MM1290B 05 178035 MM1291semi
User Manual: 178035
Open the PDF directly: View PDF 
.
Page Count: 264 [warning: Documents this large are best viewed by clicking the View PDF Link!]
3ULQFLSDO9DULDEOH&RQWUDFWV)XQGV,QF
6HPLDQQXDO5HSRUW
-XQH
6LJQXSIRUH'HOLYHU\
s'ETYOURPROSPECTUSSEMIANNUALANDANNUALFUNDREPORTSBYEMAIL
s,ESSCLUTTERMORECONVENIENCE
s4WOWAYSTOSIGNUPSOMERESTRICTIONSMAYAPPLY
/RJLQWRSULQFLSDOFRP0\3URILOHDQGVLJQXSXQGHU
6XEVFULSWLRQVDQG(PDLO3UHIHUHQFHV
)RU/LIHSURGXFWVFDOO)RU$QQXLW\SURGXFWVFDOO
7DEOHRI&RQWHQWV
)LQDQFLDO6WDWHPHQWV
1RWHVWR)LQDQFLDO6WDWHPHQWV
6FKHGXOHVRI,QYHVWPHQWV
)LQDQFLDO+LJKOLJKWV,QFOXGHVSHUIRUPDQFHLQIRUPDWLRQ
6KDUHKROGHU([SHQVH([DPSOH
6XSSOHPHQWDO,QIRUPDWLRQ
Not FDIC or NCUA insured
May lose value • Not a deposit • No bank or credit union guarantee
Not insured by any Federal government agency
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 1
Amounts in thousands, except per share amounts
Balanced
Account
Bond Market
Index Account
Core Plus
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
Receivables:
Dividends and interest...................................................................... 128 11,045 1,939
Fund shares sold ............................................................................ 3 20 40
Investment securities sold .................................................................. 125 31,365 3,326
Variation margin on financial derivative instruments .....................................
–
–
5
Total Assets 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
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
Total Liabilities 1,561 190,860 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)
N
et unrealized appreciation (depreciation) of investments ...................................... 2,490 63,622 5,218
Total Net Assets $ 43,003 $ 2,090,315 $ 306,051
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 100,000 200,000 300,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 43,003 $ 2,090,315 $ 306,009
Shares issued and outstanding ............................................................. 2,375 194,880 26,216
Net Asset Value per share .................................................................. $ 18.11 $ 10.73 $ 11.67
Class 2: Net Assets ............................................................................... N/A N/A $ 42
Shares issued and outstanding ............................................................. 4
Net Asset Value per share .................................................................. $ 11.64
(a) Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 2
Amounts in thousands, except per share amounts
Diversified
Balanced
Account
Diversified
Balanced
Managed
Volatility
Account
Diversified
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 .................................................................. 3,655 275 6,429
Total Assets 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 ...................................................................... 3,655 275 6,429
Total Liabilities 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
N
et unrealized appreciation (depreciation) of investments ...................................... 175,994 4,549 486,014
Total Net Assets $ 1,078,753 $ 154,775 $ 3,399,672
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 250,000 200,000 300,000
Net Asset Value Per Share:
Class 2: Net Assets ............................................................................... $ 1,078,753 $ 154,775 $ 3,399,672
Shares issued and outstanding ............................................................. 73,372 13,885 217,249
Net Asset Value per share .................................................................. $ 14.70 $ 11.15 $ 15.65
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 3
Amounts in thousands, except per share amounts
Diversified
Growth
Managed
Volatility
Account
Diversified
Income Account
Diversified
International
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
–
Receivables:
Dividends and interest......................................................................
–
–
1,318
Fund shares sold ............................................................................
–
–
242
Investment securities sold .................................................................. 148 2,485 1,957
Total Assets 287,695 230,650 254,747
Liabilities
Accrued management and investment advisory fees............................................. 12 9 179
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
Investment securities purchased ...........................................................
–
–
1,380
Total Liabilities 223 2,546 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 9,109
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... 2,050 1,304 (100,239)
N
et unrealized appreciation (depreciation) of investments ...................................... 6,700 18,049 17,108
N
et unrealized appreciation (depreciation) on translation of assets and liabilities in foreign
currency ..........................................................................................
–
–
(97)
Total Net Assets $ 287,472 $ 228,104 $ 252,752
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 50,000 300,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... N/A N/A $ 251,427
Shares issued and outstanding ............................................................. 18,828
Net Asset Value per share .................................................................. $ 13.35
Class 2: Net Assets ............................................................................... $ 287,472 $ 228,104 $ 1,325
Shares issued and outstanding ............................................................. 25,738 18,382 99
Net Asset Value per share .................................................................. $ 11.17 $ 12.41 $ 13.44
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 4
Amounts in thousands, except per share amounts
Equity
Income Account
Government &
High Quality
Bond Account Income 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 ..............................................................................................
–
3 171
Receivables:
Dividends and interest...................................................................... 1,442 1,480 2,350
Fund shares sold ............................................................................ 84 82 5
Investment securities sold .................................................................. 3,137 1,253 833
Total Assets 544,390 263,756 241,052
Liabilities
Accrued management and investment advisory fees............................................. 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 ...................................................................... 3,131 259 355
Total Liabilities 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 14,018
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... 34,661 (22,702) (1,377)
N
et unrealized appreciation (depreciation) of investments ...................................... 199,969 2,316 11,414
Total Net Assets $ 541,022 $ 263,378 $ 240,589
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 200,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 517,419 $ 260,522 $ 237,371
Shares issued and outstanding ............................................................. 22,184 24,782 21,842
Net Asset Value per share .................................................................. $ 23.32 $ 10.51 $ 10.87
Class 2: Net Assets ............................................................................... $ 23,603 $ 2,856 $ 3,218
Shares issued and outstanding ............................................................. 1,020 272 298
Net Asset Value per share .................................................................. $ 23.13 $ 10.50 $ 10.81
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 5
Amounts in thousands, except per share amounts
International
Emerging
Markets Account
LargeCap
Growth Account
LargeCap
Growth
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
Receivables:
Dividends and interest...................................................................... 402 50 136
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
–
–
Total Assets 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
Accrued other expenses ..........................................................................
–
4 9
Cash overdraft .................................................................................... 9
–
–
Payables:
Fund shares redeemed ...................................................................... 86 55 443
Investment securities purchased ...........................................................
–
101 1,054
Total Liabilities 204 220 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) ..................... 1,652 553 118
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... (30,811) (5,850) 23,284
N
et unrealized appreciation (depreciation) of investments ...................................... 4,841 14,016 50,308
N
et unrealized appreciation (depreciation) on translation of assets and liabilities in foreign
currency .......................................................................................... 1
–
–
Total Net Assets $ 87,245 $ 102,460 $ 241,082
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 300,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 87,175 $ 101,343 $ 240,573
Shares issued and outstanding ............................................................. 6,441 4,167 9,429
Net Asset Value per share .................................................................. $ 13.53 $ 24.32 $ 25.51
Class 2: Net Assets ............................................................................... $ 70 $ 1,117 $ 509
Shares issued and outstanding ............................................................. 5 46 20
Net Asset Value per share .................................................................. $ 13.50 $ 24.20 $ 25.45
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 6
Amounts in thousands, except per share amounts
LargeCap
S&P 500
Index Account
LargeCap S&P
500 Managed
Volatility
Index Account
LargeCap
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
–
Total Assets 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
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
–
Total Liabilities 7,846 597 141
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 4,153
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... 58,142 (2,116) 8,555
N
et unrealized appreciation (depreciation) of investments ...................................... 530,044 9,058 9,386
Total Net Assets $ 2,157,763 $ 183,298 $ 138,263
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 300,000 100,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 2,157,547 $ 183,298 $ 138,238
Shares issued and outstanding ............................................................. 144,418 15,770 4,685
Net Asset Value per share .................................................................. $ 14.94 $ 11.62 $ 29.51
Class 2: Net Assets ............................................................................... $ 216 N/A $ 25
Shares issued and outstanding ............................................................. 15 1
Net Asset Value per share .................................................................. $ 14.90 $ 29.42
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 7
Amounts in thousands, except per share amounts and Multi-Asset Income Account MidCap Account
Multi-Asset
Income Account
Principal Capital
Appreciation
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
–
–
Receivables:
Dividends and interest...................................................................... 281 80 186
Expense reimbursement from Manager ....................................................
–
5,165
–
Fund shares sold ............................................................................ 192
–
58
Investment securities sold .................................................................. 2,990
–
1,231
Total Assets 617,019 25,738 157,805
Liabilities
Accrued management and investment advisory fees............................................. 268 7 80
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
Total Liabilities 2,624 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)
N
et unrealized appreciation (depreciation) of investments ...................................... 182,292 (521) 38,065
Total Net Assets $ 614,395 $ 20,402 $ 156,741
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 105,000 200,000,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 599,827 $ 10,213 $ 148,937
Shares issued and outstanding ............................................................. 10,413 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
Shares issued and outstanding ............................................................. 254 1,000 344
Net Asset Value per share .................................................................. $ 57.25 $ 10.19 $ 22.69
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 8
Amounts in thousands, except per share amounts
Principal
LifeTime 2010
Account
Principal
LifeTime 2020
Account
Principal
LifeTime 2030
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
Investment securities sold .................................................................. 41 36
–
Total Assets 42,801 191,261 120,159
Liabilities
Accrued directors' expenses ...................................................................... 1 2 1
Accrued professional fees ........................................................................ 4
–
–
Accrued other expenses ..........................................................................
