bank Ltd/New York
2.30%, 07/25/2018
Northern Trust Corp
3.95%, 10/30/2025
Oesterreichische Kontrollbank AG
1.38%, 02/10/2020
1.50%, 10/21/2020
1.88%, 01/20/2021
PNC Bank NA
1.60%, 06/01/2018
1.95%, 03/04/2019
2.25%, 07/02/2019
3.80%, 07/25/2023
PNC Funding Corp
4.38%, 08/11/2020
5.13%, 02/08/2020
6.70%, 06/10/2019
Royal Bank of Canada
2.15%, 03/06/2020
2.20%, 07/27/2018
2.35%, 10/30/2020
Santander Bank NA
2.00%, 01/12/2018
Santander Holdings USA Inc
4.50%, 07/17/2025
Santander UK Group Holdings PLC
2.88%, 10/16/2020
Santander UK PLC
2.38%, 03/16/2020
3.05%, 08/23/2018
Skandinaviska Enskilda Banken AB
2.63%, 03/15/2021
Societe Generale SA
2.63%, 10/01/2018
State Street Corp
2.55%, 08/18/2020
3.10%, 05/15/2023
3.55%, 08/18/2025
88
Principal
Amount (000's) Value (000's)
$
300 $
847
295
102
1,782
319
932
313
109
1,984
500
350
514
360
200
350
300
200
200
358
307
204
750
400
51
748
402
60
1,000
1,005
200
202
1,000
1,000
1,200
500
1,321
1,050
375
600
1,010
1,025
1,271
547
1,466
1,197
395
813
400
407
400
408
500
558
250
160
1,000
252
161
1,024
750
350
1,000
400
758
355
1,021
431
51
25
25
56
28
29
750
400
500
763
408
514
300
300
750
770
1,000
992
750
500
751
512
500
516
300
307
180
300
200
187
310
217
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Banks (continued)
Sumitomo Mitsui Banking Corp
1.75%, 01/16/2018
2.50%, 07/19/2018
3.20%, 07/18/2022
3.65%, 07/23/2025
Sumitomo Mitsui Financial Group Inc
2.93%, 03/09/2021
3.78%, 03/09/2026
SunTrust Bank/Atlanta GA
2.75%, 05/01/2023
Svenska Handelsbanken AB
2.25%, 06/17/2019
Toronto-Dominion Bank/The
1.63%, 03/13/2018
2.50%, 12/14/2020
2.63%, 09/10/2018
UBS AG/Stamford CT
1.38%, 08/14/2017
US Bancorp
1.95%, 11/15/2018
2.95%, 07/15/2022
3.00%, 03/15/2022
3.10%, 04/27/2026
4.13%, 05/24/2021
Wachovia Corp
5.75%, 02/01/2018
Wells Fargo & Co
1.50%, 01/16/2018
2.13%, 04/22/2019
2.50%, 03/04/2021
3.00%, 02/19/2025
3.00%, 04/22/2026
3.45%, 02/13/2023
3.50%, 03/08/2022
3.90%, 05/01/2045
4.40%, 06/14/2046
4.60%, 04/01/2021
4.90%, 11/17/2045
5.38%, 02/07/2035
Wells Fargo Bank NA
5.95%, 08/26/2036
6.60%, 01/15/2038
Wells Fargo Capital X
5.95%, 12/01/2086
Westpac Banking Corp
1.95%, 11/23/2018
2.60%, 11/23/2020
4.88%, 11/19/2019
Principal
Amount (000's) Value (000's)
$
300 $
300
100
500
302
306
105
542
500
500
521
544
200
201
500
512
750
1,000
350
757
1,034
360
890
891
101
200
128
750
77
103
208
136
780
86
280
300
300
1,000
1,000
890
500
200
180
500
350
102
500
500
302
1,022
1,025
912
510
207
193
525
357
114
547
609
750
250
945
343
200
211
500
500
225
507
517
249
119,070
$
Beverages - 0.73%
Anheuser-Busch Cos LLC
5.50%, 01/15/2018
6.50%, 02/01/2043
Anheuser-Busch InBev Finance Inc
1.90%, 02/01/2019
2.65%, 02/01/2021
3.65%, 02/01/2026
4.70%, 02/01/2036
4.90%, 02/01/2046
Anheuser-Busch InBev Worldwide Inc
2.50%, 07/15/2022
3.75%, 07/15/2042
5.00%, 04/15/2020
5.38%, 01/15/2020
6.38%, 01/15/2040
6.88%, 11/15/2019
7.75%, 01/15/2019
8.20%, 01/15/2039
Coca-Cola Co/The
0.88%, 10/27/2017
1.15%, 04/01/2018
See accompanying notes.
BONDS (continued)
Beverages (continued)
Coca-Cola Co/The (continued)
1.65%, 03/14/2018
2.88%, 10/27/2025
3.15%, 11/15/2020
Coca-Cola Femsa SAB de CV
2.38%, 11/26/2018
Diageo Capital PLC
4.83%, 07/15/2020
5.88%, 09/30/2036
Diageo Investment Corp
2.88%, 05/11/2022
Dr Pepper Snapple Group Inc
2.60%, 01/15/2019
Pepsi Bottling Group Inc/The
7.00%, 03/01/2029
PepsiCo Inc
2.15%, 10/14/2020
2.75%, 03/05/2022
3.13%, 11/01/2020
4.25%, 10/22/2044
4.50%, 01/15/2020
4.88%, 11/01/2040
5.00%, 06/01/2018
5.50%, 01/15/2040
7.90%, 11/01/2018
Principal
Amount (000's) Value (000's)
$
200 $
500
528
203
530
568
400
408
51
139
57
179
200
210
277
284
300
430
500
593
128
500
51
128
300
51
158
514
621
137
561
57
153
323
66
183
15,327
$
Biotechnology - 0.37%
Amgen Inc
4.10%, 06/15/2021
4.56%, 06/15/2048(c)
4.66%, 06/15/2051(c)
5.70%, 02/01/2019
5.85%, 06/01/2017
Biogen Inc
4.05%, 09/15/2025
5.20%, 09/15/2045
Celgene Corp
2.30%, 08/15/2018
2.88%, 08/15/2020
3.88%, 08/15/2025
3.95%, 10/15/2020
4.63%, 05/15/2044
Gilead Sciences Inc
2.55%, 09/01/2020
3.50%, 02/01/2025
4.40%, 12/01/2021
4.60%, 09/01/2035
4.75%, 03/01/2046
4.80%, 04/01/2044
501
460
810
12
279
550
482
846
13
291
240
500
258
562
110
500
450
400
350
112
517
480
431
364
600
750
77
500
180
500
624
800
87
556
205
563
7,741
$
90
500
96
679
1,065
914
2,290
500
750
1,083
947
2,453
562
879
300
100
38
68
251
551
478
51
305
100
42
76
338
645
553
81
500
500
501
503
Building Materials - 0.05%
Owens Corning
4.20%, 12/15/2022
Chemicals - 0.57%
Agrium Inc
4.90%, 06/01/2043
6.13%, 01/15/2041
Airgas Inc
2.38%, 02/15/2020
Albemarle Corp
5.45%, 12/01/2044
CF Industries Inc
5.15%, 03/15/2034
6.88%, 05/01/2018
7.13%, 05/01/2020
Dow Chemical Co/The
4.13%, 11/15/2021
4.38%, 11/15/2042
7.38%, 11/01/2029
89
1,000
1,066
200
250
207
297
200
204
150
160
500
100
100
488
109
115
201
200
850
220
204
1,140
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Chemicals (continued)
Dow Chemical Co/The (continued)
8.55%, 05/15/2019
9.40%, 05/15/2039
Eastman Chemical Co
2.70%, 01/15/2020
3.60%, 08/15/2022
4.50%, 01/15/2021
4.80%, 09/01/2042
Ecolab Inc
1.45%, 12/08/2017
4.35%, 12/08/2021
5.50%, 12/08/2041
EI du Pont de Nemours & Co
2.80%, 02/15/2023
4.15%, 02/15/2043
4.25%, 04/01/2021
4.63%, 01/15/2020
6.00%, 07/15/2018
LYB International Finance BV
5.25%, 07/15/2043
LyondellBasell Industries NV
5.00%, 04/15/2019
5.75%, 04/15/2024
Methanex Corp
3.25%, 12/15/2019
Monsanto Co
1.85%, 11/15/2018
3.38%, 07/15/2024
5.88%, 04/15/2038
Mosaic Co/The
4.25%, 11/15/2023
Potash Corp of Saskatchewan Inc
3.63%, 03/15/2024
4.88%, 03/30/2020
PPG Industries Inc
3.60%, 11/15/2020
Praxair Inc
2.20%, 08/15/2022
Sherwin-Williams Co/The
1.35%, 12/15/2017
Valspar Corp/The
4.40%, 02/01/2045
Principal
Amount (000's) Value (000's)
$
481 $
51
571
80
400
100
51
100
411
105
56
104
300
102
307
301
115
383
200
100
177
25
200
205
103
197
28
219
500
547
300
100
325
119
300
291
280
750
317
282
773
362
146
157
500
51
527
56
251
264
300
308
1,500
1,503
300
$
Commercial Mortgage Backed Securities - 1.71%
Banc of America Commercial Mortgage Trust
2006-3
5.89%, 07/10/2044
Banc of America Commercial Mortgage Trust
2008-1
6.44%, 02/10/2051(a)
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048
Citigroup Commercial Mortgage Trust 2013GC11
0.75%, 04/10/2046
Citigroup Commercial Mortgage Trust 2013GC15
4.37%, 09/10/2046
COMM 2007-C9 Mortgage Trust
6.01%, 12/10/2049(a)
COMM 2013-CCRE8 Mortgage Trust
3.61%, 06/10/2046
COMM 2013-LC6 Mortgage Trust
2.94%, 01/10/2046
COMM 2014-LC15 Mortgage Trust
2.84%, 04/10/2047
COMM 2014-UBS3 Mortgage Trust
3.82%, 06/10/2047
COMM 2015-DC1 Mortgage Trust
3.35%, 02/10/2048(a)
See accompanying notes.
2
30
31
28
28
159
1,000
1,142
572
589
500
544
500
527
1,000
1,034
500
547
1,000
1,063
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
COMM 2015-LC19 Mortgage Trust
3.18%, 02/10/2048(a)
$
COMM 2016-CCRE28 Mortgage Trust
3.76%, 02/10/2049
Commercial Mortgage Loan Trust 2008-LS1
6.30%, 12/10/2049(a)
Commercial Mortgage Pass Through
Certificates
2.82%, 10/15/2045(a)
3.15%, 02/10/2047
Commercial Mortgage Trust 2007-GG9
5.44%, 03/10/2039(a)
CSAIL 2015-C1 Commercial Mortgage Trust
2.97%, 04/15/2050(a)
Fannie Mae-Aces
2.53%, 09/25/2024
2.59%, 04/25/2023(a)
2.72%, 02/25/2022
3.22%, 08/25/2024(a)
3.46%, 01/25/2024(a)
FHLMC Multifamily Structured Pass Through
Certificates
2.08%, 12/25/2019(a)
2.87%, 12/25/2021
3.02%, 02/25/2023(a)
3.06%, 07/25/2023(a)
3.06%, 12/25/2024
3.31%, 05/25/2023(a)
3.32%, 02/25/2023(a)
3.53%, 10/25/2023
4.19%, 12/25/2020(a)
GS Mortgage Securities Corp II
2.77%, 11/10/2045
GS Mortgage Securities Trust 2012-GC6
3.48%, 01/10/2045
GS Mortgage Securities Trust 2014-GC18
3.80%, 01/10/2047(a)
GS Mortgage Securities Trust 2015-GC34
3.51%, 10/10/2048(a)
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-LDP7
6.18%, 04/17/2045(a)
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-LDP8
5.44%, 05/15/2045(a)
JP Morgan Chase Commercial Mortgage
Securities Trust 2007-LDP12
5.88%, 02/15/2051
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
4.17%, 08/15/2046
JPMBB Commercial Mortgage Securities
Trust 2013-C15
4.13%, 11/15/2045(a)
JPMBB Commercial Mortgage Securities
Trust 2014-C22
3.80%, 09/15/2047
LB Commercial Mortgage Trust 2007-C3
6.12%, 07/15/2044(a)
LB-UBS Commercial Mortgage Trust 2007C6
5.86%, 07/15/2040(a)
Merrill Lynch Mortgage Trust 2007-C1
6.02%, 06/12/2050(a)
Morgan Stanley Bank of America Merrill
Lynch Trust 2013-C11
3.09%, 08/15/2046(a)
293
11,829
2
160
BONDS (continued)
90
1,000 $
1,058
1,000
1,095
59
61
500
500
522
516
181
183
1,000
1,038
1,000
851
1,000
988
688
1,036
885
1,058
1,067
748
333
540
371
750
500
810
1,000
1,050
850
338
572
391
811
540
889
1,097
1,167
947
500
523
274
296
500
549
1,000
1,079
191
192
192
192
17
17
300
310
257
281
500
562
1,000
1,097
54
56
33
34
77
79
225
233
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
Morgan Stanley Bank of America Merrill
Lynch Trust 2015-C24
3.48%, 05/15/2048
$
Morgan Stanley Capital I Trust 2007-IQ13
5.36%, 03/15/2044(a)
Morgan Stanley Capital I Trust 2007-IQ16
5.81%, 12/12/2049
UBS Commercial Mortgage Trust 2012-C1
3.40%, 05/10/2045(a)
UBS-Barclays Commercial Mortgage Trust
2012-C3
3.09%, 08/10/2049(a)
UBS-Barclays Commercial Mortgage Trust
2013-C6
3.24%, 04/10/2046(a)
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34
5.68%, 05/15/2046(a)
Wells Fargo Commercial Mortgage Trust
2012-LC5
2.92%, 10/15/2045
Wells Fargo Commercial Mortgage Trust
2015-C28
3.29%, 05/15/2048
WFRBS Commercial Mortgage Trust 2012C7
2.30%, 06/15/2045
WFRBS Commercial Mortgage Trust 2013C11
2.03%, 03/15/2045(a)
WFRBS Commercial Mortgage Trust 2013C14
2.98%, 06/15/2046
WFRBS Commercial Mortgage Trust 2014C20
3.04%, 05/15/2047(a)
WFRBS Commercial Mortgage Trust 2014LC14
1.19%, 03/15/2047
1,000 $
100
414
430
500
537
550
583
500
531
86
88
500
526
1,845
1,957
280
286
500
502
1,000
1,051
500
521
See accompanying notes.
750 $
400
1,300
370
279
279
35,652
80
95
200
210
250
298
500
608
160
51
180
62
30
40
500
525
25
28
400
413
2,459
Consumer Products - 0.04%
Avery Dennison Corp
5.38%, 04/15/2020
Clorox Co/The
3.80%, 11/15/2021
Kimberly-Clark Corp
2.40%, 03/01/2022
2.40%, 06/01/2023
3.70%, 06/01/2043
7.50%, 11/01/2018
107
345
940
750
255
215
353
967
782
275
231
500
490
480
470
300
80
150
491
491
313
81
149
121
180
154
128
195
148
500
700
300
185
92
180
200
351
503
709
309
213
117
190
260
461
500
27
128
139
257
150
150
18
267
156
163
21
773
300
520
475
300
500
410
154
165
411
177
500
500
427
194
693
679
2,158
$
Credit Card Asset Backed Securities - 0.22%
Capital One Multi-Asset Execution Trust
5.75%, 07/15/2020
Chase Issuance Trust
1.38%, 11/15/2019
Citibank Credit Card Issuance Trust
1.11%, 07/23/2018
2.68%, 06/07/2023(a)
2.88%, 01/23/2023
301
534
489
305
528
435
91
423
13,932
25
$
Cosmetics & Personal Care - 0.10%
Colgate-Palmolive Co
2.95%, 11/01/2020
Procter & Gamble Co/The
2.30%, 02/06/2022
4.70%, 02/15/2019
5.55%, 03/05/2037
6.45%, 01/15/2026
796
435
1,305
418
100
$
$
Computers - 0.67%
Apple Inc
1.00%, 05/03/2018
2.00%, 05/06/2020
2.25%, 02/23/2021
2.40%, 05/03/2023
2.85%, 05/06/2021
3.20%, 05/13/2025
Principal
Amount (000's) Value (000's)
Computers (continued)
Apple Inc (continued)
3.25%, 02/23/2026
$
3.45%, 05/06/2024
3.85%, 05/04/2043
4.65%, 02/23/2046
Computer Sciences Corp
4.45%, 09/15/2022
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(c)
4.42%, 06/15/2021(c)
6.02%, 06/15/2026(c)
8.10%, 07/15/2036(c)
8.35%, 07/15/2046(c)
EMC Corp/MA
1.88%, 06/01/2018
Hewlett Packard Enterprise Co
2.85%, 10/05/2018(c)
3.60%, 10/15/2020(c)
4.90%, 10/15/2025(c)
6.20%, 10/15/2035(c)
6.35%, 10/15/2045(c)
HP Inc
3.75%, 12/01/2020
4.65%, 12/09/2021
6.00%, 09/15/2041
International Business Machines Corp
1.25%, 02/08/2018
1.63%, 05/15/2020
2.25%, 02/19/2021
4.70%, 02/19/2046
5.60%, 11/30/2039
5.70%, 09/14/2017
5.88%, 11/29/2032
6.22%, 08/01/2027
Seagate HDD Cayman
4.75%, 06/01/2023
1,076
98
$
Commercial Services - 0.12%
California Institute of Technology
4.32%, 08/01/2045
Lender Processing Services Inc / Black Knight
Lending Solutions Inc
5.75%, 04/15/2023
Massachusetts Institute of Technology
4.68%, 07/01/2114
Moody's Corp
5.25%, 07/15/2044
S&P Global Inc
4.40%, 02/15/2026
6.55%, 11/15/2037
University of Southern California
5.25%, 10/01/2111
Verisk Analytics Inc
4.00%, 06/15/2025
Western Union Co/The
5.25%, 04/01/2020
Yale University
2.09%, 04/15/2019
BONDS (continued)
476
504
1,000
1,005
500
1,000
500
500
1,053
532
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Credit Card Asset Backed Securities (continued)
Synchrony Credit Card Master Note Trust
2015-2
1.60%, 04/15/2021(a)
$
Distribution & Wholesale - 0.03%
WW Grainger Inc
4.60%, 06/15/2045
Diversified Financial Services - 0.79%
Air Lease Corp
3.38%, 01/15/2019
American Express Co
2.65%, 12/02/2022
3.63%, 12/05/2024
6.15%, 08/28/2017
7.00%, 03/19/2018
American Express Credit Corp
1.55%, 09/22/2017
2.25%, 08/15/2019
2.25%, 05/05/2021
Ameriprise Financial Inc
4.00%, 10/15/2023
7.30%, 06/28/2019
Bear Stearns Cos LLC/The
6.40%, 10/02/2017
7.25%, 02/01/2018
BlackRock Inc
3.38%, 06/01/2022
3.50%, 03/18/2024
5.00%, 12/10/2019
Capital One Bank USA NA
2.30%, 06/05/2019
3.38%, 02/15/2023
Charles Schwab Corp/The
2.20%, 07/25/2018
3.45%, 02/13/2026
CME Group Inc/IL
3.00%, 03/15/2025
5.30%, 09/15/2043
Credit Suisse USA Inc
7.13%, 07/15/2032
GE Capital International Funding Co
Unlimited Co
3.37%, 11/15/2025(c)
4.42%, 11/15/2035(c)
HSBC Finance Corp
6.68%, 01/15/2021
Jefferies Group LLC
6.50%, 01/20/2043
6.88%, 04/15/2021
8.50%, 07/15/2019
MasterCard Inc
2.00%, 04/01/2019
Nasdaq Inc
4.25%, 06/01/2024
National Rural Utilities Cooperative Finance
Corp
3.05%, 02/15/2022
3.25%, 11/01/2025
10.38%, 11/01/2018
Nomura Holdings Inc
2.75%, 03/19/2019
6.70%, 03/04/2020
Synchrony Financial
2.70%, 02/03/2020
4.25%, 08/15/2024
Visa Inc
2.20%, 12/14/2020
3.15%, 12/14/2025
4.15%, 12/14/2035
See accompanying notes.
BONDS (continued)
Diversified Financial Services (continued)
Visa Inc (continued)
4.30%, 12/14/2045
1,000 $
$
500
1,004
4,598
Electric - 1.76%
Alabama Power Co
2.80%, 04/01/2025
4.30%, 01/02/2046
Ameren Illinois Co
2.70%, 09/01/2022
Appalachian Power Co
6.70%, 08/15/2037
7.00%, 04/01/2038
Arizona Public Service Co
3.35%, 06/15/2024
4.50%, 04/01/2042
Berkshire Hathaway Energy Co
2.00%, 11/15/2018
3.75%, 11/15/2023
6.13%, 04/01/2036
CMS Energy Corp
5.05%, 03/15/2022
Commonwealth Edison Co
4.00%, 08/01/2020
5.80%, 03/15/2018
5.88%, 02/01/2033
Consolidated Edison Co of New York Inc
4.20%, 03/15/2042
5.50%, 12/01/2039
5.85%, 03/15/2036
6.65%, 04/01/2019
6.75%, 04/01/2038
Consumers Energy Co
3.13%, 08/31/2024
Dominion Resources Inc/VA
4.70%, 12/01/2044
4.90%, 08/01/2041
5.95%, 06/15/2035
DTE Electric Co
3.45%, 10/01/2020
6.63%, 06/01/2036
DTE Energy Co
3.50%, 06/01/2024
Duke Energy Carolinas LLC
2.50%, 03/15/2023
3.90%, 06/15/2021
4.00%, 09/30/2042
5.30%, 02/15/2040
Duke Energy Corp
3.75%, 04/15/2024
Duke Energy Florida LLC
4.55%, 04/01/2020
5.65%, 06/15/2018
5.65%, 04/01/2040
6.40%, 06/15/2038
Duke Energy Indiana LLC
3.75%, 07/15/2020
4.20%, 03/15/2042
6.12%, 10/15/2035
6.45%, 04/01/2039
Duke Energy Ohio Inc
5.45%, 04/01/2019
Duke Energy Progress LLC
4.15%, 12/01/2044
Entergy Arkansas Inc
3.70%, 06/01/2024
3.75%, 02/15/2021
Entergy Corp
5.13%, 09/15/2020
Exelon Generation Co LLC
5.20%, 10/01/2019
6.25%, 10/01/2039
593
400
408
400
500
128
282
405
513
135
308
400
500
500
402
510
509
200
600
217
696
328
444
348
484
200
500
25
217
542
28
400
300
405
306
300
250
305
267
500
200
522
256
300
400
1,000
1,500
1,085
1,682
349
391
200
27
12
199
31
14
300
308
350
369
102
500
218
108
539
263
500
129
512
150
500
300
501
310
585
565
215
603
604
243
92
Principal
Amount (000's) Value (000's)
$
375 $
$
434
16,529
500
400
518
449
300
311
277
120
358
162
200
77
216
89
750
1,000
156
762
1,093
207
500
572
510
212
300
555
228
389
128
400
51
51
125
138
504
66
58
177
500
530
300
77
800
325
85
975
405
120
436
168
500
531
279
410
100
512
289
452
108
654
500
537
77
128
25
66
85
139
33
94
37
128
77
300
40
140
102
432
128
142
300
330
500
25
548
27
89
98
102
344
113
378
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Electric (continued)
FirstEnergy Solutions Corp
6.80%, 08/15/2039
Florida Power & Light Co
5.13%, 06/01/2041
5.65%, 02/01/2037
5.69%, 03/01/2040
Georgia Power Co
4.25%, 12/01/2019
4.30%, 03/15/2042
Great Plains Energy Inc
4.85%, 06/01/2021
Hydro-Quebec
8.05%, 07/07/2024
Iberdrola International BV
6.75%, 07/15/2036
Interstate Power & Light Co
3.25%, 12/01/2024
LG&E & KU Energy LLC
3.75%, 11/15/2020
Louisville Gas & Electric Co
3.30%, 10/01/2025
5.13%, 11/15/2040
MidAmerican Energy Co
4.25%, 05/01/2046
Mississippi Power Co
4.25%, 03/15/2042
Nevada Power Co
5.45%, 05/15/2041
6.50%, 05/15/2018
6.65%, 04/01/2036
7.13%, 03/15/2019
NextEra Energy Capital Holdings Inc
4.50%, 06/01/2021
NiSource Finance Corp
5.95%, 06/15/2041
6.40%, 03/15/2018
Northern States Power Co/MN
5.25%, 03/01/2018
5.35%, 11/01/2039
NorthWestern Corp
4.18%, 11/15/2044
NSTAR Electric Co
2.38%, 10/15/2022
Oglethorpe Power Corp
4.20%, 12/01/2042
Ohio Edison Co
8.25%, 10/15/2038
Oklahoma Gas & Electric Co
4.00%, 12/15/2044
Oncor Electric Delivery Co LLC
5.00%, 09/30/2017
5.25%, 09/30/2040
6.80%, 09/01/2018
7.25%, 01/15/2033
Pacific Gas & Electric Co
3.25%, 06/15/2023
3.50%, 10/01/2020
4.45%, 04/15/2042
5.40%, 01/15/2040
6.05%, 03/01/2034
PacifiCorp
5.65%, 07/15/2018
6.25%, 10/15/2037
PECO Energy Co
2.38%, 09/15/2022
4.80%, 10/15/2043
PPL Capital Funding Inc
3.40%, 06/01/2023
4.70%, 06/01/2043
PPL Electric Utilities Corp
2.50%, 09/01/2022
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
101 $
102
154
478
48
196
633
65
77
228
84
250
77
85
102
143
128
168
400
428
77
83
50
51
54
63
500
566
100
89
150
77
400
12
190
85
555
14
351
388
525
86
653
93
41
82
44
107
300
319
750
772
250
262
119
178
200
214
400
51
374
300
418
62
416
427
1,000
25
102
128
452
1,066
27
115
163
602
70
92
77
127
100
250
103
307
300
100
313
109
200
207
BONDS (continued)
Electric (continued)
Progress Energy Inc
3.15%, 04/01/2022
7.75%, 03/01/2031
PSEG Power LLC
2.45%, 11/15/2018
5.13%, 04/15/2020
Public Service Co of Colorado
3.95%, 03/15/2043
4.75%, 08/15/2041
Public Service Co of New Mexico
7.95%, 05/15/2018
Public Service Electric & Gas Co
3.50%, 08/15/2020
3.65%, 09/01/2042
4.15%, 11/01/2045
Puget Sound Energy Inc
4.43%, 11/15/2041
5.80%, 03/15/2040
San Diego Gas & Electric Co
5.35%, 05/15/2040
South Carolina Electric & Gas Co
5.45%, 02/01/2041
Southern California Edison Co
2.40%, 02/01/2022
4.05%, 03/15/2042
5.50%, 03/15/2040
5.95%, 02/01/2038
Southern Co/The
2.15%, 09/01/2019
2.35%, 07/01/2021
3.25%, 07/01/2026
4.40%, 07/01/2046
Southern Power Co
5.25%, 07/15/2043
Southwestern Electric Power Co
6.20%, 03/15/2040
6.45%, 01/15/2019
Tampa Electric Co
4.35%, 05/15/2044
TransAlta Corp
6.50%, 03/15/2040
Union Electric Co
3.50%, 04/15/2024
Virginia Electric & Power Co
2.75%, 03/15/2023
4.65%, 08/15/2043
6.00%, 05/15/2037
8.88%, 11/15/2038
WEC Energy Group Inc
3.55%, 06/15/2025
Westar Energy Inc
4.25%, 12/01/2045
5.10%, 07/15/2020
Wisconsin Electric Power Co
5.70%, 12/01/2036
Principal
Amount (000's) Value (000's)
$
Electrical Components & Equipment - 0.01%
Emerson Electric Co
2.63%, 02/15/2023
4.88%, 10/15/2019
Electronics - 0.09%
Arrow Electronics Inc
3.00%, 03/01/2018
4.50%, 03/01/2023
Corning Inc
4.75%, 03/15/2042
Honeywell International Inc
3.35%, 12/01/2023
5.30%, 03/01/2018
93
128 $
136
133
190
180
300
183
326
100
550
109
662
154
172
73
200
500
78
211
567
77
351
87
469
84
107
77
96
300
668
102
117
311
730
132
158
500
500
500
500
509
510
519
537
200
218
51
125
64
139
200
219
25
18
500
542
500
250
77
10
518
294
103
17
110
118
500
167
561
188
750
$
978
36,838
$
104
28
132
100
25
300
200
303
212
102
106
265
128
289
137
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
Principal
Amount (000's) Value (000's)
BONDS (continued)
Electronics (continued)
Honeywell International Inc
5.38%, 03/01/2041
5.70%, 03/15/2037
Jabil Circuit Inc
4.70%, 09/15/2022
Keysight Technologies Inc
3.30%, 10/30/2019
Koninklijke Philips NV
5.00%, 03/15/2042
5.75%, 03/11/2018
Tyco Electronics Group SA
7.13%, 10/01/2037
$
77 $
12
Engineering & Construction - 0.00%
ABB Finance USA Inc
2.88%, 05/08/2022
Environmental Control - 0.11%
Republic Services Inc
4.75%, 05/15/2023
5.25%, 11/15/2021
5.50%, 09/15/2019
6.20%, 03/01/2040
Waste Management Inc
3.90%, 03/01/2035
4.10%, 03/01/2045
4.60%, 03/01/2021
Federal & Federally Sponsored Credit - 0.09%
Federal Farm Credit Banks
0.75%, 04/18/2018
0.88%, 09/14/2018
1.58%, 02/17/2021
Finance - Mortgage Loan/Banker - 2.22%
Fannie Mae
0.00%, 10/09/2019(b)
0.88%, 08/28/2017
0.88%, 10/26/2017
0.88%, 12/20/2017
0.88%, 12/27/2017
0.88%, 02/08/2018
0.88%, 05/21/2018
1.00%, 09/27/2017
1.00%, 12/28/2017
1.00%, 04/30/2018
1.07%, 07/28/2017
1.13%, 04/30/2018
1.13%, 07/20/2018
1.25%, 02/26/2019
1.25%, 05/06/2021
1.38%, 01/28/2019
1.50%, 11/30/2020
1.63%, 11/27/2018
1.63%, 01/21/2020
1.75%, 09/12/2019
1.75%, 11/26/2019
1.88%, 09/18/2018
1.88%, 12/28/2020
2.13%, 04/24/2026
2.63%, 09/06/2024
3.00%, 03/01/2028
5.63%, 07/15/2037
6.63%, 11/15/2030
7.13%, 01/15/2030
7.25%, 05/15/2030
Federal Home Loan Banks
0.63%, 10/26/2017
0.75%, 08/28/2017
100
16
100
100
500
508
128
10
142
11
14
19
1,943
100
104
51
200
104
809
59
231
116
1,092
200
200
350
$
210
218
389
2,315
$
1,001
752
175
1,928
1,000
750
175
890
500
1,000
800
450
1,000
950
300
500
575
675
500
500
2,400
500
750
500
1,000
1,000
300
750
1,300
500
500
750
700
200
602
199
280
855
501
1,004
803
450
1,005
954
301
500
575
675
500
504
2,401
502
761
508
1,021
1,024
308
771
1,333
517
514
807
701
292
922
312
445
500
750
500
751
Principal
Amount (000's) Value (000's)
Finance - Mortgage Loan/Banker (continued)
Federal Home Loan Banks (continued)
0.88%, 03/19/2018
$
0.88%, 06/29/2018
1.00%, 12/19/2017
1.13%, 12/08/2017
1.13%, 06/21/2019
1.38%, 03/09/2018
1.38%, 02/18/2021
1.63%, 06/14/2019
1.75%, 12/14/2018
1.88%, 03/13/2020
5.00%, 11/17/2017
5.38%, 09/30/2022
5.50%, 07/15/2036
5.63%, 06/11/2021
Freddie Mac
0.75%, 01/12/2018
0.75%, 04/09/2018
0.88%, 03/07/2018
1.00%, 07/28/2017
1.00%, 09/29/2017
1.00%, 12/15/2017
1.00%, 05/25/2018
1.02%, 04/30/2018
1.25%, 08/01/2019
1.25%, 10/02/2019
1.38%, 05/01/2020
1.40%, 08/22/2019
2.38%, 01/13/2022
3.75%, 03/27/2019
4.88%, 06/13/2018
5.13%, 11/17/2017
5.50%, 08/23/2017
6.25%, 07/15/2032
6.75%, 03/15/2031
(continued)
$
See accompanying notes.
BONDS (continued)
750 $
500
500
750
500
1,000
250
500
1,500
500
690
500
180
350
1,000
1,000
1,250
750
1,200
500
600
775
500
1,000
1,000
500
1,257
1,052
212
180
231
231
577
$
Food - 0.38%
Campbell Soup Co
3.05%, 07/15/2017
3.30%, 03/19/2025
4.25%, 04/15/2021
ConAgra Foods Inc
3.20%, 01/25/2023
3.25%, 09/15/2022
Delhaize Group
5.70%, 10/01/2040
General Mills Inc
3.15%, 12/15/2021
5.65%, 02/15/2019
JM Smucker Co/The
1.75%, 03/15/2018
Kraft Heinz Foods Co
2.00%, 07/02/2018(c)
3.50%, 06/06/2022
3.95%, 07/15/2025(c)
4.38%, 06/01/2046(c)
5.00%, 06/04/2042
5.20%, 07/15/2045(c)
5.38%, 02/10/2020
6.50%, 02/09/2040
6.88%, 01/26/2039
Kroger Co/The
3.30%, 01/15/2021
3.40%, 04/15/2022
5.15%, 08/01/2043
5.40%, 07/15/2040
6.15%, 01/15/2020
6.40%, 08/15/2017
Mondelez International Inc
2.25%, 02/01/2019
6.50%, 02/09/2040
94
753
502
503
755
505
1,012
253
511
1,536
516
731
617
260
424
1,002
1,001
1,252
753
1,206
503
600
775
506
1,012
1,015
508
1,331
1,136
229
191
244
350
895
46,404
128
300
51
131
315
56
567
100
585
103
102
119
77
75
82
83
300
302
420
300
600
335
200
200
95
75
161
425
319
652
354
230
237
107
99
220
321
154
300
25
12
18
341
165
358
30
14
19
541
139
553
189
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Food (continued)
Sysco Corp
4.85%, 10/01/2045
5.38%, 09/21/2035
Tyson Foods Inc
2.65%, 08/15/2019
Unilever Capital Corp
2.20%, 03/06/2019
5.90%, 11/15/2032
Principal
Amount (000's) Value (000's)
$
250 $
500
280
592
350
360
250
230
257
323
7,900
$
Forest Products & Paper - 0.05%
Georgia-Pacific LLC
7.75%, 11/15/2029
8.00%, 01/15/2024
International Paper Co
4.75%, 02/15/2022
7.30%, 11/15/2039
7.50%, 08/15/2021
Plum Creek Timberlands LP
4.70%, 03/15/2021
51
228
74
304
413
25
136
459
33
167
51
$
Gas - 0.13%
Atmos Energy Corp
4.13%, 10/15/2044
CenterPoint Energy Inc
6.50%, 05/01/2018
Dominion Gas Holdings LLC
4.80%, 11/01/2043
ONE Gas Inc
2.07%, 02/01/2019
Piedmont Natural Gas Co Inc
4.10%, 09/18/2034
Sempra Energy
6.00%, 10/15/2039
6.15%, 06/15/2018
Southern California Gas Co
3.15%, 09/15/2024
Hand & Machine Tools - 0.01%
Stanley Black & Decker Inc
2.90%, 11/01/2022
436
77
83
300
325
500
508
500
521
112
120
140
131
500
535
2,679
Healthcare - Products - 0.43%
Abbott Laboratories
5.30%, 05/27/2040
Becton Dickinson and Co
2.68%, 12/15/2019
3.25%, 11/12/2020
4.69%, 12/15/2044
5.00%, 11/12/2040
Boston Scientific Corp
3.85%, 05/15/2025
4.13%, 10/01/2023
6.00%, 01/15/2020
7.38%, 01/15/2040
Covidien International Finance SA
6.00%, 10/15/2017
Danaher Corp
5.63%, 01/15/2018
Medtronic Inc
2.50%, 03/15/2020
3.15%, 03/15/2022
3.50%, 03/15/2025
4.63%, 03/15/2045
St Jude Medical Inc
3.25%, 04/15/2023
Stryker Corp
2.00%, 03/08/2019
3.50%, 03/15/2026
4.10%, 04/01/2043
See accompanying notes.
200
Healthcare - Products (continued)
Stryker Corp (continued)
4.38%, 01/15/2020
Thermo Fisher Scientific Inc
2.40%, 02/01/2019
4.70%, 05/01/2020
Zimmer Biomet Holdings Inc
4.45%, 08/15/2045
Healthcare - Services - 0.51%
Aetna Inc
1.50%, 11/15/2017
3.20%, 06/15/2026
4.13%, 06/01/2021
4.13%, 11/15/2042
4.25%, 06/15/2036
4.38%, 06/15/2046
6.63%, 06/15/2036
6.75%, 12/15/2037
Anthem Inc
2.30%, 07/15/2018
3.30%, 01/15/2023
4.65%, 01/15/2043
4.85%, 08/15/2054
5.85%, 01/15/2036
Baylor Scott & White Holdings
3.97%, 11/15/2046
Cigna Corp
5.38%, 02/15/2042
Coventry Health Care Inc
5.45%, 06/15/2021
Dignity Health
2.64%, 11/01/2019
Howard Hughes Medical Institute
3.50%, 09/01/2023
Humana Inc
4.95%, 10/01/2044
Laboratory Corp of America Holdings
4.63%, 11/15/2020
Memorial Sloan-Kettering Cancer Center
4.13%, 07/01/2052
4.20%, 07/01/2055
Quest Diagnostics Inc
3.50%, 03/30/2025
4.70%, 04/01/2021
4.75%, 01/30/2020
UnitedHealth Group Inc
1.40%, 10/15/2017
1.90%, 07/16/2018
2.88%, 03/15/2022
3.75%, 07/15/2025
4.38%, 03/15/2042
4.70%, 02/15/2021
6.50%, 06/15/2037
6.88%, 02/15/2038
211
200
244
350
500
250
51
360
526
282
57
500
350
51
51
529
379
58
68
123
131
128
137
350
500
1,850
600
363
534
2,017
705
600
618
350
500
200
356
530
204
Principal
Amount (000's) Value (000's)
$
25 $
500
51
300
Housewares - 0.10%
Newell Brands Inc
2.88%, 12/01/2019
3.85%, 04/01/2023
3.90%, 11/01/2025
4.20%, 04/01/2026
5.38%, 04/01/2036
100
473
112
101
160
291
140
152
500
300
100
500
250
507
310
104
527
299
232
249
128
152
500
571
500
515
400
441
300
329
500
545
500
250
555
283
500
102
3
516
112
3
400
1,000
180
290
750
90
77
141
402
1,017
188
318
833
102
107
206
10,720
77
86
400
350
350
500
350
411
371
367
542
405
2,096
$
95
305
8,995
100
460
102
100
155
280
105
112
$
Home Furnishings - 0.00%
Whirlpool Corp
4.85%, 06/15/2021
27
509
56
$
55
1,092
400
$
BONDS (continued)
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Insurance - 0.86%
Aflac Inc
3.63%, 11/15/2024
6.45%, 08/15/2040
Allied World Assurance Co Holdings Ltd
4.35%, 10/29/2025
Allstate Corp/The
5.55%, 05/09/2035
American International Group Inc
3.90%, 04/01/2026
4.70%, 07/10/2035
4.88%, 06/01/2022
Aon Corp
5.00%, 09/30/2020
Aon PLC
4.45%, 05/24/2043
Arch Capital Group US Inc
5.14%, 11/01/2043
AXA SA
8.60%, 12/15/2030
Berkshire Hathaway Finance Corp
1.30%, 05/15/2018
2.00%, 08/15/2018
4.25%, 01/15/2021
4.30%, 05/15/2043
5.75%, 01/15/2040
Berkshire Hathaway Inc
2.20%, 03/15/2021
3.13%, 03/15/2026
3.40%, 01/31/2022
Chubb Corp/The
6.50%, 05/15/2038
Chubb INA Holdings Inc
2.88%, 11/03/2022
6.70%, 05/15/2036
CNA Financial Corp
5.75%, 08/15/2021
Hartford Financial Services Group Inc/The
4.30%, 04/15/2043
6.63%, 03/30/2040
Lincoln National Corp
4.00%, 09/01/2023
6.15%, 04/07/2036
7.00%, 06/15/2040
8.75%, 07/01/2019
Loews Corp
2.63%, 05/15/2023
4.13%, 05/15/2043
Manulife Financial Corp
5.38%, 03/04/2046
Markel Corp
5.00%, 03/30/2043
Marsh & McLennan Cos Inc
2.35%, 03/06/2020
3.75%, 03/14/2026
MetLife Inc
3.00%, 03/01/2025
3.60%, 04/10/2024
4.37%, 09/15/2023(a)
4.60%, 05/13/2046
5.70%, 06/15/2035
6.40%, 12/15/2066(a)
7.72%, 02/15/2019
PartnerRe Finance B LLC
5.50%, 06/01/2020
Progressive Corp/The
3.75%, 08/23/2021
4.35%, 04/25/2044
Protective Life Corp
8.45%, 10/15/2039
Prudential Financial Inc
3.50%, 05/15/2024
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
200 $
132
214
176
500
512
200
254
750
750
250
773
775
278
128
143
300
300
375
407
38
52
300
500
102
300
115
302
511
113
333
153
380
330
205
392
346
221
10
14
500
250
523
359
77
89
250
25
250
32
1,000
80
47
141
1,040
94
60
167
200
200
202
204
250
292
200
213
300
750
306
791
300
250
200
500
164
288
225
304
264
221
538
198
307
261
115
128
277
200
305
229
51
71
1,200
1,247
Principal
Amount (000's) Value (000's)
BONDS (continued)
Insurance (continued)
Prudential Financial Inc (continued)
4.50%, 11/16/2021
5.70%, 12/14/2036
5.88%, 09/15/2042(a)
6.63%, 12/01/2037
7.38%, 06/15/2019
Reinsurance Group of America Inc
4.70%, 09/15/2023
Travelers Cos Inc/The
5.90%, 06/02/2019
6.25%, 06/15/2037
6.75%, 06/20/2036
Trinity Acquisition PLC
4.40%, 03/15/2026
Validus Holdings Ltd
8.88%, 01/26/2040
WR Berkley Corp
6.25%, 02/15/2037
XLIT Ltd
2.30%, 12/15/2018
5.25%, 12/15/2043
$
128 $
25
100
126
350
144
30
108
162
406
200
217
350
12
51
395
17
73
500
522
51
70
29
36
350
400
354
432
17,930
$
Internet - 0.22%
Alibaba Group Holding Ltd
1.63%, 11/28/2017
3.13%, 11/28/2021
Alphabet Inc
3.38%, 02/25/2024
3.63%, 05/19/2021
Amazon.com Inc
1.20%, 11/29/2017
2.50%, 11/29/2022
2.60%, 12/05/2019
4.95%, 12/05/2044
Baidu Inc
3.25%, 08/06/2018
eBay Inc
2.60%, 07/15/2022
3.80%, 03/09/2022
4.00%, 07/15/2042
Expedia Inc
7.46%, 08/15/2018
750
270
752
276
500
51
551
56
100
100
250
500
100
103
261
609
500
513
600
500
100
594
531
84
128
$
Investment Companies - 0.01%
Prospect Capital Corp
5.00%, 07/15/2019
Iron & Steel - 0.06%
Nucor Corp
5.75%, 12/01/2017
Vale Overseas Ltd
5.63%, 09/15/2019
6.88%, 11/21/2036
8.25%, 01/17/2034
250
248
12
13
546
617
38
562
561
40
1,176
$
Lodging - 0.06%
Marriott International Inc/MD
2.88%, 03/01/2021
3.13%, 10/15/2021
Wyndham Worldwide Corp
3.90%, 03/01/2023
500
500
517
520
300
$
Machinery - Construction & Mining - 0.08%
Caterpillar Financial Services Corp
1.25%, 08/18/2017
2.45%, 09/06/2018
7.05%, 10/01/2018
7.15%, 02/15/2019
96
142
4,572
500
200
200
113
307
1,344
501
206
225
130
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Machinery - Construction & Mining (continued)
Caterpillar Inc
3.80%, 08/15/2042
$
4.75%, 05/15/2064
6.05%, 08/15/2036
Machinery - Diversified - 0.12%
Deere & Co
4.38%, 10/16/2019
John Deere Capital Corp
1.20%, 10/10/2017
1.30%, 03/12/2018
3.90%, 07/12/2021
Rockwell Automation Inc
2.05%, 03/01/2020
6.25%, 12/01/2037
Roper Technologies Inc
1.85%, 11/15/2017
105 $
350
132
$
62
200
1,025
500
201
1,030
553
250
51
254
69
$
Media - 0.98%
21st Century Fox America Inc
3.70%, 10/15/2025
4.50%, 02/15/2021
4.95%, 10/15/2045
5.65%, 08/15/2020
6.15%, 02/15/2041
6.20%, 12/15/2034
6.40%, 12/15/2035
6.90%, 03/01/2019
CBS Corp
1.95%, 07/01/2017
4.00%, 01/15/2026
4.85%, 07/01/2042
5.75%, 04/15/2020
7.88%, 07/30/2030
Comcast Corp
2.75%, 03/01/2023
2.85%, 01/15/2023
3.38%, 08/15/2025
4.20%, 08/15/2034
4.25%, 01/15/2033
4.40%, 08/15/2035
4.60%, 08/15/2045
4.65%, 07/15/2042
5.15%, 03/01/2020
6.30%, 11/15/2017
6.40%, 03/01/2040
6.45%, 03/15/2037
6.95%, 08/15/2037
Discovery Communications LLC
3.25%, 04/01/2023
4.38%, 06/15/2021
4.90%, 03/11/2026
5.05%, 06/01/2020
5.63%, 08/15/2019
6.35%, 06/01/2040
Grupo Televisa SAB
4.63%, 01/30/2026
6.63%, 03/18/2025
Historic TW Inc
6.88%, 06/15/2018
NBCUniversal Media LLC
4.38%, 04/01/2021
5.15%, 04/30/2020
5.95%, 04/01/2041
6.40%, 04/30/2040
RELX Capital Inc
3.13%, 10/15/2022
Scripps Networks Interactive Inc
2.80%, 06/15/2020
See accompanying notes.
Media (continued)
Thomson Reuters Corp
3.95%, 09/30/2021
4.50%, 05/23/2043
5.85%, 04/15/2040
Time Warner Cable Inc
4.00%, 09/01/2021
5.50%, 09/01/2041
6.55%, 05/01/2037
6.75%, 07/01/2018
6.75%, 06/15/2039
7.30%, 07/01/2038
8.25%, 04/01/2019
8.75%, 02/14/2019
Time Warner Entertainment Co LP
8.38%, 07/15/2033
Time Warner Inc
4.00%, 01/15/2022
4.05%, 12/15/2023
4.65%, 06/01/2044
4.70%, 01/15/2021
4.88%, 03/15/2020
5.38%, 10/15/2041
6.10%, 07/15/2040
6.20%, 03/15/2040
6.50%, 11/15/2036
7.63%, 04/15/2031
Viacom Inc
3.25%, 03/15/2023
3.88%, 12/15/2021
4.38%, 03/15/2043
6.88%, 04/30/2036
Walt Disney Co/The
1.10%, 12/01/2017
2.35%, 12/01/2022
2.75%, 08/16/2021
3.70%, 12/01/2042
3.75%, 06/01/2021
7.00%, 03/01/2032
107
389
173
1,731
56
300
BONDS (continued)
302
2,471
500
200
350
51
577
154
128
154
542
223
399
58
721
193
163
175
200
500
200
65
178
201
534
201
74
252
80
100
500
750
100
500
250
100
774
128
500
60
274
84
105
540
826
110
564
288
115
875
137
698
83
394
200
500
500
51
51
43
197
537
530
56
56
44
500
200
540
245
25
28
151
575
100
251
169
652
135
350
125
127
500
508
Metal Fabrication & Hardware - 0.03%
Precision Castparts Corp
1.25%, 01/15/2018
2.50%, 01/15/2023
4.38%, 06/15/2045
Mining - 0.23%
Barrick Gold Corp
4.10%, 05/01/2023
Barrick North America Finance LLC
4.40%, 05/30/2021
Barrick PD Australia Finance Pty Ltd
5.95%, 10/15/2039
BHP Billiton Finance USA Ltd
3.25%, 11/21/2021
4.13%, 02/24/2042
5.00%, 09/30/2043
6.50%, 04/01/2019
Goldcorp Inc
3.63%, 06/09/2021
Newmont Mining Corp
3.50%, 03/15/2022
6.25%, 10/01/2039
Rio Tinto Alcan Inc
6.13%, 12/15/2033
Rio Tinto Finance USA Ltd
7.13%, 07/15/2028
9.00%, 05/01/2019
Rio Tinto Finance USA PLC
4.75%, 03/22/2042
97
Principal
Amount (000's) Value (000's)
$
175 $
300
25
187
297
29
180
300
151
51
77
300
654
48
191
315
176
56
90
376
759
56
95
129
180
500
500
81
42
128
43
51
120
445
194
551
526
90
47
147
53
63
152
610
750
128
400
166
738
135
323
182
100
750
102
100
200
51
$
100
775
108
107
222
74
20,587
$
201
104
292
597
200
100
250
48
51
651
701
90
94
128
328
500
23
135
338
581
26
300
309
102
515
106
573
77
88
512
83
650
100
328
347
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Mining (continued)
Southern Copper Corp
5.38%, 04/16/2020
5.88%, 04/23/2045
6.75%, 04/16/2040
Miscellaneous Manufacturers - 0.47%
3M Co
5.70%, 03/15/2037
Crane Co
4.45%, 12/15/2023
Dover Corp
5.38%, 03/01/2041
Eaton Corp
1.50%, 11/02/2017
2.75%, 11/02/2022
4.00%, 11/02/2032
4.15%, 11/02/2042
General Electric Co
2.20%, 01/09/2020
2.70%, 10/09/2022
4.13%, 10/09/2042
4.50%, 03/11/2044
4.63%, 01/07/2021
5.25%, 12/06/2017
5.30%, 02/11/2021
5.50%, 01/08/2020
5.63%, 09/15/2017
5.63%, 05/01/2018
5.88%, 01/14/2038
6.00%, 08/07/2019
6.15%, 08/07/2037
6.75%, 03/15/2032
6.88%, 01/10/2039
Illinois Tool Works Inc
3.50%, 03/01/2024
Ingersoll-Rand Global Holding Co Ltd
6.88%, 08/15/2018
Parker-Hannifin Corp
3.50%, 09/15/2022
Tyco Electronics Group SA
6.55%, 10/01/2017
Principal
Amount (000's) Value (000's)
$
25 $
350
258
$
51
100
106
77
98
400
100
100
50
402
103
107
54
1,110
300
300
500
77
300
308
295
154
800
266
181
155
881
500
1,144
315
330
577
87
318
357
337
163
867
360
207
216
1,236
755
350
383
490
544
577
633
$
Office & Business Equipment - 0.06%
Pitney Bowes Inc
5.75%, 09/15/2017
Xerox Corp
2.75%, 09/01/2020
2.80%, 05/15/2020
4.50%, 05/15/2021
5.63%, 12/15/2019
Oil & Gas - 1.86%
Anadarko Finance Co
7.50%, 05/01/2031
Anadarko Petroleum Corp
4.50%, 07/15/2044
6.20%, 03/15/2040
6.38%, 09/15/2017
6.45%, 09/15/2036
Apache Corp
3.63%, 02/01/2021
4.75%, 04/15/2043
5.10%, 09/01/2040
BP Capital Markets PLC
2.24%, 09/26/2018
2.32%, 02/13/2020
2.50%, 11/06/2022
3.06%, 03/17/2022
3.56%, 11/01/2021
See accompanying notes.
119
9,869
27
28
500
500
226
21
482
481
229
23
1,243
$
Oil & Gas (continued)
BP Capital Markets PLC (continued)
3.81%, 02/10/2024
4.74%, 03/11/2021
4.75%, 03/10/2019
Canadian Natural Resources Ltd
6.25%, 03/15/2038
Chevron Corp
1.79%, 11/16/2018
2.36%, 12/05/2022
2.41%, 03/03/2022
2.43%, 06/24/2020
2.95%, 05/16/2026
4.95%, 03/03/2019
CNOOC Finance 2013 Ltd
1.75%, 05/09/2018
3.00%, 05/09/2023
4.25%, 05/09/2043
CNOOC Nexen Finance 2014 ULC
4.25%, 04/30/2024
Conoco Funding Co
7.25%, 10/15/2031
ConocoPhillips
6.00%, 01/15/2020
6.50%, 02/01/2039
ConocoPhillips Co
3.35%, 05/15/2025
4.30%, 11/15/2044
ConocoPhillips Holding Co
6.95%, 04/15/2029
Devon Energy Corp
5.60%, 07/15/2041
5.85%, 12/15/2025
6.30%, 01/15/2019
7.95%, 04/15/2032
Devon Financing Co LLC
7.88%, 09/30/2031
Ecopetrol SA
4.13%, 01/16/2025
4.25%, 09/18/2018
5.88%, 09/18/2023
EOG Resources Inc
2.63%, 03/15/2023
4.15%, 01/15/2026
4.40%, 06/01/2020
EQT Corp
6.50%, 04/01/2018
Exxon Mobil Corp
1.31%, 03/06/2018
2.22%, 03/01/2021
3.04%, 03/01/2026
3.18%, 03/15/2024
3.57%, 03/06/2045
4.11%, 03/01/2046
Hess Corp
5.60%, 02/15/2041
7.13%, 03/15/2033
7.30%, 08/15/2031
8.13%, 02/15/2019
Husky Energy Inc
7.25%, 12/15/2019
Marathon Oil Corp
3.85%, 06/01/2025
5.90%, 03/15/2018
6.60%, 10/01/2037
Marathon Petroleum Corp
3.63%, 09/15/2024
5.00%, 09/15/2054
5.13%, 03/01/2021
Nabors Industries Inc
6.15%, 02/15/2018
27
330
266
4,722
38
112
BONDS (continued)
77
92
100
25
27
725
92
28
28
835
577
128
92
603
132
96
1,000
200
200
300
200
1,021
205
202
310
215
98
Principal
Amount (000's) Value (000's)
$
400 $
128
25
429
144
27
164
178
790
300
500
450
355
400
801
305
510
464
367
438
150
150
100
150
149
100
500
530
200
255
293
169
333
218
750
400
775
406
202
252
125
1,000
154
192
121
1,103
167
220
128
149
500
250
250
452
259
258
200
350
51
199
383
55
127
132
570
480
270
500
300
90
574
495
287
537
311
102
51
200
38
25
51
224
44
28
550
619
500
251
223
459
260
225
400
200
77
393
168
85
200
206
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Oil & Gas (continued)
Nexen Energy ULC
5.88%, 03/10/2035
6.40%, 05/15/2037
7.50%, 07/30/2039
Noble Energy Inc
5.25%, 11/15/2043
6.00%, 03/01/2041
8.25%, 03/01/2019
Occidental Petroleum Corp
2.70%, 02/15/2023
3.50%, 06/15/2025
Petro-Canada
5.95%, 05/15/2035
6.80%, 05/15/2038
7.88%, 06/15/2026
Petroleos Mexicanos
3.50%, 07/18/2018
3.50%, 07/23/2020
4.50%, 01/23/2026
4.88%, 01/24/2022
5.50%, 01/21/2021
5.50%, 06/27/2044
5.75%, 03/01/2018
6.38%, 01/23/2045
6.63%, 06/15/2035
8.00%, 05/03/2019
Phillips 66
4.30%, 04/01/2022
5.88%, 05/01/2042
Pioneer Natural Resources Co
3.95%, 07/15/2022
Shell International Finance BV
1.13%, 08/21/2017
1.88%, 05/10/2021
2.38%, 08/21/2022
3.40%, 08/12/2023
3.63%, 08/21/2042
4.00%, 05/10/2046
4.13%, 05/11/2035
4.30%, 09/22/2019
4.38%, 03/25/2020
4.38%, 05/11/2045
5.50%, 03/25/2040
6.38%, 12/15/2038
Statoil ASA
1.15%, 05/15/2018
2.25%, 11/08/2019
2.65%, 01/15/2024
3.15%, 01/23/2022
3.95%, 05/15/2043
5.10%, 08/17/2040
5.25%, 04/15/2019
Suncor Energy Inc
6.10%, 06/01/2018
6.50%, 06/15/2038
6.85%, 06/01/2039
Total Capital International SA
2.75%, 06/19/2021
2.88%, 02/17/2022
Total Capital SA
4.25%, 12/15/2021
4.45%, 06/24/2020
Valero Energy Corp
6.13%, 02/01/2020
6.63%, 06/15/2037
7.50%, 04/15/2032
9.38%, 03/15/2019
Principal
Amount (000's) Value (000's)
$
500 $
157
15
585
194
20
350
102
400
356
110
458
300
500
305
528
400
12
200
471
16
262
1,400
350
1,000
385
208
350
141
400
1,036
31
1,409
350
962
394
220
316
147
402
1,068
35
1,128
128
1,232
154
100
105
200
1,000
100
1,500
100
245
410
651
25
490
25
43
201
1,005
102
1,594
96
250
442
709
27
532
31
58
400
500
400
102
200
263
23
400
513
404
107
207
315
25
128
428
5
138
552
7
400
128
416
134
51
500
57
555
138
234
15
128
156
257
18
153
38,816
$
Oil & Gas Services - 0.12%
Halliburton Co
3.25%, 11/15/2021
See accompanying notes.
651
BONDS (continued)
Oil & Gas Services (continued)
Halliburton Co (continued)
3.80%, 11/15/2025
4.50%, 11/15/2041
4.85%, 11/15/2035
5.00%, 11/15/2045
5.90%, 09/15/2018
7.45%, 09/15/2039
National Oilwell Varco Inc
2.60%, 12/01/2022
Principal
Amount (000's) Value (000's)
$
245 $
51
275
340
350
10
500
$
Other Asset Backed Securities - 0.00%
CenterPoint Energy Restoration Bond Co
LLC
3.46%, 08/15/2019
Packaging & Containers - 0.01%
WestRock MWV LLC
7.38%, 09/01/2019
Pharmaceuticals - 1.41%
AbbVie Inc
1.75%, 11/06/2017
2.00%, 11/06/2018
2.50%, 05/14/2020
2.90%, 11/06/2022
3.20%, 05/14/2026
3.60%, 05/14/2025
4.30%, 05/14/2036
4.40%, 11/06/2042
4.45%, 05/14/2046
4.50%, 05/14/2035
4.70%, 05/14/2045
Actavis Funding SCS
1.30%, 06/15/2017
3.00%, 03/12/2020
3.80%, 03/15/2025
3.85%, 06/15/2024
4.75%, 03/15/2045
4.85%, 06/15/2044
Actavis Inc
1.88%, 10/01/2017
3.25%, 10/01/2022
4.63%, 10/01/2042
6.13%, 08/15/2019
AmerisourceBergen Corp
3.40%, 05/15/2024
AstraZeneca PLC
1.95%, 09/18/2019
3.38%, 11/16/2025
4.00%, 09/18/2042
4.38%, 11/16/2045
6.45%, 09/15/2037
Baxalta Inc
2.00%, 06/22/2018
3.60%, 06/23/2022
5.25%, 06/23/2045
Bristol-Myers Squibb Co
0.88%, 08/01/2017
1.75%, 03/01/2019
3.25%, 08/01/2042
Cardinal Health Inc
1.70%, 03/15/2018
3.20%, 03/15/2023
4.60%, 03/15/2043
Eli Lilly & Co
1.95%, 03/15/2019
3.70%, 03/01/2045
Express Scripts Holding Co
3.50%, 06/15/2024
3.90%, 02/15/2022
675
99
256
50
298
374
381
14
466
2,514
68
70
100
115
300
200
580
200
305
470
170
200
235
280
330
302
202
593
204
309
492
173
204
238
293
349
300
400
300
445
200
500
299
413
313
466
210
527
200
150
100
12
201
153
103
13
250
264
600
275
100
135
144
610
288
103
147
197
500
500
105
500
516
114
100
500
600
100
509
597
300
200
100
302
209
107
1,000
500
1,023
533
500
200
516
214
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Pharmaceuticals (continued)
Express Scripts Holding Co (continued)
4.75%, 11/15/2021
6.13%, 11/15/2041
GlaxoSmithKline Capital Inc
5.38%, 04/15/2034
5.65%, 05/15/2018
GlaxoSmithKline Capital PLC
2.85%, 05/08/2022
Johnson & Johnson
1.65%, 12/05/2018
2.95%, 09/01/2020
3.70%, 03/01/2046
4.95%, 05/15/2033
5.55%, 08/15/2017
5.95%, 08/15/2037
McKesson Corp
4.75%, 03/01/2021
4.88%, 03/15/2044
Mead Johnson Nutrition Co
4.60%, 06/01/2044
Medco Health Solutions Inc
7.13%, 03/15/2018
Merck & Co Inc
1.10%, 01/31/2018
1.30%, 05/18/2018
2.35%, 02/10/2022
2.40%, 09/15/2022
2.75%, 02/10/2025
2.80%, 05/18/2023
3.60%, 09/15/2042
4.15%, 05/18/2043
6.55%, 09/15/2037
Merck Sharp & Dohme Corp
5.00%, 06/30/2019
Mylan Inc
2.55%, 03/28/2019
Mylan NV
3.75%, 12/15/2020(c)
3.95%, 06/15/2026(c)
5.25%, 06/15/2046(c)
Novartis Capital Corp
3.00%, 11/20/2025
4.40%, 04/24/2020
4.40%, 05/06/2044
Novartis Securities Investment Ltd
5.13%, 02/10/2019
Perrigo Co PLC
5.30%, 11/15/2043
Pfizer Inc
1.45%, 06/03/2019
3.00%, 06/15/2023
3.40%, 05/15/2024
4.65%, 03/01/2018
5.60%, 09/15/2040
6.20%, 03/15/2019
7.20%, 03/15/2039
Sanofi
1.25%, 04/10/2018
Teva Pharmaceutical Finance Co BV
3.65%, 11/10/2021
Teva Pharmaceutical Finance Co LLC
6.15%, 02/01/2036
Wyeth LLC
5.95%, 04/01/2037
6.50%, 02/01/2034
Zoetis Inc
3.25%, 02/01/2023
3.45%, 11/13/2020
Principal
Amount (000's) Value (000's)
$
77 $
77
See accompanying notes.
Pipelines - 0.84%
Boardwalk Pipelines LP
3.38%, 02/01/2023
Buckeye Partners LP
2.65%, 11/15/2018
4.88%, 02/01/2021
Columbia Pipeline Group Inc
5.80%, 06/01/2045
Enable Midstream Partners LP
5.00%, 05/15/2044(a)
Enbridge Energy Partners LP
5.20%, 03/15/2020
7.38%, 10/15/2045
9.88%, 03/01/2019
Energy Transfer Partners LP
4.90%, 02/01/2024
4.90%, 03/15/2035
5.20%, 02/01/2022
5.95%, 10/01/2043
6.50%, 02/01/2042
6.70%, 07/01/2018
9.00%, 04/15/2019
Enterprise Products Operating LLC
3.35%, 03/15/2023
3.70%, 02/15/2026
3.75%, 02/15/2025
3.90%, 02/15/2024
4.85%, 08/15/2042
4.90%, 05/15/2046
5.20%, 09/01/2020
6.13%, 10/15/2039
6.45%, 09/01/2040
6.50%, 01/31/2019
6.88%, 03/01/2033
Kinder Morgan Energy Partners LP
3.50%, 03/01/2021
3.50%, 09/01/2023
4.15%, 03/01/2022
4.70%, 11/01/2042
5.00%, 03/01/2043
5.40%, 09/01/2044
6.38%, 03/01/2041
6.50%, 09/01/2039
6.95%, 01/15/2038
7.40%, 03/15/2031
9.00%, 02/01/2019
Kinder Morgan Inc/DE
3.05%, 12/01/2019
Magellan Midstream Partners LP
4.20%, 12/01/2042
ONEOK Partners LP
5.00%, 09/15/2023
6.13%, 02/01/2041
8.63%, 03/01/2019
Panhandle Eastern Pipe Line Co LP
6.20%, 11/01/2017
Plains All American Pipeline LP / PAA
Finance Corp
2.85%, 01/31/2023
3.65%, 06/01/2022
4.30%, 01/31/2043
4.70%, 06/15/2044
5.75%, 01/15/2020
Regency Energy Partners LP / Regency
Energy Finance Corp
5.88%, 03/01/2022
Southern Natural Gas Co LLC / Southern
Natural Issuing Corp
4.40%, 06/15/2021
Spectra Energy Capital LLC
8.00%, 10/01/2019
86
92
1,000
202
1,268
219
128
135
500
128
215
201
128
775
509
137
242
258
135
1,147
250
120
276
137
250
265
169
185
100
200
750
100
350
200
100
200
187
100
202
773
103
366
210
103
224
270
154
171
250
253
750
295
145
782
299
151
500
77
330
531
86
398
564
623
500
522
600
500
1,000
51
380
280
151
605
533
1,094
54
491
316
230
400
402
400
424
3
4
91
144
121
198
100
750
102
774
29,512
$
BONDS (continued)
100
Principal
Amount (000's) Value (000's)
$
200 $
183
250
850
254
893
500
577
500
396
9
100
87
9
122
100
350
300
102
350
102
23
6
358
265
107
338
107
24
7
300
500
500
250
300
400
77
123
177
161
15
308
520
522
265
317
431
87
146
215
180
18
750
200
300
200
100
400
128
112
112
177
77
752
195
304
180
95
395
133
117
124
193
88
750
758
200
191
250
128
20
263
134
23
81
84
200
128
200
500
15
184
126
161
427
16
750
802
51
53
300
344
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Pipelines (continued)
Spectra Energy Partners LP
5.95%, 09/25/2043
Sunoco Logistics Partners Operations LP
3.45%, 01/15/2023
4.95%, 01/15/2043
5.50%, 02/15/2020
Texas Eastern Transmission LP
7.00%, 07/15/2032
TransCanada PipeLines Ltd
3.80%, 10/01/2020
5.60%, 03/31/2034
6.10%, 06/01/2040
6.50%, 08/15/2018
7.25%, 08/15/2038
7.63%, 01/15/2039
Williams Partners LP
3.90%, 01/15/2025
4.00%, 09/15/2025
5.10%, 09/15/2045
5.25%, 03/15/2020
6.30%, 04/15/2040
Principal
Amount (000's) Value (000's)
$
200 $
236
200
200
46
197
185
50
100
125
128
300
25
1,042
51
500
136
340
30
1,142
69
704
350
580
180
180
343
318
532
154
185
325
17,619
$
Real Estate - 0.01%
Brookfield Asset Management Inc
4.00%, 01/15/2025
Regional Authority - 0.18%
Province of British Columbia Canada
2.65%, 09/22/2021
6.50%, 01/15/2026
Province of Manitoba Canada
3.05%, 05/14/2024
Province of Ontario Canada
2.50%, 09/10/2021
3.15%, 12/15/2017
3.20%, 05/16/2024
4.00%, 10/07/2019
4.40%, 04/14/2020
Province of Quebec Canada
2.75%, 08/25/2021
3.50%, 07/29/2020
7.50%, 09/15/2029
Province of Saskatchewan Canada
8.50%, 07/15/2022
300
See accompanying notes.
REITS (continued)
Duke Realty LP
3.88%, 10/15/2022
EPR Properties
7.75%, 07/15/2020
ERP Operating LP
2.38%, 07/01/2019
4.75%, 07/15/2020
Federal Realty Investment Trust
2.75%, 06/01/2023
HCP Inc
3.40%, 02/01/2025
4.20%, 03/01/2024
4.25%, 11/15/2023
5.38%, 02/01/2021
6.70%, 01/30/2018
Highwoods Realty LP
3.20%, 06/15/2021
Hospitality Properties Trust
5.00%, 08/15/2022
6.70%, 01/15/2018
Host Hotels & Resorts LP
6.00%, 10/01/2021
Kimco Realty Corp
3.13%, 06/01/2023
3.20%, 05/01/2021
Liberty Property LP
3.38%, 06/15/2023
Mid-America Apartments LP
4.00%, 11/15/2025
Omega Healthcare Investors Inc
4.50%, 01/15/2025
4.95%, 04/01/2024
Realty Income Corp
2.00%, 01/31/2018
4.65%, 08/01/2023
5.88%, 03/15/2035
Regency Centers LP
3.75%, 06/15/2024
Simon Property Group LP
2.15%, 09/15/2017
2.20%, 02/01/2019
4.13%, 12/01/2021
5.65%, 02/01/2020
6.75%, 02/01/2040
10.35%, 04/01/2019
Tanger Properties LP
3.88%, 12/01/2023
UDR Inc
4.00%, 10/01/2025
Ventas Realty LP / Ventas Capital Corp
2.00%, 02/15/2018
4.25%, 03/01/2022
Weingarten Realty Investors
3.38%, 10/15/2022
Welltower Inc
3.75%, 03/15/2023
6.13%, 04/15/2020
Weyerhaeuser Co
7.38%, 03/15/2032
305
77
18
82
25
500
541
500
200
750
277
151
522
207
818
302
168
231
750
64
245
813
97
6
$
REITS - 0.66%
Alexandria Real Estate Equities Inc
2.75%, 01/15/2020
American Tower Corp
3.50%, 01/31/2023
4.70%, 03/15/2022
AvalonBay Communities Inc
2.95%, 09/15/2022
3.63%, 10/01/2020
4.20%, 12/15/2023
Boston Properties LP
3.85%, 02/01/2023
4.13%, 05/15/2021
5.63%, 11/15/2020
5.88%, 10/15/2019
Brandywine Operating Partnership LP
3.95%, 02/15/2023
Brixmor Operating Partnership LP
3.85%, 02/01/2025
CBL & Associates LP
4.60%, 10/15/2024
Crown Castle International Corp
3.70%, 06/15/2026
DDR Corp
4.63%, 07/15/2022
BONDS (continued)
8
3,828
750
757
500
278
517
307
100
100
400
103
107
440
200
77
25
750
214
84
29
843
200
202
300
302
750
676
250
258
200
216
Principal
Amount (000's) Value (000's)
$
100 $
106
63
73
400
51
410
56
150
152
300
250
200
51
15
290
257
207
57
16
350
353
100
77
107
81
200
227
200
250
204
260
300
304
500
526
300
750
304
780
100
250
51
101
276
62
200
208
102
400
200
47
25
90
103
409
222
53
36
110
250
261
200
217
750
128
754
138
180
184
200
115
207
131
300
$
Retail - 1.13%
AutoNation Inc
6.75%, 04/15/2018
AutoZone Inc
1.63%, 04/21/2019
4.00%, 11/15/2020
Bed Bath & Beyond Inc
5.17%, 08/01/2044
Costco Wholesale Corp
1.13%, 12/15/2017
101
397
13,694
200
215
750
251
754
270
500
441
1,000
1,006
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Retail (continued)
CVS Health Corp
2.25%, 08/12/2019
2.80%, 07/20/2020
3.50%, 07/20/2022
4.13%, 05/15/2021
5.13%, 07/20/2045
Darden Restaurants Inc
6.80%, 10/15/2037(a)
Dollar General Corp
1.88%, 04/15/2018
4.15%, 11/01/2025
Home Depot Inc/The
2.25%, 09/10/2018
3.75%, 02/15/2024
5.88%, 12/16/2036
5.95%, 04/01/2041
Kohl's Corp
4.00%, 11/01/2021
5.55%, 07/17/2045
Lowe's Cos Inc
2.50%, 04/15/2026
3.80%, 11/15/2021
4.38%, 09/15/2045
4.63%, 04/15/2020
5.80%, 04/15/2040
6.65%, 09/15/2037
Macy's Retail Holdings Inc
2.88%, 02/15/2023
3.45%, 01/15/2021
4.30%, 02/15/2043
6.65%, 07/15/2024
6.90%, 04/01/2029
McDonald's Corp
2.10%, 12/07/2018
3.38%, 05/26/2025
3.50%, 07/15/2020
3.70%, 02/15/2042
4.88%, 07/15/2040
4.88%, 12/09/2045
5.35%, 03/01/2018
6.30%, 10/15/2037
Nordstrom Inc
4.75%, 05/01/2020
6.25%, 01/15/2018
O'Reilly Automotive Inc
3.85%, 06/15/2023
QVC Inc
4.38%, 03/15/2023
Signet UK Finance PLC
4.70%, 06/15/2024
Staples Inc
4.38%, 01/12/2023
Target Corp
2.50%, 04/15/2026
6.00%, 01/15/2018
Walgreen Co
4.40%, 09/15/2042
5.25%, 01/15/2019
Walgreens Boots Alliance Inc
1.75%, 11/17/2017
2.70%, 11/18/2019
3.45%, 06/01/2026
4.80%, 11/18/2044
Wal-Mart Stores Inc
2.55%, 04/11/2023
3.25%, 10/25/2020
3.63%, 07/08/2020
4.13%, 02/01/2019
4.25%, 04/15/2021
4.30%, 04/22/2044
5.25%, 09/01/2035
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
500 $
530
1,000
500
370
BONDS (continued)
Retail (continued)
Wal-Mart Stores Inc (continued)
5.63%, 04/01/2040
5.63%, 04/15/2041
5.80%, 02/15/2018
6.20%, 04/15/2038
6.50%, 08/15/2037
7.55%, 02/15/2030
514
552
1,077
549
459
27
32
300
500
303
549
750
350
987
351
772
392
1,348
484
277
250
290
233
500
102
500
77
77
312
509
112
573
85
101
441
300
500
200
25
125
285
515
157
29
137
500
500
151
128
9
250
36
262
512
528
161
126
10
292
39
348
36
12
39
13
300
323
250
252
250
244
180
183
1,500
149
1,538
160
100
6
101
7
200
300
380
300
201
310
390
323
1,450
51
51
102
51
500
350
1,513
55
56
110
58
584
460
Semiconductors - 0.27%
Applied Materials Inc
3.90%, 10/01/2025
5.10%, 10/01/2035
Intel Corp
1.35%, 12/15/2017
2.45%, 07/29/2020
3.30%, 10/01/2021
3.70%, 07/29/2025
4.00%, 12/15/2032
4.25%, 12/15/2042
4.80%, 10/01/2041
KLA-Tencor Corp
4.65%, 11/01/2024
Lam Research Corp
2.75%, 03/15/2020
Maxim Integrated Products Inc
2.50%, 11/15/2018
QUALCOMM Inc
2.25%, 05/20/2020
3.45%, 05/20/2025
4.65%, 05/20/2035
4.80%, 05/20/2045
Texas Instruments Inc
1.65%, 08/03/2019
2.75%, 03/12/2021
Xilinx Inc
2.13%, 03/15/2019
Principal
Amount (000's) Value (000's)
$
38 $
280
128
25
415
128
$
500
250
554
284
300
500
177
500
200
200
77
302
520
192
555
216
215
88
500
545
300
307
200
204
370
270
100
150
380
287
109
157
200
400
203
426
175
$
Software - 0.48%
Adobe Systems Inc
4.75%, 02/01/2020
CDK Global Inc
3.30%, 10/15/2019
Fidelity National Information Services Inc
2.00%, 04/15/2018
3.63%, 10/15/2020
5.00%, 10/15/2025
Fiserv Inc
3.50%, 10/01/2022
Microsoft Corp
1.30%, 11/03/2018
2.00%, 11/03/2020
2.38%, 02/12/2022
3.00%, 10/01/2020
3.13%, 11/03/2025
4.00%, 02/12/2055
4.20%, 06/01/2019
4.20%, 11/03/2035
5.30%, 02/08/2041
Oracle Corp
2.38%, 01/15/2019
2.50%, 10/15/2022
3.88%, 07/15/2020
4.30%, 07/08/2034
4.38%, 05/15/2055
5.00%, 07/08/2019
5.75%, 04/15/2018
177
5,721
51
56
500
501
300
340
260
302
360
295
600
636
500
160
350
600
640
850
115
430
77
505
164
361
641
686
857
125
487
96
450
1,500
77
1,000
590
48
180
463
1,535
84
1,064
620
53
195
10,086
$
102
51
377
138
35
601
195
23,517
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Sovereign - 1.66%
Chile Government International Bond
3.13%, 03/27/2025
3.25%, 09/14/2021
3.88%, 08/05/2020
Colombia Government International Bond
4.38%, 07/12/2021
5.63%, 02/26/2044
6.13%, 01/18/2041
8.13%, 05/21/2024
11.75%, 02/25/2020
10.38%, 01/28/2033
Export Development Canada
1.75%, 08/19/2019
Export-Import Bank of Korea
2.25%, 01/21/2020
3.25%, 11/10/2025
3.25%, 08/12/2026
5.00%, 04/11/2022
Financing Corp
9.65%, 11/02/2018
Israel Government AID Bond
5.50%, 09/18/2023
5.50%, 04/26/2024
5.50%, 09/18/2033
Israel Government International Bond
4.00%, 06/30/2022
5.13%, 03/26/2019
Italy Government International Bond
5.38%, 06/15/2033
6.88%, 09/27/2023
Japan Bank for International
Cooperation/Japan
1.13%, 07/19/2017
1.75%, 07/31/2018
2.38%, 04/20/2026
3.00%, 05/29/2024
Korea International Bond
3.88%, 09/11/2023
Mexico Government International Bond
3.50%, 01/21/2021
3.60%, 01/30/2025
3.63%, 03/15/2022
4.60%, 01/23/2046
4.75%, 03/08/2044
5.55%, 01/21/2045
5.95%, 03/19/2019
6.05%, 01/11/2040
8.30%, 08/15/2031
Panama Government International Bond
5.20%, 01/30/2020
6.70%, 01/26/2036
8.88%, 09/30/2027
Peruvian Government International Bond
5.63%, 11/18/2050
6.55%, 03/14/2037
7.13%, 03/30/2019
7.35%, 07/21/2025
8.75%, 11/21/2033
Philippine Government International Bond
3.95%, 01/20/2040
5.00%, 01/13/2037
6.38%, 10/23/2034
6.50%, 01/20/2020
8.38%, 06/17/2019
9.50%, 02/02/2030
10.63%, 03/16/2025
Poland Government International Bond
4.00%, 01/22/2024
5.00%, 03/23/2022
5.13%, 04/21/2021
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
250 $
180
500
BONDS (continued)
Sovereign (continued)
South Africa Government International Bond
4.67%, 01/17/2024
$
4.88%, 04/14/2026
6.25%, 03/08/2041
6.88%, 05/27/2019
Svensk Exportkredit AB
1.88%, 06/17/2019
Tennessee Valley Authority
3.50%, 12/15/2042
3.88%, 02/15/2021
4.25%, 09/15/2065
4.50%, 04/01/2018
5.25%, 09/15/2039
5.38%, 04/01/2056
6.75%, 11/01/2025
Turkey Government International Bond
3.25%, 03/23/2023
4.88%, 04/16/2043
5.75%, 03/22/2024
6.63%, 02/17/2045
6.75%, 04/03/2018
7.00%, 06/05/2020
7.38%, 02/05/2025
7.50%, 11/07/2019
8.00%, 02/14/2034
Uruguay Government International Bond
4.13%, 11/20/2045
4.38%, 10/27/2027
8.00%, 11/18/2022
263
192
541
100
1,000
200
201
180
100
107
1,107
231
259
237
150
400
410
300
500
500
200
305
535
537
231
900
1,085
25
125
12
32
158
17
500
147
555
162
64
212
76
266
100
650
300
1,000
100
657
313
1,086
250
286
500
210
300
520
506
300
778
464
738
528
219
316
549
545
359
869
583
1,190
1,154
224
77
1,278
297
113
528
126
30
180
192
655
170
35
245
301
300
300
210
200
500
400
400
346
387
305
233
597
684
658
1,000
528
51
1,080
594
57
Principal
Amount (000's) Value (000's)
200 $
750
250
500
207
778
289
557
500
512
400
500
200
51
251
154
102
432
561
235
54
344
214
141
700
900
250
200
500
500
750
300
400
678
879
279
243
538
567
925
343
539
100
940
1,015
90
992
1,284
34,772
$
Supranational Bank - 1.64%
African Development Bank
0.88%, 03/15/2018
1.00%, 05/15/2019
Asian Development Bank
1.13%, 06/05/2018
1.50%, 01/22/2020
1.75%, 09/11/2018
1.88%, 02/18/2022
2.13%, 11/24/2021
2.13%, 03/19/2025
5.82%, 06/16/2028
6.38%, 10/01/2028
Corp Andina de Fomento
4.38%, 06/15/2022
Council Of Europe Development Bank
1.13%, 05/31/2018
1.63%, 03/10/2020
European Bank for Reconstruction &
Development
1.63%, 04/10/2018
1.63%, 11/15/2018
1.75%, 06/14/2019
1.88%, 02/23/2022
European Investment Bank
1.00%, 08/17/2017
1.00%, 03/15/2018
1.13%, 09/15/2017
1.25%, 05/15/2018
1.25%, 05/15/2019
1.63%, 03/16/2020
1.88%, 03/15/2019
2.00%, 03/15/2021
2.50%, 04/15/2021
3.25%, 01/29/2024
4.88%, 02/15/2036
FMS Wertmanagement AoeR
1.75%, 03/17/2020
Inter-American Development Bank
1.00%, 07/14/2017
1.00%, 05/13/2019
103
800
1,000
801
1,004
530
300
1,500
250
750
300
15
51
533
305
1,531
257
782
310
20
73
22
25
1,000
300
1,005
305
250
300
500
250
253
305
511
257
1,000
750
1,400
500
1,400
300
500
775
1,500
1,000
25
1,003
752
1,406
504
1,409
305
512
801
1,582
1,119
34
300
306
1,000
1,000
1,003
1,003
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Supranational Bank (continued)
Inter-American Development
Bank (continued)
1.75%, 08/24/2018
1.75%, 10/15/2019
1.88%, 03/15/2021
2.13%, 11/09/2020
3.00%, 02/21/2024
3.88%, 09/17/2019
3.88%, 02/14/2020
International Bank for Reconstruction &
Development
0.88%, 07/19/2018
1.00%, 10/05/2018
1.13%, 07/18/2017
1.25%, 07/26/2019
1.38%, 04/10/2018
1.38%, 05/24/2021
1.63%, 02/10/2022
1.88%, 03/15/2019
1.88%, 10/07/2022
2.13%, 11/01/2020
2.25%, 06/24/2021
2.50%, 07/29/2025
7.63%, 01/19/2023
International Finance Corp
0.88%, 06/15/2018
1.25%, 07/16/2018
1.25%, 11/27/2018
1.75%, 09/04/2018
Principal
Amount (000's) Value (000's)
$
1,000 $
500
500
250
250
577
77
See accompanying notes.