–
4 4
Payables:
Fund shares redeemed ...................................................................... 43 123 87
Investment securities purchased ........................................................... 23 114 85
Total Liabilities 71 243 177
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
N
et unrealized appreciation (depreciation) of investments ...................................... 1,262 3,768 2,294
Total Net Assets $ 42,730 $ 191,018 $ 119,982
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 100,000 200,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 42,730 $ 190,993 $ 119,940
Shares issued and outstanding ............................................................. 3,400 14,714 10,273
Net Asset Value per share .................................................................. $ 12.57 $ 12.98 $ 11.68
Class 2: Net Assets ............................................................................... N/A $ 25 $ 42
Shares issued and outstanding ............................................................. 2 4
Net Asset Value per share .................................................................. $ 12.94 $ 11.64
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 9
Amounts in thousands, except per share amounts
Principal
LifeTime 2040
Account
Principal
LifeTime 2050
Account
Principal
LifeTime 2060
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
Investment securities sold .................................................................. 20
–
9
Total Assets 46,118 23,102 2,503
Liabilities
Accrued directors' expenses ...................................................................... 1 1 1
Accrued professional fees ........................................................................ 4 4 4
Payables:
Fund shares redeemed ...................................................................... 34 1 10
Investment securities purchased ........................................................... 12 24 1
Total Liabilities 51 30 16
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
N
et unrealized appreciation (depreciation) of investments ...................................... (213) (2) (114)
Total Net Assets $ 46,067 $ 23,072 $ 2,487
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 200,000 100,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 46,046 $ 23,037 $ 2,487
Shares issued and outstanding ............................................................. 3,372 1,752 211
Net Asset Value per share .................................................................. $ 13.66 $ 13.15 $ 11.80
Class 2: Net Assets ............................................................................... $ 21 $ 35 N/A
Shares issued and outstanding ............................................................. 2 3
Net Asset Value per share .................................................................. $ 13.62 $ 13.11
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 10
Amounts in thousands, except per share amounts
Principal
LifeTime
Strategic Income
Account
Real Estate
Securities
Account
SAM Balanced
Portfolio
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 $ 2,117
Investment in affiliated Accounts--at value ...................................................... 25,537
–
799,841
Receivables:
Dividends and interest...................................................................... 16 549 533
Fund shares sold ............................................................................ 12 267 208
Investment securities sold .................................................................. 17
–
1,187
Total Assets 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
Payables:
Fund shares redeemed ...................................................................... 29 27 1,394
Investment securities purchased ........................................................... 16
–
2,579
Total Liabilities 50 153 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
N
et unrealized appreciation (depreciation) of investments ...................................... 1,192 52,093 77,461
Total Net Assets $ 25,532 $ 175,128 $ 799,735
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 100,000 300,000 300,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 25,532 $ 172,938 $ 702,457
Shares issued and outstanding ............................................................. 2,205 6,997 46,421
Net Asset Value per share .................................................................. $ 11.58 $ 24.72 $ 15.13
Class 2: Net Assets ............................................................................... N/A $ 2,190 $ 97,278
Shares issued and outstanding ............................................................. 88 6,497
Net Asset Value per share .................................................................. $ 24.78 $ 14.97
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 11
Amounts in thousands, except per share amounts
SAM
Conservative
Balanced
Portfolio
SAM
Conservative
Growth Portfolio
SAM Flexible
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 $ 1,110
Investment in affiliated Accounts--at value ...................................................... 208,797 295,763 217,619
Receivables:
Dividends and interest...................................................................... 167 141 257
Fund shares sold ............................................................................ 42 16 25
Investment securities sold .................................................................. 82 357 175
Total Assets 210,610 296,278 219,186
Liabilities
Accrued management and investment advisory fees............................................. 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
Total Liabilities 1,812 596 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 8,064
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... 4,090 11,189 598
N
et unrealized appreciation (depreciation) of investments ...................................... 15,651 22,946 18,624
Total Net Assets $ 208,798 $ 295,682 $ 217,605
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 200,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 191,081 $ 190,635 $ 196,851
Shares issued and outstanding ............................................................. 16,013 10,825 15,295
Net Asset Value per share .................................................................. $ 11.93 $ 17.61 $ 12.87
Class 2: Net Assets ............................................................................... $ 17,717 $ 105,047 $ 20,754
Shares issued and outstanding ............................................................. 1,502 6,042 1,628
Net Asset Value per share .................................................................. $ 11.80 $ 17.39 $ 12.75
STATEMENTS OF ASSETS AND LIABILITIES
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
See accompanying notes. 12
Amounts in thousands, except per share amounts
SAM Strategic
Growth Portfolio
Short-Term
Income Account
SmallCap
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
–
Receivables:
Dividends and interest...................................................................... 92 872 189
Expense reimbursement from Manager ....................................................
–
1
–
Fund shares sold ............................................................................ 58 650 3
Investment securities sold .................................................................. 84 347 2,247
Total Assets 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
Payables:
Fund shares redeemed ...................................................................... 142 28 561
Investment securities purchased ........................................................... 1,119 878 2,701
Total Liabilities 1,331 983 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 1,900
Accumulated undistributed (overdistributed) net realized gain (loss) ........................... 8,809 (16,773) (783)
N
et unrealized appreciation (depreciation) of investments ...................................... 9,863 824 9,989
Total Net Assets $ 238,225 $ 168,148 $ 197,097
Capital Stock (par value: $.01 per share):
Shares authorized ................................................................................ 200,000 400,000 200,000
Net Asset Value Per Share:
Class 1: Net Assets ............................................................................... $ 140,323 $ 165,705 $ 192,392
Shares issued and outstanding ............................................................. 7,395 63,887 13,980
Net Asset Value per share .................................................................. $ 18.98 $2.59 $ 13.76
Class 2: Net Assets ............................................................................... $ 97,902 $ 2,443 $ 4,705
Shares issued and outstanding ............................................................. 5,220 947 343
Net Asset Value per share .................................................................. $ 18.76 $2.58 $ 13.72
(a) Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 13
Amounts in thousands Balanced Account
Bond Market
Index Account
Core Plus
Bond Account(a)
Net Investment Income (Loss)
Income:
Dividends ................................................................................... $ 306 $
–
$38
Withholding tax ............................................................................ (5)
–
–
Interest...................................................................................... 270 21,195 4,953
Total Income 571 21,195 4,991
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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions .................................................................... 475 4,983 (935)
Futures contracts ...........................................................................
–
–
560
Short sales ..................................................................................
–
(19)
–
Swap agreements ...........................................................................
–
–
64
Change in unrealized appreciation/depreciation of:
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 550 80,327 11,697
Net Increase (Decrease) in Net Assets Resulting from Operations $ 980 $ 99,027 $ 16,010
(a) Effective May 1, 2016, Bond & Mortgage Securities Account changed its name to Core Plus Bond Account.
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 14
Amounts in thousands
Diversified
Balanced Account
Diversified
Balanced Managed
Volatility Account
Diversified
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
Directors' expenses ......................................................................... 11 2 32
Professional fees ........................................................................... 1 1 1
Other expenses ............................................................................. 1
–
3
Total Expenses 1,567 220 4,885
Net Investment Income (Loss) (1,567) (220) (4,885)
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions in affiliated Accounts ............................................ 519 4 (160)
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts ......................................................... 44,491 6,056 130,380
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements 45,010 6,060 130,220
Net Increase (Decrease) in Net Assets Resulting from Operations $ 43,443 $ 5,840 $ 125,335
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 15
Amounts in thousands
Diversified Growth
Managed Volatility
Account
Diversified
Income Account
Diversified
International
Account
Net Investment Income (Loss)
Income:
Dividends ................................................................................... $
–
$
–
$ 5,304
Withholding tax ............................................................................
–
–
(571)
Interest......................................................................................
–
–
1
Total Income
–
–
4,734
Expenses:
Management and investment advisory fees ................................................ 66 53 1,090
Distribution Fees - Class 2 ................................................................. 330 263 2
Custodian fees ..............................................................................
–
–
42
Directors' expenses ......................................................................... 4 3 4
Professional fees ........................................................................... 1 1 13
Other expenses .............................................................................
–
–
1
Total Expenses 401 320 1,152
Net Investment Income (Loss) (401) (320) 3,582
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions (net of foreign taxes of $0, $0 and $3, respectively) .............
–
–
(2,536)
Investment transactions in affiliated Accounts ............................................ 6 5
–
Foreign currency transactions ..............................................................
–
–
(13)
Litigation settlement .......................................................................
–
–
240
Change in unrealized appreciation/depreciation of:
Investments (net of deferred foreign tax payable of $0, $0 and $26, respectively) ........
–
–
(7,925)
Investments in affiliated Accounts ......................................................... 10,165 10,081
–
Translation of assets and liabilities in foreign currencies ..................................
–
–
27
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements 10,171 10,086 (10,207)
Net Increase (Decrease) in Net Assets Resulting from Operations $ 9,770 $ 9,766 $ (6,625)
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 16
Amounts in thousands
Equity
Income Account
Government &
High Quality
Bond Account Income Account
Net Investment Income (Loss)
Income:
Dividends ................................................................................... $ 8,209 $
–
$
–
Withholding tax ............................................................................ (171)
–
–
Interest...................................................................................... 8 5,173 5,360
Total Income 8,046 5,173 5,360
Expenses:
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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et 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 32,687 5,175 10,275
Net Increase (Decrease) in Net Assets Resulting from Operations $ 39,391 $ 9,631 $ 14,998
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 17
Amounts in thousands
International
Emerging
Markets Account
LargeCap
Growth Account
LargeCap
Growth Account I
Net Investment Income (Loss)
Income:
Dividends ................................................................................... $ 1,374 $ 639 $ 1,016
Withholding tax ............................................................................ (144)
–
(3)
Interest...................................................................................... 1 3 8
Total Income 1,231 642 1,021
Expenses:
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
Total Gross Expenses 576 374 922
Less: Reimbursement from Manager ......................................................
–
–
19
Total Net Expenses 576 374 903
Net Investment Income (Loss) 655 268 118
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions .................................................................... (6,203) 6,522 3,751
Foreign currency transactions .............................................................. (56)
–
–
Futures contracts ...........................................................................
–
–
250
Litigation settlement ....................................................................... 478
–
–
Change in unrealized appreciation/depreciation of:
Investments ................................................................................. 9,314 (13,535) (12,050)
Futures contracts ...........................................................................
–
–
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 3,536 (7,013) (8,030)
Net Increase (Decrease) in Net Assets Resulting from Operations $ 4,191 $ (6,745) $ (7,912)
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 18
Amounts in thousands
LargeCap S&P 500
Index Account
LargeCap S&P 500
Managed Volatility
Index Account
LargeCap
Value Account
Net Investment Income (Loss)
Income:
Dividends ................................................................................... $ 22,672 $ 1,751 $ 1,952
Interest...................................................................................... 25 12 1
Total Income 22,697 1,763 1,953
Expenses:
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 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
N
et realized gain (loss) from:
Investment transactions .................................................................... 17,900 (221) 4,418
Futures contracts ........................................................................... (355) 315
–
Options and swaptions .....................................................................
–
87
–
Change in unrealized appreciation/depreciation of:
Investments ................................................................................. 44,191 4,174 (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 61,706 4,664 (366)
Net Increase (Decrease) in Net Assets Resulting from Operations $ 81,797 $ 6,034 $ 1,157
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 19
Amounts in thousands, except for Multi-Asset Income Account MidCap Account
Multi-Asset
Income Account
Principal
Capital
Appreciation
Account
Net Investment Income (Loss)
Income:
Dividends from Affiliated Accounts ....................................................... $
–
$ 436 $
–
Dividends ................................................................................... 2,233
–
1,437
Withholding tax ............................................................................ (54)
–
–
Interest...................................................................................... 1
–
2
Total Income 2,180 436 1,439
Expenses:
Management and investment advisory fees ................................................ 1,591 4 481
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
–
Total Gross Expenses 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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions .................................................................... 15,123
–
(2,891)
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 24,000 559 2,840
Net Increase (Decrease) in Net Assets Resulting from Operations $ 24,558 $ 974 $ 3,783
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 20
Amounts in thousands
Principal LifeTime
2010 Account
Principal LifeTime
2020 Account
Principal LifeTime
2030 Account
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts ........................................................ $ 105 $ 431 $ 195
Total Income 105 431 195
Expenses:
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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions in affiliated Accounts ............................................ 258 (271) 27
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 1,216 4,440 2,173
Net Increase (Decrease) in Net Assets Resulting from Operations $ 1,316 $ 4,858 $ 2,360
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 21
Amounts in thousands
Principal LifeTime
2040 Account
Principal LifeTime
2050 Account
Principal LifeTime
2060 Account
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts ........................................................ $ 41 $ 19 $ 2
Total Income 41 19 2
Expenses:
Management and investment advisory fees ................................................ 2 1
–
Directors' expenses ......................................................................... 2 1 1
Professional fees ........................................................................... 1 1 1
Total Gross Expenses 5 3 2
Less: Reimbursement from Manager - Class 1 ............................................
–
–
1
Total Net Expenses 5 3 1
Net Investment Income (Loss) 36 16 1
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions in affiliated Accounts ............................................ (142) (71) (7)
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts ......................................................... 644 117 29
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements 502 46 22
Net Increase (Decrease) in Net Assets Resulting from Operations $ 538 $62 $23
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 22
Amounts in thousands
Principal LifeTime
Strategic
Income Account
Real Estate
Securities Account
SAM Balanced
Portfolio
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts ........................................................ $ 72 $
–
$ 1,944
Dividends ...................................................................................
–
2,412
–
Interest......................................................................................
–
1
–
Total Income 72 2,413 1,944
Expenses:
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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions ....................................................................
–
8,890
–
Investment transactions in affiliated Accounts ............................................ (39)
–
(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 868 15,991 22,376
Net Increase (Decrease) in Net Assets Resulting from Operations $ 937 $ 17,693 $ 23,283
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 23
Amounts in thousands
SAM Conservative
Balanced Portfolio
SAM Conservative
Growth Portfolio
SAM Flexible
Income Portfolio
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts ........................................................ $ 760 $ 319 $ 1,267
Total Income 760 319 1,267
Expenses:
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
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions in affiliated Accounts ............................................ (1,216) (3,139) (836)
Change in unrealized appreciation/depreciation of:
Investments in affiliated Accounts ......................................................... 7,861 9,706 9,994
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements 6,645 6,567 9,158
Net Increase (Decrease) in Net Assets Resulting from Operations $ 7,145 $ 6,425 $ 10,149
STATEMENTS OF OPERATIONS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
Six Months Ended June 30, 2016 (unaudited)
See accompanying notes. 24
Amounts in thousands
SAM Strategic
Growth Portfolio
Short-Term
Income Account
SmallCap
Account(a)
Net Investment Income (Loss)
Income:
Dividends from affiliated Accounts ........................................................ $ 179 $
–
$
–
Dividends ...................................................................................
–
–
2,102
Interest......................................................................................
–
1,962 4
Total Income 179 1,962 2,106
Expenses:
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
Total Gross Expenses 384 416 805
Less: Reimbursement from Manager - Class 1 ............................................
–
8
–
Total Net Expenses 384 408 805
Net Investment Income (Loss) (205) 1,554 1,301
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies,
Futures, Options and Swaptions, Short sales, and Swap agreements
N
et realized gain (loss) from:
Investment transactions ....................................................................
–
158 (9,056)
Investment transactions in affiliated Accounts ............................................ (2,825)
–
–
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 3,513 1,962 1,131
Net Increase (Decrease) in Net Assets Resulting from Operations $ 3,308 $ 3,516 $ 2,432
(a) Effective May 1, 2016, SmallCap Blend Account changed its name to SmallCap Account.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 25
Amounts in thousands Balanced Account Bond Market Index Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 430 $ 827 $ 18,700
$ 32,850
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 475 2,319 4,964
2,717
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... 75 (2,899) 75,363
(33,768)
Net Increase (Decrease) in Net Assets Resulting from Operations 980 247 99,027
1,799
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)
–
(28,036)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 424 1,479 217,360
456,166
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
4,082
–
28,036
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
Beginning of period ................................................................................. 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 $ 55,963
$ 37,263
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 ......................................................................................... 24 77 20,719
44,079
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
224
–
2,746
Shares redeemed:
Class 1 ......................................................................................... (149) (427) (15,769)
(24,742)
N
et Increase (Decrease) ............................................................................. (125) (126) 4,950
22,083
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 26
Amounts in thousands Core Plus Bond Account(a) Diversified Balanced Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015(b)
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 4,313 $ 8,650 $ (1,567)
$ 13,381
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (311) (1,599) 519
10,200
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
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(9,626) N/A
N/A
Class 2 .........................................................................................
–
(1)
–
(10,360)
From net realized gain on investments:
Class 2 .........................................................................................
–
–
–
(11,596)
Total Dividends and Distributions
–
(9,627)
–
(21,956)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 33,144 25,822 N/A
N/A
Class 2 ......................................................................................... 12 40 27,467
64,227
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
9,626 N/A
N/A
Class 2 .........................................................................................
–
1
–
21,956
Shares redeemed:
Class 1 ......................................................................................... (33,175) (56,554) N/A
N/A
Class 2 .........................................................................................
–
(11) (23,268)
(45,709)
Net Increase (Decrease) in Net Assets from Capital Share Transactions (19) (21,076) 4,199
40,474
Total Increase (Decrease) 15,991 (31,675) 47,642
20,005
Net Assets
Beginning of period ................................................................................. 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 $ 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
863 N/A
N/A
Class 2 .........................................................................................
–
–
–
1,533
Shares redeemed:
Class 1 ......................................................................................... (2,917) (4,963) N/A
N/A
Class 2 .........................................................................................
–
(1) (1,630)
(3,181)
N
et Increase (Decrease) ............................................................................. (20) (1,841) 303
2,802
(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.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 27
Amounts in thousands
Diversified Balanced
Managed Volatility Account Diversified Growth Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ (220) $ 1,065 $ (4,885)
$ 42,285
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 4 885 (160)
38,726
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
Dividends and Distributions to Shareholders
From net investment income:
Class 2 .........................................................................................
–
(1,010)
–
(31,927)
From net realized gain on investments:
Class 2 .........................................................................................
–
(889)
–
(39,243)
Total Dividends and Distributions
–
(1,899)
–
(71,170)
Capital Share Transactions
Shares sold:
Class 2 ......................................................................................... 13,995 60,772 110,398
359,378
Shares issued in reinvestment of dividends and distributions:
Class 2 .........................................................................................
–
1,899
–
71,170
Shares redeemed:
Class 2 ......................................................................................... (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
Net Assets
Beginning of period ................................................................................. 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 $ 37,398
$ 42,283
Increase (Decrease) in Capital Shares
Shares sold:
Class 2 ......................................................................................... 1,298 5,556 7,354
23,218
Shares issued in reinvestment of dividends and distributions:
Class 2 .........................................................................................
–
175
–
4,627
Shares redeemed:
Class 2 ......................................................................................... (321) (593) (2,457)
(2,612)
N
et Increase (Decrease) ............................................................................. 977 5,138 4,897
25,233
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 28
Amounts in thousands
Diversified Growth Managed
Volatility Account Diversified Income Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ (401) $ 1,718 $ (320)
$ 2,298
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 6 2,049 5
1,333
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... 10,165 (5,003) 10,081
(3,561)
Net Increase (Decrease) in Net Assets Resulting from Operations 9,770 (1,236) 9,766
70
Dividends and Distributions to Shareholders
From net investment income:
Class 2 .........................................................................................
–
(2,225)
–
(1,447)
From net realized gain on investments:
Class 2 .........................................................................................
–
(2,050)
–
(1,285)
Total Dividends and Distributions
–
(4,275)
–
(2,732)
Capital Share Transactions
Shares sold:
Class 2 ......................................................................................... 29,499 108,374 29,164
51,346
Shares issued in reinvestment of dividends and distributions:
Class 2 .........................................................................................
–
4,275
–
2,732
Shares redeemed:
Class 2 ......................................................................................... (4,408) (6,199) (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
Net Assets
Beginning of period ................................................................................. 252,611 151,672 198,762
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
Shares issued in reinvestment of dividends and distributions:
Class 2 .........................................................................................
–
389
–
228
Shares redeemed:
Class 2 ......................................................................................... (411) (573) (793)
(1,762)
N
et Increase (Decrease) ............................................................................. 2,324 9,617 1,635
2,739
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 29
Amounts in thousands
Diversified
International Account Equity Income Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 3,582 $ 6,425 $ 6,704
$ 14,903
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (2,309) 30,288 11,719
28,852
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(7,388)
–
(13,573)
Class 2 .........................................................................................
–
(32)
–
(555)
Total Dividends and Distributions
–
(7,420)
–
(14,128)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 6,409 16,905 10,698
37,699
Class 2 ......................................................................................... 34 348 243
1,801
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
7,388
–
13,573
Class 2 .........................................................................................
–
32
–
555
Shares redeemed:
Class 1 ......................................................................................... (21,692) (176,857) (44,122)
(102,756)
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
Beginning of period ................................................................................. 274,660 430,460 536,341
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
513
–
600
Class 2 .........................................................................................
–
2
–
25
Shares redeemed:
Class 1 ......................................................................................... (1,639) (12,171) (1,987)
(4,521)
Class 2 ......................................................................................... (3) (16) (70)
(136)
N
et Increase (Decrease) ............................................................................. (1,154) (10,481) (1,557)
(2,278)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 30
Amounts in thousands
Government & High
Quality Bond Account Income Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 4,456 $ 7,956 $ 4,723
$ 9,878
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (11) 1,203 596
2,468
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)
–
(11,813)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 10,636 16,889 3,201
11,316
Class 2 ......................................................................................... 1,096 1,035 678
45
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
10,332
–
11,705
Class 2 .........................................................................................
–
60
–
108
Shares redeemed:
Class 1 ......................................................................................... (46,330) (47,392) (35,417)
(30,469)
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
Beginning of period ................................................................................. 288,496 315,425 257,196
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,018
–
1,129
Class 2 .........................................................................................