Telecommunications (continued)
Juniper Networks Inc
4.60%, 03/15/2021
Motorola Solutions Inc
4.00%, 09/01/2024
Orange SA
4.13%, 09/14/2021
5.38%, 01/13/2042
9.00%, 03/01/2031(a)
Pacific Bell Telephone Co
7.13%, 03/15/2026
Qwest Corp
6.75%, 12/01/2021
7.25%, 10/15/2035
Rogers Communications Inc
3.00%, 03/15/2023
5.00%, 03/15/2044
6.80%, 08/15/2018
Telefonica Emisiones SAU
5.13%, 04/27/2020
7.05%, 06/20/2036
Verizon Communications Inc
1.10%, 11/01/2017
2.45%, 11/01/2022
2.63%, 02/21/2020
4.40%, 11/01/2034
4.50%, 09/15/2020
4.60%, 04/01/2021
4.67%, 03/15/2055
4.86%, 08/21/2046
5.01%, 08/21/2054
5.15%, 09/15/2023
Vodafone Group PLC
2.95%, 02/19/2023
5.45%, 06/10/2019
6.15%, 02/27/2037
6.25%, 11/30/2032
1,022
511
514
260
276
629
85
2,025
540
500
750
500
345
1,000
500
260
750
500
700
12
2,030
542
502
759
505
347
1,015
514
266
781
523
749
17
300
500
500
1,000
300
504
505
1,020
34,192
$
Telecommunications - 1.50%
America Movil SAB de CV
3.13%, 07/16/2022
5.63%, 11/15/2017
6.13%, 03/30/2040
6.38%, 03/01/2035
AT&T Inc
1.75%, 01/15/2018
2.40%, 03/15/2017
2.45%, 06/30/2020
2.63%, 12/01/2022
3.00%, 02/15/2022
3.00%, 06/30/2022
3.40%, 05/15/2025
3.80%, 03/15/2022
3.88%, 08/15/2021
4.30%, 12/15/2042
4.35%, 06/15/2045
4.50%, 05/15/2035
4.60%, 02/15/2021
4.75%, 05/15/2046
5.50%, 02/01/2018
5.65%, 02/15/2047
5.88%, 10/01/2019
6.00%, 08/15/2040
6.30%, 01/15/2038
6.50%, 09/01/2037
BellSouth LLC
6.00%, 11/15/2034
British Telecommunications PLC
2.35%, 02/14/2019
9.38%, 12/15/2030(a)
Cisco Systems Inc
2.20%, 02/28/2021
2.95%, 02/28/2026
4.45%, 01/15/2020
4.95%, 02/15/2019
5.90%, 02/15/2039
Deutsche Telekom International Finance BV
6.00%, 07/08/2019
8.75%, 06/15/2030(a)
BONDS (continued)
100
1,015
102
200
103
1,071
125
245
600
200
200
600
940
200
200
102
77
201
950
200
171
200
702
350
56
663
500
521
603
202
204
601
959
205
205
108
83
195
921
205
187
205
747
401
63
774
601
644
200
225
1,250
77
1,277
119
535
500
102
855
680
551
532
113
939
923
300
641
337
965
Principal
Amount (000's) Value (000's)
$
500 $
537
500
489
128
102
815
141
127
1,262
377
486
200
200
216
202
400
500
108
417
568
120
918
295
1,013
377
100
100
1,189
750
400
77
950
2,600
700
1,100
100
101
1,230
773
444
86
961
2,842
740
1,281
200
180
201
500
201
199
233
575
31,359
$
Toys, Games & Hobbies - 0.03%
Hasbro Inc
3.15%, 05/15/2021
6.35%, 03/15/2040
Mattel Inc
2.35%, 05/06/2019
250
25
257
31
250
$
Transportation - 0.56%
Burlington Northern Santa Fe LLC
3.00%, 04/01/2025
4.70%, 10/01/2019
5.15%, 09/01/2043
6.20%, 08/15/2036
7.95%, 08/15/2030
Canadian National Railway Co
2.25%, 11/15/2022
3.50%, 11/15/2042
5.55%, 03/01/2019
Canadian Pacific Railway Co
3.70%, 02/01/2026
4.45%, 03/15/2023
4.80%, 09/15/2035
CSX Corp
3.35%, 11/01/2025
3.70%, 11/01/2023
4.75%, 05/30/2042
6.25%, 03/15/2018
FedEx Corp
2.63%, 08/01/2022
3.25%, 04/01/2026
3.88%, 08/01/2042
4.50%, 02/01/2065
4.55%, 04/01/2046
104
254
542
500
783
350
500
77
529
866
427
663
115
200
200
15
203
198
17
130
128
500
139
141
571
500
500
277
82
531
541
321
89
100
400
100
500
400
103
418
98
521
434
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
BONDS (continued)
Transportation (continued)
FedEx Corp (continued)
4.75%, 11/15/2045
Norfolk Southern Corp
3.25%, 12/01/2021
3.85%, 01/15/2024
4.80%, 08/15/2043
4.84%, 10/01/2041
7.25%, 02/15/2031
Ryder System Inc
2.35%, 02/26/2019
2.45%, 09/03/2019
Union Pacific Corp
4.15%, 01/15/2045
4.16%, 07/15/2022
4.75%, 09/15/2041
United Parcel Service Inc
1.13%, 10/01/2017
3.13%, 01/15/2021
4.88%, 11/15/2040
6.20%, 01/15/2038
Principal
Amount (000's) Value (000's)
$
500 $
557
251
200
350
100
130
265
219
408
114
187
200
350
202
356
350
241
77
384
271
91
400
1,128
25
23
402
1,209
32
33
11,655
$
Trucking & Leasing - 0.01%
GATX Corp
4.75%, 06/15/2022
200
215
Water - 0.00%
American Water Capital Corp
6.59%, 10/15/2037
5
7
TOTAL BONDS
MUNICIPAL BONDS - 0.96%
$
California (continued)
State of California (continued)
7.95%, 03/01/2036
University of California
1.80%, 07/01/2019
3.93%, 05/15/2045
5.77%, 05/15/2043
458
176
100
139
200
265
60
83
500
764
55
74
150
226
80
50
130
106
65
187
$
500 $
300
200
200
361
120
158
460
664
25
32
1,275
375
180
280
1,575
567
291
442
683
District of Columbia - 0.03%
District of Columbia Water & Sewer
Authority
4.81%, 10/01/2114
450
525
Florida - 0.01%
State Board of Administration Finance Corp
2.11%, 07/01/2018
200
203
151
200
199
241
175
$
Illinois - 0.09%
Chicago Transit Authority
6.20%, 12/01/2040
6.90%, 12/01/2040
City of Chicago IL
6.31%, 01/01/2044
City of Chicago IL Waterworks Revenue
6.74%, 11/01/2040
County of Cook IL
6.23%, 11/15/2034
State of Illinois
4.95%, 06/01/2023
5.10%, 06/01/2033
5.88%, 03/01/2019
7.35%, 07/01/2035
Nevada - 0.00%
County of Clark Department of Aviation
6.82%, 07/01/2045
6.88%, 07/01/2042
New Jersey - 0.10%
New Jersey Economic Development
Authority (credit support from AGM)
0.00%, 02/15/2023(b),(d)
New Jersey Economic Development
Authority (credit support from NATL)
7.43%, 02/15/2029(d)
New Jersey Transportation Trust Fund
Authority
5.75%, 12/15/2028
6.56%, 12/15/2040
New Jersey Turnpike Authority
7.10%, 01/01/2041
201
641
70
200
86
261
250
233
145
188
102
125
30
735
345
70
32
706
373
78
2,082
$
Kansas - 0.01%
State of Kansas Department of
Transportation
4.60%, 09/01/2035
105
307
214
270
8,032
525
115
139
25
70
39
80
119
$
250
608
Connecticut - 0.03%
State of Connecticut
5.85%, 03/15/2032
Georgia - 0.03%
Municipal Electric Authority of Georgia
6.64%, 04/01/2057
7.06%, 04/01/2057
State of Georgia
4.50%, 11/01/2025
710,104
300 $
120
Principal
Amount (000's) Value (000's)
$
Principal
Amount (000's) Value (000's)
California - 0.37%
Bay Area Toll Authority
6.26%, 04/01/2049
$
6.92%, 04/01/2040
City of Los Angeles Department of Airports
6.58%, 05/15/2039
City of San Francisco CA Public Utilities
Commission Water Revenue
6.00%, 11/01/2040
East Bay Municipal Utility District Water
System Revenue
5.87%, 06/01/2040
Los Angeles Community College District/CA
6.60%, 08/01/2042
Los Angeles Department of Water
6.01%, 07/01/2039
Los Angeles Department of Water & Power
6.57%, 07/01/2045
Los Angeles Unified School District/CA
5.75%, 07/01/2034
5.76%, 07/01/2029
6.76%, 07/01/2034
Regents of the University of California
Medical Center Pooled Revenue
6.55%, 05/15/2048
Sacramento Municipal Utility District
6.16%, 05/15/2036
San Diego County Water Authority Financing
Corp
6.14%, 05/01/2049
Santa Clara Valley Transportation Authority
5.88%, 04/01/2032
State of California
6.65%, 03/01/2022
7.30%, 10/01/2039
7.60%, 11/01/2040
7.63%, 03/01/2040
See accompanying notes.
MUNICIPAL BONDS (continued)
51
40
1,000
1,237
190
210
205
249
147
224
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
MUNICIPAL BONDS (continued)
New Jersey (continued)
Rutgers The State University of New
Jersey (credit support from GO OF UNIV)
5.67%, 05/01/2040(d)
New York - 0.14%
City of New York NY
5.52%, 10/01/2037
5.85%, 06/01/2040
Metropolitan Transportation Authority
6.55%, 11/15/2031
6.65%, 11/15/2039
6.81%, 11/15/2040
New York City Transitional Finance Authority
Future Tax Secured Revenue
5.51%, 08/01/2037
New York City Water & Sewer System
5.72%, 06/15/2042
5.95%, 06/15/2042
New York State Dormitory Authority
5.60%, 03/15/2040
Port Authority of New York & New Jersey
4.46%, 10/01/2062
4.96%, 08/01/2046
Port Authority of New York & New
Jersey (credit support from GO OF AUTH)
6.04%, 12/01/2029(d)
Principal
Amount (000's) Value (000's)
Washington - 0.00%
State of Washington
5.09%, 08/01/2033
$
130 $
$
33
415
180
100
135
244
142
197
250
327
270
125
376
179
100
135
100
300
114
373
50
69
75
125
See accompanying notes.
158
359
282
125
135
173
188
50
66
70
99
83
112
50
60
300
391
100
405
126
564
125
300
Principal
Amount (000's) Value (000's)
$
20 $
25
50
61
TOTAL MUNICIPAL BONDS
$
20,146
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 64.73%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 7.59%
2.00%, 09/01/2028
$
210 $
215
2.00%, 08/01/2029
912
933
2.23%, 07/01/2043(a)
192
198
2.40%, 10/01/2043(a)
515
531
2.50%, 08/01/2027
166
172
2.50%, 08/01/2027
159
165
2.50%, 10/01/2027
288
298
2.50%, 03/01/2028
664
688
2.50%, 04/01/2028
137
142
2.50%, 04/01/2028
48
50
2.50%, 06/01/2028
347
360
2.50%, 06/01/2028
849
880
2.50%, 06/01/2028
153
159
2.50%, 06/01/2028
168
174
2.50%, 07/01/2028
570
591
2.50%, 10/01/2028
288
299
2.50%, 10/01/2028
328
340
2.50%, 10/01/2029
779
806
2.50%, 12/01/2029
957
991
2.50%, 09/01/2030
1,472
1,524
2.50%, 01/01/2031
1,057
1,094
2.50%, 01/01/2031
194
201
2.50%, 01/01/2031
122
126
2.50%, 02/01/2031
169
175
2.50%, 03/01/2031
489
506
2.50%, 04/01/2031
1,258
1,302
2.50%, 07/01/2031(e)
875
905
2.50%, 06/01/2038(a)
4
4
2.50%, 02/01/2043
248
250
2.50%, 03/01/2043
193
195
2.50%, 07/01/2045
199
201
2.67%, 01/01/2042(a)
38
41
3.00%, 04/01/2021
270
283
3.00%, 01/01/2027
324
341
3.00%, 02/01/2027
283
298
3.00%, 02/01/2027
120
126
3.00%, 03/01/2027
248
260
3.00%, 06/01/2027
194
204
3.00%, 09/01/2028
100
105
3.00%, 10/01/2028
714
750
3.00%, 07/01/2029
862
905
3.00%, 07/01/2029
501
526
3.00%, 07/01/2029
768
806
3.00%, 08/01/2029
377
396
3.00%, 09/01/2029
161
169
3.00%, 10/01/2029
226
237
3.00%, 11/01/2029
390
410
3.00%, 11/01/2029
229
241
3.00%, 12/01/2029
79
82
3.00%, 07/01/2030
805
845
3.00%, 09/01/2030
1,088
1,142
3.00%, 11/01/2030
166
175
3.00%, 11/01/2030
70
73
3.00%, 11/01/2030
270
283
3.00%, 01/01/2031
382
401
3.00%, 04/01/2031
495
520
3.00%, 07/01/2031(e)
525
551
65
2,600
250
$
Utah - 0.02%
State of Utah
3.54%, 07/01/2025
Wisconsin - 0.00%
State of Wisconsin (credit support from
AGM)
5.70%, 05/01/2026(d)
90
111
$
Texas - 0.11%
City of Houston TX Combined Utility System
Revenue
3.83%, 05/15/2028
City Public Service Board of San Antonio
TX
5.72%, 02/01/2041
5.81%, 02/01/2041
Dallas Area Rapid Transit
5.02%, 12/01/2048
Dallas Convention Center Hotel Development
Corp
7.09%, 01/01/2042
Dallas County Hospital District
5.62%, 08/15/2044
Dallas Independent School District (credit
support from PSF-GTD)
6.45%, 02/15/2035(d)
Grand Parkway Transportation Corp
5.18%, 10/01/2042
State of Texas
4.68%, 04/01/2040
5.52%, 04/01/2039
Texas Transportation Commission State
Highway Fund
5.18%, 04/01/2030
166
2,121
25
300
$
Ohio - 0.02%
American Municipal Power Inc
6.27%, 02/15/2050
7.50%, 02/15/2050
Ohio State University/The
4.91%, 06/01/2040
MUNICIPAL BONDS (continued)
161
2,222
334
106
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
3.50%, 01/01/2029
$
371 $
393
3.50%, 06/01/2029
399
423
3.50%, 07/01/2029
145
154
3.50%, 08/01/2029
94
100
3.50%, 09/01/2029
86
91
3.50%, 01/01/2030
47
50
3.50%, 01/01/2032
203
217
3.50%, 02/01/2032
127
136
3.50%, 03/01/2032
155
166
3.50%, 04/01/2032
146
156
3.50%, 08/01/2032
120
128
3.50%, 01/01/2034
139
148
3.50%, 01/01/2035
288
306
3.50%, 02/01/2035
255
271
3.50%, 07/01/2035
269
286
3.50%, 09/01/2035
642
684
3.50%, 02/01/2041
59
62
3.50%, 10/01/2041
55
58
3.50%, 11/01/2041
54
57
3.50%, 01/01/2042
123
130
3.50%, 02/01/2042
716
757
3.50%, 02/01/2042
58
62
3.50%, 03/01/2042
16
17
3.50%, 03/01/2042
65
68
3.50%, 04/01/2042
155
164
3.50%, 04/01/2042
41
43
3.50%, 04/01/2042
141
149
3.50%, 04/01/2042
172
182
3.50%, 04/01/2042
176
188
3.50%, 06/01/2042
118
125
3.50%, 06/01/2042
434
458
3.50%, 06/01/2042
121
128
3.50%, 07/01/2042
619
655
3.50%, 07/01/2042
739
780
3.50%, 08/01/2042
310
327
3.50%, 08/01/2042
154
163
3.50%, 08/01/2042
750
792
3.50%, 02/01/2043
730
770
3.50%, 08/01/2043
63
67
3.50%, 02/01/2044
762
804
3.50%, 06/01/2044
1,403
1,479
3.50%, 08/01/2044
862
910
3.50%, 09/01/2044
746
787
3.50%, 03/01/2045
1,133
1,196
3.50%, 06/01/2045
1,188
1,254
3.50%, 07/01/2045
2,085
2,202
3.50%, 08/01/2045(e)
600
632
3.50%, 09/01/2045
1,189
1,255
3.50%, 09/01/2045
56
59
3.50%, 10/01/2045
1,312
1,386
3.50%, 11/01/2045
772
815
3.50%, 12/01/2045
200
211
3.50%, 12/01/2045
988
1,044
3.50%, 12/01/2045
1,650
1,743
3.50%, 01/01/2046
189
199
3.50%, 03/01/2046
2,196
2,320
3.50%, 04/01/2046
397
420
3.50%, 07/01/2046(e)
15,875
16,736
4.00%, 05/01/2018
54
56
4.00%, 05/01/2018
5
6
4.00%, 10/01/2018
42
43
4.00%, 04/01/2019
11
11
4.00%, 10/01/2020
49
51
4.00%, 05/01/2024
95
100
4.00%, 05/01/2024
49
52
4.00%, 12/01/2024
12
13
4.00%, 01/01/2025
30
32
4.00%, 02/01/2025
19
19
4.00%, 03/01/2025
24
25
4.00%, 03/01/2025
14
14
4.00%, 04/01/2025
27
29
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
3.00%, 02/01/2032
$
145 $
153
3.00%, 04/01/2033
371
391
3.00%, 04/01/2033
373
393
3.00%, 06/01/2033
227
239
3.00%, 09/01/2033
312
329
3.00%, 09/01/2033
310
327
3.00%, 01/01/2035
83
87
3.00%, 05/01/2035
933
982
3.00%, 01/01/2043
702
730
3.00%, 01/01/2043
516
536
3.00%, 04/01/2043
454
472
3.00%, 05/01/2043
472
491
3.00%, 06/01/2043
874
908
3.00%, 06/01/2043
269
279
3.00%, 07/01/2043
770
800
3.00%, 07/01/2043
82
86
3.00%, 07/01/2043
1,430
1,485
3.00%, 07/01/2043
758
787
3.00%, 08/01/2043
309
321
3.00%, 08/01/2043
350
363
3.00%, 08/01/2043
2,385
2,477
3.00%, 08/01/2043
445
462
3.00%, 08/01/2043
164
170
3.00%, 08/01/2043
318
330
3.00%, 08/01/2043
42
43
3.00%, 09/01/2043
96
100
3.00%, 09/01/2043
851
884
3.00%, 09/01/2043
534
554
3.00%, 09/01/2043
414
430
3.00%, 10/01/2043
208
216
3.00%, 10/01/2043
707
735
3.00%, 03/01/2045
1,172
1,217
3.00%, 04/01/2045
372
386
3.00%, 06/01/2045
1,275
1,324
3.00%, 07/01/2045
949
985
3.00%, 08/01/2045(e)
725
750
3.00%, 08/01/2045
1,270
1,317
3.00%, 08/01/2045
420
435
3.00%, 08/01/2045
344
357
3.00%, 12/01/2045
2,113
2,193
3.00%, 03/01/2046
991
1,028
3.00%, 03/01/2046
399
414
3.00%, 07/01/2046(e)
2,250
2,332
3.50%, 01/01/2019
39
41
3.50%, 04/01/2021
273
289
3.50%, 10/01/2023
134
142
3.50%, 10/01/2025
19
20
3.50%, 10/01/2025
14
15
3.50%, 11/01/2025
45
47
3.50%, 11/01/2025
34
36
3.50%, 11/01/2025
9
10
3.50%, 11/01/2025
15
16
3.50%, 11/01/2025
6
6
3.50%, 12/01/2025
39
41
3.50%, 12/01/2025
12
13
3.50%, 01/01/2026
619
657
3.50%, 01/01/2026
25
27
3.50%, 02/01/2026
21
22
3.50%, 04/01/2026
58
62
3.50%, 05/01/2026
68
72
3.50%, 06/01/2026
14
15
3.50%, 06/01/2026
9
9
3.50%, 07/01/2026
55
58
3.50%, 07/01/2026
40
42
3.50%, 07/01/2026
9
9
3.50%, 08/01/2026
33
35
3.50%, 08/01/2026
116
123
3.50%, 09/01/2026
45
48
3.50%, 10/01/2026
25
26
3.50%, 01/01/2027
56
59
3.50%, 12/01/2028
100
106
See accompanying notes.
107
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
4.00%, 12/01/2044
$
1,599 $
1,712
4.00%, 01/01/2045
324
347
4.00%, 02/01/2045
731
782
4.00%, 02/01/2045
32
34
4.00%, 04/01/2045
29
31
4.00%, 05/01/2045
281
302
4.00%, 07/01/2045
719
770
4.00%, 08/01/2045
99
107
4.00%, 08/01/2045
2,163
2,316
4.00%, 09/01/2045
2,474
2,648
4.00%, 09/01/2045
34
37
4.00%, 10/01/2045
981
1,050
4.00%, 01/01/2046
193
207
4.00%, 07/01/2046(e)
4,300
4,602
4.50%, 05/01/2018
21
22
4.50%, 08/01/2018
47
48
4.50%, 11/01/2018
11
12
4.50%, 04/01/2019
11
11
4.50%, 04/01/2023
11
12
4.50%, 01/01/2024
7
7
4.50%, 01/01/2024
13
14
4.50%, 04/01/2024
97
104
4.50%, 05/01/2024
178
194
4.50%, 07/01/2024
15
16
4.50%, 09/01/2024
25
27
4.50%, 09/01/2024
21
23
4.50%, 11/01/2024
155
167
4.50%, 04/01/2025
22
23
4.50%, 05/01/2025
23
24
4.50%, 07/01/2025
27
29
4.50%, 09/01/2026
204
215
4.50%, 02/01/2030
24
27
4.50%, 08/01/2030
19
21
4.50%, 05/01/2031
24
26
4.50%, 06/01/2031
157
172
4.50%, 05/01/2034
1
1
4.50%, 08/01/2035
135
148
4.50%, 08/01/2035
71
78
4.50%, 08/01/2036
24
26
4.50%, 02/01/2039
58
64
4.50%, 02/01/2039
2
2
4.50%, 03/01/2039
36
39
4.50%, 04/01/2039
83
91
4.50%, 05/01/2039
229
250
4.50%, 06/01/2039
49
54
4.50%, 06/01/2039
251
275
4.50%, 09/01/2039
413
453
4.50%, 10/01/2039
184
202
4.50%, 10/01/2039
97
109
4.50%, 11/01/2039
24
26
4.50%, 11/01/2039
50
54
4.50%, 11/01/2039
68
75
4.50%, 11/01/2039
75
82
4.50%, 12/01/2039
37
40
4.50%, 12/01/2039
116
130
4.50%, 02/01/2040
98
110
4.50%, 02/01/2040
15
17
4.50%, 02/01/2040
65
71
4.50%, 02/01/2040
92
102
4.50%, 04/01/2040
73
80
4.50%, 05/01/2040
21
23
4.50%, 05/01/2040
84
93
4.50%, 07/01/2040
70
78
4.50%, 07/01/2040
62
69
4.50%, 08/01/2040
57
63
4.50%, 08/01/2040
29
32
4.50%, 08/01/2040
109
120
4.50%, 08/01/2040
29
32
4.50%, 08/01/2040
40
44
4.50%, 09/01/2040
25
28
4.50%, 09/01/2040
17
18
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
4.00%, 06/01/2025
$
23 $
24
4.00%, 06/01/2025
21
22
4.00%, 06/01/2025
266
282
4.00%, 06/01/2025
37
38
4.00%, 07/01/2025
390
415
4.00%, 07/01/2025
8
9
4.00%, 08/01/2025
19
20
4.00%, 08/01/2025
26
28
4.00%, 09/01/2025
5
5
4.00%, 10/01/2025
58
62
4.00%, 02/01/2026
27
29
4.00%, 05/01/2026
73
78
4.00%, 07/01/2026
47
50
4.00%, 12/01/2030
70
75
4.00%, 08/01/2031
79
85
4.00%, 10/01/2031
102
111
4.00%, 11/01/2031
32
35
4.00%, 12/01/2031
52
56
4.00%, 11/01/2033
136
147
4.00%, 01/01/2034
218
235
4.00%, 07/01/2035
90
98
4.00%, 06/01/2039
5
5
4.00%, 07/01/2039
49
53
4.00%, 09/01/2039
26
29
4.00%, 12/01/2039
35
37
4.00%, 12/01/2039
24
26
4.00%, 01/01/2040
30
32
4.00%, 03/01/2040
17
19
4.00%, 09/01/2040
8
9
4.00%, 09/01/2040
51
55
4.00%, 10/01/2040
91
97
4.00%, 10/01/2040
41
44
4.00%, 12/01/2040
67
73
4.00%, 12/01/2040
56
60
4.00%, 12/01/2040
44
48
4.00%, 12/01/2040
115
124
4.00%, 12/01/2040
66
71
4.00%, 02/01/2041
132
142
4.00%, 02/01/2041
429
461
4.00%, 02/01/2041
101
108
4.00%, 04/01/2041
51
55
4.00%, 07/01/2041
40
43
4.00%, 08/01/2041
38
40
4.00%, 08/01/2041
92
99
4.00%, 10/01/2041
15
16
4.00%, 10/01/2041
121
131
4.00%, 10/01/2041
57
61
4.00%, 10/01/2041
128
138
4.00%, 10/01/2041
49
52
4.00%, 11/01/2041
134
144
4.00%, 11/01/2041
238
256
4.00%, 11/01/2041
84
91
4.00%, 03/01/2042
139
149
4.00%, 06/01/2042
268
288
4.00%, 06/01/2042
229
246
4.00%, 08/01/2043
974
1,048
4.00%, 11/01/2043
26
28
4.00%, 01/01/2044
312
334
4.00%, 02/01/2044
195
209
4.00%, 02/01/2044
682
738
4.00%, 02/01/2044
365
391
4.00%, 03/01/2044
192
207
4.00%, 04/01/2044
1,023
1,095
4.00%, 05/01/2044
132
141
4.00%, 05/01/2044
269
288
4.00%, 07/01/2044
627
671
4.00%, 07/01/2044
155
166
4.00%, 07/01/2044
871
932
4.00%, 10/01/2044
722
773
4.00%, 11/01/2044
1,106
1,186
4.00%, 12/01/2044
27
29
See accompanying notes.
108
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
5.00%, 05/01/2034
$
44 $
49
5.00%, 05/01/2035
47
52
5.00%, 06/01/2035
246
274
5.00%, 08/01/2035
15
17
5.00%, 08/01/2035
7
7
5.00%, 09/01/2035
16
18
5.00%, 09/01/2035
43
47
5.00%, 10/01/2035
19
21
5.00%, 11/01/2035
75
83
5.00%, 12/01/2035
43
48
5.00%, 12/01/2035
68
75
5.00%, 04/01/2036
2
3
5.00%, 06/01/2036
8
9
5.00%, 08/01/2036
35
39
5.00%, 01/01/2037
79
87
5.00%, 01/01/2038
352
388
5.00%, 02/01/2038
195
215
5.00%, 02/01/2038
20
22
5.00%, 03/01/2038
3
3
5.00%, 06/01/2038
8
8
5.00%, 09/01/2038
14
16
5.00%, 09/01/2038
2
3
5.00%, 11/01/2038
25
28
5.00%, 11/01/2038
436
481
5.00%, 12/01/2038
398
439
5.00%, 01/01/2039
423
467
5.00%, 01/01/2039
39
43
5.00%, 02/01/2039
23
25
5.00%, 03/01/2039
35
39
5.00%, 06/01/2039
10
11
5.00%, 07/01/2039
33
37
5.00%, 09/01/2039
81
91
5.00%, 09/01/2039
620
684
5.00%, 10/01/2039
58
65
5.00%, 01/01/2040
103
116
5.00%, 01/01/2040
427
471
5.00%, 03/01/2040
16
18
5.00%, 07/01/2040
60
67
5.00%, 07/01/2040
62
69
5.00%, 08/01/2040
48
53
5.00%, 08/01/2040
172
190
5.00%, 09/01/2040
156
173
5.00%, 02/01/2041
800
886
5.00%, 04/01/2041
46
51
5.00%, 04/01/2041
249
276
5.00%, 05/01/2041
10
11
5.00%, 06/01/2041
198
220
5.00%, 07/01/2041
58
64
5.00%, 09/01/2041
76
84
5.00%, 10/01/2041
164
181
5.00%, 10/01/2041
88
97
5.00%, 11/01/2041
239
264
5.50%, 02/01/2017
1
1
5.50%, 01/01/2018
2
2
5.50%, 01/01/2018
4
4
5.50%, 01/01/2022
7
8
5.50%, 04/01/2023
27
29
5.50%, 01/01/2028
137
153
5.50%, 12/01/2032
51
57
5.50%, 03/01/2033
4
5
5.50%, 12/01/2033
2
3
5.50%, 01/01/2034
16
18
5.50%, 01/01/2034
88
100
5.50%, 02/01/2034
173
193
5.50%, 03/01/2034
34
39
5.50%, 10/01/2034
13
14
5.50%, 10/01/2034
2
2
5.50%, 02/01/2035
29
33
5.50%, 03/01/2035
21
23
5.50%, 05/01/2035
25
28
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
4.50%, 09/01/2040
$
25 $
27
4.50%, 10/01/2040
282
309
4.50%, 02/01/2041
55
60
4.50%, 03/01/2041
80
88
4.50%, 03/01/2041
493
540
4.50%, 03/01/2041
529
581
4.50%, 03/01/2041
728
797
4.50%, 04/01/2041
104
114
4.50%, 04/01/2041
66
73
4.50%, 05/01/2041
106
115
4.50%, 05/01/2041
38
41
4.50%, 05/01/2041
115
127
4.50%, 06/01/2041
61
67
4.50%, 06/01/2041
44
49
4.50%, 06/01/2041
32
34
4.50%, 06/01/2041
57
63
4.50%, 07/01/2041(e)
300
327
4.50%, 07/01/2041
70
77
4.50%, 07/01/2041
70
77
4.50%, 08/01/2041
49
53
4.50%, 08/01/2041(e)
200
218
4.50%, 09/01/2041
584
641
4.50%, 10/01/2041
97
106
4.50%, 11/01/2041
539
591
4.50%, 03/01/2042
98
107
4.50%, 09/01/2043
66
71
4.50%, 09/01/2043
383
418
4.50%, 10/01/2043
24
26
4.50%, 11/01/2043
71
77
4.50%, 11/01/2043
260
284
4.50%, 11/01/2043
142
155
4.50%, 11/01/2043
184
202
4.50%, 11/01/2043
28
31
4.50%, 01/01/2044
381
417
4.50%, 01/01/2044
306
334
4.50%, 03/01/2044
139
151
4.50%, 03/01/2044
389
424
4.50%, 05/01/2044
575
627
4.50%, 07/01/2044
145
158
4.50%, 07/01/2044
231
252
4.50%, 09/01/2044
218
237
4.50%, 07/01/2045
75
82
4.50%, 09/01/2045
191
208
5.00%, 05/01/2018
3
3
5.00%, 08/01/2018
7
7
5.00%, 10/01/2018
15
15
5.00%, 04/01/2019
6
6
5.00%, 12/01/2019
16
17
5.00%, 12/01/2021
33
34
5.00%, 02/01/2022
8
8
5.00%, 09/01/2022
9
10
5.00%, 06/01/2023
171
184
5.00%, 06/01/2023
6
7
5.00%, 09/01/2023
148
163
5.00%, 12/01/2023
78
84
5.00%, 04/01/2024
60
66
5.00%, 07/01/2024
9
10
5.00%, 06/01/2025
10
11
5.00%, 06/01/2026
64
68
5.00%, 08/01/2026
106
117
5.00%, 12/01/2027
55
60
5.00%, 02/01/2030
11
12
5.00%, 03/01/2030
8
9
5.00%, 07/01/2031
195
215
5.00%, 08/01/2033
7
8
5.00%, 08/01/2033
59
66
5.00%, 09/01/2033
10
11
5.00%, 09/01/2033
19
22
5.00%, 03/01/2034
14
15
5.00%, 04/01/2034
147
163
5.00%, 04/01/2034
25
28
See accompanying notes.
109
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
6.00%, 12/01/2037
$
4$
5
6.00%, 01/01/2038
6
6
6.00%, 01/01/2038
20
23
6.00%, 01/01/2038
22
25
6.00%, 01/01/2038
69
79
(a)
6.00%, 01/01/2038
7
8
6.00%, 01/01/2038
17
20
6.00%, 04/01/2038
145
166
6.00%, 05/01/2038
27
32
6.00%, 07/01/2038
9
10
6.00%, 07/01/2038
17
19
6.00%, 08/01/2038
8
10
6.00%, 09/01/2038
13
16
6.00%, 09/01/2038
8
9
6.00%, 12/01/2039
4
4
6.50%, 06/01/2017
1
1
6.50%, 04/01/2028
1
1
6.50%, 03/01/2029
1
2
6.50%, 05/01/2031
4
5
6.50%, 06/01/2031
1
1
6.50%, 10/01/2031
1
1
6.50%, 05/01/2032
1
1
6.50%, 04/01/2035
2
2
6.50%, 09/01/2036
9
11
6.50%, 10/01/2037
22
26
6.50%, 11/01/2037
12
14
6.50%, 12/01/2037
1
2
6.50%, 02/01/2038
3
4
6.50%, 09/01/2038
14
17
6.50%, 10/01/2038
4
5
6.50%, 01/01/2039
7
8
6.50%, 09/01/2039
20
23
7.00%, 10/01/2029
1
1
7.00%, 09/01/2031
5
6
7.00%, 09/01/2038
4
5
7.50%, 07/01/2029
21
26
7.50%, 10/01/2030
2
2
$
158,727
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
5.50%, 11/01/2035
$
32 $
36
5.50%, 04/01/2036
419
469
5.50%, 05/01/2036
37
41
5.50%, 05/01/2036
9
10
5.50%, 07/01/2036
31
35
5.50%, 07/01/2036
120
135
5.50%, 11/01/2036
15
16
5.50%, 12/01/2036
215
240
5.50%, 12/01/2036
5
6
5.50%, 12/01/2036
250
281
5.50%, 12/01/2036
1
1
5.50%, 01/01/2037
222
250
5.50%, 02/01/2037
96
107
5.50%, 02/01/2037
1
1
5.50%, 07/01/2037
3
3
5.50%, 07/01/2037
15
17
5.50%, 09/01/2037
9
10
5.50%, 11/01/2037
11
12
5.50%, 01/01/2038
8
9
5.50%, 01/01/2038
50
56
5.50%, 04/01/2038
2
2
5.50%, 04/01/2038
5
6
5.50%, 04/01/2038
32
36
5.50%, 05/01/2038
10
11
5.50%, 05/01/2038
6
6
5.50%, 06/01/2038
2
2
5.50%, 06/01/2038
12
14
5.50%, 06/01/2038
121
136
5.50%, 07/01/2038
4
5
5.50%, 07/01/2038
5
6
5.50%, 07/01/2038
26
30
5.50%, 08/01/2038
37
41
5.50%, 09/01/2038
172
194
5.50%, 09/01/2038
10
11
5.50%, 10/01/2038
139
155
5.50%, 10/01/2038
6
6
5.50%, 11/01/2038
6
7
5.50%, 11/01/2038
1
1
5.50%, 12/01/2038
131
148
5.50%, 01/01/2039
20
22
5.50%, 02/01/2039
218
242
5.50%, 03/01/2039
380
427
5.50%, 04/01/2039
26
29
5.50%, 09/01/2039
52
58
5.50%, 12/01/2039
40
45
5.50%, 01/01/2040
39
44
5.50%, 03/01/2040
6
6
5.50%, 06/01/2040
50
56
5.50%, 06/01/2041
50
56
5.50%, 06/01/2041
506
568
6.00%, 05/01/2021
1
1
6.00%, 11/01/2022
6
7
6.00%, 02/01/2027
19
22
6.00%, 07/01/2029
1
1
6.00%, 07/01/2029
4
5
6.00%, 02/01/2031
4
4
6.00%, 12/01/2031
3
4
6.00%, 01/01/2032
28
32
6.00%, 11/01/2033
48
56
6.00%, 06/01/2034
39
45
6.00%, 08/01/2034
5
6
6.00%, 05/01/2036
21
24
6.00%, 06/01/2036
45
52
6.00%, 11/01/2036
39
44
6.00%, 12/01/2036
216
249
6.00%, 02/01/2037
3
4
6.00%, 03/01/2037
2
2
6.00%, 05/01/2037
2
3
6.00%, 10/01/2037
18
21
6.00%, 11/01/2037
22
25
6.00%, 12/01/2037
91
104
See accompanying notes.
Federal National Mortgage Association (FNMA) - 12.33%
2.00%, 08/01/2028
194
2.00%, 09/01/2028
280
2.00%, 11/01/2028
55
2.00%, 01/01/2029
22
2.00%, 05/01/2029
817
2.00%, 05/01/2030
556
2.17%, 05/01/2043(a)
357
(a)
2.38%, 01/01/2036
4
2.50%, 12/01/2027
18
2.50%, 01/01/2028
302
2.50%, 02/01/2028
75
2.50%, 06/01/2028
485
2.50%, 06/01/2028
19
2.50%, 07/01/2028
354
2.50%, 08/01/2028
322
2.50%, 08/01/2028
168
2.50%, 08/01/2028
357
2.50%, 08/01/2028
20
2.50%, 09/01/2028
411
2.50%, 09/01/2028
147
2.50%, 10/01/2028
449
2.50%, 05/01/2029
75
2.50%, 06/01/2029
707
2.50%, 07/01/2029
227
2.50%, 07/01/2029
327
2.50%, 07/01/2029
492
2.50%, 09/01/2029
75
2.50%, 09/01/2029
481
2.50%, 12/01/2029
85
2.50%, 12/01/2029
126
110
198
286
57
22
835
564
368
4
19
314
78
504
20
367
334
175
371
21
427
153
466
78
734
235
339
510
78
499
88
131
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
2.50%, 12/01/2029
$
410 $
2.50%, 01/01/2030
370
2.50%, 02/01/2030
167
2.50%, 04/01/2030
489
2.50%, 04/01/2030
23
2.50%, 05/01/2030
1,121
2.50%, 06/01/2030
160
2.50%, 06/01/2030
120
2.50%, 06/01/2030
591
2.50%, 06/01/2030
109
2.50%, 08/01/2030
249
2.50%, 08/01/2030
1,098
2.50%, 12/01/2030
1,321
2.50%, 01/01/2031
294
2.50%, 01/01/2031
509
2.50%, 02/01/2031
471
2.50%, 02/01/2031
490
2.50%, 05/01/2031
296
2.50%, 06/01/2031
496
(e)
2.50%, 07/01/2031
925
2.50%, 11/01/2032
74
2.50%, 07/01/2033
154
2.50%, 01/01/2043
752
2.50%, 07/01/2043
68
2.50%, 08/01/2043
189
2.50%, 10/01/2043
444
2.50%, 05/01/2046
100
2.51%, 07/01/2041
33
2.56%, 02/01/2042(a)
71
2.68%, 12/01/2043(a)
88
2.70%, 11/01/2043(a)
218
(a)
2.81%, 01/01/2042
80
2.86%, 02/01/2042(a)
52
2.94%, 05/01/2042(a)
337
2.96%, 06/01/2040(a)
19
3.00%, 09/01/2026
79
3.00%, 11/01/2026
282
3.00%, 11/01/2026
99
3.00%, 01/01/2027
74
3.00%, 02/01/2027
66
3.00%, 04/01/2027
118
3.00%, 04/01/2027
110
3.00%, 07/01/2027
329
3.00%, 08/01/2027
358
3.00%, 10/01/2027
306
3.00%, 10/01/2028
612
3.00%, 11/01/2028
385
3.00%, 12/01/2028
42
3.00%, 12/01/2028
63
3.00%, 02/01/2029
303
3.00%, 03/01/2029
256
3.00%, 03/01/2029
509
3.00%, 04/01/2029
73
3.00%, 04/01/2029
365
3.00%, 05/01/2029
272
3.00%, 05/01/2029
136
3.00%, 05/01/2029
82
3.00%, 06/01/2029
181
3.00%, 07/01/2029
18
3.00%, 07/01/2029
179
3.00%, 08/01/2029
344
3.00%, 08/01/2029
326
3.00%, 08/01/2029
34
3.00%, 08/01/2029
399
3.00%, 10/01/2029
195
3.00%, 10/01/2029
350
3.00%, 10/01/2029
235
3.00%, 11/01/2029
155
3.00%, 01/01/2030
117
3.00%, 01/01/2030
442
3.00%, 01/01/2030
970
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.00%, 01/01/2030
$
1,067 $
3.00%, 06/01/2030
586
3.00%, 06/01/2030
550
3.00%, 08/01/2030
457
3.00%, 09/01/2030
208
3.00%, 09/01/2030
1,022
3.00%, 10/01/2030
608
3.00%, 11/01/2030
462
3.00%, 02/01/2031
273
(e)
3.00%, 07/01/2031
475
3.00%, 08/01/2032
487
3.00%, 10/01/2032
523
3.00%, 08/01/2033
1,218
3.00%, 12/01/2033
545
3.00%, 10/01/2034
149
3.00%, 11/01/2034
156
3.00%, 02/01/2035
413
3.00%, 03/01/2035
171
3.00%, 04/01/2035
176
3.00%, 06/01/2035
370
3.00%, 07/01/2035
139
3.00%, 11/01/2035
215
3.00%, 04/01/2042
324
3.00%, 09/01/2042
166
3.00%, 12/01/2042
172
3.00%, 02/01/2043
721
3.00%, 02/01/2043
712
3.00%, 04/01/2043
401
3.00%, 04/01/2043
444
3.00%, 04/01/2043
714
3.00%, 04/01/2043
610
3.00%, 04/01/2043
554
3.00%, 04/01/2043
723
3.00%, 04/01/2043
561
3.00%, 04/01/2043
1,610
3.00%, 05/01/2043
811
3.00%, 05/01/2043
537
3.00%, 05/01/2043
89
3.00%, 05/01/2043
449
3.00%, 06/01/2043
37
3.00%, 06/01/2043
749
3.00%, 06/01/2043
733
3.00%, 06/01/2043
552
3.00%, 06/01/2043
29
3.00%, 07/01/2043
414
3.00%, 07/01/2043
180
3.00%, 07/01/2043
49
3.00%, 07/01/2043
251
3.00%, 07/01/2043
354
3.00%, 07/01/2043
596
3.00%, 08/01/2043
896
3.00%, 08/01/2043
375
3.00%, 08/01/2043
100
3.00%, 08/01/2043
1,242
3.00%, 08/01/2043
168
3.00%, 08/01/2043
639
3.00%, 08/01/2043
258
3.00%, 08/01/2043
402
3.00%, 09/01/2043
21
3.00%, 09/01/2043
21
3.00%, 09/01/2043
439
3.00%, 09/01/2043
29
3.00%, 09/01/2043
1,014
3.00%, 10/01/2043
245
3.00%, 11/01/2043
390
3.00%, 11/01/2043
159
3.00%, 11/01/2043
163
3.00%, 11/01/2043
249
3.00%, 12/01/2043
25
3.00%, 01/01/2044
180
3.00%, 01/01/2045
38
425
383
173
506
24
1,161
166
125
612
113
258
1,137
1,368
305
527
488
508
307
513
957
76
158
761
69
191
450
101
35
74
91
225
83
54
352
20
83
296
104
78
70
123
115
345
376
321
643
405
44
66
318
269
534
76
383
285
143
86
190
19
188
361
342
35
419
205
367
247
163
123
464
1,018
111
1,119
615
577
479
218
1,072
638
484
286
498
513
552
1,284
576
157
164
434
179
185
389
145
226
337
173
179
750
748
417
462
743
635
576
751
583
1,675
844
558
92
467
39
779
763
574
30
430
187
51
261
369
619
932
390
104
1,291
174
664
269
418
22
22
457
30
1,055
254
405
165
169
259
26
187
40
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
3.00%, 01/01/2045
$
1,088 $
3.00%, 05/01/2045
1,213
3.00%, 06/01/2045
35
3.00%, 06/01/2045
95
3.00%, 08/01/2045(e)
1,675
3.00%, 09/01/2045
215
3.00%, 09/01/2045
197
3.00%, 10/01/2045
856
3.00%, 11/01/2045
199
3.00%, 11/01/2045
450
3.00%, 12/01/2045
85
3.00%, 12/01/2045
133
3.00%, 12/01/2045
105
3.00%, 12/01/2045
1,015
3.00%, 01/01/2046
611
3.00%, 01/01/2046
26
3.00%, 02/01/2046
1,226
3.00%, 02/01/2046
37
3.00%, 02/01/2046
634
3.00%, 02/01/2046
398
3.00%, 03/01/2046
127
3.00%, 04/01/2046
996
3.00%, 05/01/2046
422
3.00%, 05/01/2046
639
3.00%, 06/01/2046
275
3.00%, 07/01/2046
1,125
3.00%, 07/01/2046(e)
7,575
3.06%, 12/01/2041(a)
41
3.16%, 12/01/2040(a)
25
3.42%, 05/01/2041(a)
27
3.50%, 04/01/2022
225
3.50%, 08/01/2025
25
3.50%, 10/01/2025
20
3.50%, 11/01/2025
23
3.50%, 11/01/2025
300
3.50%, 12/01/2025
134
3.50%, 12/01/2025
43
3.50%, 12/01/2025
26
3.50%, 01/01/2026
684
3.50%, 01/01/2026
30
3.50%, 01/01/2026
81
3.50%, 02/01/2026
208
3.50%, 03/01/2026
587
3.50%, 03/01/2026
9
3.50%, 05/01/2026
12
3.50%, 06/01/2026
67
3.50%, 07/01/2026
11
3.50%, 08/01/2026
8
3.50%, 08/01/2026
99
3.50%, 09/01/2026
403
3.50%, 10/01/2026
34
3.50%, 12/01/2026
121
3.50%, 12/01/2026
461
3.50%, 01/01/2027
79
3.50%, 01/01/2027
135
3.50%, 02/01/2027
298
3.50%, 11/01/2028
425
3.50%, 12/01/2028
21
3.50%, 12/01/2028
229
3.50%, 01/01/2029
245
3.50%, 03/01/2029
25
3.50%, 03/01/2029
374
3.50%, 12/01/2029
96
3.50%, 04/01/2030
188
3.50%, 11/01/2030
97
3.50%, 01/01/2031
16
3.50%, 04/01/2031
31
3.50%, 07/01/2031(e)
200
3.50%, 04/01/2032
132
3.50%, 05/01/2032
287
3.50%, 06/01/2032
479
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 07/01/2032
$
182 $
3.50%, 09/01/2032
285
3.50%, 09/01/2033
137
3.50%, 10/01/2033
280
3.50%, 11/01/2033
282
3.50%, 01/01/2034
205
3.50%, 06/01/2034
387
3.50%, 08/01/2034
106
3.50%, 11/01/2034
235
3.50%, 12/01/2035
523
3.50%, 10/01/2040
14
3.50%, 11/01/2040
53
3.50%, 12/01/2040
59
3.50%, 01/01/2041
40
3.50%, 02/01/2041
26
3.50%, 02/01/2041
23
3.50%, 03/01/2041
135
3.50%, 03/01/2041
91
3.50%, 10/01/2041
244
3.50%, 12/01/2041
704
3.50%, 12/01/2041
247
3.50%, 12/01/2041
764
3.50%, 01/01/2042
136
3.50%, 01/01/2042
252
3.50%, 01/01/2042
134
3.50%, 02/01/2042
59
3.50%, 02/01/2042
28
3.50%, 03/01/2042
172
3.50%, 03/01/2042
291
3.50%, 03/01/2042
63
3.50%, 03/01/2042
80
3.50%, 03/01/2042
528
3.50%, 03/01/2042
146
3.50%, 04/01/2042
115
3.50%, 04/01/2042
150
3.50%, 04/01/2042
101
3.50%, 04/01/2042
132
3.50%, 05/01/2042
171
3.50%, 07/01/2042
184
3.50%, 07/01/2042
327
3.50%, 08/01/2042
229
3.50%, 09/01/2042
76
3.50%, 09/01/2042
180
3.50%, 10/01/2042
640
3.50%, 10/01/2042
20
3.50%, 04/01/2043
301
3.50%, 04/01/2043
162
3.50%, 05/01/2043
972
3.50%, 05/01/2043
806
3.50%, 05/01/2043
412
3.50%, 06/01/2043
813
3.50%, 06/01/2043
475
3.50%, 07/01/2043
454
3.50%, 08/01/2043
237
3.50%, 08/01/2043
1,050
3.50%, 09/01/2043
816
3.50%, 09/01/2043
304
3.50%, 12/01/2043
260
3.50%, 01/01/2044
76
3.50%, 02/01/2044
364
3.50%, 02/01/2044
707
3.50%, 04/01/2044
74
3.50%, 10/01/2044
1,126
3.50%, 10/01/2044
210
3.50%, 10/01/2044
35
3.50%, 10/01/2044
389
3.50%, 11/01/2044
1,126
3.50%, 12/01/2044
972
3.50%, 12/01/2044
988
3.50%, 02/01/2045
150
3.50%, 04/01/2045
1,186
1,130
1,260
36
99
1,735
224
205
889
207
468
89
139
109
1,054
635
27
1,273
39
659
414
132
1,035
439
664
286
1,169
7,861
43
26
29
238
27
21
25
318
142
46
28
726
32
86
220
623
9
13
71
11
9
105
428
36
129
489
84
143
316
450
22
243
259
26
397
102
199
103
17
33
212
140
306
511
112
194
303
146
297
300
218
412
113
250
556
15
56
62
42
27
24
143
97
258
745
262
809
144
267
142
62
30
182
308
67
84
559
154
121
158
107
140
182
195
346
243
81
191
678
21
319
172
1,033
861
435
869
502
485
252
1,110
864
322
275
81
384
747
78
1,188
222
37
411
1,188
1,026
1,043
158
1,254
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 05/01/2045
$
378 $
3.50%, 07/01/2045(e)
30,400
3.50%, 07/01/2045
195
3.50%, 07/01/2045
960
3.50%, 08/01/2045
1,240
3.50%, 08/01/2045
1,187
(e)
3.50%, 08/01/2045
1,225
3.50%, 09/01/2045
1,177
3.50%, 11/01/2045
496
3.50%, 11/01/2045
961
3.50%, 11/01/2045
1,237
3.50%, 12/01/2045
1,000
3.50%, 02/01/2046
880
3.51%, 02/01/2041(a)
32
(a)
3.56%, 01/01/2040
31
3.58%, 08/01/2040(a)
18
3.68%, 05/01/2041(a)
22
4.00%, 08/01/2018
204
4.00%, 09/01/2018
20
4.00%, 09/01/2018
33
4.00%, 09/01/2018
73
4.00%, 05/01/2019
91
4.00%, 07/01/2019
12
4.00%, 03/01/2024
88
4.00%, 05/01/2024
16
4.00%, 05/01/2024
21
4.00%, 06/01/2024
33
4.00%, 07/01/2024
32
4.00%, 09/01/2024
15
4.00%, 10/01/2024
123
4.00%, 11/01/2024
7
4.00%, 01/01/2025
25
4.00%, 03/01/2025
30
4.00%, 04/01/2025
9
4.00%, 04/01/2025
142
4.00%, 05/01/2025
23
4.00%, 05/01/2025
4
4.00%, 05/01/2025
8
4.00%, 05/01/2025
24
4.00%, 05/01/2025
28
4.00%, 06/01/2025
21
4.00%, 06/01/2025
8
4.00%, 07/01/2025
40
4.00%, 08/01/2025
26
4.00%, 09/01/2025
29
4.00%, 11/01/2025
38
4.00%, 12/01/2025
48
4.00%, 01/01/2026
178
4.00%, 01/01/2026
24
4.00%, 01/01/2026
100
4.00%, 03/01/2026
62
4.00%, 03/01/2026
5
4.00%, 03/01/2026
111
4.00%, 05/01/2026
33
4.00%, 06/01/2026
34
4.00%, 07/01/2026
33
4.00%, 08/01/2026
152
4.00%, 09/01/2026
70
4.00%, 04/01/2029
9
4.00%, 10/01/2030
26
4.00%, 12/01/2030
219
4.00%, 02/01/2031
74
4.00%, 07/01/2031
47
4.00%, 10/01/2031
182
4.00%, 11/01/2031
43
4.00%, 12/01/2031
36
4.00%, 01/01/2032
55
4.00%, 09/01/2033
381
4.00%, 01/01/2036
384
4.00%, 03/01/2039
13
4.00%, 08/01/2039
8
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 08/01/2039
$
45 $
4.00%, 10/01/2039
489
4.00%, 10/01/2039
19
4.00%, 11/01/2039
52
4.00%, 12/01/2039
15
4.00%, 02/01/2040
54
4.00%, 05/01/2040
6
4.00%, 05/01/2040
44
4.00%, 08/01/2040
30
4.00%, 10/01/2040
54
4.00%, 10/01/2040
50
4.00%, 10/01/2040
18
4.00%, 10/01/2040
95
4.00%, 10/01/2040
28
4.00%, 10/01/2040
32
4.00%, 10/01/2040
16
4.00%, 11/01/2040
24
4.00%, 12/01/2040
104
4.00%, 12/01/2040
61
4.00%, 12/01/2040
96
4.00%, 12/01/2040
72
4.00%, 12/01/2040
23
4.00%, 01/01/2041
121
4.00%, 01/01/2041
47
4.00%, 01/01/2041
669
4.00%, 01/01/2041
77
4.00%, 02/01/2041
59
4.00%, 02/01/2041
109
4.00%, 02/01/2041
190
4.00%, 02/01/2041
555
4.00%, 02/01/2041
111
4.00%, 02/01/2041
75
4.00%, 03/01/2041
537
4.00%, 03/01/2041
108
4.00%, 03/01/2041
51
4.00%, 04/01/2041
9
(e)
4.00%, 07/01/2041
19,000
4.00%, 09/01/2041
28
4.00%, 09/01/2041
244
4.00%, 09/01/2041
177
4.00%, 10/01/2041
188
4.00%, 10/01/2041
91
4.00%, 10/01/2041
17
4.00%, 11/01/2041
35
4.00%, 11/01/2041
77
4.00%, 11/01/2041
108
4.00%, 11/01/2041
156
4.00%, 11/01/2041
13
4.00%, 12/01/2041
95
4.00%, 12/01/2041
273
4.00%, 12/01/2041
145
4.00%, 12/01/2041
101
4.00%, 12/01/2041
101
4.00%, 01/01/2042
34
4.00%, 01/01/2042
104
4.00%, 01/01/2042
126
4.00%, 02/01/2042
73
4.00%, 05/01/2042
679
4.00%, 02/01/2043
253
4.00%, 02/01/2043
119
4.00%, 08/01/2043
200
4.00%, 09/01/2043
147
4.00%, 12/01/2043
289
4.00%, 01/01/2044
765
4.00%, 02/01/2044
68
4.00%, 04/01/2044
925
4.00%, 06/01/2044
145
4.00%, 06/01/2044
781
4.00%, 06/01/2044
542
4.00%, 07/01/2044
755
4.00%, 07/01/2044
1,003
399
32,077
206
1,013
1,309
1,253
1,291
1,242
524
1,015
1,305
1,056
929
34
33
19
24
211
20
35
76
94
12
94
17
22
35
34
16
131
7
27
32
9
151
24
4
8
26
30
22
8
42
27
31
40
51
185
25
105
66
5
119
34
36
35
162
75
9
28
237
80
51
198
47
39
60
412
416
14
8
113
49
526
20
56
16
58
7
47
32
58
54
19
102
30
35
17
25
111
66
103
77
25
130
51
719
82
63
117
204
597
120
80
577
117
55
10
20,371
30
262
190
201
98
18
37
83
116
168
14
102
293
156
109
108
36
112
135
78
732
272
127
214
158
310
828
73
991
156
846
581
809
1,075
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 09/01/2044
$
371 $
4.00%, 10/01/2044
347
4.00%, 11/01/2044
242
4.00%, 11/01/2044
478
4.00%, 11/01/2044
161
4.00%, 12/01/2044
696
4.00%, 12/01/2044
137
4.00%, 12/01/2044
161
4.00%, 12/01/2044
664
4.00%, 12/01/2044
113
4.00%, 01/01/2045
65
4.00%, 01/01/2045
56
4.00%, 01/01/2045
20
4.00%, 01/01/2045
378
4.00%, 02/01/2045
963
4.00%, 02/01/2045
434
4.00%, 02/01/2045
360
4.00%, 08/01/2045
65
4.00%, 08/01/2045
22
4.00%, 09/01/2045
985
4.00%, 09/01/2045(e)
250
4.00%, 10/01/2045
941
4.00%, 10/01/2045
174
4.00%, 11/01/2045
200
4.00%, 11/01/2045
400
4.00%, 11/01/2045
1,000
4.00%, 12/01/2045
373
4.00%, 03/01/2046
200
4.00%, 04/01/2046
784
4.50%, 02/01/2018
11
4.50%, 05/01/2018
176
4.50%, 08/01/2018
129
4.50%, 09/01/2018
182
4.50%, 12/01/2018
124
4.50%, 01/01/2019
1
4.50%, 03/01/2019
68
4.50%, 05/01/2019
29
4.50%, 01/01/2020
164
4.50%, 09/01/2020
5
4.50%, 05/01/2022
15
4.50%, 02/01/2024
5
4.50%, 04/01/2024
2
4.50%, 04/01/2024
3
4.50%, 11/01/2024
13
4.50%, 12/01/2024
18
4.50%, 12/01/2024
34
4.50%, 02/01/2025
31
4.50%, 02/01/2025
49
4.50%, 04/01/2025
5
4.50%, 05/01/2025
36
4.50%, 04/01/2026
56
4.50%, 07/01/2029
4
4.50%, 02/01/2030
23
4.50%, 04/01/2030
8
4.50%, 08/01/2030
159
4.50%, 09/01/2030
127
4.50%, 01/01/2031
27
4.50%, 04/01/2031
15
4.50%, 05/01/2031
24
4.50%, 07/01/2031
95
4.50%, 08/01/2031
50
4.50%, 08/01/2033
2
4.50%, 08/01/2033
24
4.50%, 11/01/2033
63
4.50%, 02/01/2035
204
4.50%, 12/01/2035
169
4.50%, 01/01/2036
2
4.50%, 03/01/2036
7
4.50%, 04/01/2038
28
4.50%, 06/01/2038
35
4.50%, 01/01/2039
8
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.50%, 02/01/2039
$
19 $
4.50%, 04/01/2039
64
4.50%, 04/01/2039
80
4.50%, 04/01/2039
14
4.50%, 06/01/2039
20
4.50%, 06/01/2039
72
4.50%, 06/01/2039
35
4.50%, 06/01/2039
99
4.50%, 07/01/2039
60
4.50%, 07/01/2039
40
4.50%, 07/01/2039
80
4.50%, 08/01/2039
42
4.50%, 09/01/2039
39
4.50%, 10/01/2039
24
4.50%, 10/01/2039
73
4.50%, 10/01/2039
114
4.50%, 12/01/2039
24
4.50%, 12/01/2039
53
4.50%, 12/01/2039
127
4.50%, 12/01/2039
30
4.50%, 12/01/2039
81
4.50%, 01/01/2040
104
4.50%, 01/01/2040
150
4.50%, 02/01/2040
75
4.50%, 02/01/2040
43
4.50%, 03/01/2040
48
4.50%, 04/01/2040
75
4.50%, 05/01/2040
48
4.50%, 05/01/2040
43
4.50%, 05/01/2040
188
4.50%, 05/01/2040
121
4.50%, 06/01/2040
33
4.50%, 07/01/2040
43
4.50%, 07/01/2040
2
4.50%, 08/01/2040
60
(e)
4.50%, 08/01/2040
850
4.50%, 08/01/2040
335
4.50%, 08/01/2040
200
4.50%, 08/01/2040
105
4.50%, 09/01/2040
39
4.50%, 09/01/2040
26
4.50%, 09/01/2040
31
4.50%, 10/01/2040
149
4.50%, 12/01/2040
30
4.50%, 12/01/2040
550
4.50%, 03/01/2041
60
4.50%, 03/01/2041
215
4.50%, 03/01/2041
44
4.50%, 03/01/2041
66
4.50%, 04/01/2041
52
4.50%, 05/01/2041
216
4.50%, 05/01/2041
69
4.50%, 05/01/2041
107
4.50%, 06/01/2041
217
4.50%, 06/01/2041
124
4.50%, 06/01/2041
41
4.50%, 06/01/2041
62
4.50%, 06/01/2041
153
4.50%, 07/01/2041
55
4.50%, 07/01/2041
77
4.50%, 07/01/2041
50
(e)
4.50%, 07/01/2041
500
4.50%, 08/01/2041
78
4.50%, 09/01/2041
78
4.50%, 09/01/2041
112
4.50%, 09/01/2041
389
4.50%, 10/01/2041
82
4.50%, 11/01/2041
82
4.50%, 11/01/2041
81
4.50%, 11/01/2041
74
4.50%, 11/01/2041
93
398
372
259
513
173
746
147
173
712
122
70
60
21
405
1,032
465
385
70
24
1,057
268
1,009
187
214
431
1,073
400
214
841
12
180
132
187
127
1
70
30
169
5
16
5
2
3
14
20
37
32
52
5
38
60
4
25
9
173
139
30
17
26
104
55
2
27
69
224
186
3
8
30
39
8
114
20
70
89
16
21
79
38
110
65
44
88
47
42
26
79
125
26
59
141
33
89
115
164
83
47
53
82
53
47
207
132
37
48
2
66
927
366
219
115
43
28
34
163
33
600
65
236
49
72
57
237
76
117
238
136
44
68
167
61
85
54
546
86
86
123
426
90
90
89
81
101
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
4.50%, 12/01/2041
$
96 $
4.50%, 04/01/2042
35
4.50%, 09/01/2042
158
4.50%, 09/01/2043
271
4.50%, 09/01/2043
432
4.50%, 09/01/2043
691
4.50%, 10/01/2043
811
4.50%, 11/01/2043
22
4.50%, 12/01/2043
236
4.50%, 12/01/2043
31
4.50%, 01/01/2044
1,019
4.50%, 03/01/2044
459
4.50%, 03/01/2044
291
4.50%, 04/01/2044
172
4.50%, 04/01/2044
61
4.50%, 05/01/2044
1,385
4.50%, 05/01/2044
419
4.50%, 05/01/2044
272
4.50%, 05/01/2044
166
4.50%, 05/01/2044
413
4.50%, 06/01/2044
906
4.50%, 06/01/2044
329
4.50%, 06/01/2044
733
4.50%, 07/01/2044
23
4.50%, 07/01/2044
752
4.50%, 07/01/2044
304
4.50%, 08/01/2044
181
4.50%, 08/01/2044
68
4.50%, 08/01/2044
169
4.50%, 10/01/2044
32
4.50%, 03/01/2046
150
5.00%, 12/01/2017
1
5.00%, 03/01/2018
110
5.00%, 11/01/2018
2
5.00%, 06/01/2019
17
5.00%, 07/01/2019
64
5.00%, 11/01/2020
112
5.00%, 11/01/2021
7
5.00%, 02/01/2023
13
5.00%, 07/01/2023
1
5.00%, 09/01/2023
73
5.00%, 12/01/2023
6
5.00%, 12/01/2023
10
5.00%, 01/01/2024
14
5.00%, 01/01/2024
34
5.00%, 02/01/2024
126
5.00%, 07/01/2024
10
5.00%, 12/01/2024
59
5.00%, 04/01/2025
297
5.00%, 04/01/2029
17
5.00%, 09/01/2029
401
5.00%, 03/01/2030
31
5.00%, 08/01/2030
37
5.00%, 05/01/2033
13
5.00%, 05/01/2033
19
5.00%, 07/01/2033
92
5.00%, 08/01/2033
5
5.00%, 09/01/2033
41
5.00%, 09/01/2033
145
5.00%, 11/01/2033
55
5.00%, 02/01/2034
7
5.00%, 03/01/2034
9
5.00%, 05/01/2034
76
5.00%, 02/01/2035
65
5.00%, 03/01/2035
9
5.00%, 04/01/2035
10
5.00%, 06/01/2035
124
5.00%, 07/01/2035
57
5.00%, 07/01/2035
152
5.00%, 07/01/2035
264
5.00%, 07/01/2035
15
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
5.00%, 07/01/2035
$
6$
5.00%, 09/01/2035
10
5.00%, 10/01/2035
28
5.00%, 01/01/2036
53
5.00%, 03/01/2036
52
5.00%, 03/01/2036
33
5.00%, 04/01/2036
2
5.00%, 05/01/2036
1
5.00%, 06/01/2036
76
5.00%, 07/01/2036
69
5.00%, 04/01/2037
706
5.00%, 07/01/2037
19
5.00%, 02/01/2038
134
5.00%, 04/01/2038
42
5.00%, 05/01/2038
2
5.00%, 06/01/2038
5
5.00%, 12/01/2038
10
5.00%, 01/01/2039
40
5.00%, 01/01/2039
621
5.00%, 02/01/2039
42
5.00%, 03/01/2039
26
5.00%, 03/01/2039
2
5.00%, 04/01/2039
58
5.00%, 04/01/2039
39
5.00%, 04/01/2039
23
5.00%, 06/01/2039
134
5.00%, 07/01/2039
274
5.00%, 07/01/2039
254
5.00%, 07/01/2039
65
5.00%, 10/01/2039
51
5.00%, 12/01/2039
104
5.00%, 12/01/2039
42
5.00%, 01/01/2040
86
5.00%, 02/01/2040
116
5.00%, 05/01/2040
224
5.00%, 05/01/2040
29
5.00%, 06/01/2040
79
5.00%, 06/01/2040
69
5.00%, 06/01/2040
16
5.00%, 08/01/2040
41
5.00%, 08/01/2040
28
5.00%, 08/01/2040
123
5.00%, 09/01/2040
14
5.00%, 11/01/2040
47
5.00%, 04/01/2041
36
5.00%, 05/01/2041
51
5.00%, 05/01/2041
51
5.00%, 05/01/2041
15
5.00%, 05/01/2041
49
5.00%, 07/01/2041(e)
600
5.00%, 07/01/2041
386
5.00%, 07/01/2041
11
5.00%, 05/01/2042
767
5.00%, 09/01/2043
665
5.00%, 12/01/2043
550
5.00%, 01/01/2044
134
5.00%, 01/01/2044
179
5.00%, 03/01/2044
580
5.00%, 03/01/2044
386
5.00%, 05/01/2044
328
5.00%, 08/01/2044
223
5.00%, 11/01/2044
593
5.50%, 10/01/2016
1
5.50%, 01/01/2017
3
5.50%, 02/01/2018
15
5.50%, 12/01/2018
13
5.50%, 05/01/2019
1
5.50%, 08/01/2019
22
5.50%, 12/01/2019
3
5.50%, 01/01/2021
3
5.50%, 05/01/2021
6
105
39
173
296
475
754
885
24
258
34
1,113
501
318
188
66
1,515
457
297
182
451
992
359
800
25
821
332
197
74
185
35
164
1
113
2
17
66
120
7
13
2
78
6
11
14
35
134
11
63
329
19
445
34
41
14
21
102
5
46
161
61
8
10
85
73
10
11
138
64
170
294
17
115
6
11
31
59
58
37
2
1
84
77
783
22
149
46
2
6
11
45
689
46
29
2
64
44
26
149
303
282
73
57
116
47
97
132
249
33
89
77
17
46
31
136
15
52
40
57
56
17
55
667
430
12
856
738
610
148
200
644
428
365
247
658
1
3
15
13
1
23
3
3
6
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
5.50%, 10/01/2021
$
3$
5.50%, 11/01/2022
8
5.50%, 11/01/2022
15
5.50%, 02/01/2023
12
5.50%, 03/01/2023
12
5.50%, 04/01/2023
11
5.50%, 07/01/2023
11
5.50%, 09/01/2023
12
5.50%, 12/01/2023
6
5.50%, 05/01/2025
14
5.50%, 07/01/2025
335
5.50%, 06/01/2028
10
5.50%, 09/01/2028
3
5.50%, 01/01/2029
7
5.50%, 12/01/2029
30
5.50%, 06/01/2033
14
5.50%, 04/01/2034
68
5.50%, 04/01/2034
50
5.50%, 04/01/2034
36
5.50%, 05/01/2034
44
5.50%, 06/01/2034
3
5.50%, 11/01/2034
39
5.50%, 01/01/2035
39
5.50%, 01/01/2035
9
5.50%, 03/01/2035
16
5.50%, 04/01/2035
1
5.50%, 04/01/2035
22
5.50%, 08/01/2035
8
5.50%, 09/01/2035
3
5.50%, 10/01/2035
6
5.50%, 10/01/2035
4
5.50%, 11/01/2035
280
5.50%, 12/01/2035
14
5.50%, 01/01/2036
5
5.50%, 02/01/2036
45
5.50%, 04/01/2036
44
5.50%, 04/01/2036
2
5.50%, 05/01/2036
192
5.50%, 07/01/2036
23
5.50%, 08/01/2036
59
5.50%, 09/01/2036
63
5.50%, 09/01/2036
27
5.50%, 10/01/2036
61
5.50%, 11/01/2036
22
5.50%, 11/01/2036
9
5.50%, 11/01/2036
15
5.50%, 01/01/2037
22
5.50%, 02/01/2037
42
5.50%, 03/01/2037
140
5.50%, 05/01/2037
2
5.50%, 05/01/2037
19
5.50%, 05/01/2037
639
5.50%, 05/01/2037
208
5.50%, 06/01/2037
48
5.50%, 07/01/2037
3
5.50%, 07/01/2037
6
5.50%, 08/01/2037
299
5.50%, 08/01/2037
221
5.50%, 08/01/2037
231
5.50%, 01/01/2038
10
5.50%, 01/01/2038
7
5.50%, 02/01/2038
60
5.50%, 02/01/2038
23
5.50%, 02/01/2038
31
5.50%, 03/01/2038
16
5.50%, 03/01/2038
28
5.50%, 03/01/2038
17
5.50%, 03/01/2038
93
5.50%, 05/01/2038
8
5.50%, 05/01/2038
32
5.50%, 05/01/2038
508
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
5.50%, 06/01/2038
$
193 $
5.50%, 06/01/2038
2
5.50%, 06/01/2038
257
5.50%, 06/01/2038
21
5.50%, 06/01/2038
3
5.50%, 07/01/2038
12
5.50%, 07/01/2038
17
5.50%, 08/01/2038
211
5.50%, 11/01/2038
10
5.50%, 11/01/2038
8
5.50%, 11/01/2038
6
5.50%, 11/01/2038
238
5.50%, 11/01/2038
123
5.50%, 11/01/2038
12
5.50%, 12/01/2038
18
5.50%, 12/01/2038
21
5.50%, 12/01/2038
11
5.50%, 01/01/2039
20
5.50%, 04/01/2039
8
5.50%, 06/01/2039
242
5.50%, 07/01/2039
56
5.50%, 09/01/2039
41
5.50%, 10/01/2039
14
5.50%, 12/01/2039
82
5.50%, 12/01/2039
29
5.50%, 05/01/2040
138
5.50%, 06/01/2040
9
5.50%, 07/01/2040
35
5.50%, 07/01/2041
195
5.50%, 09/01/2041
57
5.50%, 09/01/2041
78
6.00%, 06/01/2017
1
6.00%, 06/01/2017
5
6.00%, 05/01/2024
1
6.00%, 12/01/2032
23
6.00%, 01/01/2033
5
6.00%, 10/01/2033
7
6.00%, 12/01/2033
16
6.00%, 10/01/2034
24
6.00%, 12/01/2034
10
6.00%, 01/01/2035
56
6.00%, 07/01/2035
43
6.00%, 07/01/2035
103
6.00%, 10/01/2035
40
6.00%, 05/01/2036
6
6.00%, 05/01/2036
1
6.00%, 05/01/2036
3
6.00%, 06/01/2036
28
6.00%, 02/01/2037
38
6.00%, 02/01/2037
4
6.00%, 03/01/2037
28
6.00%, 03/01/2037
70
6.00%, 06/01/2037
15
6.00%, 07/01/2037
5
6.00%, 09/01/2037
36
6.00%, 10/01/2037
4
6.00%, 11/01/2037
1
6.00%, 11/01/2037
5
6.00%, 11/01/2037
6
6.00%, 12/01/2037
12
6.00%, 01/01/2038
15
6.00%, 01/01/2038
10
6.00%, 01/01/2038
232
6.00%, 02/01/2038
7
6.00%, 03/01/2038
84
6.00%, 03/01/2038
13
6.00%, 05/01/2038
5
6.00%, 05/01/2038
10
6.00%, 08/01/2038
15
3
9
16
13
13
11
12
13
7
14
376
11
3
8
33
16
77
56
41
50
3
44
44
11
18
1
25
9
3
7
5
315
16
5
50
49
2
217
26
66
71
30
69
24
10
17
25
48
158
2
22
720
236
54
3
7
337
250
263
11
8
67
26
35
18
32
19
105
9
36
572
116
216
2
290
24
3
14
20
237
11
9
7
268
138
13
20
23
12
23
9
272
63
46
16
94
32
155
11
40
220
64
88
1
5
1
27
6
8
19
28
12
64
50
119
46
7
1
4
32
43
5
32
80
17
5
41
5
1
6
6
14
17
11
265
8
97
15
6
11
17
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
6.00%, 09/01/2038
$
59 $
6.00%, 10/01/2038
36
6.00%, 11/01/2038
75
6.00%, 12/01/2038
7
6.00%, 10/01/2039
18
6.00%, 10/01/2039
18
6.00%, 04/01/2040
40
6.00%, 09/01/2040
12
6.00%, 10/01/2040
20
6.00%, 10/01/2040
45
6.00%, 05/01/2041
418
6.50%, 12/01/2016
2
6.50%, 07/01/2020
1
6.50%, 12/01/2031
2
6.50%, 03/01/2032
3
6.50%, 07/01/2032
8
6.50%, 11/01/2033
11
6.50%, 08/01/2034
24
6.50%, 09/01/2034
19
6.50%, 10/01/2034
6
6.50%, 07/01/2037
9
6.50%, 07/01/2037
12
6.50%, 08/01/2037
10
6.50%, 10/01/2037
54
6.50%, 01/01/2038
8
6.50%, 01/01/2038
209
6.50%, 02/01/2038
9
6.50%, 02/01/2038
11
6.50%, 03/01/2038
4
6.50%, 03/01/2038
52
6.50%, 05/01/2038
14
6.50%, 05/01/2038
148
6.50%, 09/01/2038
7
6.50%, 10/01/2039
13
7.00%, 12/01/2037
9
7.00%, 12/01/2037
18
7.50%, 05/01/2031
12
$
Government National Mortgage Association (GNMA) 7.88%
2.50%, 09/20/2027
233
2.50%, 01/20/2028
281
2.50%, 04/20/2028
209
2.50%, 07/20/2028
203
2.50%, 11/20/2030
94
2.50%, 03/20/2041(a)
237
2.50%, 02/20/2042(a)
74
2.50%, 01/20/2043(a)
107
2.50%, 03/15/2043
248
2.50%, 07/20/2043
320
2.50%, 11/20/2043(a)
375
2.50%, 06/20/2045
190
3.00%, 04/15/2027
122
3.00%, 04/20/2027
210
3.00%, 09/20/2027
217
3.00%, 11/20/2027
110
3.00%, 09/20/2028
128
3.00%, 10/20/2028
188
3.00%, 11/20/2028
77
3.00%, 01/20/2029
61
3.00%, 05/20/2029
244
3.00%, 07/20/2030
485
3.00%, 11/20/2041(a)
87
3.00%, 02/20/2042(a)
75
3.00%, 04/15/2042
28
3.00%, 04/20/2042(a)
223
3.00%, 07/20/2042(a)
303
3.00%, 08/20/2042
16
3.00%, 09/20/2042
332
3.00%, 10/15/2042
349
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
3.00%, 12/20/2042
$
662 $
694
3.00%, 01/20/2043
936
982
3.00%, 03/20/2043
388
407
3.00%, 03/20/2043
1,258
1,320
3.00%, 04/15/2043
74
77
3.00%, 04/20/2043
971
1,019
3.00%, 05/15/2043
58
61
3.00%, 05/15/2043
28
29
3.00%, 06/15/2043
608
636
3.00%, 06/20/2043
365
383
3.00%, 07/15/2043
200
209
3.00%, 08/15/2043
530
555
3.00%, 08/15/2043
373
389
3.00%, 08/20/2043
169
177
3.00%, 09/20/2043
618
648
3.00%, 10/20/2043
305
320
3.00%, 11/20/2043
228
239
3.00%, 03/20/2044
468
491
3.00%, 05/15/2044
56
59
3.00%, 08/20/2044
1,947
2,043
3.00%, 11/15/2044
696
729
3.00%, 11/20/2044
780
816
3.00%, 12/20/2044
976
1,022
3.00%, 02/15/2045
383
402
3.00%, 04/20/2045
91
95
3.00%, 05/20/2045
820
858
3.00%, 07/20/2045
2,433
2,547
3.00%, 08/01/2045
1,525
1,591
3.00%, 08/15/2045
272
285
3.00%, 08/20/2045
685
717
3.00%, 11/20/2045
898
940
3.00%, 12/20/2045
1,300
1,361
3.00%, 07/01/2046(e)
25
26
3.00%, 07/01/2046
11,625
12,155
3.50%, 12/15/2025
15
16
3.50%, 02/15/2026
54
57
3.50%, 05/15/2026
22
23
3.50%, 03/20/2027
53
56
3.50%, 04/20/2027
81
87
3.50%, 09/20/2028
168
179
3.50%, 07/20/2040
15
16
3.50%, 01/20/2041
79
84
3.50%, 05/20/2041
46
48
3.50%, 11/15/2041
59
63
3.50%, 11/20/2041
24
26
3.50%, 01/15/2042
69
74
3.50%, 01/20/2042
114
121
3.50%, 02/15/2042
114
121
3.50%, 02/15/2042
393
423
3.50%, 02/20/2042
108
115
3.50%, 03/15/2042
103
110
3.50%, 03/15/2042
87
92
3.50%, 03/20/2042
124
132
3.50%, 04/15/2042
207
220
3.50%, 04/15/2042
548
585
3.50%, 04/20/2042
251
268
3.50%, 05/15/2042
159
169
3.50%, 05/15/2042
12
13
3.50%, 05/20/2042
879
937
3.50%, 06/20/2042
528
563
3.50%, 08/15/2042
97
103
3.50%, 08/20/2042
401
427
3.50%, 10/20/2042
1,199
1,278
3.50%, 01/15/2043
418
445
3.50%, 01/15/2043
660
705
3.50%, 01/20/2043
596
635
3.50%, 02/20/2043
642
684
3.50%, 03/20/2043
582
620
3.50%, 04/15/2043
167
178
3.50%, 04/15/2043
94
100
3.50%, 04/20/2043
599
638
Principal
Amount (000's) Value (000's)
67
41
86
8
20
20
46
14
23
51
478
2
1
2
3
9
13
29
22
7
10
15
11
62
9
243
12
13
5
65
16
181
8
15
10
21
15
257,789
243
293
217
212
98
243
76
110
253
328
385
194
129
222
230
117
136
200
82
65
258
515
90
77
29
230
311
17
348
365
117
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
4.00%, 03/15/2042
$
202 $
217
4.00%, 03/20/2042
374
403
4.00%, 04/20/2042
330
355
4.00%, 05/15/2042
555
598
4.00%, 05/20/2042
31
34
4.00%, 07/20/2042
736
792
4.00%, 06/20/2043
95
103
4.00%, 08/15/2043
19
20
4.00%, 09/15/2043
311
334
4.00%, 09/20/2043
146
157
4.00%, 10/20/2043
222
237
4.00%, 11/20/2043
519
555
4.00%, 02/20/2044
1,205
1,289
4.00%, 03/15/2044
454
488
4.00%, 04/20/2044
584
625
4.00%, 05/20/2044
796
852
4.00%, 06/20/2044
591
632
4.00%, 07/20/2044
2,365
2,529
4.00%, 08/20/2044
1,652
1,766
4.00%, 09/20/2044
1,495
1,599
4.00%, 10/20/2044
2,022
2,162
4.00%, 11/20/2044
939
1,004
4.00%, 12/20/2044
1,618
1,730
4.00%, 01/15/2045
130
140
4.00%, 01/20/2045
1,339
1,432
4.00%, 03/15/2045
101
108
4.00%, 04/15/2045
99
107
4.00%, 04/20/2045
878
939
4.00%, 05/15/2045
474
510
4.00%, 07/20/2045
376
402
4.00%, 08/15/2045
100
107
4.00%, 08/20/2045
1,109
1,186
4.00%, 09/20/2045
1,606
1,717
4.00%, 10/20/2045
848
907
4.00%, 11/20/2045
300
321
4.00%, 07/01/2046
950
1,015
4.50%, 04/20/2026
14
15
4.50%, 11/20/2033
9
9
4.50%, 02/15/2039
260
287
4.50%, 03/15/2039
54
59
4.50%, 03/15/2039
102
113
4.50%, 03/15/2039
39
44
4.50%, 03/15/2039
27
30
4.50%, 03/20/2039
59
63
4.50%, 04/15/2039
80
88
4.50%, 04/15/2039
44
49
4.50%, 04/15/2039
110
121
4.50%, 05/15/2039
85
96
4.50%, 05/15/2039
272
300
4.50%, 05/15/2039
15
16
4.50%, 05/15/2039
16
18
4.50%, 05/15/2039
140
154
4.50%, 06/15/2039
115
128
4.50%, 07/15/2039
26
28
4.50%, 08/15/2039
113
126
4.50%, 09/15/2039
3
3
4.50%, 11/15/2039
22
24
4.50%, 11/15/2039
361
405
4.50%, 12/15/2039
91
102
4.50%, 01/15/2040
105
117
4.50%, 02/15/2040
20
22
4.50%, 02/15/2040
15
17
4.50%, 02/15/2040
27
30
4.50%, 02/15/2040
24
26
4.50%, 02/15/2040
46
51
4.50%, 02/15/2040
11
12
4.50%, 03/15/2040
25
27
4.50%, 04/15/2040
790
871
4.50%, 05/15/2040
35
38
4.50%, 06/15/2040
36
40
4.50%, 06/15/2040
26
29
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
3.50%, 06/15/2043
$
115 $
123
3.50%, 06/15/2043
73
78
3.50%, 07/20/2043
1,219
1,299
3.50%, 08/15/2043
238
253
3.50%, 08/20/2043
326
348
3.50%, 01/20/2044
16
17
3.50%, 02/20/2044
135
143
3.50%, 04/20/2044
599
636
3.50%, 07/20/2044
1,633
1,737
3.50%, 08/20/2044
1,671
1,778
3.50%, 09/20/2044
617
656
3.50%, 10/20/2044
687
729
3.50%, 11/20/2044
750
796
3.50%, 12/20/2044
861
915
3.50%, 02/20/2045
876
930
3.50%, 05/20/2045
1,141
1,212
3.50%, 06/20/2045
238
253
3.50%, 07/20/2045
833
885
3.50%, 08/01/2045
1,875
1,987
3.50%, 08/20/2045
754
801
3.50%, 09/20/2045
403
428
3.50%, 10/20/2045
98
104
3.50%, 11/20/2045
94
100
3.50%, 12/20/2045
143
152
3.50%, 01/20/2046
850
903
3.50%, 03/20/2046
1,374
1,461
3.50%, 07/01/2046
31,975
33,937
4.00%, 07/15/2024
90
97
4.00%, 08/15/2024
24
25
4.00%, 12/15/2024
20
21
4.00%, 11/15/2025
14
15
4.00%, 05/15/2026
21
22
4.00%, 06/15/2039
12
13
4.00%, 07/20/2040
49
53
4.00%, 08/15/2040
42
45
4.00%, 08/15/2040
202
218
4.00%, 09/15/2040
8
9
4.00%, 09/15/2040
40
43
4.00%, 09/15/2040
77
84
4.00%, 10/15/2040
63
68
4.00%, 11/15/2040
9
10
4.00%, 11/15/2040
47
51
4.00%, 11/20/2040
39
42
4.00%, 12/20/2040
73
79
4.00%, 01/15/2041
65
71
4.00%, 01/15/2041
43
47
4.00%, 01/15/2041
130
140
4.00%, 01/20/2041
124
133
4.00%, 05/15/2041
83
90
4.00%, 05/15/2041
45
49
4.00%, 07/20/2041
43
47
4.00%, 07/20/2041(a)
24
25
4.00%, 08/15/2041
71
77
4.00%, 08/15/2041
171
184
4.00%, 08/15/2041
33
35
4.00%, 09/15/2041
47
51
4.00%, 09/15/2041
106
114
4.00%, 09/15/2041
136
147
4.00%, 09/20/2041
214
231
4.00%, 10/15/2041
47
50
4.00%, 10/15/2041
75
81
4.00%, 11/15/2041
233
251
4.00%, 11/20/2041
75
81
4.00%, 12/15/2041
76
82
4.00%, 12/15/2041
37
40
4.00%, 12/20/2041
73
78
4.00%, 01/15/2042
90
97
4.00%, 01/15/2042
25
27
4.00%, 01/20/2042
394
424
4.00%, 02/20/2042
316
339
4.00%, 03/15/2042
135
146
See accompanying notes.