–
6
–
10
Shares redeemed:
Class 1 ......................................................................................... (4,455) (4,568) (3,352)
(2,866)
Class 2 ......................................................................................... (15) (11) (6)
(57)
N
et Increase (Decrease) ............................................................................. (3,337) (1,832) (2,989)
(731)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 31
Amounts in thousands
International Emerging
Markets Account LargeCap Growth Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 655 $ 1,166 $ 268
$ 285
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (5,781) (6,376) 6,522
4,953
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... 9,317 (8,516) (13,535)
862
Net Increase (Decrease) in Net Assets Resulting from Operations 4,191 (13,726) (6,745)
6,100
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(1,655)
–
(173)
Total Dividends and Distributions
–
(1,655)
–
(173)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 3,726 11,049 3,100
6,552
Class 2 ......................................................................................... 26 46 503
504
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,655
–
173
Shares redeemed:
Class 1 ......................................................................................... (6,173) (14,985) (13,463)
(17,325)
Class 2 .........................................................................................
–
–
(410)
(108)
Net Increase (Decrease) in Net Assets from Capital Share Transactions (2,421) (2,235) (10,270)
(10,204)
Total Increase (Decrease) 1,770 (17,616) (17,015)
(4,277)
Net Assets
Beginning of period ................................................................................. 85,475 103,091 119,475
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
117
–
7
Shares redeemed:
Class 1 ......................................................................................... (485) (1,005) (553)
(676)
Class 2 .........................................................................................
–
–
(17)
(4)
N
et Increase (Decrease) ............................................................................. (189) (142) (420)
(397)
(a) Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 32
Amounts in thousands LargeCap Growth Account I
LargeCap S&P 500
Index Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Operations
N
et investment income (loss) ....................................................................... $ 118 $ 180 $ 20,091
$ 36,196
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 4,001 20,379 17,545
53,618
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... (12,031) (2,393) 44,161
(61,719)
Net Increase (Decrease) in Net Assets Resulting from Operations (7,912) 18,166 81,797
28,095
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(562)
–
(29,180)
Class 2 .........................................................................................
–
(1)
–
(1)
From net realized gain on investments:
Class 1 .........................................................................................
–
(37,084)
–
(23,947)
Class 2 .........................................................................................
–
(62)
–
(1)
Total Dividends and Distributions
–
(37,709)
–
(53,129)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 13,008 23,800 148,571
354,977
Class 2 ......................................................................................... 384 523 67
163
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
37,646
–
53,127
Class 2 .........................................................................................
–
63
–
2
Shares redeemed:
Class 1 ......................................................................................... (16,911) (29,218) (106,272)
(212,649)
Class 2 ......................................................................................... (374) (13) (20)
(1)
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
Net Assets
Beginning of period ................................................................................. 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 $
–
$ 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,415
–
3,629
Class 2 .........................................................................................
–
2
–
–
Shares redeemed:
Class 1 ......................................................................................... (675) (1,027) (7,416)
(14,626)
Class 2 ......................................................................................... (15)
–
(1)
–
N
et Increase (Decrease) ............................................................................. (154) 1,253 3,311
13,813
(a) Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 33
Amounts in thousands
LargeCap S&P 500 Managed
Volatility Index Account LargeCap Value Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Operations
N
et investment income (loss) ....................................................................... $ 1,370 $ 1,976 $ 1,523
$ 2,669
N
et 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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
–
–
(2,487)
From net realized gain on investments:
Class 1 .........................................................................................
–
(567)
–
(18,013)
Class 2 ......................................................................................... N/A N/A
–
(2)
Total Dividends and Distributions
–
(567)
–
(20,502)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 22,791 77,842 2,283
5,397
Class 2 ......................................................................................... N/A N/A 4
20
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
567
–
20,500
Class 2 ......................................................................................... N/A N/A
–
2
Shares redeemed:
Class 1 ......................................................................................... (7,181) (14,703) (18,261)
(21,295)
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
Beginning of period ................................................................................. 161,654 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
49
–
686
Shares redeemed:
Class 1 ......................................................................................... (644) (1,312) (639)
(663)
N
et Increase (Decrease) ............................................................................. 1,426 5,677 (558)
194
(a) Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 34
Amounts in thousands, except for Multi-Asset Income Account MidCap Account Multi-Asset Income Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Period Ended
December 31,
2015(a)
Operations
N
et investment income (loss) ....................................................................... $ 558 $ 2,468 $ 415
$ 466
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 15,123 100,918
–
42
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
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)
–
–
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 5,887 23,039
–
10,000
Class 2 ......................................................................................... 125 433
–
10,000
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
72,646
–
–
Class 2 .........................................................................................
–
1,727
–
–
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
Beginning of period ................................................................................. 632,680 692,796 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,237
–
–
Class 2 .........................................................................................
–
30
–
–
Shares redeemed:
Class 1 ......................................................................................... (873) (1,574)
–
–
Class 2 ......................................................................................... (25) (24)
–
–
N
et Increase (Decrease) ............................................................................. (788) 57
–
2,000
(a) Period from July 28, 2015, date operations commenced, through December 31, 2015.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 35
Amounts in thousands
Principal Capital
Appreciation Account
Principal
LifeTime 2010 Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 943 $ 1,733 $ 100
$ 901
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (2,891) 1,188 258
1,263
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... 5,731 (2,462) 958
(2,628)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,783 459 1,316
(464)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(404)
–
(986)
Class 2 .........................................................................................
–
(3) N/A
N/A
From net realized gain on investments:
Class 1 .........................................................................................
–
(2,851)
–
–
Class 2 .........................................................................................
–
(134) N/A
N/A
Total Dividends and Distributions
–
(3,392)
–
(986)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 2,020 3,759 4,842
5,796
Class 2 ......................................................................................... 714 702 N/A
N/A
Shares issued in acquisition:
Class 1 ......................................................................................... N/A 139,230 N/A
N/A
Class 2 ......................................................................................... N/A 1,001 N/A
N/A
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
3,255
–
986
Class 2 .........................................................................................
–
137 N/A
N/A
Shares redeemed:
Class 1 ......................................................................................... (11,399) (21,791) (4,560)
(11,512)
Class 2 ......................................................................................... (626) (1,192) N/A
N/A
Net Increase (Decrease) in Net Assets from Capital Share Transactions (9,291) 125,101 282
(4,730)
Total Increase (Decrease) (5,508) 122,168 1,598
(6,180)
Net Assets
Beginning of period ................................................................................. 162,249 40,081 41,132
47,312
End of period (including undistributed net investment income as set forth below) ................ $ 156,741 $ 162,249 $ 42,730
$ 41,132
Undistributed (Overdistributed) Net Investment Income (Loss) ................................... $ 2,688 $ 1,745 $ 1,000
$ 900
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 ......................................................................................... 93 169 397
456
Class 2 ......................................................................................... 33 30 N/A
N/A
Shares issued in acquisition:
Class 1 ......................................................................................... N/A 6,089 N/A
N/A
Class 2 ......................................................................................... N/A 44 N/A
N/A
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
143
–
79
Class 2 .........................................................................................
–
6 N/A
N/A
Shares redeemed:
Class 1 ......................................................................................... (520) (967) (374)
(912)
Class 2 ......................................................................................... (28) (53) N/A
N/A
N
et Increase (Decrease) ............................................................................. (422) 5,461 23
(377)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 36
Amounts in thousands
Principal
LifeTime 2020 Account
Principal
LifeTime 2030 Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Operations
N
et investment income (loss) ....................................................................... $ 418 $ 3,660 $ 187
$ 1,988
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (271) 6,614 27
4,932
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(5,282)
–
(3,046)
Class 2 .........................................................................................
–
(1)
–
–
From net realized gain on investments:
Class 1 .........................................................................................
–
(9,330)
–
(4,446)
Class 2 .........................................................................................
–
(1)
–
(1)
Total Dividends and Distributions
–
(14,614)
–
(7,493)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 11,576 23,798 11,455
18,970
Class 2 .........................................................................................
–
26 16
28
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
14,612
–
7,492
Class 2 .........................................................................................
–
2
–
1
Shares redeemed:
Class 1 ......................................................................................... (16,427) (42,280) (10,565)
(18,013)
Class 2 ......................................................................................... (1)
–
(1)
(1)
Net Increase (Decrease) in Net Assets from Capital Share Transactions (4,852) (3,842) 905
8,477
Total Increase (Decrease) 6 (20,458) 3,265
(248)
Net Assets
Beginning of period ................................................................................. 191,012 211,470 116,717
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,118
–
630
Shares redeemed:
Class 1 ......................................................................................... (1,320) (3,106) (941)
(1,465)
N
et Increase (Decrease) ............................................................................. (398) (243) 85
717
(a) Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 37
Amounts in thousands
Principal
LifeTime 2040 Account
Principal
LifeTime 2050 Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Period
Ended June
30, 2016
Year Ended
December
31, 2015(a)
Operations
N
et investment income (loss) ....................................................................... $ 36 $ 690 $ 16
$ 339
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (142) 1,810 (71)
1,071
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(1,129)
–
(602)
Class 2 .........................................................................................
–
–
–
(1)
From net realized gain on investments:
Class 1 .........................................................................................
–
(1,632)
–
(1,069)
Class 2 .........................................................................................
–
(1)
–
(1)
Total Dividends and Distributions
–
(2,762)
–
(1,673)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 5,836 12,548 2,142
6,576
Class 2 ......................................................................................... 11 11
–
37
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
2,761
–
1,671
Class 2 .........................................................................................
–
1
–
2
Shares redeemed:
Class 1 ......................................................................................... (5,589) (9,118) (2,669)
(4,753)
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
Beginning of period ................................................................................. 45,271 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
196
–
123
Shares redeemed:
Class 1 ......................................................................................... (420) (639) (215)
(335)
N
et Increase (Decrease) ............................................................................. 27 429 (46)
264
(a) Period from May 1, 2015, date operations commenced, through December 31, 2015 for Class 2 shares.
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 38
Amounts in thousands
Principal
LifeTime 2060 Account
Principal LifeTime
Strategic Income Account
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 1 $ 28 $ 69
$ 625
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (7) 80 (39)
708
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(22)
–
(608)
From net realized gain on investments:
Class 1 .........................................................................................
–
(32)
–
–
Total Dividends and Distributions
–
(54)
–
(608)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 613 1,759 2,368
3,369
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
54
–
608
Shares redeemed:
Class 1 ......................................................................................... (246) (445) (2,225)
(8,724)
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
Beginning of period ................................................................................. 2,097 825 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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
5
–
54
Shares redeemed:
Class 1 ......................................................................................... (22) (36) (199)
(760)
N
et Increase (Decrease) ............................................................................. 33 111 12
(414)
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 39
Amounts in thousands
Real Estate
Securities Account SAM Balanced Portfolio
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 1,702 $ 2,514 $ 907
$ 16,480
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 8,890 14,073 (1,711)
50,604
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(2,423)
–
(22,820)
Class 2 .........................................................................................
–
(27)
–
(2,672)
From net realized gain on investments:
Class 1 .........................................................................................