118
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
5.00%, 01/15/2039
$
183 $
204
5.00%, 01/15/2039
155
172
5.00%, 02/15/2039
140
156
5.00%, 02/15/2039
133
149
5.00%, 04/15/2039
152
170
5.00%, 05/15/2039
13
15
5.00%, 06/15/2039
59
67
5.00%, 06/15/2039
41
46
5.00%, 06/20/2039
50
56
5.00%, 07/15/2039
66
76
5.00%, 07/15/2039
38
42
5.00%, 07/15/2039
40
44
5.00%, 07/15/2039
30
34
5.00%, 08/15/2039
43
49
5.00%, 09/15/2039
44
49
5.00%, 09/15/2039
16
18
5.00%, 09/15/2039
33
37
5.00%, 09/15/2039
41
47
5.00%, 09/15/2039
50
56
5.00%, 11/15/2039
61
69
5.00%, 12/15/2039
74
83
5.00%, 02/15/2040
50
56
5.00%, 02/15/2040
64
73
5.00%, 02/15/2040
61
70
5.00%, 04/15/2040
38
43
5.00%, 05/15/2040
48
54
5.00%, 05/15/2040
20
22
5.00%, 05/20/2040
14
15
5.00%, 06/15/2040
36
40
5.00%, 06/15/2040
5
6
5.00%, 06/15/2040
85
96
5.00%, 06/15/2040
61
68
5.00%, 06/20/2040
63
70
5.00%, 07/15/2040
30
34
5.00%, 07/20/2040
63
71
5.00%, 01/20/2041
35
40
5.00%, 02/20/2041
79
88
5.00%, 04/15/2041
336
378
5.00%, 05/20/2041
70
78
5.00%, 06/20/2041
19
21
5.00%, 07/20/2041
29
32
5.00%, 08/20/2041
197
219
5.00%, 10/20/2041
24
27
5.00%, 11/20/2041
70
79
5.00%, 12/20/2041
54
61
5.00%, 02/20/2042
254
283
5.00%, 03/20/2042
55
62
5.00%, 04/20/2042
615
677
5.00%, 12/20/2042
485
529
5.00%, 01/20/2043
97
106
5.00%, 05/20/2043
118
129
5.00%, 07/20/2043
289
314
5.00%, 11/20/2043
333
362
5.00%, 01/20/2044
211
230
5.00%, 02/20/2044
306
333
5.00%, 03/20/2044
216
235
5.00%, 05/20/2044
97
106
5.00%, 07/20/2044
189
206
5.00%, 08/20/2044
91
99
5.00%, 12/20/2044
145
158
5.50%, 01/15/2024
9
10
5.50%, 11/15/2033
31
35
5.50%, 03/15/2034
9
11
5.50%, 04/15/2034
12
14
5.50%, 07/15/2034
9
10
5.50%, 11/15/2034
43
50
5.50%, 02/15/2035
21
24
5.50%, 03/15/2036
12
14
5.50%, 04/15/2036
18
21
5.50%, 12/15/2036
14
16
5.50%, 04/15/2037
43
48
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
4.50%, 07/15/2040
$
29 $
32
4.50%, 07/15/2040
39
43
4.50%, 07/15/2040
544
602
4.50%, 08/15/2040
60
66
4.50%, 08/15/2040
169
187
4.50%, 08/15/2040
45
50
4.50%, 08/15/2040
65
72
4.50%, 08/15/2040
47
52
4.50%, 09/15/2040
60
66
4.50%, 09/15/2040
55
62
4.50%, 10/15/2040
63
70
4.50%, 12/15/2040
31
34
4.50%, 01/20/2041
75
83
4.50%, 01/20/2041
58
64
4.50%, 02/20/2041
68
74
4.50%, 02/20/2041
75
83
4.50%, 03/15/2041
26
28
4.50%, 03/15/2041
144
158
4.50%, 03/20/2041
62
69
4.50%, 03/20/2041
37
41
4.50%, 04/15/2041
61
67
4.50%, 04/15/2041
29
33
4.50%, 04/20/2041
71
77
4.50%, 05/15/2041
53
60
4.50%, 05/15/2041
42
46
4.50%, 06/15/2041
143
157
4.50%, 06/20/2041
230
251
4.50%, 07/15/2041
235
259
4.50%, 07/15/2041
28
31
4.50%, 07/15/2041
96
107
4.50%, 07/20/2041
443
483
4.50%, 07/20/2041
18
19
4.50%, 08/15/2041
172
190
4.50%, 08/20/2041
166
181
4.50%, 09/20/2041
41
44
4.50%, 11/20/2041
590
645
4.50%, 12/20/2041
41
44
4.50%, 01/20/2042
293
319
4.50%, 02/20/2042
152
166
4.50%, 03/20/2042
38
41
4.50%, 04/20/2042
71
77
4.50%, 05/20/2042
82
90
4.50%, 05/20/2043
374
409
4.50%, 06/20/2043
325
355
4.50%, 08/20/2043
58
62
4.50%, 09/20/2043
175
188
4.50%, 10/20/2043
337
362
4.50%, 11/20/2043
1,048
1,126
4.50%, 03/20/2044
1,390
1,493
4.50%, 04/20/2044
62
67
4.50%, 05/20/2044
1,046
1,124
4.50%, 07/20/2044
543
584
4.50%, 09/20/2044
35
38
4.50%, 10/20/2044
79
85
4.50%, 11/20/2044
160
171
4.50%, 12/20/2044
255
274
4.50%, 02/20/2045
679
730
4.50%, 04/20/2045
380
408
4.50%, 10/20/2045
214
230
4.50%, 12/20/2045
188
202
4.50%, 07/01/2046
350
376
5.00%, 08/15/2033
63
72
5.00%, 02/15/2034
76
85
5.00%, 07/15/2035
194
219
5.00%, 08/15/2035
46
52
5.00%, 04/20/2037
5
6
5.00%, 04/20/2038
405
456
5.00%, 05/15/2038
89
100
5.00%, 06/20/2038
40
45
5.00%, 08/15/2038
196
221
5.00%, 10/15/2038
23
26
See accompanying notes.
119
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
5.50%, 05/15/2038
$
17 $
20
5.50%, 06/15/2038
25
29
5.50%, 08/15/2038
170
192
5.50%, 08/15/2038
73
83
5.50%, 09/15/2038
53
60
5.50%, 10/20/2038
49
54
5.50%, 11/15/2038
17
19
5.50%, 12/20/2038
19
22
5.50%, 01/15/2039
14
15
5.50%, 01/15/2039
4
5
5.50%, 01/15/2039
32
36
5.50%, 01/15/2039
41
47
5.50%, 02/15/2039
13
15
5.50%, 02/20/2039
104
116
5.50%, 05/15/2039
5
5
5.50%, 12/15/2039
27
30
5.50%, 01/15/2040
222
250
5.50%, 03/15/2040
99
111
5.50%, 04/15/2040
210
236
5.50%, 06/20/2040
114
127
5.50%, 07/20/2040
32
35
5.50%, 11/15/2040
25
28
5.50%, 12/20/2040
24
27
5.50%, 01/20/2041
389
435
5.50%, 04/20/2041
70
78
5.50%, 10/20/2041
60
67
5.50%, 11/20/2041
67
75
5.50%, 10/20/2042
187
207
5.50%, 11/20/2042
173
193
5.50%, 06/20/2043
186
205
5.50%, 09/20/2043
248
271
6.00%, 07/15/2032
1
1
6.00%, 12/15/2032
2
2
6.00%, 10/15/2034
28
32
6.00%, 04/15/2035
22
25
6.00%, 04/15/2036
16
18
6.00%, 06/15/2036
24
28
6.00%, 04/15/2037
43
50
6.00%, 05/15/2037
49
56
6.00%, 10/20/2037
60
70
6.00%, 11/20/2037
23
27
6.00%, 01/15/2038
17
19
6.00%, 08/15/2038
15
17
6.00%, 01/15/2039
134
154
6.00%, 09/15/2039
72
83
6.00%, 09/15/2039
41
47
6.00%, 11/15/2039
105
120
6.00%, 01/20/2042
63
72
6.50%, 10/20/2028
1
1
6.50%, 05/20/2029
1
1
6.50%, 02/20/2032
1
1
6.50%, 05/20/2032
6
8
6.50%, 05/15/2037
55
63
6.50%, 08/20/2038
20
24
6.50%, 09/15/2038
13
15
7.00%, 03/15/2029
2
3
7.00%, 07/15/2031
2
2
$
164,772
U.S. Treasury - 36.93%
0.50%, 07/31/2017
0.63%, 07/31/2017
0.63%, 08/31/2017
0.63%, 09/30/2017
0.63%, 11/30/2017
0.63%, 04/30/2018
0.63%, 06/30/2018
0.75%, 10/31/2017
0.75%, 12/31/2017
0.75%, 01/31/2018
See accompanying notes.
4,000
2,700
6,315
2,517
5,641
4,980
2,810
9,132
3,419
2,000
U.S. Treasury (continued)
0.75%, 02/28/2018
0.75%, 03/31/2018
0.75%, 04/15/2018
0.75%, 04/30/2018
0.75%, 02/15/2019
0.88%, 08/15/2017
0.88%, 10/15/2017
0.88%, 11/15/2017
0.88%, 11/30/2017
0.88%, 01/15/2018
0.88%, 01/31/2018
0.88%, 03/31/2018
0.88%, 05/31/2018
0.88%, 07/15/2018
0.88%, 10/15/2018
0.88%, 04/15/2019
0.88%, 05/15/2019
0.88%, 06/15/2019
0.88%, 07/31/2019
1.00%, 09/15/2017
1.00%, 12/15/2017
1.00%, 12/31/2017
1.00%, 02/15/2018
1.00%, 03/15/2018
1.00%, 05/15/2018
1.00%, 05/31/2018
1.00%, 08/15/2018
1.00%, 09/15/2018
1.00%, 03/15/2019
1.00%, 06/30/2019
1.00%, 08/31/2019
1.00%, 09/30/2019
1.00%, 11/30/2019
1.13%, 06/15/2018
1.13%, 01/15/2019
1.13%, 05/31/2019
1.13%, 12/31/2019
1.13%, 03/31/2020
1.13%, 04/30/2020
1.13%, 06/30/2021
1.25%, 10/31/2018
1.25%, 11/15/2018
1.25%, 11/30/2018
1.25%, 12/15/2018
1.25%, 01/31/2019
1.25%, 04/30/2019
1.25%, 01/31/2020
1.25%, 02/29/2020
1.25%, 03/31/2021
1.38%, 06/30/2018
1.38%, 07/31/2018
1.38%, 09/30/2018
1.38%, 11/30/2018
1.38%, 12/31/2018
1.38%, 02/28/2019
1.38%, 01/31/2020
1.38%, 02/29/2020
1.38%, 03/31/2020
1.38%, 04/30/2020
1.38%, 05/31/2020
1.38%, 08/31/2020
1.38%, 09/30/2020
1.38%, 10/31/2020
1.38%, 01/31/2021
1.38%, 04/30/2021
1.38%, 05/31/2021
1.38%, 06/30/2023
1.50%, 08/31/2018
1.50%, 12/31/2018
1.50%, 01/31/2019
1.50%, 02/28/2019
3,999
2,703
6,321
2,519
5,646
4,983
2,811
9,154
3,428
2,005
120
Principal
Amount (000's) Value (000's)
$
6,000 $
3,385
3,455
2,795
2,460
2,530
2,705
6,235
4,000
3,795
3,800
2,750
3,000
3,426
5,130
2,580
2,545
2,595
4,000
2,588
3,455
2,780
4,000
2,420
1,930
3,135
4,045
855
2,535
2,040
1,680
3,580
2,530
2,840
2,430
2,000
3,630
3,130
2,492
5,200
3,910
2,500
3,825
2,565
945
4,000
3,688
603
5,240
3,183
855
2,020
1,380
2,000
4,037
1,500
3,130
3,365
2,870
2,300
2,515
1,400
3,405
3,660
2,830
3,500
3,030
920
2,569
3,205
3,184
6,016
3,394
3,464
2,803
2,465
2,539
2,716
6,261
4,017
3,812
3,818
2,763
3,016
3,445
5,158
2,592
2,557
2,608
4,016
2,602
3,476
2,797
4,026
2,437
1,945
3,159
4,077
862
2,557
2,057
1,693
3,607
2,547
2,869
2,457
2,025
3,669
3,162
2,516
5,226
3,964
2,535
3,880
2,602
959
4,063
3,742
612
5,301
3,231
868
2,053
1,404
2,035
4,110
1,529
3,189
3,429
2,924
2,342
2,561
1,425
3,467
3,725
2,879
3,563
3,046
937
2,622
3,272
3,252
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
U.S. Treasury (continued)
1.50%, 03/31/2019
1.50%, 05/31/2019
1.50%, 10/31/2019
1.50%, 11/30/2019
1.50%, 05/31/2020
1.50%, 01/31/2022
1.50%, 02/28/2023
1.50%, 03/31/2023
1.63%, 03/31/2019
1.63%, 04/30/2019
1.63%, 06/30/2019
1.63%, 07/31/2019
1.63%, 08/31/2019
1.63%, 12/31/2019
1.63%, 06/30/2020
1.63%, 07/31/2020
1.63%, 11/30/2020
1.63%, 08/15/2022
1.63%, 11/15/2022
1.63%, 04/30/2023
1.63%, 05/31/2023
1.63%, 02/15/2026
1.63%, 05/15/2026
1.75%, 10/31/2018
1.75%, 09/30/2019
1.75%, 10/31/2020
1.75%, 12/31/2020
1.75%, 02/28/2022
1.75%, 03/31/2022
1.75%, 04/30/2022
1.75%, 05/15/2022
1.75%, 09/30/2022
1.75%, 01/31/2023
1.75%, 05/15/2023
1.88%, 08/31/2017
1.88%, 09/30/2017
1.88%, 10/31/2017
1.88%, 06/30/2020
1.88%, 11/30/2021
1.88%, 05/31/2022
1.88%, 08/31/2022
1.88%, 10/31/2022
2.00%, 07/31/2020
2.00%, 09/30/2020
2.00%, 11/30/2020
2.00%, 02/28/2021
2.00%, 05/31/2021
2.00%, 08/31/2021
2.00%, 10/31/2021
2.00%, 11/15/2021
2.00%, 02/15/2022
2.00%, 07/31/2022
2.00%, 11/30/2022
2.00%, 02/15/2023
2.00%, 02/15/2025
2.00%, 08/15/2025
2.13%, 08/31/2020
2.13%, 01/31/2021
2.13%, 06/30/2021
2.13%, 08/15/2021
2.13%, 09/30/2021
2.13%, 12/31/2021
2.13%, 06/30/2022
2.13%, 12/31/2022
2.13%, 05/15/2025
2.25%, 07/31/2018
2.25%, 03/31/2021
2.25%, 04/30/2021
2.25%, 07/31/2021
2.25%, 11/15/2024
2.25%, 11/15/2025
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
$
730 $
3,955
3,268
2,480
4,230
5,039
7,605
2,960
5,000
1,120
5,000
3,675
5,270
3,105
4,400
5,000
4,830
3,400
1,000
3,010
2,970
7,112
7,300
1,320
2,745
3,000
3,975
3,995
2,365
3,685
4,660
2,460
4,680
4,617
2,704
345
2,984
2,740
4,522
2,755
1,810
2,555
3,064
3,000
2,290
4,580
3,800
5,345
3,600
4,500
4,135
2,021
4,710
6,787
6,445
6,250
1,500
3,615
2,050
4,350
3,055
3,435
3,845
3,100
5,410
1,000
2,810
3,447
4,420
6,773
8,315
U.S. Treasury (continued)
2.38%, 07/31/2017
2.38%, 05/31/2018
2.38%, 06/30/2018
2.38%, 12/31/2020
2.38%, 08/15/2024
2.50%, 08/15/2023
2.50%, 05/15/2024
2.50%, 02/15/2045
2.50%, 02/15/2046
2.50%, 05/15/2046
2.63%, 01/31/2018
2.63%, 04/30/2018
2.63%, 08/15/2020
2.63%, 11/15/2020
2.75%, 12/31/2017
2.75%, 02/28/2018
2.75%, 02/15/2019
2.75%, 11/15/2023
2.75%, 02/15/2024
2.75%, 08/15/2042
2.75%, 11/15/2042
2.88%, 03/31/2018
2.88%, 05/15/2043
2.88%, 08/15/2045
3.00%, 05/15/2042
3.00%, 11/15/2044
3.00%, 05/15/2045
3.00%, 11/15/2045
3.13%, 05/15/2019
3.13%, 05/15/2021
3.13%, 11/15/2041
3.13%, 02/15/2042
3.13%, 02/15/2043
3.13%, 08/15/2044
3.38%, 11/15/2019
3.38%, 05/15/2044
3.50%, 02/15/2018
3.50%, 05/15/2020
3.50%, 02/15/2039
3.63%, 08/15/2019
3.63%, 02/15/2020
3.63%, 02/15/2021
3.63%, 08/15/2043
3.63%, 02/15/2044
3.75%, 11/15/2018
3.75%, 08/15/2041
3.75%, 11/15/2043
3.88%, 05/15/2018
3.88%, 08/15/2040
4.00%, 08/15/2018
4.25%, 11/15/2017
4.25%, 05/15/2039
4.25%, 11/15/2040
4.38%, 02/15/2038
4.38%, 11/15/2039
4.38%, 05/15/2040
4.38%, 05/15/2041
4.50%, 02/15/2036
4.50%, 05/15/2038
4.50%, 08/15/2039
4.63%, 02/15/2040
4.75%, 08/15/2017
4.75%, 02/15/2037
4.75%, 02/15/2041
5.00%, 05/15/2037
5.25%, 11/15/2028
5.25%, 02/15/2029
5.38%, 02/15/2031
5.50%, 08/15/2028
6.00%, 02/15/2026
6.13%, 11/15/2027
746
4,044
3,344
2,538
4,329
5,141
7,716
3,003
5,125
1,149
5,133
3,774
5,413
3,191
4,525
5,142
4,972
3,487
1,024
3,078
3,037
7,192
7,389
1,354
2,831
3,101
4,112
4,129
2,444
3,807
4,815
2,538
4,824
4,763
2,746
350
3,035
2,845
4,709
2,865
1,881
2,655
3,198
3,133
2,393
4,791
3,979
5,598
3,771
4,717
4,331
2,116
4,930
7,109
6,743
6,534
1,573
3,801
2,159
4,584
3,219
3,621
4,054
3,268
5,715
1,034
2,973
3,648
4,684
7,225
8,871
121
Principal
Amount (000's) Value (000's)
$
2,140 $
638
3,188
1,689
5,405
2,982
6,070
5,065
4,315
2,915
1,266
1,800
7,000
5,532
2,625
1,673
4,803
2,406
5,326
2,111
3,730
3,692
5,153
4,055
1,587
4,945
4,400
4,355
2,656
2,420
1,977
2,318
2,250
4,400
3,640
4,540
3,247
3,477
1,290
2,578
3,986
6,000
3,100
4,370
2,685
1,000
4,510
1,000
2,544
2,505
1,733
1,739
1,800
1,145
3,150
1,024
1,770
645
1,000
1,126
1,930
5,174
500
1,028
400
1,140
940
3,876
810
509
1,100
2,182
659
3,300
1,793
5,818
3,231
6,593
5,273
4,493
3,038
1,306
1,867
7,483
5,927
2,709
1,732
5,063
2,652
5,879
2,326
4,103
3,837
5,795
4,553
1,833
5,686
5,057
5,008
2,838
2,663
2,335
2,740
2,652
5,179
3,955
5,595
3,400
3,821
1,628
2,807
4,386
6,715
4,000
5,635
2,882
1,304
5,950
1,062
3,377
2,688
1,820
2,430
2,520
1,632
4,477
1,457
2,527
929
1,451
1,628
2,837
5,415
744
1,542
615
1,605
1,329
5,749
1,158
717
1,624
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
U.S. Treasury (continued)
6.38%, 08/15/2027
6.50%, 11/15/2026
6.75%, 08/15/2026
6.88%, 08/15/2025
7.50%, 11/15/2024
7.63%, 02/15/2025
Principal
Amount (000's) Value (000's)
750 $
1,121
1,300
1,925
150
225
20
29
280
416
1,819
2,744
$
771,858
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
$ 1,353,146
Total Investments
$ 2,238,612
Other Assets and Liabilities - (7.09)%
$ (148,297)
TOTAL NET ASSETS - 100.00%
$ 2,090,315
(a)
(b)
(c)
(d)
(e)
$
Variable Rate. Rate shown is in effect at June 30, 2016.
Non-Income Producing Security
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $12,133 or 0.58% of net assets.
Credit support indicates investments that benefit from credit enhancement
or liquidity support provided by a third party bank, institution, or
government agency.
Security was purchased in a "to-be-announced" ("TBA") transaction. See
Notes to Financial Statements for additional information.
Portfolio Summary (unaudited)
Sector
Government
Mortgage Securities
Financial
Investment Companies
Consumer, Non-cyclical
Energy
Communications
Industrial
Consumer, Cyclical
Utilities
Technology
Basic Materials
Revenue Bonds
Asset Backed Securities
General Obligation Unlimited
Insured
General Obligation Limited
Investments Sold Short
Other Assets and Liabilities
TOTAL NET ASSETS
Percent
42.72%
29.51%
8.03%
7.43%
4.34%
2.82%
2.71%
1.92%
1.92%
1.89%
1.48%
0.91%
0.47%
0.45%
0.41%
0.07%
0.01%
(0.02)%
(7.07)%
100.00%
Short Sales Outstanding
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - (0.02)%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 0.00%
3.50%, 08/01/2030
$
100$
106
Federal National Mortgage Association (FNMA) - (0.02)%
2.00%, 08/01/2028
100
2.50%, 08/01/2045
300
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS (proceeds $510)
TOTAL SHORT SALES (proceeds $510)
See accompanying notes.
$
$
101
303
404
510
$
510
122
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 6.08%
Shares Held
BONDS (continued)
Money Market Funds - 6.08%
BlackRock Liquidity Funds FedFund Portfolio
18,608,405 $
TOTAL INVESTMENT COMPANIES
PREFERRED STOCKS - 0.45%
Banks - 0.41%
Morgan Stanley (a)
State Street Corp 5.90%; Series D
15,000
30,000
$
Telecommunications - 0.04%
Verizon Communications Inc
5,000
TOTAL PREFERRED STOCKS
Advertising - 0.03%
MDC Partners Inc
6.50%, 05/01/2024(b)
Aerospace & Defense - 0.33%
Air 2 US
8.63%, 10/01/2020(b)
BAE Systems Holdings Inc
2.85%, 12/15/2020(b)
3.85%, 12/15/2025(b)
Lockheed Martin Corp
2.50%, 11/23/2020
3.55%, 01/15/2026
4.70%, 05/15/2046
United Technologies Corp
4.50%, 06/01/2042
$
$
$
29$
131
$
Apparel - 0.04%
Hanesbrands Inc
4.63%, 05/15/2024(b)
NIKE Inc
3.88%, 11/01/2045
20
$
100$
99
20
20
145
265
148
281
195
140
90
201
152
106
100
115
1,023
215
90
243
162
35
36
220
232
365
140
369
154
158
133
108
240
300
105
130
114
269
365
134
154
2,365
171
176
151
157
372
374
18
18
217
229
291
308
Automobile Asset Backed Securities - 7.51%
Ally Auto Receivables Trust 2014-3
0.81%, 09/15/2017(c)
Ally Auto Receivables Trust 2014-SN2
1.03%, 09/20/2017(c)
1.21%, 02/20/2019(c)
Ally Auto Receivables Trust 2015-2
0.87%, 03/15/2018(c)
Ally Auto Receivables Trust 2016-2
1.35%, 05/15/2020
AmeriCredit Automobile Receivables 2015-4
2.11%, 01/08/2021(c)
AmeriCredit Automobile Receivables 2016-1
1.20%, 06/10/2019(c)
AmeriCredit Automobile Receivables Trust
2015-3
0.96%, 01/08/2019(c)
AmeriCredit Automobile Receivables Trust
2016-2
2.87%, 11/08/2021(c)
BMW Vehicle Lease Trust 2015-1
1.24%, 12/20/2017
Capital Auto Receivables Asset Trust 2014-2
1.26%, 05/21/2018(c)
Capital Auto Receivables Asset Trust 2015-1
1.42%, 06/20/2018
Capital Auto Receivables Asset Trust 2015-2
0.85%, 10/20/2017(c)
Capital Auto Receivables Asset Trust 2016-1
1.15%, 11/20/2018(c)
CarMax Auto Owner Trust 2014-4
1.25%, 11/15/2019
CarMax Auto Owner Trust 2015-2
0.72%, 06/15/2018(c)
Chesapeake Funding LLC
1.69%, 04/07/2024(b),(c)
Drive Auto Receivables Trust 2015-D
1.31%, 06/15/2018(b),(c)
Enterprise Fleet Financing LLC
1.59%, 02/22/2021(b),(c)
Ford Credit Auto Owner Trust 2016-A
1.39%, 07/15/2020
GM Financial Automobile Leasing Trust
2014-1
1.76%, 05/21/2018(b)
GM Financial Automobile Leasing Trust
2016-2
0.95%, 10/22/2018(c)
Honda Auto Receivables 2015-3 Owner
Trust
0.92%, 11/20/2017
Mercedes Benz Auto Lease Trust 2015-B
0.96%, 01/16/2018(c)
Nissan Auto Receivables 2013-C Owner
Trust
0.67%, 08/15/2018(c)
Santander Drive Auto Receivables Trust 20145
1.77%, 09/16/2019
123
32
138
1,432
20
100
1,389
Principal
Amount (000's) Value (000's)
$
Airlines - 0.47%
American Airlines 2013-1 Class B Pass
Through Trust
5.63%, 01/15/2021(b)
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028
American Airlines 2015-1 Class A Pass
Through Trust
3.38%, 11/01/2028
American Airlines 2015-1 Class B Pass
Through Trust
3.70%, 11/01/2024
United Airlines 2014-1 Class A Pass Through
Trust
4.00%, 10/11/2027
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028
See accompanying notes.
406
845
1,251
138
$
Agriculture - 0.77%
Altria Group Inc
4.50%, 05/02/2043
9.95%, 11/10/2038
BAT International Finance PLC
2.75%, 06/15/2020(b)
Imperial Brands Finance PLC
3.75%, 07/21/2022(b)
Philip Morris International Inc
1.88%, 02/25/2021
4.38%, 11/15/2041
Pinnacle Operating Corp
9.00%, 11/15/2020(b)
Reynolds American Inc
3.25%, 06/12/2020
4.45%, 06/12/2025
5.70%, 08/15/2035
5.85%, 08/15/2045
6.88%, 05/01/2020
Airlines (continued)
US Airways 2001-1G Pass Through Trust
7.08%, 09/20/2022
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027
18,608
$
18,608
Value (000's)
Shares Held
(a)
BONDS - 62.34%
Principal
Amount (000's) Value (000's)
Value (000's)
111
131
137
137
2,310
600
2,310
600
1,893
1,894
775
778
425
429
1,000
1,001
949
949
425
434
300
300
2,411
2,413
350
351
590
590
295
295
1,000
1,002
1,433
1,433
81
81
1,027
1,027
319
319
450
453
645
646
1,000
1,000
694
694
897
897
693
692
450
451
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Automobile Asset Backed Securities (continued)
Santander Drive Auto Receivables Trust 20155
1.58%, 09/16/2019(c)
$
SunTrust Auto Receivables Trust 2015-1
0.99%, 06/15/2018(b),(c)
Volkswagen Auto Loan Enhanced Trust 20141
0.91%, 10/22/2018
World Omni Auto Receivables Trust 2014-B
1.14%, 01/15/2020
525$
527
156
156
433
432
700
701
22,992
$
Automobile Floor Plan Asset Backed Securities - 1.60%
Ally Master Owner Trust
1.60%, 10/15/2019
300
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(c)
3,100
GE Dealer Floorplan Master Note Trust
(c)
0.83%, 07/20/2019
1,500
3,099
374
210
40
214
41
175
246
185
191
410
170
35
75
422
181
39
86
355
190
90
5
358
194
90
5
200
202
120
84
410
410
235
See accompanying notes.
235
3,372
130
123
135
142
200
207
150
$
Banks - 7.35%
Associated Banc-Corp
2.75%, 11/15/2019
4.25%, 01/15/2025
Banco Inbursa SA Institucion de Banca
Multiple
4.13%, 06/06/2024(b)
Bank of America Corp
2.63%, 04/19/2021
3.50%, 04/19/2026
3.95%, 04/21/2025
4.20%, 08/26/2024
1,497
4,897
360
$
Automobile Parts & Equipment - 0.20%
Dana Holding Corp
5.50%, 12/15/2024
Lear Corp
5.25%, 01/15/2025
Nemak SAB de CV
5.50%, 02/28/2023(b)
ZF North America Capital Inc
4.75%, 04/29/2025(b)
Banks (continued)
Bank of America Corp (continued)
4.25%, 10/22/2026
6.10%, 12/29/2049(a),(c)
6.25%, 09/29/2049(a),(c)
Bank of New York Mellon Corp/The
2.50%, 04/15/2021
4.95%, 12/29/2049(a),(c)
Barclays PLC
8.25%, 12/29/2049(a),(c)
BPCE SA
2.65%, 02/03/2021
Citigroup Inc
2.70%, 03/30/2021
3.40%, 05/01/2026
4.60%, 03/09/2026
4.75%, 05/18/2046
CoBank ACB
6.25%, 12/29/2049(a),(c)
Compass Bank
2.75%, 09/29/2019
Cooperatieve Rabobank UA
4.38%, 08/04/2025
5.25%, 08/04/2045
11.00%, 12/29/2049(a),(b),(c)
Discover Bank/Greenwood DE
2.60%, 11/13/2018
Fifth Third Bank/Cincinnati OH
2.25%, 06/14/2021
2.88%, 10/01/2021
First Horizon National Corp
3.50%, 12/15/2020
Goldman Sachs Group Inc/The
2.55%, 10/23/2019
2.60%, 04/23/2020
3.50%, 01/23/2025
3.85%, 07/08/2024
4.25%, 10/21/2025
5.15%, 05/22/2045
5.38%, 12/29/2049(a),(c)
6.00%, 06/15/2020
6.75%, 10/01/2037
HSBC Holdings PLC
2.95%, 05/25/2021
3.60%, 05/25/2023
Huntington National Bank/The
1.06%, 04/24/2017(c)
ING Bank NV
2.00%, 11/26/2018(b)
5.80%, 09/25/2023(b)
Intesa Sanpaolo SpA
5.02%, 06/26/2024(b)
5.71%, 01/15/2026(b)
JPMorgan Chase & Co
4.13%, 12/15/2026
4.25%, 10/01/2027
4.50%, 01/24/2022
4.95%, 06/01/2045
5.00%, 12/29/2049(a),(c)
5.63%, 08/16/2043
Morgan Stanley
2.38%, 07/23/2019
2.50%, 04/21/2021
2.65%, 01/27/2020
4.00%, 07/23/2025
4.10%, 05/22/2023
4.30%, 01/27/2045
4.88%, 11/01/2022
5.55%, 12/29/2049(a),(c)
Popular Inc
7.00%, 07/01/2019
RBC USA Holdco Corp
5.25%, 09/15/2020
301
$
Automobile Manufacturers - 1.10%
American Honda Finance Corp
2.45%, 09/24/2020
Daimler Finance North America LLC
2.25%, 03/02/2020(b)
2.45%, 05/18/2020(b)
Ford Motor Co
7.40%, 11/01/2046
Ford Motor Credit Co LLC
8.00%, 12/15/2016
General Motors Co
3.50%, 10/02/2018
4.88%, 10/02/2023
6.25%, 10/02/2043
6.60%, 04/01/2036
General Motors Financial Co Inc
2.63%, 07/10/2017
3.25%, 05/15/2018
3.45%, 04/10/2022
4.30%, 07/13/2025
Jaguar Land Rover Automotive PLC
4.13%, 12/15/2018(b)
Navistar International Corp
8.25%, 11/01/2021
Nissan Motor Acceptance Corp
1.23%, 03/03/2017(b),(c)
Volkswagen International Finance NV
1.13%, 11/18/2016(b)
BONDS (continued)
152
624
160
425
162
439
200
200
645
135
310
355
655
139
316
367
124
Principal
Amount (000's) Value (000's)
$
276$
405
305
286
411
310
110
840
114
843
215
210
305
314
365
180
110
65
371
185
117
65
115
121
270
267
350
390
281
366
434
335
500
508
235
430
239
444
410
414
405
170
180
370
265
285
845
200
280
414
173
185
392
274
297
836
228
345
200
240
202
245
1,500
1,499
270
200
273
219
545
340
499
322
20
210
245
450
280
195
21
222
273
494
268
228
85
310
100
390
655
345
280
220
86
313
102
418
679
363
307
218
75
73
290
327
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Banks (continued)
Royal Bank of Scotland Group PLC
5.13%, 05/28/2024
Skandinaviska Enskilda Banken AB
5.75%, 11/29/2049(a),(c)
UBS AG/Jersey
7.25%, 02/22/2022(c)
UBS AG/Stamford CT
2.35%, 03/26/2020
UBS Group Funding Jersey Ltd
2.95%, 09/24/2020(b)
US Bancorp
2.35%, 01/29/2021
Wells Fargo & Co
2.50%, 03/04/2021
2.60%, 07/22/2020
4.40%, 06/14/2046
5.87%, 12/29/2049(a),(c)
Principal
Amount (000's) Value (000's)
$
50$
Beverages - 1.42%
Anheuser-Busch InBev Finance Inc
2.65%, 02/01/2021
3.30%, 02/01/2023
3.65%, 02/01/2026
4.70%, 02/01/2036
4.90%, 02/01/2046
Coca-Cola Icecek AS
4.75%, 10/01/2018(b)
Constellation Brands Inc
3.75%, 05/01/2021
3.88%, 11/15/2019
4.25%, 05/01/2023
Corp Lindley SA
6.75%, 11/23/2021(b)
6.75%, 11/23/2021
Pernod Ricard SA
5.75%, 04/07/2021(b)
583
245
251
270
277
365
371
600
619
440
180
170
110
451
185
173
117
22,503
955
265
870
510
650
990
279
932
573
762
250
261
25
20
105
26
21
109
44
66
50
75
235
271
4,349
$
Biotechnology - 0.20%
Celgene Corp
2.88%, 08/15/2020
4.63%, 05/15/2044
5.00%, 08/15/2045
5.25%, 08/15/2043
Gilead Sciences Inc
3.05%, 12/01/2016
4.60%, 09/01/2035
4.75%, 03/01/2046
235
30
85
30
243
31
94
34
135
45
15
136
50
17
605
$
Building Materials - 0.85%
Boise Cascade Co
6.38%, 11/01/2020
Cemex SAB de CV
7.25%, 01/15/2021(b)
7.75%, 04/16/2026(b)
CRH America Inc
8.13%, 07/15/2018
Martin Marietta Materials Inc
1.73%, 06/30/2017(c)
Masco Corp
4.38%, 04/01/2026
Norbord Inc
5.38%, 12/01/2020(b)
55
56
200
200
211
210
510
572
1,385
1,381
80
82
95
98
2,610
$
Chemicals - 0.58%
A Schulman Inc
6.88%, 06/01/2023(b)
Agrium Inc
3.38%, 03/15/2025
Aruba Investments Inc
8.75%, 02/15/2023(b)
See accompanying notes.
Chemicals (continued)
Axiall Corp
4.88%, 05/15/2023
Blue Cube Spinco Inc
9.75%, 10/15/2023(b)
Braskem Finance Ltd
5.75%, 04/15/2021(b)
CF Industries Inc
4.95%, 06/01/2043
5.15%, 03/15/2034
Consolidated Energy Finance SA
6.75%, 10/15/2019(b)
Cornerstone Chemical Co
9.38%, 03/15/2018(b)
Dow Chemical Co/The
4.38%, 11/15/2042
Eagle Spinco Inc
4.63%, 02/15/2021
Monsanto Co
3.95%, 04/15/2045
4.40%, 07/15/2044
Solvay Finance America LLC
3.40%, 12/03/2020(b)
49
615
$
BONDS (continued)
55
55
350
356
80
77
Principal
Amount (000's) Value (000's)
$
25$
26
40
46
200
200
95
70
87
68
200
188
70
69
80
82
40
41
195
55
181
54
225
$
Commercial Mortgage Backed Securities - 5.44%
Banc of America Commercial Mortgage Trust
2007-3
0.73%, 06/10/2049(b),(c)
Banc of America Commercial Mortgage Trust
2015-UBS7
3.71%, 09/15/2048
Banc of America Commercial Mortgage Trust
2016-UBS10
4.91%, 06/15/2049(c)
BCRR Trust 2009-1
5.86%, 07/17/2040(b)
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048
Citigroup Commercial Mortgage Trust 2015GC27
3.57%, 02/10/2048(c)
Citigroup Commercial Mortgage Trust 2015GC29
3.19%, 04/10/2048(c)
4.29%, 04/10/2048(c)
Citigroup Commercial Mortgage Trust 2016GC37
3.58%, 04/10/2049(c)
COMM 2007-C9 Mortgage Trust
6.01%, 12/10/2049(c)
COMM 2013-CCRE11 Mortgage Trust
1.20%, 10/10/2046(c),(d)
COMM 2015-PC1 Mortgage Trust
4.29%, 07/10/2050(c)
Credit Suisse Commercial Mortgage Trust
Series 2006-C5
0.86%, 12/15/2039(c),(d)
Credit Suisse Commercial Mortgage Trust
Series 2007-C3
5.89%, 06/15/2039(c)
Credit Suisse First Boston Mortgage Securities
Corp
0.57%, 11/15/2037(b),(c),(d)
4.77%, 07/15/2037
CSMC Series 2009-RR1
5.38%, 02/15/2040(b)
CSMC Series 2009-RR3
5.34%, 12/15/2043(b),(c)
DBUBS 2011-LC2 Mortgage Trust
4.54%, 07/10/2044(b)
GS Mortgage Securities Trust 2011-GC5
1.59%, 08/10/2044(b),(c),(d)
125
236
1,766
300
296
500
549
300
306
220
225
169
170
900
944
750
500
791
494
350
367
1,000
1,005
6,891
408
250
273
2,299
2
338
343
415
3
—
3
385
388
340
344
750
834
10,518
542
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
GS Mortgage Securities Trust 2012-GCJ7
2.66%, 05/10/2045(c),(d)
$
2,716$
GS Mortgage Securities Trust 2013-GC16
1.62%, 11/10/2046(c),(d)
2,849
GS Mortgage Securities Trust 2013-GCJ12
(c)
3.78%, 06/10/2046
250
GS Mortgage Securities Trust 2014-GC26
1.25%, 11/10/2047(c),(d)
5,000
GS Mortgage Securities Trust 2015-GC34
(c)
3.51%, 10/10/2048
375
JP Morgan Chase Commercial Mortgage
Securities Corp
1.99%, 12/15/2047(c),(d)
3,721
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043
232
JP Morgan Chase Commercial Mortgage
Securities Trust 2010-C1
5.95%, 06/15/2043(b)
400
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
3.15%, 08/15/2046
154
5.49%, 08/15/2046(b),(c)
350
JP Morgan Chase Commercial Mortgage
Securities Trust 2013-C16
1.30%, 12/15/2046(c),(d)
10,836
JPMBB Commercial Mortgage Securities
Trust 2014-C24
4.57%, 11/15/2047(c)
500
LB-UBS Commercial Mortgage Trust 2007C1
0.60%, 02/15/2040(c),(d)
15,460
LB-UBS Commercial Mortgage Trust 2007C2
5.43%, 02/15/2040
275
Morgan Stanley Bank of America Merrill
Lynch Trust 2012-C5
1.89%, 08/15/2045(b),(c),(d)
4,456
Morgan Stanley Bank of America Merrill
Lynch Trust 2014-C14
1.43%, 02/15/2047(c),(d)
9,805
Morgan Stanley Bank of America Merrill
Lynch Trust 2014-C16
1.38%, 06/15/2047(c),(d)
4,421
Morgan Stanley Bank of America Merrill
Lynch Trust 2015-C26
3.89%, 10/15/2048
250
Morgan Stanley Bank of America Merrill
Lynch Trust 2015-C27
3.75%, 12/15/2047(c)
100
Morgan Stanley Capital I Trust 2007-IQ13
5.36%, 03/15/2044(c)
103
MSBAM Commercial Mortgage Securities
Trust 2012-CKSV
1.26%, 10/15/2030(b),(c),(d)
3,709
UBS Commercial Mortgage Trust 2012-C1
(c)
3.40%, 05/10/2045
150
UBS-Barclays Commercial Mortgage Trust
2012-C3
3.09%, 08/10/2049(c)
255
UBS-Barclays Commercial Mortgage Trust
2012-C4
1.93%, 12/10/2045(b),(c),(d)
1,412
3.32%, 12/10/2045(b),(c)
500
UBS-Barclays Commercial Mortgage Trust
2013-C5
3.18%, 03/10/2046(c)
335
4.22%, 03/10/2046(b),(c)
175
WFRBS Commercial Mortgage Trust 2013C12
1.54%, 03/15/2048(b),(c),(d)
3,756
See accompanying notes.
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
WFRBS Commercial Mortgage Trust 2014C22
4.07%, 09/15/2057
$
219
167
Commercial Services - 0.04%
Ahern Rentals Inc
7.38%, 05/15/2023(b)
Jurassic Holdings III Inc
6.88%, 02/15/2021(b)
TMS International Corp
7.63%, 10/15/2021(b)
263
326
405
500$
$
55
38
55
35
85
$
262
Computers - 0.79%
Apple Inc
0.89%, 05/03/2018(c)
1.70%, 02/22/2019
2.85%, 05/06/2021
2.85%, 02/23/2023
3.25%, 02/23/2026
3.45%, 02/09/2045
4.65%, 02/23/2046
Compiler Finance Sub Inc
7.00%, 05/01/2021(b)
Denali International LLC / Denali Finance
Corp
5.63%, 10/15/2020(b)
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
4.42%, 06/15/2021(b)
5.88%, 06/15/2021(b)
6.02%, 06/15/2026(b)
7.13%, 06/15/2024(b)
Hewlett Packard Enterprise Co
2.85%, 10/05/2018(b)
4.90%, 10/15/2025(b)
6.20%, 10/15/2035(b)
233
430
154
381
574
508
30
279
273
Consumer Products - 0.02%
Spectrum Brands Inc
5.75%, 07/15/2025
269
Credit Card Asset Backed Securities - 1.00%
Barclays Dryrock Issuance Trust
0.80%, 12/16/2019(c)
Citibank Credit Card Issuance Trust
0.65%, 08/24/2018(c)
World Financial Network Credit Card Master
Trust
1.76%, 05/17/2021(c)
271
110
104
751
178
21
131
133
146
164
80
34
110
115
230
45
130
50
237
46
136
52
95
50
120
97
52
121
2,414
55
57
2,000
2,001
550
550
500
$
Distribution & Wholesale - 0.11%
American Builders & Contractors Supply Co
Inc
5.75%, 12/15/2023(b)
Global Partners LP / GLP Finance Corp
7.00%, 06/15/2023
HD Supply Inc
5.75%, 04/15/2024(b)
7.50%, 07/15/2020
WW Grainger Inc
4.60%, 06/15/2045
215
161
270
113
525
Diversified Financial Services - 1.72%
AerCap Ireland Capital Ltd / AerCap Global
Aviation Trust
3.95%, 02/01/2022
Aircastle Ltd
4.63%, 12/15/2018
5.00%, 04/01/2023
232
126
503
3,054
45
47
80
67
25
111
26
116
65
$
355
157
59
132
750
175
20
125
125
155
145
$
521
547
16,638
77
333
150
150
55
60
57
61
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Diversified Financial Services (continued)
Aircastle Ltd (continued)
5.13%, 03/15/2021
$
5.50%, 02/15/2022
Ally Financial Inc
3.25%, 11/05/2018
5.75%, 11/20/2025
CIT Group Inc
3.88%, 02/19/2019
Credit Acceptance Corp
6.13%, 02/15/2021
7.38%, 03/15/2023
Fly Leasing Ltd
6.38%, 10/15/2021
GE Capital International Funding Co
Unlimited Co
2.34%, 11/15/2020(b)
4.42%, 11/15/2035(b)
Intercontinental Exchange Inc
2.75%, 12/01/2020
International Lease Finance Corp
6.25%, 05/15/2019
National Rural Utilities Cooperative Finance
Corp
4.75%, 04/30/2043(c)
Navient Corp
5.00%, 10/26/2020
5.88%, 03/25/2021
6.13%, 03/25/2024
Peachtree Corners Funding Trust
3.98%, 02/15/2025(b)
Springleaf Finance Corp
5.25%, 12/15/2019
Vesey Street Investment Trust I
4.40%, 09/01/2016(c)
Visa Inc
2.20%, 12/14/2020
3.15%, 12/14/2025
4.30%, 12/14/2045
150$
40
156
42
85
90
85
90
380
382
105
65
100
62
200
194
163
438
168
491
320
332
95
102
125
123
10
65
80
9
61
70
125
125
110
103
765
769
615
630
205
634
674
237
5,277
$
Electric - 3.09%
Alabama Power Co
3.75%, 03/01/2045
3.85%, 12/01/2042
4.15%, 08/15/2044
CMS Energy Corp
3.00%, 05/15/2026
4.70%, 03/31/2043
4.88%, 03/01/2044
Commonwealth Edison Co
3.70%, 03/01/2045
4.35%, 11/15/2045
Consolidated Edison Co of New York Inc
4.50%, 12/01/2045
4.63%, 12/01/2054
Dominion Resources Inc/VA
3.90%, 10/01/2025
DTE Energy Co
6.38%, 04/15/2033
Dynegy Inc
7.38%, 11/01/2022
Edison International
3.75%, 09/15/2017
Electricite de France SA
2.35%, 10/13/2020(b)
3.63%, 10/13/2025(b)
4.95%, 10/13/2045(b)
5.63%, 12/29/2049(a),(b),(c)
Elwood Energy LLC
8.16%, 07/05/2026
Emera US Finance LP
2.70%, 06/15/2021(b)
See accompanying notes.
140
125
235
146
130
257
140
135
130
143
152
149
120
125
123
142
210
150
239
172
325
348
305
392
125
121
160
165
400
230
105
400
409
240
116
381
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
Exelon Corp
2.85%, 06/15/2020
$
4.45%, 04/15/2046
5.10%, 06/15/2045
Florida Power & Light Co
4.05%, 06/01/2042
Indiantown Cogeneration LP
9.77%, 12/15/2020
ITC Holdings Corp
3.25%, 06/30/2026(e)
Kentucky Utilities Co
3.30%, 10/01/2025
Louisville Gas & Electric Co
3.30%, 10/01/2025
MidAmerican Energy Co
4.25%, 05/01/2046
Mirant Mid-Atlantic Series C Pass Through
Trust
10.06%, 12/30/2028
Northern States Power Co/MN
3.40%, 08/15/2042
NRG Energy Inc
8.25%, 09/01/2020
Oncor Electric Delivery Co LLC
5.25%, 09/30/2040
Pacific Gas & Electric Co
3.50%, 06/15/2025
4.45%, 04/15/2042
PacifiCorp
2.95%, 06/01/2023
3.85%, 06/15/2021
PPL Capital Funding Inc
3.10%, 05/15/2026
PPL Electric Utilities Corp
3.00%, 09/15/2021
4.75%, 07/15/2043
PPL WEM Ltd / Western Power Distribution
Ltd
5.38%, 05/01/2021(b)
Public Service Electric & Gas Co
4.15%, 11/01/2045
Puget Energy Inc
6.00%, 09/01/2021
Southern California Edison Co
3.60%, 02/01/2045
Southern Co/The
2.95%, 07/01/2023
4.40%, 07/01/2046
Virginia Electric & Power Co
4.00%, 01/15/2043
4.45%, 02/15/2044
4.65%, 08/15/2043
Wisconsin Electric Power Co
4.30%, 12/15/2045
Xcel Energy Inc
3.30%, 06/01/2025
330$
140
115
340
149
132
160
179
109
120
75
75
285
308
115
124
205
232
127
120
40
41
125
129
120
147
245
105
267
118
185
150
195
165
190
192
80
115
85
139
440
490
115
130
285
332
260
270
145
105
150
113
35
125
65
37
144
76
105
120
180
$
Electronics - 0.15%
Fortive Corp
2.35%, 06/15/2021(b)
3.15%, 06/15/2026(b)
Keysight Technologies Inc
3.30%, 10/30/2019
Sanmina Corp
4.38%, 06/01/2019(b)
Tyco Electronics Group SA
7.13%, 10/01/2037
110
180
112
185
115
117
15
15
20
$
132
145
185
188
127
190
9,467
27
456
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Engineering & Construction - 0.06%
SBA Tower Trust
2.90%, 10/15/2044(b)
Entertainment - 0.41%
Carmike Cinemas Inc
6.00%, 06/15/2023(b)
CCM Merger Inc
9.13%, 05/01/2019(b)
Cinemark USA Inc
4.88%, 06/01/2023
DreamWorks Animation SKG Inc
6.88%, 08/15/2020(b)
Eldorado Resorts Inc
7.00%, 08/01/2023
GLP Capital LP / GLP Financing II Inc
4.38%, 04/15/2021
5.38%, 04/15/2026
Lions Gate Entertainment Corp
5.25%, 08/01/2018
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(b)
Pinnacle Entertainment Inc
5.63%, 05/01/2024(b)
Regal Entertainment Group
5.75%, 03/15/2022
WMG Acquisition Corp
6.00%, 01/15/2021(b)
WMG Holdings Corp
13.75%, 10/01/2019
Principal
Amount (000's) Value (000's)
$
170$
Environmental Control - 0.02%
Republic Services Inc
2.90%, 07/01/2026(e)
57
195
204
145
144
115
122
85
88
10
80
10
82
70
71
130
131
70
70
100
102
24
25
131
140
1,246
Food - 1.22%
Arcor SAIC
6.00%, 07/06/2023(b),(e),(f)
BI-LO LLC / BI-LO Finance Corp
9.25%, 02/15/2019(b)
Cencosud SA
5.50%, 01/20/2021
Gruma SAB de CV
4.88%, 12/01/2024(b)
Grupo Bimbo SAB de CV
4.88%, 06/27/2044(b)
Ingles Markets Inc
5.75%, 06/15/2023
JBS USA LLC / JBS USA Finance Inc
5.75%, 06/15/2025(b)
7.25%, 06/01/2021(b)
JM Smucker Co/The
2.50%, 03/15/2020
3.50%, 03/15/2025
4.38%, 03/15/2045
Kraft Heinz Foods Co
2.80%, 07/02/2020(b)
4.38%, 06/01/2046(b)
5.00%, 07/15/2035(b)
5.20%, 07/15/2045(b)
Post Holdings Inc
7.38%, 02/15/2022
7.75%, 03/15/2024(b)
Smithfield Foods Inc
5.25%, 08/01/2018(b)
5.88%, 08/01/2021(b)
TreeHouse Foods Inc
6.00%, 02/15/2024(b)
Wm Wrigley Jr Co
2.40%, 10/21/2018(b)
See accompanying notes.
45
Food (continued)
Wm Wrigley Jr Co (continued)
3.38%, 10/21/2020(b)
172
55
$
BONDS (continued)
Forest Products & Paper - 0.15%
Domtar Corp
6.25%, 09/01/2042
Resolute Forest Products Inc
5.88%, 05/15/2023
Sappi Papier Holding GmbH
7.50%, 06/15/2032(b)
Tembec Industries Inc
9.00%, 12/15/2019(b)
Verso Paper Holdings LLC / Verso Paper Inc
0.00%, 01/15/2019(g)
Gas - 0.09%
Dominion Gas Holdings LLC
2.80%, 11/15/2020
4.80%, 11/01/2043
Healthcare - Products - 1.15%
ConvaTec Finance International SA
8.25%, PIK 9.00%, 01/15/2019(b),(h)
DJO Finco Inc / DJO Finance LLC / DJO
Finance Corp
8.13%, 06/15/2021(b)
Hill-Rom Holdings Inc
5.75%, 09/01/2023(b),(c)
Kinetic Concepts Inc / KCI USA Inc
7.88%, 02/15/2021(b)
10.50%, 11/01/2018
Mallinckrodt International Finance SA /
Mallinckrodt CB LLC
5.63%, 10/15/2023(b)
Medtronic Inc
2.50%, 03/15/2020
4.38%, 03/15/2035
4.63%, 03/15/2045
Teleflex Inc
4.88%, 06/01/2026
Universal Hospital Services Inc
7.63%, 08/15/2020
Zimmer Biomet Holdings Inc
2.00%, 04/01/2018
2.70%, 04/01/2020
3.15%, 04/01/2022
3.55%, 04/01/2025
46
75
75
85
74
150
161
350
378
200
197
90
91
85
25
80
26
125
130
215
129
140
234
460
450
80
70
478
476
92
83
50
35
52
38
70
95
71
99
75
79
235
240
Principal
Amount (000's) Value (000's)
$
415$
$
285
295
75
59
50
44
75
58
55
$
9
465
$
268
11
279
260
10
200
196
135
117
60
61
70
65
75
65
165
154
355
440
400
368
498
470
40
40
110
101
285
810
95
150
287
820
97
155
3,504
$
Healthcare - Services - 1.46%
Aetna Inc
2.40%, 06/15/2021
2.75%, 11/15/2022
2.80%, 06/15/2023
3.20%, 06/15/2026
4.25%, 06/15/2036
4.38%, 06/15/2046
Anthem Inc
3.13%, 05/15/2022
4.35%, 08/15/2020
4.63%, 05/15/2042
Centene Corp
4.75%, 05/15/2022
5.63%, 02/15/2021(b)
5.75%, 06/01/2017
6.13%, 02/15/2024(b)
Cigna Corp
4.00%, 02/15/2022
Fresenius Medical Care US Finance II Inc
4.75%, 10/15/2024(b)
5.88%, 01/31/2022(b)
128
443
3,736
365
35
455
305
140
170
372
36
465
314
145
177
75
130
130
78
141
136
155
40
188
60
158
42
192
64
170
183
100
85
103
93
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Healthcare - Services (continued)
Fresenius Medical Care US Finance II
Inc (continued)
6.50%, 09/15/2018(b)
HCA Inc
4.75%, 05/01/2023
5.00%, 03/15/2024
5.25%, 04/15/2025
5.88%, 03/15/2022
Molina Healthcare Inc
5.38%, 11/15/2022(b)
MPH Acquisition Holdings LLC
7.13%, 06/01/2024(b)
UnitedHealth Group Inc
1.90%, 07/16/2018
4.63%, 07/15/2035
4.75%, 07/15/2045
WellCare Health Plans Inc
5.75%, 11/15/2020
Principal
Amount (000's) Value (000's)
$
55$
251
129
110
92
80
80
160
168
220
435
65
224
505
78
70
$
Holding Companies - Diversified - 0.03%
Argos Merger Sub Inc
7.13%, 03/15/2023(b)
Home Builders - 0.19%
CalAtlantic Group Inc
5.88%, 11/15/2024
Lennar Corp
4.13%, 12/01/2018
4.50%, 11/15/2019
4.75%, 11/15/2022(c)
4.88%, 12/15/2023
WCI Communities Inc
6.88%, 08/15/2021
Woodside Homes Co LLC / Woodside Homes
Finance Inc
6.75%, 12/15/2021(b)
90
Housewares - 0.04%
Newell Brands Inc
3.15%, 04/01/2021
3.85%, 04/01/2023
Insurance - 1.41%
American International Group Inc
3.30%, 03/01/2021
3.38%, 08/15/2020
Chubb INA Holdings Inc
2.30%, 11/03/2020
3.35%, 05/03/2026
CNO Financial Group Inc
4.50%, 05/30/2020
Liberty Mutual Group Inc
7.00%, 03/07/2067(b),(c)
Markel Corp
5.00%, 04/05/2046
Prudential Financial Inc
5.38%, 05/15/2045(c)
Travelers Cos Inc/The
3.75%, 05/15/2046
See accompanying notes.
Internet - 0.14%
Alibaba Group Holding Ltd
3.13%, 11/28/2021
Zayo Group LLC / Zayo Capital Inc
6.00%, 04/01/2023
36
90
20
105
40
91
21
107
40
150
149
135
Iron & Steel - 0.30%
AK Steel Corp
7.50%, 07/15/2023
7.63%, 05/15/2020
ArcelorMittal
6.50%, 03/01/2021(c)
8.00%, 10/15/2039(c)
BlueScope Steel Finance Ltd/BlueScope Steel
Finance USA LLC
6.50%, 05/15/2021(b)
Commercial Metals Co
4.88%, 05/15/2023
Signode Industrial Group Lux SA/Signode
Industrial Group US Inc
6.38%, 05/01/2022(b)
Vale Overseas Ltd
5.88%, 06/10/2021
25
127
53
123
$
113
191
$
52
69
121
50
65
Leisure Products & Services - 0.06%
NCL Corp Ltd
4.63%, 11/15/2020(b)
5.25%, 11/15/2019(b)
125
569
25
290
385
300
404
845
300
869
320
35
36
215
181
280
295
150
151
140
146
435$
725
490
250
Lodging - 0.17%
Boyd Gaming Corp
6.88%, 05/15/2023
MGM Growth Properties Operating
Partnership LP / MGP Escrow Co-Issuer Inc
5.63%, 05/01/2024(b)
MGM Resorts International
6.00%, 03/15/2023
6.63%, 12/15/2021
Wyndham Worldwide Corp
2.50%, 03/01/2018
170
732
484
4,328
172
428
50
50
51
48
15
255
15
247
35
36
240
227
165
158
130
$
130
912
$
100
81
181
100
80
45
48
60
63
55
30
58
33
305
$
308
510
Machinery - Construction & Mining - 0.01%
Vander Intermediate Holding II Corp
9.75%, PIK 10.50%, 02/01/2019(b),(h)
78
42
Machinery - Diversified - 0.01%
CNH Industrial Capital LLC
4.88%, 04/01/2021
30
31
90
230
30
100
267
37
200
202
75
69
180
206
Media - 2.37%
21st Century Fox America Inc
4.75%, 09/15/2044
5.40%, 10/01/2043
6.15%, 02/15/2041
Altice Financing SA
6.50%, 01/15/2022(b)
Altice Finco SA
7.63%, 02/15/2025(b)
CBS Corp
5.75%, 04/15/2020
129
410
256
$
72
4,467
35
$
$
93
$
Home Equity Asset Backed Securities - 0.06%
New Century Home Equity Loan Trust 20051
1.03%, 03/25/2035(c)
Saxon Asset Securities Trust 2004-1
2.15%, 03/25/2035(c)
Specialty Underwriting & Residential Finance
Trust Series 2004-BC1
1.22%, 02/25/2035(c)
Insurance (continued)
Voya Financial Inc
5.65%, 05/15/2053(c)
XLIT Ltd
4.45%, 03/31/2025
5.50%, 03/31/2045
59
245
125
105
85
Principal
Amount (000's) Value (000's)
BONDS (continued)
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Media (continued)
CCO Holdings LLC / CCO Holdings Capital
Corp
5.13%, 05/01/2023(b)
$
5.50%, 05/01/2026(b)
5.75%, 02/15/2026(b)
Charter Communications Operating LLC /
Charter Communications Operating Capital
4.46%, 07/23/2022(b)
4.91%, 07/23/2025(b)
6.38%, 10/23/2035(b)
6.48%, 10/23/2045(b)
6.83%, 10/23/2055(b)
Comcast Corp
3.15%, 03/01/2026
3.38%, 02/15/2025
4.20%, 08/15/2034
4.60%, 08/15/2045
6.40%, 03/01/2040
6.50%, 11/15/2035
DISH DBS Corp
5.88%, 07/15/2022
5.88%, 11/15/2024
6.75%, 06/01/2021
7.75%, 07/01/2026(b)
7.88%, 09/01/2019
NBCUniversal Enterprise Inc
1.31%, 04/15/2018(b),(c)
Neptune Finco Corp
10.13%, 01/15/2023(b)
Numericable-SFR SA
7.38%, 05/01/2026(b)
RCN Telecom Services LLC / RCN Capital
Corp
8.50%, 08/15/2020(b)
Time Warner Cable Inc
5.88%, 11/15/2040
6.75%, 07/01/2018
Time Warner Inc
2.10%, 06/01/2019
2.95%, 07/15/2026
3.60%, 07/15/2025
3.88%, 01/15/2026
4.05%, 12/15/2023
4.65%, 06/01/2044
4.85%, 07/15/2045
6.25%, 03/29/2041
Unitymedia Hessen GmbH & Co KG /
Unitymedia NRW GmbH
5.50%, 01/15/2023(b)
Univision Communications Inc
8.50%, 05/15/2021(b)
Viacom Inc
4.85%, 12/15/2034
Virgin Media Finance PLC
6.00%, 10/15/2024(b)
Walt Disney Co/The
2.30%, 02/12/2021
WideOpenWest Finance LLC /
WideOpenWest Capital Corp
13.38%, 10/15/2019
10.25%, 07/15/2019
345$
35
15
Mining (continued)
Barrick North America Finance LLC
4.40%, 05/30/2021
BHP Billiton Finance USA Ltd
2.05%, 09/30/2018
FMG Resources August 2006 Pty Ltd
6.88%, 04/01/2022(b)
9.75%, 03/01/2022(b)
Freeport-McMoRan Inc
2.30%, 11/14/2017
Newmont Mining Corp
4.88%, 03/15/2042
St Barbara Ltd
8.88%, 04/15/2018(b)
Taseko Mines Ltd
7.75%, 04/15/2019
Teck Resources Ltd
3.75%, 02/01/2023
8.00%, 06/01/2021(b)
8.50%, 06/01/2024(b)
347
35
15
350
220
40
120
170
376
240
47
143
202
170
85
35
25
345
15
181
92
38
29
482
21
85
110
105
25
274
83
102
109
26
302
720
723
215
241
200
198
125
128
5
120
5
132
135
80
150
70
135
70
120
165
137
81
159
75
149
74
130
208
150
151
37
39
295
275
200
196
175
182
130
75
138
78
7,250
Principal
Amount (000's) Value (000's)
$
220$
Metal Fabrication & Hardware - 0.02%
Wise Metals Intermediate Holdings LLC/Wise
Holdings Finance Corp
9.75%, PIK 10.50%, 06/15/2019(b),(h)
84
45
Mining - 0.33%
Aleris International Inc
9.50%, 04/01/2021(b)
15
15
Miscellaneous Manufacturers - 0.28%
Bombardier Inc
5.50%, 09/15/2018(b)
7.50%, 03/15/2025(b)
General Electric Co
5.30%, 02/11/2021
Ingersoll-Rand Global Holding Co Ltd
2.88%, 01/15/2019
5.75%, 06/15/2043
Ingersoll-Rand Luxembourg Finance SA
3.55%, 11/01/2024
Tyco International Finance SA
5.13%, 09/14/2045
5
135
95
128
105
75
74
115
114
200
201
80
50
70
20
15
53
21
16
1,019
55
45
54
39
129
150
150
60
155
74
205
216
150
$
Mortgage Backed Securities - 1.96%
Fannie Mae REMIC Trust 2005-W2
0.65%, 05/25/2035(c)
Fannie Mae REMICS
2.25%, 07/25/2040
3.00%, 04/25/2022(d)
3.00%, 04/25/2027(d)
3.50%, 11/25/2027(c),(d)
3.50%, 07/25/2028(c),(d)
3.50%, 03/25/2031(c),(d)
5.55%, 07/25/2039(c),(d)
5.56%, 07/25/2046(c),(d),(f)
5.60%, 01/25/2044(c),(d)
5.65%, 02/25/2043(c),(d)
5.65%, 03/25/2043(c),(d)
6.05%, 03/25/2022(c),(d)
Freddie Mac REMICS
0.89%, 06/15/2023(c)
3.00%, 09/15/2025(c),(d)
3.00%, 03/15/2026(c),(d)
3.00%, 05/15/2027(c),(d)
3.00%, 10/15/2027(c),(d)
3.50%, 11/15/2020(c),(d)
3.50%, 09/15/2026(c),(d)
4.00%, 11/15/2038(d)
5.61%, 04/15/2040(c),(d)
Freddie Mac Structured Agency Credit Risk
Debt Notes
1.30%, 04/25/2024(c)
Ginnie Mae
4.00%, 07/20/2036(c),(d)
4.50%, 04/16/2044(d)
5.15%, 02/20/2045(c),(d)
5.60%, 08/20/2043(c),(d)
5.66%, 07/16/2043(c),(d)
5.75%, 09/20/2044(c),(d)
5.75%, 11/20/2045(c),(d)
130
237
5
$
$
See accompanying notes.
BONDS (continued)
172
860
102
101
199
994
462
325
652
807
1,682
1,000
3,018
613
866
91
201
50
41
34
68
82
211
267
540
126
208
9
7
279
544
690
208
866
1,114
1,380
1,552
7
12
26
43
19
41
115
114
332
221
221
522
546
3,136
614
754
1,231
1,181
8
85
667
96
145
261
263
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Ginnie Mae (continued)
5.75%, 01/20/2046(c),(d)
$
6.16%, 04/16/2040(c),(d)
6.21%, 04/16/2042(c),(d)
HomeBanc Mortgage Trust 2005-5
0.79%, 01/25/2036(c)
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2006-AR1 Trust
0.70%, 02/25/2036(c)
Office & Business Equipment - 0.09%
Xerox Corp
2.95%, 03/15/2017
3.50%, 08/20/2020
6.75%, 02/01/2017
6.75%, 12/15/2039
Oil & Gas - 2.49%
Anadarko Petroleum Corp
3.45%, 07/15/2024
5.55%, 03/15/2026
6.60%, 03/15/2046
Apache Corp
4.25%, 01/15/2044
4.75%, 04/15/2043
Baytex Energy Corp
5.13%, 06/01/2021(b)
BP Capital Markets PLC
1.17%, 05/10/2019(c)
3.12%, 05/04/2026
Carrizo Oil & Gas Inc
6.25%, 04/15/2023
7.50%, 09/15/2020
Chaparral Energy Inc
0.00%, 10/01/2020(g)
0.00%, 11/15/2022(g)
Chesapeake Energy Corp
8.00%, 12/15/2022(b)
ConocoPhillips Co
1.53%, 05/15/2022(c)
Continental Resources Inc/OK
3.80%, 06/01/2024
4.50%, 04/15/2023
5.00%, 09/15/2022
Devon Energy Corp
2.25%, 12/15/2018
Ecopetrol SA
5.38%, 06/26/2026
Encana Corp
5.15%, 11/15/2041
EP Energy LLC / Everest Acquisition Finance
Inc
6.38%, 06/15/2023
9.38%, 05/01/2020
Exxon Mobil Corp
2.22%, 03/01/2021
4.11%, 03/01/2046
Halcon Resources Corp
8.63%, 02/01/2020(b)
12.00%, 02/15/2022(b)
Kerr-McGee Corp
7.88%, 09/15/2031
Laredo Petroleum Inc
5.63%, 01/15/2022
7.38%, 05/01/2022
Marathon Petroleum Corp
4.75%, 09/15/2044
Noble Energy Inc
3.90%, 11/15/2024
5.05%, 11/15/2044
See accompanying notes.