–
(4,938)
–
(58,520)
Class 2 .........................................................................................
–
(56)
–
(7,497)
Total Dividends and Distributions
–
(7,444)
–
(91,509)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 9,275 18,700 9,074
24,942
Class 2 ......................................................................................... 348 1,699 3,845
9,886
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
7,361
–
81,340
Class 2 .........................................................................................
–
83
–
10,169
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)
629
Total Increase (Decrease) 13,842 (5,907) (29,713)
(97,312)
Net Assets
Beginning of period ................................................................................. 161,286 167,193 829,448
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
339
–
5,380
Class 2 .........................................................................................
–
4
–
678
Shares redeemed:
Class 1 ......................................................................................... (588) (1,458) (4,106)
(7,117)
Class 2 ......................................................................................... (17) (12) (402)
(762)
N
et Increase (Decrease) ............................................................................. (178) (226) (3,625)
349
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 40
Amounts in thousands
SAM Conservative
Balanced Portfolio
SAM Conservative
Growth Portfolio
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 500 $ 5,189 $ (142)
$ 4,017
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... (1,216) 8,204 (3,139)
18,450
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(6,438)
–
(4,461)
Class 2 .........................................................................................
–
(547)
–
(2,142)
From net realized gain on investments:
Class 1 .........................................................................................
–
(9,390)
–
(12,644)
Class 2 .........................................................................................
–
(857)
–
(6,779)
Total Dividends and Distributions
–
(17,232)
–
(26,026)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 6,690 18,108 6,830
20,596
Class 2 ......................................................................................... 579 4,029 3,512
13,112
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
15,828
–
17,105
Class 2 .........................................................................................
–
1,404
–
8,921
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
Beginning of period ................................................................................. 211,359 223,352 297,737
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,341
–
958
Class 2 .........................................................................................
–
120
–
505
Shares redeemed:
Class 1 ......................................................................................... (1,365) (2,420) (845)
(1,231)
Class 2 ......................................................................................... (107) (229) (265)
(577)
N
et Increase (Decrease) ............................................................................. (843) 614 (493)
1,465
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 41
Amounts in thousands
SAM
Flexible Income Portfolio
SAM
Strategic Growth Portfolio
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Operations
N
et investment income (loss) ....................................................................... $ 991 $ 7,074 $ (205)
$ 3,232
N
et 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)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(7,549)
–
(3,221)
Class 2 .........................................................................................
–
(733)
–
(1,996)
From net realized gain on investments:
Class 1 .........................................................................................
–
(5,112)
–
(10,578)
Class 2 .........................................................................................
–
(529)
–
(7,305)
Total Dividends and Distributions
–
(13,923)
–
(23,100)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 6,297 16,242 7,302
22,084
Class 2 ......................................................................................... 831 7,048 4,345
10,077
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
12,661
–
13,799
Class 2 .........................................................................................
–
1,262
–
9,301
Shares redeemed:
Class 1 ......................................................................................... (19,464) (28,075) (11,165)
(16,304)
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
Beginning of period ................................................................................. 221,936 235,145 238,002
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
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,011
–
712
Class 2 .........................................................................................
–
102
–
484
Shares redeemed:
Class 1 ......................................................................................... (1,574) (2,174) (614)
(798)
Class 2 ......................................................................................... (175) (416) (197)
(442)
N
et Increase (Decrease) ............................................................................. (1,177) 302 (168)
1,534
STATEMENTS OF CHANGES IN NET ASSETS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
(unaudited)
See accompanying notes. 42
Amounts in thousands Short-Term Income Account SmallCap Account(a)
Period
Ended June
30, 2016
Year Ended
December
31, 2015
Period
Ended June
30, 2016
Year Ended
December
31, 2015(b)
Operations
N
et investment income (loss) ....................................................................... $ 1,554 $ 3,583 $ 1,301
$ 581
N
et realized gain (loss) on investments, foreign currencies, futures,
options and swaptions, short sales, and swap agreements ......................................... 158 (32) (9,056)
8,464
Change in unrealized appreciation/depreciation of investments, futures, options and swaptions,
short sales, swap agreements, and translation of assets and liabilities in foreign currencies ...... 1,804 (1,547) 10,187
(19,142)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,516 2,004 2,432
(10,097)
Dividends and Distributions to Shareholders
From net investment income:
Class 1 .........................................................................................
–
(4,419)
–
(139)
Class 2 .........................................................................................
–
(40)
–
(3)
From net realized gain on investments:
Class 1 .........................................................................................
–
–
–
(6,835)
Class 2 .........................................................................................
–
–
–
(147)
Total Dividends and Distributions
–
(4,459)
–
(7,124)
Capital Share Transactions
Shares sold:
Class 1 ......................................................................................... 19,318 23,745 4,657
9,007
Class 2 ......................................................................................... 1,179 1,163 308
1,824
Shares issued in acquisition:
Class 1 ......................................................................................... N/A N/A N/A
166,992
Class 2 ......................................................................................... N/A N/A N/A
4,615
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
4,419
–
6,974
Class 2 .........................................................................................
–
40
–
150
Shares redeemed:
Class 1 ......................................................................................... (17,922) (132,587) (19,964)
(25,589)
Class 2 ......................................................................................... (261) (594) (203)
(1,567)
Net Increase (Decrease) in Net Assets from Capital Share Transactions 2,314 (103,814) (15,202)
162,406
Total Increase (Decrease) 5,830 (106,269) (12,770)
145,185
Net Assets
Beginning of period ................................................................................. 162,318 268,587 209,867
64,682
End of period (including undistributed net investment income as set forth below) ................ $ 168,148 $ 162,318 $ 197,097
$ 209,867
Undistributed (Overdistributed) Net Investment Income (Loss) ................................... $ 5,134 $ 3,580 $ 1,900
$ 599
Increase (Decrease) in Capital Shares
Shares sold:
Class 1 ......................................................................................... 7,520 9,199 364
627
Class 2 ......................................................................................... 461 449 25
121
Shares issued in acquisition:
Class 1 ......................................................................................... N/A N/A N/A
11,187
Class 2 ......................................................................................... N/A N/A N/A
309
Shares issued in reinvestment of dividends and distributions:
Class 1 .........................................................................................
–
1,740
–
475
Class 2 .........................................................................................
–
16
–
10
Shares redeemed:
Class 1 ......................................................................................... (6,994) (51,006) (1,543)
(1,754)
Class 2 ......................................................................................... (102) (231) (16)
(106)
N
et Increase (Decrease) ............................................................................. 885 (39,833) (1,170)
10,869
(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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
43
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
44
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:
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
45
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 over-
the-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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
46
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
International Account Emerging Markets Account
Euro 23.3% Hong Kong Dollar 19.9%
Japanese Yen 15.1 South Korean Won 14.4
Canadian Dollar 12.0 New Taiwan Dollar 12.7
British Pound Sterling 10.9 South African Rand 7.8
Swiss Franc 6.0 Indian Rupee 7.7
Hong Kong Dollar 5.0 Brazilian Real 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 ex-
dividend 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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
47
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
48
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
49
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 Number of Contracts Premium (thousands)
Beginning of year 410 $ 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 $ 384
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
50
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
51
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
52
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
53
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:
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.
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
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
54
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 Statement of Assets and Liabilities Location
Fair
Value Statement of Assets and Liabilities Location
Fair
Value
Core Plus Bond Account
Credit contracts Receivables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$
—
Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$ 382*
Interest rate contracts Receivables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$ 636*
Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$38
*
Total$ 636 $ 420
LargeCap Growth Account I
Equity contracts Receivables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$
—
Payables, Net Assets Consist of Net unrealized
appreciation (depreciation) of investments
$14
*
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
$ 158
*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
as hedging instruments
Location of Gain or (Loss) on Derivatives
Recognized in Statement of Operations
Realized Gain or (Loss) on Derivatives
Recognized in Statement of Operations
Change in Unrealized
Appreciation/(Depreciation) of
Derivatives Recognized in Statement
of Operations
Core Plus Bond Account
Credit contracts
N
et realized gain (loss) from Swap
agreements/Change in unrealized
appreciation/(depreciation) of Swap
agreements
$64
$ (403)
Interest rate contracts
N
et realized gain (loss) from Futures
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
$ 560
$ 537
Total $ 624 $ 134
LargeCap Growth Account I
Equity contracts
N
et realized gain (loss) from Futures
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
$ 250
$19
LargeCap S&P 500 Index Account
Equity contracts
N
et realized gain (loss) from Futures
contracts/Change in unrealized
appreciation/(depreciation) of Futures
contracts
$ (355)
$ (30)
LargeCap S&P 500 Managed Volatility Index Account
Equity contracts
N
et realized gain (loss) from Investment
transactions, Futures contracts, and Options
and swaptions/Change in unrealized
appreciation/(depreciation) of Investments,
Futures contracts, and Options and
swaptions
$ (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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
55
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.).