1,082$
1,130
2,004
274
274
435
605
523
131
$
92
5,991
$
81
124
10
48
263
80
125
10
50
250
260
100
244
287
121
25
90
24
92
45
38
650
155
645
158
10
125
10
127
90
81
53
49
150
127
235
223
170
115
70
148
107
68
625
621
50
49
150
118
BONDS (continued)
Oil & Gas (continued)
Northern Blizzard Resources Inc
7.25%, 02/01/2022(b)
Oasis Petroleum Inc
6.50%, 11/01/2021
6.88%, 03/15/2022
6.88%, 01/15/2023
PDC Energy Inc
7.75%, 10/15/2022
Petrobras Global Finance BV
4.38%, 05/20/2023
8.38%, 05/23/2021
Petroleos de Venezuela SA
6.00%, 05/16/2024
Petroleos Mexicanos
4.88%, 01/18/2024
6.88%, 08/04/2026(b)
8.00%, 05/03/2019
Phillips 66
4.65%, 11/15/2034
Pioneer Natural Resources Co
3.45%, 01/15/2021
4.45%, 01/15/2026
Repsol Oil & Gas Canada Inc
7.75%, 06/01/2019
Seven Generations Energy Ltd
6.75%, 05/01/2023(b)
Shell International Finance BV
4.00%, 05/10/2046
Sunoco LP / Sunoco Finance Corp
5.50%, 08/01/2020(b)
6.38%, 04/01/2023(b)
Whiting Petroleum Corp
5.00%, 03/15/2019
5.75%, 03/15/2021
Woodside Finance Ltd
3.65%, 03/05/2025(b)
WPX Energy Inc
7.50%, 08/01/2020
YPF SA
8.50%, 03/23/2021(b)
Principal
Amount (000's) Value (000's)
$
93$
65
45
140
59
42
127
135
140
250
160
203
165
200
71
100
60
300
101
67
334
165
176
280
110
289
120
430
472
20
20
135
138
60
90
59
89
70
35
64
32
80
78
100
100
55
$
Oil & Gas Services - 0.08%
Archrock Partners LP / Archrock Partners
Finance Corp
6.00%, 10/01/2022
PHI Inc
5.25%, 03/15/2019
Schlumberger Investment SA
3.30%, 09/14/2021(b)
Seventy Seven Operating LLC
0.00%, 11/15/2019(g)
39
120
360
30
371
34
105
9
99
8
115
137
5
45
5
45
81
69
Other Asset Backed Securities - 1.21%
CNH Equipment Trust 2014-C
1.65%, 09/15/2021(c)
Dell Equipment Finance Trust 2015-2
1.72%, 09/22/2020(b),(c)
JP Morgan Mortgage Acquisition Trust 2007CH3
0.60%, 03/25/2037(c)
Kubota Credit Owner Trust 2015-1
1.54%, 03/15/2019(b),(c)
Trade MAPS 1 Ltd
1.15%, 12/10/2018(b),(c)
Washington Mutural Asset-Backed
Certificates WMABS Series 2006-HE1 Trust
0.63%, 04/25/2036(c)
49
65
60
85
90
90
163
136
131
45
244
500
504
625
626
183
181
700
704
1,500
1,494
181
$
160
135
59
7,625
55
$
65
170
85
178
3,687
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Packaging & Containers - 0.54%
Ardagh Packaging Finance PLC / Ardagh
Holdings USA Inc
3.65%, 12/15/2019(b),(c)
$
Beverage Packaging Holdings Luxembourg II
SA / Beverage Packaging Holdings II
5.63%, 12/15/2016(b)
Coveris Holding Corp
10.00%, 06/01/2018(b)
Crown Cork & Seal Co Inc
7.38%, 12/15/2026
Packaging Corp of America
4.50%, 11/01/2023
Reynolds Group Issuer Inc / Reynolds Group
Issuer LLC / Reynolds Group Issuer
(Luxembourg) S.A.
4.13%, 07/15/2021(b),(c)
5.13%, 07/15/2023(b)
5.75%, 10/15/2020
7.00%, 07/15/2024(b)
WestRock RKT Co
3.50%, 03/01/2020
200$
25
105
105
132
145
330
359
40
66
108
15
565
$
Pharmaceuticals - 0.74%
AbbVie Inc
2.50%, 05/14/2020
3.20%, 05/14/2026
4.70%, 05/14/2045
Actavis Funding SCS
3.80%, 03/15/2025
4.55%, 03/15/2035
Baxalta Inc
4.00%, 06/23/2025
5.25%, 06/23/2045
Forest Laboratories LLC
5.00%, 12/15/2021(b)
JLL/Delta Dutch Pledgeco BV
8.75%, PIK 9.50%, 05/01/2020(b),(h)
Johnson & Johnson
2.45%, 03/01/2026
3.70%, 03/01/2046
Novartis Capital Corp
4.00%, 11/20/2045
Valeant Pharmaceuticals International Inc
5.63%, 12/01/2021(b)
5.88%, 05/15/2023(b)
7.50%, 07/15/2021(b)
See accompanying notes.
583
1,647
415
50
230
424
51
243
205
25
214
26
55
95
57
103
320
358
80
80
85
260
88
293
155
177
45
65
60
37
52
53
2,256
$
Pipelines - 1.56%
Boardwalk Pipelines LP
3.38%, 02/01/2023
Columbia Pipeline Group Inc
3.30%, 06/01/2020
Enbridge Inc
1.14%, 06/02/2017(c)
Energy Transfer Equity LP
5.88%, 01/15/2024
Energy Transfer Partners LP
4.05%, 03/15/2025
4.90%, 03/15/2035
EnLink Midstream Partners LP
4.15%, 06/01/2025
4.40%, 04/01/2024
5.05%, 04/01/2045
Enterprise Products Operating LLC
3.70%, 02/15/2026
4.90%, 05/15/2046
Kinder Morgan Energy Partners LP
4.70%, 11/01/2042
Pipelines (continued)
Kinder Morgan Inc/DE
3.05%, 12/01/2019
Magellan Midstream Partners LP
5.00%, 03/01/2026
MPLX LP
4.88%, 06/01/2025(b)
ONEOK Partners LP
4.90%, 03/15/2025
Sabine Pass Liquefaction LLC
5.63%, 03/01/2025
6.25%, 03/15/2022
Tesoro Logistics LP / Tesoro Logistics
Finance Corp
6.13%, 10/15/2021
6.25%, 10/15/2022
6.38%, 05/01/2024
TransCanada PipeLines Ltd
4.63%, 03/01/2034
5.00%, 10/16/2043
7.13%, 01/15/2019
Western Gas Partners LP
4.65%, 07/01/2026(e),(f)
5.45%, 04/01/2044
Williams Partners LP
3.60%, 03/15/2022
Williams Partners LP / ACMP Finance Corp
4.88%, 05/15/2023
201
25
40
65
105
15
BONDS (continued)
250
229
400
414
520
511
50
49
245
70
240
62
355
320
150
327
300
123
135
195
140
210
220
198
Private Equity - 0.05%
Icahn Enterprises LP / Icahn Enterprises
Finance Corp
4.88%, 03/15/2019
6.00%, 08/01/2020
Real Estate - 0.22%
American Campus Communities Operating
Partnership LP
3.35%, 10/01/2020
4.13%, 07/01/2024
Crescent Resources LLC / Crescent Ventures
Inc
10.25%, 08/15/2017(b)
Prologis LP
3.75%, 11/01/2025
Principal
Amount (000's) Value (000's)
$
100$
101
65
73
88
86
185
194
175
110
174
113
110
15
15
114
16
16
135
50
95
142
56
107
115
240
115
225
245
232
210
$
203
4,770
$
54
103
157
55
105
235
205
244
216
110
110
100
$
Regional Authority - 0.05%
Provincia de Buenos Aires/Argentina
9.13%, 03/16/2024
REITS - 1.38%
American Tower Corp
3.30%, 02/15/2021
3.50%, 01/31/2023
AvalonBay Communities Inc
2.95%, 05/11/2026
Brixmor Operating Partnership LP
4.13%, 06/15/2026
DDR Corp
3.63%, 02/01/2025
Duke Realty LP
3.25%, 06/30/2026
DuPont Fabros Technology LP
5.88%, 09/15/2021
Equinix Inc
4.88%, 04/01/2020
5.38%, 01/01/2022
5.38%, 04/01/2023
5.88%, 01/15/2026
Essex Portfolio LP
3.38%, 04/15/2026
132
107
677
150
165
80
125
84
129
285
286
120
123
205
206
65
66
105
110
35
35
115
40
36
36
119
42
355
362
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
REITS (continued)
Hospitality Properties Trust
4.25%, 02/15/2021
$
Host Hotels & Resorts LP
4.50%, 02/01/2026
Iron Mountain Inc
4.38%, 06/01/2021(b)
Iron Mountain US Holdings Inc
5.38%, 06/01/2026(b)
iStar Inc
4.88%, 07/01/2018
5.00%, 07/01/2019
6.50%, 07/01/2021
9.00%, 06/01/2017
Kimco Realty Corp
3.40%, 11/01/2022
4.25%, 04/01/2045
MPT Operating Partnership LP / MPT Finance
Corp
6.38%, 03/01/2024
Retail Properties of America Inc
4.00%, 03/15/2025
Select Income REIT
4.15%, 02/01/2022
Simon Property Group LP
2.50%, 09/01/2020
2.50%, 07/15/2021
Ventas Realty LP
3.13%, 06/15/2023
VEREIT Operating Partnership LP
4.13%, 06/01/2021
4.88%, 06/01/2026
Welltower Inc
4.25%, 04/01/2026
355$
370
95
100
115
116
65
63
See accompanying notes.
Retail (continued)
Michaels Stores Inc
5.88%, 12/15/2020(b)
Rite Aid Corp
6.13%, 04/01/2023(b)
Target Corp
3.63%, 04/15/2046
Tops Holding LLC / Tops Markets II Corp
8.00%, 06/15/2022(b)
Principal
Amount (000's) Value (000's)
$
91$
94
90
96
75
77
100
$
35
15
30
80
34
14
28
83
190
100
199
102
43
46
300
290
250
251
145
230
150
237
240
245
105
130
110
133
55
$
Retail - 1.34%
BMC Stock Holdings Inc
9.00%, 09/15/2018(b)
Claire's Stores Inc
9.00%, 03/15/2019(b)
CVS Health Corp
4.75%, 12/01/2022
5.00%, 12/01/2024
5.13%, 07/20/2045
CVS Pass-Through Trust
7.51%, 01/10/2032(b)
Dollar Tree Inc
5.75%, 03/01/2023(b)
Home Depot Inc/The
3.35%, 09/15/2025
JC Penney Corp Inc
5.65%, 06/01/2020
5.88%, 07/01/2023(b)
KFC Holding Co/Pizza Hut Holdings
LLC/Taco Bell of America LLC
5.00%, 06/01/2024(b)
5.25%, 06/01/2026(b)
L Brands Inc
6.88%, 11/01/2035
Landry's Holdings II Inc
10.25%, 01/01/2018(b)
Landry's Inc
9.38%, 05/01/2020(b)
Macy's Retail Holdings Inc
5.90%, 12/01/2016
6.90%, 04/01/2029
McDonald's Corp
2.10%, 12/07/2018
2.75%, 12/09/2020
3.70%, 01/30/2026
4.70%, 12/09/2035
4.88%, 12/09/2045
BONDS (continued)
Shipbuilding - 0.03%
Huntington Ingalls Industries Inc
5.00%, 11/15/2025(b)
Software - 0.54%
Activision Blizzard Inc
6.13%, 09/15/2023(b)
Fidelity National Information Services Inc
2.85%, 10/15/2018
First Data Corp
5.00%, 01/15/2024(b)
5.75%, 01/15/2024(b)
Microsoft Corp
2.00%, 11/03/2020
4.45%, 11/03/2045
MSCI Inc
5.25%, 11/15/2024(b)
5.75%, 08/15/2025(b)
Oracle Corp
1.90%, 09/15/2021(e)
2.65%, 07/15/2026(e)
4.00%, 07/15/2046(e)
4.38%, 05/15/2055
59
4,229
135
141
54
32
460
190
320
525
222
397
51
64
55
58
415
452
120
25
113
25
100
80
102
82
60
61
90
91
105
110
420
25
429
28
75
185
95
85
285
77
193
103
96
333
100
106
145
158
175
180
125
40
125
40
170
110
174
124
75
25
77
26
260
235
120
130
261
235
121
136
1,657
$
Sovereign - 0.81%
Argentine Republic Government International
Bond
6.88%, 04/22/2021(b)
7.50%, 04/22/2026(b)
Brazilian Government International Bond
4.25%, 01/07/2025
Croatia Government International Bond
6.38%, 03/24/2021
Dominican Republic International Bond
6.88%, 01/29/2026(b)
Hungary Government International Bond
5.38%, 02/21/2023
Mexico Government International Bond
4.13%, 01/21/2026
Panama Government International Bond
4.00%, 09/22/2024
Peruvian Government International Bond
5.63%, 11/18/2050
Poland Government International Bond
3.25%, 04/06/2026
Qatar Government International Bond
2.38%, 06/02/2021(b)
3.25%, 06/02/2026(b)
Romanian Government International Bond
4.88%, 01/22/2024(b)
Russian Foreign Bond - Eurobond
5.00%, 04/29/2020
7.50%, 03/31/2030(c)
Uruguay Government International Bond
5.10%, 06/18/2050
Venezuela Government International Bond
12.75%, 08/23/2022
150
150
160
162
200
197
200
218
100
110
70
78
200
217
200
215
60
74
75
76
200
250
202
255
70
77
100
184
108
224
60
60
95
$
133
88
4,089
48
2,481
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Student Loan Asset Backed Securities - 1.02%
Navient Private Education Loan Trust 2014A
0.92%, 05/16/2022(b),(c)
$
Navient Student Loan Trust 2014-8
0.73%, 08/25/2020(c)
Navient Student Loan Trust 2015-1
0.75%, 09/26/2022(c)
SLM Private Education Loan Trust 2012-A
1.84%, 08/15/2025(b),(c)
SLM Private Education Loan Trust 2012-C
1.54%, 08/15/2023(b),(c)
SLM Private Education Loan Trust 2012-E
1.19%, 10/16/2023(b),(c)
SLM Private Education Loan Trust 2013-A
1.04%, 08/15/2022(b),(c)
57$
See accompanying notes.
Telecommunications (continued)
Verizon Communications Inc
1.35%, 06/09/2017
2.41%, 09/14/2018(c)
2.63%, 02/21/2020
4.52%, 09/15/2048
5.01%, 08/21/2054
5.15%, 09/15/2023
Vodafone Group PLC
2.50%, 09/26/2022
Wind Acquisition Finance SA
7.38%, 04/23/2021(b)
57
202
202
1,607
1,602
119
119
8
8
Principal
Amount (000's) Value (000's)
$
410$
750
11
226
261
150
411
769
11
235
276
175
360
355
290
$
306
306
836
835
3,129
$
Telecommunications - 2.62%
AT&T Inc
2.45%, 06/30/2020
3.60%, 02/17/2023
3.80%, 03/15/2022
4.13%, 02/17/2026
4.45%, 05/15/2021
4.50%, 05/15/2035
6.00%, 08/15/2040
6.38%, 03/01/2041
B Communications Ltd
7.38%, 02/15/2021(b)
CC Holdings GS V LLC / Crown Castle GS
III Corp
3.85%, 04/15/2023
Cisco Systems Inc
1.60%, 02/28/2019
2.20%, 02/28/2021
Frontier Communications Corp
8.88%, 09/15/2020
11.00%, 09/15/2025
10.50%, 09/15/2022
Goodman Networks Inc
12.13%, 07/01/2018
Intelsat Jackson Holdings SA
7.25%, 10/15/2020
8.00%, 02/15/2024(b)
Intelsat Luxembourg SA
7.75%, 06/01/2021
8.13%, 06/01/2023
Level 3 Communications Inc
5.75%, 12/01/2022
Level 3 Financing Inc
5.13%, 05/01/2023
5.38%, 01/15/2024
6.13%, 01/15/2021
Ooredoo International Finance Ltd
3.88%, 01/31/2028
Sprint Capital Corp
6.88%, 11/15/2028
Sprint Communications Inc
6.00%, 11/15/2022
7.00%, 08/15/2020
9.00%, 11/15/2018(b)
9.13%, 03/01/2017
Sprint Corp
7.13%, 06/15/2024
7.88%, 09/15/2023
T-Mobile USA Inc
6.00%, 03/01/2023
6.13%, 01/15/2022
6.25%, 04/01/2021
6.50%, 01/15/2024
6.50%, 01/15/2026
6.63%, 04/28/2021
BONDS (continued)
230
365
335
200
95
365
195
135
235
381
356
215
104
373
228
164
35
37
510
544
145
265
147
273
25
175
120
27
181
127
95
48
Transportation - 0.75%
Burlington Northern Santa Fe LLC
3.85%, 09/01/2023
4.90%, 04/01/2044
CSX Corp
3.70%, 10/30/2020
3.95%, 05/01/2050
5.50%, 04/15/2041
6.25%, 03/15/2018
7.38%, 02/01/2019
Eletson Holdings Inc
9.63%, 01/15/2022(b)
FedEx Corp
4.55%, 04/01/2046
4.75%, 11/15/2045
Hornbeck Offshore Services Inc
5.00%, 03/01/2021
Navios Maritime Acquisition Corp / Navios
Acquisition Finance US Inc
8.13%, 11/15/2021(b)
Navios Maritime Holdings Inc / Navios
Maritime Finance II US Inc
7.38%, 01/15/2022(b)
Navios South American Logistics Inc / Navios
Logistics Finance US Inc
7.25%, 05/01/2022(b)
Union Pacific Corp
4.38%, 11/15/2065
185
95
206
113
320
50
85
200
170
344
50
109
217
195
110
86
75
345
81
385
65
39
190
149
140
62
185
130
120
$
95
20
68
20
95
115
23
28
Trucking & Leasing - 0.07%
Penske Truck Leasing Co Lp / PTL Finance
Corp
3.38%, 02/01/2022(b)
55
56
TOTAL BONDS
35
80
40
35
80
42
CONVERTIBLE BONDS - 0.03%
250
250
85
67
15
135
20
25
12
120
21
26
140
130
112
106
60
20
675
30
95
85
62
21
704
32
100
89
276
8,022
200
128
2,294
204
$
190,784
Principal
Amount (000's) Value (000's)
Semiconductors - 0.03%
Jazz US Holdings Inc
8.00%, 12/31/2018
60
86
TOTAL CONVERTIBLE BONDS
$
86
SENIOR FLOATING RATE INTERESTS Principal
1.94%
Amount (000's) Value (000's)
Aerospace & Defense - 0.04%
B/E Aerospace Inc, Term Loan B
3.75%, 12/16/2021(c)
Automobile Manufacturers - 0.04%
FCA US LLC, Term Loan B
3.50%, 05/24/2017(c)
Navistar Inc, Term Loan B
6.50%, 08/06/2020(c)
$
131$
132
72
72
45
$
Building Materials - 0.05%
Builders FirstSource Inc, Term Loan B
6.00%, 07/22/2022(c)
134
64
42
114
64
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
SENIOR FLOATING RATE INTERESTS
(continued)
Building Materials (continued)
GYP Holdings III Corp, Term Loan B
4.75%, 03/26/2021(c)
Chemicals - 0.17%
A Schulman Inc, Term Loan B
4.00%, 05/11/2022(c)
Aruba Investments Inc, Term Loan B
4.50%, 02/02/2022(c)
Axiall Holdco Inc, Term Loan B
4.00%, 02/25/2022(c)
Emerald Performance Materials LLC, Term
Loan
7.75%, 07/22/2022(c)
Ineos US Finance LLC, Term Loan B
3.75%, 12/15/2020(c)
Methanol Holdings Trinidad Ltd, Term Loan
B
4.25%, 06/16/2022(c)
Principal
Amount (000's) Value (000's)
$
88$
$
Computers - 0.02%
Oberthur Technologies of America Corp,
Term Loan B2
4.50%, 10/18/2019(c)
59
15
14
40
40
140
136
175
171
113
111
531
Consumer Products - 0.06%
Dell International LLC, Term Loan B
0.00%, 06/02/2023(c),(i)
Dell International LLC, Term Loan B2
4.00%, 04/29/2020(c)
75
Electric - 0.02%
Dynegy Inc, Term Loan C
0.00%, 06/22/2023(c),(i)
Entertainment - 0.23%
CCM Merger Inc, Term Loan B
4.50%, 07/30/2021(c)
Eldorado Resorts Inc, Term Loan B
3.55%, 07/15/2022(c)
Lions Gate Entertainment Corp, Term Loan
B
5.00%, 03/11/2022(c)
Peninsula Gaming LLC, Term Loan B
4.25%, 11/30/2017(c)
WMG Acquisition Corp, Term Loan B
3.75%, 07/07/2020(c)
60
60
120
119
179
150
$
115$
$
16
311
62
61
84
$
Healthcare - Services - 0.20%
Acadia Healthcare Co Inc, Term Loan B2
4.39%, 02/04/2023(c)
DaVita HealthCare Partners Inc, Term Loan
B
3.50%, 06/18/2021(c)
Lantheus Medical Imaging Inc, Term Loan B
7.00%, 06/24/2022(c)
MPH Acquisition Holdings LLC, Term Loan
B
5.00%, 05/25/2023(c)
Radnet Management Inc, Term Loan B
4.35%, 10/10/2018(c)
8.00%, 03/25/2021(c)
Insurance - 0.05%
Asurion LLC, Term Loan
8.50%, 02/19/2021(c)
Asurion LLC, Term Loan B1
5.00%, 05/24/2019(c)
Asurion LLC, Term Loan B2
4.25%, 06/19/2020(c)
50
83
144
55
54
44
44
228
201
170
170
14
130
14
124
607
65
62
32
32
51
$
150
49
143
Internet - 0.03%
Zayo Group LLC, Term Loan B
3.75%, 05/06/2021(c)
81
81
Investment Companies - 0.04%
Frank Russell Co, Term Loan B
6.75%, 05/10/2023(c)
125
120
95
95
50
50
24
24
74
73
49
155
155
63
64
140
142
79
79
272
Lodging - 0.03%
Hilton Worldwide Finance LLC, Term Loan
B
3.50%, 09/23/2020(c)
Media - 0.05%
Numericable US LLC, Term Loan B
5.00%, 01/08/2024(c)
Univision Communications Inc, Term Loan
C3
4.00%, 03/01/2020(c)
Univision Communications Inc, Term Loan
C4
4.00%, 03/01/2020(c)
WideOpenWest Finance LLC, Term Loan B
4.50%, 04/01/2019(c)
268
708
34
34
25
25
40
40
99
$
Forest Products & Paper - 0.10%
Caraustar Industries Inc, Term Loan B
8.00%, 04/26/2019(c)
8.00%, 05/01/2019(c)
NewPage Corp, DIP Delay-Draw Term Loan
DD
11.00%, 07/26/2017(c)
NewPage Corp, DIP Term Loan ROLL UP
11.00%, 07/26/2017(c)
See accompanying notes.
Principal
Amount (000's) Value (000's)
$
$
Food - 0.03%
B&G Foods Inc, Term Loan B
3.75%, 10/21/2022(c)
JBS USA LLC, Term Loan B
4.16%, 08/18/2022(c)
Pinnacle Foods Finance LLC, Term Loan I
3.61%, 01/13/2023(c)
Healthcare - Products - 0.05%
Kinetic Concepts Inc, Term Loan F1
5.00%, 11/04/2020(c)
Mallinckrodt International Finance SA, Term
Loan B
3.25%, 03/19/2021(c)
74
$
Diversified Financial Services - 0.05%
Delos Finance Sarl, Term Loan B
3.50%, 02/26/2021(c)
Forest Products & Paper (continued)
NewPage Corp, Term Loan B
0.00%, 02/05/2021(c),(g)
86
150
59
$
SENIOR FLOATING RATE INTERESTS
(continued)
84
154
84
154
23
23
62
34
19
$
135
19
166
Mining - 0.03%
FMG Resources August 2006 Pty Ltd, Term
Loan B
4.25%, 06/30/2019(c)
97
92
Oil & Gas - 0.04%
Drillships Financing Holding Inc, Term Loan
B1
6.00%, 03/31/2021(c)
67
26
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
SENIOR FLOATING RATE INTERESTS
(continued)
Oil & Gas (continued)
EP Energy LLC, Term Loan B3
3.50%, 05/24/2018(c)
Seadrill Operating LP, Term Loan B
4.00%, 02/12/2021(c)
Principal
Amount (000's) Value (000's)
$
40$
131
$
Oil & Gas Services - 0.09%
Navios Maritime Midstream Partners LP,
Term Loan B
5.36%, 06/15/2020(c)
Seventy Seven Operating LLC, Term Loan B
3.75%, 06/17/2021(c)
267
29
39
54
44
83
82
105
102
48
240
See accompanying notes.
10
249
106
99
130
130
45
45
60
60
80
80
94
93
507
85
91
91
176
6
6
59
59
$
60$
20
$
80
Federal National Mortgage Association (FNMA) - 13.70%
2.43%, 07/01/2034(c)
3
2.50%, 03/01/2030
871
(j)
2.50%, 07/01/2031
5,880
3.00%, 10/01/2030
2,334
3.00%, 07/01/2031(j)
750
3.00%, 03/01/2034
582
3.00%, 11/01/2042
1,078
3.00%, 05/01/2043
266
3.00%, 07/01/2046(j)
1,450
3.50%, 04/01/2030
639
3.50%, 08/01/2034
706
3.50%, 01/01/2041
64
3.50%, 11/01/2042
1,275
3.50%, 07/01/2043
1,329
3.50%, 07/01/2043
517
3.50%, 09/01/2044
3,053
3.50%, 11/01/2044
2,492
85
$
Software - 0.05%
Activision Blizzard Inc, Term Loan B
3.25%, 07/26/2020(c)
Evergreen Skills Lux Sarl, Term Loan
3.75%, 04/08/2021(c)
47
336
239
10
Principal
Amount (000's) Value (000's)
59
20
144
79
TOTAL SENIOR FLOATING RATE INTERESTS
$
5,927
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 36.94%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 4.41%
2.75%, 02/01/2037(c)
$
24$
25
2.86%, 02/01/2034(c)
3
4
3.00%, 11/01/2042
440
461
3.00%, 03/01/2043
1,919
2,022
3.50%, 10/01/2045
815
871
3.50%, 07/01/2046(j)
800
843
4.00%, 02/01/2044
530
574
4.00%, 10/01/2044
746
807
4.00%, 01/01/2045
702
760
4.00%, 01/01/2046
1,469
1,576
4.50%, 07/01/2024
44
48
4.50%, 12/01/2043
1,803
1,987
4.50%, 09/01/2044
426
468
5.00%, 05/01/2018
67
68
5.00%, 06/01/2031
204
227
5.00%, 10/01/2035
72
80
5.00%, 06/01/2041
2,012
2,255
6.00%, 03/01/2031
17
19
6.00%, 06/01/2032
38
43
6.00%, 10/01/2032
24
27
6.00%, 01/01/2038
112
131
6.50%, 03/01/2029
6
7
6.50%, 05/01/2029
8
10
6.50%, 04/01/2031
4
4
6.50%, 02/01/2032
8
9
6.50%, 05/01/2032
7
9
6.50%, 05/01/2032
8
9
6.50%, 04/01/2035
12
14
7.00%, 12/01/2029
22
24
7.00%, 06/01/2030
4
5
7.00%, 12/01/2030
4
4
7.00%, 01/01/2031
1
1
7.00%, 01/01/2031
3
4
7.00%, 02/01/2031
1
2
7.00%, 12/01/2031
35
37
7.50%, 04/01/2030
5
6
7.50%, 09/01/2030
2
2
7.50%, 03/01/2031
14
16
8.00%, 09/01/2030
37
39
$
13,498
54
92
45
$
Semiconductors - 0.06%
Avago Technologies Cayman Finance Ltd,
Term Loan B1
4.25%, 11/11/2022(c)
NXP BV, Term Loan B
3.75%, 11/05/2020(c)
Trucking & Leasing - 0.03%
Fly Funding II Sarl, Term Loan
3.50%, 08/09/2019(c)
25
280
61
$
Retail - 0.16%
Academy Ltd, Term Loan B
5.00%, 06/16/2022(c)
Dollar Tree Inc, Term Loan B2
4.18%, 07/06/2022(c)
JC Penney Corp Inc
5.25%, 06/09/2023(c)
KFC Holding Co
0.00%, 06/02/2023(c),(i)
Michaels Stores Inc, Term Loan B2
4.00%, 01/20/2028(c)
PetSmart Inc, Term Loan B
4.25%, 03/11/2022(c)
58
119
63
$
REITS - 0.08%
iStar Inc, Term Loan B
5.50%, 07/01/2020(c)
MGM Growth Properties Operating
Partnership LP, Term Loan B
4.00%, 04/07/2023(c)
35
38
$
Pharmaceuticals - 0.11%
DPx Holdings BV, Term Loan B
4.25%, 01/22/2021(c)
Endo Luxembourg Finance Co I Sarl, Term
Loan B
3.75%, 06/24/2022(c)
Grifols Worldwide Operations USA Inc, Term
Loan B
3.46%, 03/05/2021(c)
Valeant Pharmaceuticals International Inc,
Term Loan BE1
4.75%, 08/05/2020(c)
Valeant Pharmaceuticals International Inc,
Term Loan BF1
5.00%, 04/01/2022(c)
Software (continued)
First Data Corp, Term Loan B
4.20%, 07/08/2022(c)
4.45%, 03/24/2021(c)
255
$
Packaging & Containers - 0.03%
Berry Plastics Group Inc, Term Loan H
3.75%, 10/01/2022(c)
SIG Combibloc PurchaseCo Sarl, Term Loan
B
4.25%, 03/11/2022(c)
SENIOR FLOATING RATE INTERESTS
(continued)
136
3
904
6,083
2,462
786
614
1,132
279
1,505
687
751
68
1,346
1,421
553
3,264
2,660
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 07/01/2045(j)
$
3,825$
4.00%, 10/01/2019
36
4.00%, 08/01/2020
180
4.00%, 03/01/2034
680
4.00%, 11/01/2040
2,219
4.00%, 09/01/2043
974
4.00%, 06/01/2044
450
4.00%, 05/01/2045
700
4.00%, 12/01/2045
1,232
4.50%, 07/01/2025
89
4.50%, 11/01/2040
1,354
4.50%, 09/01/2041
378
4.50%, 12/01/2044
268
5.00%, 02/01/2035
264
5.00%, 06/01/2040
23
5.00%, 10/01/2041
353
5.00%, 01/01/2042
367
5.50%, 06/01/2019
26
5.50%, 07/01/2019
15
5.50%, 07/01/2019
7
5.50%, 08/01/2019
4
5.50%, 08/01/2019
21
5.50%, 10/01/2019
31
5.50%, 10/01/2019
40
5.50%, 12/01/2022
35
5.50%, 07/01/2033
405
5.50%, 04/01/2035
40
5.50%, 08/01/2036
805
5.50%, 02/01/2037
14
5.50%, 05/01/2040
68
6.00%, 05/01/2031
4
6.00%, 07/01/2035
253
6.00%, 02/01/2037
208
6.00%, 02/01/2038
104
6.50%, 03/01/2032
11
6.50%, 07/01/2037
49
6.50%, 07/01/2037
70
6.50%, 02/01/2038
54
6.50%, 03/01/2038
28
6.50%, 09/01/2038
282
7.00%, 02/01/2032
17
$
Government National Mortgage Association (GNMA) 6.41%
1.50%, 07/20/2043(c)
371
3.00%, 02/15/2043
630
3.00%, 07/20/2044
967
3.00%, 01/20/2046
682
3.00%, 07/01/2046
2,900
3.50%, 10/15/2042
76
3.50%, 07/01/2046
5,450
4.00%, 02/15/2042
249
4.00%, 07/01/2045(j)
2,750
4.00%, 02/20/2046
624
4.50%, 09/15/2039
888
4.50%, 11/15/2040
213
4.50%, 07/20/2045
694
5.00%, 02/15/2034
407
5.00%, 10/15/2034
145
5.00%, 10/20/2039
91
5.00%, 07/20/2040
47
5.00%, 02/15/2042
166
5.50%, 12/20/2033
200
5.50%, 05/20/2035
22
6.00%, 01/20/2029
37
6.00%, 07/20/2029
6
6.00%, 12/15/2033
35
6.00%, 12/20/2036
113
6.50%, 03/20/2028
6
6.50%, 05/20/2029
5
6.50%, 12/15/2032
517
7.00%, 03/15/2031
14
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
7.50%, 05/15/2029
$
18$
18
8.00%, 12/15/2030
9
11
$
19,609
Principal
Amount (000's) Value (000's)
4,036
37
187
740
2,421
1,056
486
757
1,326
95
1,493
415
293
297
26
394
413
27
16
7
4
22
32
43
39
459
45
907
16
77
5
292
237
121
12
59
85
66
32
333
18
41,944
U.S. Treasury - 11.33%
0.50%, 11/30/2016
0.63%, 08/15/2016
0.88%, 04/30/2017(k)
0.88%, 07/15/2018
1.00%, 08/31/2016
1.38%, 01/31/2020
1.38%, 03/31/2020
1.38%, 04/30/2020
1.75%, 09/30/2019(l)
1.75%, 04/30/2022
1.88%, 11/30/2021
2.00%, 05/31/2021
2.00%, 10/31/2021
2.00%, 02/15/2025
2.13%, 05/15/2025
2.63%, 01/31/2018
2.75%, 08/15/2042
2.88%, 08/15/2045
3.00%, 11/15/2044
3.00%, 05/15/2045
3.00%, 11/15/2045
3.13%, 02/15/2042
3.13%, 08/15/2044
3.75%, 11/15/2043
4.75%, 02/15/2037
U.S. Treasury Inflation-Indexed Obligations - 1.09%
0.13%, 04/15/2019
0.13%, 01/15/2022
0.25%, 01/15/2025
445
910
850
1,125
300
5,825
250
300
4,800
60
2,550
720
540
1,300
750
1,700
210
675
1,450
190
2,000
590
70
1,500
2,500
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
(k)
(l)
137
$
167
366
2,795
3,328
163
359
2,753
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
Total Investments
Other Assets and Liabilities - (7.78)%
TOTAL NET ASSETS - 100.00%
380
660
1,013
714
3,032
81
5,784
271
2,955
668
978
237
745
460
164
101
52
186
226
25
43
8
41
131
7
7
595
16
$
445
911
853
1,131
300
5,936
255
306
4,950
62
2,655
754
566
1,360
792
1,755
231
758
1,667
218
2,300
697
82
1,979
3,719
34,682
$
$
$
$
113,061
329,855
(23,804)
306,051
Perpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $37,742 or 12.33% of net
assets.
Variable Rate. Rate shown is in effect at June 30, 2016.
Security is an Interest Only Strip.
Security purchased on a when-issued basis.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$457 or 0.15% of net assets.
Non-Income Producing Security
Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
This Senior Floating Rate Note will settle after June 30, 2016, at which
time the interest rate will be determined.
Security was purchased in a "to-be-announced" ("TBA") transaction. See
Notes to Financial Statements for additional information.
Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the end of the period, the value of
these securities totaled $362 or 0.12% of net assets.
Security or a portion of the security was pledged to cover margin
requirements for swap and/or swaption contracts. At the end of the period,
the value of these securities totaled $794 or 0.26% of net assets.
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
Portfolio Summary (unaudited)
Sector
Mortgage Securities
Government
Financial
Asset Backed Securities
Consumer, Non-cyclical
Investment Companies
Communications
Consumer, Cyclical
Energy
Industrial
Utilities
Basic Materials
Technology
Diversified
Other Assets and Liabilities
TOTAL NET ASSETS
Percent
31.92%
13.28%
12.76%
12.40%
7.47%
6.08%
5.28%
4.59%
4.26%
3.27%
3.20%
1.66%
1.58%
0.03%
(7.78)%
100.00%
Exchange Cleared Credit Default Swaps
Buy Protection
Reference Entity
CDX.HY.26
CDX.NA.HY.25
CDX.NA.HY.25
(Pay)/
Receive Fixed
Rate
(5.00)%
(5.00)%
(5.00)%
Total
Unrealized
Upfront
Appreciation/
Premiums
Expiration
Notional
Paid/(Received) (Depreciation)
Date
Amount
06/20/2021 $
3,500$
(98) $
(14) $
12/20/2020
4,356
19
(200)
12/20/2020
4,356
(13)
(168)
$
(92) $
(382) $
Fair Value
(112)
(181)
(181)
(474)
Amounts in thousands
Futures Contracts
Type
US 10 Year Ultra Note; September 2016
US 2 Year Note; September 2016
US 5 Year Note; September 2016
US Long Bond; September 2016
US Ultra Bond; September 2016
Total
Long/Short
Long
Short
Long
Long
Long
Contracts
22
25
66
13
22
Amounts in thousands except contracts
See accompanying notes.
138
Notional Value
$
3,097
5,445
7,924
2,122
3,829
Fair Value
$
Unrealized
Appreciation/(Depreciation)
3,205 $
108
5,483
(38)
8,063
139
2,240
118
4,100
271
$
598
Schedule of Investments
Diversified Balanced Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.03%
Shares Held
Value (000's)
Principal Funds, Inc. Institutional Class - 14.55%
International Equity Index Fund (a)
8,126,932 $
MidCap S&P 400 Index Fund (a)
2,258,691
SmallCap S&P 600 Index Fund (a)
1,856,979
$
Principal Variable Contracts Funds, Inc. Class 1 - 85.48%
Bond Market Index Account (a)
50,931,240
LargeCap S&P 500 Index Account (a)
25,143,863
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.03)%
TOTAL NET ASSETS - 100.00%
(a)
71,761
42,599
42,525
156,885
546,492
375,649
922,141
1,079,026
1,079,026
(273)
1,078,753
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Percent
50.66%
42.71%
6.66%
(0.03)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
50,813,812 $ 511,814
7,867,228
77,275
24,934,691
242,039
2,342,483
35,165
1,892,320
33,588
$ 899,881
Purchases
Shares
4,103,149
975,921
1,952,956
224,551
222,563
$
$
—
—
—
—
—
—
$
(3)
(12)
531
10
(7)
519
$
Amounts in thousands except shares
See accompanying notes.
Sales
Shares
3,985,721
716,217
1,743,784
308,343
257,904
Sales
Proceeds
$
41,413
6,322
25,045
5,509
5,662
$
83,951
Realized Gain/Loss
on Investments
Income
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Purchases
Cost
$
43,068
8,394
26,862
3,717
4,542
$
86,583
139
$
$
June 30, 2016 June 30, 2016
Shares
Cost
50,931,240$ 513,466
8,126,932
79,335
25,143,863
244,387
2,258,691
33,383
1,856,979
32,461
$ 903,032
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
Schedule of Investments
Diversified Balanced Managed Volatility Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.03%
Shares Held
Value (000's)
Principal Funds, Inc. Institutional Class - 14.54%
International Equity Index Fund (a)
1,165,613 $
MidCap S&P 400 Index Fund (a)
323,974
SmallCap S&P 600 Index Fund (a)
266,356
$
10,292
6,110
6,100
22,502
Principal Variable Contracts Funds, Inc. Class 1 - 85.49%
Bond Market Index Account (a)
7,305,775
LargeCap S&P 500 Managed Volatility Index
4,640,716
Account (a)
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.03)%
TOTAL NET ASSETS - 100.00%
(a)
78,391
53,925
132,316
154,818
154,818
(43)
154,775
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Managed
Volatility Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Percent
50.65%
42.73%
6.65%
(0.03)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
6,817,647 $
69,933
1,055,620
10,691
4,281,462
47,120
314,314
253,917
$
6,082
6,107
139,933
Purchases
Shares
999,484
211,350
621,602
Purchases
Cost
$
10,469
1,830
6,820
53,101
48,887
901
1,015
21,035
$
$
$
—
—
—
—
—
—
$
$
(1)
2
—
2
1
4
$
Amounts in thousands except shares
See accompanying notes.
43,441
36,448
773
798
10,703
Realized Gain/Loss
on Investments
Income
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Managed Volatility
Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Sales
Sales
Shares
Proceeds
511,356 $
5,306
101,357
894
262,348
2,932
140
$
$
June 30, 2016 June 30, 2016
Shares
Cost
7,305,775$
75,095
1,165,613
11,629
4,640,716
51,008
323,974
266,356
$
6,212
6,325
150,269
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
Schedule of Investments
Diversified Growth Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.02%
Shares Held
Value (000's)
Principal Funds, Inc. Institutional Class - 19.45%
International Equity Index Fund (a)
36,755,414 $
MidCap S&P 400 Index Fund (a)
8,936,322
SmallCap S&P 600 Index Fund (a)
7,346,975
$
Principal Variable Contracts Funds, Inc. Class 1 - 80.57%
Bond Market Index Account (a)
112,818,512
LargeCap S&P 500 Index Account (a)
102,318,548
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.02)%
TOTAL NET ASSETS - 100.00%
(a)
324,550
168,539
168,246
661,335
1,210,543
1,528,639
2,739,182
3,400,517
3,400,517
(845)
3,399,672
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
Fixed Income Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Percent
54.87%
35.61%
9.54%
(0.02)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
110,605,381 $ 1,116,309
34,947,810
351,945
99,688,722
1,086,447
9,105,130
147,871
7,355,404
144,123
$ 2,846,695
Purchases
Shares
11,654,247
4,049,083
6,818,049
780,916
791,460
$
$
—
—
—
—
—
—
$
(36)
(37)
(104)
12
5
(160)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Shares
9,441,116
2,241,479
4,188,223
949,724
799,889
Sales
Proceeds
$
97,960
19,830
60,135
16,993
17,624
$ 212,542
Realized Gain/Loss
on Investments
Income
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Purchases
Cost
$ 122,290
34,855
94,177
12,978
16,210
$ 280,510
141
$
$
June 30, 2016 June 30, 2016
Shares
Cost
112,818,512$ 1,140,603
36,755,414
366,933
102,318,548 1,120,385
8,936,322
143,868
7,346,975
142,714
$ 2,914,503
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
Schedule of Investments
Diversified Growth Managed Volatility Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.03%
Shares Held
Value (000's)
Principal Funds, Inc. Institutional Class - 19.45%
International Equity Index Fund (a)
3,107,157 $
MidCap S&P 400 Index Fund (a)
755,409
SmallCap S&P 600 Index Fund (a)
621,064
$
27,436
14,247
14,223
55,906
Principal Variable Contracts Funds, Inc. Class 1 - 80.58%
Bond Market Index Account (a)
9,536,110
LargeCap S&P 500 Managed Volatility Index
11,129,050
Account (a)
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.03)%
TOTAL NET ASSETS - 100.00%
(a)
102,321
129,320
231,641
287,547
287,547
(75)
287,472
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
Fixed Income Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Managed
Volatility Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Percent
54.90%
35.59%
9.54%
(0.03)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
8,723,872 $
89,404
2,756,555
28,002
10,062,306
110,845
718,180
580,172
$
13,911
13,984
256,146
Purchases
Shares
1,556,395
553,560
1,448,275
Purchases
Cost
$
16,319
4,802
15,972
Sales
Shares
744,157
202,958
381,531
Sales
Proceeds
$
7,718
1,789
4,248
120,106
110,860
2,053
2,316
41,462
82,877
69,968
1,476
1,536
16,767
$
Realized Gain/Loss
on Investments
Income
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Managed Volatility
Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
$
$
—
—
—
—
—
—
$
—
2
(1)
6
(1)
6
$
Amounts in thousands except shares
See accompanying notes.
$
142
$
$
June 30, 2016 June 30, 2016
Shares
Cost
9,536,110$
98,005
3,107,157
31,017
11,129,050
122,568
755,409
621,064
$
14,494
14,763
280,847
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
Schedule of Investments
Diversified Income Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.03%
Shares Held
Principal Funds, Inc. Institutional Class - 9.68%
International Equity Index Fund (a)
MidCap S&P 400 Index Fund (a)
SmallCap S&P 600 Index Fund (a)
Value (000's)
977,442 $
356,666
293,235
$
8,631
6,727
6,715
22,073
Principal Variable Contracts Funds, Inc. Class 1 - 90.35%
Bond Market Index Account (a)
13,941,967
LargeCap S&P 500 Index Account (a)
3,781,446
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.03)%
TOTAL NET ASSETS - 100.00%
(a)
149,597
56,495
206,092
228,165
228,165
(61)
228,104
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Percent
65.58%
30.67%
3.78%
(0.03)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
12,714,521 $ 129,365
865,340
8,768
3,428,317
41,108
338,175
5,822
273,191
5,787
$ 190,850
Purchases
Shares
2,294,518
230,849
744,866
78,977
70,533
$
$
—
—
—
—
—
—
$
6
1
—
1
(3)
5
$
Amounts in thousands except shares
See accompanying notes.
Sales
Shares
1,067,072
118,747
391,737
60,486
50,489
Sales
Proceeds
$
11,130
1,047
5,635
1,081
1,105
$
19,998
Realized Gain/Loss
on Investments
Income
Bond Market Index Account
International Equity Index Fund
LargeCap S&P 500 Index Account
MidCap S&P 400 Index Fund
SmallCap S&P 600 Index Fund
Purchases
Cost
$
24,058
1,994
10,399
1,342
1,466
$
39,259
143
$
$
June 30, 2016 June 30, 2016
Shares
Cost
13,941,967$ 142,299
977,442
9,716
3,781,446
45,872
356,666
6,084
293,235
6,145
$ 210,116
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
COMMON STOCKS - 98.94%
Advertising - 0.95%
WPP PLC
Aerospace & Defense - 0.78%
Safran SA
Thales SA
Agriculture - 2.65%
British American Tobacco PLC
Imperial Brands PLC
KT&G Corp
Shares Held
115,051 $
2,398
12,605
13,565
$
849
1,126
1,975
$
3,473
1,262
1,967
6,702
53,577
23,270
16,604
Airlines - 0.47%
Ryanair Holdings PLC ADR
16,952
1,179
Apparel - 0.60%
Adidas AG
10,481
1,505
Automobile Manufacturers - 3.65%
Fuji Heavy Industries Ltd
Maruti Suzuki India Ltd
Renault SA
Tata Motors Ltd ADR
Toyota Motor Corp
Automobile Parts & Equipment - 1.35%
Bridgestone Corp
Continental AG
Toyota Industries Corp
Banks - 10.88%
Axis Bank Ltd
Bancolombia SA ADR
Bangkok Bank PCL
Bank of Ireland (a)
Bank of Montreal
Bank of Nova Scotia/The
Bank Rakyat Indonesia Persero Tbk PT
Barclays Africa Group Ltd
BNP Paribas SA
Credicorp Ltd
Danske Bank A/S
Erste Group Bank AG
HDFC Bank Ltd (b)
HDFC Bank Ltd ADR
Mediobanca SpA
Mitsubishi UFJ Financial Group Inc
Royal Bank of Canada
Siam Commercial Bank PCL/The (b)
Skandinaviska Enskilda Banken AB
Societe Generale SA
Sumitomo Mitsui Trust Holdings Inc
Toronto-Dominion Bank/The
Yes Bank Ltd
Beverages - 0.51%
Ambev SA
Biotechnology - 1.15%
CSL Ltd
Genmab A/S (a)
Building Materials - 1.25%
CRH PLC
Kingspan Group PLC
Chemicals - 1.65%
Evonik Industries AG
See accompanying notes.
COMMON STOCKS (continued)
Value (000's)
63,100
20,640
20,048
20,912
71,563
$
2,169
1,283
1,514
725
3,528
9,219
$
855
1,498
1,058
3,411
$
1,152
423
489
625
1,482
1,764
719
1,121
2,414
757
1,384
726
312
743
795
2,703
2,273
519
1,211
439
947
3,449
1,065
27,512
26,603
7,919
26,600
144,921
12,113
105,700
3,029,337
23,367
36,000
874,400
114,309
55,050
4,906
52,566
31,894
15,377
11,200
137,967
602,949
38,459
130,500
138,671
14,036
291,000
80,308
64,646
217,700
Chemicals (continued)
Givaudan SA
Lonza Group AG (a)
Commercial Services - 1.59%
Ashtead Group PLC
Brookfield Business Partners LP (a)
Kroton Educacional SA
New Oriental Education & Technology Group
Inc ADR
Ritchie Bros Auctioneers Inc
TAL Education Group ADR(a)
Computers - 0.80%
Capgemini SA
CGI Group Inc (a)
Cosmetics & Personal Care - 0.68%
Svenska Cellulosa AB SCA
Distribution & Wholesale - 0.73%
ITOCHU Corp
Mitsubishi Corp
Diversified Financial Services - 1.64%
Euronext NV (c)
Intermediate Capital Group PLC
Macquarie Group Ltd
ORIX Corp
Zenkoku Hosho Co Ltd
Electric - 2.53%
Enel SpA
Iberdrola SA
Korea Electric Power Corp
Electrical Components & Equipment - 0.31%
Prysmian SpA
Electronics - 1.88%
Hon Hai Precision Industry Co Ltd
Hoya Corp
Yokogawa Electric Corp
594 $
10,912
$
Engineering & Construction - 2.93%
Aena SA (c)
Eiffage SA
Obayashi Corp
Promotora y Operadora de Infraestructura
SAB de CV
Skanska AB
Vinci SA
$
1,240
1,674
2,914
700
34
790
606
17,800
20,671
$
601
1,283
4,014
$
1,317
701
2,018
15,262
16,400
53,588
1,722
108,000
30,300
$
1,321
534
1,855
$
392
449
964
1,804
541
4,150
$
1,604
2,333
2,463
6,400
10,676
68,523
18,527
139,400
14,800
361,443
341,998
46,917
35,729
784
977,996
44,996
54,600
2,519
1,607
616
4,742
21,913
1,489
7,408
18,798
97,500
57,493
982
1,336
1,038
708
40,506
35,457
848
2,502
7,414
$
$
2,176
972
3,148
74,655
44,647
Food - 3.09%
Delhaize Group
Greencore Group PLC
Gruma SAB de CV
Jeronimo Martins SGPS SA
Koninklijke Ahold NV
Nestle SA
1,174
144
1,196
1,812
4,182
48,988
1,806
187,000
14,468
1,291
14,700
9,182
Value (000's)
$
Energy - Alternate Sources - 0.59%
Vestas Wind Systems A/S
Entertainment - 0.20%
Paddy Power Betfair PLC
39,379
Shares Held
4,826
508
19,767
114,637
40,703
34,954
22,830
38,369
2,088
472
586
551
504
2,973
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Food (continued)
Uni-President Enterprises Corp
Food Service - 0.44%
Compass Group PLC
Forest Products & Paper - 0.94%
Mondi PLC
UPM-Kymmene OYJ
Shares Held
Value (000's)
327,280 $
$
646
7,820
59,107
1,125
66,474
61,824
135,014
1,985
Hand & Machine Tools - 0.21%
Fuji Electric Co Ltd
125,263
522
32,040
2,354
104,011
224,000
$
1,144
1,367
2,511
$
1,212
663
2,133
1,595
5,603
$
607
2,051
2,658
Home Builders - 2.22%
Barratt Developments PLC
Persimmon PLC
Sekisui House Ltd
Taylor Wimpey PLC
Home Furnishings - 1.05%
Howden Joinery Group PLC
Steinhoff International Holdings NV
Insurance - 5.42%
AXA SA
BB Seguridade Participacoes SA
Direct Line Insurance Group PLC
Fairfax Financial Holdings Ltd
Hannover Rueck SE
NN Group NV
PICC Property & Casualty Co Ltd
Sanlam Ltd
SCOR SE
Swiss Re AG
Tokio Marine Holdings Inc
Internet - 2.70%
Alibaba Group Holding Ltd ADR(a)
Auto Trader Group PLC (c)
NAVER Corp
Tencent Holdings Ltd
Investment Companies - 0.51%
Investor AB
Iron & Steel - 0.45%
Fortescue Metals Group Ltd
Hitachi Metals Ltd
223,029
34,189
121,832
898,880
118,262
357,537
98,431
184,100
368,362
1,788
20,688
37,869
342,225
153,807
36,598
14,332
23,350
$
1,946
1,600
1,703
963
2,168
1,042
540
635
1,082
1,252
777
13,708
$
725
848
1,189
4,053
6,815
Machinery - Diversified - 0.63%
Hexagon AB
Mitsubishi Heavy Industries Ltd
38,635
1,298
234,630
50,400
628
512
1,140
54,428
Miscellaneous Manufacturers - 0.70%
FUJIFILM Holdings Corp
Oil & Gas - 4.72%
Bharat Petroleum Corp Ltd
Caltex Australia Ltd
Canadian Natural Resources Ltd
Cenovus Energy Inc
China Petroleum & Chemical Corp
Lukoil PJSC ADR
Royal Dutch Shell PLC - A Shares
Seven Generations Energy Ltd (a)
Statoil ASA
TOTAL SA
Value (000's)
24,896 $
273,800
254,700
23,450
181,000
1,769
58,018
36,889
44,600
44,729
1,106,000
37,427
11,256
38,900
95,207
63,759
923
889
1,376
619
799
1,566
309
743
1,645
3,058
11,927
11,281
611
Pharmaceuticals - 6.39%
Actelion Ltd (a)
BTG PLC (a)
Daiichi Sankyo Co Ltd
Novo Nordisk A/S
Recordati SpA
Roche Holding AG
Shire PLC
9,861
75,025
42,200
77,184
25,836
20,013
40,822
$
1,660
725
1,025
4,157
777
5,281
2,523
16,148
$
653
2,949
3,602
21,340
65,173
Private Equity - 0.57%
3i Group PLC
197,714
1,451
Real Estate - 2.48%
Brookfield Asset Management Inc
Cheung Kong Property Holdings Ltd
Deutsche Wohnen AG
Vonovia SE
Wheelock & Co Ltd
90,313
112,160
35,410
22,990
113,369
2,988
707
1,206
839
532
6,272
REITS - 0.29%
Fibra Uno Administracion SA de CV
339,474
723
Retail - 3.48%
Alimentation Couche-Tard Inc
Dollarama Inc
Pandora A/S
Wal-Mart de Mexico SAB de CV
50,923
31,384
20,244
687,722
$
2,187
2,191
2,757
1,655
8,790
$
1,491
3,184
3,755
1,978
525
10,933
Semiconductors - 4.33%
Infineon Technologies AG
Samsung Electronics Co Ltd
Taiwan Semiconductor Manufacturing Co Ltd
Tokyo Electron Ltd
Ulvac Inc
Software - 1.61%
HCL Technologies Ltd
Open Text Corp
SAP SE
145
1,343
1,325
2,668
Oil & Gas Services - 0.24%
Technip SA
Pipelines - 1.42%
Keyera Corp
TransCanada Corp
858
728
1,586
1,089
45,580
$
1,077
$
See accompanying notes.
(a)
Shares Held
$
9,116
179,349
1,919
176,693
$
Machinery - Construction & Mining - 0.43%
ABB Ltd (a)
Mining - 1.06%
Kinross Gold Corp
Yamana Gold Inc
1,244
1,136
2,380
Gas - 0.79%
National Grid PLC
Holding Companies - Diversified - 0.99%
CK Hutchison Holdings Ltd
Wharf Holdings Ltd/The
Media - 0.43%
ProSiebenSat.1 Media SE
$
$
Healthcare - Services - 0.93%
Fresenius SE & Co KGaA
COMMON STOCKS (continued)
103,004
2,557
745,140
23,400
17,100
47,886
10,200
24,551
520
603
1,844
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Software (continued)
UBISOFT Entertainment
(a)
Telecommunications - 8.63%
Bharti Infratel Ltd
BT Group PLC
China Mobile Ltd
China Telecom Corp Ltd
Deutsche Telekom AG
KDDI Corp
Koninklijke KPN NV
MTN Group Ltd
Nippon Telegraph & Telephone Corp
NTT DOCOMO Inc
Orange SA
Telekomunikasi Indonesia Persero Tbk PT
Transportation - 1.59%
Canadian National Railway Co
East Japan Railway Co
Water - 0.43%
Veolia Environnement SA
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 0.46%
Money Market Funds - 0.46%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.60%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
Shares Held
30,103 $
$
155,786
410,313
198,954
2,792,556
159,843
76,362
286,344
54,528
59,113
94,000
137,769
3,494,900
1,096
4,063
$
798
2,255
2,299
1,256
2,726
2,322
1,021
530
2,772
2,535
2,240
1,063
21,817
$
2,069
1,946
4,015
35,028
21,000
49,986
Shares Held
Portfolio Summary (unaudited)
Country
Japan
Canada
France
United Kingdom
Germany
Switzerland
Denmark
China
Korea, Republic Of
India
Taiwan, Province Of China
Hong Kong
Ireland
Sweden
South Africa
Italy
Australia
United States
Mexico
Brazil
Spain
Netherlands
Belgium
Indonesia
Norway
Russian Federation
Finland
Thailand
Peru
Austria
Portugal
Colombia
Bermuda
Other Assets and Liabilities
TOTAL NET ASSETS
Value (000's)
1,079
$
250,071
Value (000's)
1,158,101
1,159
$
$
$
$
1,159
251,230
1,522
252,752
Non-Income Producing Security
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$831 or 0.33% of net assets.
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $2,222 or 0.88% of net assets.
See accompanying notes.
146
Percent
15.13%
11.99%
8.95%
8.88%
7.08%
6.05%
4.53%
3.67%
3.48%
2.98%
2.74%
2.39%
2.36%
2.34%
2.20%
1.57%
1.47%
1.46%
1.45%
1.45%
1.31%
1.29%
0.82%
0.70%
0.65%
0.62%
0.45%
0.40%
0.30%
0.29%
0.22%
0.17%
0.01%
0.60%
100.00%
Schedule of Investments
Equity Income Account
June 30, 2016 (unaudited)
COMMON STOCKS - 98.50%
Aerospace & Defense - 1.54%
Boeing Co/The
Lockheed Martin Corp
Raytheon Co
Airlines - 0.76%
Delta Air Lines Inc
Apparel - 1.04%
VF Corp
Automobile Manufacturers - 1.39%
PACCAR Inc
Automobile Parts & Equipment - 2.17%
Autoliv Inc
Johnson Controls Inc
Shares Held
34,982 $
4,535
19,650
$
113,062
4,543
1,126
2,671
8,340
91,655
5,636
145,518
7,548
68,217
99,489
7,330
4,403
11,733
109,900
241,097
5,386
2,192
179,417
31,576
112,657
189,268
177,325
11,149
3,733
9,169
7,633
8,393
47,655
$
Beverages - 0.81%
Coca-Cola Co/The
96,734
4,385
Chemicals - 1.96%
Air Products & Chemicals Inc
EI du Pont de Nemours & Co
PPG Industries Inc
34,362
52,126
22,462
$
4,881
3,378
2,339
10,598
$
2,010
13,431
5,880
2,374
23,695
Computers - 4.38%
Accenture PLC - Class A
Apple Inc
EMC Corp/MA
International Business Machines Corp
Diversified Financial Services - 6.72%
BlackRock Inc
Discover Financial Services
FNF Group
Electric - 5.73%
Eversource Energy
NextEra Energy Inc
WEC Energy Group Inc
Xcel Energy Inc
17,741
140,487
216,432
15,638
32,841
221,728
353,027
$
11,249
11,882
13,239
36,370
$
7,907
6,577
8,212
8,294
30,990
132,006
50,440
125,750
185,212
Electrical Components & Equipment - 0.80%
Emerson Electric Co
83,605
4,361
Electronics - 1.11%
Garmin Ltd
Honeywell International Inc
25,243
42,267
$
1,071
4,916
5,987
$
6,932
9,788
16,720
Food - 3.09%
Kraft Heinz Co/The
Kroger Co/The
Gas - 1.27%
Sempra Energy
Healthcare - Products - 3.95%
Abbott Laboratories
Becton Dickinson and Co
Medtronic PLC
4,119
$
Banks - 8.81%
Bank of Nova Scotia/The
Grupo Financiero Santander Mexico SAB de
CV ADR
JPMorgan Chase & Co
M&T Bank Corp
PNC Financial Services Group Inc/The
US Bancorp
Wells Fargo & Co
COMMON STOCKS (continued)
Value (000's)
78,348
266,041
Insurance - 5.24%
Allstate Corp/The
Chubb Ltd
MetLife Inc
Swiss Re AG ADR
Machinery - Diversified - 2.09%
Deere & Co
Shares Held
Value (000's)
60,235 $
180,194
33,175
99,578
$
7,084
5,626
8,640
21,350
$
5,727
15,374
4,668
2,566
28,335
81,875
117,615
117,201
116,921
139,405
11,297
Media - 0.35%
Walt Disney Co/The
19,623
1,920
Miscellaneous Manufacturers - 2.10%
3M Co
Parker-Hannifin Corp
18,952
74,255
$
3,319
8,023
11,342
$
6,960
8,618
9,102
1,097
9,545
10,933
11,078
57,333
$
7,533
7,837
6,005
7,197
9,152
4,858
42,582
$
12,926
279
13,205
Oil & Gas - 10.60%
Chevron Corp
Cimarex Energy Co
Exxon Mobil Corp
HollyFrontier Corp
Marathon Petroleum Corp
Occidental Petroleum Corp
Royal Dutch Shell PLC - B shares ADR
Pharmaceuticals - 7.87%
Johnson & Johnson
Merck & Co Inc
Novartis AG ADR
Pfizer Inc
Roche Holding AG ADR
Teva Pharmaceutical Industries Ltd ADR
Pipelines - 2.44%
Enterprise Products Partners LP
Kinder Morgan Inc/DE
66,391
72,227
97,103
46,141
251,459
144,693
197,817
62,101
136,042
72,778
204,408
277,737
96,721
441,781
14,887
Private Equity - 1.15%
KKR & Co LP
504,447
6,225
REITS - 3.68%
American Capital Agency Corp
Annaly Capital Management Inc
Digital Realty Trust Inc
272,107
546,659
77,499
$
5,393
6,051
8,447
19,891
$
3,927
4,261
6,580
256
15,024
Retail - 2.78%
Costco Wholesale Corp
Genuine Parts Co
Starbucks Corp
Tiffany & Co
Semiconductors - 6.11%
Applied Materials Inc
Maxim Integrated Products Inc
Microchip Technology Inc
Taiwan Semiconductor Manufacturing Co Ltd
ADR
25,005
42,089
115,188
4,223
334,805
149,440
241,351
285,187
8,025
5,334
12,251
7,480
$
See accompanying notes.
147
6,868
33,090
Schedule of Investments
Equity Income Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Software - 1.50%
Fidelity National Information Services Inc
Microsoft Corp
Telecommunications - 2.79%
BCE Inc
Verizon Communications Inc
Shares Held
Value (000's)
44,437 $
94,774
$
162,192
132,531
$
Toys, Games & Hobbies - 2.31%
Hasbro Inc
Transportation - 1.96%
Norfolk Southern Corp
Union Pacific Corp
United Parcel Service Inc
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 1.26%
Money Market Funds - 1.26%
BlackRock Liquidity Funds FedFund Portfolio
148,834
3,209
76,893
33,579
Shares Held
Portfolio Summary (unaudited)
Sector
Financial
Consumer, Non-cyclical
Energy
Technology
Consumer, Cyclical
Industrial
Utilities
Communications
Basic Materials
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
7,673
7,401
15,074
12,501
273
6,709
3,617
$
10,599
$
532,897
Value (000's)
6,830,403
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.24%
TOTAL NET ASSETS - 100.00%
3,274
4,850
8,124
6,830
$
$
$
$
6,830
539,727
1,295
541,022
Percent
25.60%
15.72%
13.04%
12.00%
10.45%
9.60%
7.00%
3.13%
1.96%
1.26%
0.24%
100.00%
148
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 0.79%
Shares Held
BONDS (continued)
Money Market Funds - 0.79%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
BONDS - 30.96%
2,084,208 $
Home Equity Asset Backed Securities - 1.15%
ACE Securities Corp Mortgage Loan Trust
Series 2007-D1
6.34%, 02/25/2038(a),(b)
6.93%, 02/25/2038(b)
See accompanying notes.
1,000$
1,081
1,000
1,005
8,719
19,160
14,537
7,794
24,081
4,915
14,394
13,324
16,707
14,097
16,471
7,609
24,816
13,010
13,545
6,366
1,580
207
867
730
287
1,215
284
799
550
962
888
1,105
477
1,041
763
800
514
1,601
900
892
900
909
2,000
2,235
1,800
2,033
1,000
1,000
1,000
881
1,000
1,092
2,450
$
2,513
26,731
$
1,728
1,288
3,016
1,800
1,309
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Fannie Mae REMICS (continued)
1.82%, 04/25/2045(a),(c)
$
1.82%, 06/25/2045(a),(c)
1.86%, 07/25/2045(a),(c)
1.89%, 12/25/2044(a),(c)
1.92%, 08/25/2044(a),(c)
2.00%, 02/25/2040(a)
2.50%, 11/25/2041
3.00%, 12/25/2032(a),(c)
3.50%, 01/25/2028(a),(c)
3.50%, 01/25/2040(a),(c)
3.50%, 11/25/2042
3.50%, 11/25/2042(a),(c)
4.00%, 12/25/2039(c)
4.00%, 11/25/2042(a),(c)
4.50%, 04/25/2045(a),(c)
7.00%, 04/25/2032
8.70%, 12/25/2019
Freddie Mac REMICS
1.50%, 04/15/2028
1.87%, 05/15/2038(a),(c)
1.91%, 04/15/2040(a),(c)
2.00%, 10/15/2040(a),(c)
2.50%, 11/15/2028(a),(c)
2.50%, 11/15/2032
2.50%, 01/15/2043(a),(c)
2.50%, 02/15/2043
3.00%, 11/15/2030(a),(c)
3.00%, 06/15/2033(a),(c)
3.00%, 11/15/2035
3.00%, 06/15/2040
3.50%, 10/15/2027(c)
3.50%, 08/15/2040(a),(c)
4.00%, 02/15/2039(a),(c)
4.00%, 05/15/2039
4.00%, 10/15/2040
4.50%, 05/15/2037(a)
Freddie Mac Strips
1.96%, 02/15/2038(a),(c)
3.00%, 12/15/2032(a),(c)
Ginnie Mae
1.17%, 09/20/2037(a),(c)
1.19%, 03/20/2041(a),(c)
3.50%, 12/20/2034(a),(c)
3.50%, 05/20/2039
3.50%, 05/20/2043(a),(c)
4.00%, 04/20/2045(a),(c)
JP Morgan Mortgage Trust 2013-1
3.00%, 03/25/2043(b)
New Residential Mortgage Loan Trust 20141
5.00%, 01/25/2054(a),(b)
New Residential Mortgage Loan Trust 20143
4.75%, 11/25/2054(a),(b)
New Residential Mortgage Loan Trust 20152
5.61%, 08/25/2055(a),(b)
Springleaf Mortgage Loan Trust 2013-3
3.79%, 09/25/2057(a),(b)
2,084
$
2,084
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities - 10.15%
CFCRE Commercial Mortgage Trust 2011C1
6.39%, 04/15/2044(a),(b)
$
COMM 2014-UBS4 Mortgage Trust
4.78%, 08/10/2047(a)
Ginnie Mae
0.10%, 04/16/2053(a),(c)
0.52%, 01/16/2054(a),(c)
0.67%, 04/16/2047(a),(c)
0.69%, 03/16/2049(a),(c)
0.73%, 11/16/2045(a),(c)
0.77%, 09/16/2051(a),(c)
0.77%, 12/16/2053(a),(c)
0.78%, 10/16/2054(a),(c)
0.82%, 11/16/2052(a),(c)
0.82%, 02/16/2053(a),(c)
0.88%, 03/16/2052(a),(c)
0.91%, 07/16/2047(a),(c)
0.94%, 02/16/2055(a),(c)
0.96%, 02/16/2046(a),(c)
0.96%, 09/16/2053(a),(c)
0.96%, 10/16/2056(a),(c)
2.27%, 03/16/2046(a)
GS Mortgage Securities Trust 2011-GC5
5.55%, 08/10/2044(a),(b)
GS Mortgage Securities Trust 2015-GC34
4.81%, 10/10/2048(a)
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
5.49%, 08/15/2046(a),(b)
JP Morgan Chase Commercial Mortgage
Securities Trust 2013-C16
5.08%, 12/15/2046(a)
JPMBB Commercial Mortgage Securities
Trust 2014-C25
4.60%, 11/15/2047(a)
WFRBS Commercial Mortgage Trust 2013C14
4.13%, 06/15/2046(a),(b)
WFRBS Commercial Mortgage Trust 2014C23
4.52%, 10/15/2057(a)
WFRBS Commercial Mortgage Trust 2014LC14
4.34%, 03/15/2047(a)
Mortgage Backed Securities - 19.63%
Citigroup Mortgage Loan Trust 2009-11
1.80%, 10/25/2035(a),(b)
Citigroup Mortgage Loan Trust 2010-10
2.65%, 02/25/2036(a),(b)
Fannie Mae Grantor Trust 2005-T1
0.80%, 05/25/2035(a)
Fannie Mae Interest Strip
3.50%, 12/25/2043(c)
Fannie Mae REMICS
1.68%, 03/25/2046(a),(c)
1.74%, 05/25/2046(a),(c)
1.76%, 09/25/2055(a),(c)
Value (000's)
10,697$
14,602
9,562
14,991
7,095
1,389
942
6,360
4,689
5,314
2,500
5,803
2,934
3,049
5,312
194
2
741
1,045
677
1,032
484
1,407
975
803
529
565
2,738
960
345
645
1,183
225
2
1,915
8,882
11,425
5,835
6,371
1,542
4,004
1,460
4,719
8,431
950
818
6,540
5,191
5,775
4,200
3,000
827
1,930
511
886
468
448
1,566
470
1,473
299
521
990
853
737
525
554
4,510
3,276
858
14,403
9,083
991
1,000
12,824
5,252
4,720
315
6,687
5,025
488
208
170
328
1,078
911
1,297
1,313
1,810
1,938
1,236
1,353
1,351
1,456
1,000
$
8
8
1,400
1,415
365
358
2,555
386
9,255
14,259
8,550
617
870
573
Other Asset Backed Securities - 0.03%
Chase Funding Trust Series 2004-1
0.91%, 12/25/2033(a)
98
1,005
51,697
92
TOTAL BONDS
$
81,536
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 67.32%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 15.57%
2.00%, 02/01/2028
$
1,726$
1,765
2.00%, 03/01/2028
433
443
149
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
6.50%, 03/01/2028
$
4$
5
6.50%, 09/01/2028
1
2
6.50%, 10/01/2028
29
34
6.50%, 11/01/2028
6
7
6.50%, 12/01/2028
15
17
6.50%, 03/01/2029
6
7
6.50%, 07/01/2031
66
76
6.50%, 08/01/2031
6
7
6.50%, 10/01/2031
9
10
6.50%, 10/01/2031
14
17
6.50%, 12/01/2031
27
31
6.50%, 02/01/2032
23
27
6.50%, 05/01/2032
59
70
6.50%, 04/01/2035
9
11
7.00%, 09/01/2023
11
12
7.00%, 12/01/2023
5
6
7.00%, 01/01/2024
5
6
7.00%, 09/01/2027
6
8
7.00%, 01/01/2028
56
63
7.00%, 04/01/2028
28
32
7.00%, 05/01/2028
4
5
7.00%, 10/01/2031
11
12
7.00%, 10/01/2031
15
17
7.00%, 04/01/2032
88
108
7.50%, 10/01/2030
14
17
7.50%, 02/01/2031
6
7
7.50%, 02/01/2031
7
8
7.50%, 02/01/2031
11
13
8.00%, 10/01/2030
25
30
8.00%, 12/01/2030
2
2
8.50%, 07/01/2029
32
35
$
41,019
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
2.48%, 09/01/2032(a)
$
24$
25
2.50%, 09/01/2027
620
642
2.50%, 02/01/2028
1,248
1,296
3.00%, 02/01/2027
466
491
3.00%, 08/01/2042
1,059
1,100
3.00%, 10/01/2042
1,382
1,437
3.00%, 10/01/2042
767
799
3.00%, 10/01/2042
1,481
1,560
3.00%, 05/01/2043
1,546
1,621
3.50%, 02/01/2032
1,964
2,104
3.50%, 04/01/2042
548
579
3.50%, 04/01/2042
2,400
2,543
3.50%, 05/01/2042
838
895
3.50%, 07/01/2042
3,070
3,263
3.50%, 09/01/2042
1,393
1,476
3.50%, 10/01/2042
835
892
3.50%, 02/01/2044
1,277
1,361
3.50%, 08/01/2045
1,304
1,396
4.00%, 12/01/2040
572
623
4.00%, 07/01/2042
1,138
1,254
4.00%, 01/01/2043
1,687
1,828
4.00%, 06/01/2043
1,951
2,127
4.50%, 08/01/2033
72
79
4.50%, 07/01/2039
1,025
1,125
4.50%, 12/01/2040
1,141
1,253
4.50%, 05/01/2041
1,127
1,245
4.50%, 11/01/2043
1,514
1,703
5.00%, 10/01/2025
253
279
5.00%, 02/01/2033
312
348
5.00%, 06/01/2033
289
326
5.00%, 07/01/2035
188
208
5.00%, 07/01/2035
51
57
5.00%, 07/01/2035
22
24
5.00%, 10/01/2035
88
99
5.50%, 04/01/2018
18
18
5.50%, 03/01/2024
15
17
5.50%, 03/01/2033
212
239
5.50%, 04/01/2038
17
19
5.50%, 05/01/2038
80
90
6.00%, 04/01/2017
5
5
6.00%, 04/01/2017
7
7
6.00%, 05/01/2017
6
6
6.00%, 07/01/2017
2
2
6.00%, 12/01/2023
6
7
6.00%, 05/01/2031
20
22
6.00%, 12/01/2031
23
27
6.00%, 09/01/2032
26
30
6.00%, 11/01/2033
51
59
6.00%, 11/01/2033
71
81
6.00%, 05/01/2034
313
353
6.00%, 05/01/2034
154
175
6.00%, 09/01/2034
97
112
6.00%, 02/01/2035
96
109
6.00%, 10/01/2036(a)
87
100
6.00%, 03/01/2037
69
80
6.00%, 01/01/2038
156
183
(a)
6.00%, 01/01/2038
51
59
6.00%, 04/01/2038
84
97
6.50%, 06/01/2017
9
9
6.50%, 06/01/2018
4
4
6.50%, 08/01/2021
4
4
6.50%, 12/01/2021
27
31
6.50%, 04/01/2022
30
34
6.50%, 05/01/2022
13
15
6.50%, 05/01/2023
18
19
6.50%, 04/01/2024
7
8
6.50%, 04/01/2026
5
5
6.50%, 05/01/2026
2
3
6.50%, 05/01/2026
6
7
6.50%, 12/01/2027
6
7
6.50%, 01/01/2028
7
8
See accompanying notes.
Federal National Mortgage Association (FNMA) - 33.90%
2.00%, 10/01/2027
1,593
2.00%, 10/01/2027
629
2.43%, 07/01/2034(a)
64
2.45%, 12/01/2032(a)
47
(a)
2.48%, 12/01/2033
167
2.50%, 05/01/2027
1,621
2.50%, 06/01/2027
1,950
2.50%, 05/01/2028
978
2.50%, 07/01/2028
735
2.50%, 08/01/2028
1,374
3.00%, 05/01/2028
1,236
3.00%, 05/01/2029
1,502
3.00%, 10/01/2042
2,185
3.00%, 11/01/2042
768
3.00%, 11/01/2042
2,372
3.00%, 01/01/2043
1,011
3.00%, 02/01/2043
1,521
3.00%, 04/01/2043
1,376
3.00%, 06/01/2043
2,682
3.50%, 02/01/2042
1,664
3.50%, 09/01/2042
2,847
3.50%, 11/01/2042
2,016
3.50%, 12/01/2042
2,124
3.50%, 02/01/2043
738
3.50%, 10/01/2044
877
3.50%, 11/01/2044
884
3.50%, 03/01/2045
916
3.50%, 03/01/2045
2,173
3.50%, 06/01/2045
1,542
3.50%, 09/01/2045
1,328
3.50%, 01/01/2046
974
4.00%, 01/01/2034
925
4.00%, 11/01/2040
902
4.00%, 12/01/2040
877
4.00%, 02/01/2041
2,213
4.00%, 03/01/2041
2,143
4.00%, 02/01/2042
1,366
4.00%, 04/01/2042
1,008
150
1,627
642
68
49
173
1,682
2,023
1,024
758
1,438
1,305
1,587
2,297
799
2,493
1,062
1,603
1,431
2,818
1,790
3,045
2,161
2,273
792
944
951
982
2,324
1,659
1,421
1,047
1,002
971
962
2,427
2,304
1,498
1,083
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 08/01/2043
$
754$
4.00%, 10/01/2043
705
4.00%, 10/01/2043
718
4.00%, 08/01/2044
837
4.00%, 10/01/2044
2,540
4.00%, 02/01/2045
1,366
4.00%, 09/01/2045
2,690
4.50%, 12/01/2019
34
4.50%, 01/01/2020
126
4.50%, 08/01/2039
712
4.50%, 09/01/2039
1,069
4.50%, 03/01/2042
721
4.50%, 09/01/2043
1,175
4.50%, 09/01/2043
2,864
4.50%, 10/01/2043
1,440
4.50%, 11/01/2043
1,626
4.50%, 09/01/2044
847
5.00%, 01/01/2018
49
5.00%, 11/01/2018
48
5.00%, 05/01/2033
2,000
5.00%, 04/01/2035
157
5.00%, 04/01/2035
201
5.00%, 07/01/2035
10
5.00%, 02/01/2038
548
5.00%, 02/01/2040
2,230
5.00%, 07/01/2041
1,775
5.50%, 08/01/2017
13
5.50%, 12/01/2017
9
5.50%, 01/01/2018
17
5.50%, 07/01/2019
28
5.50%, 08/01/2019
5
5.50%, 08/01/2019
8
5.50%, 08/01/2019
8
5.50%, 08/01/2019
64
5.50%, 08/01/2019
13
5.50%, 08/01/2019
6
5.50%, 09/01/2019
37
5.50%, 10/01/2019
16
5.50%, 05/01/2024
16
5.50%, 05/01/2033
34
5.50%, 06/01/2033
126
5.50%, 06/01/2033
97
5.50%, 09/01/2033
508
5.50%, 02/01/2037
13
5.50%, 03/01/2038
197
5.50%, 03/01/2038
280
5.50%, 08/01/2038
152
6.00%, 12/01/2016
3
6.00%, 08/01/2017
17
6.00%, 06/01/2022
33
6.00%, 11/01/2028
15
6.00%, 08/01/2031
68
6.00%, 12/01/2031
18
6.00%, 01/01/2033
100
6.00%, 02/01/2034
24
6.00%, 05/01/2037
218
6.00%, 07/01/2037
243
6.00%, 11/01/2037
30
6.00%, 12/01/2037
9
6.00%, 03/01/2038
100
6.00%, 08/01/2038
589
6.50%, 08/01/2017
5
6.50%, 11/01/2023
25
6.50%, 05/01/2024
18
6.50%, 09/01/2024
20
6.50%, 07/01/2025
13
6.50%, 08/01/2025
33
6.50%, 02/01/2026
6
6.50%, 03/01/2026
2
6.50%, 05/01/2026
4
6.50%, 06/01/2026
2
See accompanying notes.
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
6.50%, 07/01/2028
$
11$
6.50%, 09/01/2028
19
6.50%, 02/01/2029
4
6.50%, 03/01/2029
11
6.50%, 04/01/2029
5
6.50%, 06/01/2031
12
6.50%, 06/01/2031
10
6.50%, 01/01/2032
4
6.50%, 04/01/2032
62
6.50%, 08/01/2032
20
6.50%, 11/01/2032
32
6.50%, 02/01/2033
32
6.50%, 12/01/2036
73
6.50%, 07/01/2037
54
6.50%, 07/01/2037
38
6.50%, 02/01/2038
42
7.00%, 11/01/2027
7
7.00%, 08/01/2028
27
7.00%, 12/01/2028
22
7.00%, 10/01/2029
26
7.00%, 05/01/2031
5
7.00%, 11/01/2031
46
7.50%, 04/01/2022
1
7.50%, 11/01/2029
15
8.00%, 05/01/2027
19
8.00%, 09/01/2027
10
8.00%, 06/01/2030
3
8.50%, 10/01/2027
32
9.00%, 09/01/2030
9
$
Government National Mortgage Association (GNMA) 8.20%
3.00%, 04/15/2027
950
3.00%, 11/15/2042
1,518
3.00%, 12/15/2042
2,748
3.00%, 02/15/2043
2,243
3.50%, 12/20/2041
1,461
3.50%, 01/15/2043
1,784
3.50%, 06/20/2043
1,153
3.50%, 04/20/2045
1,300
3.50%, 09/20/2045
1,658
4.00%, 08/15/2041
1,505
4.50%, 07/15/2040
1,153
5.00%, 09/15/2033
9
5.00%, 02/15/2034
528
5.00%, 09/15/2039
75
5.50%, 07/20/2033
239
5.50%, 11/15/2033
46
5.50%, 03/20/2034
255
5.50%, 05/20/2035
222
5.50%, 01/15/2039
72
5.50%, 03/15/2039
139
6.00%, 06/20/2024
49
6.00%, 02/20/2026
5
6.00%, 04/20/2026
8
6.00%, 05/20/2026
5
6.00%, 06/20/2026
7
6.00%, 06/20/2026
9
6.00%, 07/20/2026
3
6.00%, 09/20/2026
9
6.00%, 03/20/2027
22
6.00%, 01/20/2028
6
6.00%, 03/20/2028
4
6.00%, 06/20/2028
23
6.00%, 07/20/2028
15
6.00%, 02/20/2029
14
6.00%, 03/20/2029
27
6.00%, 07/20/2029
29
(a)
6.00%, 05/20/2032
48
6.00%, 07/20/2033
188
828
772
778
919
2,758
1,502
2,962
35
130
795
1,176
806
1,317
3,212
1,614
1,823
952
50
49
2,270
177
227
11
621
2,531
2,023
13
9
18
29
5
8
8
66
14
6
39
17
18
37
143
110
584
14
227
318
174
3
17
37
17
78
20
116
28
240
280
34
10
114
682
5
29
21
23
15
36
7
2
5
3
151
13
22
5
12
6
13
12
5
72
23
37
36
84
65
46
52
8
31
26
31
5
51
1
16
21
10
4
33
11
89,283
1,002
1,587
2,874
2,359
1,556
1,915
1,240
1,389
1,780
1,642
1,279
10
596
85
269
53
293
250
83
157
55
6
10
6
7
10
4
10
25
7
5
26
17
16
31
33
57
221
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)
(continued)
6.50%, 12/20/2025
$
13$
15
6.50%, 01/20/2026
8
8
6.50%, 02/20/2026
13
15
6.50%, 03/20/2031
17
21
6.50%, 04/20/2031
18
22
7.00%, 01/15/2028
1
2
7.00%, 01/15/2028
8
9
7.00%, 01/15/2028
1
1
7.00%, 01/15/2028
4
4
7.00%, 01/15/2028
1
1
7.00%, 03/15/2028
104
117
7.00%, 05/15/2028
39
43
7.00%, 01/15/2029
17
19
7.00%, 03/15/2029
5
5
7.00%, 05/15/2031
13
16
7.00%, 06/20/2031
13
16
7.00%, 09/15/2031
36
42
7.00%, 06/15/2032
200
236
7.50%, 01/15/2023
1
1
7.50%, 02/15/2023
1
1
7.50%, 02/15/2023
2
2
7.50%, 04/15/2023
13
14
7.50%, 09/15/2023
4
4
7.50%, 09/15/2023
3
3
7.50%, 10/15/2023
6
7
7.50%, 11/15/2023
6
7
8.00%, 07/15/2026
2
2
8.00%, 08/15/2026
4
4
8.00%, 01/15/2027
1
1
8.00%, 02/15/2027
1
1
$
21,604
U.S. Treasury - 9.65%
1.00%, 02/15/2018
2.25%, 11/30/2017
3.13%, 05/15/2021
4.25%, 11/15/2040
5.25%, 11/15/2028
6.25%, 08/15/2023
5,600
5,000
6,000
800
1,500
3,600
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
Total Investments
Other Assets and Liabilities - 0.93%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
$
5,637
5,118
6,601
1,120
2,111
4,825
25,412
$
$
$
$
177,318
260,938
2,440
263,378
Variable Rate. Rate shown is in effect at June 30, 2016.
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $16,593 or 6.30% of net assets.
Security is an Interest Only Strip.
Portfolio Summary (unaudited)
Sector
Mortgage Securities
Government
Asset Backed Securities
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
87.45%
9.65%
1.18%
0.79%
0.93%
100.00%
152
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
COMMON STOCKS - 0.00%
Shares Held
BONDS (continued)
Computers - 0.00%
GCB S3 Inc (a),(b),(c)
500,000 $
Transportation - 0.00%
Trailer Bridge Inc (a),(c)
1,186
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 1.19%
BONDS - 64.53%
Aerospace & Defense - 0.47%
Boeing Co/The
8.75%, 08/15/2021
Airlines - 0.00%
Southwest Airlines Co 1994-A Pass Through
Trust
9.15%, 07/01/2016
Apparel - 0.21%
Under Armour Inc
3.25%, 06/15/2026
—
2,869,091
850$
6
2,000
500
Chemicals - 0.63%
Airgas Inc
1.65%, 02/15/2018
Eagle Spinco Inc
4.63%, 02/15/2021
505
1,500
2,000
Commercial Services - 1.01%
ERAC USA Finance LLC
6.38%, 10/15/2017(e)
7.00%, 10/15/2037(e)
500
1,975
5,975
500
501
500
546
500
532
1,579
750
1,000
763
1,157
1,114
822
994
1,002
500
519
1,000
1,000
1,010
1,105
2,000
2,225
1,000
1,135
1,000
1,000
1,062
1,020
1,000
850
1,142
1,069
2,000
2,232
1,000
1,006
538
2,181
1,000
1,000
1,088
1,129
4,936
1,000
1,003
500
$
512
1,515
$
1,060
1,362
2,422
1,000
1,000
Computers - 0.74%
Apple Inc
2.40%, 05/03/2023
1,750
1,782
Credit Card Asset Backed Securities - 0.96%
Cabela's Credit Card Master Note Trust
0.79%, 03/16/2020(d)
0.99%, 10/15/2019(d),(e)
1.11%, 07/17/2023(d)
1,325
500
500
1,318
500
494
2,312
Diversified Financial Services - 1.56%
GE Capital International Funding Co
Unlimited Co
2.34%, 11/15/2020(e)
International Lease Finance Corp
8.75%, 03/15/2017(d)
Jefferies Group LLC
6.25%, 01/15/2036
8.50%, 07/15/2019
413
425
1,000
1,044
1,425
750
1,433
857
3,759
$
Electric - 6.44%
Entergy Louisiana LLC
3.25%, 04/01/2028
Entergy Texas Inc
2.55%, 06/01/2021
Exelon Generation Co LLC
6.20%, 10/01/2017
GenOn Americas Generation LLC
8.50%, 10/01/2021
GenOn Energy Inc
9.88%, 10/15/2020
LG&E & KU Energy LLC
4.38%, 10/01/2021
153
1,163
4,154
500
2,000
$
800
1,000
1,000
2,093
20,715
1,071
$
Biotechnology - 2.05%
Amgen Inc
3.63%, 05/15/2022
3.88%, 11/15/2021
Gilead Sciences Inc
3.65%, 03/01/2026
4.40%, 12/01/2021
2,010
269
1,000
$
$
See accompanying notes.
2,000$
250
1,135
6
$
Banks - 8.61%
Bank of America Corp
5.42%, 03/15/2017
8.00%, 07/29/2049(d),(f)
8.13%, 12/29/2049(d),(f)
Bank of New York Mellon Corp/The
2.80%, 05/04/2026
Citigroup Inc
3.88%, 03/26/2025
4.50%, 01/14/2022
Goldman Sachs Group Inc/The
5.38%, 03/15/2020
ING Bank NV
5.00%, 06/09/2021(e)
JPMorgan Chase & Co
3.63%, 05/13/2024
7.90%, 04/29/2049(d),(f)
Morgan Stanley
5.50%, 07/28/2021
6.25%, 08/09/2026
PNC Financial Services Group Inc/The
6.75%, 07/29/2049(d),(f)
SunTrust Bank/Atlanta GA
2.75%, 05/01/2023
Beverages - 1.73%
Anheuser-Busch InBev Finance Inc
3.65%, 02/01/2026
Anheuser-Busch InBev Worldwide Inc
2.50%, 07/15/2022
7.75%, 01/15/2019
Innovation Ventures LLC / Innovation
Ventures Finance Corp
9.50%, 08/15/2019(e)
$
2,869
Principal
Amount (000's) Value (000's)
$
$
$
2,869
Automobile Floor Plan Asset Backed Securities - 2.48%
BMW Floorplan Master Owner Trust
0.94%, 07/15/2020(d),(e)
1,500
CNH Wholesale Master Note Trust
1.04%, 08/15/2019(d),(e)
2,000
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(d)
500
Volkswagen Credit Auto Master Trust
(d),(e)
0.80%, 07/22/2019
2,000
Automobile Manufacturers - 0.66%
American Honda Finance Corp
1.13%, 10/07/2016(d)
Ford Motor Credit Co LLC
4.39%, 01/08/2026
General Motors Co
4.88%, 10/02/2023
Banks (continued)
US Bancorp
1.65%, 05/15/2017
3.60%, 09/11/2024
Wells Fargo & Co
7.98%, 12/31/2049(d),(f)
—
$
—
Value (000's)
Shares Held
Money Market Funds - 1.19%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
Principal
Amount (000's) Value (000's)
Value (000's)
500
526
500
516
1,000
1,057
1,250
994
750
532
1,000
1,104
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Electric (continued)
Metropolitan Edison Co
3.50%, 03/15/2023(e)
Oncor Electric Delivery Co LLC
7.00%, 09/01/2022
PacifiCorp
5.25%, 06/15/2035
6.25%, 10/15/2037
Solar Star Funding LLC
5.38%, 06/30/2035(e)
Southwestern Electric Power Co
3.55%, 02/15/2022
TransAlta Corp
4.50%, 11/15/2022
Tucson Electric Power Co
3.85%, 03/15/2023
Electronics - 0.56%
Corning Inc
4.75%, 03/15/2042
6.63%, 05/15/2019
Entertainment - 0.21%
Greektown Holdings LLC/Greektown
Mothership Corp
8.88%, 03/15/2019(e)
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(e)
Principal
Amount (000's) Value (000's)
$
1,000$
1,029
2,000
2,547
850
500
1,027
691
1,500
1,778
1,000
1,066
1,750
1,595
1,000
$
1,041
15,503
$
783
561
1,344
750
500
250
260
250
251
511
1,500
Forest Products & Paper - 0.90%
Plum Creek Timberlands LP
4.70%, 03/15/2021
Healthcare - Services - 1.69%
HCA Inc
7.50%, 11/06/2033
HealthSouth Corp
5.75%, 11/01/2024
7.75%, 09/15/2022
Roche Holdings Inc
0.97%, 09/30/2019(d),(e)
Surgery Center Holdings Inc
8.88%, 04/15/2021(e)
1,000
500
Insurance - 2.87%
Fidelity National Financial Inc
6.60%, 05/15/2017
First American Financial Corp
4.30%, 02/01/2023
Prudential Financial Inc
7.38%, 06/15/2019
8.88%, 06/15/2068(d)
2,000
Lodging - 0.33%
Boyd Gaming Corp
6.88%, 05/15/2023
Media - 3.21%
21st Century Fox America Inc
6.40%, 12/15/2035
8.00%, 10/17/2016
Comcast Corp
6.45%, 03/15/2037
Historic TW Inc
9.15%, 02/01/2023
Time Warner Cable Inc
6.55%, 05/01/2037
6.75%, 06/15/2039
Miscellaneous Manufacturers - 0.07%
General Electric Co
5.30%, 02/11/2021
Oil & Gas - 5.30%
BG Energy Capital PLC
4.00%, 10/15/2021(e)
BP Capital Markets PLC
3.25%, 05/06/2022
Linn Energy LLC / Linn Energy Finance
Corp
0.00%, 05/15/2019(a)
Nabors Industries Inc
5.00%, 09/15/2020
Petro-Canada
9.25%, 10/15/2021
Phillips 66
4.30%, 04/01/2022
Rowan Cos Inc
4.88%, 06/01/2022
5.00%, 09/01/2017
W&T Offshore Inc
8.50%, 06/15/2019
Whiting Petroleum Corp
5.75%, 03/15/2021
XTO Energy Inc
6.75%, 08/01/2037
1,080
2,595
2,178
250
266
500
230
502
238
1,000
1,000
2,000
2,055
4,061
500
2,000$
500
$
1,660
417
2,077
1,475
1,827
1,000
Oil & Gas Services - 2.06%
Archrock Partners LP / Archrock Partners
Finance Corp
6.00%, 04/01/2021
Schlumberger Holdings Corp
3.63%, 12/21/2022(e)
4.00%, 12/21/2025(e)
Weatherford International Ltd
4.50%, 04/15/2022
5.13%, 09/15/2020
2,500
2,605
2,000
2,047
1,000
1,000
1,160
1,100
6,912
799
1,000
1,000
1,270
1,020
2,000
2,752
250
336
1,500
500
1,748
587
7,713
144
167
2,000
2,181
1,000
1,050
1,000
176
1,000
941
1,075
1,406
1,000
1,092
750
2,000
656
2,025
2,500
625
1,250
1,128
1,000
154
1,477
12,757
2,000
1,790
500
500
529
538
250
2,000
214
1,890
4,961
$
Other Asset Backed Securities - 0.97%
Drug Royalty II LP 2
3.48%, 07/15/2023(d),(e)
1,080
2,907
750
$
542
$
See accompanying notes.
$
$
544
$
Housewares - 0.23%
Newell Brands Inc
4.20%, 04/01/2026
Leisure Products & Services - 1.21%
Carnival Corp
7.20%, 10/01/2023
Royal Caribbean Cruises Ltd
7.25%, 03/15/2018
1,515
$
Food - 0.23%
Kraft Heinz Foods Co
3.95%, 07/15/2025(e)
Iron & Steel - 0.86%
Allegheny Technologies Inc
5.95%, 01/15/2021
7.88%, 08/15/2023(d)
Principal
Amount (000's) Value (000's)
$
$
Environmental Control - 1.08%
Advanced Disposal Services Inc
8.25%, 10/01/2020
Republic Services Inc
3.55%, 06/01/2022
BONDS (continued)
1,361
1,343
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Other Asset Backed Securities (continued)
PFS Financing Corp
1.06%, 04/15/2020(d),(e)
$
Packaging & Containers - 0.44%
Sealed Air Corp
6.88%, 07/15/2033(e)
Pharmaceuticals - 1.18%
AbbVie Inc
2.90%, 11/06/2022
Actavis Funding SCS
3.80%, 03/15/2025
4.55%, 03/15/2035
1,000$
$
1,000
1,000
1,019
1,000
750
1,042
771
2,832
1,000
1,312
500
495
1,000
1,075
2,100
2,280
226
235
750
743
850
Software - 0.86%
Oracle Corp
2.50%, 05/15/2022
2.95%, 05/15/2025
1,061
1,352
2,000
2,222
1,000
1,035
750
750
764
806
2,000
2,306
500
532
2,000
2,436
1,750
1,809
1,000
See accompanying notes.
500$
$
2,000
2,826
Trucking & Leasing - 0.85%
Penske Truck Leasing Co Lp / PTL Finance
Corp
3.75%, 05/11/2017(e)
591
1,000
1,000
1,022
1,039
2,061
2,000
2,164
250
204
2,000
523
2,891
—
2,536
2,536
2,038
TOTAL BONDS
$
155,253
SENIOR FLOATING RATE INTERESTS Principal
0.08%
Amount (000's) Value (000's)
Transportation - 0.08%
Trailer Bridge Inc, Term Loan
10.00%, 10/03/2016(b),(c),(d)
$
183$
183
TOTAL SENIOR FLOATING RATE INTERESTS
$
183
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 33.00%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 5.38%
3.00%, 10/01/2042
$
767$
799
3.00%, 11/01/2042
757
787
3.50%, 10/01/2041
847
895
3.50%, 04/01/2042
1,895
2,007
3.50%, 04/01/2042
1,095
1,158
3.50%, 04/01/2045
935
1,000
4.00%, 02/01/2045
748
801
4.50%, 08/01/2033
266
291
4.50%, 05/01/2039
600
656
4.50%, 06/01/2039
335
366
4.50%, 07/01/2039
1,150
1,274
4.50%, 12/01/2040
611
671
4.50%, 10/01/2041
696
764
5.00%, 08/01/2019
107
110
5.00%, 08/01/2035
847
955
5.50%, 11/01/2017
15
15
5.50%, 01/01/2018
8
8
5.50%, 05/01/2031
40
45
5.50%, 06/01/2035
51
57
6.00%, 03/01/2031
17
19
6.00%, 05/01/2032
29
34
6.00%, 06/01/2038
155
181
6.50%, 06/01/2029
14
17
6.50%, 08/01/2029
21
24
7.00%, 01/01/2032
5
5
9.00%, 01/01/2025
4
4
$
12,943
1,139
15,462
500
$
Telecommunications - 1.20%
Qwest Corp
6.75%, 12/01/2021
Sprint Corp
7.88%, 09/15/2023
$
Transportation - 1.05%
Trailer Bridge Inc
0.00%, 11/15/2016(a),(b),(c)
17.00%, PIK 16.50%, 03/31/2017(b),(c),(d),(g)
942
7,082
1,000
1,250
$
Savings & Loans - 0.25%
First Niagara Financial Group Inc
7.25%, 12/15/2021
991
2,334
Principal
Amount (000's) Value (000's)
$
$
REITS - 6.43%
Alexandria Real Estate Equities Inc
4.30%, 01/15/2026
4.60%, 04/01/2022
CubeSmart LP
4.80%, 07/15/2022
HCP Inc
3.75%, 02/01/2019
Hospitality Properties Trust
4.65%, 03/15/2024
5.00%, 08/15/2022
Kimco Realty Corp
6.88%, 10/01/2019
Omega Healthcare Investors Inc
5.25%, 01/15/2026
Simon Property Group LP
10.35%, 04/01/2019
Ventas Realty LP / Ventas Capital Corp
3.25%, 08/15/2022
Welltower Inc
6.13%, 04/15/2020
Telecommunications (continued)
T-Mobile USA Inc
6.38%, 03/01/2025
1,060
$
Pipelines - 2.94%
ANR Pipeline Co
9.63%, 11/01/2021
Buckeye Partners LP
4.35%, 10/15/2024
Columbia Pipeline Group Inc
4.50%, 06/01/2025
El Paso Natural Gas Co LLC
7.50%, 11/15/2026
Express Pipeline LLC
7.39%, 12/31/2019(e)
Southeast Supply Header LLC
4.25%, 06/15/2024(e)
Southern Natural Gas Co LLC
8.00%, 03/01/2032
BONDS (continued)
Federal National Mortgage Association (FNMA) - 14.13%
3.00%, 03/01/2042
1,277
3.00%, 03/01/2042
1,344
3.00%, 05/01/2042
712
3.00%, 06/01/2042
646
3.00%, 06/01/2042
1,300
3.50%, 12/01/2040
1,069
3.50%, 12/01/2041
382
3.50%, 03/01/2042
627
3.50%, 04/01/2042
1,180
3.50%, 02/01/2043
782
3.50%, 06/01/2043
1,222
3.50%, 03/01/2045
902
4.00%, 03/01/2039
791
4.00%, 08/01/2040
663
4.00%, 09/01/2040
1,507
4.00%, 11/01/2040
798
4.00%, 10/01/2041
841
155
1,327
1,397
740
672
1,352
1,131
405
664
1,249
835
1,306
965
850
713
1,643
859
902
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 10/01/2041
$
636$
4.00%, 11/01/2041
924
4.00%, 04/01/2042
586
4.00%, 11/01/2043
724
4.00%, 11/01/2043
1,835
4.00%, 01/01/2044
1,629
4.00%, 02/01/2044
2,199
4.00%, 09/01/2044
778
4.50%, 06/01/2039
216
4.50%, 08/01/2039
326
4.50%, 08/01/2040
1,092
4.50%, 10/01/2040
1,089
4.50%, 12/01/2040
636
4.50%, 08/01/2041
749
4.50%, 05/01/2044
1,065
5.00%, 01/01/2018
24
5.00%, 08/01/2035
345
5.50%, 03/01/2033
39
5.50%, 06/01/2033
185
5.50%, 02/01/2035
343
6.00%, 04/01/2032
44
6.50%, 05/01/2031
5
6.50%, 04/01/2032
71
6.50%, 05/01/2032
28
7.00%, 01/01/2030
2
$
Government National Mortgage Association (GNMA) 0.05%
6.00%, 05/20/2032(d)
41
7.00%, 06/20/2031
46
9.00%, 02/15/2025
3
$
U.S. Treasury - 13.44%
0.75%, 10/31/2017
0.88%, 02/28/2017
1.38%, 11/30/2018
1.63%, 11/15/2022
1.75%, 05/15/2022
2.00%, 11/15/2021
2.38%, 05/31/2018
2.50%, 05/15/2024
2.63%, 11/15/2020
2.75%, 02/15/2019
2.75%, 02/15/2024
2.88%, 05/15/2043
2.88%, 08/15/2045
3.00%, 11/15/2044
3.13%, 05/15/2019
3.13%, 05/15/2021
3.13%, 08/15/2044
3.38%, 05/15/2044
3.50%, 02/15/2039
3.63%, 02/15/2020
3.63%, 02/15/2044
3.75%, 08/15/2041
3.75%, 11/15/2043
1,000
1,000
1,000
2,000
2,000
1,000
1,000
1,000
2,000
1,000
1,000
1,000
1,000
1,000
2,000
1,000
1,000
1,000
1,000
2,000
1,000
1,000
2,000
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
Total Investments
Other Assets and Liabilities - 1.20%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
(d)
(e)
Principal
Amount (000's) Value (000's)
683
992
630
784
2,003
1,765
2,394
834
236
362
1,195
1,193
701
821
1,162
25
383
44
210
389
51
6
82
34
2
33,991
(f)
(g)
Portfolio Summary (unaudited)
Sector
Financial
Mortgage Securities
Government
Energy
Consumer, Non-cyclical
Utilities
Industrial
Communications
Asset Backed Securities
Consumer, Cyclical
Basic Materials
Technology
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
48
58
3
109
$
1,002
1,003
1,017
2,047
2,067
1,048
1,034
1,086
2,143
1,054
1,104
1,125
1,123
1,150
2,138
1,100
1,177
1,232
1,262
2,201
1,289
1,304
2,639
32,345
$
$
$
$
79,388
237,693
2,896
240,589
Non-Income Producing Security
Security is Illiquid. At the end of the period, the value of these securities
totaled $2,719 or 1.13% of net assets.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$2,719 or 1.13% of net assets.
See accompanying notes.
Variable Rate. Rate shown is in effect at June 30, 2016.
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $27,695 or 11.51% of net
assets.
Perpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
156
Percent
19.72%
19.56%
13.44%
10.30%
7.89%
6.44%
4.60%
4.41%
4.41%
2.85%
2.39%
1.60%
1.19%
1.20%
100.00%
Schedule of Investments
International Emerging Markets Account
June 30, 2016 (unaudited)
COMMON STOCKS - 94.30%
Shares Held
Agriculture - 2.37%
Golden Agri-Resources Ltd
Gudang Garam Tbk PT
KT&G Corp
Kuala Lumpur Kepong Bhd
1,507,200 $
60,100
9,355
42,800
$
Airlines - 0.97%
AirAsia Bhd
China Eastern Airlines Corp Ltd
(a)
755,800
722,000
$
Automobile Manufacturers - 3.43%
Ashok Leyland Ltd
Ford Otomotiv Sanayi AS
Guangzhou Automobile Group Co Ltd
Kia Motors Corp
Tata Motors Ltd
Automobile Parts & Equipment - 1.85%
Hankook Tire Co Ltd
Hiroca Holdings Ltd
Hota Industrial Manufacturing Co Ltd
Tong Yang Industry Co Ltd
Banks - 9.82%
Abu Dhabi Commercial Bank PJSC
Axis Bank Ltd
Bangkok Bank PCL
Bank Mandiri Persero Tbk PT
Bank Negara Indonesia Persero Tbk PT
Barclays Africa Group Ltd
China Construction Bank Corp
Credicorp Ltd
First Gulf Bank PJSC
Investec PLC
Malayan Banking Bhd
OTP Bank PLC
Sberbank of Russia PJSC ADR
Yes Bank Ltd
Beverages - 0.53%
Ambev SA
Biotechnology - 0.44%
China Biologic Products Inc
(a)
Chemicals - 1.12%
Hanwha Chemical Corp
Indorama Ventures PCL (b)
Sinopec Shanghai Petrochemical Co Ltd
328,430
15,577
724,000
12,158
148,641
$
485
449
258
422
1,614
$
451
346
389
227
379
486
2,347
597
350
383
425
486
746
956
8,568
272,489
43,556
83,963
313,600
956,800
49,600
3,520,902
3,869
101,943
61,535
210,200
21,718
85,014
58,043
Commercial Services - 3.56%
CCR SA
Kroton Educacional SA
New Oriental Education & Technology Group
Inc ADR
Qualicorp SA
TAL Education Group ADR(a)
78,300
464
3,584
381
16,015
431,000
620,000
335
358
285
978
Computers - 1.61%
Infosys Ltd ADR
Wistron Corp
Diversified Financial Services - 2.66%
E.Sun Financial Holding Co Ltd
Indiabulls Housing Finance Ltd
See accompanying notes.
32,730
151
97,700
239,400
17,169
511
1,011
719
90,100
5,420
$
524
337
3,102
$
1,035
368
1,403
57,970
526,000
728,000
33,767
Electric - 2.95%
Enersis Americas SA
Korea Electric Power Corp
NTPC Ltd
Tenaga Nasional BHD
489
362
851
$
10,909
126,000
55,000
283,000
Diversified Financial Services (continued)
Mega Financial Holding Co Ltd
Shinhan Financial Group Co Ltd
SinoPac Financial Holdings Co Ltd
394
314
1,108
248
2,064
480
166
869
458
1,017
2,990
$
Coal - 0.17%
Exxaro Resources Ltd
COMMON STOCKS (continued)
Value (000's)
Value (000's)
842,731 $
26,665
137,700
$
2,078,701
28,510
42,921
177,100
Electronics - 1.03%
AAC Technologies Holdings Inc
Chin-Poon Industrial Co Ltd (a)
Engineering & Construction - 3.36%
China Railway Construction Corp Ltd
Grupo Aeroportuario del Pacifico SAB de CV
Grupo Aeroportuario del Sureste SAB de CV
Hyundai Development Co-Engineering &
Construction
Larsen & Toubro Ltd (a)
Promotora y Operadora de Infraestructura
SAB de CV
Food - 1.78%
Cencosud SA
Charoen Pokphand Foods PCL
Grupo Lala SAB de CV
Uni-President Enterprises Corp
Shares Held
(b)
$
356
1,497
100
620
2,573
$
688
214
902
80,500
99,000
321,000
52,100
17,541
16,112
404
536
279
559
23,066
52,308
514
644
$
2,936
$
396
379
295
480
1,550
138,892
462,000
133,700
243,160
Forest Products & Paper - 0.53%
Sappi Ltd (a)
99,595
464
Holding Companies - Diversified - 0.85%
KOC Holding AS
Siam Cement PCL/The
50,050
37,450
229
509
738
$
Home Furnishings - 1.22%
Steinhoff International Holdings NV
186,321
1,069
Insurance - 4.09%
AIA Group Ltd
Dongbu Insurance Co Ltd
PICC Property & Casualty Co Ltd
Sanlam Ltd
213,000
9,847
584,300
186,338
$
1,281
593
921
770
3,565
$
2,355
799
4,171
7,325
$
251
306
557
Internet - 8.40%
Alibaba Group Holding Ltd ADR(a)
NAVER Corp
Tencent Holdings Ltd
Iron & Steel - 0.64%
Kumba Iron Ore Ltd (a)
Ternium SA ADR
157
29,612
1,290
181,800
33,257
16,062
Leisure Products & Services - 0.77%
Hero MotoCorp Ltd
14,134
668
Media - 1.90%
Naspers Ltd
10,830
1,654
5,467
598
Metal Fabrication & Hardware - 0.68%
Hyosung Corp
431
337
637
877
41
2,323
Schedule of Investments
International Emerging Markets Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Mining - 0.95%
AngloGold Ashanti Ltd
Shares Held
(a)
45,835 $
Miscellaneous Manufacturers - 1.39%
Largan Precision Co Ltd
Sunny Optical Technology Group Co Ltd
7,000
161,000
Oil & Gas - 9.31%
Bharat Petroleum Corp Ltd
China Petroleum & Chemical Corp
CNOOC Ltd
Gazprom PJSC ADR
Lukoil PJSC ADR
Reliance Industries Ltd
SK Innovation Co Ltd
Tatneft PJSC ADR
Thai Oil PCL (b)
Tupras Turkiye Petrol Rafinerileri AS
YPF SA ADR
(a)
$
$
705
1,141
514
545
1,791
788
825
695
405
412
298
8,119
66,701
291
136,000
161,285
434
248
682
$
REITS - 1.04%
Fibra Uno Administracion SA de CV
Macquarie Mexico Real Estate Management
SA de CV (a)
Retail - 2.02%
Lojas Renner SA
Raia Drogasil SA
Wal-Mart de Mexico SAB de CV
Semiconductors - 12.15%
Powertech Technology Inc
Samsung Electronics Co Ltd
Silicon Motion Technology Corp ADR
Taiwan Semiconductor Manufacturing Co Ltd
Win Semiconductors Corp
Telecommunications - 8.70%
China Mobile Ltd
China Telecom Corp Ltd
Chunghwa Telecom Co Ltd
Mobile TeleSystems PJSC ADR
MTN Group Ltd
Telekomunikasi Indonesia Persero Tbk PT
Vodacom Group Ltd
Textiles - 0.21%
Welspun India Ltd
Water - 0.69%
Cia de Saneamento Basico do Estado de Sao
Paulo
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 1.56%
Money Market Funds - 1.56%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
See accompanying notes.
200,200
368,500
$
910
$
563
374
824
1,761
$
525
4,438
618
4,370
646
10,597
$
2,824
515
1,552
329
752
1,259
362
7,593
235,000
3,564
12,928
867,164
315,505
244,459
1,146,000
429,000
39,683
77,342
4,138,500
31,792
115,160
186
67,600
606
$
62,114 $
1,416
Iron & Steel - 0.75%
Vale SA
161,207
651
322,341
43
(a)
(b)
(a)
158
$
$
$
$
2,596
86,233
1,012
87,245
Non-Income Producing Security
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$1,142 or 1.31% of net assets.
Portfolio Summary (unaudited)
Country
China
Korea, Republic Of
Taiwan, Province Of China
India
South Africa
Brazil
Hong Kong
Russian Federation
Mexico
Indonesia
Thailand
Malaysia
United States
Turkey
United Arab Emirates
Chile
Peru
Hungary
Singapore
Luxembourg
Argentina
Other Assets and Liabilities
TOTAL NET ASSETS
1,362
486
606,380
TOTAL PREFERRED STOCKS
Total Investments
Other Assets and Liabilities - 1.16%
TOTAL NET ASSETS - 100.00%
1,362
Value (000's)
Holding Companies - Diversified - 1.62%
Itausa - Investimentos Itau SA
Media - 0.05%
Zee Entertainment Enterprises Ltd
$
82,275
Value (000's)
1,361,992
Shares Held
Banks - 0.56%
Banco Bradesco SA
427
483
76,100
18,900
342,549
Shares Held
PREFERRED STOCKS - 2.98%
828
647
567
1,214
44,303
1,578,400
412,000
126,204
42,784
54,698
6,694
22,501
236,500
18,568
15,531
Pipelines - 0.33%
Petronet LNG Ltd
Real Estate - 0.78%
China Overseas Land & Investment Ltd
Housing Development & Infrastructure Ltd
Value (000's)
Percent
19.02%
14.42%
13.35%
8.84%
8.21%
7.58%
5.21%
4.71%
3.99%
2.49%
2.33%
2.05%
1.56%
0.92%
0.92%
0.86%
0.68%
0.56%
0.45%
0.35%
0.34%
1.16%
100.00%
Schedule of Investments
LargeCap Growth Account
June 30, 2016 (unaudited)
COMMON STOCKS - 96.83%
Airlines - 1.55%
Delta Air Lines Inc
Shares Held
COMMON STOCKS (continued)
Value (000's)
43,614 $
1,589
Shares Held
Value (000's)
Iron & Steel - 1.18%
Nucor Corp
24,400 $
1,206
21,345
857
Leisure Products & Services - 1.55%
Royal Caribbean Cruises Ltd
23,662
1,589
Automobile Manufacturers - 0.95%
Ford Motor Co
77,600
975
Lodging - 1.08%
Wynn Resorts Ltd
12,251
1,110
Banks - 1.46%
Capital One Financial Corp
23,588
1,498
7,996
1,209
Beverages - 1.65%
Constellation Brands Inc
10,255
1,696
Biotechnology - 2.31%
Gilead Sciences Inc
57,866
19,610
21,525
28,427
2,371
$
4,256
1,556
1,695
7,507
$
1,055
1,527
1,100
2,309
1,611
2,447
3,678
13,727
$
1,947
1,751
737
1,539
5,974
$
2,348
2,451
1,016
5,815
Apparel - 0.84%
Under Armour Inc
(a)
Building Materials - 1.83%
Masco Corp
60,700
1,878
Chemicals - 2.88%
PPG Industries Inc
28,295
2,947
Commercial Services - 5.87%
Equifax Inc
FleetCor Technologies Inc (a)
PayPal Holdings Inc (a)
S&P Global Inc
Computers - 4.13%
Accenture PLC - Class A
Apple Inc
Cosmetics & Personal Care - 1.60%
Procter & Gamble Co/The
Diversified Financial Services - 7.68%
MasterCard Inc
Visa Inc
8,153
17,286
38,900
9,992
Food - 4.74%
Kellogg Co
Kraft Heinz Co/The
Mondelez International Inc
Healthcare - Products - 7.77%
Boston Scientific Corp (a)
Edwards Lifesciences Corp (a)
Intuitive Surgical Inc (a)
Thermo Fisher Scientific Inc
Housewares - 1.05%
Newell Brands Inc
Internet - 11.81%
Alphabet Inc - A Shares
Amazon.com Inc (a)
Facebook Inc (a)
(a)
Retail - 13.40%
Dollar Tree Inc (a)
McDonald's Corp
Panera Bread Co (a)
Starbucks Corp
Target Corp
TJX Cos Inc/The
Ulta Salon Cosmetics & Fragrance Inc
$
Semiconductors - 5.83%
Broadcom Ltd
Lam Research Corp
Micron Technology Inc (a)
NXP Semiconductors NV (a)
$
986
3,243
4,229
Software - 5.68%
Activision Blizzard Inc
Microsoft Corp
salesforce.com Inc (a)
8,700
33,922
19,400
(a)
11,200
12,690
5,191
40,418
23,077
31,682
15,095
12,528
20,826
53,600
19,646
59,236
47,900
12,800
1,643
Transportation - 0.98%
FedEx Corp
42,058
56,140
8,900
3,703
4,164
7,867
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 3.27%
Money Market Funds - 3.27%
BlackRock Liquidity Funds FedFund Portfolio
516
22,700
15,300
36,337
$
1,853
1,354
1,654
4,861
$
1,063
3,124
2,238
1,535
7,960
22,100
1,073
6,170
5,213
35,214
4,341
3,731
4,024
12,096
6,637
Shares Held
$
99,213
Value (000's)
3,354
$
$
$
$
3,354
102,567
(107)
102,460
Non-Income Producing Security
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Consumer, Cyclical
Technology
Communications
Financial
Basic Materials
Investment Companies
Industrial
Energy
Other Assets and Liabilities
TOTAL NET ASSETS
159
1,007
3,353,591
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.10)%
TOTAL NET ASSETS - 100.00%
(a)
45,500
31,327
3,383
10,389
$
See accompanying notes.
Pharmaceuticals - 7.33%
Bristol-Myers Squibb Co
DexCom Inc (a)
Eli Lilly & Co
1,047
2,474
1,420
1,072
6,013
$
Entertainment - 0.50%
Six Flags Entertainment Corp
Oil & Gas - 1.18%
Pioneer Natural Resources Co
Percent
31.28%
20.92%
15.64%
11.80%
9.14%
4.06%
3.27%
2.81%
1.18%
(0.10)%
100.00%
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
COMMON STOCKS - 96.68%
Shares Held
Advertising - 0.06%
Interpublic Group of Cos Inc/The
Omnicom Group Inc
Aerospace & Defense - 1.71%
B/E Aerospace Inc
Boeing Co/The
General Dynamics Corp
HEICO Corp
HEICO Corp - Class A
Lockheed Martin Corp
Northrop Grumman Corp
Raytheon Co
Rockwell Collins Inc
Spirit AeroSystems Holdings Inc
TransDigm Group Inc (a)
1,730 $
1,381
$
(a)
Agriculture - 0.53%
Altria Group Inc
Philip Morris International Inc
Reynolds American Inc
Automobile Manufacturers - 0.83%
Ferrari NV
PACCAR Inc
Tesla Motors Inc (a)
Automobile Parts & Equipment - 0.43%
BorgWarner Inc
Delphi Automotive PLC
Johnson Controls Inc
Lear Corp
Mobileye NV (a)
Visteon Corp
WABCO Holdings Inc (a)
(a)
Beverages - 0.59%
Brown-Forman Corp - A Shares
Brown-Forman Corp - B Shares
Coca-Cola Co/The
Constellation Brands Inc
Dr Pepper Snapple Group Inc
Monster Beverage Corp (a)
See accompanying notes.
$
$
389
800
79
1,268
$
1,095
1,802
100
3
120
3,120
$
24
887
35
211
3
16
1,086
1,588
60
3,910
$
468
24
1,509
2,001
$
5
89
25
27
863
11
20
1,040
$
19
2,462
17
755
7
3,260
228
35,306
716
3,822
33
544
27,056
43,605
981
11,440
461
7,107
153
1,425
559
268
18,710
168
222
968
94,760
131
14,000
216
117
385
11,876
735
1,002
428
Beverages (continued)
PepsiCo Inc
40
113
153
20
3,403
81
8
11
281
107
87
46
14
54
4,112
18,790
63,645
2,756
182
3,050
Apparel - 1.62%
Carter's Inc
Hanesbrands Inc
Michael Kors Holdings Ltd (a)
NIKE Inc
Ralph Lauren Corp
Skechers U.S.A. Inc (a)
Under Armour Inc – Class A (a)
Under Armour Inc – Class C (a)
VF Corp
Banks - 1.35%
Citizens Financial Group Inc
Morgan Stanley
Signature Bank/New York NY
State Street Corp
Western Alliance Bancorp (a)
434
26,200
582
125
212
1,134
480
637
538
332
203
5,646
7,860
1,468
Airlines - 1.29%
Alaska Air Group Inc
American Airlines Group Inc
Delta Air Lines Inc
JetBlue Airways Corp (a)
Southwest Airlines Co
COMMON STOCKS (continued)
Value (000's)
Biotechnology - 3.81%
Alexion Pharmaceuticals Inc (a)
Alnylam Pharmaceuticals Inc (a)
Amgen Inc
Biogen Inc (a)
BioMarin Pharmaceutical Inc (a)
Celgene Corp (a)
Charles River Laboratories International Inc
Shares Held
Value (000's)
5,151 $
$
546
1,422
34,325
250
2,930
2,953
3,933
11,678
212
4,008
14
446
714
306
1,152
17
5,166
2,291
5,635
63
213
464
218
623
302
371
47
13,139
$
431
322
451
9
5
11
8
38
105
15
5
1,130
9,187
$
15
38
24
45
29
1,134
1,285
$
70
18
6
3,606
163
41
67
128
128
131
27
112
13
4,510
(a)
Gilead Sciences Inc
Illumina Inc (a)
Incyte Corp (a)
Intercept Pharmaceuticals Inc (a)
Intrexon Corp (a)
Ionis Pharmaceuticals Inc (a)
Juno Therapeutics Inc (a)
Medivation Inc (a)
Regeneron Pharmaceuticals Inc (a)
Seattle Genetics Inc (a)
United Therapeutics Corp (a)
Vertex Pharmaceuticals Inc (a)
Building Materials - 0.53%
Eagle Materials Inc
Fortune Brands Home & Security Inc
Lennox International Inc
Martin Marietta Materials Inc
Masco Corp
Vulcan Materials Co
Chemicals - 1.87%
Air Products & Chemicals Inc
Axalta Coating Systems Ltd (a)
Celanese Corp
Ecolab Inc
EI du Pont de Nemours & Co
International Flavors & Fragrances Inc
LyondellBasell Industries NV
Monsanto Co
PPG Industries Inc
Praxair Inc
RPM International Inc
Sherwin-Williams Co/The
WR Grace & Co
Commercial Services - 2.08%
Aramark
Automatic Data Processing Inc
Booz Allen Hamilton Holding Corp
CoStar Group Inc (a)
Equifax Inc
Euronet Worldwide Inc (a)
FleetCor Technologies Inc (a)
Gartner Inc (a)
Global Payments Inc
KAR Auction Services Inc
Moody's Corp
Morningstar Inc
Nielsen Holdings PLC
PayPal Holdings Inc (a)
Quanta Services Inc (a)
Robert Half International Inc
RR Donnelley & Sons Co
S&P Global Inc
Sabre Corp
Service Corp International/US
ServiceMaster Global Holdings Inc (a)
Total System Services Inc
TransUnion (a)
13
38
538
121
97
69
160
194
652
167
234
945
9,422
491
693
85
30,402
2,523
325
897
1,235
1,226
1,164
548
383
178
494
1,314
524
127
490
235
16,293
341
639
607
439
103
815
51,582
233
550
731
759
905
855
588
712
290
17
121
16
28
63
16
2,332
33
46
25
41
9
42
1,883
5
21
12
81
24
23
23
38
10
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Commercial Services (continued)
United Rentals Inc (a)
Vantiv Inc (a)
Western Union Co/The
WEX Inc (a)
Computers - 3.77%
Accenture PLC - Class A
Apple Inc
Cadence Design Systems Inc (a)
Cognizant Technology Solutions Corp
CSRA Inc
DST Systems Inc
EMC Corp/MA
Fortinet Inc (a)
Genpact Ltd (a)
IHS Inc (a)
International Business Machines Corp
Manhattan Associates Inc (a)
NCR Corp (a)
Synopsys Inc (a)
Teradata Corp (a)
VeriFone Systems Inc (a)
303 $
661
2,110
171
$
(a)
Consumer Products - 0.13%
Avery Dennison Corp
Church & Dwight Co Inc
Clorox Co/The
Kimberly-Clark Corp
Spectrum Brands Holdings Inc
Cosmetics & Personal Care - 1.56%
Colgate-Palmolive Co
Estee Lauder Cos Inc/The
Distribution & Wholesale - 0.96%
Fastenal Co
HD Supply Holdings Inc (a)
LKQ Corp (a)
Pool Corp
Watsco Inc
WW Grainger Inc
3,583
30,231
1,280
41,824
736
153
2,068
609
99,344
250
3,230
326
556
109
605
481
$
$
27
54
86
121
13
301
$
69
3,688
3,757
358
522
622
882
113
943
40,514
48,605
877
1,258
195
123
230
185
231
239
379
205
331
42,491
6,700
284
33
920
460
424
5,683
325
115
104
5,093
766
26
537
35,220
115,578
147
Electronics - 1.86%
Agilent Technologies Inc
Allegion PLC
Amphenol Corp
FEI Co
Fitbit Inc (a)
Gentex Corp
Honeywell International Inc
Mettler-Toledo International Inc
National Instruments Corp
PerkinElmer Inc
Trimble Navigation Ltd (a)
Tyco International Plc
Waters Corp (a)
(a)
Engineering & Construction - 1.06%
SBA Communications Corp (a)
Entertainment - 0.04%
Cinemark Holdings Inc
Gaming and Leisure Properties Inc
Regal Entertainment Group
Six Flags Entertainment Corp
Vail Resorts Inc
Environmental Control - 0.06%
Stericycle Inc (a)
Waste Management Inc
2,158
31
40
18
17
52
2,316
Food - 0.44%
Blue Buffalo Pet Products Inc (a)
Campbell Soup Co
ConAgra Foods Inc
Flowers Foods Inc
General Mills Inc
Hain Celestial Group Inc/The (a)
Hershey Co/The
Hormel Foods Corp
Ingredion Inc
Kellogg Co
Kraft Heinz Co/The
Kroger Co/The
McCormick & Co Inc/MD
Pilgrim's Pride Corp
Post Holdings Inc (a)
Sprouts Farmers Market Inc (a)
Sysco Corp
TreeHouse Foods Inc (a)
Tyson Foods Inc
WhiteWave Foods Co/The (a)
Whole Foods Market Inc
Food Service - 0.00%
US Foods Holding Corp
—
39
1,003
8,573
13,503
(a)
Hand & Machine Tools - 0.03%
Lincoln Electric Holdings Inc
Snap-on Inc
Stanley Black & Decker Inc
11
Shares Held
Value (000's)
317 $
$
Electrical Components & Equipment - 0.05%
Acuity Brands Inc
AMETEK Inc
Emerson Electric Co
Energizer Holdings Inc
Hubbell Inc
26
6
47
34
6
22
1,076
653
11
6
49
16
12
1,455
8
3
2
448
8
$
Electric - 0.01%
Dominion Resources Inc/VA
See accompanying notes.
Electric (continued)
ITC Holdings Corp
20
38
41
15
5,023
406
2,890
31
2,395
17
18
56
19
2,666
29
490
21
16
6
15
9
9,084
$
Diversified Financial Services - 5.60%
Affiliated Managers Group Inc (a)
Air Lease Corp
Alliance Data Systems Corp (a)
Ameriprise Financial Inc
Artisan Partners Asset Management Inc
CBOE Holdings Inc
Charles Schwab Corp/The
CME Group Inc/IL
CoreLogic Inc/United States (a)
Credit Acceptance Corp (a)
Discover Financial Services
Eaton Vance Corp
Federated Investors Inc
Intercontinental Exchange Inc
Invesco Ltd
Lazard Ltd
LPL Financial Holdings Inc
MasterCard Inc
NorthStar Asset Management Group Inc/New
York
Santander Consumer USA Holdings Inc (a)
T Rowe Price Group Inc
TD Ameritrade Holding Corp
Visa Inc
COMMON STOCKS (continued)
Value (000's)
180
195
887
100
169
$
45
9
46
5
18
123
$
17
29
3,198
18
7
14
371
39
714
6
21
5
45
4,484
378
419
55,787
171
558
926
3,191
108
26,054
121
848
106
316
23,562
2,543
493
804
264
333
163
$
18
28
6
19
22
93
$
32
123
155
$
7
51
87
13
192
15
64
35
27
54
38
154
50
3
13
13
129
8
62
32
8
1,055
303
1,856
279
764
1,827
698
2,695
303
568
969
211
662
424
4,182
470
101
156
590
2,542
77
931
676
240
172
4
202
185
303
12
29
34
75
$
161
15
26
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Healthcare - Products - 6.79%
Align Technology Inc (a)
Baxter International Inc
Becton Dickinson and Co
Bio-Techne Corp
Boston Scientific Corp (a)
Bruker Corp
Cooper Cos Inc/The
CR Bard Inc
Danaher Corp
Edwards Lifesciences Corp (a)
Henry Schein Inc (a)
Hill-Rom Holdings Inc
Hologic Inc (a)
IDEXX Laboratories Inc (a)
Intuitive Surgical Inc (a)
ResMed Inc
St Jude Medical Inc
Stryker Corp
Teleflex Inc
Thermo Fisher Scientific Inc
Varian Medical Systems Inc (a)
VWR Corp (a)
West Pharmaceutical Services Inc
Zimmer Biomet Holdings Inc
Healthcare - Services - 4.44%
Aetna Inc
Amsurg Corp (a)
Anthem Inc
Centene Corp (a)
Cigna Corp
DaVita HealthCare Partners Inc (a)
Envision Healthcare Holdings Inc (a)
HCA Holdings Inc (a)
Humana Inc
Laboratory Corp of America Holdings
MEDNAX Inc (a)
Tenet Healthcare Corp (a)
UnitedHealth Group Inc
Universal Health Services Inc
WellCare Health Plans Inc (a)
Home Builders - 0.04%
DR Horton Inc
Lennar Corp - A Shares
Lennar Corp - B Shares
NVR Inc (a)
PulteGroup Inc
Thor Industries Inc
Home Furnishings - 0.02%
Leggett & Platt Inc
Tempur Sealy International Inc
Whirlpool Corp
Housewares - 0.05%
Newell Brands Inc
Scotts Miracle-Gro Co/The
Toro Co/The
Tupperware Brands Corp
Insurance - 0.14%
AmTrust Financial Services Inc
Aon PLC
Arthur J Gallagher & Co
Brown & Brown Inc
Erie Indemnity Co
Lincoln National Corp
Marsh & McLennan Cos Inc
Progressive Corp/The
See accompanying notes.
(a)
301 $
928
603
156
3,886
502
151
418
80,820
1,096
333
264
1,036
375
9,435
575
558
8,010
44
895
396
89
309
543
$
24
42
102
18
91
11
26
98
8,163
109
59
13
36
35
6,241
36
44
960
8
132
33
3
23
65
16,372
8,920
147
10,918
7,622
7,846
30,471
642
601
7,545
195
275
344
19,506
99
180
$
1,090
11
1,434
544
1,005
2,356
16
46
1,357
25
20
10
2,754
13
19
10,700
$
26
18
3
29
9
15
100
$
31
12
7
50
$
61
14
22
14
111
822
398
90
16
452
237
(a)
593
222
43
1,267
198
247
246
117
758
529
101
97
267
2,341
925
COMMON STOCKS (continued)
Value (000's)
Shares Held
Insurance (continued)
XL Group PLC
Internet - 19.39%
Alphabet Inc - A Shares (a)
Alphabet Inc - C Shares (a)
Amazon.com Inc (a)
CDW Corp/DE
Dropbox Inc (a),(b),(c),(d)
eBay Inc (a)
Expedia Inc
F5 Networks Inc (a)
Facebook Inc (a)
Flipkart Online Services Pvt Ltd
GoDaddy Inc (a)
Groupon Inc (a)
IAC/InterActiveCorp
LinkedIn Corp (a)
Match Group Inc (a)
Netflix Inc (a)
Priceline Group Inc/The (a)
Splunk Inc (a)
Symantec Corp
Tencent Holdings Ltd ADR
TripAdvisor Inc (a)
VeriSign Inc (a)
Yelp Inc (a)
Value (000's)
425 $
$
9,218
8,163
20,245
703
1,434
3,079
472
289
82,968
194
243
1,872
264
338
258
14,956
3,813
514
439
43,700
48,381
401
225
(a),(b),(c),(d)
$
Iron & Steel - 0.00%
Steel Dynamics Inc
Leisure Products & Services - 0.20%
Brunswick Corp/DE
Harley-Davidson Inc
Polaris Industries Inc
Royal Caribbean Cruises Ltd
Vista Outdoor Inc (a)
Lodging - 1.54%
Hilton Worldwide Holdings Inc
Las Vegas Sands Corp
Marriott International Inc/MD
MGM Resorts International (a)
Starwood Hotels & Resorts Worldwide Inc
Wyndham Worldwide Corp
Wynn Resorts Ltd
Media - 0.74%
AMC Networks Inc (a)
Cable One Inc
CBS Corp
Charter Communications Inc (a)
Comcast Corp - Class A
Discovery Communications Inc - A Shares
Discovery Communications Inc - C Shares
DISH Network Corp (a)
3
83
25
4
10
10
160
31
162
6
345
764
256
6,200
112
$
16
35
21
416
5
493
$
1,926
46
45
1,605
32
34
26
3,714
$
17
15
18
465
19
26
6
27
21
34
53
2,630
19
3,350
461
344
222
10,308
241
312
312
237
257
294
308
37,457
436
(a)
(a)
6,485
5,649
14,487
28
11
72
50
33
9,481
19
8
6
15
64
4
1,369
4,760
28
9
1,004
3,111
35
7
46,735
230
85,481
1,051
684
70,927
429
476
285
Machinery - Diversified - 1.39%
BWX Technologies Inc
Cognex Corp
Deere & Co
Flowserve Corp
Graco Inc
IDEX Corp
Manitowoc Foodservice Inc (a)
Middleby Corp/The (a)
Nordson Corp
Rockwell Automation Inc
Roper Technologies Inc
Wabtec Corp/DE
Xylem Inc/NY
14
340
278
23
2,275
578
9,300
634
974
709
17
12
124
132
606
16
23
37
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Media (continued)
FactSet Research Systems Inc
Scripps Networks Interactive Inc
Sirius XM Holdings Inc (a)
Starz (a)
Time Warner Inc
Twenty-First Century Fox Inc - A Shares
Twenty-First Century Fox Inc - B Shares
Viacom Inc - A Shares
Viacom Inc - B Shares
Walt Disney Co/The
Metal Fabrication & Hardware - 0.01%
Valmont Industries Inc
Mining - 0.01%
Freeport-McMoRan Inc
Southern Copper Corp
92
Oil & Gas - 0.07%
Apache Corp
Cabot Oil & Gas Corp
Chesapeake Energy Corp (a)
Cimarex Energy Co
Continental Resources Inc/OK (a)
CVR Energy Inc
Devon Energy Corp
EOG Resources Inc
Memorial Resource Development Corp
Murphy USA Inc (a)
Parsley Energy Inc (a)
Southwestern Energy Co (a)
Packaging & Containers - 0.08%
Ball Corp
Bemis Co Inc
Berry Plastics Group Inc (a)
Crown Holdings Inc (a)
Graphic Packaging Holding Co
Owens-Illinois Inc (a)
Packaging Corp of America
Sealed Air Corp
Silgan Holdings Inc
(a)
(a)
Pharmaceuticals (continued)
Johnson & Johnson
McKesson Corp
Mead Johnson Nutrition Co
Mylan NV (a)
Neurocrine Biosciences Inc (a)
OPKO Health Inc (a)
Pfizer Inc
Premier Inc (a)
Quintiles Transnational Holdings Inc
VCA Inc (a)
Zoetis Inc
25
24
31
13
103
66
44
5
52
458
1,788
$
12
4
16
$
297
7
11
162
16
146
58
657
1,354
794
14
1,101
1,298
333
77
191
19
132
176
197
128
122
1,614
$
61
33
2
9
9
—
5
15
3
10
3
20
170
$
41
5
20
29
13
12
27
38
10
195
569
103
525
564
1,070
666
399
814
196
6,310
348
100
372
580
9,419
1,111
97,121
1,595
11,770
43,009
314
COMMON STOCKS (continued)
12
1,698
90
104
5,154
385
1,401
905
17,967
Office & Business Equipment - 0.01%
Pitney Bowes Inc
See accompanying notes.
157 $
377
7,771
433
1,405
2,426
1,610
109
1,264
4,684
$
1,059
169
Miscellaneous Manufacturers - 0.56%
3M Co
AptarGroup Inc
Carlisle Cos Inc
General Electric Co
Hexcel Corp
Illinois Tool Works Inc
Ingersoll-Rand PLC
Textron Inc
Pharmaceuticals - 7.46%
AbbVie Inc
ACADIA Pharmaceuticals Inc
Agios Pharmaceuticals Inc (a)
Akorn Inc (a)
Alkermes PLC (a)
Allergan plc (a)
AmerisourceBergen Corp
Bristol-Myers Squibb Co
Cardinal Health Inc
Eli Lilly & Co
Express Scripts Holding Co (a)
Herbalife Ltd (a)
Value (000's)
Pipelines - 0.03%
ONEOK Inc
Spectra Energy Corp
Williams Cos Inc/The
Shares Held
(a)
Value (000's)
2,139 $
647
34,966
979
331
1,104
1,220
110
245
333
2,189
$
883
553
326
$
1,208
32
REITS - 0.53%
Alexandria Real Estate Equities Inc
American Tower Corp
Boston Properties Inc
Care Capital Properties Inc
Crown Castle International Corp
CubeSmart
CyrusOne Inc
Digital Realty Trust Inc
Empire State Realty Trust Inc
Equinix Inc
Equity LifeStyle Properties Inc
Essex Property Trust Inc
Extra Space Storage Inc
Federal Realty Investment Trust
Healthcare Trust of America Inc
Iron Mountain Inc
Lamar Advertising Co
Omega Healthcare Investors Inc
Outfront Media Inc
Public Storage
Regency Centers Corp
Senior Housing Properties Trust
Simon Property Group Inc
Sovran Self Storage Inc
Tanger Factory Outlet Centers Inc
Taubman Centers Inc
Ventas Inc
54
1,741
268
127
858
575
300
424
375
199
339
115
501
296
467
1,063
358
307
113
671
101
216
1,196
147
405
132
736
6
198
35
3
87
18
17
46
7
77
27
26
46
49
15
42
24
10
3
172
9
5
259
15
16
10
54
1,276
$
163
42
20
7
69
Real Estate - 0.01%
CBRE Group Inc (a)
Retail - 7.62%
Advance Auto Parts Inc
AutoNation Inc (a)
AutoZone Inc (a)
Bed Bath & Beyond Inc
Brinker International Inc
Burlington Stores Inc (a)
Cabela's Inc (a)
Casey's General Stores Inc
Coach Inc
Copart Inc (a)
Costco Wholesale Corp
CVS Health Corp
Darden Restaurants Inc
Dick's Sporting Goods Inc
Dollar General Corp
Dollar Tree Inc (a)
Dunkin' Brands Group Inc
Foot Locker Inc
Gap Inc/The
Genuine Parts Co
Home Depot Inc/The
391
11
4
11
25
2,176
88
7,143
124
927
3,261
18
260
121
3,173
42
15
10
43
4
16
23
104
17,990
293
122
155
135
290
210
47
160
252
441
31,473
4,204
511
321
17,214
653
414
535
177
581
5,157
47
6
123
6
13
14
2
21
10
22
4,942
403
32
14
1,618
62
18
29
4
59
659
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Retail (continued)
Kate Spade & Co (a)
L Brands Inc
Liberty Interactive Corp QVC Group (a)
Lowe's Cos Inc
lululemon athletica Inc (a)
McDonald's Corp
Michaels Cos Inc/The (a)
MSC Industrial Direct Co Inc
Nu Skin Enterprises Inc
O'Reilly Automotive Inc (a)
Panera Bread Co (a)
Ross Stores Inc
Sally Beauty Holdings Inc (a)
Signet Jewelers Ltd
Starbucks Corp
Target Corp
TJX Cos Inc/The
Tractor Supply Co
Ulta Salon Cosmetics & Fragrance Inc (a)
Urban Outfitters Inc (a)
Walgreens Boots Alliance Inc
Wendy's Co/The
Williams-Sonoma Inc
Yum! Brands Inc
Semiconductors - 2.58%
Applied Materials Inc
ASML Holding NV - NY Reg Shares
Broadcom Ltd
Cree Inc (a)
Intel Corp
IPG Photonics Corp (a)
KLA-Tencor Corp
Lam Research Corp
Linear Technology Corp
Maxim Integrated Products Inc
Microchip Technology Inc
NVIDIA Corp
NXP Semiconductors NV (a)
ON Semiconductor Corp (a)
Qorvo Inc (a)
QUALCOMM Inc
Skyworks Solutions Inc
Texas Instruments Inc
Xilinx Inc
Shares Held
557 $
125
1,088
25,384
388
3,732
390
126
97
497
98
2,206
674
296
93,552
804
3,055
15,487
236
393
952
670
396
1,917
$
2,248
11,610
1,088
146
2,731
129
652
528
499
1,185
875
2,649
51,976
342
84
1,749
704
2,905
366
$
Shipbuilding - 0.01%
Huntington Ingalls Industries Inc
Software - 9.05%
Activision Blizzard Inc
Adobe Systems Inc (a)
Akamai Technologies Inc (a)
ANSYS Inc (a)
athenahealth Inc (a)
Atlassian Corp PLC (a)
Autodesk Inc (a)
Black Knight Financial Services Inc (a)
Broadridge Financial Solutions Inc
CDK Global Inc
Cerner Corp (a)
Citrix Systems Inc (a)
Dun & Bradstreet Corp/The
Electronic Arts Inc (a)
Fidelity National Information Services Inc
First Data Corp (a)
Fiserv Inc (a)
Guidewire Software Inc (a)
IMS Health Holdings Inc (a)
Intuit Inc
Jack Henry & Associates Inc
Microsoft Corp
See accompanying notes.
172
4,580
25,949
41,389
20,515
159
167
697
143
507
651
844
642
78
838
535
1,409
2,021
328
654
703
353
83,131
COMMON STOCKS (continued)
Value (000's)
Software (continued)
MSCI Inc
NetSuite Inc (a)
Nuance Communications Inc (a)
Oracle Corp
Paychex Inc
Rackspace Hosting Inc (a)
Red Hat Inc (a)
salesforce.com Inc (a)
ServiceNow Inc (a)
SS&C Technologies Holdings Inc
Tableau Software Inc (a)
Tyler Technologies Inc (a)
Ultimate Software Group Inc/The
Veeva Systems Inc (a)
VMware Inc (a)
Workday Inc (a)
12
8
28
2,009
29
449
11
9
5
135
21
125
20
24
5,343
56
236
1,412
58
11
79
6
21
159
18,370
(a)
Telecommunications - 0.89%
Arista Networks Inc (a)
ARRIS International PLC (a)
CommScope Holding Co Inc (a)
Juniper Networks Inc
Motorola Solutions Inc
Palo Alto Networks Inc (a)
T-Mobile US Inc (a)
Verizon Communications Inc
Zayo Group Holdings Inc (a)
54
1,152
169
4
90
10
48
44
23
42
44
124
4,072
3
5
94
44
182
17
6,221
Shares Held
Value (000's)
383 $
36,462
818
4,415
931
513
729
70,759
12,000
646
235
144
113
415
147
6,205
$
181
226
548
21,600
121
2,790
18,980
7,961
629
$
Textiles - 0.02%
Mohawk Industries Inc
(a)
Toys, Games & Hobbies - 0.04%
Hasbro Inc
Mattel Inc
Transportation - 0.69%
CH Robinson Worldwide Inc
Expeditors International of Washington Inc
FedEx Corp
JB Hunt Transport Services Inc
Landstar System Inc
Old Dominion Freight Line Inc (a)
Teekay Corp
Union Pacific Corp
United Parcel Service Inc
29
Trucking & Leasing - 0.00%
AMERCO
182
2,486
2,314
1,862
22
4
38
5
33
36
49
51
10
63
39
16
220
20
17
78
31
4,254
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 2.23%
Money Market Funds - 2.23%
BlackRock Liquidity Funds FedFund Portfolio
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
First American Government Obligations Fund
TOTAL INVESTMENT COMPANIES
CONVERTIBLE PREFERRED STOCKS 0.37%
Internet - 0.37%
Airbnb Inc - Series D (a),(b),(c),(d)
Airbnb Inc - Series E (a),(b),(c),(d)
Dropbox Inc (a),(b),(c),(d)
Flipkart Online Services Pvt Ltd Series A
30
2,655
13
181
55
11
53
5,619
797
18
11
24
24
14
8
463
21,806
12
5
17
486
8
342
821
444
18
2,153
207
39
481
1,394
$
40
44
84
$
45
27
1,285
31
14
11
1
34
215
1,663
605
559
8,470
381
206
178
65
385
1,996
19
Shares Held
7
$
233,069
Value (000's)
2,359,848
115,943
2,360
116
2,896,817
$
$
Shares Held
2,897
5,373
5,373
Value (000's)
3,936
1,119
8,228
68
366
104
100
7
117
11
(a),(b),(c),(d)
Flipkart Online Services Pvt Ltd Series C
(a),(b),(c),(d)
164
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
CONVERTIBLE PREFERRED STOCKS
(continued)
Shares Held
Internet (continued)
Flipkart Online Services Pvt Ltd Series E
Value (000's)
220 $
21
(a),(b),(c),(d)
Uber Technologies Inc
(a),(b),(c),(d)
5,740
TOTAL CONVERTIBLE PREFERRED STOCKS
PREFERRED STOCKS - 0.22%
Shares Held
Internet - 0.10%
Flipkart Online Services Pvt Ltd Series G
280
$
889
$
889
Value (000's)
985
96
(a),(b),(c),(d)
Uber Technologies Inc
(a),(b),(c),(d)
Software - 0.12%
Magic Leap Inc (a),(b),(c),(d)
Snapchat Inc (a),(b),(c),(d)
TOTAL PREFERRED STOCKS
Total Investments
Other Assets and Liabilities - 0.50%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
(d)
3,311
$
161
257
$
$
$
$
$
130
151
281
538
239,869
1,213
241,082
5,653
4,923
Non-Income Producing Security
Security is Illiquid. At the end of the period, the value of these securities
totaled $1,457 or 0.60% of net assets.
Restricted Security. Please see Restricted Security Sub-Schedule for more
information.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$1,457 or 0.60% of net assets.
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Communications
Technology
Consumer, Cyclical
Industrial
Financial
Investment Companies
Basic Materials
Energy
Utilities
Other Assets and Liabilities
TOTAL NET ASSETS
Percent
27.85%
21.55%
15.51%
14.70%
8.04%
7.63%
2.23%
1.88%
0.10%
0.01%
0.50%
100.00%
Futures Contracts
Type
S&P 500 Emini; September 2016
Total
Long/Short
Long
Contracts
58
Notional Value
$
6,076
Fair Value
$
Unrealized
Appreciation/(Depreciation)
6,062 $
(14)
$
(14)
Amounts in thousands except contracts
Security Name
Airbnb Inc - Series D
Airbnb Inc - Series E
Dropbox Inc
Dropbox Inc
Flipkart Online Services Pvt Ltd
Flipkart Online Services Pvt Ltd Series A
Flipkart Online Services Pvt Ltd Series C
Flipkart Online Services Pvt Ltd Series E
Flipkart Online Services Pvt Ltd Series G
Magic Leap Inc
Snapchat Inc
Uber Technologies Inc
Uber Technologies Inc
Amounts in thousands
See accompanying notes.
Restricted Securities
Trade Date
04/16/2014
$
07/14/2015
01/30/2014
11/07/2014
03/19/2015
03/19/2015
03/19/2015
03/19/2015
12/17/2014
01/20/2016
05/06/2016
12/03/2015
12/05/2014
165
Cost
Value
160
104
157
27
22
8
14
25
118
130
151
162
191
$
366
104
100
11
19
7
11
21
96
130
151
161
280
Percent of Net Assets
0.15%
0.04%
0.04%
0.00%
0.01%
0.00%
0.00%
0.01%
0.04%
0.05%
0.06%
0.07%
0.12%
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
COMMON STOCKS - 97.69%
Shares Held
Advertising - 0.15%
Interpublic Group of Cos Inc/The
Omnicom Group Inc
46,639 $
27,555
$
Aerospace & Defense - 2.09%
Boeing Co/The
General Dynamics Corp
Harris Corp
L-3 Communications Holdings Inc
Lockheed Martin Corp
Northrop Grumman Corp
Raytheon Co
Rockwell Collins Inc
TransDigm Group Inc (a)
United Technologies Corp
Agriculture - 1.95%
Altria Group Inc
Archer-Daniels-Midland Co
Philip Morris International Inc
Reynolds American Inc
Airlines - 0.49%
Alaska Air Group Inc
American Airlines Group Inc
Delta Air Lines Inc
Southwest Airlines Co
United Continental Holdings Inc
Apparel - 0.71%
Hanesbrands Inc
Michael Kors Holdings Ltd (a)
NIKE Inc
Ralph Lauren Corp
Under Armour Inc – Class A (a)
Under Armour Inc – Class C (a)
VF Corp
Automobile Manufacturers - 0.57%
Ford Motor Co
General Motors Co
PACCAR Inc
Automobile Parts & Equipment - 0.32%
BorgWarner Inc
Delphi Automotive PLC
Goodyear Tire & Rubber Co/The
Johnson Controls Inc
Banks - 6.18%
Bank of America Corp
Bank of New York Mellon Corp/The
BB&T Corp
Capital One Financial Corp
Citigroup Inc
Citizens Financial Group Inc
Comerica Inc
Fifth Third Bancorp
Goldman Sachs Group Inc/The
Huntington Bancshares Inc/OH
JPMorgan Chase & Co
KeyCorp
M&T Bank Corp
Morgan Stanley
Northern Trust Corp
PNC Financial Services Group Inc/The
Regions Financial Corp
State Street Corp
SunTrust Banks Inc
US Bancorp
See accompanying notes.
69,400
33,299
14,455
8,918
30,346
20,914
34,420
15,089
6,140
90,204
$
$
15,637
2,921
18,289
5,174
42,021
14,285
67,010
89,428
74,024
38,908
$
833
1,897
3,258
2,902
1,597
10,487
$
1,099
1,012
8,518
592
852
777
2,378
15,228
$
5,685
4,596
2,107
12,388
$
745
1,980
791
3,326
6,842
43,754
20,453
154,318
6,608
21,226
21,334
38,666
452,244
162,405
40,619
25,222
31,638
30,823
75,146
1,190,527
124,835
95,139
59,352
340,161
61,309
20,298
88,979
44,774
92,589
423,812
97,632
18,428
175,112
24,857
57,872
146,813
45,889
58,081
188,086
Shares Held
Banks (continued)
Wells Fargo & Co
Zions Bancorporation
1,077
2,246
3,323
9,013
4,637
1,206
1,308
7,531
4,649
4,679
1,285
1,619
9,250
45,177
226,751
68,101
179,793
95,949
(a)
COMMON STOCKS (continued)
Value (000's)
535,476 $
23,716
$
Beverages - 2.30%
Brown-Forman Corp - B Shares
Coca-Cola Co/The
Constellation Brands Inc
Dr Pepper Snapple Group Inc
Molson Coors Brewing Co
Monster Beverage Corp (a)
PepsiCo Inc
Biotechnology - 2.42%
Alexion Pharmaceuticals Inc (a)
Amgen Inc
Biogen Inc (a)
Celgene Corp (a)
Gilead Sciences Inc
Illumina Inc (a)
Regeneron Pharmaceuticals Inc
Vertex Pharmaceuticals Inc (a)
11,648
451,270
20,446
21,535
21,340
16,316
167,409
(a)
166
$
3,031
13,247
6,139
8,855
12,877
2,395
3,157
2,466
52,167
$
1,029
1,414
1,193
1,858
5,494
$
3,201
1,031
651
6,469
1,170
3,628
6,560
718
1,165
2,945
5,236
1,061
3,212
3,716
2,676
43,439
$
4,850
986
1,771
1,274
598
1,836
2,173
4,667
405
581
3,289
1,040
688
1,454
1,092
26,704
22,539
13,003
27,015
130,137
17,229
30,594
101,241
15,502
9,238
39,566
50,630
40,544
30,837
33,062
9,112
Commercial Services - 1.24%
Automatic Data Processing Inc
Cintas Corp
Equifax Inc
Global Payments Inc
H&R Block Inc
Moody's Corp
Nielsen Holdings PLC
PayPal Holdings Inc (a)
Quanta Services Inc (a)
Robert Half International Inc
S&P Global Inc
Total System Services Inc
United Rentals Inc (a)
Verisk Analytics Inc (a)
Western Union Co/The
Computers - 4.85%
Accenture PLC - Class A
Apple Inc
Cognizant Technology Solutions Corp
CSRA Inc
EMC Corp/MA
Hewlett Packard Enterprise Co
HP Inc
$
17,756
7,362
38,565
15,436
Chemicals - 2.01%
Air Products & Chemicals Inc
Albemarle Corp
CF Industries Holdings Inc
Dow Chemical Co/The
Eastman Chemical Co
Ecolab Inc
EI du Pont de Nemours & Co
FMC Corp
International Flavors & Fragrances Inc
LyondellBasell Industries NV
Monsanto Co
Mosaic Co/The
PPG Industries Inc
Praxair Inc
Sherwin-Williams Co/The
52,797
10,045
13,793
17,848
26,008
19,592
41,817
127,832
17,505
15,220
30,667
19,578
10,257
17,931
56,923
(a)
72,298
634,840
70,221
15,898
226,377
192,594
198,261
25,344
596
133,465
1,162
20,456
3,382
2,081
2,158
2,622
17,735
49,596
25,964
87,066
25,388
89,777
154,359
17,060
9,039
28,668
Building Materials - 0.25%
Fortune Brands Home & Security Inc
Martin Marietta Materials Inc
Masco Corp
Vulcan Materials Co
15,798
4,850
3,388
3,769
14,419
1,225
835
1,565
6,653
828
26,336
1,079
2,179
4,549
1,647
4,710
1,249
2,474
2,386
7,586
Value (000's)
8,191
60,691
4,019
372
6,151
3,519
2,488
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Computers (continued)
International Business Machines Corp
NetApp Inc
Seagate Technology PLC
Teradata Corp (a)
Western Digital Corp
Consumer Products - 0.47%
Avery Dennison Corp
Church & Dwight Co Inc
Clorox Co/The
Kimberly-Clark Corp
Cosmetics & Personal Care - 1.67%
Colgate-Palmolive Co
Estee Lauder Cos Inc/The
Procter & Gamble Co/The (b)
Distribution & Wholesale - 0.19%
Fastenal Co
LKQ Corp (a)
WW Grainger Inc
Diversified Financial Services - 2.97%
Affiliated Managers Group Inc (a)
Alliance Data Systems Corp (a)
American Express Co
Ameriprise Financial Inc
BlackRock Inc
Charles Schwab Corp/The
CME Group Inc/IL
Discover Financial Services
E*TRADE Financial Corp (a)
Franklin Resources Inc
Intercontinental Exchange Inc
Invesco Ltd
Legg Mason Inc
MasterCard Inc
Nasdaq Inc
Navient Corp
Synchrony Financial
T Rowe Price Group Inc
Visa Inc
Electric - 3.19%
AES Corp/VA
Alliant Energy Corp
Ameren Corp
American Electric Power Co Inc
CMS Energy Corp
Consolidated Edison Inc
Dominion Resources Inc/VA
DTE Energy Co
Duke Energy Corp
Edison International
Entergy Corp
Eversource Energy
Exelon Corp
FirstEnergy Corp
NextEra Energy Inc
NRG Energy Inc
PG&E Corp
Pinnacle West Capital Corp
PPL Corp
Public Service Enterprise Group Inc
SCANA Corp
Southern Co/The
WEC Energy Group Inc
Xcel Energy Inc
See accompanying notes.