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
56
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):
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
Balanced Account
Bonds* $
—
$ 10,343 $ 15 $ 10,358
Common Stocks* 25,453
—
—
25,453
Investment Companies* 767
—
—
767
Senior Floating Rate Interests*
—
32
—
32
U.S. Government & Government Agency Obligations*
—
7,697
—
7,697
Total investments in securities $ 26,220 $ 18,072 $ 15 $ 44,307
Bond Market Index Account
Bonds* $
—
$ 710,104 $
—
$ 710,104
Investment Companies* 155,216
—
—
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
U.S. Government & Government Agency Obligations $
—
$ (510) $
—
$ (510)
Total Short Sales $
—
$ (510) $
—
$ (510)
Core Plus Bond Account
Bonds* $
—
$ 190,709 $ 75 $ 190,784
Convertible Bonds*
—
86
—
86
Investment Companies* 18,608
—
—
18,608
Preferred Stocks 1,389
—
—
1,389
Senior Floating Rate Interests*
—
5,927
—
5,927
U.S. Government & Government Agency Obligations*
—
113,061
—
113,061
Total investments in securities $ 19,997 $ 309,783 $ 75 $ 329,855
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
57
4. Fair Value (Continued)
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
Core Plus Bond Account (Con tinued)
Assets
Interest Rate Contracts**
Futures $ 636 $
—
$
—
$ 636
Liabilities
Credit Contracts**
Exchan
g
e Cleared Credit Default Swa
p
s $
—
$
(
382
)
$
—
$
(
382
)
Interest Rate Contracts**
Futures $
(
38
)
$
—
$
—
$
(
38
)
Diversified Balanced Account
Investment Companies* $ 1,079,026 $
—
$
—
$ 1,079,026
Total investments in securities $ 1,079,026 $
—
$
—
$ 1,079,026
Diversified Balanced Managed Volatility Account
Investment Companies* $ 154,818 $
—
$
—
$ 154,818
Total investments in securities $ 154,818 $
—
$
—
$ 154,818
Diversified Growth Account
Investment Companies* $ 3,400,517 $
—
$
—
$ 3,400,517
Total investments in securities $ 3,400,517 $
—
$
—
$ 3,400,517
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
Diversified International Account
Common Stocks
Basic Materials $ 2,668 $ 7,702 $
—
$ 10,370
Communications 725 31,394
—
32,119
Consumer, Cyclical 7,937 27,916
—
35,853
Consumer, Non-cyclical 4,401 38,564
—
42,965
Diversified
—
2,511
—
2,511
Energy 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
Utilities
—
9,464
—
9,464
Investment Companies* 1,159
—
—
1,159
Total investments in securities $ 46,042 $ 205,188 $
—
$ 251,230
Equity Income Account
Common Stocks* $ 532,897 $
—
$
—
$ 532,897
Investment Companies* 6,830
—
—
6,830
Total investments in securities $ 539,727 $
—
$
—
$ 539,727
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
58
4. Fair Value (Continued)
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
Government & High Quality Bond Account
Bonds* $
—
$ 81,536 $
—
$ 81,536
Investment Companies* 2,084
—
—
2,084
U.S. Government & Government Agency Obligations*
—
177,318
—
177,318
Total investments in securities $ 2,084 $ 258,854 $
—
$ 260,938
Income Account
Bonds* $
—
$ 152,717 $ 2,536 $ 155,253
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 $ 232,288 $ 2,536 $ 237,693
International Emerging Markets Account
Common Stocks
Basic Materials $ 306 $ 2,521 $
—
$ 2,827
Communications 2,684 13,888
—
16,572
Consumer, Cyclical 824 8,315
—
9,139
Consumer, Non-cyclical 2,196 5,365
—
7,561
Diversified
—
738
—
738
Energy 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
Utilities
—
3,179
—
3,179
Investment Companies* 1,362
—
—
1,362
Preferred Stocks
Basic Materials
—
651
—
651
Communications
—
43
—
43
Diversified
—
1,416
—
1,416
Financial
—
486
—
486
Total investments in securities $ 16,066 $ 70,167 $
—
$ 86,233
LargeCap Growth Account
Common Stocks* $ 99,213 $
—
$
—
$ 99,213
Investment Companies* 3,354
—
—
3,354
Total investments in securities $ 102,567 $
—
$
—
$ 102,567
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
59
4. Fair Value (Continued)
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
LargeCap Growth Account I
Common Stocks
Basic Materials $ 4,532 $
—
$
—
$ 4,532
Communications 50,799
—
30 50,829
Consumer, Cyclical 35,445
—
—
35,445
Consumer, Non-cyclical 67,130
—
—
67,130
Energy 239
—
—
239
Financial 18,411
—
—
18,411
Industrial 19,387
—
—
19,387
Technology 37,070
—
—
37,070
Utilities 26
—
—
26
Convertible Preferred Stocks
Communications
—
—
889 889
Investment Companies* 5,373
—
—
5,373
Preferred Stocks
Communications
—
—
257 257
Technology
—
281
—
281
Total investments in securities $ 238,412 $ 281 $ 1,176 $ 239,869
Liabilities
E
q
uit
y
Contracts**
Futures $
(
14
)
$
—
$
—
$
(
14
)
LargeCap S&P 500 Index Account
Common Stocks* $ 2,107,919 $
—
$
—
$ 2,107,919
Investment Companies* 53,048
—
—
53,048
Total investments in securities $ 2,160,967 $
—
$
—
$ 2,160,967
Assets
E
q
uit
y
Contracts**
Futures $ 211 $
—
$
—
$ 211
LargeCap S&P 500 Managed Volatility Index Account
Common Stocks* $ 171,225 $
—
$
—
$ 171,225
Investment Companies* 11,924
—
—
11,924
Purchased Options 398
—
—
398
Total investments in securities $ 183,547 $
—
$
—
$ 183,547
Assets
E
q
uit
y
Contracts**
Futures $ 15 $
—
$
—
$15
Liabilities
E
q
uit
y
Contracts**
O
p
tions $
(
158
)
$
—
$
—
$
(
158
)
LargeCap Value Account
Common Stocks* $ 137,219 $
—
$
—
$ 137,219
Investment Companies* 1,052
—
—
1,052
Total investments in securities $ 138,271 $
—
$
—
$ 138,271
MidCap Account
Common Stocks* $ 613,275 $
—
$
—
$ 613,275
Investment Companies* 6
—
—
6
Total investments in securities $ 613,281 $
—
$
—
$ 613,281
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
60
4. Fair Value (Continued)
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
Multi-Asset Income Account
Investment Companies* $20 $
—
$
—
$20
Total investments in securities $20 $
—
$
—
$20
Principal Capital Appreciation Account
Common Stocks* $ 154,990 $
—
$
—
$ 154,990
Investment Companies* 1,340
—
—
1,340
Total investments in securities $ 156,330 $
—
$
—
$ 156,330
Principal LifeTime 2010 Account
Investment Companies* $ 42,736 $
—
$
—
$ 42,736
Total investments in securities $ 42,736 $
—
$
—
$ 42,736
Principal LifeTime 2020 Account
Investment Companies* $ 191,024 $
—
$
—
$ 191,024
Total investments in securities $ 191,024 $
—
$
—
$ 191,024
Principal LifeTime 2030 Account
Investment Companies* $ 119,987 $
—
$
—
$ 119,987
Total investments in securities $ 119,987 $
—
$
—
$ 119,987
Principal LifeTime 2040 Account
Investment Companies* $ 46,073 $
—
$
—
$ 46,073
Total investments in securities $ 46,073 $
—
$
—
$ 46,073
Principal LifeTime 2050 Account
Investment Companies* $ 23,077 $
—
$
—
$ 23,077
Total investments in securities $ 23,077 $
—
$
—
$ 23,077
Principal LifeTime 2060 Account
Investment Companies* $ 2,492 $
—
$
—
$ 2,492
Total investments in securities $ 2,492 $
—
$
—
$ 2,492
Principal LifeTime Strategic Income Account
Investment Companies* $ 25,537 $
—
$
—
$ 25,537
Total investments in securities $ 25,537 $
—
$
—
$ 25,537
Real Estate Securities Account
Common Stocks* $ 173,208 $
—
$
—
$ 173,208
Investment Companies* 1,257
—
—
1,257
Total investments in securities $ 174,465 $
—
$
—
$ 174,465
SAM Balanced Portfolio
Investment Companies* $ 801,958 $
—
$
—
$ 801,958
Total investments in securities $ 801,958 $
—
$
—
$ 801,958
SAM Conservative Balanced Portfolio
Investment Companies* $ 210,319 $
—
$
—
$ 210,319
Total investments in securities $ 210,319 $
—
$
—
$ 210,319
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
61
4. Fair Value (Continued)
Account
Level 1 - Quoted
Prices
Level 2 - Other
Significant Observable
Inputs
Level 3 - Significant
Unobservable Inputs Totals (Level 1,2,3)
SAM Conservative Growth Portfolio
Investment Companies* $ 295,764 $
—
$
—
$ 295,764
Total investments in securities $ 295,764 $
—
$
—
$ 295,764
SAM Flexible Income Portfolio
Investment Companies* $ 218,729 $
—
$
—
$ 218,729
Total investments in securities $ 218,729 $
—
$
—
$ 218,729
SAM Strategic Growth Portfolio
Investment Companies* $ 239,322 $
—
$
—
$ 239,322
Total investments in securities $ 239,322 $
—
$
—
$ 239,322
Short-Term Income Account
Bonds* $
—
$ 163,721 $ 400 $ 164,121
Investment Companies* 2,812
—
—
2,812
U.S. Government & Government Agency Obligations*
—
325
—
325
Total investments in securities $ 2,812 $ 164,046 $ 400 $ 167,258
SmallCap Account
Common Stocks
Basic Materials $ 1,225 $
—
$
—
$ 1,225
Communications 5,932
—
4 5,936
Consumer, Cyclical 28,387
—
—
28,387
Consumer, Non-cyclical 39,298 9
—
39,307
Energy 7,715
—
—
7,715
Financial 49,501
—
—
49,501
Industrial 29,785
—
—
29,785
Technology 22,776
—
—
22,776
Utilities 8,799
—
—
8,799
Investment Companies* 4,636
—
—
4,636
Total investments in securities $ 198,054 $ 9 $ 4 $ 198,067
*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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
62
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):
Fund Asset Type
Fair Value at June 30,
2016 Valuation Technique Unobservable Input Input Value
Income Account Bonds $ 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):
Account
Value
December
31, 2015
Realized
Gain/
(Loss)
Accrued
Discounts/
Premiums
and Change
in Unrealized
Gain/(Loss) Purchases
Proceeds
from
Sales
Transfers
into Level
3*
Transfers
Out of
Level 3**
Fair Value
June 30,
2016
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments Held at
June 30, 2016
Income Account
Bonds $ 2,341 $
—
$
(
26
)
$ 221 $
—
$
—
$
—
$ 2,536 $
(
23
)
Total $ 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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
63
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)
First $100 Next $100 Next $100 Next $100 Thereafter
Balanced Account .60% .55% .50% .45% .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
Net Assets of Accounts (in millions)
First $250 Next $250 Next $250 Next $250 Thereafter
Diversified International Account .85% .80% .75% .70% .65%
International Emerging Markets Account 1.25 1.20 1.15 1.10 1.05
LargeCap Value Account .60 .55 .50 .45 .40
Net Assets of Account
(
in millions
)
First
$200
Next
$300
Over
$500
Short-Term Income Account .50% .45% .40%
Net Assets of Account (in millions)
First $500 Over $500
Principal Capital Appreciation Account .625% .50%
Net Assets of Account
First $500
million
Next $500
million
Next $1
billion
Next $1
billion
Over $3
billion
LargeCap Growth Account .68% .63% .61% .56% .51%
Net Assets of Accounts (in billions)
First $2 Over $2
Government & High Quality Bond Account .50% .45%
Income Account .50 .45
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
64
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
Class 1 Class 2 Expiration
Diversified Balanced Managed Volatility Account N/A .31% 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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
65
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):
Class 1 Class 2
Balanced Account 2,375 N/A
Bond Market Index Account 346 N/A
Core Plus Bond Account 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
LargeCap S&P 500 Index Account 13,174 15
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
SAM Conservative Growth Portfolio 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
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
66
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
Diversified Balanced Account 86,583 83,951
Diversified Balanced Managed Volatility Account 21,035 10,703
Diversified Growth Account 280,510 212,542
Diversified Growth Managed Volatility Account 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
Income Account 7,070 30,814
International Emerging Markets Account 56,607 59,793
LargeCap Growth Account 39,120 50,795
LargeCap Growth Account I 43,532 43,112
LargeCap S&P 500 Index Account 125,815 56,807
LargeCap S&P 500 Managed Volatility Index Account 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
Principal LifeTime Strategic Income Account 3,414 3,202
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
67
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):
Purchases Sales
Balanced Account $ 5,086
$ 5,534
Bond Market Index Account 666,374
609,121
Core Plus Bond Account 93,600
88,076
Government & High Quality Bond Account 11,492
15,827
Income Account 1,051
1,038
Short-Term Income Account
—
4
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
68
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):
Ordinary Income
Long-Term
Capital Gain Section 1250 Gain
2016 2015 2016 2015* 2016 2015^
Balanced Account $
—
$ 1,171 $
—
$ 2,911 $
—
$
—
Bond Market Index Account
—
28,036
—
—
—
—
Core Plus Bond Account
—
9,627
—
—
—
—
Diversified Balanced Account
—
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
69
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
Undistributed
Long-Term
Capital Gains
Accumulated
Losses
Net Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences*
Total
Accumulated
Earnings (Deficit)
Balanced Account $ 844 $ 2,308 $ — $ 2,374 $ — $ 5,526
Bond Market Index Account 37,263 — (5,501) (13,227) — 18,535
Core Plus Bond Account 9,410 — (36,155) (7,674) 17 (34,402)
Diversified Balanced Account 13,975 9,752 — 131,195 — 154,922
Diversified Balanced Managed Volatility Account 1,068 886 — (1,513) — 441
Diversified Growth Account 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)
Equity Income Account 14,477 26,547 — 178,614 — 219,638
Government & High Quality Bond Account 9,147 — (22,657) (2,887) (60) (16,457)
Income Account 10,626 — (1,973) 404 — 9,057
International Emerging Markets Account 1,002 — (24,772) (4,738) — (28,508)
LargeCap Growth Account 284 — (12,361) 27,541 — 15,464
LargeCap Growth Account I
—
19,879 — 61,783 (40) 81,622
LargeCap S&P 500 Index Account 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
Multi-Asset Income Account
—
— — (1) — (1)
Principal Capital Appreciation Account 1,744 1,187 — 31,117 — 34,048
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 29 80 — (144) — (35)
Principal LifeTime Strategic Income Account 626 — (133) 266 — 759
Real Estate Securities Account 2,560 13,725 — 44,714 — 60,999
SAM Balanced Portfolio 16,569 48,124 — 49,469 — 114,162
SAM Conservative Balanced Portfolio 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)
SmallCap Account 620 8,408 — (354) — 8,674
*Represents book-to-tax accounting differences.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
70
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: No Expiration
2016 2017 2018 Short-Term Long-Term Total
Bond Market Index Account $
—
$
—
$
—
$ — $ 5,501 $ 5,501
Core Plus Bond Account 10,511 23,287
—
941 1,416 36,155
Diversified International Account
—
97,737
—
— — 97,737
Government & High Quality Bond Account 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
Principal LifeTime Strategic Income Account
—
— 133 — — 133
Short-Term Income Account 8,447 8,298
—
137 — 16,882
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.