Shares Held
Value (000's)
102,359 $
33,505
34,594
15,067
32,618
$
15,536
824
843
378
1,541
104,553
10,336
14,873
14,990
41,739
$
773
1,530
2,075
5,738
10,116
$
7,576
2,348
26,122
36,046
103,501
25,797
308,511
33,481
35,544
6,538
$
1,486
1,127
1,486
4,099
$
878
1,338
5,693
1,727
4,994
3,528
3,823
2,560
759
1,425
3,532
1,235
360
9,908
863
458
2,443
2,099
16,374
63,997
$
953
1,044
1,507
3,991
1,484
2,836
5,566
2,061
6,850
2,933
1,685
2,202
3,885
1,718
6,974
547
3,675
1,044
2,962
2,733
1,253
5,834
2,389
2,636
68,762
6,236
6,831
93,691
19,217
14,579
139,398
39,248
47,777
32,305
42,710
13,797
48,362
12,216
112,516
13,347
38,306
96,652
28,766
220,767
76,378
26,299
28,121
56,943
32,354
35,252
71,420
20,796
79,844
37,761
20,716
36,764
106,837
49,224
53,482
36,498
57,491
12,881
78,458
58,637
16,564
108,779
36,583
58,872
COMMON STOCKS (continued)
Electrical Components & Equipment - 0.30%
Acuity Brands Inc
AMETEK Inc
Emerson Electric Co
Electronics - 1.15%
Agilent Technologies Inc
Allegion PLC
Amphenol Corp
Corning Inc
FLIR Systems Inc
Garmin Ltd
Honeywell International Inc
PerkinElmer Inc
TE Connectivity Ltd
Tyco International Plc
Waters Corp (a)
Shares Held
Value (000's)
5,079 $
27,052
74,565
$
37,988
11,095
35,689
124,634
15,951
13,595
88,330
12,636
41,448
49,315
9,381
$
1,685
770
2,046
2,553
494
577
10,275
662
2,367
2,101
1,319
24,849
Energy - Alternate Sources - 0.02%
First Solar Inc (a)
8,887
431
Engineering & Construction - 0.07%
Fluor Corp
Jacobs Engineering Group Inc (a)
16,136
14,131
$
795
704
1,499
$
1,411
1,025
3,173
5,609
$
1,383
2,418
4,913
1,848
1,146
2,114
2,385
6,110
4,067
1,425
8,187
3,082
2,327
1,191
42,596
Environmental Control - 0.26%
Republic Services Inc
Stericycle Inc (a)
Waste Management Inc
Food - 1.97%
Campbell Soup Co
ConAgra Foods Inc
General Mills Inc
Hershey Co/The
Hormel Foods Corp
JM Smucker Co/The
Kellogg Co
Kraft Heinz Co/The
Kroger Co/The
McCormick & Co Inc/MD
Mondelez International Inc
Sysco Corp
Tyson Foods Inc
Whole Foods Market Inc
27,502
9,841
47,886
20,781
50,581
68,891
16,287
31,319
13,871
29,211
69,056
110,545
13,359
179,885
60,740
34,832
37,207
Forest Products & Paper - 0.09%
International Paper Co
47,655
2,020
Gas - 0.25%
CenterPoint Energy Inc
NiSource Inc
Sempra Energy
49,909
37,267
27,471
$
1,198
988
3,132
5,318
$
1,064
1,935
2,999
Hand & Machine Tools - 0.14%
Snap-on Inc
Stanley Black & Decker Inc
Healthcare - Products - 3.16%
Abbott Laboratories
Baxter International Inc
Becton Dickinson and Co
Boston Scientific Corp (a)
CR Bard Inc
Danaher Corp
DENTSPLY SIRONA Inc
Edwards Lifesciences Corp (a)
Henry Schein Inc (a)
Hologic Inc (a)
167
1,259
1,251
3,889
6,399
6,739
17,398
170,276
64,007
24,594
157,262
8,497
69,443
27,147
24,543
9,511
28,115
6,694
2,894
4,171
3,675
1,998
7,014
1,684
2,448
1,682
973
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Healthcare - Products (continued)
Intuitive Surgical Inc (a)
Medtronic PLC
Patterson Cos Inc
St Jude Medical Inc
Stryker Corp
Thermo Fisher Scientific Inc
Varian Medical Systems Inc (a)
Zimmer Biomet Holdings Inc
Healthcare - Services - 1.91%
Aetna Inc
Anthem Inc
Centene Corp (a)
Cigna Corp
DaVita HealthCare Partners Inc (a)
HCA Holdings Inc (a)
Humana Inc
Laboratory Corp of America Holdings
Quest Diagnostics Inc
UnitedHealth Group Inc
Universal Health Services Inc
(a)
Value (000's)
4,411 $
162,975
9,647
32,948
36,409
45,608
11,035
23,074
$
2,917
14,141
462
2,570
4,363
6,739
907
2,778
68,110
40,634
30,476
19,757
29,730
18,907
34,899
17,273
11,868
16,395
110,199
10,403
4,963
4,003
1,410
3,805
1,462
2,687
3,107
1,546
1,335
15,560
1,395
41,273
$
Holding Companies - Diversified - 0.03%
Leucadia National Corp
38,634
670
Home Builders - 0.13%
DR Horton Inc
Lennar Corp - A Shares
PulteGroup Inc
38,261
21,256
36,496
$
1,205
980
711
2,896
$
587
796
1,467
2,850
Home Furnishings - 0.13%
Harman International Industries Inc
Leggett & Platt Inc
Whirlpool Corp
Housewares - 0.12%
Newell Brands Inc
Insurance - 4.00%
Aflac Inc
Allstate Corp/The
American International Group Inc
Aon PLC
Arthur J Gallagher & Co
Assurant Inc
Berkshire Hathaway Inc - Class B (a)
Chubb Ltd
Cincinnati Financial Corp
Hartford Financial Services Group Inc/The
Lincoln National Corp
Loews Corp
Marsh & McLennan Cos Inc
MetLife Inc
Progressive Corp/The
Prudential Financial Inc
Torchmark Corp
Travelers Cos Inc/The
Unum Group
Willis Towers Watson PLC
XL Group PLC
8,177
15,568
8,804
52,929
2,571
47,981
43,389
129,697
30,704
20,529
7,178
217,180
53,833
17,143
45,593
27,701
31,041
60,411
127,336
67,570
51,228
13,004
33,888
27,556
16,045
32,993
3,462
3,035
6,860
3,354
977
619
31,445
7,036
1,284
2,023
1,074
1,275
4,136
5,072
2,264
3,655
804
4,034
876
1,995
1,099
86,379
$
Internet - 6.23%
Alphabet Inc - A Shares
Alphabet Inc - C Shares
Amazon.com Inc (a)
eBay Inc (a)
Expedia Inc
F5 Networks Inc (a)
Facebook Inc (a)
See accompanying notes.
(a)
(a)
34,037
34,232
44,842
122,506
13,586
7,763
267,947
COMMON STOCKS (continued)
Internet (continued)
Netflix Inc (a)
Priceline Group Inc/The
Symantec Corp
TripAdvisor Inc (a)
VeriSign Inc (a)
Yahoo! Inc (a)
Shares Held
49,640 $
5,753
70,965
13,247
11,063
101,289
$
(a)
36,848
1,821
Leisure Products & Services - 0.21%
Carnival Corp
Harley-Davidson Inc
Royal Caribbean Cruises Ltd
50,818
20,988
19,458
$
2,246
951
1,307
4,504
$
1,469
1,445
924
855
4,693
22,099
19,535
12,975
9,438
Machinery - Construction & Mining - 0.24%
Caterpillar Inc
67,671
5,130
Machinery - Diversified - 0.47%
Cummins Inc
Deere & Co
Flowserve Corp
Rockwell Automation Inc
Roper Technologies Inc
Xylem Inc/NY
18,362
34,601
15,109
15,097
11,729
20,734
$
2,065
2,804
682
1,733
2,001
926
10,211
$
2,620
18,267
440
660
501
146
686
584
6,703
3,435
1,362
1,666
16,923
53,993
$
1,413
1,617
2,405
5,435
$
12,310
1,246
3,171
33,551
3,904
1,900
1,687
1,221
1,139
60,129
$
389
1,047
1,436
Media - 2.50%
CBS Corp
Comcast Corp - Class A
Discovery Communications Inc - A Shares
Discovery Communications Inc - C Shares
News Corp - A Shares
News Corp - B Shares
Scripps Networks Interactive Inc
TEGNA Inc
Time Warner Inc
Twenty-First Century Fox Inc - A Shares
Twenty-First Century Fox Inc - B Shares
Viacom Inc - B Shares
Walt Disney Co/The
Mining - 0.25%
Alcoa Inc
Freeport-McMoRan Inc
Newmont Mining Corp
Miscellaneous Manufacturers - 2.79%
3M Co
Dover Corp
Eaton Corp PLC
General Electric Co
Illinois Tool Works Inc
Ingersoll-Rand PLC
Parker-Hannifin Corp
Pentair PLC
Textron Inc
Office & Business Equipment - 0.07%
Pitney Bowes Inc
Xerox Corp
168
4,541
7,182
1,458
852
956
3,804
134,338
Iron & Steel - 0.08%
Nucor Corp
Lodging - 0.22%
Marriott International Inc/MD
Starwood Hotels & Resorts Worldwide Inc
Wyndham Worldwide Corp
Wynn Resorts Ltd
23,946
23,692
32,090
2,868
1,444
884
30,621
Value (000's)
(a)
(a)
48,135
280,220
17,440
27,671
44,108
12,494
11,013
25,218
91,144
126,995
49,976
40,172
172,999
152,422
145,124
61,489
70,295
17,981
53,082
1,065,787
37,486
29,840
15,609
20,945
31,157
21,861
110,363
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Oil & Gas - 5.72%
Anadarko Petroleum Corp
Apache Corp
Cabot Oil & Gas Corp
Chesapeake Energy Corp (a)
Chevron Corp
Cimarex Energy Co
Concho Resources Inc (a)
ConocoPhillips
Devon Energy Corp
Diamond Offshore Drilling Inc
EOG Resources Inc
EQT Corp
Exxon Mobil Corp
Helmerich & Payne Inc
Hess Corp
Marathon Oil Corp
Marathon Petroleum Corp
Murphy Oil Corp
Newfield Exploration Co (a)
Noble Energy Inc
Occidental Petroleum Corp
Phillips 66
Pioneer Natural Resources Co
Range Resources Corp
Southwestern Energy Co (a)
Tesoro Corp
Transocean Ltd
Valero Energy Corp
Oil & Gas Services - 1.01%
Baker Hughes Inc
FMC Technologies Inc (a)
Halliburton Co
National Oilwell Varco Inc
Schlumberger Ltd
Packaging & Containers - 0.18%
Ball Corp
Owens-Illinois Inc (a)
Sealed Air Corp
WestRock Co
Pharmaceuticals - 7.02%
AbbVie Inc
Allergan plc (a)
AmerisourceBergen Corp
Bristol-Myers Squibb Co
Cardinal Health Inc
Eli Lilly & Co
Endo International PLC (a)
Express Scripts Holding Co
Johnson & Johnson
Mallinckrodt PLC (a)
McKesson Corp
Mead Johnson Nutrition Co
Merck & Co Inc
Mylan NV (a)
Perrigo Co PLC
Pfizer Inc (b)
Zoetis Inc
(a)
Pipelines - 0.51%
Columbia Pipeline Group Inc
Kinder Morgan Inc/DE
ONEOK Inc
Spectra Energy Corp
Williams Cos Inc/The
See accompanying notes.
Shares Held
Value (000's)
59,159 $
43,872
53,894
67,783
218,439
10,989
15,107
143,530
60,732
7,472
63,777
20,020
480,597
12,521
30,552
98,243
61,408
18,760
22,798
49,671
88,518
54,214
18,956
19,673
54,820
13,905
39,787
54,450
$
50,754
26,234
99,589
43,701
161,046
3,150
2,442
1,387
290
22,899
1,311
1,802
6,258
2,202
182
5,320
1,550
45,051
841
1,836
1,475
2,331
596
1,007
1,782
6,688
4,301
2,866
849
690
1,042
473
2,777
123,398
$
2,291
700
4,510
1,471
12,735
21,707
$
1,456
338
1,050
1,138
3,982
$
11,605
10,594
1,687
14,230
2,946
8,866
370
5,560
38,671
770
4,868
1,963
18,482
2,140
1,505
24,750
2,511
151,518
$
1,181
3,970
1,156
2,905
1,712
10,924
20,142
18,766
22,848
29,277
187,453
45,845
21,265
193,474
37,762
112,583
23,742
73,342
318,802
12,671
26,080
21,634
320,817
49,493
16,599
702,923
52,909
46,342
212,084
24,351
79,300
79,162
COMMON STOCKS (continued)
Value (000's)
33,823 $
REITS - 3.12%
American Tower Corp
Apartment Investment & Management Co
AvalonBay Communities Inc
Boston Properties Inc
Crown Castle International Corp
Digital Realty Trust Inc
Equinix Inc
Equity Residential
Essex Property Trust Inc
Extra Space Storage Inc
Federal Realty Investment Trust
General Growth Properties Inc
HCP Inc
Host Hotels & Resorts Inc
Iron Mountain Inc
Kimco Realty Corp
Macerich Co/The
Prologis Inc
Public Storage
Realty Income Corp
Simon Property Group Inc
SL Green Realty Corp
UDR Inc
Ventas Inc
Vornado Realty Trust
Welltower Inc
Weyerhaeuser Co
49,207
18,151
15,897
17,803
39,046
17,016
8,046
42,362
7,583
14,511
8,217
67,559
54,136
86,614
27,701
48,637
14,628
60,890
17,080
29,859
35,860
11,617
30,961
39,189
20,566
41,376
86,586
Retail - 6.52%
Advance Auto Parts Inc
AutoNation Inc (a)
AutoZone Inc (a)
Bed Bath & Beyond Inc
Best Buy Co Inc
CarMax Inc (a)
Chipotle Mexican Grill Inc (a)
Coach Inc
Costco Wholesale Corp
CVS Health Corp
Darden Restaurants Inc
Dollar General Corp
Dollar Tree Inc (a)
Foot Locker Inc
Gap Inc/The
Genuine Parts Co
Home Depot Inc/The
Kohl's Corp
L Brands Inc
Lowe's Cos Inc
Macy's Inc
McDonald's Corp
Nordstrom Inc
O'Reilly Automotive Inc (a)
PVH Corp
Ross Stores Inc
Signet Jewelers Ltd
Staples Inc
Starbucks Corp
Target Corp
Tiffany & Co
TJX Cos Inc/The
Tractor Supply Co
Ulta Salon Cosmetics & Fragrance Inc
Urban Outfitters Inc (a)
Walgreens Boots Alliance Inc
Wal-Mart Stores Inc
Yum! Brands Inc
169
Shares Held
Real Estate - 0.04%
CBRE Group Inc (a)
(a)
896
$
5,590
801
2,868
2,348
3,960
1,855
3,120
2,918
1,730
1,343
1,360
2,015
1,915
1,404
1,103
1,526
1,249
2,986
4,365
2,071
7,778
1,237
1,143
2,854
2,059
3,152
2,578
67,328
$
1,378
387
2,747
773
1,000
1,101
1,363
1,313
7,973
11,918
837
3,092
2,573
865
558
1,756
18,411
807
1,968
8,131
1,201
12,244
566
3,031
885
2,640
745
646
9,698
4,769
771
5,917
1,410
1,763
276
8,340
12,924
3,916
140,693
8,525
8,245
3,460
17,891
32,678
22,465
3,384
32,224
50,772
124,480
13,218
32,890
27,302
15,773
26,290
17,341
144,181
21,292
29,323
102,700
35,743
101,744
14,874
11,179
9,392
46,569
9,040
74,905
169,783
68,297
12,706
76,620
15,464
7,238
10,044
100,161
176,999
47,222
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Savings & Loans - 0.02%
People's United Financial Inc
Semiconductors - 2.76%
Analog Devices Inc
Applied Materials Inc
Broadcom Ltd
Intel Corp
KLA-Tencor Corp
Lam Research Corp
Linear Technology Corp
Microchip Technology Inc
Micron Technology Inc (a)
NVIDIA Corp
Qorvo Inc (a)
QUALCOMM Inc
Skyworks Solutions Inc
Texas Instruments Inc
Xilinx Inc
Software - 4.53%
Activision Blizzard Inc
Adobe Systems Inc (a)
Akamai Technologies Inc (a)
Autodesk Inc (a)
CA Inc
Cerner Corp (a)
Citrix Systems Inc (a)
Dun & Bradstreet Corp/The
Electronic Arts Inc (a)
Fidelity National Information Services Inc
Fiserv Inc (a)
Intuit Inc
Microsoft Corp
Oracle Corp
Paychex Inc
Red Hat Inc (a)
salesforce.com Inc (a)
Telecommunications - 3.72%
AT&T Inc
CenturyLink Inc
Cisco Systems Inc
Frontier Communications Corp
Juniper Networks Inc
Level 3 Communications Inc (a)
Motorola Solutions Inc
Verizon Communications Inc
Textiles - 0.06%
Mohawk Industries Inc
(a)
Toys, Games & Hobbies - 0.11%
Hasbro Inc
Mattel Inc
Transportation - 1.48%
CH Robinson Worldwide Inc
CSX Corp
Expeditors International of Washington Inc
FedEx Corp
JB Hunt Transport Services Inc
Kansas City Southern
Norfolk Southern Corp
Ryder System Inc
Union Pacific Corp
United Parcel Service Inc
See accompanying notes.
Shares Held
Value (000's)
36,029 $
35,622
126,233
42,990
547,285
18,046
18,497
27,711
24,897
120,194
58,796
14,780
170,248
22,048
116,391
29,407
COMMON STOCKS (continued)
Water - 0.08%
American Water Works Co Inc
528
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 2.46%
Shares Held
20,597 $
Shares Held
$
2,017
3,026
6,681
17,951
1,322
1,555
1,289
1,264
1,654
2,764
817
9,120
1,395
7,292
1,356
59,503
(a)
(b)
$
2,340
5,553
1,138
1,409
1,126
2,044
1,440
512
2,648
2,369
2,802
3,310
46,618
14,765
2,210
1,527
5,861
97,672
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Financial
Communications
Technology
Consumer, Cyclical
Industrial
Energy
Utilities
Investment Companies
Basic Materials
Diversified
Other Assets and Liabilities
TOTAL NET ASSETS
$
30,830
1,836
16,725
671
921
1,730
1,215
26,381
80,309
59,037
57,974
20,351
26,030
34,296
34,873
17,976
4,202
34,956
32,160
25,768
29,655
911,037
360,730
37,147
21,028
73,811
713,487
63,289
582,949
135,961
40,939
33,602
18,415
472,446
7,385
1,401
13,007
39,458
$
1,092
1,235
2,327
$
1,229
2,889
1,035
4,391
835
1,127
2,918
380
8,505
8,620
31,929
16,546
110,786
21,100
28,932
10,314
12,515
34,276
6,224
97,476
80,024
Exchange Traded Funds - 0.80%
iShares Core S&P 500 ETF
Money Market Funds - 1.66%
BlackRock Liquidity Funds FedFund Portfolio
1,741
$ 2,107,919
Value (000's)
81,316
17,133
35,915,190
35,915
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.15)%
TOTAL NET ASSETS - 100.00%
170
Value (000's)
$
53,048
$ 2,160,967
$
(3,204)
$ 2,157,763
Non-Income Producing Security
Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the end of the period, the value of
these securities totaled $6,684 or 0.31% of net assets.
Percent
24.21%
16.33%
12.60%
12.11%
9.78%
9.42%
7.26%
3.52%
2.46%
2.43%
0.03%
(0.15)%
100.00%
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
Futures Contracts
Type
S&P 500 Emini; September 2016
Total
Long/Short
Long
Contracts
336
Amounts in thousands except contracts
See accompanying notes.
171
Notional Value
$
34,904
Fair Value
$
Unrealized
Appreciation/(Depreciation)
35,115 $
211
$
211
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
COMMON STOCKS - 93.41%
Shares Held
Advertising - 0.15%
Interpublic Group of Cos Inc/The
Omnicom Group Inc
3,788 $
2,238
$
Aerospace & Defense - 2.00%
Boeing Co/The
General Dynamics Corp
Harris Corp
L-3 Communications Holdings Inc
Lockheed Martin Corp
Northrop Grumman Corp
Raytheon Co
Rockwell Collins Inc
TransDigm Group Inc (a)
United Technologies Corp
Agriculture - 1.86%
Altria Group Inc
Archer-Daniels-Midland Co
Philip Morris International Inc
Reynolds American Inc
Airlines - 0.46%
Alaska Air Group Inc
American Airlines Group Inc
Delta Air Lines Inc
Southwest Airlines Co
United Continental Holdings Inc
Apparel - 0.68%
Hanesbrands Inc
Michael Kors Holdings Ltd (a)
NIKE Inc
Ralph Lauren Corp
Under Armour Inc – Class A (a)
Under Armour Inc – Class C (a)
VF Corp
Automobile Manufacturers - 0.55%
Ford Motor Co
General Motors Co
PACCAR Inc
Automobile Parts & Equipment - 0.30%
BorgWarner Inc
Delphi Automotive PLC
Goodyear Tire & Rubber Co/The
Johnson Controls Inc
Banks - 5.92%
Bank of America Corp
Bank of New York Mellon Corp/The
BB&T Corp
Capital One Financial Corp
Citigroup Inc
Citizens Financial Group Inc
Comerica Inc
Fifth Third Bancorp
Goldman Sachs Group Inc/The
Huntington Bancshares Inc/OH
JPMorgan Chase & Co
KeyCorp
M&T Bank Corp
Morgan Stanley
Northern Trust Corp
PNC Financial Services Group Inc/The
Regions Financial Corp
State Street Corp
SunTrust Banks Inc
US Bancorp
See accompanying notes.
5,637
2,704
1,174
725
2,465
1,698
2,796
1,226
499
7,327
$
$
1,270
237
1,486
420
3,413
1,160
5,443
7,265
6,013
3,160
$
67
154
265
236
130
852
$
90
82
692
48
69
63
193
1,237
$
462
373
171
1,006
$
61
161
64
270
556
3,554
1,661
12,536
536
1,724
1,733
3,140
36,739
13,192
3,299
2,049
2,570
2,504
6,104
96,716
10,141
7,728
4,820
27,633
4,980
1,648
7,227
3,636
7,520
34,429
7,930
1,496
14,225
2,019
4,701
11,926
3,727
4,717
15,279
Shares Held
Banks (continued)
Wells Fargo & Co
Zions Bancorporation
88
182
270
732
377
98
106
612
378
380
104
132
751
3,670
18,420
5,531
14,605
7,794
(a)
COMMON STOCKS (continued)
Value (000's)
43,500 $
1,926
$
Beverages - 2.20%
Brown-Forman Corp - B Shares
Coca-Cola Co/The
Constellation Brands Inc
Dr Pepper Snapple Group Inc
Molson Coors Brewing Co
Monster Beverage Corp (a)
PepsiCo Inc
Biotechnology - 2.31%
Alexion Pharmaceuticals Inc (a)
Amgen Inc
Biogen Inc (a)
Celgene Corp (a)
Gilead Sciences Inc
Illumina Inc (a)
Regeneron Pharmaceuticals Inc
Vertex Pharmaceuticals Inc (a)
946
36,660
1,661
1,749
1,734
1,325
13,599
(a)
172
$
246
1,076
499
719
1,046
195
256
200
4,237
$
83
115
97
151
446
$
260
84
53
525
95
295
533
58
95
239
425
86
261
302
217
3,528
$
394
80
144
104
49
149
176
379
33
47
267
84
56
118
89
2,169
1,830
1,056
2,195
10,571
1,400
2,485
8,224
1,259
751
3,214
4,112
3,293
2,505
2,686
740
Commercial Services - 1.18%
Automatic Data Processing Inc
Cintas Corp
Equifax Inc
Global Payments Inc
H&R Block Inc
Moody's Corp
Nielsen Holdings PLC
PayPal Holdings Inc (a)
Quanta Services Inc (a)
Robert Half International Inc
S&P Global Inc
Total System Services Inc
United Rentals Inc (a)
Verisk Analytics Inc (a)
Western Union Co/The
Computers - 4.63%
Accenture PLC - Class A
Apple Inc
Cognizant Technology Solutions Corp
CSRA Inc
EMC Corp/MA
Hewlett Packard Enterprise Co
HP Inc
$
1,442
598
3,132
1,254
Chemicals - 1.92%
Air Products & Chemicals Inc
Albemarle Corp
CF Industries Holdings Inc
Dow Chemical Co/The
Eastman Chemical Co
Ecolab Inc
EI du Pont de Nemours & Co
FMC Corp
International Flavors & Fragrances Inc
LyondellBasell Industries NV
Monsanto Co
Mosaic Co/The
PPG Industries Inc
Praxair Inc
Sherwin-Williams Co/The
4,289
816
1,120
1,450
2,112
1,591
3,396
10,384
1,422
1,236
2,491
1,590
833
1,456
4,624
(a)
5,872
51,573
5,704
1,292
18,390
15,645
16,106
2,059
48
10,842
94
1,662
275
169
175
213
1,441
4,029
2,109
7,072
2,062
7,293
12,539
1,385
734
2,329
Building Materials - 0.24%
Fortune Brands Home & Security Inc
Martin Marietta Materials Inc
Masco Corp
Vulcan Materials Co
1,283
394
275
306
1,171
100
68
127
540
67
2,139
88
177
370
134
383
102
201
194
616
Value (000's)
665
4,930
327
30
500
286
202
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Computers (continued)
International Business Machines Corp
NetApp Inc
Seagate Technology PLC
Teradata Corp (a)
Western Digital Corp
Consumer Products - 0.45%
Avery Dennison Corp
Church & Dwight Co Inc
Clorox Co/The
Kimberly-Clark Corp
Cosmetics & Personal Care - 1.60%
Colgate-Palmolive Co
Estee Lauder Cos Inc/The
Procter & Gamble Co/The
Distribution & Wholesale - 0.18%
Fastenal Co
LKQ Corp (a)
WW Grainger Inc
Diversified Financial Services - 2.84%
Affiliated Managers Group Inc (a)
Alliance Data Systems Corp (a)
American Express Co
Ameriprise Financial Inc
BlackRock Inc
Charles Schwab Corp/The
CME Group Inc/IL
Discover Financial Services
E*TRADE Financial Corp (a)
Franklin Resources Inc
Intercontinental Exchange Inc
Invesco Ltd
Legg Mason Inc
MasterCard Inc
Nasdaq Inc
Navient Corp
Synchrony Financial
T Rowe Price Group Inc
Visa Inc
Electric - 3.05%
AES Corp/VA
Alliant Energy Corp
Ameren Corp
American Electric Power Co Inc
CMS Energy Corp
Consolidated Edison Inc
Dominion Resources Inc/VA
DTE Energy Co
Duke Energy Corp
Edison International
Entergy Corp
Eversource Energy
Exelon Corp
FirstEnergy Corp
NextEra Energy Inc
NRG Energy Inc
PG&E Corp
Pinnacle West Capital Corp
PPL Corp
Public Service Enterprise Group Inc
SCANA Corp
Southern Co/The
WEC Energy Group Inc
Xcel Energy Inc
See accompanying notes.
Shares Held
Value (000's)
8,314 $
2,721
2,809
1,224
2,649
$
839
1,208
1,218
3,390
$
$
615
191
2,122
2,928
2,720
2,887
531
$
121
91
121
333
$
71
109
462
140
406
287
311
208
62
116
287
100
29
805
70
37
199
170
1,330
5,199
$
77
85
122
324
121
230
452
167
556
238
137
179
316
140
567
44
298
85
241
222
102
474
194
214
5,585
506
555
7,610
1,561
1,184
11,324
3,188
3,881
2,624
3,469
1,121
3,928
992
9,140
1,085
3,111
7,851
2,336
17,934
6,204
2,136
2,284
4,625
2,628
2,863
5,802
1,689
6,485
3,067
1,683
2,986
8,679
3,999
4,344
2,964
4,669
1,046
6,373
4,763
1,346
8,836
2,972
4,782
Electrical Components & Equipment - 0.28%
Acuity Brands Inc
AMETEK Inc
Emerson Electric Co
1,262
67
68
31
125
8,493
63
124
169
466
822
8,407
2,096
25,062
COMMON STOCKS (continued)
Electronics - 1.10%
Agilent Technologies Inc
Allegion PLC
Amphenol Corp
Corning Inc
FLIR Systems Inc
Garmin Ltd
Honeywell International Inc
PerkinElmer Inc
TE Connectivity Ltd
Tyco International Plc
Waters Corp (a)
Shares Held
Value (000's)
412 $
2,198
6,056
$
3,085
901
2,899
10,124
1,296
1,104
7,175
1,026
3,367
4,006
762
$
Energy - Alternate Sources - 0.02%
First Solar Inc (a)
Engineering & Construction - 0.07%
Fluor Corp
Jacobs Engineering Group Inc (a)
Environmental Control - 0.25%
Republic Services Inc
Stericycle Inc (a)
Waste Management Inc
Food - 1.89%
Campbell Soup Co
ConAgra Foods Inc
General Mills Inc
Hershey Co/The
Hormel Foods Corp
JM Smucker Co/The
Kellogg Co
Kraft Heinz Co/The
Kroger Co/The
McCormick & Co Inc/MD
Mondelez International Inc
Sysco Corp
Tyson Foods Inc
Whole Foods Market Inc
137
62
166
207
40
47
835
54
192
171
107
2,018
721
35
1,310
1,148
$
65
57
122
$
115
83
258
456
$
112
197
399
150
93
172
194
496
330
116
665
250
189
97
3,460
2,234
799
3,889
1,688
4,109
5,595
1,323
2,544
1,126
2,372
5,609
8,979
1,086
14,613
4,934
2,829
3,022
Forest Products & Paper - 0.09%
International Paper Co
3,871
164
Gas - 0.24%
CenterPoint Energy Inc
NiSource Inc
Sempra Energy
4,054
3,027
2,231
$
97
80
255
432
$
87
157
244
Hand & Machine Tools - 0.13%
Snap-on Inc
Stanley Black & Decker Inc
Healthcare - Products - 3.02%
Abbott Laboratories
Baxter International Inc
Becton Dickinson and Co
Boston Scientific Corp (a)
CR Bard Inc
Danaher Corp
DENTSPLY SIRONA Inc
Edwards Lifesciences Corp (a)
Henry Schein Inc (a)
Hologic Inc (a)
173
102
102
316
520
548
1,413
13,832
5,199
1,998
12,775
690
5,640
2,205
1,994
772
2,284
544
235
339
298
162
570
137
199
136
79
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Healthcare - Products (continued)
Intuitive Surgical Inc (a)
Medtronic PLC
Patterson Cos Inc
St Jude Medical Inc
Stryker Corp
Thermo Fisher Scientific Inc
Varian Medical Systems Inc (a)
Zimmer Biomet Holdings Inc
Healthcare - Services - 1.83%
Aetna Inc
Anthem Inc
Centene Corp (a)
Cigna Corp
DaVita HealthCare Partners Inc (a)
HCA Holdings Inc (a)
Humana Inc
Laboratory Corp of America Holdings
Quest Diagnostics Inc
UnitedHealth Group Inc
Universal Health Services Inc
(a)
Value (000's)
358 $
13,239
784
2,676
2,957
3,704
896
1,874
$
237
1,149
37
209
354
547
74
226
5,532
3,300
2,475
1,605
2,415
1,536
2,834
1,403
964
1,332
8,951
845
403
325
115
309
119
218
252
126
108
1,264
113
3,352
$
Holding Companies - Diversified - 0.03%
Leucadia National Corp
3,138
54
Home Builders - 0.13%
DR Horton Inc
Lennar Corp - A Shares
PulteGroup Inc
3,108
1,726
2,964
$
98
79
58
235
$
48
64
119
231
Home Furnishings - 0.13%
Harman International Industries Inc
Leggett & Platt Inc
Whirlpool Corp
Housewares - 0.11%
Newell Brands Inc
Insurance - 3.83%
Aflac Inc
Allstate Corp/The
American International Group Inc
Aon PLC
Arthur J Gallagher & Co
Assurant Inc
Berkshire Hathaway Inc - Class B (a)
Chubb Ltd
Cincinnati Financial Corp
Hartford Financial Services Group Inc/The
Lincoln National Corp
Loews Corp
Marsh & McLennan Cos Inc
MetLife Inc
Progressive Corp/The
Prudential Financial Inc
Torchmark Corp
Travelers Cos Inc/The
Unum Group
Willis Towers Watson PLC
XL Group PLC
664
1,264
715
4,299
209
3,898
3,524
10,535
2,494
1,667
583
17,643
4,373
1,392
3,703
2,250
2,521
4,907
10,343
5,488
4,161
1,056
2,752
2,238
1,303
2,679
281
247
557
272
79
50
2,555
572
104
164
87
104
336
412
184
297
65
328
71
162
89
7,016
$
Internet - 5.95%
Alphabet Inc - A Shares
Alphabet Inc - C Shares
Amazon.com Inc (a)
eBay Inc (a)
Expedia Inc
F5 Networks Inc (a)
Facebook Inc (a)
See accompanying notes.
(a)
(a)
2,765
2,780
3,642
9,951
1,103
631
21,766
COMMON STOCKS (continued)
Internet (continued)
Netflix Inc (a)
Priceline Group Inc/The
Symantec Corp
TripAdvisor Inc (a)
VeriSign Inc (a)
Yahoo! Inc (a)
Shares Held
4,032 $
468
5,764
1,076
898
8,228
$
(a)
2,992
148
Leisure Products & Services - 0.20%
Carnival Corp
Harley-Davidson Inc
Royal Caribbean Cruises Ltd
4,127
1,705
1,581
$
183
77
106
366
$
119
117
75
70
381
1,795
1,587
1,054
766
Machinery - Construction & Mining - 0.23%
Caterpillar Inc
5,497
417
Machinery - Diversified - 0.45%
Cummins Inc
Deere & Co
Flowserve Corp
Rockwell Automation Inc
Roper Technologies Inc
Xylem Inc/NY
1,491
2,810
1,227
1,226
952
1,684
$
168
228
55
141
162
75
829
$
213
1,484
36
54
41
12
56
47
544
279
110
135
1,375
4,386
$
115
131
195
441
$
1,000
101
258
2,726
317
154
137
99
92
4,884
$
32
85
117
Media - 2.39%
CBS Corp
Comcast Corp - Class A
Discovery Communications Inc - A Shares
Discovery Communications Inc - C Shares
News Corp - A Shares
News Corp - B Shares
Scripps Networks Interactive Inc
TEGNA Inc
Time Warner Inc
Twenty-First Century Fox Inc - A Shares
Twenty-First Century Fox Inc - B Shares
Viacom Inc - B Shares
Walt Disney Co/The
Mining - 0.24%
Alcoa Inc
Freeport-McMoRan Inc
Newmont Mining Corp
Miscellaneous Manufacturers - 2.66%
3M Co
Dover Corp
Eaton Corp PLC
General Electric Co (b)
Illinois Tool Works Inc
Ingersoll-Rand PLC
Parker-Hannifin Corp
Pentair PLC
Textron Inc
Office & Business Equipment - 0.06%
Pitney Bowes Inc
Xerox Corp
174
369
584
118
69
78
309
10,912
Iron & Steel - 0.08%
Nucor Corp
Lodging - 0.21%
Marriott International Inc/MD
Starwood Hotels & Resorts Worldwide Inc
Wyndham Worldwide Corp
Wynn Resorts Ltd
1,945
1,924
2,606
233
117
72
2,488
Value (000's)
(a)
(a)
3,910
22,763
1,416
2,248
3,582
1,015
894
2,048
7,403
10,316
4,059
3,263
14,053
12,382
11,789
4,994
5,710
1,460
4,312
86,582
3,045
2,423
1,268
1,701
2,531
1,775
8,965
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Oil & Gas - 5.47%
Anadarko Petroleum Corp
Apache Corp
Cabot Oil & Gas Corp
Chesapeake Energy Corp (a)
Chevron Corp
Cimarex Energy Co
Concho Resources Inc (a)
ConocoPhillips
Devon Energy Corp
Diamond Offshore Drilling Inc
EOG Resources Inc
EQT Corp
Exxon Mobil Corp (b)
Helmerich & Payne Inc
Hess Corp
Marathon Oil Corp
Marathon Petroleum Corp
Murphy Oil Corp
Newfield Exploration Co (a)
Noble Energy Inc
Occidental Petroleum Corp
Phillips 66
Pioneer Natural Resources Co
Range Resources Corp
Southwestern Energy Co (a)
Tesoro Corp
Transocean Ltd
Valero Energy Corp
Oil & Gas Services - 0.96%
Baker Hughes Inc
FMC Technologies Inc (a)
Halliburton Co
National Oilwell Varco Inc
Schlumberger Ltd
Packaging & Containers - 0.18%
Ball Corp
Owens-Illinois Inc (a)
Sealed Air Corp
WestRock Co
Pharmaceuticals - 6.72%
AbbVie Inc
Allergan plc (a)
AmerisourceBergen Corp
Bristol-Myers Squibb Co
Cardinal Health Inc
Eli Lilly & Co
Endo International PLC (a)
Express Scripts Holding Co
Johnson & Johnson
Mallinckrodt PLC (a)
McKesson Corp
Mead Johnson Nutrition Co
Merck & Co Inc
Mylan NV (a)
Perrigo Co PLC
Pfizer Inc
Zoetis Inc
(a)
Pipelines - 0.48%
Columbia Pipeline Group Inc
Kinder Morgan Inc/DE
ONEOK Inc
Spectra Energy Corp
Williams Cos Inc/The
See accompanying notes.
Shares Held
Value (000's)
4,805 $
3,564
4,377
5,507
17,745
892
1,227
11,660
4,933
607
5,180
1,627
39,042
1,017
2,482
7,980
4,988
1,524
1,851
4,035
7,190
4,403
1,540
1,598
4,453
1,129
3,232
4,423
$
4,122
2,131
8,090
3,549
13,082
256
198
113
24
1,860
107
146
508
179
15
432
126
3,660
68
149
120
189
48
82
145
543
349
233
69
56
85
38
226
10,024
$
186
57
366
119
1,035
1,763
$
118
28
85
92
323
$
943
861
137
1,156
239
720
30
452
3,141
63
395
160
1,501
174
122
2,011
204
12,309
$
96
322
94
236
139
887
1,636
1,525
1,855
2,378
15,228
3,724
1,727
15,717
3,067
9,145
1,928
5,958
25,898
1,029
2,119
1,758
26,062
4,020
1,349
57,104
4,297
3,764
17,229
1,978
6,441
6,430
COMMON STOCKS (continued)
Value (000's)
2,747 $
REITS - 2.98%
American Tower Corp
Apartment Investment & Management Co
AvalonBay Communities Inc
Boston Properties Inc
Crown Castle International Corp
Digital Realty Trust Inc
Equinix Inc
Equity Residential
Essex Property Trust Inc
Extra Space Storage Inc
Federal Realty Investment Trust
General Growth Properties Inc
HCP Inc
Host Hotels & Resorts Inc
Iron Mountain Inc
Kimco Realty Corp
Macerich Co/The
Prologis Inc
Public Storage
Realty Income Corp
Simon Property Group Inc
SL Green Realty Corp
UDR Inc
Ventas Inc
Vornado Realty Trust
Welltower Inc
Weyerhaeuser Co
3,996
1,475
1,292
1,447
3,171
1,382
654
3,441
616
1,179
667
5,487
4,397
7,036
2,250
3,951
1,189
4,945
1,387
2,426
2,912
944
2,515
3,183
1,670
3,361
7,034
Retail - 6.23%
Advance Auto Parts Inc
AutoNation Inc (a)
AutoZone Inc (a)
Bed Bath & Beyond Inc
Best Buy Co Inc
CarMax Inc (a)
Chipotle Mexican Grill Inc (a)
Coach Inc
Costco Wholesale Corp
CVS Health Corp
Darden Restaurants Inc
Dollar General Corp
Dollar Tree Inc (a)
Foot Locker Inc
Gap Inc/The
Genuine Parts Co
Home Depot Inc/The
Kohl's Corp
L Brands Inc
Lowe's Cos Inc
Macy's Inc
McDonald's Corp
Nordstrom Inc
O'Reilly Automotive Inc (a)
PVH Corp
Ross Stores Inc
Signet Jewelers Ltd
Staples Inc
Starbucks Corp
Target Corp
Tiffany & Co
TJX Cos Inc/The
Tractor Supply Co
Ulta Salon Cosmetics & Fragrance Inc
Urban Outfitters Inc (a)
Walgreens Boots Alliance Inc
Wal-Mart Stores Inc
Yum! Brands Inc
175
Shares Held
Real Estate - 0.04%
CBRE Group Inc (a)
(a)
73
$
454
65
233
191
322
151
254
237
140
109
110
164
156
114
90
124
102
242
354
168
632
100
93
232
167
256
209
5,469
$
112
31
223
63
81
89
111
107
648
968
68
251
209
70
45
143
1,496
66
160
661
98
994
46
246
72
214
60
52
788
387
63
481
115
143
22
677
1,050
318
11,428
692
669
281
1,453
2,654
1,824
275
2,617
4,124
10,111
1,074
2,671
2,217
1,281
2,135
1,408
11,712
1,730
2,382
8,343
2,903
8,264
1,208
908
763
3,782
734
6,085
13,792
5,548
1,033
6,224
1,256
588
816
8,136
14,379
3,835
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Savings & Loans - 0.02%
People's United Financial Inc
Semiconductors - 2.64%
Analog Devices Inc
Applied Materials Inc
Broadcom Ltd
Intel Corp
KLA-Tencor Corp
Lam Research Corp
Linear Technology Corp
Microchip Technology Inc
Micron Technology Inc (a)
NVIDIA Corp
Qorvo Inc (a)
QUALCOMM Inc
Skyworks Solutions Inc
Texas Instruments Inc
Xilinx Inc
Software - 4.33%
Activision Blizzard Inc
Adobe Systems Inc (a)
Akamai Technologies Inc (a)
Autodesk Inc (a)
CA Inc
Cerner Corp (a)
Citrix Systems Inc (a)
Dun & Bradstreet Corp/The
Electronic Arts Inc (a)
Fidelity National Information Services Inc
Fiserv Inc (a)
Intuit Inc
Microsoft Corp (b)
Oracle Corp
Paychex Inc
Red Hat Inc (a)
salesforce.com Inc (a)
Telecommunications - 3.56%
AT&T Inc
CenturyLink Inc
Cisco Systems Inc
Frontier Communications Corp
Juniper Networks Inc
Level 3 Communications Inc (a)
Motorola Solutions Inc
Verizon Communications Inc
Textiles - 0.06%
Mohawk Industries Inc
(a)
Toys, Games & Hobbies - 0.10%
Hasbro Inc
Mattel Inc
Transportation - 1.42%
CH Robinson Worldwide Inc
CSX Corp
Expeditors International of Washington Inc
FedEx Corp
JB Hunt Transport Services Inc
Kansas City Southern
Norfolk Southern Corp
Ryder System Inc
Union Pacific Corp
United Parcel Service Inc
See accompanying notes.
Shares Held
Value (000's)
2,926 $
2,894
10,254
3,492
44,459
1,465
1,503
2,251
2,022
9,764
4,776
1,201
13,830
1,791
9,455
2,388
$
$
190
451
93
114
91
166
117
42
215
192
228
269
3,787
1,199
180
124
476
7,934
$
2,504
149
1,359
55
75
140
99
2,143
6,524
57,961
5,141
47,357
11,045
3,325
2,729
1,495
38,380
600
114
1,056
3,205
$
89
100
189
$
100
235
84
357
68
91
237
31
691
700
2,594
1,344
8,999
1,714
2,350
838
1,017
2,784
505
7,918
6,500
Shares Held
Water - 0.08%
American Water Works Co Inc
43
164
246
543
1,458
107
126
105
103
134
225
67
741
113
592
110
4,834
4,795
4,709
1,653
2,114
2,785
2,832
1,460
342
2,840
2,612
2,093
2,409
74,011
29,304
3,017
1,708
5,995
COMMON STOCKS (continued)
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 6.51%
1,673 $
Shares Held
Exchange Traded Funds - 0.82%
iShares Core S&P 500 ETF
Money Market Funds - 5.69%
BlackRock Liquidity Funds FedFund Portfolio
$
171,225
Value (000's)
1,498
10,426,285
10,426
$
$
$
$
$
11,924
398
183,547
(249)
183,298
Non-Income Producing Security
Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the end of the period, the value of
these securities totaled $1,525 or 0.83% of net assets.
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Financial
Communications
Technology
Consumer, Cyclical
Industrial
Energy
Investment Companies
Utilities
Basic Materials
Purchased Options
Diversified
Other Assets and Liabilities
TOTAL NET ASSETS
176
141
7,108
TOTAL INVESTMENT COMPANIES
TOTAL PURCHASED OPTIONS - 0.22%
Total Investments
Other Assets and Liabilities - (0.14)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
Value (000's)
Percent
23.16%
15.62%
12.05%
11.56%
9.34%
9.01%
6.93%
6.51%
3.37%
2.34%
0.22%
0.03%
(0.14)%
100.00%
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
Futures Contracts
Type
S&P 500 Emini; September 2016
Total
Long/Short
Long
Contracts
19
Notional Value
$
1,971
Fair Value
$
Unrealized
Appreciation/(Depreciation)
1,986 $
15
$
15
Amounts in thousands except contracts
Options
Purchased Options Outstanding
Call - S&P 500 Index
Put - S&P 500 Index
Total
Exercise Price Expiration Date
$
2,100.00 07/18/2016
$
2,000.00 07/18/2016
Upfront Premiums
Contracts
Paid/(Received)
Fair Value
150 $
111 $
302
250
487
96
$
598 $
398
Unrealized
Appreciation/(Depreciation)
$
191
(391)
$
(200)
Written Options Outstanding
Call - S&P 500 Index
Put - S&P 500 Index
Total
Exercise Price Expiration Date
$
2,130.00 07/18/2016
$
1,960.00 07/18/2016
Upfront Premiums
Contracts
Paid/(Received)
Fair Value
150 $
(58) $
(104)
250
(326)
(54)
$
(384) $
(158)
Unrealized
Appreciation/(Depreciation)
$
(46)
272
$
226
Amounts in thousands except contracts
See accompanying notes.
177
Schedule of Investments
LargeCap Value Account
June 30, 2016 (unaudited)
COMMON STOCKS - 99.25%
Shares Held
Aerospace & Defense - 1.06%
General Dynamics Corp
10,510 $
1,463
Agriculture - 1.36%
Altria Group Inc
27,280
1,881
Automobile Manufacturers - 0.95%
Ford Motor Co
Automobile Parts & Equipment - 0.93%
Goodyear Tire & Rubber Co/The
COMMON STOCKS (continued)
Value (000's)
104,610
1,315
50,020
1,284
Healthcare - Services - 3.42%
Aetna Inc
Anthem Inc
UnitedHealth Group Inc
Insurance - 10.27%
Aflac Inc
Assured Guaranty Ltd
Berkshire Hathaway Inc - Class B
Everest Re Group Ltd
Travelers Cos Inc/The
Unum Group
Shares Held
Value (000's)
9,500 $
20,437
6,300
$
(a)
48,610
28,700
14,140
14,075
31,300
51,150
$
Banks - 11.41%
Bank of America Corp
Citigroup Inc
JPMorgan Chase & Co
SunTrust Banks Inc
Wells Fargo & Co
93,000
41,106
104,414
71,500
71,400
$
Biotechnology - 0.96%
Amgen Inc
Building Materials - 2.11%
Owens Corning
Chemicals - 3.64%
Cabot Corp
Dow Chemical Co/The
8,690
1,322
56,500
2,911
22,240
80,784
$
Computers - 0.86%
Amdocs Ltd
Cosmetics & Personal Care - 1.14%
Procter & Gamble Co/The
Diversified Financial Services - 2.03%
CME Group Inc/IL
CoreLogic Inc/United States (a)
Synchrony Financial
Electric - 3.72%
Entergy Corp
Exelon Corp
1,234
1,743
6,488
2,937
3,380
15,782
20,491
1,109
Miscellaneous Manufacturers - 2.50%
General Electric Co
Parker-Hannifin Corp
75,221
10,100
$
2,368
1,091
3,459
$
1,979
6,965
1,939
3,632
946
15,461
$
2,738
2,632
2,560
7,930
18,882
74,300
28,890
114,400
21,400
(a)
Pharmaceuticals - 5.74%
Cardinal Health Inc
Johnson & Johnson
Pfizer Inc (b)
35,100
21,700
72,700
Pipelines - 0.47%
ONEOK Inc
13,700
650
REITS - 6.58%
Duke Realty Corp
Equity Residential
Kimco Realty Corp
Public Storage
Regency Centers Corp
Simon Property Group Inc
48,200
13,600
73,900
10,586
5,710
6,300
$
1,285
937
2,319
2,706
478
1,366
9,091
$
775
823
2,984
3,863
1,163
9,608
1,572
14,900
29,590
8,619
$
1,451
1,139
218
2,808
$
3,954
1,196
5,150
48,605
32,890
Engineering & Construction - 1.46%
Fluor Corp
40,918
2,016
Environmental Control - 0.59%
Waste Management Inc
12,400
822
Food - 2.93%
Ingredion Inc
Kroger Co/The
Tyson Foods Inc
31,000
1,183
18,570
8,530
38,600
22,800
$
Retail - 6.95%
CVS Health Corp
Darden Restaurants Inc
Target Corp
Wal-Mart Stores Inc
World Fuel Services Corp
8,100
12,994
42,733
52,900
24,500
Semiconductors - 2.99%
Intel Corp
1,104
1,420
1,523
4,047
Software - 2.32%
Microsoft Corp
Nuance Communications Inc
(a)
Gas - 1.27%
CenterPoint Energy Inc
73,193
1,757
Telecommunications - 6.69%
AT&T Inc
Cisco Systems Inc
Hand & Machine Tools - 1.85%
Stanley Black & Decker Inc
23,000
2,558
TOTAL COMMON STOCKS
Healthcare - Products - 1.07%
Baxter International Inc
32,600
1,474
See accompanying notes.
3,508
728
2,047
2,571
3,726
1,626
14,206
Machinery - Diversified - 0.80%
BWX Technologies Inc
Oil & Gas - 11.18%
Chevron Corp
Exxon Mobil Corp
Helmerich & Payne Inc
Murphy Oil Corp
Newfield Exploration Co
1,015
4,016
5,031
1,160
2,684
890
4,734
178
126,120
4,137
55,581
23,000
$
2,844
360
3,204
$
$
3,418
5,836
9,254
137,219
79,090
203,432
Schedule of Investments
LargeCap Value Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 0.76%
Money Market Funds - 0.76%
BlackRock Liquidity Funds FedFund Portfolio
Shares Held
1,051,894 $
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.01)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
Value (000's)
$
$
$
$
1,052
1,052
138,271
(8)
138,263
Non-Income Producing Security
Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the end of the period, the value of
these securities totaled $915 or 0.66% of net assets.
Portfolio Summary (unaudited)
Sector
Financial
Consumer, Non-cyclical
Energy
Industrial
Consumer, Cyclical
Communications
Technology
Utilities
Basic Materials
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
30.29%
16.62%
11.65%
10.37%
8.83%
6.69%
6.17%
4.99%
3.64%
0.76%
(0.01)%
100.00%
179
Schedule of Investments
MidCap Account
June 30, 2016 (unaudited)
COMMON STOCKS - 99.82%
Shares Held
Aerospace & Defense - 3.00%
TransDigm Group Inc (a)
69,863 $
Banks - 1.09%
M&T Bank Corp
56,590
Building Materials - 1.32%
Armstrong World Industries Inc
Martin Marietta Materials Inc
18,422
Value (000's)
49,575 $
$
Internet - 3.07%
Liberty Ventures (a)
VeriSign Inc (a)
6,691
70,084
28,021
$
2,744
5,380
8,124
$
9,926
3,841
164
13,931
$
330
8,210
4,462
7,411
16,326
5,330
1,653
12,787
11,293
67,802
$
2,473
2,905
5,378
$
12,765
1,065
13,830
Pharmaceuticals - 3.49%
Mead Johnson Nutrition Co
Zoetis Inc
10,115
2,380
12,495
Private Equity - 0.96%
KKR & Co LP
Onex Corp
69,881
32,384
4,832
Commercial Services - 11.04%
Brookfield Business Partners LP (a)
KAR Auction Services Inc
Live Nation Entertainment Inc (a)
Macquarie Infrastructure Corp
Moody's Corp
PayPal Holdings Inc (a)
Robert Half International Inc
S&P Global Inc
Verisk Analytics Inc (a)
17,313
196,687
189,859
100,088
174,217
145,982
43,317
119,216
139,282
Distribution & Wholesale - 0.88%
Fastenal Co
HD Supply Holdings Inc (a)
Diversified Financial Services - 2.25%
FNF Group
FNFV Group (a)
Electric - 2.03%
Brookfield Infrastructure Partners LP
Brookfield Renewable Partners LP
55,716
83,432
340,406
92,795
223,482
79,898
$
Electronics - 0.63%
Sensata Technologies Holding NV
(a)
Engineering & Construction - 3.66%
SBA Communications Corp (a)
Healthcare - Products - 1.81%
Becton Dickinson and Co
CR Bard Inc
110,061
3,840
208,571
22,513
2,727
45,315
$
(a)
Holding Companies - Diversified - 0.88%
Leucadia National Corp
Home Builders - 0.54%
Lennar Corp - A Shares
Insurance - 13.24%
Alleghany Corp (a)
Aon PLC
Arch Capital Group Ltd (a)
Brown & Brown Inc
Loews Corp
Markel Corp (a)
Progressive Corp/The
White Mountains Insurance Group Ltd
See accompanying notes.
Shares Held
Insurance (continued)
Willis Towers Watson PLC
206,427
129,837
$
(a)
Chemicals - 2.27%
Air Products & Chemicals Inc
Ecolab Inc
Ingevity Corp (a)
Healthcare - Services - 1.30%
DaVita HealthCare Partners Inc
COMMON STOCKS (continued)
Value (000's)
103,164
Machinery - Diversified - 1.99%
Roper Technologies Inc
Media - 6.28%
FactSet Research Systems Inc
Liberty Braves Group - A Shares (a)
Liberty Braves Group - C Shares (a)
Liberty Broadband Corp - A Shares (a)
Liberty Broadband Corp - C Shares (a)
Liberty Global PLC - A Shares (a)
Liberty Global PLC - C Shares (a)
Liberty Global Plc LiLAC - A Shares (a)
Liberty Global Plc LiLAC - C Shares (a)
Liberty Media Group - A Shares (a)
Liberty Media Group - C Shares (a)
Liberty SiriusXM Group - A Shares (a)
Liberty SiriusXM Group - C Shares (a)
Packaging & Containers - 0.18%
WestRock Co
7,977
5,389
72,000
3,319
4,772
188,095
48,597
195,711
246,662
23,355
101,842
6,392
2,623
20,546
3,499
7,333
10,135
22,252
3,412
5,382
20,495
8,105
36,850
47,802
150,362
61,665
292,351
11,545
43,643
20,264
56,190
79,159
222,962
3,308
122
540
2,839
9,022
1,792
8,376
373
1,418
388
1,066
2,482
6,883
38,609
Retail - 16.65%
AutoZone Inc (a)
CarMax Inc (a)
Copart Inc (a)
Dollar General Corp
Dollar Tree Inc (a)
Liberty Interactive Corp QVC Group
O'Reilly Automotive Inc (a)
Restaurant Brands International Inc
Ross Stores Inc
180
321,165
8,498
28,995
1,127
52,283
351,821
$
4,745
16,697
21,442
$
1,552
4,359
5,911
$
29,073
2,395
7,712
4,830
44,010
$
2,134
7,950
6,502
16,586
$
11,183
14,743
6,612
4,501
16,827
8,436
15,803
11,125
13,038
102,268
879,128
106,622
291,247
42,256
REITS - 2.70%
Crown Castle International Corp
Equinix Inc
Forest City Realty Trust Inc
463
10,656
11,119
310,989
12,194
125,801
71,341
Real Estate - 7.16%
Brookfield Asset Management Inc
Brookfield Property Partners LP
CBRE Group Inc (a)
Howard Hughes Corp/The (a)
21,034
20,505
291,446
(a)
7,652
11,226
18,878
71,496
$
Miscellaneous Manufacturers - 1.38%
Colfax Corp (a)
6,163
81,345
14,087
300,692
134,915
47,888
178,550
332,533
58,292
267,423
229,983
Semiconductors - 1.29%
Microchip Technology Inc
156,252
7,931
Software - 5.90%
Autodesk Inc (a)
CDK Global Inc
172,665
72,164
9,348
4,005
Schedule of Investments
MidCap Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Software (continued)
Fidelity National Information Services Inc
Intuit Inc
MSCI Inc
Telecommunications - 1.41%
EchoStar Corp (a)
Motorola Solutions Inc
Shares Held
Value (000's)
136,249 $
71,565
63,172
$
10,039
7,987
4,872
36,251
58,771
95,827
2,333
6,322
8,655
$
Textiles - 1.42%
Mohawk Industries Inc
(a)
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 0.00%
46,057
Shares Held
Money Market Funds - 0.00%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.18%
TOTAL NET ASSETS - 100.00%
(a)
8,740
$
613,275
Value (000's)
6,070
6
$
$
$
$
6
613,281
1,114
614,395
Non-Income Producing Security
Portfolio Summary (unaudited)
Sector
Financial
Consumer, Cyclical
Consumer, Non-cyclical
Industrial
Communications
Technology
Basic Materials
Utilities
Diversified
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
27.40%
19.49%
17.64%
12.16%
10.76%
7.19%
2.27%
2.03%
0.88%
0.00%
0.18%
100.00%
181
Schedule of Investments
Multi-Asset Income Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.45%
Shares Held
Principal Funds, Inc. Institutional Class - 100.45%
Equity Income Fund (a)
Global Diversified Income Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund (a)
International Fund I (a)
Preferred Securities Fund (a)
Real Estate Debt Income Fund (a)
49 $
658
147
512
90
228
201
$
$
$
$
$
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.45)%
TOTAL NET ASSETS - 100.00%
(a)
Value
1,294
8,854
1,383
3,571
1,136
2,300
1,955
20,493
20,493
20,493
(91)
20,402
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Specialty Funds
Fixed Income Funds
International Equity Funds
Domestic Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
Affiliated Securities
Equity Income Fund
Global Diversified Income Fund
Global Real Estate Securities Fund
High Yield Fund
International Fund I
Preferred Securities Fund
Real Estate Debt Income Fund
Percent
43.40%
38.37%
12.34%
6.34%
(0.45)%
100.00%
December 31, December 31,
2015
2015
Shares
Cost
48 $
1,269
641
8,871
146
1,348
496
3,604
90
1,262
222
2,282
197
1,943
$
20,579
Purchases
Shares
1
17
1
16
—
6
4
$
$
15
217
9
109
—
55
31
436
$
—
—
—
—
—
—
—
—
$
Amounts shown are in dollars and not rounded to the thousands
See accompanying notes.
Sales
Sales
Shares
Proceeds
— $
—
—
—
—
—
—
—
—
—
—
—
—
—
–
$
Realized Gain/Loss
on Investments
Income
Equity Income Fund
Global Diversified Income Fund
Global Real Estate Securities Fund
High Yield Fund
International Fund I
Preferred Securities Fund
Real Estate Debt Income Fund
Purchases
Cost
$
15
217
9
109
—
55
30
$
435
182
$
$
June 30, 2016 June 30, 2016
Shares
Cost
49 $
1,284
658
9,088
147
1,357
512
3,713
90
1,262
228
2,337
201
1,973
$
21,014
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
Schedule of Investments
Principal Capital Appreciation Account
June 30, 2016 (unaudited)
COMMON STOCKS - 98.89%
Aerospace & Defense - 3.10%
Boeing Co/The
Northrop Grumman Corp
Teledyne Technologies Inc (a)
Airlines - 0.55%
Alaska Air Group Inc
Apparel - 1.32%
Deckers Outdoor Corp
NIKE Inc
(a)
Shares Held
13,524 $
9,727
9,512
$
866
9,821
27,196
565
1,501
2,066
Automobile Parts & Equipment - 1.24%
Autoliv Inc
Johnson Controls Inc
Mobileye NV (a)
21,365
Beverages - 2.86%
Anheuser-Busch InBev SA/NV ADR
Brown-Forman Corp - B Shares
Coca-Cola Co/The
PepsiCo Inc
Biotechnology - 1.53%
Biogen Inc (a)
Gilead Sciences Inc
5,171
25,004
5,968
23,793
6,987
24,782
13,181
4,777
39,858
53,334
$
813
1,038
1,540
1,073
455
1,607
2,524
9,050
$
996
516
1,169
1,794
4,475
$
1,046
1,351
2,397
7,560
5,177
25,794
16,936
4,324
16,199
10,778
500
Chemicals - 2.08%
EI du Pont de Nemours & Co
FMC Corp
Innospec Inc
International Flavors & Fragrances Inc
PPG Industries Inc
8,165
13,111
10,951
4,281
10,430
$
529
607
504
540
1,086
3,266
$
539
706
55
150
1,450
$
4,473
1,247
316
6,036
Computers - 3.85%
Apple Inc
EMC Corp/MA
International Business Machines Corp
Consumer Products - 0.33%
Kimberly-Clark Corp
Cosmetics & Personal Care - 1.02%
Procter & Gamble Co/The
See accompanying notes.
Electric - 2.02%
NextEra Energy Inc
Xcel Energy Inc
24,648
19,329
1,446
7,922
46,786
45,888
2,085
Electronics - 1.09%
Trimble Navigation Ltd
Waters Corp (a)
556
1,107
275
1,938
Building Materials - 0.32%
Apogee Enterprises Inc
Commercial Services - 0.93%
Aaron's Inc
PayPal Holdings Inc (a)
Robert Half International Inc
TrueBlue Inc (a)
Diversified Financial Services - 3.96%
Ameriprise Financial Inc
Charles Schwab Corp/The
Discover Financial Services
FNF Group
Synchrony Financial
T Rowe Price Group Inc
WisdomTree Investments Inc
1,108
$
Banks - 5.77%
East West Bancorp Inc
Goldman Sachs Group Inc/The
JPMorgan Chase & Co
PNC Financial Services Group Inc/The
SVB Financial Group (a)
US Bancorp
Wells Fargo & Co
Distribution & Wholesale - 0.35%
Pool Corp
1,757
2,162
942
4,861
14,850
$
Automobile Manufacturers - 0.71%
PACCAR Inc
COMMON STOCKS (continued)
Value (000's)
3,748
515
18,936
1,603
Shares Held
Value (000's)
5,916 $
10,201
35,558
13,929
39,445
58,628
6,219
23,158
$
917
900
746
1,479
1,482
454
227
6,205
$
1,360
1,807
3,167
$
595
1,120
1,715
$
518
2,062
2,580
10,430
40,348
(a)
24,416
7,967
Environmental Control - 1.65%
Stericycle Inc (a)
Waste Connections Inc
Food - 3.04%
B&G Foods Inc
General Mills Inc
Kroger Co/The
McCormick & Co Inc/MD
Safeway, Inc. - CVR - Casa Ley (a),(b),(c)
Safeway, Inc. - CVR - Property Development
Centers (a),(b),(c)
4,974
28,625
12,726
24,171
33,213
11,267
825
825
613
1,724
1,222
1,202
—
—
$
4,761
Gas - 1.47%
Sempra Energy
20,155
2,298
Healthcare - Products - 4.60%
Abbott Laboratories
Becton Dickinson and Co
Bio-Techne Corp
Edwards Lifesciences Corp (a)
Medtronic PLC
Thermo Fisher Scientific Inc
Varian Medical Systems Inc (a)
19,471
9,880
4,768
8,921
7,704
13,340
8,460
$
765
1,676
538
890
668
1,971
696
7,204
$
1,381
849
2,230
Healthcare - Services - 1.42%
DaVita HealthCare Partners Inc
Universal Health Services Inc
(a)
17,853
6,332
Housewares - 0.46%
Tupperware Brands Corp
12,840
723
Insurance - 2.74%
AmTrust Financial Services Inc
Chubb Ltd
XL Group PLC
57,001
16,385
22,798
$
1,397
2,142
759
4,298
$
2,047
1,386
2,024
62
755
2,133
8,407
Internet - 5.36%
Alphabet Inc - A Shares
Alphabet Inc - C Shares
Amazon.com Inc (a)
comScore Inc (a)
eBay Inc (a)
Facebook Inc (a)
183
556
(a)
(a)
2,910
2,003
2,828
2,591
32,263
18,665
Schedule of Investments
Principal Capital Appreciation Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Shares Held
Value (000's)
Iron & Steel - 0.45%
Reliance Steel & Aluminum Co
9,136 $
703
Leisure Products & Services - 0.21%
Harley-Davidson Inc
7,204
326
19,899
22,838
3,241
$
1,613
1,031
553
3,197
$
2,400
690
2,003
5,093
$
1,059
510
207
1,405
3,181
$
1,634
1,624
847
2,579
973
781
8,438
Machinery - Diversified - 2.04%
Deere & Co
Flowserve Corp
Roper Technologies Inc
Media - 3.25%
Comcast Corp - Class A
Sirius XM Holdings Inc
Walt Disney Co/The
36,819
174,596
20,475
(a)
Miscellaneous Manufacturers - 2.03%
AptarGroup Inc
Crane Co
Donaldson Co Inc
General Electric Co
Oil & Gas - 5.38%
Chevron Corp
Cimarex Energy Co
Energen Corp
Exxon Mobil Corp
HollyFrontier Corp
Noble Energy Inc
13,389
9,001
6,018
44,621
15,585
13,612
17,569
27,514
40,916
21,788
Oil & Gas Services - 1.02%
Schlumberger Ltd
20,315
1,606
Pharmaceuticals - 6.33%
Allergan plc (a)
Bristol-Myers Squibb Co
Johnson & Johnson
McKesson Corp
Perrigo Co PLC
Pfizer Inc
Teva Pharmaceutical Industries Ltd ADR
VCA Inc (a)
6,618
20,408
19,762
8,020
5,338
40,423
3,880
13,217
1,529
1,501
2,397
1,497
484
1,423
195
894
9,920
$
Pipelines - 0.60%
Magellan Midstream Partners LP
12,303
935
REITS - 3.79%
Alexandria Real Estate Equities Inc
Essex Property Trust Inc
Realty Income Corp
Ventas Inc
Weyerhaeuser Co
13,661
3,952
22,330
14,765
33,732
$
1,414
902
1,549
1,075
1,004
5,944
$
659
424
988
2,041
2,019
1,639
339
1,381
9,490
Retail - 6.05%
Chipotle Mexican Grill Inc
Copart Inc (a)
Costco Wholesale Corp
CVS Health Corp
Dollar General Corp
Home Depot Inc/The
Nordstrom Inc
Starbucks Corp
Savings & Loans - 0.28%
Washington Federal Inc
Semiconductors - 3.03%
Applied Materials Inc
See accompanying notes.
(a)
1,637
8,656
6,291
21,319
21,477
12,838
8,907
24,169
18,075
438
13,455
322
COMMON STOCKS (continued)
Semiconductors (continued)
Broadcom Ltd
Intel Corp
Lam Research Corp
Microchip Technology Inc
QUALCOMM Inc
Software - 6.03%
Adobe Systems Inc (a)
Fair Isaac Corp
Fidelity National Information Services Inc
Microsoft Corp
Omnicell Inc (a)
Oracle Corp
Tyler Technologies Inc (a)
Telecommunications - 2.92%
Cisco Systems Inc
Verizon Communications Inc
Shares Held
4,991 $
25,368
16,619
24,856
2,906
$
776
832
1,397
1,262
156
4,745
17,255
6,883
18,931
60,153
23,568
34,328
1,988
$
1,653
778
1,395
3,078
807
1,405
331
9,447
$
952
3,623
4,575
33,171
64,880
Toys, Games & Hobbies - 0.76%
Hasbro Inc
14,215
Transportation - 0.95%
Expeditors International of Washington Inc
Union Pacific Corp
15,954
8,026
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 0.85%
Money Market Funds - 0.85%
BlackRock Liquidity Funds FedFund Portfolio
Shares Held
(c)
783
700
$
1,483
$
154,990
Value (000's)
1,340
$
$
$
$
1,340
156,330
411
156,741
Non-Income Producing Security
Security is Illiquid. At the end of the period, the value of these securities
totaled $0 or 0.00% of net assets.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$0 or 0.00% of net assets.
Portfolio Summary (unaudited)
Sector
Consumer, Non-cyclical
Financial
Technology
Consumer, Cyclical
Communications
Industrial
Energy
Utilities
Basic Materials
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
184
1,194
1,340,177
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.26%
TOTAL NET ASSETS - 100.00%
(a)
(b)
Value (000's)
Percent
22.05%
16.54%
12.91%
11.65%
11.53%
11.18%
7.00%
3.49%
2.53%
0.86%
0.26%
100.00%
Schedule of Investments
Principal LifeTime 2010 Account
June 30, 2016 (unaudited)
Gain.
INVESTMENT COMPANIES - 100.01%
Shares Held
Principal Funds, Inc. Institutional Class - 67.60%
Blue Chip Fund (a)
Bond Market Index Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
Equity Income Fund (a)
Global Diversified Income Fund (a)
Global Multi-Strategy Fund (a)
Global Opportunities Fund (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
LargeCap Value Fund III (a)
MidCap Fund (a)
MidCap Growth Fund III (a),(b)
MidCap Value Fund III (a)
Origin Emerging Markets Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
76,122 $
299,551
160,398
101,288
44,275
280,999
210,582
121,941
421,874
11,523
111,123
123,422
85,947
45,173
38,396
20,679
28,862
195,032
38,393
34,906
$
Principal Variable Contracts Funds, Inc. Class 1 - 32.41%
Bond & Mortgage Securities Account (a)
729,930
Short-Term Income Account (a)
2,058,897
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.01)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
$
$
$
$
$
1,216
3,397
1,745
1,114
1,179
3,782
2,253
1,380
3,649
239
1,285
1,822
1,279
984
378
378
243
1,743
416
402
28,884
8,518
5,334
13,852
42,736
42,736
(6)
42,730
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
Specialty Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
48.90%
21.86%
16.73%
12.52%
(0.01)%
100.00%
185
Schedule of Investments
Principal LifeTime 2010 Account
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
75,668 $
1,191
799,983
9,445
296,841
3,303
159,358
2,312
163,196
1,759
54,017
1,023
260,829
3,169
135,645
1,424
68,642
734
375,041
3,076
17,807
527
110,456
1,282
122,590
1,430
109,465
1,486
79,940
1,204
—
—
—
—
41,520
406
193,839
1,790
1,773,187
4,497
47,655
389
47,962
387
$
40,834
Purchases
Purchases
Shares
Cost
6,908 $
105
61,572
696
29,204
323
14,040
151
11,896
122
4,769
120
42,999
563
90,606
958
61,463
703
82,540
699
1,298
25
9,305
105
12,858
180
7,429
105
5,259
106
38,396
375
20,679
375
3,214
25
16,787
152
455,049
1,171
3,333
33
3,104
33
$
7,125
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
$
$
—
—
—
—
—
15
90
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
105
$
(2)
1
1
(1)
(8)
69
1
—
(1)
—
(33)
(1)
(1)
14
195
—
—
(20)
—
—
12
32
258
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
6,454 $
98
131,625
1,501
26,494
293
13,000
139
73,804
768
14,511
372
22,829
298
15,669
166
8,164
91
35,707
299
7,582
150
8,638
98
12,026
168
30,947
448
40,026
843
—
—
—
—
15,872
124
15,594
141
169,339
434
12,595
131
16,160
181
$
6,743
186
$
$
June 30, 2016 June 30, 2016
Shares
Cost
76,122 $
1,196
729,930
8,641
299,551
3,334
160,398
2,323
101,288
1,105
44,275
840
280,999
3,435
210,582
2,216
121,941
1,345
421,874
3,476
11,523
369
111,123
1,288
123,422
1,441
85,947
1,157
45,173
662
38,396
375
20,679
375
28,862
287
195,032
1,801
2,058,897
5,234
38,393
303
34,906
271
$
41,474
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime 2020 Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.00%
Shares Held
Value (000's)
Principal Funds, Inc. Institutional Class - 77.29%
Blue Chip Fund (a)
483,326 $
Bond Market Index Fund (a)
1,078,795
Diversified International Fund (a)
1,040,242
Diversified Real Asset Fund (a)
483,172
Equity Income Fund (a)
299,235
(a)
Global Diversified Income Fund
956,736
Global Multi-Strategy Fund (a)
848,002
Global Opportunities Fund (a)
831,517
Global Real Estate Securities Fund (a)
429,013
(a)
Inflation Protection Fund
867,769
(a)
International Emerging Markets Fund
70,046
LargeCap Growth Fund I (a)
712,745
LargeCap S&P 500 Index Fund (a)
909,773
LargeCap Value Fund III (a)
536,899
(a)
MidCap Fund
292,255
MidCap Growth Fund III (a),(b)
284,966
MidCap Value Fund III (a)
145,671
Origin Emerging Markets Fund (a)
173,979
(a)
Overseas Fund
1,177,481
SmallCap Growth Fund I (a),(b)
242,001
SmallCap Value Fund II (a)
228,771
$
Principal Variable Contracts Funds, Inc. Class 1 - 22.71%
Bond & Mortgage Securities Account (a)
2,985,568
Short-Term Income Account (a)
3,296,655
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.00%
TOTAL NET ASSETS - 100.00%
(a)
(b)
$
$
$
$
$
7,719
12,233
11,318
5,315
7,966
12,878
9,073
9,413
4,028
7,506
1,451
8,239
13,428
7,989
6,365
2,810
2,663
1,467
10,527
2,623
2,633
147,644
34,842
8,538
43,380
191,024
191,024
(6)
191,018
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
International Equity Funds
Specialty Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
33.05%
32.67%
20.01%
14.27%
0.00%
100.00%
187
Schedule of Investments
Principal LifeTime 2020 Account
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
544,885 $
8,575
3,060,893
36,099
1,106,813
12,315
938,018
14,473
696,173
7,642
320,017
6,504
912,854
12,820
580,575
6,135
808,194
8,641
549,195
4,063
891,347
7,758
121,552
3,433
816,978
9,481
1,005,468
12,027
620,935
8,170
264,627
4,806
291,902
2,656
149,423
2,362
258,785
2,514
1,090,859
10,171
2,677,366
6,913
267,883
2,258
261,847
2,150
$
191,966
Purchases
Purchases
Shares
Cost
16,471 $
255
87,226
993
43,856
487
163,720
1,825
17,188
179
13,596
349
100,081
1,318
402,514
4,258
70,721
802
17,547
157
28,950
244
2,724
53
22,131
251
30,622
434
17,627
251
45,205
953
9,247
88
4,964
88
6,669
52
159,713
1,472
802,063
2,068
7,851
81
7,333
81
$
16,739
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
$
$
—
—
—
—
—
94
309
—
—
28
—
—
—
—
—
—
—
—
—
—
—
—
—
431
$
(5)
(12)
1
24
(39)
(35)
(7)
(2)
(1)
164
—
(193)
3
(45)
53
(8)
—
1
(139)
—
(3)
(19)
(9)
(271)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
78,030 $
1,217
162,551
1,831
71,874
792
61,496
657
230,189
2,380
34,378
866
56,199
728
135,087
1,428
47,398
523
137,729
1,246
52,528
439
54,230
1,067
126,364
1,460
126,317
1,794
101,663
1,461
17,577
355
16,183
151
8,716
152
91,475
714
73,091
654
182,774
467
33,733
349
40,409
447
$
21,178
188
$
$
June 30, 2016 June 30, 2016
Shares
Cost
483,326 $
7,608
2,985,568
35,249
1,078,795
12,011
1,040,242
15,665
483,172
5,402
299,235
5,952
956,736
13,403
848,002
8,963
831,517
8,919
429,013
3,138
867,769
7,563
70,046
2,226
712,745
8,275
909,773
10,622
536,899
7,013
292,255
5,396
284,966
2,593
145,671
2,299
173,979
1,713
1,177,481
10,989
3,296,655
8,511
242,001
1,971
228,771
1,775
$ 187,256
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime 2030 Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.00%
Shares Held
Principal Funds, Inc. Institutional Class - 86.74%
Blue Chip Fund (a)
Bond Market Index Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
Equity Income Fund (a)
Global Diversified Income Fund (a)
Global Multi-Strategy Fund (a)
Global Opportunities Fund (a)
Global Real Estate Securities Fund (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
LargeCap Value Fund (a)
LargeCap Value Fund III (a)
MidCap Fund (a)
MidCap Growth Fund III (a),(b)
MidCap Value Fund III (a)
Origin Emerging Markets Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
341,831 $
522,605
831,710
296,798
157,456
392,627
390,481
684,793
470,170
323,071
57,966
637,803
733,443
398,080
299,884
117,193
375,936
189,580
143,740
926,950
187,494
176,983
$
Principal Variable Contracts Funds, Inc. Class 1 - 13.26%
Bond & Mortgage Securities Account (a)
1,363,186
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.00%
TOTAL NET ASSETS - 100.00%
(a)
(b)
5,459
5,926
9,049
3,265
4,191
5,285
4,178
7,752
4,415
2,795
1,200
7,373
10,826
4,610
4,462
2,552
3,707
3,466
1,212
8,287
2,032
2,037
104,079
15,908
$
$
$
$
119,987
119,987
(5)
119,982
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
42.27%
26.60%
20.53%
10.60%
0.00%
100.00%
189
Schedule of Investments
Principal LifeTime 2030 Account
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
339,027 $
5,338
1,353,345
15,417
473,505
5,265
758,577
9,220
404,172
4,622
154,226
4,107
323,652
4,593
326,212
3,447
503,298
5,474
463,304
3,492
320,587
2,814
95,193
2,087
748,260
8,696
789,503
9,885
394,905
4,937
365,952
4,827
45,505
1,058
372,845
3,542
187,959
3,089
218,472
2,113
853,475
8,534
228,552
2,064
224,050
1,957
$
116,578
Purchases
Purchases
Shares
Cost
23,071 $
347
84,733
955
81,542
906
123,148
1,350
26,082
265
13,370
333
91,537
1,202
85,609
904
217,449
2,448
34,110
298
21,504
180
5,809
109
45,286
504
52,820
729
25,995
284
20,513
284
77,748
1,641
24,993
231
13,427
231
14,140
107
133,281
1,200
13,378
133
12,733
135
$
14,776
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Fund
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
$
$
—
—
—
—
—
47
120
—
—
28
—
—
—
—
—
—
—
—
—
—
—
—
—
195
$
(3)
(1)
1
1
5
(3)
(1)
—
—
(2)
—
137
4
(17)
(2)
55
(1)
—
(1)
(113)
1
(12)
(21)
27
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
20,267 $
308
74,892
846
32,442
359
50,015
530
133,456
1,386
10,140
253
22,562
294
21,340
225
35,954
397
27,244
240
19,020
159
43,036
847
155,743
1,796
108,880
1,546
22,820
252
86,581
1,252
6,060
124
21,902
205
11,806
205
88,872
695
59,806
531
54,436
568
59,800
670
$
13,688
190
$
$
June 30, 2016 June 30, 2016
Shares
Cost
341,831 $
5,374
1,363,186
15,525
522,605
5,813
831,710
10,041
296,798
3,506
157,456
4,184
392,627
5,500
390,481
4,126
684,793
7,525
470,170
3,548
323,071
2,835
57,966
1,486
637,803
7,408
733,443
9,051
398,080
4,967
299,884
3,914
117,193
2,574
375,936
3,568
189,580
3,114
143,740
1,412
926,950
9,204
187,494
1,617
176,983
1,401
$ 117,693
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime 2040 Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.01%
Shares Held
Principal Funds, Inc. Institutional Class - 91.35%
Bond Market Index Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
Global Opportunities Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund I (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
LargeCap Value Fund (a)
LargeCap Value Fund III (a)
MidCap Growth Fund III (a),(b)
MidCap Value Fund III (a)
Origin Emerging Markets Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
189,777 $
391,929
113,750
158,289
228,873
97,051
50,021
27,212
70,353
456,433
351,895
256,113
210,168
226,783
124,389
65,774
460,233
99,786
91,213
$
Principal Variable Contracts Funds, Inc. Class 1 - 8.66%
Bond & Mortgage Securities Account (a)
342,005
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.01)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
2,152
4,264
1,251
1,792
2,149
924
433
564
679
5,276
5,194
2,966
3,127
2,236
2,274
554
4,115
1,082
1,050
42,082
3,991
$
$
$
$
46,073
46,073
(6)
46,067
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
51.84%
29.17%
16.28%
2.72%
(0.01)%
100.00%
191
Schedule of Investments
Principal LifeTime 2040 Account
June 30, 2016 (unaudited)
Affiliated Securities
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
297,257 $
3,430
96,644
1,074
334,323
4,137
130,199
1,525
96,383
1,019
218,031
2,420
257,948
2,036
93,409
931
49,662
425
41,527
1,140
175,049
1,855
414,786
4,836
355,694
4,560
253,957
3,193
228,927
3,069
174,640
1,858
96,332
1,662
101,786
1,001
382,879
3,946
98,917
1,129
90,372
888
$
46,134
Purchases
Shares
76,757
109,894
96,278
12,990
4,310
18,747
24,981
12,916
5,484
3,625
6,685
47,524
36,746
27,053
21,374
74,605
40,144
9,115
123,738
9,426
8,879
$
$
—
—
—
—
—
—
14
27
—
—
—
—
—
—
—
—
—
—
—
—
—
41
$
—
1
—
4
—
(9)
1
—
—
(31)
(61)
(1)
(1)
(1)
7
1
—
(51)
(1)
—
—
(142)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
32,009 $
369
16,761
187
38,672
420
29,439
316
100,693
1,064
78,489
877
54,056
492
9,274
87
5,125
44
17,940
355
111,381
1,097
5,877
63
40,545
581
24,897
279
40,133
580
22,462
215
12,087
215
45,127
355
46,384
419
8,557
89
8,038
91
$
8,195
Realized Gain/Loss
on Investments
Income
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Purchases
Cost
$
874
1,224
1,030
133
45
205
219
119
46
69
61
534
511
297
298
718
718
69
1,130
94
95
$
8,489
192
$
$
June 30, 2016 June 30, 2016
Shares
Cost
342,005 $
3,935
189,777
2,112
391,929
4,747
113,750
1,346
—
—
158,289
1,739
228,873
1,764
97,051
963
50,021
427
27,212
823
70,353
758
456,433
5,306
351,895
4,489
256,113
3,210
210,168
2,794
226,783
2,362
124,389
2,165
65,774
664
460,233
4,656
99,786
1,134
91,213
892
$
46,286
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime 2050 Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.02%
Shares Held
Principal Funds, Inc. Institutional Class - 95.35%
Bond Market Index Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
Global Opportunities Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund I (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
LargeCap Value Fund (a)
LargeCap Value Fund III (a)
MidCap Growth Fund III (a),(b)
MidCap Value Fund III (a)
Origin Emerging Markets Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
49,401 $
217,345
56,051
85,771
131,997
45,447
14,818
66,839
239,211
192,112
127,848
110,753
125,478
68,014
35,867
247,192
51,659
50,485
$
Principal Variable Contracts Funds, Inc. Class 1 - 4.67%
Bond & Mortgage Securities Account (a)
92,349
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.02)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
560
2,365
617
971
1,239
433
307
645
2,765
2,836
1,480
1,648
1,237
1,243
302
2,210
560
581
21,999
1,078
$
$
$
$
23,077
23,077
(5)
23,072
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
56.33%
32.05%
8.97%
2.67%
(0.02)%
100.00%
193
Schedule of Investments
Principal LifeTime 2050 Account
June 30, 2016 (unaudited)
Affiliated Securities
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
76,513 $
891
18,462
205
184,810
2,324
57,772
667
48,231
511
129,613
1,414
145,380
1,133
45,330
441
24,466
648
101,170
1,067
234,387
2,738
203,999
2,620
135,905
1,694
127,386
1,716
102,470
1,052
55,632
947
50,571
474
207,511
2,071
52,959
565
51,717
484
$
23,662
Purchases
Purchases
Shares
Cost
23,199 $
264
33,886
378
52,460
562
4,194
43
1,202
13
7,373
81
9,967
88
4,813
44
1,347
26
2,459
23
17,881
202
13,824
193
10,190
112
8,041
112
34,370
332
18,498
332
3,401
26
63,571
587
3,530
35
3,306
35
$
3,488
Realized Gain/Loss
on Investments
Income
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
$
$
—
—
—
—
—
—
7
12
—
—
—
—
—
—
—
—
—
—
—
—
19
$
—
—
(1)
—
(1)
(1)
1
(1)
(10)
(22)
(6)
(3)
(5)
—
(1)
—
(20)
(1)
—
—
(71)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
7,363 $
83
2,947
33
19,925
209
5,915
60
49,433
523
51,215
569
23,350
207
4,696
42
10,995
215
36,790
359
13,057
142
25,711
359
18,247
200
24,674
350
11,362
103
6,116
104
18,105
140
23,890
209
4,830
47
4,538
46
$
4,000
194
$
$
June 30, 2016 June 30, 2016
Shares
Cost
92,349 $
1,072
49,401
550
217,345
2,676
56,051
650
—
—
85,771
925
131,997
1,015
45,447
442
14,818
449
66,839
709
239,211
2,792
192,112
2,451
127,848
1,601
110,753
1,478
125,478
1,280
68,014
1,175
35,867
340
247,192
2,448
51,659
553
50,485
473
$
23,079
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime 2060 Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.20%
Shares Held
Principal Funds, Inc. Institutional Class - 97.23%
Bond Market Index Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
Global Opportunities Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund I (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
LargeCap Value Fund (a)
LargeCap Value Fund III (a)
MidCap Growth Fund III (a),(b)
MidCap Value Fund III (a)
Origin Emerging Markets Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
3,553 $
24,561
5,550
9,689
14,201
5,251
1,672
5,534
27,085
21,097
15,460
12,643
13,918
7,507
3,885
29,076
4,984
4,843
$
Principal Variable Contracts Funds, Inc. Class 1 - 2.97%
Bond & Mortgage Securities Account (a)
6,341
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.20)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
40
267
61
110
133
50
35
54
313
311
179
188
137
137
33
260
54
56
2,418
74
$
$
$
$
2,492
2,492
(5)
2,487
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
57.46%
33.67%
6.61%
2.46%
(0.20)%
100.00%
195
Schedule of Investments
Principal LifeTime 2060 Account
June 30, 2016 (unaudited)
Affiliated Securities
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
3,589 $
41
1,162
13
17,263
201
3,741
44
3,924
43
12,415
149
13,122
117
4,317
44
2,613
60
7,947
87
21,600
272
19,561
278
12,183
153
11,436
169
9,798
107
5,287
103
5,003
48
19,436
210
4,152
53
4,066
53
$
2,245
Purchases
Purchases
Shares
Cost
3,183 $
36
2,590
29
9,255
99
2,306
24
460
5
2,765
30
3,347
29
1,382
13
522
10
956
9
6,547
74
5,077
71
4,622
51
2,948
41
5,250
50
2,831
50
1,278
10
11,983
109
1,305
13
1,218
13
$
766
Realized Gain/Loss
on Investments
Income
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Global Real Estate Securities Fund
High Yield Fund I
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
LargeCap Value Fund
LargeCap Value Fund III
MidCap Growth Fund III
MidCap Value Fund III
Origin Emerging Markets Fund
Overseas Fund
SmallCap Growth Fund I
SmallCap Value Fund II
$
$
—
—
—
—
—
—
1
1
—
—
—
—
—
—
—
—
—
—
—
—
2
$
—
—
—
—
(2)
(1)
—
—
(2)
(1)
—
—
—
—
—
—
(1)
—
—
—
(7)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
431 $
5
199
2
1,957
21
497
4
4,384
46
5,491
62
2,268
20
448
4
1,463
29
3,369
33
1,062
11
3,541
51
1,345
14
1,741
24
1,130
10
611
11
2,396
19
2,343
21
473
5
441
6
$
398
196
$
$
June 30, 2016 June 30, 2016
Shares
Cost
6,341 $
72
3,553
40
24,561
279
5,550
64
—
—
9,689
116
14,201
126
5,251
53
1,672
39
5,534
62
27,085
335
21,097
298
15,460
190
12,643
186
13,918
147
7,507
142
3,885
38
29,076
298
4,984
61
4,843
60
$
2,606
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Principal LifeTime Strategic Income Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.02%
Shares Held
Principal Funds, Inc. Institutional Class - 57.26%
Blue Chip Fund (a)
Bond Market Index Fund (a)
Diversified International Fund (a)
Equity Income Fund (a)
Global Diversified Income Fund (a)
Global Multi-Strategy Fund (a)
Global Opportunities Fund (a)
Inflation Protection Fund (a)
LargeCap Growth Fund I (a)
LargeCap S&P 500 Index Fund (a)
MidCap Fund (a)
Overseas Fund (a)
SmallCap Growth Fund I (a),(b)
SmallCap Value Fund II (a)
Value (000's)
26,967 $
211,319
62,065
32,510
186,706
153,606
36,198
346,925
37,855
47,934
29,302
77,956
9,287
9,049
$
Principal Variable Contracts Funds, Inc. Class 1 - 42.76%
Bond & Mortgage Securities Account (a)
570,900
Short-Term Income Account (a)
1,642,859
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.02)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
$
$
$
$
$
431
2,396
675
865
2,513
1,644
410
3,001
438
707
638
697
101
104
14,620
6,662
4,255
10,917
25,537
25,537
(5)
25,532
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Specialty Funds
Domestic Equity Funds
International Equity Funds
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
63.90%
16.28%
12.86%
6.98%
(0.02)%
100.00%
197
Schedule of Investments
Principal LifeTime Strategic Income Account
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
MidCap Fund
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
December 31, December 31,
2015
2015
Shares
Cost
26,805 $
422
599,697
7,116
209,794
2,335
46,255
645
62,393
645
35,770
672
188,477
2,055
91,147
960
18,242
195
333,293
2,733
6,114
154
46,325
537
38,068
456
25,568
378
14,740
142
53,028
482
1,633,839
4,099
9,207
75
8,981
71
$
24,172
Purchases
Shares
1,931
36,453
16,783
19,534
2,269
2,739
17,514
70,906
20,154
36,493
245
2,613
18,284
5,599
557
29,424
115,017
922
854
$
$
—
—
—
—
—
10
62
—
—
—
—
—
—
—
—
—
—
—
—
72
$
—
(9)
—
—
6
26
2
—
—
—
(36)
(1)
—
—
(27)
—
—
—
—
(39)
$
Amounts in thousands except shares
See accompanying notes.