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
71
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
Accumulated
Net Realized
Gain on Investments Paid in Capital
Balanced Account $ 31 $ (31) $ —
Bond Market Index Account 4,427 (4,427) —
Core Plus Bond Account 774 (774) —
Diversified International Account 411 (17,215) 16,804
Equity Income Account (2,171) 2,172 (1)
Government & High Quality Bond Account 1,152 (1,152) —
Income Account 1,060 (1,060) —
International Emerging Markets Account (12) 12 —
LargeCap Growth Account I 14 1 (15)
LargeCap S&P 500 Index Account (43) 43 —
LargeCap S&P 500 Managed Volatility Index Account (1) 1 —
MidCap Account (117) 117 —
Principal Capital Appreciation Account
—
(1,102) 1,102
Short-Term Income Account
—
(106) 106
SmallCap Account 45 (150) 105
NOTES TO FINANCIAL STATEMENTS
PRINCIPAL VARIABLE CONTRACTS FUNDS,INC.
June 30, 2016 (unaudited)
72
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):
Unrealized
Appreciation
Unrealized
(Depreciation)
Net Unrealized
Appreciation (Depreciation)
Cost for Federal
Income Tax Purposes
Balanced Account $ 3,336
$ (888) $ 2,448 $ 41,859
Bond Market Index Account 64,967
(2,830) 62,137 2,176,475
Core Plus Bond Account 8,642
(4,456) 4,186 325,669
Diversified Balanced Account 184,032
(8,345) 175,687 903,339
Diversified Balanced Managed Volatility Account 6,460
(1,918) 4,542 150,276
Diversified Growth Account 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 International Account 31,561
(15,049) 16,512 234,718
Equity Income Account 210,375
(11,162) 199,213 340,514
Government & High Quality Bond Account 7,624
(5,325) 2,299 258,639
Income Account 15,034
(5,066) 9,968 227,725
International Emerging Markets Account 8,528
(3,950) 4,578 81,655
LargeCap Growth Account 16,273
(2,268) 14,005 88,562
LargeCap Growth Account I 58,347
(8,615) 49,732 190,137
LargeCap S&P 500 Index Account 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
MidCap Account 198,467
(16,124) 182,343 430,938
Multi-Asset Income Account
—
(1) (1) 21
Principal Capital Appreciation Account 40,791
(3,931) 36,860 119,470
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) 2,607
Principal LifeTime Strategic Income Account 1,625
(452) 1,173 24,364
Real Estate Securities Account 52,398
(613) 51,785 122,680
SAM Balanced Portfolio 94,447
(20,892) 73,555 728,403
SAM Conservative Balanced Portfolio 17,032
(3,931) 13,101 197,218
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
Short-Term Income Account 1,993
(1,194) 799 166,459
SmallCap Account 24,463
(14,568) 9,895 188,172
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.
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 73
COMMON STOCKS - 59.19% Shares Held Value (000's)
Advertising - 0.21%
Interpublic Group of Cos Inc/The 2,370 $ 55
WPP PLC ADR 360 37
$92
Aerospace & Defense - 0.66%
General Dynamics Corp 320 45
N
orthrop Grumman Corp 770 171
Spirit AeroSystems Holdings Inc (a) 1,590 68
$284
Agriculture - 0.92%
Altria Group Inc 4,050 279
British American Tobacco PLC ADR 498 64
Japan Tobacco Inc 1,265 51
$394
Airlines - 0.21%
Delta Air Lines Inc 1,370 50
Ryanair Holdings PLC ADR 389 27
Southwest Airlines Co 390 15
$92
Apparel - 0.22%
Michael Kors Holdings Ltd (a) 1,320 65
Skechers U.S.A. Inc (a) 980 29
$94
Automobile Manufacturers - 0.71%
Ford Motor Co 13,920 175
Fuji Heavy Industries Ltd ADR 298 20
General Motors Co 1,750 50
Toyota Motor Corp ADR 598 60
$305
Automobile Parts & Equipment - 0.73%
Bridgestone Corp ADR 1,687 27
Cooper Tire & Rubber Co 1,222 36
Goodyear Tire & Rubber Co/The 3,090 79
Lear Corp 1,528 156
Visteon Corp 250 17
$315
Banks - 3.70%
Bancolombia SA ADR 316 11
BankMandiri Persero TbkPT ADR 1,692 12
Bankof America Corp 7,230 96
Bankof Montreal 461 29
BankRakyat Indonesia Persero TbkPT ADR 778 13
BNP Paribas SA ADR 1,423 32
Central Pacific Financial Corp 1,520 36
Chemical Financial Corp 800 30
Citigroup Inc 1,301 55
Credicorp Ltd 86 13
FCB Financial Holdings Inc (a) 620 21
Hanmi Financial Corp 623 15
HDFC BankLtd ADR 436 29
IBERIABANK Corp 1,000 60
JPMorgan Chase & Co 10,677 663
Mitsubishi UFJ Financial Group Inc ADR 5,442 24
Sumitomo Mitsui Trust Holdings Inc ADR 7,117 23
SunTrust Banks Inc 6,240 256
Svenska Handelsbanken AB ADR 1,910 11
Toronto-Dominion Bank/The 674 29
Union Bankshares Corp 470 12
Wells Fargo & Co 2,250 107
Wilshire Bancorp Inc 1,540 16
$1,593
Beverages - 0.94%
Ambev SA ADR 6,369 38
Dr Pepper Snapple Group Inc 2,410 233
PepsiCo Inc 1,250 132
$403
Biotechnology - 2.23%
AMAG Pharmaceuticals Inc (a) 50 1
Amgen Inc 3,570 543
COMMON STOCKS (continued) Shares Held Value (000's)
Biotechnology (continued)
Bellicum Pharmaceuticals Inc (a) 340 $ 5
Charles River Laboratories International Inc
(a)
578 48
CSL Ltd ADR 866 36
Epizyme Inc (a) 310 3
Exact Sciences Corp (a) 565 7
Genocea Biosciences Inc (a) 965 4
Gilead Sciences Inc 3,450 288
Intercept Pharmaceuticals Inc (a) 30 4
SparkTherapeutics Inc (a) 120 6
Ultragenyx Pharmaceutical Inc (a) 120 6
Versartis Inc (a) 560 6
$957
Building Materials - 0.77%
Masco Corp 5,190 160
Owens Corning 1,770 91
Universal Forest Products Inc 450 42
US Concrete Inc (a) 640 39
$332
Chemicals - 1.46%
Cabot Corp 710 32
Dow Chemical Co/The 5,400 269
Lonza Group AG ADR(a) 1,829 30
LyondellBasell Industries NV 4,014 299
$630
Commercial Services - 1.36%
ABM Industries Inc 1,190 44
Brookfield Business Partners LP (a) 57 1
Equifax Inc 2,690 345
N
avigant Consulting Inc (a) 1,080 18
N
ew Oriental Education & Technology Group
Inc ADR
232 10
Ritchie Bros Auctioneers Inc 477 16
Sabre Corp 980 26
TAL Education Group ADR(a) 439 27
Total System Services Inc 1,880 100
$587
Computers - 3.73%
Accenture PLC - Class A 3,933 446
Amdocs Ltd 1,400 81
Apple Inc 7,598 726
CACI International Inc (a) 440 40
Manhattan Associates Inc (a) 700 45
SecureWorks Corp (a) 605 8
Sykes Enterprises Inc (a) 830 24
Synopsys Inc (a) 4,326 234
$1,604
Cosmetics & Personal Care - 0.28%
Procter & Gamble Co/The 570 48
Svenska Cellulosa AB SCA ADR 902 29
Unilever NV - NY shares 933 44
$121
Distribution & Wholesale - 0.09%
ITOCHU Corp ADR 467 11
SiteOne Landscape Supply Inc (a) 770 26
$37
Diversified Financial Services - 0.90%
CME Group Inc/IL 470 46
CoreLogic Inc/United States (a) 2,800 108
Macquarie Group Ltd ADR 499 25
Moelis & Co 690 15
ORIX Corp ADR 400 26
Synchrony Financial 232 6
T Rowe Price Group Inc 2,230 163
$389
Electric - 1.28%
Avista Corp 1,141 51
Enel SpA ADR 8,394 37
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 74
COMMON STOCKS (continued) Shares Held Value (000's)
Electric (continued)
Entergy Corp 1,539 $ 125
Exelon Corp 5,350 195
Iberdrola SA ADR 1,108 30
Korea Electric Power Corp ADR 1,313 34
PPL Corp 2,040 77
$549
Electrical Components & Equipment - 0.23%
Advanced Energy Industries Inc (a) 1,340 51
EnerSys 420 25
Insteel Industries Inc 740 21
$97