Sales
Sales
Shares
Proceeds
1,769 $
27
65,250
731
15,258
169
3,724
39
64,662
673
5,999
154
19,285
250
8,447
88
2,198
24
22,861
192
6,359
122
11,083
126
8,418
121
1,865
38
15,297
119
4,496
40
105,997
272
842
9
786
8
$
3,202
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
Bond & Mortgage Securities Account
Bond Market Index Fund
Diversified International Fund
Diversified Real Asset Fund
Equity Income Fund
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Opportunities Fund
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund I
LargeCap S&P 500 Index Fund
MidCap Fund
Origin Emerging Markets Fund
Overseas Fund
Short-Term Income Account
SmallCap Growth Fund I
SmallCap Value Fund II
Purchases
Cost
$
29
412
186
209
22
68
227
749
227
308
4
29
249
116
4
262
295
9
9
$
3,414
198
$
$
June 30, 2016 June 30, 2016
Shares
Cost
26,967 $
424
570,900
6,788
211,319
2,352
62,065
815
—
—
32,510
612
186,706
2,034
153,606
1,621
36,198
398
346,925
2,849
—
—
37,855
439
47,934
584
29,302
456
—
—
77,956
704
1,642,859
4,122
9,287
75
9,049
72
$
24,345
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Real Estate Securities Account
June 30, 2016 (unaudited)
Gain.
COMMON STOCKS - 98.90%
Shares Held
Lodging - 0.98%
Hilton Worldwide Holdings Inc
76,148 $
1,715
Real Estate - 0.65%
CBRE Group Inc (a)
43,080
1,141
31,680
43,697
25,149
90,842
44,310
56,382
24,670
119,389
85,996
151,440
50,148
44,147
25,170
112,199
104,297
35,904
48,180
9,953
58,002
204,617
27,026
68,610
116,161
155,824
22,872
26,640
32,164
92,570
94,600
55,605
283,780
137,489
43,922
205,792
21,715
26,230
19,351
20,793
124,785
3,279
2,310
2,857
4,012
7,993
7,437
2,502
3,687
1,560
4,037
2,314
3,562
9,759
3,610
7,184
8,189
4,459
1,648
1,614
6,102
1,791
1,801
2,440
7,642
5,846
2,231
1,985
1,928
20,519
5,920
3,624
4,049
3,366
2,484
872
679
1,409
2,082
9,505
168,288
REITS - 96.09%
Alexandria Real Estate Equities Inc
American Campus Communities Inc
American Tower Corp
Apartment Investment & Management Co
AvalonBay Communities Inc
Boston Properties Inc
Crown Castle International Corp
CubeSmart
DDR Corp
Duke Realty Corp
Education Realty Trust Inc
EPR Properties
Equinix Inc
Equity One Inc
Equity Residential
Essex Property Trust Inc
Extra Space Storage Inc
Federal Realty Investment Trust
First Industrial Realty Trust Inc
General Growth Properties Inc
Kilroy Realty Corp
Pebblebrook Hotel Trust
Physicians Realty Trust
Prologis Inc
Public Storage
Regency Centers Corp
Saul Centers Inc
Senior Housing Properties Trust
Simon Property Group Inc
SL Green Realty Corp
Spirit Realty Capital Inc
STORE Capital Corp
Sun Communities Inc
Sunstone Hotel Investors Inc
Tanger Factory Outlet Centers Inc
Terreno Realty Corp
Ventas Inc
Vornado Realty Trust
Welltower Inc
$
Software - 1.18%
InterXion Holding NV
(a)
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 0.72%
Money Market Funds - 0.72%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - 0.38%
TOTAL NET ASSETS - 100.00%
(a)
55,959
Shares Held
Portfolio Summary (unaudited)
Sector
Financial
Technology
Consumer, Cyclical
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
Value (000's)
2,064
$
173,208
Value (000's)
1,256,852
1,257
$
$
$
$
1,257
174,465
663
175,128
Non-Income Producing Security
See accompanying notes.
199
Percent
96.74%
1.18%
0.98%
0.72%
0.38%
100.00%
Schedule of Investments
SAM Balanced Portfolio
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.28%
Shares Held
Money Market Funds - 0.26%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
Principal Exchange-Traded Funds - 1.00%
Principal EDGE Active Income ETF (a)
Principal Funds, Inc. Institutional Class - 63.93%
Blue Chip Fund (a)
Diversified International Fund (a)
EDGE MidCap Fund (a)
Global Diversified Income Fund (a)
Global Multi-Strategy Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
International Small Company Fund (a)
LargeCap Growth Fund (a)
LargeCap Value Fund (a)
Preferred Securities Fund (a)
Principal Capital Appreciation Fund (a)
Real Estate Debt Income Fund (a)
Short-Term Income Fund (a)
Small-MidCap Dividend Income Fund (a)
Value (000's)
2,116,929 $
2,117
205,400
7,978
2,339,328
8,103,986
1,429,225
1,177,119
5,531,923
2,294,249
2,350,018
1,679,237
964,676
893,904
4,446,396
4,558,849
1,574,246
482,755
823,405
2,563,535
2,432,606
$
37,359
88,171
16,851
15,844
59,192
21,543
16,380
14,525
19,978
8,430
42,908
52,791
15,900
27,961
8,028
31,378
34,032
511,271
$
$
$
$
$
87,636
41,494
102,596
48,866
280,592
801,958
801,958
(2,223)
799,735
Principal Variable Contracts Funds, Inc. Class 1 - 35.09%
Equity Income Account (a)
3,757,992
Government & High Quality Bond Account (a)
3,948,082
(a)
Income Account
9,438,421
(a)
MidCap Account
848,369
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.28)%
TOTAL NET ASSETS - 100.00%
(a)
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
Fixed Income Funds
International Equity Funds
Specialty Funds
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
43.58%
29.80%
17.26%
9.38%
0.26%
(0.28)%
100.00%
200
Schedule of Investments
SAM Balanced Portfolio
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond
Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Preferred Securities Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
December 31, December 31,
2015
2015
Shares
Cost
2,440,914 $
33,609
6,588,088
79,090
1,131,594
11,323
4,025,769
44,250
1,256,285
16,854
5,995,036
63,524
1,883,207
16,452
6,027,135
59,077
2,999,235
11,505,107
1,824,644
734,130
—
7,549,511
4,231,177
934,285
1,262,939
349,401
511,378
—
—
3,041,351
80,537
522,130
1,969,184
$
20,587
111,522
15,601
17,239
—
80,561
53,947
41,596
18,620
1,926
26,010
—
—
37,097
821
5,225
21,334
776,265
Purchases
Shares
4,806
1,585,370
297,631
13,552
32,153
1,687
454,239
7,346
Purchases
Cost
$
74
17,889
3,416
309
421
18
4,173
76
97,865
11,681
1,393
230,547
893,904
18,617
517,350
—
—
1,258,352
1,037
205,400
823,405
28,516
—
—
511,506
665
122
12
4,504
8,802
180
5,779
—
—
12,745
58
7,958
7,955
347
—
—
7,097
82,600
$
See accompanying notes.
747,082
2,078,367
146,800
—
—
3,121,732
189,678
85,916
1,262,939
33,507
29,660
—
—
506,332
80,537
522,130
48,084
$
5,173
22,035
1,226
—
—
30,376
2,126
4,699
16,265
335
1,677
—
—
6,159
864
5,998
639
134,763
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
$
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Preferred Securities Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
$
Amounts in thousands except shares
Sales
Sales
Shares
Proceeds
106,392 $
1,672
69,472
750
—
—
281,329
6,273
111,319
1,450
464,800
4,904
43,197
391
2,086,399
21,751
—
—
—
—
404
—
125
—
629
—
—
—
—
—
—
—
—
130
—
—
27
314
—
—
315
1,944
$
3
(96)
—
2,753
(118)
(281)
(25)
1,050
(355)
679
(38)
—
—
(3,089)
(349)
(387)
(2,355)
113
12
—
—
(18)
43
773
(37)
(1,722)
$
201
$
$
June 30, 2016 June 30, 2016
Shares
Cost
2,339,328 $
32,014
8,103,986
96,133
1,429,225
14,739
3,757,992
41,039
1,177,119
15,707
5,531,923
58,357
2,294,249
20,209
3,948,082
38,452
2,350,018
9,438,421
1,679,237
964,677
893,904
4,446,396
4,558,849
848,369
—
1,574,246
482,755
205,400
823,405
2,563,535
—
—
2,432,606
$
15,724
90,288
14,349
21,743
8,802
47,276
57,251
36,510
—
14,449
24,403
7,958
7,955
31,267
—
—
27,755
722,380
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
SAM Conservative Balanced Portfolio
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.73%
Shares Held
Money Market Funds - 0.73%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
Principal Exchange-Traded Funds - 2.33%
Principal EDGE Active Income ETF (a)
Principal Funds, Inc. Institutional Class - 56.86%
Blue Chip Fund (a)
Diversified International Fund (a)
EDGE MidCap Fund (a)
Global Diversified Income Fund (a)
Global Multi-Strategy Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
International Small Company Fund (a)
LargeCap Growth Fund (a)
LargeCap Value Fund (a)
Preferred Securities Fund (a)
Principal Capital Appreciation Fund (a)
Real Estate Debt Income Fund (a)
Short-Term Income Fund (a)
Small-MidCap Dividend Income Fund (a)
Value (000's)
1,522,261 $
1,522
125,400
4,871
255,874
1,506,883
309,637
515,449
1,009,128
461,137
1,480,391
597,566
170,448
163,174
938,282
1,030,171
300,027
94,505
215,809
1,148,260
450,990
$
4,086
16,395
3,651
6,938
10,798
4,330
10,318
5,169
3,530
1,539
9,054
11,929
3,030
5,474
2,104
14,055
6,309
118,709
$
$
$
$
$
14,706
21,431
42,491
6,589
85,217
210,319
210,319
(1,521)
208,798
Principal Variable Contracts Funds, Inc. Class 1 - 40.81%
Equity Income Account (a)
630,617
Government & High Quality Bond Account (a)
2,039,107
(a)
Income Account
3,909,027
MidCap Account (a)
114,389
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.73)%
TOTAL NET ASSETS - 100.00%
(a)
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
International Equity Funds
Specialty Funds
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
49.55%
29.60%
12.36%
8.49%
0.73%
(0.73)%
100.00%
202
Schedule of Investments
SAM Conservative Balanced Portfolio
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Bond & Mortgage Securities Account
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond
Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Preferred Securities Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
December 31, December 31,
2015
2015
Shares
Cost
381,066 $
5,182
361,536
4,188
1,135,539
13,602
200,025
2,004
647,180
7,385
527,156
7,128
1,057,639
11,233
336,575
2,793
2,583,126
25,967
1,493,780
4,371,893
640,200
131,490
—
1,414,555
745,921
142,866
323,163
105,822
96,117
—
—
1,317,268
22,814
78,572
338,795
$
10,355
43,482
5,483
3,058
—
15,174
9,462
6,086
4,827
584
4,887
—
—
16,067
233
781
3,658
203,619
Purchases
Shares
6,976
3,215
388,450
109,612
15,636
28,977
14,403
132,579
29,707
Purchases
Cost
$
104
37
4,330
1,256
339
378
153
1,220
307
78,534
57,083
13,729
38,958
163,174
29,411
315,903
—
—
204,011
4,169
125,400
215,809
29,608
—
—
120,265
531
600
116
763
1,605
284
3,619
—
—
2,063
237
4,860
2,084
360
—
—
1,667
26,913
$
See accompanying notes.
91,923
519,949
56,363
—
—
505,684
31,653
28,477
323,163
9,806
5,781
—
—
198,616
22,814
78,572
8,070
$
627
5,490
472
—
—
4,945
357
1,594
4,164
98
324
—
—
2,416
243
896
105
36,170
Realized Gain/Loss
on Investments
Income
Blue Chip Fund
$
Bond & Mortgage Securities Account
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Diversified Income Fund
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Preferred Securities Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
$
Amounts in thousands except shares
Sales
Sales
Shares
Proceeds
132,168 $
2,098
364,751
4,206
17,106
186
—
—
32,199
708
40,684
536
62,914
665
8,017
73
573,726
5,967
—
—
—
—
—
176
—
24
—
326
—
—
—
—
—
—
—
—
34
—
—
8
138
—
—
54
760
$
49
(19)
(21)
—
49
(38)
(35)
(3)
98
(63)
6
(14)
—
—
(557)
(53)
(91)
(663)
29
2
—
—
(7)
10
115
(10)
(1,216)
$
203
$
$
June 30, 2016 June 30, 2016
Shares
Cost
255,874 $
3,237
—
—
1,506,883
17,725
309,637
3,260
630,617
7,065
515,449
6,932
1,009,128
10,686
461,137
3,937
2,039,107
20,405
1,480,391
3,909,027
597,566
170,448
163,174
938,282
1,030,171
114,389
—
300,027
94,505
125,400
215,809
1,148,260
—
—
450,990
$
10,196
38,598
5,113
3,821
1,605
9,956
12,671
4,401
—
2,578
4,802
4,860
2,084
14,004
—
—
5,210
193,146
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
SAM Conservative Growth Portfolio
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.03%
Shares Held
Money Market Funds - 0.00%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
Principal Funds, Inc. Institutional Class - 70.73%
Blue Chip Fund (a)
Diversified International Fund (a)
Diversified Real Asset Fund (a)
EDGE MidCap Fund (a)
Global Multi-Strategy Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund (a)
International Small Company Fund (a)
LargeCap Growth Fund (a)
LargeCap Value Fund (a)
Origin Emerging Markets Fund (a)
Preferred Securities Fund (a)
Principal Capital Appreciation Fund (a)
Short-Term Income Fund (a)
Small-MidCap Dividend Income Fund (a)
Value (000's)
1,000 $
1,091,303
4,027,301
663,401
661,958
1,104,441
672,459
636,422
438,873
2,406,268
2,834,939
1,291,447
427,745
256,838
355,428
1,115,092
$
Principal Funds, Inc. Class R-6 - 1.56%
Multi-Manager Equity Long/Short Fund (a),(b)
467,668
(a)
(b)
17,428
43,817
7,297
7,804
11,818
6,314
4,436
4,139
23,221
32,829
10,887
4,320
14,876
4,350
15,600
209,136
4,616
Principal Variable Contracts Funds, Inc. Class 1 - 27.74%
1,450,450
Equity Income Account (a)
Government & High Quality Bond Account (a)
665,371
Income Account (a)
1,430,080
MidCap Account (a)
445,286
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.03)%
TOTAL NET ASSETS - 100.00%
1
$
$
$
$
$
33,825
6,993
15,545
25,648
82,011
295,764
295,764
(82)
295,682
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
57.90%
22.04%
12.06%
8.03%
0.00%
(0.03)%
100.00%
204
Schedule of Investments
SAM Conservative Growth Portfolio
June 30, 2016 (unaudited)
Affiliated Securities
Blue Chip Fund
Diversified International Fund
Diversified Real Asset Fund
EDGE MidCap Fund
Equity Income Account
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond
Account
High Yield Fund
Income Account
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Origin Emerging Markets Fund
Preferred Securities Fund
Principal Capital Appreciation Fund
Multi-Manager Equity Long/Short
Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
December 31, December 31,
2015
2015
Shares
Cost
1,111,025 $
15,518
3,025,803
36,301
920,741
10,746
537,208
5,383
1,513,545
16,638
2,773,301
29,772
854,024
7,335
714,463
6,897
Purchases
Shares
16,705
1,030,936
19,484
132,025
13,944
15,359
12,319
13,213
Purchases
Cost
$
254
11,571
198
1,507
293
161
110
138
June 30, 2016 June 30, 2016
Shares
Cost
1,091,303 $
15,199
4,027,301
47,513
663,401
7,592
661,958
6,803
1,450,450
15,883
1,104,441
11,399
672,459
5,639
665,371
6,394
261,726
1,518,855
—
3,610,714
2,359,440
466,280
610,988
714,892
31,551
267,670
—
1,777
14,875
—
38,819
30,134
23,255
9,008
6,983
191
13,618
—
374,696
16,199
438,873
40,221
538,184
3,628
299
576,554
404,589
2,565
467,668
2,616
172
4,317
384
6,023
194
4
4,580
4,097
141
4,593
—
104,974
—
1,244,667
62,685
24,622
611,287
—
8,395
13,397
—
—
1,102
—
12,062
698
1,360
7,879
—
85
752
—
636,422
1,430,080
438,873
2,406,268
2,834,939
445,286
—
1,291,446
427,745
256,838
467,668
4,393
13,908
4,317
25,573
35,338
21,980
—
11,563
4,203
12,995
4,593
377,762
54,690
135,728
943,024
4,608
557
1,349
10,819
284,583
10,242
—
—
209,303
125
—
—
2,903
44,381
32,576
54,690
135,728
37,235
396
583
1,555
483
53,008
355,428
—
—
1,115,092
4,335
—
—
13,197
272,817
$
$
Blue Chip Fund
$
Diversified International Fund
Diversified Real Asset Fund
EDGE MidCap Fund
Equity Income Account
Global Multi-Strategy Fund
Global Real Estate Securities Fund
Government & High Quality Bond Account
High Yield Fund
Income Account
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Account
MidCap Value Fund I
Origin Emerging Markets Fund
Preferred Securities Fund
Principal Capital Appreciation Fund
Multi-Manager Equity Long/Short Fund
Short-Term Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
$
Amounts in thousands except shares
$
Realized Gain/Loss
on Investments
Income
See accompanying notes.
Sales
Sales
Shares
Proceeds
36,427 $
565
29,438
317
276,824
3,010
7,275
85
77,039
1,714
1,684,219
17,937
193,884
1,778
62,305
647
—
—
—
—
—
—
45
—
65
—
—
—
—
—
—
—
24
—
—
40
—
—
145
319
$
(8)
(42)
(342)
(2)
666
(597)
(28)
6
—
(37)
—
(1,568)
(121)
(109)
(1,133)
—
—
(12)
—
(2)
26
206
(42)
(3,139)
$
205
$
$
$
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
SAM Flexible Income Portfolio
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.52%
Shares Held
Money Market Funds - 0.51%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
Principal Exchange-Traded Funds - 2.65%
Principal EDGE Active Income ETF (a)
Principal Funds, Inc. Institutional Class - 47.13%
Diversified International Fund (a)
Global Diversified Income Fund (a)
Global Real Estate Securities Fund (a)
High Yield Fund (a)
Inflation Protection Fund (a)
International Emerging Markets Fund (a)
LargeCap Growth Fund (a)
LargeCap Value Fund (a)
Preferred Securities Fund (a)
Real Estate Debt Income Fund (a)
Short-Term Income Fund (a)
Small-MidCap Dividend Income Fund (a)
Value (000's)
1,110,041 $
1,110
148,400
5,764
558,173
1,053,196
591,673
2,270,300
1,080,065
97,950
667,463
565,658
322,198
456,466
1,632,990
633,987
$
6,073
14,176
5,556
15,824
9,343
2,029
6,441
6,550
3,254
4,450
19,988
8,869
102,553
$
$
$
$
$
19,163
22,414
67,725
109,302
218,729
218,729
(1,124)
217,605
Principal Variable Contracts Funds, Inc. Class 1 - 50.23%
Equity Income Account (a)
821,722
Government & High Quality Bond Account (a)
2,132,654
Income Account (a)
6,230,478
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.52)%
TOTAL NET ASSETS - 100.00%
(a)
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type
Fixed Income Funds
Domestic Equity Funds
Specialty Funds
International Equity Funds
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
68.37%
18.86%
6.51%
6.27%
0.51%
(0.52)%
100.00%
206
Schedule of Investments
SAM Flexible Income Portfolio
June 30, 2016 (unaudited)
Affiliated Securities
Bond & Mortgage Securities Account
Diversified International Fund
Equity Income Account
Global Diversified Income Fund
Global Real Estate Securities Fund
Government & High Quality Bond
Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Value Fund
Preferred Securities Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
Small-MidCap Dividend Income Fund
December 31, December 31,
2015
2015
Shares
Cost
442,110 $
5,077
496,988
5,992
1,017,304
13,672
1,102,223
14,944
254,366
1,870
2,323,031
22,935
2,574,650
6,746,577
1,164,057
127,707
899,351
774,738
112,433
—
—
1,766,666
21,899
788,795
$
18,178
67,504
10,008
2,996
9,596
9,910
581
—
—
21,548
223
8,326
213,360
Purchases
Shares
4,629
67,646
8,756
42,197
344,118
59,728
Purchases
Cost
$
53
750
185
553
3,165
622
101,704
76,343
27,461
310
16,585
8,980
209,765
148,400
456,466
55,901
—
14,297
690
806
232
6
162
99
2,124
5,743
4,398
680
—
188
20,456
$
See accompanying notes.
406,054
592,442
111,453
30,067
248,473
218,060
—
—
—
189,577
21,899
169,105
$
2,806
6,197
927
587
2,407
2,496
—
—
—
2,296
234
2,321
33,985
Realized Gain/Loss
on Investments
Income
Bond & Mortgage Securities Account
$
Diversified International Fund
Equity Income Account
Global Diversified Income Fund
Global Real Estate Securities Fund
Government & High Quality Bond Account
High Yield Fund
Income Account
Inflation Protection Fund
International Emerging Markets Fund
LargeCap Growth Fund
LargeCap Value Fund
Preferred Securities Fund
Principal EDGE Active Income ETF
Real Estate Debt Income Fund
Short-Term Income Fund
SmallCap Growth Fund I
Small-MidCap Dividend Income Fund
$
Amounts in thousands except shares
Sales
Sales
Shares
Proceeds
446,739 $
5,138
6,461
70
204,338
4,665
91,224
1,189
6,811
62
250,105
2,590
—
—
—
359
26
—
546
—
—
—
—
—
37
—
16
183
—
100
1,267
$
8
(8)
336
(119)
—
63
(335)
(209)
(34)
(128)
(256)
(352)
—
—
—
(16)
11
203
(836)
$
207
$
$
June 30, 2016 June 30, 2016
Shares
Cost
— $
—
558,173
6,664
821,722
9,528
1,053,196
14,189
591,673
4,973
2,132,654
21,030
2,270,300
6,230,478
1,080,065
97,950
667,463
565,658
322,198
148,400
456,466
1,632,990
—
633,987
$
15,727
61,904
9,279
2,287
7,095
7,161
2,705
5,743
4,398
19,916
—
6,396
198,995
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
SAM Strategic Growth Portfolio
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 100.46%
Shares Held
Money Market Funds - 0.45%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
Principal Exchange-Traded Funds - 3.88%
Principal EDGE Active Income ETF (a)
Principal Funds, Inc. Institutional Class - 81.38%
Diversified International Fund (a)
EDGE MidCap Fund (a)
Global Multi-Strategy Fund (a)
Global Real Estate Securities Fund (a)
International Small Company Fund (a)
LargeCap Growth Fund (a)
LargeCap Value Fund (a)
Origin Emerging Markets Fund (a)
Principal Capital Appreciation Fund (a)
Real Estate Debt Income Fund (a)
Small-MidCap Dividend Income Fund (a)
Value (000's)
1,061,948 $
1,062
238,200
9,252
4,172,670
440,521
661,654
1,032,917
469,394
2,973,478
2,283,765
2,081,796
626,845
246,421
762,502
45,399
5,194
7,080
9,699
4,426
28,694
26,446
17,549
36,307
2,403
10,667
193,864
$
Principal Funds, Inc. Class R-6 - 1.21%
Multi-Manager Equity Long/Short Fund (a),(b)
292,923
2,891
Principal Variable Contracts Funds, Inc. Class 1 - 13.54%
1,383,050
Equity Income Account (a)
32,253
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.46)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
$
$
$
$
239,322
239,322
(1,097)
238,225
Affiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Non-Income Producing Security
Portfolio Summary (unaudited)
Fund Type
Domestic Equity Funds
International Equity Funds
Fixed Income Funds
Specialty Funds
Investment Companies
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
58.58%
32.36%
4.89%
4.18%
0.45%
(0.46)%
100.00%
208
Schedule of Investments
SAM Strategic Growth Portfolio
June 30, 2016 (unaudited)
Affiliated Securities
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Multi-Strategy Fund
Global Real Estate Securities Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Value Fund I
Origin Emerging Markets Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Multi-Manager Equity Long/Short
Fund
Real Estate Debt Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
December 31, December 31,
2015
2015
Shares
Cost
3,917,353 $
47,239
—
—
1,422,410
17,012
1,787,200
19,700
1,079,728
9,045
—
—
2,965,787
31,636
2,306,645
29,451
1,123,475
16,971
1,500,832
14,639
645,685
34,836
—
—
—
—
—
169,691
371,230
758,383
$
—
1,694
3,551
8,776
234,550
Purchases
Shares
315,614
442,364
28,257
21,417
14,041
469,394
115,228
74,517
21,701
580,964
11,490
238,200
292,923
Purchases
Cost
$
3,436
5,100
609
224
130
4,619
1,119
838
256
4,604
634
9,275
2,877
246,421
3,248
1,952
40,632
2,366
32
20
551
36,690
$
$
$
—
—
—
—
62
—
—
—
—
—
—
—
—
9
—
—
108
179
$
$
(101)
(1)
17
(520)
(30)
—
(147)
(198)
(2,484)
—
(175)
—
—
—
130
722
(38)
(2,825)
$
Amounts in thousands except shares
See accompanying notes.
—
1,856
4,293
478
40,018
—
172,939
373,182
36,513
Realized Gain/Loss
on Investments
Income
Diversified International Fund
EDGE MidCap Fund
Equity Income Account
Global Multi-Strategy Fund
Global Real Estate Securities Fund
International Small Company Fund
LargeCap Growth Fund
LargeCap Value Fund
MidCap Value Fund I
Origin Emerging Markets Fund
Principal Capital Appreciation Fund
Principal EDGE Active Income ETF
Multi-Manager Equity Long/Short Fund
Real Estate Debt Income Fund
SmallCap Growth Fund I
SmallCap Value Fund II
Small-MidCap Dividend Income Fund
Sales
Sales
Shares
Proceeds
60,297 $
633
1,843
21
67,617
1,508
1,146,963
12,173
60,852
534
—
—
107,537
1,027
97,397
1,074
1,145,176
14,743
—
—
30,330
1,678
—
—
—
—
209
$
$
June 30, 2016 June 30, 2016
Shares
Cost
4,172,670 $
49,941
440,521
5,078
1,383,050
16,130
661,654
7,231
1,032,917
8,611
469,394
4,619
2,973,478
31,581
2,283,765
29,017
—
—
2,081,796
19,243
626,845
33,617
238,200
9,275
292,923
2,877
246,421
—
—
762,502
$
2,366
—
—
8,811
228,397
Realized Gain from
Capital Gain Distributions
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
INVESTMENT COMPANIES - 1.67%
Shares Held
BONDS (continued)
Money Market Funds - 1.67%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
BONDS - 97.61%
Aerospace & Defense - 0.61%
Lockheed Martin Corp
1.85%, 11/23/2018
2.50%, 11/23/2020
Value (000's)
2,812,280 $
Automobile Asset Backed Securities (continued)
CPS Auto Receivables Trust 2013C (continued)
4.30%, 08/15/2019(a)
$
CPS Auto Receivables Trust 2013-D
1.54%, 07/16/2018(a),(b)
CPS Auto Receivables Trust 2014-B
1.11%, 11/15/2018(a)
CPS Auto Receivables Trust 2014-C
1.31%, 02/15/2019(a),(b)
3.77%, 08/17/2020(a)
CPS Auto Receivables Trust 2014-D
1.49%, 04/15/2019(a)
CPS Auto Receivables Trust 2015-C
1.77%, 06/17/2019(a)
CPS Auto Receivables Trust 2016-B
2.07%, 11/15/2019(a)
CPS Auto Trust
1.48%, 03/16/2020(a)
Ford Credit Auto Owner Trust 2015-REV2
2.44%, 01/15/2027(a),(b)
Ford Credit Auto Owner Trust 2016-REV2
2.03%, 12/15/2027(a)
Ford Credit Auto Owner Trust/Ford Credit
2014-REV1
2.26%, 11/15/2025(a),(b)
Santander Drive Auto Receivables Trust 20131
1.76%, 01/15/2019
Santander Drive Auto Receivables Trust 20135
1.55%, 10/15/2018
2.25%, 06/17/2019(b)
Santander Drive Auto Receivables Trust 20141
1.59%, 10/15/2018
2.36%, 04/15/2020
2.91%, 04/15/2020
Santander Drive Auto Receivables Trust 20142
1.62%, 02/15/2019
Santander Drive Auto Receivables Trust 20143
2.13%, 08/17/2020(b)
2.65%, 08/17/2020
Santander Drive Auto Receivables Trust 20145
2.46%, 06/15/2020
Westlake Automobile Receivables Trust 20142
0.97%, 10/16/2017(a),(b)
Westlake Automobile Receivables Trust 20151
1.17%, 03/15/2018(a),(b)
Westlake Automobile Receivables Trust 20152
1.28%, 07/16/2018(a),(b)
Westlake Automobile Receivables Trust 20153
1.42%, 05/17/2021(a),(b)
Westlake Automobile Receivables Trust 20161
1.82%, 01/15/2019(a)
Westlake Automobile Receivables Trust 20162
1.57%, 06/17/2019(a)
2,812
$
2,812
Principal
Amount (000's) Value (000's)
$
Agriculture - 0.85%
Cargill Inc
6.00%, 11/27/2017(a)
Airlines - 1.14%
Delta Air Lines 2009-1 Class A Pass Through
Trust
7.75%, 06/17/2021
Delta Air Lines 2012-1 Class A Pass Through
Trust
4.75%, 11/07/2021
UAL 2009-1 Pass Through Trust
10.40%, 05/01/2018
UAL 2009-2A Pass Through Trust
9.75%, 01/15/2017
500$
500
$
1,347
849
411
436
42
43
567
586
1,914
$
Automobile Asset Backed Securities - 10.51%
AmeriCredit Automobile Receivables 2015-4
1.26%, 04/08/2019
AmeriCredit Automobile Receivables 2016-1
1.52%, 06/10/2019
AmeriCredit Automobile Receivables Trust
2013-1
1.57%, 01/08/2019
AmeriCredit Automobile Receivables Trust
2013-5
2.86%, 12/09/2019(b)
AmeriCredit Automobile Receivables Trust
2014-1
2.15%, 03/09/2020(b)
2.54%, 06/08/2020(b)
AmeriCredit Automobile Receivables Trust
2014-2
2.57%, 07/08/2020(b)
AmeriCredit Automobile Receivables Trust
2014-3
0.64%, 04/09/2018
2.58%, 09/08/2020(b)
AmeriCredit Automobile Receivables Trust
2015-1
0.77%, 04/09/2018
AmeriCredit Automobile Receivables Trust
2015-2
0.83%, 09/10/2018(b)
Capital Auto Receivables Asset Trust 2013-1
1.29%, 04/20/2018
1.74%, 10/22/2018
Capital Auto Receivables Asset Trust 2013-3
2.32%, 07/20/2018
Capital Auto Receivables Asset Trust 2014-1
2.22%, 01/22/2019
2.84%, 04/22/2019
Capital Auto Receivables Asset Trust 2014-2
2.03%, 12/20/2018
2.41%, 05/20/2019
CPS Auto Receivables Trust 2013-A
1.31%, 06/15/2020(a),(b)
CPS Auto Receivables Trust 2013-B
1.82%, 09/15/2020(a),(b)
CPS Auto Receivables Trust 2013-C
1.64%, 04/16/2018(a)
See accompanying notes.
507
516
1,023
1,437
753
454
454
500
501
375
375
1,202
1,221
100
875
101
883
395
399
22
100
22
101
87
87
184
184
404
663
404
664
305
307
498
345
502
350
545
90
548
91
416
412
237
236
46
46
Principal
Amount (000's) Value (000's)
250$
254
77
77
73
73
273
200
273
195
260
259
496
495
232
232
78
78
673
691
750
754
673
686
640
641
329
45
329
45
121
997
355
121
1,003
360
249
249
273
115
275
116
165
167
8
8
130
130
470
470
802
802
500
501
500
$
Automobile Floor Plan Asset Backed Securities - 0.90%
CNH Wholesale Master Note Trust
1.04%, 08/15/2019(a),(b)
Volkswagen Credit Auto Master Trust
0.80%, 07/22/2019(a),(b)
841
841
673
$
210
500
17,672
665
1,506
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Automobile Manufacturers - 1.83%
Daimler Finance North America LLC
1.11%, 03/02/2018(a),(b)
1.38%, 08/01/2017(a)
Ford Motor Credit Co LLC
2.02%, 05/03/2019
PACCAR Financial Corp
1.45%, 03/09/2018
2.20%, 09/15/2019
Toyota Motor Credit Corp
1.20%, 04/06/2018
2.10%, 01/17/2019
Principal
Amount (000's) Value (000's)
$
505$
336
503
337
400
403
336
673
338
691
400
400
402
409
3,083
$
Banks - 16.60%
Bank of America Corp
2.05%, 04/19/2021(b)
2.60%, 01/15/2019
2.63%, 10/19/2020
Bank of America NA
0.95%, 06/15/2017(b)
5.30%, 03/15/2017
Bank of New York Mellon Corp/The
2.05%, 05/03/2021
2.20%, 05/15/2019
2.50%, 04/15/2021
BB&T Corp
1.30%, 02/01/2019(b)
2.05%, 05/10/2021
Branch Banking & Trust Co
0.95%, 05/23/2017(b)
0.98%, 09/13/2016(b)
Capital One Financial Corp
6.15%, 09/01/2016
Capital One NA/Mclean VA
1.31%, 02/05/2018(b)
1.65%, 02/05/2018
Citigroup Inc
1.70%, 04/27/2018
2.70%, 03/30/2021
Fifth Third Bank/Cincinnati OH
2.25%, 06/14/2021
2.30%, 03/15/2019
Goldman Sachs Group Inc/The
1.73%, 11/15/2018(b)
1.80%, 04/23/2020(b)
2.60%, 04/23/2020
JP Morgan Chase & Co
4.25%, 10/15/2020
JPMorgan Chase Bank NA
6.00%, 10/01/2017
KeyBank NA/Cleveland OH
1.70%, 06/01/2018
2.35%, 03/08/2019
Morgan Stanley
1.88%, 01/05/2018
2.03%, 04/21/2021(b)
2.13%, 04/25/2018
5.50%, 07/24/2020
National City Bank/Cleveland OH
1.05%, 06/07/2017(b)
PNC Bank NA
4.88%, 09/21/2017
6.88%, 04/01/2018
PNC Funding Corp
5.63%, 02/01/2017
SunTrust Bank/Atlanta GA
7.25%, 03/15/2018
SunTrust Banks Inc
2.90%, 03/03/2021
US Bank NA/Cincinnati OH
1.11%, 10/28/2019(b)
Wells Fargo & Co
2.60%, 07/22/2020
See accompanying notes.
BONDS (continued)
Banks (continued)
Wells Fargo Bank NA
1.65%, 01/22/2018
6.00%, 11/15/2017
Principal
Amount (000's) Value (000's)
$
Beverages - 1.13%
Anheuser-Busch InBev Finance Inc
2.15%, 02/01/2019
PepsiCo Inc
1.00%, 10/13/2017
2.15%, 10/14/2020
SABMiller Holdings Inc
2.45%, 01/15/2017(a)
750$
750
$
586
598
250
500
250
514
535
$
500
500
750
507
512
762
750
2,126
747
2,183
500
673
300
508
688
311
336
500
337
507
450
875
449
875
386
389
673
673
672
674
1,010
900
1,012
916
300
400
305
408
841
1,010
400
843
1,007
407
500
545
2,020
2,133
500
650
502
664
336
1,500
250
500
338
1,506
253
561
500
499
1,145
250
1,190
273
269
276
510
556
500
518
841
840
673
692
Biotechnology - 1.34%
Amgen Inc
2.20%, 05/22/2019
Biogen Inc
2.90%, 09/15/2020
Gilead Sciences Inc
1.85%, 09/04/2018
2.55%, 09/01/2020
Commercial Mortgage Backed Securities - 2.44%
Ginnie Mae
0.60%, 07/16/2054(b),(c)
0.69%, 03/16/2049(b),(c)
0.77%, 09/16/2055(b),(c)
0.83%, 01/16/2054(b),(c)
0.83%, 06/16/2055(b),(c)
0.86%, 10/16/2054(b),(c)
0.88%, 03/16/2052(b),(c)
0.89%, 10/16/2054(b),(c)
0.92%, 01/16/2055(b),(c)
0.94%, 02/16/2055(b),(c)
0.95%, 10/16/2054(b),(c)
1.12%, 06/16/2045(b),(c)
1.15%, 08/16/2042(b),(c)
1.17%, 02/16/2046(b),(c)
1.19%, 07/16/2056(b),(c)
1.41%, 12/16/2036(b),(c)
Commercial Services - 0.12%
Equifax Inc
2.30%, 06/01/2021
Computers - 1.96%
Apple Inc
1.00%, 05/03/2018
1.70%, 02/22/2019
1.78%, 02/23/2021(b)
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(a)
Hewlett Packard Enterprise Co
2.45%, 10/05/2017(a)
2.85%, 10/05/2018(a)
International Business Machines Corp
1.95%, 02/12/2019
2.25%, 02/19/2021
690
1,000
1,042
250
250
255
260
2,247
808
811
505
168
$
504
168
1,483
$
136
153
272
181
295
190
207
187
297
257
216
489
609
388
48
185
4,110
2,860
4,155
5,082
3,324
5,733
4,017
3,081
3,372
6,056
6,127
4,059
7,619
9,667
5,985
616
2,756
200
203
336
200
250
337
203
257
600
615
500
350
506
358
500
500
512
516
3,304
$
211
539
1,901
673
$
Chemicals - 0.88%
Airgas Inc
1.65%, 02/15/2018
Chevron Phillips Chemical Co LLC / Chevron
Phillips Chemical Co LP
1.70%, 05/01/2018(a)
2.45%, 05/01/2020(a)
756
798
27,919
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Principal
Amount (000's) Value (000's)
Credit Card Asset Backed Securities - 1.24%
Cabela's Credit Card Master Note Trust
0.79%, 03/16/2020(b)
$
0.89%, 07/15/2022(b)
0.92%, 06/15/2020(a),(b)
0.97%, 02/18/2020(a),(b)
1.09%, 08/16/2021(a),(b)
Diversified Financial Services - 1.13%
Murray Street Investment Trust I
4.65%, 03/09/2017(b)
Electric - 4.02%
Black Hills Corp
2.50%, 01/11/2019
Dominion Resources Inc/VA
1.40%, 09/15/2017
2.96%, 07/01/2019(b)
Emera US Finance LP
2.70%, 06/15/2021(a)
Indiantown Cogeneration LP
9.77%, 12/15/2020
NextEra Energy Capital Holdings Inc
1.59%, 06/01/2017
7.30%, 09/01/2067(b)
Public Service Co of New Mexico
7.95%, 05/15/2018
San Diego Gas & Electric Co
1.91%, 02/01/2022
Southern California Edison Co
1.85%, 02/01/2022
Southern Co/The
1.55%, 07/01/2018
Talen Energy Supply LLC
6.50%, 05/01/2018
Texas-New Mexico Power Co
9.50%, 04/01/2019(a)
TransAlta Corp
6.90%, 05/15/2018(b)
Electronics - 0.24%
Fortive Corp
1.80%, 06/15/2019(a)
2.35%, 06/15/2021(a)
Engineering & Construction - 0.24%
SBA Tower Trust
2.88%, 07/15/2021(a),(d),(e)
Finance - Mortgage Loan/Banker - 11.50%
Fannie Mae
1.38%, 02/26/2021
1.50%, 11/30/2020
1.63%, 01/21/2020
1.75%, 09/12/2019
1.88%, 12/28/2020
Freddie Mac
0.75%, 01/12/2018
1.38%, 05/01/2020
1.75%, 05/30/2019
262$
505
336
478
505
$
1,852
261
500
336
478
503
2,078
Principal
Amount (000's) Value (000's)
$
Healthcare - Products - 1.38%
Abbott Laboratories
2.00%, 03/15/2020
Becton Dickinson and Co
1.80%, 12/15/2017
2.68%, 12/15/2019
Medtronic Inc
1.45%, 03/15/2020(b)
2.50%, 03/15/2020
1,279$
102
673
100
672
102
300
306
199
219
336
673
337
643
1,515
1,687
173
173
355
352
200
201
168
169
202
239
1,515
$
1,557
6,759
$
101
304
405
100
300
400
Healthcare - Services - 1.15%
Aetna Inc
1.90%, 06/07/2019
2.40%, 06/15/2021
Anthem Inc
5.88%, 06/15/2017
Roche Holdings Inc
0.97%, 09/30/2019(a),(b)
UnitedHealth Group Inc
1.70%, 02/15/2019
859
336
336
339
345
250
505
252
524
2,319
400
3,250
1,500
6,214
1,183
2,500
3,284
1,525
6,361
1,216
2,583
1,000
1,800
1,500
1,002
1,827
1,541
19,339
336
269
200
200
203
204
336
350
673
673
500
$
Home Equity Asset Backed Securities - 1.34%
ACE Securities Corp Home Equity Loan Trust
Series 2005-HE2
1.17%, 04/25/2035(b)
Asset Backed Securities Corp Home Equity
Loan Trust Series OOMC 2005-HE6
1.22%, 07/25/2035(b)
Bayview Financial Acquisition Trust
1.08%, 08/28/2044(b)
5.66%, 12/28/2036(b)
Centex Home Equity Loan Trust 2005-D
0.88%, 10/25/2035(b)
Home Equity Asset Trust 2005-4
1.16%, 10/25/2035(b)
JP Morgan Mortgage Acquisition Corp 2005OPT1
0.90%, 06/25/2035(b)
New Century Home Equity Loan Trust 20053
0.93%, 07/25/2035(b)
RASC Series 2003-KS10 Trust
4.47%, 03/25/2032
RASC Series 2005-AHL2 Trust
0.80%, 10/25/2035(b)
RASC Series 2005-EMX2 Trust
0.96%, 07/25/2035(b)
Structured Asset Securities Corp Mortgage
Loan Trust Series 2005-GEL4
1.07%, 08/25/2035(b)
Terwin Mortgage Trust Series TMTS 200514HE
4.85%, 08/25/2036(b)
Wells Fargo Home Equity Asset-Backed
Securities 2004-2 Trust
1.29%, 10/25/2034(b)
5.00%, 10/25/2034
337
273
610
Housewares - 0.25%
Newell Brands Inc
2.60%, 03/29/2019
212
505
1,935
97
97
184
183
51
1
51
1
211
211
375
369
83
82
49
49
16
16
157
155
153
152
150
146
99
101
35
613
35
611
2,259
$
Home Furnishings - 0.60%
Samsung Electronics America Inc
1.75%, 04/10/2017(a)
1,275
847
$
100
$
See accompanying notes.
Gas - 0.76%
Spire Inc
1.38%, 08/15/2017(b)
1,894
$
Food - 0.36%
Kraft Heinz Foods Co
1.60%, 06/30/2017(a)
2.00%, 07/02/2018(a)
BONDS (continued)
1,010
1,013
200
205
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Housewares (continued)
Newell Brands Inc (continued)
3.85%, 04/01/2023
Principal
Amount (000's) Value (000's)
$
Insurance - 6.23%
Berkshire Hathaway Finance Corp
1.60%, 05/15/2017
1.70%, 03/15/2019
Berkshire Hathaway Inc
2.20%, 03/15/2021
2.75%, 03/15/2023
Hartford Financial Services Group Inc/The
8.13%, 06/15/2068(b)
Lincoln National Corp
2.99%, 05/17/2066(b)
MassMutual Global Funding II
2.00%, 04/05/2017(a)
2.10%, 08/02/2018(a)
2.35%, 04/09/2019(a)
Metropolitan Life Global Funding I
2.30%, 04/10/2019(a)
New York Life Global Funding
1.45%, 12/15/2017(a)
1.95%, 02/11/2020(a)
2.00%, 04/13/2021(a)
2.15%, 06/18/2019(a)
2.45%, 07/14/2016(a)
Prudential Financial Inc
8.88%, 06/15/2068(b)
200$
$
212
417
510
500
514
508
400
500
413
517
1,028
1,100
336
232
370
505
495
373
515
508
1,173
1,200
250
808
400
774
673
252
818
405
793
673
1,500
$
Internet - 0.42%
Amazon.com Inc
2.60%, 12/05/2019
Machinery - Diversified - 0.53%
John Deere Capital Corp
1.35%, 01/16/2018
2.05%, 03/10/2020
673
173
700
7
7
44
505
587
500
$
Mining - 0.50%
Glencore Finance Canada Ltd
2.70%, 10/25/2017(a),(b)
Miscellaneous Manufacturers - 0.50%
General Electric Co
5.55%, 05/04/2020
5.63%, 09/15/2017
Ingersoll-Rand Global Holding Co Ltd
6.88%, 08/15/2018
841
See accompanying notes.
520
1,107
838
101
168
116
178
490
$
Mortgage Backed Securities - 3.41%
Adjustable Rate Mortgage Trust 2004-2
1.59%, 02/25/2035(b)
Alternative Loan Trust 2004-J8
6.00%, 02/25/2017
174
715
889
37
$
Media - 0.66%
Time Warner Cable Inc
8.25%, 04/01/2019
Walt Disney Co/The
2.30%, 02/12/2021
1,650
10,471
34
544
838
12
12
7
7
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Banc of America Alternative Loan Trust 200310
5.00%, 12/25/2018
$
Banc of America Funding 2004-1 Trust
5.25%, 02/25/2019
Banc of America Funding 2004-3 Trust
4.75%, 09/25/2019
Banc of America Mortgage Trust 2005-7
5.00%, 08/25/2020
BCAP LLC 2011-RR11 Trust
3.13%, 03/26/2035(a),(b)
CHL Mortgage Pass-Through Trust 2003-46
2.69%, 01/19/2034(b)
CHL Mortgage Pass-Through Trust 2004-J1
4.50%, 01/25/2019(b)
CHL Mortgage Pass-Through Trust 2004-J7
5.00%, 09/25/2019
Citigroup Mortgage Loan Trust 2009-6
2.92%, 07/25/2036(a),(b)
Credit Suisse First Boston Mortgage Securities
Corp
5.00%, 09/25/2019
Credit Suisse Mortgage Capital Certificates
2.43%, 07/27/2037(a),(b)
CSFB Mortgage-Backed Trust Series 2004-7
5.00%, 10/25/2019
CSFB Mortgage-Backed Trust Series 2004AR4
1.41%, 05/25/2034(b)
Freddie Mac REMICS
0.89%, 06/15/2023(b)
Ginnie Mae
4.50%, 08/20/2032
GSMSC Pass-Through Trust 2009-4R
0.90%, 12/26/2036(a),(b)
JP Morgan Mortgage Trust 2004-A3
2.73%, 07/25/2034(b)
JP Morgan Mortgage Trust 2004-S1
5.00%, 09/25/2034
JP Morgan Resecuritization Trust Series 20104
2.46%, 10/26/2036(a),(b)
MASTR Alternative Loan Trust 2003-9
6.50%, 01/25/2019
MASTR Asset Securitization Trust 2004-11
5.00%, 12/25/2019
MASTR Asset Securitization Trust 2004-9
5.00%, 09/25/2019
PHH Mortgage Trust Series 2008-CIM1
5.22%, 06/25/2038
Prime Mortgage Trust 2005-2
5.25%, 07/25/2020(b)
Provident Funding Mortgage Loan Trust 20051
1.03%, 05/25/2035(b)
RALI Series 2003-QS23 Trust
5.00%, 12/26/2018
RALI Series 2004-QS3 Trust
5.00%, 03/25/2019
RBSSP Resecuritization Trust 2009-7
0.85%, 06/26/2037(a),(b)
5.00%, 09/26/2036(a),(b)
Sequoia Mortgage Trust 2013-4
1.55%, 04/25/2043(b)
Sequoia Mortgage Trust 2013-8
2.25%, 06/25/2043(b)
Springleaf Mortgage Loan Trust 2013-1
1.27%, 06/25/2058(a),(b)
2.31%, 06/25/2058(a),(b)
3.14%, 06/25/2058(a)
4.44%, 06/25/2058(a)
702
$
Manufactured Housing Asset Backed Securities - 0.03%
Conseco Financial Corp
7.70%, 09/15/2026
Mid-State Trust IV
8.33%, 04/01/2030
BONDS (continued)
213
64$
64
11
12
58
58
2
2
203
203
73
72
11
10
53
54
12
12
11
11
44
44
50
50
75
70
1
1
8
8
216
211
44
44
154
158
49
49
60
61
13
13
32
32
198
197
102
103
269
258
135
135
59
59
47
20
45
20
72
70
593
592
906
377
217
516
904
377
217
515
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Mortgage Backed Securities (continued)
Springleaf Mortgage Loan Trust 2013-2
1.78%, 12/25/2065(a)
3.52%, 12/25/2065(a),(b)
WaMu Mortgage Pass-Through Certificates
Series 2003-S8 Trust
5.00%, 09/25/2018
Principal
Amount (000's) Value (000's)
$
285$
688
13
$
Oil & Gas - 2.50%
BP Capital Markets PLC
4.75%, 03/10/2019
Chevron Corp
1.72%, 06/24/2018
Phillips 66
2.95%, 05/01/2017
Shell International Finance BV
2.13%, 05/11/2020
Total Capital International SA
1.20%, 08/10/2018(b)
1.55%, 06/28/2017
Other Asset Backed Securities - 4.69%
Ameriquest Mortgage Securities Inc AssetBacked Pass-Through Ctfs Ser 2004-R11
1.06%, 11/25/2034(b)
Ameriquest Mortgage Securities Inc AssetBacked Pass-Through Ctfs Ser 2005-R1
1.13%, 03/25/2035(b)
Citigroup Mortgage Loan Trust Inc
0.88%, 07/25/2035(b)
Drug Royalty II LP 2
3.48%, 07/15/2023(a),(b)
Drug Royalty III LP 1
3.98%, 04/15/2027(a),(b)
Fieldstone Mortgage Investment Trust Series
2005-1
1.53%, 03/25/2035(b)
First Franklin Mortgage Loan Trust 2005FF4
1.10%, 05/25/2035(b)
JP Morgan Mortgage Acquisition Corp 2005OPT2
0.74%, 12/25/2035(b)
MVW Owner Trust 2015-1
2.52%, 12/20/2032(a),(b)
OneMain Financial Issuance Trust 2014-1
2.43%, 06/18/2024(a),(b)
OneMain Financial Issuance Trust 2014-2
2.47%, 09/18/2024(a)
OneMain Financial Issuance Trust 2015-2
2.57%, 07/18/2025(a)
PFS Financing Corp
1.04%, 02/15/2019(a),(b)
1.04%, 10/15/2019(a),(b)
1.06%, 04/15/2020(a),(b)
1.39%, 02/15/2019(a),(b)
PFS Tax Lien Trust 2014-1
1.44%, 05/15/2029(a),(b)
RAAC Series 2006-RP2 Trust
0.70%, 02/25/2037(a),(b)
RAMP Series 2005-RZ4 Trust
0.85%, 11/25/2035(b)
Securitized Asset Backed Receivables LLC
Trust 2006-OP1
0.75%, 10/25/2035(b)
Soundview Home Loan Trust 2005-CTX1
0.87%, 11/25/2035(b)
Structured Asset Investment Loan Trust 20054
1.11%, 05/25/2035(b)
See accompanying notes.
Pharmaceuticals - 1.51%
AbbVie Inc
1.80%, 05/14/2018
2.30%, 05/14/2021
2.50%, 05/14/2020
Actavis Funding SCS
1.85%, 03/01/2017
2.35%, 03/12/2018
Mead Johnson Nutrition Co
3.00%, 11/15/2020
Merck & Co Inc
1.10%, 01/31/2018
13
5,735
731
875
885
1,010
1,025
505
515
370
673
369
677
4,202
13
13
154
154
23
23
687
678
Principal
Amount (000's) Value (000's)
Other Asset Backed Securities (continued)
Trafigura Securitisation Finance PLC 2014-1
1.39%, 10/15/2018(a),(b)
$
284
688
673
$
BONDS (continued)
471$
$
202
200
336
203
202
344
336
505
337
512
250
261
673
$
Pipelines - 1.93%
Buckeye Partners LP
2.65%, 11/15/2018
Columbia Pipeline Group Inc
2.45%, 06/01/2018
3.30%, 06/01/2020
Florida Gas Transmission Co LLC
7.90%, 05/15/2019(a)
Hiland Partners Holdings LLC / Hiland
Partners Finance Corp
7.25%, 10/01/2020(a)
TransCanada PipeLines Ltd
6.35%, 05/15/2067(b)
Williams Partners LP / ACMP Finance Corp
6.13%, 07/15/2022
250
30
30
43
43
93
93
705
705
894
895
1,347
1,350
740
740
505
336
536
260
503
334
531
259
333
331
82
81
119
118
5
5
162
161
117
Real Estate - 0.35%
Prologis LP
7.38%, 10/30/2019
REITS - 1.44%
Alexandria Real Estate Equities Inc
2.75%, 01/15/2020
Digital Realty Trust LP
3.40%, 10/01/2020
HCP Inc
6.30%, 09/15/2016
Healthcare Realty Trust Inc
5.75%, 01/15/2021
Kimco Realty Corp
4.30%, 02/01/2018
WEA Finance LLC / Westfield UK & Europe
Finance PLC
1.75%, 09/15/2017(a)
658
168
168
168
174
559
631
719
746
500
354
505
587
510
514
300
312
755
762
343
385
336
348
100
200
Software - 1.20%
Microsoft Corp
1.30%, 11/03/2018
1.85%, 02/12/2020
Oracle Corp
1.90%, 09/15/2021(d)
2.25%, 10/08/2019
117
214
100
2,421
205
500
$
Savings & Loans - 0.00%
Washington Mutual Bank / Henderson NV
0.00%, 01/15/2013(e),(f),(g)
518
3,249
499
$
Retail - 0.43%
Home Depot Inc/The
2.00%, 04/01/2021
McDonald's Corp
2.75%, 12/09/2020
676
2,535
649
$
250
465
7,879
522
727
200
—
500
673
504
688
200
250
201
258
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
BONDS (continued)
Software (continued)
Oracle Corp (continued)
5.75%, 04/15/2018
Principal
Amount (000's) Value (000's)
$
Student Loan Asset Backed Securities - 3.77%
KeyCorp Student Loan Trust 2004-A
0.93%, 10/28/2041(b)
KeyCorp Student Loan Trust 2006-A
0.95%, 09/27/2035(b)
SLC Private Student Loan Trust 2006-A
0.80%, 07/15/2036(b)
SLC Private Student Loan Trust 2010-B
3.93%, 07/15/2042(a),(b)
SLM Private Credit Student Loan Trust 2002A
1.18%, 12/16/2030(b)
SLM Private Credit Student Loan Trust 2004A
1.05%, 06/15/2033(b)
SLM Private Credit Student Loan Trust 2004B
0.85%, 06/15/2021(b)
SLM Private Credit Student Loan Trust 2005B
0.83%, 03/15/2023(b)
0.92%, 12/15/2023(b)
SLM Private Credit Student Loan Trust 2006A
0.84%, 12/15/2023(b)
SLM Private Education Loan Trust 2013-A
1.04%, 08/15/2022(a),(b)
1.77%, 05/17/2027(a)
SLM Private Education Loan Trust 2013-B
1.09%, 07/15/2022(a),(b)
1.85%, 06/17/2030(a),(b)
SLM Private Education Loan Trust 2014-A
1.04%, 07/15/2022(a),(b)
336$
$
364
2,015
59
59
1,648
1,621
1,417
1,407
145
147
625
599
229
212
264
263
327
235
324
226
115
114
347
365
347
364
211
336
211
336
115
115
6,345
$
Telecommunications - 2.50%
AT&T Inc
2.45%, 06/30/2020
2.80%, 02/17/2021
3.60%, 02/17/2023
Cisco Systems Inc
2.20%, 02/28/2021
4.95%, 02/15/2019
GTP Acquisition Partners I LLC
2.35%, 06/15/2045(a)
Verizon Communications Inc
2.41%, 09/14/2018(b)
3.65%, 09/14/2018
Vodafone Group PLC
1.63%, 03/20/2017
538
500
500
549
513
522
250
500
258
550
350
349
336
750
344
788
336
$
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS (continued)
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)
(continued)
6.00%, 05/01/2017
$
1$
1
$
26
Federal National Mortgage Association (FNMA) - 0.16%
2.38%, 04/01/2033(b)
2.39%, 07/01/2034(b)
2.45%, 12/01/2032(b)
2.52%, 08/01/2034(b)
2.57%, 02/01/2037(b)
2.63%, 01/01/2035(b)
2.67%, 11/01/2032(b)
2.70%, 02/01/2035(b)
2.75%, 12/01/2033(b)
4.14%, 11/01/2035(b)
5.60%, 04/01/2019(b)
8.00%, 05/01/2027
Government National Mortgage Association (GNMA) 0.02%
9.00%, 12/15/2020
10.00%, 06/15/2020
10.00%, 02/15/2025
10.00%, 09/15/2018
10.00%, 09/15/2018
10.00%, 05/15/2020
10.00%, 02/15/2019
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS
Total Investments
Other Assets and Liabilities - 0.53%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
(d)
(e)
(f)
(g)
Transportation - 0.31%
Ryder System Inc
2.45%, 11/15/2018
505
513
Trucking & Leasing - 0.18%
Penske Truck Leasing Co Lp / PTL Finance
Corp
3.75%, 05/11/2017(a)
303
309
TOTAL BONDS
$
164,121
U.S. GOVERNMENT & GOVERNMENT
Principal
AGENCY OBLIGATIONS - 0.19%
Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) 0.01%
2.50%, 11/01/2021(b)
$
1$
1
2.69%, 09/01/2035(b)
22
24
See accompanying notes.
215
$
93
35
16
12
42
21
5
5
28
1
1
14
273
$
2
4
1
1
2
4
12
26
$
$
$
$
325
167,258
890
168,148
2
4
1
1
1
4
12
Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the end of the
period, the value of these securities totaled $39,329 or 23.39% of net
assets.
Variable Rate. Rate shown is in effect at June 30, 2016.
Security is an Interest Only Strip.
Security purchased on a when-issued basis.
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$400 or 0.24% of net assets.
Non-Income Producing Security
Security is Illiquid. At the end of the period, the value of these securities
totaled $0 or 0.00% of net assets.
Portfolio Summary (unaudited)
Sector
Financial
Asset Backed Securities
Government
Consumer, Non-cyclical
Mortgage Securities
Utilities
Energy
Consumer, Cyclical
Communications
Technology
Industrial
Investment Companies
Basic Materials
Other Assets and Liabilities
TOTAL NET ASSETS
337
4,210
89
33
16
12
40
19
4
5
27
1
1
13
Percent
25.75%
22.48%
11.50%
7.84%
6.04%
4.78%
4.43%
4.25%
3.58%
3.16%
2.61%
1.67%
1.38%
0.53%
100.00%
Schedule of Investments
SmallCap Account
June 30, 2016 (unaudited)
COMMON STOCKS - 98.14%
Apparel - 0.70%
Skechers U.S.A. Inc
Shares Held
(a)
Automobile Parts & Equipment - 2.17%
Cooper Tire & Rubber Co
Visteon Corp
Banks - 8.59%
CenterState Banks Inc
Central Pacific Financial Corp
Chemical Financial Corp
FCB Financial Holdings Inc (a)
First Merchants Corp
First of Long Island Corp/The
FNB Corp/PA
Great Western Bancorp Inc
Hanmi Financial Corp
IBERIABANK Corp
PacWest Bancorp
Union Bankshares Corp
WesBanco Inc
Wilshire Bancorp Inc
Wintrust Financial Corp
Biotechnology - 2.22%
Acceleron Pharma Inc (a)
AMAG Pharmaceuticals Inc (a)
Aratana Therapeutics Inc (a)
Bellicum Pharmaceuticals Inc (a)
BIND Therapeutics Inc - Warrants
Bluebird Bio Inc (a)
Cambrex Corp (a)
Cytokinetics Inc - Warrants (a),(b),(c)
Epizyme Inc (a)
Exact Sciences Corp (a)
Genocea Biosciences Inc (a)
Insmed Inc (a)
Intercept Pharmaceuticals Inc (a)
MacroGenics Inc (a)
NewLink Genetics Corp (a)
Seattle Genetics Inc (a)
Spark Therapeutics Inc (a)
Ultragenyx Pharmaceutical Inc (a)
Versartis Inc (a)
Building Materials - 2.49%
NCI Building Systems Inc (a)
Universal Forest Products Inc
US Concrete Inc (a)
Chemicals - 0.62%
Cabot Corp
Commercial Services - 5.96%
ABM Industries Inc
AMN Healthcare Services Inc (a)
Insperity Inc
Live Nation Entertainment Inc (a)
Navigant Consulting Inc (a)
PAREXEL International Corp (a)
Sabre Corp
Computers - 4.06%
CACI International Inc (a)
ExlService Holdings Inc (a)
Manhattan Associates Inc (a)
SecureWorks Corp (a)
Sykes Enterprises Inc (a)
See accompanying notes.
46,600 $
1,385
89,354
24,610
$
2,664
1,620
4,284
$
177
1,740
524
1,054
312
317
1,414
2,964
568
3,006
2,084
617
513
412
1,221
16,923
$
394
99
301
111
—
75
999
9
102
354
105
231
187
366
91
230
117
358
250
4,379
$
786
2,399
1,726
4,911
11,236
73,710
14,040
30,990
12,530
11,065
112,740
93,980
24,188
50,330
52,400
24,960
16,520
39,530
23,950
(a),(b)
COMMON STOCKS (continued)
Value (000's)
11,590
4,120
47,621
8,580
1,938
1,728
19,320
12,207
9,950
28,907
25,616
23,470
1,310
13,570
8,090
5,690
2,280
7,330
22,610
49,140
25,880
28,345
26,840
Distribution & Wholesale - 0.99%
H&E Equipment Services Inc
SiteOne Landscape Supply Inc (a)
Diversified Financial Services - 1.26%
Evercore Partners Inc - Class A
Houlihan Lokey Inc
Moelis & Co
Electric - 3.11%
Avista Corp
Portland General Electric Co
58,550
24,940
27,690
37,461
58,680
37,640
85,170
$
2,136
997
2,138
880
948
2,367
2,282
11,748
$
2,030
1,888
2,469
440
1,175
8,002
22,450
36,020
38,500
31,214
40,570
Value (000's)
37,290 $
36,530
$
709
1,242
1,951
28,970
25,120
28,750
$
1,280
562
647
2,489
$
3,399
2,722
6,121
$
2,243
1,956
1,024
5,223
$
88
1,277
600
2,285
4,250
$
1,419
2,390
1,572
5,381
$
1,144
2,266
3,423
6,833
$
1,164
1,543
1,542
4,249
75,866
61,690
Electrical Components & Equipment - 2.65%
Advanced Energy Industries Inc (a)
EnerSys
Insteel Industries Inc
Electronics - 2.16%
Fluidigm Corp (a)
II-VI Inc (a)
Itron Inc (a)
Vishay Intertechnology Inc
59,079
32,900
35,820
9,738
68,060
13,920
184,420
Engineering & Construction - 2.73%
Dycom Industries Inc (a)
EMCOR Group Inc
MasTec Inc (a)
Entertainment - 3.47%
Isle of Capri Casinos Inc (a)
Marriott Vacations Worldwide Corp
Vail Resorts Inc
Food - 2.16%
Cal-Maine Foods Inc
Dean Foods Co
SUPERVALU Inc (a)
1,225
Shares Held
15,810
48,520
70,410
62,435
33,090
24,760
26,278
85,300
326,649
Gas - 1.36%
Southwest Gas Corp
34,030
2,678
Healthcare - Products - 3.51%
Cynosure Inc (a)
EndoChoice Holdings Inc (a)
ICU Medical Inc (a)
K2M Group Holdings Inc (a)
LDR Holding Corp (a)
Nevro Corp (a)
STAAR Surgical Co (a)
26,735
30,030
24,490
46,040
19,170
15,160
30,450
$
1,301
147
2,761
715
708
1,118
168
6,918
$
2,522
146
189
2,857
Healthcare - Services - 1.45%
HealthSouth Corp
Natera Inc (a)
Teladoc Inc (a)
Home Builders - 0.99%
Installed Building Products Inc
64,980
12,120
11,770
(a)
Insurance - 3.36%
American Financial Group Inc/OH
Argo Group International Holdings Ltd
First American Financial Corp
Primerica Inc
53,475
1,941
36,740
22,944
35,130
22,880
2,716
1,191
1,413
1,310
6,630
$
Internet - 1.24%
CDW Corp/DE
216
37,873
1,518
Schedule of Investments
SmallCap Account
June 30, 2016 (unaudited)
COMMON STOCKS (continued)
Internet (continued)
GoDaddy Inc (a)
Shares Held
29,486 $
$
29,590
329
Leisure Products & Services - 0.69%
Planet Fitness Inc (a)
72,240
1,364
94,070
1,974
102,176
1,993
—
1,800
3,793
$
Metal Fabrication & Hardware - 0.45%
Atkore International Group Inc (a)
Miscellaneous Manufacturers - 1.68%
AO Smith Corp
Trinseo SA
55,567
$
Office Furnishings - 0.69%
Herman Miller Inc
45,602
Oil & Gas - 3.25%
Callon Petroleum Co (a)
Carrizo Oil & Gas Inc (a)
Murphy USA Inc (a)
PDC Energy Inc (a)
Rice Energy Inc (a)
RSP Permian Inc (a)
Western Refining Inc
Oil & Gas Services - 0.66%
Frank's International NV
Pioneer Energy Services Corp
Superior Energy Services Inc
83,750
21,050
32,050
11,860
22,260
23,559
16,400
31,250 $
$
Savings & Loans - 1.83%
Banc of California Inc
Berkshire Hills Bancorp Inc
Oritani Financial Corp
Pacific Premier Bancorp Inc (a)
Provident Financial Services Inc
Semiconductors - 1.00%
Entegris Inc (a)
Qorvo Inc (a)
1,363
Software - 6.49%
Acxiom Corp (a)
Apigee Corp (a)
Aspen Technology Inc (a)
Atlassian Corp PLC (a)
Black Knight Financial Services Inc
Blackbaud Inc
BroadSoft Inc (a)
SYNNEX Corp
$
$
266
448
595
1,309
94,700
15,370
33,632
66,480
16,376
283,460
64,290
(a)
1,327
1,983
3,310
940
755
2,377
683
491
822
338
6,406
Value (000's)
$
2,292
157
748
1,891
777
2,123
1,278
9,266
$
872
421
523
485
1,305
3,606
$
1,011
965
1,976
$
1,386
369
2,730
835
1,219
2,747
498
3,014
12,798
48,200
15,630
32,700
20,210
66,440
69,910
17,459
(a)
Telecommunications - 1.77%
Leap Wireless International Inc - Rights
1,749
19,524
63,020
30,189
67,850
32,220
32,430
40,450
12,140
31,790
1,375
4
11,050
47,360
45,010
525
2,084
885
3,498
(a),(b),(c)
(a)
Packaging & Containers - 0.71%
Graphic Packaging Holding Co
Pharmaceuticals - 4.65%
Array BioPharma Inc (a)
Cerulean Pharma Inc (a)
Concert Pharmaceuticals Inc (a)
DexCom Inc (a)
FibroGen Inc (a)
Nektar Therapeutics (a)
Neurocrine Biosciences Inc (a)
PRA Health Sciences Inc (a)
Prestige Brands Holdings Inc (a)
ProQR Therapeutics NV (a)
Proteon Therapeutics Inc (a)
Relypsa Inc (a)
Revance Therapeutics Inc (a)
SCYNEXIS Inc (a)
TESARO Inc (a)
Vanda Pharmaceuticals Inc (a)
18,230
97,350
32,310
REITS - 9.91%
CubeSmart
CYS Investments Inc
Equity One Inc
First Industrial Realty Trust Inc
Highwoods Properties Inc
Kite Realty Group Trust
Mack-Cali Realty Corp
Monmouth Real Estate Investment Corp
NETGEAR Inc
Plantronics Inc
West Corp
(a)
$
111,170
1,394
Transportation - 0.32%
Ardmore Shipping Corp
Navigator Holdings Ltd (a)
57,830
44,723
14,250
6,960
11,520
34,830
17,250
55,270
59,739
9,412
21,140
17,850
9,070
23,610
610
25,511
206
95
160
552
189
496
784
2,308
3,310
46
170
330
123
51
51
285
9,156
TOTAL COMMON STOCKS
INVESTMENT COMPANIES - 2.35%
$
See accompanying notes.
Retail - 4.70%
Caleres Inc
Flex Pharma Inc (a)
GMS Inc (a)
Michaels Cos Inc/The (a)
Red Robin Gourmet Burgers Inc
Rite Aid Corp (a)
Tile Shop Holdings Inc (a)
889
15,060
46,190
Shares Held
REITS (continued)
QTS Realty Trust Inc
920
2,438
Investment Companies - 0.17%
THL Credit Inc
Machinery - Diversified - 1.92%
Briggs & Stratton Corp
Gerber Scientific Inc (a),(b),(c)
Manitowoc Foodservice Inc (a)
COMMON STOCKS (continued)
Value (000's)
Money Market Funds - 2.35%
BlackRock Liquidity Funds FedFund Portfolio
TOTAL INVESTMENT COMPANIES
Total Investments
Other Assets and Liabilities - (0.49)%
TOTAL NET ASSETS - 100.00%
(a)
(b)
(c)
49,750
152,550
114,820
124,600
60,330
66,710
85,040
33,850
1,536
1,277
3,695
3,466
3,186
1,870
2,296
449
217
43,300
29,620
Shares Held
293
341
$
634
$
193,431
Value (000's)
4,636,179
4,636
$
$
$
$
4,636
198,067
(970)
197,097
Non-Income Producing Security
Fair value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
Directors. At the end of the period, the fair value of these securities totaled
$13 or 0.01% of net assets.
Security is Illiquid. At the end of the period, the value of these securities
totaled $13 or 0.01% of net assets.
Schedule of Investments
SmallCap Account
June 30, 2016 (unaudited)
Portfolio Summary (unaudited)
Sector
Financial
Consumer, Non-cyclical
Industrial
Consumer, Cyclical
Technology
Utilities
Energy
Communications
Investment Companies
Basic Materials
Other Assets and Liabilities
TOTAL NET ASSETS
See accompanying notes.
Percent
25.12%
19.95%
15.11%
14.39%
11.55%
4.47%
3.91%
3.02%
2.35%
0.62%
(0.49)%
100.00%
218
Glossary to the Schedule of Investments
June 30, 2016 (unaudited)
Currency Abbreviations
USD/$
See accompanying notes.
United States Dollar
219
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
BALANCED ACCOUNT
Class 1 shares
$–
$–
$–
0.12
(0.35)
(1.33)
(1.68)
1.28
1.58
(0.33)
–
(0.33)
2.69
2.96
(0.30)
–
(0.30)
0.30
1.50
1.80
(0.31)
–
(0.31)
13.62
0.27
0.29
0.56
(0.32)
–
(0.32)
2016(c)
10.20
0.10
0.43
0.53
2015
10.34
0.18
(0.17)
0.01
(0.15)
–
(0.15)
2014
9.88
0.17
0.40
0.57
(0.11)
–
(0.11)
(0.07)
–
(0.07)
2016(c)
$17.70
$0.18
$0.23
$0.41
2015
19.26
0.33
(0.21)
2014
18.01
0.30
2013
15.35
0.27
2012
13.86
2011
BOND MARKET INDEX ACCOUNT
Class 1 shares
2013
10.21
0.13
(0.39)
(0.26)
2012(f)
10.00
0.08
0.13
0.21
–
–
–
–
–
–
–
–
CORE PLUS BOND ACCOUNT(g)
Class 1 shares
0.62
–
2016(c)
11.05
0.17
0.45
2015
11.46
0.32
(0.37)
(0.05)
(0.36)
–
(0.36)
2014
11.24
0.31
0.28
0.59
(0.37)
–
(0.37)
2013
11.74
0.32
(0.43)
(0.11)
(0.39)
–
(0.39)
2012
11.35
0.36
0.48
0.84
(0.45)
–
(0.45)
2011
10.61
0.44
0.31
0.75
(0.01)
–
(0.01)
2016(c)
11.03
0.15
0.46
0.61
2015(h)
11.62
0.19
(0.42)
2016(c)
14.11
(0.02)
2015
14.39
2014
13.66
2013
2012
2011
Class 2 shares
(0.23)
–
(0.36)
–
–
–
(0.36)
DIVERSIFIED BALANCED ACCOUNT
Class 2 shares
See accompanying notes.
–
–
–
0.61
0.59
0.19
(0.17)
0.02
(0.14)
(0.16)
(0.30)
0.16
0.85
1.01
(0.13)
(0.15)
(0.28)
12.28
0.15
1.43
1.58
(0.04)
(0.16)
(0.20)
11.30
0.06
1.03
1.09
(0.11)
–
(0.11)
11.02
0.21
0.19
0.40
(0.12)
–
(0.12)
220
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Gross
Ratio of Expenses
Portfolio
to Average Net Expenses to Average Ratio of Net Investment Income
Net Assets
to Average Net Assets
Turnover Rate
Assets
$18.11
2.32%(d)
$43,003
–%
2.02%(e)
17.70
0.42
44,254
0.66
–
1.72
114.8
19.26
8.81
50,588
0.65
–
1.61
119.8
18.01
19.48
51,633
0.66
–
1.65
147.3
15.35
13.05
49,151
0.65
–
1.99
154.7
13.86
4.05
50,180
0.66
–
1.98
178.7
10.73
5.20 (d)
2,090,315
0.25 (e)
–
1.91 (e)
10.20
0.13
1,937,655
0.25
–
1.77
154.0
10.34
5.75
1,734,803
0.26
–
1.68
195.7
9.88
(2.56)
1,264,213
0.26
–
1.26
225.8
10.21
2.10 (d)
753,130
0.26 (e)
–
1.27 (e)
160.6 (e)
11.67
5.61 (d)
306,009
0.46 (e)
–
2.95 (e)
169.8 (e)
11.05
(0.48)
290,032
0.46
–
2.80
177.2
11.46
5.24
321,735
0.45
–
2.74
205.6
11.24
(0.86)
316,177
0.45
–
2.79
204.8
11.74
7.54
342,051
0.45
–
3.12
218.2
11.35
7.07
323,866
0.45
–
3.95
252.1
11.64
5.53 (d)
42
0.71 (e)
–
2.70 (e)
169.8 (e)
11.03
(2.03) (d)
28
0.71 (e)
–
2.58 (e)
177.2 (e)
14.70
4.18 (d)
1,078,753
0.30 (e),(i)
0.30 (e),(i),(j)
(0.30) (e)
16.0 (e)
14.11
0.16
1,031,111
0.30 (i)
0.30 (i),(j)
14.39
7.41
1,011,106
0.30 (i)
0.30 (i),(j)
1.11
9.0
13.66
12.95
856,784
0.30 (i)
0.30 (i),(j)
1.16
10.1
12.28
9.71
581,734
0.30 (i)
0.30 (i),(j)
0.52
56.6
11.30
3.61
331,823
0.31 (i)
0.31 (i),(j)
1.86
17.9
0.66%(e)
1.29
116.1%(e)
129.6 (e)
14.3
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Period from May 15, 2012 date operations commenced, through December 31, 2012.
(g) Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
(h) Period from May 1, 2015 date operations commenced, through December 31, 2015.
(i) Does not include expenses of the investment companies in which the Account invests.
(j) Excludes expense reimbursement from Manager.
See accompanying notes.
221
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income
Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
DIVERSIFIED BALANCED MANAGED VOLATILITY ACCOUNT
Class 2 shares
2016(c)
$–
$–
$–
(0.09)
(0.08)
(0.17)
$10.72
($0.02)
10.88
2014
2013(h)
2016(c)
15.08
(0.02)
0.59
0.57
2015
15.40
0.21
(0.18)
0.03
(0.16)
(0.19)
(0.35)
2014
14.60
0.19
0.94
1.13
(0.14)
(0.19)
(0.33)
2013
12.54
0.20
2.04
2.24
(0.06)
(0.12)
(0.18)
2012
11.33
0.09
1.22
1.31
(0.10)
–
(0.10)
2011
11.17
0.18
0.07
0.25
(0.09)
–
(0.09)
0.40
0.38
2015
$0.45
$0.43
0.10
(0.09)
0.01
10.18
0.27
0.43
0.70
–
–
–
10.00
0.13
0.05
0.18
–
–
–
DIVERSIFIED GROWTH ACCOUNT
Class 2 shares
–
–
–
DIVERSIFIED GROWTH MANAGED VOLATILITY ACCOUNT
Class 2 shares
–
–
–
2016(c)
10.79
(0.02)
2015
10.99
0.09
(0.08)
0.01
2014
10.27
0.31
0.41
0.72
–
–
–
2013(h)
10.00
0.26
0.01
0.27
–
–
–
2016(c)
11.87
(0.02)
0.56
0.54
–
–
–
2015
12.03
0.15
(0.12)
0.03
(0.10)
(0.09)
(0.19)
2014
11.38
0.12
0.66
0.78
(0.06)
(0.07)
(0.13)
2013
10.54
0.11
0.75
0.86
(0.01)
(0.01)
(0.02)
2012(j)
10.00
0.06
0.48
0.54
(0.11)
(0.10)
(0.21)
DIVERSIFIED INCOME ACCOUNT
Class 2 shares
See accompanying notes.
222
–
–
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Gross
Ratio of Expenses
Ratio of Net Investment
Portfolio
to Average Net Expenses to Average
Net Assets
Income to Average Net Assets Turnover Rate
Assets
–%
(0.31)%(e)
14.7%(e)
$11.15
4.01%(d)
$154,775
0.31%(e),(f),(g)
10.72
0.01
138,384
0.31 (f),(g)
–
0.90
14.1
10.88
6.89
84,527
0.31 (f),(g)
–
2.54
8.1
10.18
1.80 (d)
887
0.31 (e),(f),(g)
–
7.97 (e)
6.6 (e)
15.65
3.78 (d)
3,399,672
0.30 (e),(g)
0.30 (e),(g),(i)
(0.30) (e)
13.0 (e)
15.08
0.17
3,201,495
0.30 (g)
0.30 (g),(i)
1.37
10.7
15.40
7.83
2,880,722
0.30 (g)
0.30 (g),(i)
1.25
7.1
14.60
17.95
2,202,857
0.30 (g)
0.30 (g),(i)
1.49
7.7
12.54
11.63
1,218,171
0.30 (g)
0.30 (g),(i)
0.76
42.6
11.33
2.26
747,602
0.30 (g)
0.30 (g),(i)
1.58
15.6
11.17
3.52 (d)
287,472
0.30 (e),(f),(g)
–
10.79
0.06
252,611
0.30 (f),(g)
–
10.99
7.06
151,672
0.31 (f),(g)
–
10.27
2.70 (d)
3,988
0.31 (e),(f),(g)
–
(0.30) (e)
0.82
12.5 (e)
11.5
2.92
8.0
15.10 (e)
127.3 (e)
(0.30) (e)
18.8 (e)
12.41
4.55 (d)
228,104
0.30 (e),(g)
0.30 (e),(g),(i)
11.87
0.16
198,762
0.30 (g)
0.30 (g),(i)
1.25
20.1
12.03
6.89
168,562
0.31 (g)
0.31 (g),(i)
1.06
18.7
11.38
8.14
112,037
0.31 (g)
0.31 (g),(i)
10.54
5.40 (d)
54,787
0.31 (e),(g)
0.32 (e),(g),(i)
0.96
0.87 (e)
27.0
12.1 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Reflects Manager's contractual expense limit.
(g) Does not include expenses of the investment companies in which the Account invests.
(h) Period from October 31, 2013 date operations commenced, through December 31, 2013.
(i) Excludes expense reimbursement from Manager.
(j) Period from May 15, 2012 date operations commenced, through December 31, 2012.
See accompanying notes.
223
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Total
Dividends
Net Realized
Net
Dividends Net Asset
Net Asset Value, Investment and Unrealized Total From from Net
Value, End
and
Income Gain (Loss) on Investment Investment
Beginning of
Income Distributions of Period
Operations
(Loss)(a)
Investments
Period
DIVERSIFIED INTERNATIONAL ACCOUNT
Class 1 shares
2016(c)
$–
$–
(0.03)
(0.37)
(0.37)
13.68
(0.70)
(0.46)
(0.33)
(0.33)
14.08
2.09
2.33
(0.35)
(0.35)
14.87
0.27
1.76
2.03
(0.26)
(0.26)
12.89
0.27
(1.67)
(1.40)
(0.02)
(0.02)
11.12
$13.68
$0.18
($0.51)
($0.33)
2015
14.08
0.26
(0.29)
2014
14.87
0.24
2013
12.89
0.24
2012
11.12
2011
12.54
$13.35
Class 2 shares
–
–
2016(c)
13.78
0.17
(0.51)
(0.34)
2015
14.19
0.21
(0.29)
(0.08)
(0.33)
(0.33)
13.78
13.44
2014
14.97
0.21
(0.70)
(0.49)
(0.29)
(0.29)
14.19
2013
12.96
0.22
2.10
2.32
(0.31)
(0.31)
14.97
2012
11.18
0.23
1.76
1.99
(0.21)
(0.21)
12.96
2011
12.63
0.23
(1.66)
(1.43)
(0.02)
(0.02)
11.18
2016(c)
21.67
0.28
1.37
1.65
2015
23.12
0.58
(1.46)
(0.88)
(0.57)
(0.57)
21.67
2014
21.00
0.57
2.09
2.66
(0.54)
(0.54)
23.12
2013
17.03
0.54
4.04
4.58
(0.61)
(0.61)
21.00
2012
15.53
0.54
1.47
2.01
(0.51)
(0.51)
17.03
2011
14.80
0.50
0.30
0.80
(0.07)
(0.07)
15.53
2016(c)
21.52
0.25
1.36
1.61
2015
22.96
0.52
(1.45)
(0.93)
(0.51)
(0.51)
21.52
2014
20.87
0.51
2.07
2.58
(0.49)
(0.49)
22.96
2013
16.92
0.49
4.02
4.51
(0.56)
(0.56)
20.87
2012
15.43
0.49
1.46
1.95
(0.46)
(0.46)
16.92
2011
14.74
0.45
0.31
0.76
(0.07)
(0.07)
15.43
EQUITY INCOME ACCOUNT
Class 1 shares
–
–
23.32
Class 2 shares
See accompanying notes.
224
–
–
23.13
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Total
Return(b)
Net Assets, End of Ratio of Expenses
to Average Net
Ratio of Net Investment
Period (in
Assets
Income to Average Net Assets
thousands)
0.89%(e)
2.79%(e)
Portfolio
Turnover
Rate
(2.41)%(d)
$251,427
(0.35)
273,300
0.88
1.80
48.2
(3.21)
429,194
0.86
1.64
62.1
18.40
501,094
0.87
1.78
79.5
18.44
464,751
0.87
2.23
76.0
(11.17)
428,532
0.89
2.17
68.5
2.56 (e)
57.2%(e)
(2.47) (d)
1,325
1.14 (e)
(0.65)
1,360
1.13
1.47
48.2
(3.41)
1,266
1.11
1.38
62.1
18.18
1,458
1.12
1.61
79.5
18.01
1,643
1.12
1.95
76.0
(11.36)
1,952
1.14
1.91
68.5
7.61 (d)
517,419
0.50 (e)
(3.93)
513,126
0.49
2.54
10.7
12.80
599,407
0.48
2.57
11.6
27.30
630,542
0.48
2.83
18.0
2.56 (e)
57.2 (e)
16.7 (e)
13.01
578,099
0.49
3.26
20.8
5.44
624,366
0.48
3.28
19.9
7.48 (d)
23,603
0.75 (e)
(4.15)
23,215
0.74
2.29
10.7
12.46
25,491
0.73
2.32
11.6
27.02
24,810
0.73
2.58
18.0
12.72
22,844
0.74
3.01
20.8
5.17
25,498
0.73
3.00
19.9
2.31 (e)
16.7 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
See accompanying notes.
225
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
GOVERNMENT & HIGH QUALITY BOND ACCOUNT
Class 1 shares
2016(c)
$–
$–
$–
(0.35)
(0.01)
(0.36)
$10.16
$0.16
$0.19
$0.35
2015
10.44
0.27
(0.19)
0.08
2014
10.33
0.27
0.25
0.52
(0.41)
–
(0.41)
2013
10.87
0.27
(0.39)
(0.12)
(0.42)
–
(0.42)
2012
10.90
0.33
0.09
0.42
(0.45)
–
(0.45)
2011
10.29
0.36
0.28
0.64
(0.02)
(0.01)
(0.03)
Class 2 shares
–
–
–
2016(c)
10.17
0.15
0.18
0.33
2015
10.45
0.25
(0.18)
0.07
2014
10.34
0.24
0.25
0.49
(0.38)
–
(0.38)
2013
10.88
0.25
(0.39)
(0.14)
(0.40)
–
(0.40)
2012
10.90
0.30
0.10
0.40
(0.42)
–
(0.42)
2011
10.32
0.34
0.27
0.61
(0.02)
2016(c)
10.24
0.20
0.43
0.63
2015
10.78
0.39
(0.46)
(0.07)
(0.47)
–
(0.47)
2014
10.68
0.43
0.16
0.59
(0.49)
–
(0.49)
2013
11.22
0.46
(0.43)
0.03
(0.57)
–
(0.57)
2012
10.71
0.53
0.48
1.01
(0.50)
–
(0.50)
2011
10.12
0.56
0.07
0.63
(0.04)
–
(0.04)
2016(c)
10.20
0.18
0.43
0.61
2015
10.73
0.36
(0.45)
(0.09)
(0.44)
–
(0.44)
2014
10.63
0.40
0.16
0.56
(0.46)
–
(0.46)
2013
11.17
0.43
(0.43)
–
(0.54)
–
(0.54)
2012
10.66
0.50
0.47
0.97
(0.46)
–
(0.46)
2011
10.09
0.53
0.08
0.61
(0.04)
–
(0.04)
(0.34)
(0.01)
(0.01)
(0.35)
(0.03)
INCOME ACCOUNT
Class 1 shares
–
–
–
Class 2 shares
See accompanying notes.
226
–
–
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$10.51
3.44%(d)
$260,522
10.16
0.79
286,659
0.51%(e)
0.51
3.16%(e)
2.61
21.9
10.44
5.08
314,509
0.51
2.56
19.1
10.33
(1.03)
379,351
0.51
2.58
45.3
10.87
3.91
432,172
0.51
2.98
41.4
10.90
6.23
453,864
0.51
3.42
83.8
10.50
3.24 (d)
2,856
0.76 (e)
10.17
0.67
1,837
0.76
2.37
21.9
10.45
4.75
916
0.76
2.31
19.1
10.34
(1.30)
931
0.76
2.33
45.3
10.88
3.70
1,143
0.76
2.73
41.4
10.90
5.90
1,215
0.76
3.17
83.8
10.87
6.15 (d)
237,371
0.51 (e)
3.77 (e)
6.6 (e)
10.24
(0.71)
254,751
0.51
3.62
12.6
10.78
5.55
275,597
0.51
3.95
16.6
10.68
0.40
269,330
0.51
4.22
12.8
11.22
9.57
292,756
0.51
4.78
14.7
10.71
6.25
239,939
0.50
5.36
17.8
10.81
5.98 (d)
3,218
0.76 (e)
3.51 (e)
6.6 (e)
10.20
(0.92)
2,445
0.76
3.38
12.6
10.73
5.26
3,036
0.76
3.71
16.6
10.63
0.10
3,390
0.76
3.97
12.8
11.17
9.28
3,875
0.76
4.55
14.7
10.66
6.05
4,360
0.75
5.11
17.8
2.93 (e)
27.3%(e)
27.3 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
See accompanying notes.
227
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net Realized
Net
Dividends
from
Investment and Unrealized Total From from Net
and
Realized
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
INTERNATIONAL EMERGING MARKETS ACCOUNT
Class 1 shares
$12.88
$0.10
$0.55
$0.65
$–
2015
15.21
0.17
(2.25)
(2.08)
(0.25)
–
(0.25)
2014
15.94
0.20
(0.78)
(0.58)
(0.15)
–
(0.15)
2013
17.14
0.19
(1.07)
(0.88)
(0.32)
–
(0.32)
2012
14.38
0.22
2.75
2.97
(0.21)
–
(0.21)
2011
17.51
0.23
(3.35)
(3.12)
(0.01)
–
(0.01)
2016(c)
$–
$–
Class 2 shares
2016(c)
12.86
0.10
0.54
2015(g)
16.74
0.08
(3.71)
(3.63)
0.64
–
(0.25)
–
–
–
(0.25)
LARGECAP GROWTH ACCOUNT
Class 1 shares
–
–
–
2016(c)
25.79
0.06
(1.53)
(1.47)
2015
24.60
0.06
1.17
1.23
(0.04)
–
(0.04)
2014
22.26
0.03
2.44
2.47
(0.13)
–
(0.13)
2013
16.87
0.07
5.61
5.68
(0.29)
–
(0.29)
2012
14.48
0.12
2.32
2.44
(0.05)
–
(0.05)
2011
15.12
0.05
(0.69)
(0.64)
–
–
–
2016(c)
25.69
0.03
(1.52)
(1.49)
–
–
–
2015
24.53
–
1.16
1.16
–
–
–
2014
22.20
(0.03)
2.44
2.41
(0.08)
–
(0.08)
2013
16.83
0.02
5.59
5.61
(0.24)
–
(0.24)
2012
14.43
0.08
2.32
2.40
–
–
–
2011
15.11
0.01
(0.69)
(0.68)
–
–
–
2016(c)
26.33
0.01
(0.83)
(0.82)
–
–
–
2015
28.70
0.02
2.26
2.28
(0.07)
(4.58)
(4.65)
2014
32.58
0.03
2.46
2.49
(0.04)
(6.33)
(6.37)
2013
24.77
0.04
8.75
8.79
(0.11)
(0.87)
(0.98)
2012
21.30
0.10
3.39
3.49
(0.02)
2011
21.37
0.02
(0.09)
(0.07)
–
–
–
2016(c)
26.29
(0.02)
(0.82)
(0.84)
–
–
–
2015(g)
30.30
(0.03)
0.67
0.64
Class 2 shares
LARGECAP GROWTH ACCOUNT I
Class 1 shares
–
(0.02)
Class 2 shares
See accompanying notes.
228
(0.07)
(4.58)
(4.65)
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Net Assets, End of Ratio of Expenses
Value, End
Period (in
to Average Net
Ratio of Net Investment
of Period Total Return(b)
thousands)
Assets
Income to Average Net Assets
1.39%(f)
1.59%(f)
Portfolio
Turnover
Rate
$13.53
5.05%(d),(e)
$87,175
12.88
(13.81)
85,434
1.37
1.18
136.1%(f)
97.3
15.21
(3.75)
103,091
1.38
1.28
106.9
15.94
(5.03)
113,305
1.39
1.19
118.2
17.14
20.80
152,545
1.34
1.40
97.4
14.38
(17.84)
143,811
1.40
1.37
86.8
13.50
4.98 (d),(e)
70
1.64 (f)
1.64 (f)
136.1 (f)
12.86
(21.81) (d)
41
1.62 (f)
0.90 (f)
97.3 (f)
24.32
(5.70) (d)
101,343
0.69 (f)
0.50 (f)
72.9 (f)
25.79
4.98
118,385
0.69
0.23
47.1
24.60
11.12
123,091
0.69
0.13
67.2
22.26
33.91
100,140
0.69
0.37
70.1
16.87
16.85
210,351
0.69
0.73
62.6
14.48
(4.23)
181,559
0.69
0.31
56.6
0.24 (f)
72.9 (f)
24.20
(5.80) (d)
1,117
0.94 (f)
25.69
4.73
1,090
0.94
(0.01)
47.1
24.53
10.85
661
0.94
(0.11)
67.2
22.20
33.64 (h)
712
0.94
0.10
70.1
16.83
16.56 (h)
604
0.94
0.47
62.6
14.43
(4.50)
561
0.94
0.05
56.6
25.51
(3.11) (d)
240,573
0.76 (f),(i)
0.10 (f)
36.9 (f)
26.33
7.77
252,386
0.76 (i)
0.07
38.6
28.70
8.61
239,629
0.76 (i)
0.11
38.9
32.58
36.14
260,034
0.75 (i)
0.12
36.9
24.77
16.38
240,585
0.76 (i)
0.42
36.9
21.30
(0.33)
228,749
0.76 (i)
0.07
46.1
25.45
(3.20) (d)
509
1.01 (f),(i)
(0.15) (f)
36.9 (f)
26.29
1.94 (d)
501
1.01 (f),(i)
(0.19) (f)
38.6 (f)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) During 2016, the Account experienced a significant one-time gain of approximately $0.07/share as the result of a settlement in a litigation proceeding. If such gain
had not been recognized, the total return amounts expressed herein would have been lower.
(f) Computed on an annualized basis.
(g) Period from May 1, 2015 date operations commenced, through December 31, 2015.
(h) Total return is calculated using the traded net asset value which may differ from the reported net asset value. The traded net asset value is the net asset value which a
shareholder would have paid or received from a subscription or redemption.
(i) Reflects Manager's contractual expense limit.
See accompanying notes.
229
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
LARGECAP S&P 500 INDEX ACCOUNT
Class 1 shares
2016(c)
$–
$–
$–
0.18
(0.22)
(0.18)
(0.40)
1.51
1.75
(0.18)
(0.32)
(0.50)
3.07
3.29
(0.15)
(0.10)
(0.25)
0.20
1.20
1.40
(0.11)
(0.01)
(0.12)
0.16
(0.01)
0.15
$14.41
$0.14
$0.39
$0.53
2015
14.63
0.27
(0.09)
2014
13.38
0.24
2013
10.34
0.22
2012
9.06
2011
8.91
–
–
–
Class 2 shares
2016(c)
14.39
0.12
0.39
2015(f)
15.07
0.17
(0.45)
0.51
(0.28)
–
(0.22)
–
(0.18)
–
(0.40)
LARGECAP S&P 500 MANAGED VOLATILITY INDEX ACCOUNT
Class 1 shares
2016(c)
11.27
0.09
0.26
0.35
–
2015
11.22
0.16
(0.07)
0.09
–
2014
10.46
0.14
1.09
1.23
(0.08)
2013(h)
10.00
0.03
0.45
0.48
(0.02)
–
–
(0.04)
(0.04)
(0.39)
(0.47)
–
(0.02)
LARGECAP VALUE ACCOUNT
Class 1 shares
0.32
–
–
–
2016(c)
29.19
0.30
0.02
2015
33.80
0.53
(0.80)
(0.27)
(0.53)
(3.81)
(4.34)
2014
36.13
0.51
3.19
3.70
(0.80)
(5.23)
(6.03)
2013
28.33
0.53
8.11
8.64
(0.84)
–
(0.84)
2012
24.20
0.56
3.92
4.48
(0.35)
–
(0.35)
2011
23.92
0.33
(0.05)
0.28
–
–
–
2016(c)
29.14
0.27
0.01
0.28
–
–
–
2015(f)
34.24
0.31
(1.07)
Class 2 shares
See accompanying notes.
230
(0.76)
(0.53)
(3.81)
(4.34)
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$14.94
3.68%(d)
$2,157,547
14.41
1.14
2,033,459
0.25%(e)
0.25
1.96%(e)
1.82
5.5%(e)
6.3
14.63
13.29
1,863,035
0.25
1.74
2.8
13.38
32.04
1,490,352
0.25
1.81
7.4
10.34
15.50
916,593
0.26
2.02
3.3
9.06
1.73
593,337
0.26
1.80
7.9
14.90
3.54 (d)
216
0.50 (e)
1.70 (e)
5.5 (e)
14.39
(1.95) (d)
161
0.50 (e)
1.78 (e)
6.3 (e)
1.62 (e)
7.2 (e)
11.62
3.11 (d)
183,298
0.46 (e),(g)
11.27
0.83
161,654
0.47 (g)
1.46
5.5
11.22
11.77
97,236
0.49 (g)
1.29
24.6
10.46
4.85 (d)
7,339
0.49 (e),(g)
1.82 (e)
74.7 (e)
29.51
1.10 (d)
138,238
0.61 (e)
2.15 (e)
94.4 (e)
29.19
(1.09)
153,060
0.61
1.66
81.3
33.80
11.17
170,673
0.61
1.45
104.3
36.13
30.83
167,702
0.61
1.64
140.8
28.33
18.58
222,357
0.61
2.09
115.0
24.20
1.17
199,660
0.61
1.37
113.9
29.42
0.96 (d)
25
0.86 (e)
1.89 (e)
94.4 (e)
29.14
(2.52) (d)
20
0.86 (e)
1.56 (e)
81.3 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Period from May 1, 2015 date operations commenced, through December 31, 2015.
(g) Reflects Manager's contractual expense limit.
(h) Period from October 31, 2013 date operations commenced, through December 31, 2013.
See accompanying notes.
231
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
MIDCAP ACCOUNT
Class 1 shares
2016(c)
$–
$–
$–
1.41
(0.32)
(6.64)
(6.96)
6.96
7.32
(0.32)
(5.58)
(5.90)
15.31
15.59
(0.82)
(2.60)
(3.42)
7.35
7.81
(0.40)
(0.72)
(1.12)
2.92
3.15
(0.47)
(0.47)
$55.24
$0.05
$2.31
$2.36
2015
60.79
0.22
1.19
2014
59.37
0.36
2013
47.20
0.28
2012
40.51
0.46
2011
37.83
0.23
2016(c)
54.97
(0.02)
2.30
2.28
2015
60.54
0.07
1.17
1.24
(0.17)
(6.64)
(6.81)
2014
59.16
0.21
6.93
7.14
(0.18)
(5.58)
(5.76)
2013
47.06
0.15
15.25
15.40
(0.70)
(2.60)
(3.30)
2012
40.39
0.35
7.33
7.68
(0.29)
(0.72)
(1.01)
2011
37.82
0.13
2.91
3.04
–
(0.47)
(0.47)
2016(c)
9.72
0.21
0.28
0.49
–
–
–
2015(g)
10.00
0.24
(0.52)
(0.28)
–
–
–
0.48
–
–
–
(0.29)
–
–
–
–
Class 2 shares
–
–
–
MULTI-ASSET INCOME ACCOUNT
Class 1 shares
Class 2 shares
2016(c)
9.71
0.20
0.28
2015(g)
10.00
0.23
(0.52)
See accompanying notes.
232
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$57.60
4.27%(d)
$599,827
55.24
1.64
617,437
0.54%(e)
0.53
0.19%(e)
0.37
26.3
60.79
12.99
676,836
0.53
0.60
21.6
59.37
33.93
649,893
0.53
0.52
12.4
47.20
19.44
560,842
0.55
1.03
21.5
40.51
8.29
531,255
0.55
0.57
28.9
(0.06) (e)
14.6%(e)
57.25
4.15 (d)
14,568
0.79 (e)
54.97
1.37
15,243
0.78
0.12
14.6 (e)
26.3
60.54
12.70
15,960
0.78
0.35
21.6
59.16
33.58
15,105
0.78
0.27
12.4
47.06
19.16
12,179
0.80
0.79
21.5
40.39
8.00
11,226
0.80
0.32
28.9
10.21
5.04 (d)
10
0.08 (e),(f)
4.40 (e)
0.0 (e)
9.72
(2.80) (d)
10
0.08 (e),(f)
5.67 (e)
0.0 (e)
10.19
4.94 (d)
10
0.33 (e),(f)
4.14 (e)
0.0 (e)
9.71
(2.90) (d)
10
0.33 (e),(f)
5.41 (e)
0.0 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Reflects Manager's contractual expense limit.
(g) Period from July 28, 2015 date operations commenced, through December 31, 2015.
See accompanying notes.
233
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
PRINCIPAL CAPITAL APPRECIATION ACCOUNT
Class 1 shares
2016(c)
$–
$–
$–
0.50
(0.06)
(0.40)
(0.46)
2.52
2.76
(0.81)
(4.09)
(4.90)
6.63
6.93
(1.86)
(4.37)
(6.23)
0.35
2.58
2.93
(0.26)
(0.28)
(0.54)
0.24
(0.21)
0.03
(0.14)
(0.14)
$22.35
$0.14
$0.44
$0.58
2015
22.31
0.30
0.20
2014
24.45
0.24
2013
23.75
0.30
2012
21.36
2011
21.47
–
Class 2 shares
–
–
–
2016(c)
22.14
0.11
0.44
0.55
2015
22.11
0.23
0.21
0.44
(0.01)
(0.40)
(0.41)
2014
24.27
0.18
2.50
2.68
(0.75)
(4.09)
(4.84)
2013
23.62
0.21
6.60
6.81
(1.79)
(4.37)
(6.16)
2012
21.23
0.29
2.58
2.87
(0.20)
(0.28)
(0.48)
2011
21.40
0.18
(0.21)
(0.03)
–
(0.14)
(0.14)
2016(c)
12.18
0.03
0.36
0.39
–
2015
12.60
0.25
(0.39)
(0.14)
(0.28)
–
(0.28)
2014
12.29
0.25
0.34
0.59
(0.28)
–
(0.28)
2013
11.36
0.27
0.94
1.21
(0.28)
–
(0.28)
2012
10.36
0.26
0.95
1.21
(0.21)
–
(0.21)
2011
10.49
0.19
(0.03)
0.16
(0.29)
–
(0.29)
PRINCIPAL LIFETIME 2010 ACCOUNT
Class 1 shares
–
–
PRINCIPAL LIFETIME 2020 ACCOUNT
Class 1 shares
0.34
–
–
–
2016(c)
12.64
0.03
0.31
2015
13.77
0.24
(0.37)
(0.13)
(0.36)
(0.64)
(1.00)
2014
13.62
0.33
0.44
0.77
(0.33)
(0.29)
(0.62)
2013
12.00
0.30
1.59
1.89
(0.27)
–
(0.27)
2012
10.64
0.26
1.30
1.56
(0.20)
–
(0.20)
2011
11.02
0.19
(0.29)
(0.10)
(0.28)
–
(0.28)
Class 2 shares
2016(c)
12.61
0.01
0.32
2015(h)
14.26
0.27
(0.92)
See accompanying notes.
234
0.33
(0.65)
–
(0.36)
–
(0.64)
–
(1.00)
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$22.93
2.60%(d)
$148,937
22.35
2.18
154,732
0.63%(e)
0.64
1.24%(e)
1.33
22.1 (f)
22.31
12.45
33,190
0.66
1.02
8.6
24.45
32.65
32,077
0.65
1.18
6.7
23.75
13.83
145,393
0.64
1.51
6.2
21.36
0.13
142,828
0.64
1.09
10.3
22.69
2.48 (d)
7,804
0.88 (e)
0.99 (e)
44.8 (e)
22.14
1.94
7,517
0.89
1.05
22.1 (f)
22.11
12.19
6,891
0.91
0.77
8.6
24.27
32.27
6,362
0.90
0.85
6.7
23.62
13.57
5,238
0.89
1.26
6.2
21.23
(0.15)
5,472
0.89
0.83
10.3
12.57
3.20 (d)
42,730
0.02 (e),(g)
12.18
(1.17)
41,132
0.04 (g)
2.00
24.6
12.60
4.81
47,312
0.04 (g)
2.02
41.3
12.29
10.81
48,775
0.04 (g)
2.25
36.5
11.36
11.79
47,361
0.06 (g)
2.39
28.3
10.36
1.44
47,435
0.04 (g)
1.79
24.3
12.98
2.69 (d)
190,993
0.01 (e),(g)
12.64
(1.13)
190,987
0.03 (g)
1.79
27.6
13.77
5.75
211,470
0.03 (g)
2.40
31.9
13.62
15.97
227,985
0.03 (g)
2.35
49.6
12.00
14.76
208,355
0.04 (g)
2.28
24.4
10.64
(1.07)
192,409
0.04 (g)
1.74
8.9
12.94
2.62 (d)
25
0.26 (e),(g)
0.21 (e)
17.9 (e)
12.61
(4.74) (d)
25
0.28 (e),(g)
3.11 (e)
27.6 (e)
0.49 (e)
0.45 (e)
44.8%(e)
32.5 (e)
17.9 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Portfolio turnover rate excludes approximately $1,237,000 of purchases from portfolio realignment from the acquisition of LargeCap Blend Account II.
(g) Does not include expenses of the investment companies in which the Account invests.
(h) Period from May 1, 2015 date operations commenced, through December 31, 2015.
See accompanying notes.
235
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
PRINCIPAL LIFETIME 2030 ACCOUNT
Class 1 shares
$11.45
$0.02
$0.21
$0.23
$–
$–
$–
2015
12.34
0.20
(0.30)
(0.10)
(0.32)
(0.47)
(0.79)
2014
14.05
0.36
0.45
0.81
(0.31)
(2.21)
(2.52)
2013
12.10
0.32
1.95
2.27
(0.25)
(0.07)
(0.32)
2012
10.64
0.25
1.40
1.65
(0.19)
–
(0.19)
2011
11.09
0.19
(0.42)
(0.23)
(0.22)
–
(0.22)
2016(c)
Class 2 shares
2016(c)
11.43
–
2015(g)
12.85
0.25
0.21
0.21
(0.88)
(0.63)
–
(0.32)
–
(0.47)
–
(0.79)
PRINCIPAL LIFETIME 2040 ACCOUNT
Class 1 shares
0.13
–
–
–
2016(c)
13.53
0.01
0.12
2015
14.50
0.22
(0.31)
(0.09)
(0.36)
(0.52)
(0.88)
2014
14.94
0.42
0.49
0.91
(0.31)
(1.04)
(1.35)
2013
12.39
0.35
2.41
2.76
(0.21)
–
(0.21)
2012
10.78
0.23
1.56
1.79
(0.18)
–
(0.18)
2011
11.31
0.19
(0.54)
(0.35)
(0.18)
–
(0.18)
2016(c)
13.51
(0.01)
2015(g)
15.14
0.18
Class 2 shares
0.12
(0.93)
0.11
(0.75)
–
(0.36)
–
(0.52)
–
(0.88)
PRINCIPAL LIFETIME 2050 ACCOUNT
Class 1 shares
0.08
–
–
–
2016(c)
13.07
0.01
0.07
2015
14.18
0.20
(0.26)
(0.06)
(0.38)
(0.67)
(1.05)
2014
14.96
0.40
0.50
0.90
(0.34)
(1.34)
(1.68)
2013
12.28
0.34
2.55
2.89
(0.21)
–
(0.21)
2012
10.64
0.24
1.57
1.81
(0.17)
–
(0.17)
2011
11.24
0.18
(0.61)
(0.43)
(0.17)
–
(0.17)
2016(c)
13.05
(0.01)
2015(g)
14.84
0.18
Class 2 shares
See accompanying notes.
0.07
(0.92)
236
0.06
(0.74)
–
(0.38)
–
(0.67)
–
(1.05)
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$11.68
2.01%(d)
$119,940
0.02%(e),(f)
11.45
(1.05)
116,691
0.04 (f)
0.32%(e)
1.67
23.4%(e)
31.3
12.34
6.06
116,965
0.04 (f)
2.67
23.9
14.05
18.96
108,794
0.04 (f)
2.43
58.6
12.10
15.58
92,672
0.05 (f)
2.20
18.5
10.64
(2.22)
79,646
0.04 (f)
1.70
13.2
11.64
1.84 (d)
42
0.27 (e),(f)
0.09 (e)
23.4 (e)
11.43
(5.14) (d)
26
0.29 (e),(f)
3.22 (e)
31.3 (e)
13.66
0.96 (d)
46,046
0.02 (e),(f)
0.16 (e)
35.7 (e)
13.53
(0.85)
45,261
0.04 (f)
1.52
24.2
14.50
6.21
42,304
0.05 (f)
2.83
21.1
14.94
22.42
36,934
0.05 (f)
2.55
67.2
12.39
16.71
25,647
0.08 (f)
1.98
30.1
10.78
(3.18)
22,110
0.05 (f)
1.67
13.7
13.62
0.81 (d)
21
0.27 (e),(f)
(0.09) (e)
35.7 (e)
13.51
(5.18) (d)
10
0.29 (e),(f)
1.97 (e)
24.2 (e)
13.15
0.61 (d)
23,037
0.03 (e),(f)
0.15 (e)
30.6 (e)
13.07
(0.69)
23,502
0.05 (f)
1.46
26.6
14.18
6.21
21,796
0.06 (f)
2.70
28.5
14.96
23.72
22,002
0.06 (f)
2.48
68.0
12.28
17.07
16,352
0.11 (f)
2.01
17.7
10.64
(3.94)
12,822
0.07 (f)
1.58
19.7
13.11
0.46 (d)
35
0.28 (e),(f)
(0.10) (e)
30.6 (e)
13.05
(5.25) (d)
35
0.30 (e),(f)
2.03 (e)
26.6 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Does not include expenses of the investment companies in which the Account invests.
(g) Period from May 1, 2015 date operations commenced, through December 31, 2015.
See accompanying notes.
237
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
PRINCIPAL LIFETIME 2060 ACCOUNT
Class 1 shares
2016(c)
$11.75
$–
$0.05
$0.05
$–
$–
$–
2015
12.19
0.20
(0.28)
(0.08)
(0.15)
(0.21)
(0.36)
2014
11.58
0.39
0.25
0.64
(0.01)
(0.02)
(0.03)
2013(h)
10.00
0.38
1.20
1.58
–
–
–
–
–
PRINCIPAL LIFETIME STRATEGIC INCOME ACCOUNT
Class 1 shares
0.43
–
2016(c)
11.15
0.03
0.40
2015
11.51
0.25
(0.35)
(0.10)
(0.26)
–
(0.26)
2014
11.29
0.23
0.29
0.52
(0.30)
–
(0.30)
2013
11.04
0.26
0.29
0.55
(0.30)
–
(0.30)
2012
10.25
0.30
0.68
0.98
(0.19)
–
(0.19)
2011
10.22
0.20
0.16
0.36
(0.33)
–
(0.33)
2016(c)
22.20
0.24
2.28
2.52
2015
22.33
0.34
0.57
0.91
(0.34)
2014
17.08
0.29
5.28
5.57
(0.32)
–
(0.32)
2013
16.63
0.35
0.33
0.68
(0.23)
–
(0.23)
2012
14.39
0.21
2.26
2.47
(0.23)
–
(0.23)
2011
13.21
0.10
1.08
1.18
–
–
–
2016(c)
22.29
0.21
2.28
2.49
–
–
–
2015
22.45
0.34
0.53
0.87
(0.33)
2014
17.18
0.27
5.27
5.54
(0.27)
–
(0.27)
2013
16.72
0.30
0.34
0.64
(0.18)
–
(0.18)
2012
14.46
0.17
2.26
2.43
(0.17)
–
(0.17)
2011
13.30
0.06
1.10
1.16
REAL ESTATE SECURITIES ACCOUNT
Class 1 shares
–
–
(0.70)
–
(1.04)
Class 2 shares
See accompanying notes.
238
–
(0.70)
–
(1.03)
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net
Assets
Ratio of Net Investment
Portfolio
Income to Average Net Assets Turnover Rate
$11.80
0.43%(d)
$2,487
0.11%(e),(f),(g)
11.75
(0.75)
2,097
0.13 (f),(g)
0.08%(e)
1.65
35.3%(e)
30.3
12.19
5.58
825
0.13 (f),(g)
3.28
43.2
11.58
15.80 (d)
28
0.13 (e),(f),(g)
5.31 (e)
79.4 (e)
11.58
3.86 (d)
25,532
0.03 (e),(g)
0.56 (e)
25.8 (e)
11.15
(0.95)
24,452
0.05 (g)
2.21
24.4
11.51
4.57
30,016
0.05 (g)
2.01
39.8
11.29
5.11
31,164
0.05 (g)
2.35
25.1
11.04
9.65
32,756
0.07 (g)
2.79
34.0
10.25
3.52
29,574
0.05 (g)
1.96
19.3
24.72
11.35 (d)
172,938
0.89 (e)
2.14 (e)
22.20
4.21
159,292
0.89
1.54
22.8
22.33
32.82
166,701
0.89
1.48
15.7
17.08
4.10
128,601
0.89
1.96
22.1
16.63
17.17
133,069
0.90
1.33
44.1
14.39
8.93
140,316
0.90
0.71
22.4
24.78
11.17 (d)
2,190
1.14 (e)
22.29
4.00
1,994
1.14
1.56
22.8
22.45
32.44
492
1.14
1.37
15.7
17.18
3.87
271
1.14
1.72
22.1
16.72
16.86
257
1.15
1.08
44.1
14.46
8.72
287
1.15
0.42
22.4
1.92 (e)
37.0 (e)
37.0 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Reflects Manager's contractual expense limit.
(g) Does not include expenses of the investment companies in which the Account invests.
(h) Period from May 1, 2013 date operations commenced, through December 31, 2013.
See accompanying notes.
239
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
SAM BALANCED PORTFOLIO
Class 1 shares
$14.69
$0.02
$0.42
$0.44
$–
$–
$–
2015
16.51
0.30
(0.38)
(0.08)
(0.49)
(1.25)
(1.74)
2014
18.53
0.47
0.73
1.20
(0.52)
(2.70)
(3.22)
2013
16.33
0.47
2.37
2.84
(0.43)
(0.21)
(0.64)
2012
14.76
0.41
1.46
1.87
(0.11)
(0.19)
(0.30)
2011
15.02
0.10
0.06
0.16
(0.42)
2016(c)
–
(0.42)
Class 2 shares
2016(c)
14.55
–
0.42
0.42
2015
16.37
0.26
(0.38)
(0.12)
(0.45)
–
(1.25)
–
(1.70)
2014
18.39
0.43
0.73
1.16
(0.48)
(2.70)
(3.18)
2013
16.22
0.41
2.35
2.76
(0.38)
(0.21)
(0.59)
2012
14.66
0.36
1.46
1.82
(0.07)
(0.19)
(0.26)
2011
14.92
0.06
0.06
0.12
(0.38)
2016(c)
11.52
0.03
0.38
0.41
2015
12.60
0.29
(0.36)
(0.07)
(0.41)
(0.60)
(1.01)
2014
13.39
0.41
0.40
0.81
(0.42)
(1.18)
(1.60)
2013
12.49
0.40
1.00
1.40
(0.37)
(0.13)
(0.50)
2012
11.47
0.37
0.90
1.27
(0.10)
(0.15)
(0.25)
2011
11.68
0.10
0.17
0.27
(0.37)
(0.11)
(0.48)
2016(c)
11.41
0.01
0.38
0.39
2015
12.48
0.27
(0.36)
(0.09)
(0.38)
(0.60)
(0.98)
2014
13.28
0.38
0.38
0.76
(0.38)
(1.18)
(1.56)
2013
12.39
0.36
1.00
1.36
(0.34)
(0.13)
(0.47)
2012
11.38
0.33
0.90
1.23
(0.07)
(0.15)
(0.22)
2011
11.60
0.07
0.17
0.24
(0.35)
(0.11)
(0.46)
–
–
(0.38)
SAM CONSERVATIVE BALANCED PORTFOLIO
Class 1 shares
–
–
–
Class 2 shares
See accompanying notes.
240
–
–
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$15.13
3.00%(d)
$702,457
0.23%(e),(f)
14.69
(0.81)
732,937
0.23 (f)
1.88
0.26%(e)
26.1
16.51
6.82
826,908
0.23 (f)
2.64
16.4
18.53
17.68
913,823
0.23 (f)
2.68
46.7
16.33
12.75
812,380
0.23 (f)
2.60
9.1
14.76
0.99
781,873
0.23 (f)
0.68
14.2
0.01 (e)
20.5%(e)
14.97
2.89 (d)
97,278
0.48 (e),(f)
14.55
(1.08)
96,511
0.48 (f)
1.66
26.1
16.37
6.59
99,852
0.48 (f)
2.44
16.4
18.39
17.32
102,716
0.48 (f)
2.37
46.7
16.22
12.47
95,208
0.48 (f)
2.32
9.1
14.66
0.73
94,487
0.48 (f)
0.43
14.2
11.93
3.56 (d)
191,081
0.23 (e),(f)
11.52
(0.78)
193,585
0.23 (f)
2.38
28.2
12.60
6.22
206,621
0.23 (f)
3.10
21.2
13.39
11.53
212,247
0.23 (f)
3.10
35.6
12.49
11.19
190,310
0.24 (f)
3.07
15.7
11.47
2.29
177,476
0.24 (f)
0.86
20.8
11.80
3.42 (d)
17,717
0.48 (e),(f)
11.41
(0.93)
17,774
0.48 (f)
2.19
28.2
12.48
5.92
16,731
0.48 (f)
2.87
21.2
13.28
11.25
16,140
0.48 (f)
2.77
35.6
12.39
10.91
15,911
0.49 (f)
2.73
15.7
11.38
1.97
15,465
0.49 (f)
0.60
20.8
0.51 (e)
0.26 (e)
20.5 (e)
26.0 (e)
26.0 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Does not include expenses of the investment companies in which the Portfolio invests.
See accompanying notes.
241
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
SAM CONSERVATIVE GROWTH PORTFOLIO
Class 1 shares
2016(c)
$17.22
$–
$0.39
$0.39
$–
$–
$–
(1.65)
2015
19.02
0.26
(0.41)
(0.15)
(0.43)
(1.22)
2014
20.60
0.48
0.97
1.45
(0.39)
(2.64)
2013
17.04
0.40
3.50
3.90
(0.34)
–
(0.34)
2012
14.99
0.33
1.79
2.12
(0.07)
–
(0.07)
2011
15.36
0.07
(0.13)
(0.06)
(0.31)
–
(0.31)
2016(c)
17.02
(0.02)
0.39
0.37
2015
18.82
0.21
(0.40)
(0.19)
(0.39)
(1.22)
2014
20.42
0.42
0.97
1.39
(0.35)
(2.64)
2013
16.89
0.34
3.49
3.83
(0.30)
–
(0.30)
2012
14.87
0.28
1.77
2.05
(0.03)
–
(0.03)
2011
15.23
0.03
(0.11)
(0.08)
(0.28)
–
(0.28)
2016(c)
12.27
0.06
0.54
0.60
2015
13.22
0.40
(0.56)
(0.16)
(0.47)
(0.32)
(0.79)
2014
13.72
0.49
0.33
0.82
(0.52)
(0.80)
(1.32)
2013
13.38
0.49
0.51
1.00
(0.48)
(0.18)
(0.66)
2012
12.42
0.48
0.83
1.31
(0.15)
(0.20)
(0.35)
2011
12.50
0.15
0.28
0.43
(0.49)
(0.02)
(0.51)
2016(c)
12.17
0.04
0.54
0.58
2015
13.12
0.37
(0.56)
(0.19)
(0.44)
(0.32)
(0.76)
2014
13.62
0.45
0.33
0.78
(0.48)
(0.80)
(1.28)
2013
13.29
0.46
0.50
0.96
(0.45)
(0.18)
(0.63)
2012
12.34
0.44
0.83
1.27
(0.12)
(0.20)
(0.32)
2011
12.42
0.12
0.28
0.40
(0.46)
(0.02)
(0.48)
(3.03)
Class 2 shares
–
–
–
(1.61)
(2.99)
SAM FLEXIBLE INCOME PORTFOLIO
Class 1 shares
–
–
–
Class 2 shares
See accompanying notes.
242
–
–
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$17.61
2.26%(d)
$190,635
0.23%(e),(f)
17.22
(1.09)
193,966
0.23 (f)
(0.01)%(e)
1.40
29.1
19.02
7.43
198,465
0.23 (f)
2.40
19.4
20.60
23.07
179,850
0.23 (f)
2.10
48.5
17.04
14.18
143,547
0.24 (f)
2.00
12.5
14.99
(0.45)
132,387
0.24 (f)
0.45
24.2
17.39
2.17 (d)
105,047
0.48 (e),(f)
17.02
(1.34)
103,771
0.48 (f)
1.17
29.1
18.82
7.14
102,757
0.48 (f)
2.11
19.4
20.42
22.82
99,013
0.48 (f)
1.82
48.5
16.89
13.81
84,306
0.49 (f)
1.76
12.5
14.87
(0.63)
78,247
0.49 (f)
0.20
24.2
12.87
4.89 (d)
196,851
0.23 (e),(f)
12.27
(1.31)
200,828
0.23 (f)
3.05
25.2
13.22
6.03
215,309
0.23 (f)
3.55
18.8
13.72
7.75
214,572
0.23 (f)
3.57
29.7
13.38
10.64
215,628
0.24 (f)
3.69
11.7
12.42
3.39
187,458
0.24 (f)
1.22
20.6
12.75
4.77 (d)
20,754
0.48 (e),(f)
12.17
(1.55)
21,108
0.48 (f)
2.85
25.2
13.12
5.80
19,836
0.48 (f)
3.27
18.8
13.62
7.46
19,464
0.48 (f)
3.36
29.7
13.29
10.34
19,667
0.49 (f)
3.41
11.7
12.34
3.13
18,382
0.49 (f)
0.96
20.6
(0.26) (e)
0.95 (e)
0.69 (e)
30.3%(e)
30.3 (e)
18.8 (e)
18.8 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Does not include expenses of the investment companies in which the Portfolio invests.
See accompanying notes.
243
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income
Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
SAM STRATEGIC GROWTH PORTFOLIO
Class 1 shares
$0.29
$0.28
$–
$–
$–
0.29
(0.56)
(0.27)
(0.47)
(1.56)
(2.03)
23.55
0.56
1.33
1.89
(0.38)
(4.06)
(4.44)
18.74
0.40
4.70
5.10
(0.29)
–
(0.29)
2012
16.26
0.29
2.23
2.52
(0.04)
–
(0.04)
2011
16.82
0.04
(0.34)
(0.30)
(0.26)
–
(0.26)
2016(c)
18.50
(0.03)
2015
20.80
0.24
(0.55)
(0.31)
(0.43)
(1.56)
(1.99)
2014
23.38
0.49
1.32
1.81
(0.33)
(4.06)
(4.39)
2013
18.61
0.33
4.68
5.01
(0.24)
2012
16.15
0.24
2.22
2.46
2011
16.71
–
(0.34)
(0.34)
2016(c)
$18.70
($0.01)
2015
21.00
2014
2013
Class 2 shares
0.29
0.26
–
–
(0.22)
–
–
–
–
–
(0.24)
–
(0.22)
SHORT-TERM INCOME ACCOUNT
Class 1 shares
–
–
–
2016(c)
2.54
0.02
0.03
0.05
2015
2.59
0.04
(0.02)
0.02
(0.07)
–
(0.07)
2014
2.59
0.05
(0.01)
0.04
(0.04)
–
(0.04)
2013
2.61
0.04
(0.01)
0.03
(0.05)
–
(0.05)
2012
2.54
0.05
0.08
0.13
(0.06)
–
(0.06)
2011
2.51
0.06
(0.03)
0.03
–
–
–
2016(c)
2.53
0.02
0.03
0.05
–
–
–
2015
2.58
0.04
(0.02)
0.02
(0.07)
–
(0.07)
2014
2.59
0.04
(0.01)
0.03
(0.04)
–
(0.04)
2013
2.60
0.04
(0.01)
0.03
(0.04)
–
(0.04)
2012
2.53
0.04
0.08
0.12
(0.05)
–
(0.05)
2011
2.51
0.05
(0.03)
0.02
Class 2 shares
See accompanying notes.
244
–
–
–
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$18.98
1.50%(d)
$140,323
0.23%(e),(f)
18.70
(1.62)
142,227
0.23 (f)
(0.08)%(e)
1.45
37.9
21.00
8.68
138,863
0.23 (f)
2.50
20.4
23.55
27.40
121,049
0.23 (f)
1.89
62.5
18.74
15.52
90,348
0.24 (f)
1.61
13.9
16.26
(1.90)
83,738
0.24 (f)
0.25
23.3
(0.33) (e)
31.4%(e)
18.76
1.41 (d)
97,902
0.48 (e),(f)
18.50
(1.87)
95,775
0.48 (f)
1.19
37.9
20.80
8.35
96,446
0.48 (f)
2.21
20.4
23.38
27.09
87,689
0.48 (f)
1.57
62.5
18.61
15.23
71,997
0.49 (f)
1.36
13.9
16.15
(2.12)
64,907
0.49 (f)
(0.01)
23.3
2.59
1.97 (d)
165,705
0.50 (e),(g)
2.54
0.71
160,833
0.49 (g)
1.63
57.0
2.59
1.73
267,674
0.49 (g)
1.74
54.3
2.59
1.14
256,561
0.48 (g)
1.65
54.7
2.61
5.00
262,427
0.49 (g)
1.95
59.1
2.54
1.37
228,351
0.49 (g)
2.35
55.1
2.58
1.98 (d)
2,443
0.75 (e),(g)
2.53
0.59
1,485
0.74 (g)
1.39
57.0
2.58
1.02
913
0.74 (g)
1.49
54.3
2.59
1.25
838
0.73 (g)
1.40
54.7
2.60
4.67
1,269
0.74 (g)
1.72
59.1
2.53
0.95
1,516
0.74 (g)
2.11
55.1
1.92 (e)
1.67 (e)
31.4 (e)
49.6 (e)
49.6 (e)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Six months ended June 30, 2016.
(d) Total return amounts have not been annualized.
(e) Computed on an annualized basis.
(f) Does not include expenses of the investment companies in which the Portfolio invests.
(g) Reflects Manager's contractual expense limit.
See accompanying notes.
245
FINANCIAL HIGHLIGHTS
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended December 31 (except as noted):
Net Asset
Value,
Beginning of
Period
Total
Dividends Distributions
Net
Net Realized
Dividends
from
Investment and Unrealized Total From from Net
Realized
and
Income Gain (Loss) on Investment Investment
Gains
Distributions
Income
Operations
Investments
(Loss)(a)
SMALLCAP ACCOUNT(c)
Class 1 shares
2016(d)
$–
$–
$–
0.02
(0.01)
(0.45)
(0.46)
0.64
0.66
(0.05)
(0.41)
(0.46)
4.43
4.47
(0.04)
1.13
1.20
(0.11)
(0.12)
$13.55
$0.09
$0.12
$0.21
2015
13.99
0.05
(0.03)
2014
13.79
0.02
2013
9.36
0.04
2012
8.16
0.07
2011
8.31
(0.01)
2016(d)
13.52
0.07
0.13
0.20
2015(g)
14.49
0.02
(0.53)
(0.51)
–
(0.03)
–
–
–
(0.04)
–
(0.03)
Class 2 shares
See accompanying notes.
246
–
(0.01)
–
(0.45)
–
(0.46)
FINANCIAL HIGHLIGHTS (Continued)
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
(unaudited)
Net Asset
Value, End
of Period
Total
Return(b)
Net Assets, End of
Period (in
thousands)
Ratio of Expenses
to Average Net Ratio of Net Investment Income
Portfolio
Assets
to Average Net Assets
Turnover Rate
$13.76
1.55%(e)
$192,392
13.55
(0.10)
205,344
0.83%(f)
0.83
1.36%(f)
0.33
63.1%(f)
63.3
13.99
4.89
64,682
0.87
0.16
67.0
13.79
47.81
64,785
0.87
0.38
78.1
9.36
14.71
47,469
0.89
0.76
94.5
8.16
(1.47)
47,155
0.88
(0.09)
69.1
13.72
1.48 (e)
4,705
1.08 (f)
1.08 (f)
63.1 (f)
13.52
(3.76) (e)
4,523
1.08 (f)
0.13 (f)
63.3 (f)
(a) Calculated based on average shares outstanding during the period.
(b) Total return does not reflect charges attributable to separate accounts. Inclusion of these charges would reduce the amounts shown.
(c) Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
(d) Six months ended June 30, 2016.
(e) Total return amounts have not been annualized.
(f) Computed on an annualized basis.
(g) Period from February 17, 2015 date operations commenced, through December 31, 2015.
See accompanying notes.
247
SHAREHOLDER EXPENSE EXAMPLE
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
As a shareholder of Principal Variable Contracts Funds, Inc. you incur ongoing costs, including management fees; distribution fees;
and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Principal
Variable Contracts Funds, Inc. and to compare these costs with the ongoing costs of investing in other mutual funds. As a shareholder
of Diversified Balanced Account, Diversified Balanced Managed Volatility Account, Diversified Growth Account, Diversified
Growth Managed Volatility Account, Diversified Income Account, Multi-Asset Income Account, Principal LifeTime 2010 Account,
Principal LifeTime 2020 Account, Principal LifeTime 2030 Account, Principal LifeTime 2040 Account, Principal LifeTime 2050
Account, Principal LifeTime 2060 Account, Principal LifeTime Strategic Income Account, SAM Balanced Portfolio, SAM
Conservative Balanced Portfolio, SAM Conservative Growth Portfolio, SAM Flexible Income Portfolio, or SAM Strategic Growth
Portfolio, your fund will indirectly bear its pro rata share of the expenses incurred by the investment companies in which the fund
invests. These expenses are not included in the fund’s annualized expense ratio used to calculate the expenses paid in this example. If
they were, the expenses paid would be higher. Expenses shown below and on the following pages do not account for fees, expenses
and charges of any variable insurance contract or retirement plan. If these fees had been reflected, expenses would have been higher.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the period (January 1, 2016 to
June 30, 2016).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate the 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 Period” to estimate the expenses you paid on your
account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on
each account’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the account’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 Principal Variable
Contracts Funds, Inc. and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line of the table
is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning
Account Value
January 1, 2016
Balanced Account Class 1
Actual
Hypothetical
Ending
Account Value
June 30, 2016
Expenses Paid
During Period
January 1, 2016
to June 30, 2016(a)
Annualized
Expense Ratio
$1,000.00
1,000.00
$1,023.16
1,021.58
$3.32
3.32
Bond Market Index Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,051.96
1,023.62
1.28
1.26
0.25
0.25
Core Plus Bond Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,056.11
1,022.58
2.35
2.31
0.46
0.46
Core Plus Bond Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,055.30
1,021.33
3.63
3.57
0.71
0.71
Diversified Balanced Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,041.81
1,023.37
1.52
1.51
0.30
0.30
Diversified Balanced Managed Volatility Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,040.11
1,023.32
1.57
1.56
0.31
0.31
Diversified Growth Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,037.80
1,023.37
1.52
1.51
0.30
0.30
248
0.66%
0.66
SHAREHOLDER EXPENSE EXAMPLE
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Beginning
Account Value
January 1, 2016
Diversified Growth Managed Volatility Account Class 2
Actual
Hypothetical
Ending
Account Value
June 30, 2016
Expenses Paid
During Period
January 1, 2016
to June 30, 2016(a)
Annualized
Expense Ratio
$1,000.00
1,000.00
$1,035.22
1,023.37
$1.52
1.51
Diversified Income Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,045.49
1,023.37
1.53
1.51
0.30
0.30
Diversified International Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
975.88
1,020.44
4.37
4.47
0.89
0.89
Diversified International Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
975.33
1,019.19
5.60
5.72
1.14
1.14
Equity Income Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,076.14
1,022.38
2.58
2.51
0.50
0.50
Equity Income Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,074.81
1,021.13
3.87
3.77
0.75
0.75
Government & High Quality Bond Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,034.45
1,022.33
2.58
2.56
0.51
0.51
Government & High Quality Bond Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,032.45
1,021.08
3.84
3.82
0.76
0.76
Income Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,061.52
1,022.33
2.61
2.56
0.51
0.51
Income Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,059.80
1,021.08
3.89
3.82
0.76
0.76
International Emerging Markets Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,050.47
1,017.95
7.09
6.97
1.39
1.39
International Emerging Markets Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,049.77
1,016.71
8.36
8.22
1.64
1.64
LargeCap Growth Account I Class 1
Actual
Hypothetical
1,000.00
1,000.00
968.86
1,021.08
3.72
3.82
0.76
0.76
LargeCap Growth Account I Class 2
Actual
Hypothetical
1,000.00
1,000.00
968.05
1,019.84
4.94
5.07
1.01
1.01
LargeCap Growth Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
943.00
1,021.43
3.33
3.47
0.69
0.69
LargeCap Growth Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
942.00
1,020.19
4.54
4.72
0.94
0.94
LargeCap S&P 500 Index Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,036.78
1,023.62
1.27
1.26
0.25
0.25
249
0.30%
0.30
SHAREHOLDER EXPENSE EXAMPLE
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Beginning
Account Value
January 1, 2016
LargeCap S&P 500 Index Account Class 2
Actual
Hypothetical
Ending
Account Value
June 30, 2016
Expenses Paid
During Period
January 1, 2016
to June 30, 2016(a)
Annualized
Expense Ratio
$1,000.00
1,000.00
$1,035.44
1,022.38
$2.53
2.51
LargeCap S&P 500 Managed Volatility Index
Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,031.06
1,022.58
2.32
2.31
0.46
0.46
LargeCap Value Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,010.96
1,021.83
3.05
3.07
0.61
0.61
LargeCap Value Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,009.61
1,020.59
4.30
4.32
0.86
0.86
MidCap Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,042.72
1,022.18
2.74
2.72
0.54
0.54
MidCap Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,041.48
1,020.93
4.01
3.97
0.79
0.79
Multi-Asset Income Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,050.41
1,024.47
0.41
0.40
0.08
0.08
Multi-Asset Income Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,049.43
1,023.22
1.68
1.66
0.33
0.33
Principal Capital Appreciation Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,025.95
1,021.73
3.17
3.17
0.63
0.63
Principal Capital Appreciation Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,024.84
1,020.49
4.43
4.42
0.88
0.88
Principal LifeTime 2010 Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,032.02
1,024.76
0.10
0.10
0.02
0.02
Principal LifeTime 2020 Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,026.90
1,024.81
0.05
0.05
0.01
0.01
Principal LifeTime 2020 Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,026.17
1,023.57
1.31
1.31
0.26
0.26
Principal LifeTime 2030 Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,020.09
1,024.76
0.10
0.10
0.02
0.02
Principal LifeTime 2030 Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,018.37
1,023.52
1.35
1.36
0.27
0.27
Principal LifeTime 2040 Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,009.61
1,024.76
0.10
0.10
0.02
0.02
Principal LifeTime 2040 Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,008.14
1,023.52
1.35
1.36
0.27
0.27
250
0.50%
0.50
SHAREHOLDER EXPENSE EXAMPLE
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Beginning
Account Value
January 1, 2016
Ending
Account Value
June 30, 2016
Expenses Paid
During Period
January 1, 2016
to June 30, 2016(a)
Annualized
Expense Ratio
Principal LifeTime 2050 Account Class 1
Actual
Hypothetical
$1,000.00
1,000.00
$1,006.12
1,024.71
$0.15
0.15
Principal LifeTime 2050 Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,004.60
1,023.47
1.40
1.41
0.28
0.28
Principal LifeTime 2060 Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,004.26
1,024.32
0.55
0.55
0.11
0.11
Principal LifeTime Strategic Income Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,038.57
1,024.71
0.15
0.15
0.03
0.03
Real Estate Securities Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,113.51
1,020.44
4.68
4.47
0.89
0.89
Real Estate Securities Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,111.71
1,019.19
5.99
5.72
1.14
1.14
SAM Balanced Portfolio Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,029.95
1,023.72
1.16
1.16
0.23
0.23
SAM Balanced Portfolio Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,028.87
1,022.48
2.42
2.41
0.48
0.48
SAM Conservative Balanced Portfolio Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,035.59
1,023.72
1.16
1.16
0.23
0.23
SAM Conservative Balanced Portfolio Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,034.18
1,022.48
2.43
2.41
0.48
0.48
SAM Conservative Growth Portfolio Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,022.65
1,023.72
1.16
1.16
0.23
0.23
SAM Conservative Growth Portfolio Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,021.74
1,022.48
2.41
2.41
0.48
0.48
SAM Flexible Income Portfolio Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,048.90
1,023.72
1.17
1.16
0.23
0.23
SAM Flexible Income Portfolio Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,047.66
1,022.48
2.44
2.41
0.48
0.48
SAM Strategic Growth Portfolio Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,014.97
1,023.72
1.15
1.16
0.23
0.23
SAM Strategic Growth Portfolio Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,014.05
1,022.48
2.40
2.41
0.48
0.48
Short-Term Income Account Class 1
Actual
Hypothetical
1,000.00
1,000.00
1,019.69
1,022.38
2.51
2.51
0.50
0.50
Short-Term Income Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,019.76
1,021.13
3.77
3.77
0.75
0.75
251
0.03%
0.03
SHAREHOLDER EXPENSE EXAMPLE
PRINCIPAL VARIABLE CONTRACTS FUNDS, INC.
June 30, 2016 (unaudited)
Beginning
Account Value
January 1, 2016
Ending
Account Value
June 30, 2016
Expenses Paid
During Period
January 1, 2016
to June 30, 2016(a)
SmallCap Account Class 1
Actual
Hypothetical
$1,000.00
1,000.00
$1,015.50
1,020.74
$4.16
4.17
SmallCap Account Class 2
Actual
Hypothetical
1,000.00
1,000.00
1,014.79
1,019.49
5.41
5.42
(a)
Annualized
Expense Ratio
0.83%
0.83
1.08
1.08
Expenses are equal to a fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year
period).
252
FUND DIRECTORS AND OFFICERS
Under Maryland law, a Board of Directors oversees the Fund. The Directors have financial or other relevant experience and meet
several times during the year to review contracts, Fund activities and the quality of services provided to the Fund. Each director also
has the same position with Principal Funds, Inc. and Principal Exchange-Traded Funds which are also sponsored by Principal Life
Insurance Company. Each director holds office for an indefinite term or until reaching age 72. Directors considered to be “interested
persons” as defined in the Investment Company Act of 1940, as shown below are considered to be interested because of an affiliation
with the Manager and Principal Life Insurance Company.
The following directors are considered not to be “interested persons” as defined in the 1940 Act
Name,
Position Held with the Fund,
Year of Birth
Elizabeth Ballantine
Director since 2004
Member, Nominating and Governance
Committee
1948
Leroy T. Barnes, Jr.
Director since March 2012
Member, Audit Committee
1951
Craig Damos
Director since 2008
Member, Audit Committee
Member, 15(c) Committee
1954
Principal Occupation(s)
During past 5 years
Principal, EBA Associates
Retired.
President, The Damos Company
Number of Portfolios
in Fund Complex
Overseen by Director
123
Other
Directorships
Held by Director
During Past 5 Years
Durango Herald, Inc;
McClatchy
Newspapers, Inc.
123
McClatchy
Newspapers, Inc.;
Herbalife Ltd.; Frontier
Communications, Inc.
123
Hardin Construction
Company
Mark A. Grimmett
Director since 2004
Member, Nominating and Governance
Committee
Member, 15(c) Committee
Member, Executive Committee
1960
Formerly, Executive Vice
President and CFO, Merle
Norman Cosmetics, Inc.
123
None
Fritz S. Hirsch
Director since 2005
Member, Operations Committee
Member, 15(c) Committee
1951
CEO, MAM USA
123
Focus Products Group
Tao Huang
Director since March 2012
Member, Operations Committee
Member, 15(c) Committee
1962
Formerly, Chief Operating
Officer, Morningstar, Inc.
123
Armstrong World
Industries, Inc.
Drew E. Lawton
Director since March 2016
Member, Nominating and Governance
Committee
1959
Formerly, Senior Managing
Director and CEO, New York
Life Investment Management
(New York Life Insurance
Company)
123
None
Karen (“Karrie”) McMillan
Director since 2014
Member, Operations Committee
1961
Managing Director, Patomak
Global Partners, LLC.
Formerly, General Counsel,
Investment Company Institute
123
None
Elizabeth A. Nickels
Director since September 2015
Member, Audit Committee
1962
Formerly, Executive Director,
Herman Miller Foundation;
Formerly President, Herman
Miller Healthcare
123
Charlotte Russe; Follet
Corporation; Herman
Miller, Inc.; PetSmart;
SpartanNash; Spectrum
Health Systems
253
Name,
Position Held with the Fund,
Year of Birth
Daniel Pavelich
Director since 2007
Member, Audit Committee
1944
Principal Occupation(s)
During past 5 years
Retired.
Number of Portfolios
in Fund Complex
Overseen by Director
123
Other
Directorships
Held by Director
During Past 5 Years
None
The following directors are considered to be “interested persons” as defined in the 1940 Act, because of an affiliation with
the Manager and Principal Life.
Other
Directorships
Number of
Held by
Portfolios in
Director
Fund Complex
Name,
During Past 5
Overseen
Principal Occupation(s)
Position Held with the Fund,
by Director
Years
During past 5 years
Year of Birth
Michael J. Beer
Chief Executive Officer, Principal Funds
123
None
Director since 2012
Distributor, Inc. (“PFD”) since 2015
President, Chief Executive Officer
Director, PFD since 2015
Member, Executive Committee
Vice President/Mutual Funds and Broker
1961
Dealer, Principal Life Insurance
Company (“PLIC”) (2001-2014)
Vice President/Chief Operating Officer,
Principal Funds, PLIC (2014-2015)
Executive Director, Principal Funds &
Trust, PLIC since 2015
Director, Principal Management
Corporation, (the “Manager”) (2006-2015)
President & Chief Executive Officer,
the Manager since 2015
Executive Vice President/Chief Operating
Officer, the Manager (2008-2015)
Chair, the Manager since 2015
Director, Principal Securities, Inc. (“PSI”) (20052015)
President, PSI (2005-2015)
Director, Principal Shareholder
Services (“PSS”) (2007-2015)
Chairman, PSS since 2015
President, PSS (2007-2015)
Executive Vice President, PSS since 2015
Nora M. Everett
Director since 2008
Chair
Member, Executive Committee
1959
Director, Edge Asset Management,
Inc. (“Edge”) (2008-2011)
Director, Finisterre Capital LLP since 2011
Director, Origin Asset Management
LLP since 2011
Chairman, Principal Financial
Advisors, Inc. (“PFA”) (2010-2015)
Chairman, PFD (2011-2015)
Director, PFD (2008-2011)
Senior Vice President/Retirement and
Investor Services, PLIC (2008-2015)
President/Retirement and Investor
Services, PLIC since 2015
Chairman, the Manager (2011-2015)
President, the Manager (2008-2015)
Director, the Manager (2008-2011)
Director, PSI (2008-2011, and since 2015)
Chairman, PSI (2011-2015)
Chief Executive Officer, PSI (2009-2015)
Chairman, PSS (2011-2015)
Director, PSS (2008-2011)
123
None
Correspondence intended for each Director who is other than an Interested Director may be sent to 655 9th Street, Des Moines, IA
50392.
254
The following table presents officers of the Funds.
Name, Position Held with the Fund,
Address, and Year of Birth
Randy L. Bergstrom
Assistant Tax Counsel
Des Moines, IA 50392
1955
Principal Occupation(s)
During past 5 years
Counsel, Principal Global Investors, LLC (“PGI”)
Counsel, PLIC
Jennifer A. Block
Assistant Counsel and Assistant
Secretary
Des Moines, IA 50392
1973
Counsel, PFD (2009-2013)
Counsel, PLIC
Counsel, the Manager (2009-2013, 2014 - present)
Counsel, PSI (2009-2013)
Counsel, PSS (2009-2013)
Tracy Bollin
Chief Financial Officer
Des Moines, IA 50392
1970
Chief Financial Officer, PFA (2010-2015)
Senior Vice President, PFD since 2015
Chief Financial Officer, PFD since 2010
Senior Vice President, the Manager since 2015
Chief Financial Officer, the Manager (2010-2015)
Director, the Manager since 2015
Chief Financial Officer, PSI (2010-2015)
Director, PSS since 2015
President, PSS since 2015
Chief Financial Officer, PSS (2010-2015)
David J. Brown
Chief Compliance Officer
Des Moines, IA 50392
1960
Senior Vice President, PFD
Chief Compliance Officer-Funds, PLIC since 2016
Vice President/Compliance, PLIC
Senior Vice President, the Manager
Senior Vice President, PSI
Senior Vice President, PSS
Gina L. Graham
Treasurer
Des Moines, IA 50392
1965
Vice President/Treasurer, PFA since 2016
Vice President/Treasurer, PFD since 2016
Vice President/Treasurer, PGI since 2016
Vice President/Treasurer, PLIC since 2016
Vice President/Treasurer, the Manager since 2016
Vice President/Treasurer, Principal Real Estate Investors, LLC since 2016
Vice President/Treasurer, PSI since 2016
Vice President/Treasurer, PSS since 2016
Counsel, PGI
Counsel, PLIC
Carolyn F. Kolks
Assistant Tax Counsel
Des Moines, IA 50392
1962
Layne A. Rasmussen
Vice President and Controller
Des Moines, IA 50392
1958
Vice President/Controller – Principal Funds, the Manager
Greg Reymann
Assistant Counsel
Des Moines, IA 50392
1958
Assistant General Counsel, PLIC since 2014
Assistant General Counsel, the Manager since 2015
VP, Chief Compliance Officer and Chief Risk Officer, Transamerica Asset
Management, Inc. (“TAM”) (2010-2012)
Assistant General Counsel, Transamerica Asset Management Group
(2013-2014)
Vice President/CFTC Principal, TAM (2013-2014)
255
Name, Position Held with the Fund,
Address, and Year of Birth
Teri R. Root
Deputy Chief Compliance Officer
Des Moines, IA 50392
1979
Principal Occupation(s)
During past 5 years
Vice President and Chief Compliance Officer, the Manager since 2015
Compliance Officer, the Manager (2010-2013)
Vice President, PSS since 2015
Britney L. Schnathorst
Assistant Counsel
Des Moines, IA 50392
1981
Counsel, PLIC since 2013
Prior thereto, Attorney in Private Practice
Adam U. Shaikh
Assistant Counsel
Des Moines, IA 50392
1972
Counsel, PFD (2006-2013)
Counsel, PLIC
Counsel, the Manager (2007-2013, 2014 - present)
Counsel, PSI (2007-2013)
Counsel, PSS (2007-2013)
Dan Westholm
Assistant Treasurer
Des Moines, IA 50392
1966
Assistant Vice President/Treasury, PFA since 2013
Director – Treasury, PFA (2011-2013)
Assistant Vice President/Treasury, PFD since 2013
Director – Treasury, PFD (2011-2013)
Assistant Vice President/Treasury, PLIC since 2014
Director – Treasury, PLIC (2007-2014)
Director – Treasury, the Manager (2003-2013)
Assistant Vice President/Treasury, the Manager since 2013
Assistant Vice President/Treasury, PSI since 2013
Director – Treasury, PSI (2008-2009, 2011-2013)
Assistant Vice President/Treasury, PSS since 2013
Director – Treasury, PSS (2007-2013)
Beth Wilson
Vice President and Secretary
Des Moines, IA 50392
1956
Director and Secretary – Funds, PLIC
Vice President, the Manager (2007-2013)
Clint Woods
Vice President and Counsel
Des Moines, IA 50392
1961
Vice President, Associate General Counsel, Governance Officer, and
Assistant Corporate Secretary, PLIC since 2015
Assistant General Counsel, Assistant Corporate Secretary, and Governance
Officer, PLIC (2013-2015)
Associate General Counsel, AEGON (2003 - 2012)
The 15(c) Committee assists the Board in performing the annual review of the Fund’s advisory and sub-advisory agreements pursuant
to Section 15(c) of the 1940 Act.
The Audit Committee selects the independent auditors for the Fund and oversees the activities of the independent auditors as well as
the internal auditors. The committee also receives reports about accounting and financial matters affecting the Fund.
The Executive Committee is selected by the Board. It may exercise all the powers of the Board, with certain exceptions, when the
Board is not in session. The Committee must report its actions to the Board.
The Nominating and Governance Committee selects and nominates all candidates who are not “interested persons” of the Fund for
election to the Board. The committee also oversees the structure and efficiency of the Board of Directors and the committees the
Board establishes.
The Operations Committee oversees the provision of administrative and distribution services to the Funds, communications with the
Funds’ shareholders, and provides review and oversight of the Funds’ operations.
Additional information about the Fund is available in the Prospectus dated May 1, 2016, and the Statement of Additional Information
dated May 1, 2016. These documents may be obtained free of charge by writing Principal Variable Contracts Funds, Inc., P.O. Box
8024, Boston, MA 02266-8024 or telephoning 1-800-222-5852. The prospectus may be viewed at
www.PrincipalFunds.com/prospectuses-pvc.
256
PROXY VOTING POLICIES
A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities and the
results of the proxy votes for the most recent twelve months ended June 30 may be obtained free of charge by telephoning 1-800-2225852, or on the SEC website at www.sec.gov.
SCHEDULES OF INVESTMENTS
The Fund files complete schedules of investments with the Securities and Exchange Commission as of March 31 and September 30 of
each year on Form N-Q. The Fund’s Form N-Q can be reviewed and copied at the Commission’s Public Reference Room in
Washington, D.C. or on the Commission’s website at www.sec.gov. Information on the operation of the Public Reference Room may
be obtained by calling the Commission at 1-800-SEC-0330.
257
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