Electronics - 0.27%
Hoya Corp ADR 1,265 45
II-VI Inc (a) 1,400 26
Vishay Intertechnology Inc 3,730 46
$117
Engineering & Construction - 0.72%
Dycom Industries Inc (a) 230 21
EMCOR Group Inc 930 46
Fluor Corp 3,440 169
Vinci SA ADR 4,098 73
$309
Entertainment - 0.44%
Isle of Capri Casinos Inc (a) 1,284 24
Marriott Vacations Worldwide Corp 590 40
Vail Resorts Inc 915 126
$190
Environmental Control - 0.60%
Waste Management Inc 3,890 258
Food - 1.73%
Delhaize Group ADR 942 25
Ingredion Inc 1,950 252
Kroger Co/The 4,570 168
N
estle SA AD
R
815 63
SUPERVALU Inc (a) 6,660 31
Tyson Foods Inc 3,064 205
$744
Food Service - 0.03%
Compass Group PLC ADR 655 12
Gas - 0.20%
CenterPoint Energy Inc 2,318 56
Southwest Gas Corp 410 32
$88
Hand & Machine Tools - 0.59%
Stanley Black&Decker Inc 2,290 255
Healthcare - Products - 0.61%
Baxter International Inc 3,600 163
Cynosure Inc (a) 542 26
EndoChoice Holdings Inc (a) 610 3
ICU Medical Inc (a) 250 28
K2M Group Holdings Inc (a) 930 15
N
evro Corp (a) 290 21
STAAR Surgical Co (a) 830 5
$261
Healthcare - Services - 2.08%
Aetna Inc 300 37
Anthem Inc 2,757 362
Fresenius SE & Co KGaA ADR 1,588 29
HCA Holdings Inc (a) 2,767 213
HealthSouth Corp 639 25
ICON PLC (a) 418 29
N
atera Inc (a) 320 4
Teladoc Inc (a) 290 5
COMMON STOCKS (continued) Shares Held Value (000's)
Healthcare - Services (continued)
UnitedHealth Group Inc 1,340 $ 189
$893
Holding Companies - Diversified - 0.08%
CK Hutchison Holdings Ltd ADR 3,078 34
Home Builders - 0.03%
Persimmon PLC ADR 331 13
Insurance - 3.03%
Aflac Inc 5,920 427
American Financial Group Inc/OH 740 55
Argo Group International Holdings Ltd 381 20
Assured Guaranty Ltd 900 23
AXA SA ADR 1,487 30
Berkshire Hathaway Inc - Class B (a) 440 64
Everest Re Group Ltd 790 144
Hannover RueckSE ADR 670 35
Prudential Financial Inc 2,000 143
SCOR SE ADR 6,473 19
Travelers Cos Inc/The 1,440 171
Unum Group 5,440 173
$1,304
Internet - 3.30%
Alphabet Inc - A Shares (a) 487 343
Alphabet Inc - C Shares (a) 692 479
Amazon.com Inc (a) 200 143
FacebookInc (a) 3,010 344
GoDaddy Inc (a) 1,827 57
Tencent Holdings Ltd ADR 2,375 54
$1,420
Iron & Steel - 0.27%
N
ucor Corp 1,430 71
Steel Dynamics Inc 1,820 44
$115
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 2,070 44
BWX Technologies Inc 2,210 79
$123
Media - 1.55%
Comcast Corp - Class A 7,110 463
ITV PLC ADR 904 22
Scripps Networks Interactive Inc 2,900 181
$666
Mining - 0.11%
Kinross Gold Corp (a) 6,096 30
Yamana Gold Inc 3,100 16
$46
Miscellaneous Manufacturers - 1.24%
FUJIFILM Holdings Corp ADR 1,147 44
General Electric Co 2,370 75
Illinois Tool Works Inc 1,680 175
Ingersoll-Rand PLC 2,060 131
Parker-Hannifin Corp 620 67
Trinseo SA 940 40
$532
Oil & Gas - 3.13%
Callon Petroleum Co (a) 970 11
Canadian Natural Resources Ltd 1,214 37
Carrizo Oil & Gas Inc (a) 380 14
Chevron Corp 596 62
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 75
COMMON STOCKS (continued) Shares Held Value (000's)
Oil & Gas (continued)
Diamond Offshore Drilling Inc 5,240 $ 128
Exxon Mobil Corp 5,940 557
Helmerich & Payne Inc 890 60
Lukoil PJSC ADR 295 12
Murphy Oil Corp 6,160 196
Murphy USA Inc (a) 990 73
N
ewfield Exploration Co (a) 670 30
PDC Energy Inc (a) 190 11
Royal Dutch Shell PLC ADR 226 12
Tesoro Corp 1,900 142
$1,345
Oil & Gas Services - 0.08%
Pioneer Energy Services Corp (a) 1,000 5
Superior Energy Services Inc 600 11
Technip SA ADR 1,250 17
$33
Pharmaceuticals - 4.34%
AbbVie Inc 2,940 182
Array BioPharma Inc (a) 950 3
Bristol-Myers Squibb Co 1,400 103
Cardinal Health Inc 4,320 337
FibroGen Inc (a) 340 6
Johnson & Johnson 3,160 383
N
ektar Therapeutics (a) 630 9
N
eurocrine Biosciences Inc (a) 280 13
N
ovo NordiskA/S AD
R
1,173 63
Pfizer Inc 14,510 511
PRA Health Sciences Inc (a) 780 33
Prestige Brands Holdings Inc (a) 1,070 59
Proteon Therapeutics Inc (a) 520 4
Quintiles Transnational Holdings Inc (a) 450 29
Relypsa Inc (a) 330 6
Revance Therapeutics Inc (a) 250 3
Roche Holding AG ADR 2,202 73
Shire PLC ADR 263 49
$1,866
Pipelines - 0.13%
ONEOK Inc 420 20
TransCanada Corp 788 36
$56
Real Estate - 0.22%
Brookfield Asset Management Inc 2,895 96
REITS - 2.59%
CYS Investments Inc 2,230 19
Digital Realty Trust Inc 550 60
Duke Realty Corp 1,530 41
Equity One Inc 1,800 58
Equity Residential 440 30
Extra Space Storage Inc 890 82
First Industrial Realty Trust Inc 2,460 68
Highwoods Properties Inc 1,100 58
Kimco Realty Corp 2,300 72
Public Storage 670 171
Regency Centers Corp 1,870 157
Simon Property Group Inc 1,369 297
$1,113
Retail - 4.39%
CVS Health Corp 2,200 211
Darden Restaurants Inc 4,440 281
Dollar General Corp 620 58
Foot Locker Inc 1,250 69
Lowe's Cos Inc 3,360 266
McDonald's Corp 1,060 127
Michaels Cos Inc/The (a) 1,400 40
Pandora A/S ADR 1,060 36
Panera Bread Co (a) 140 30
Target Corp 3,754 262
Tile Shop Holdings Inc (a) 1,310 26
Walgreens Boots Alliance Inc 1,400 117
COMMON STOCKS (continued) Shares Held Value (000's)
Retail (continued)
Wal-Mart Stores Inc 4,510 $ 329
World Fuel Services Corp 780 37
$1,889
Savings & Loans - 0.11%
Banc of California Inc 1,460 26
Oritani Financial Corp 840 13
Pacific Premier Bancorp Inc (a) 360 9
$48
Semiconductors - 0.90%
ARM Holdings PLC ADR 635 29
Intel Corp 4,030 132
N
VIDIA Corp 3,290 155
Taiwan Semiconductor Manufacturing Co Ltd
ADR
972 25
Tokyo Electron Ltd ADR 2,153 45
$386
Software - 1.82%
Aspen Technology Inc (a) 960 39
BlackKnight Financial Services Inc (a) 720 27
Fiserv Inc (a) 914 99
Microsoft Corp 9,660 494
MSCI Inc 840 65
N
uance Communications Inc (a) 740 12
SYNNEX Corp 510 48
$784
Telecommunications - 3.24%
AT&T Inc 9,040 391
BT Group PLC ADR 906 25
China Mobile Ltd ADR 541 31
Cisco Systems Inc 19,520 560
Deutsche Telekom AG ADR 2,039 35
KDDI Corp ADR 3,257 49
N
ippon Telegraph & Telephone Corp AD
R
1,909 90
N
TT DOCOMO Inc ADR 1,115 30
Plantronics Inc 830 37
Verizon Communications Inc 2,596 145
$1,393
Transportation - 0.32%
Ardmore Shipping Corp 800 5
Canadian National Railway Co 790 47
Canadian Pacific Railway Ltd 90 12
East Japan Railway Co ADR 911 14
United Parcel Service Inc 560 60
$138
TOTAL COMMON STOCKS $ 25,453
INVESTMENT COMPANIES - 1.78% Shares Held Value (000's)
Money Market Funds - 1.78%
BlackRockLiquidity Funds FedFund Portfolio 767,499 767
TOTAL INVESTMENT COMPANIES $ 767
BONDS - 24.09%
Principal
Amount (000's) Value (000's)
Aerospace & Defense - 0.16%
Air 2 US
8.03%, 10/01/2020(b) $12$13
BAE Systems Holdings Inc
2.85%, 12/15/2020(b) 15 15
3.85%, 12/15/2025(b) 10 11
Lockheed Martin Corp
2.50%, 11/23/2020 5 5
3.55%, 01/15/2026 5 5
4.70%, 05/15/2046 10 12
United Technologies Corp
4.50%, 06/01/2042 5 6
$67
Agriculture - 0.26%
Altria Group Inc
4.50%, 05/02/2043 10 11
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 76
BONDS (continued)
Principal
Amount (000's) Value (000's)
Agriculture (continued)
BAT International Finance PLC
2.75%, 06/15/2020(b) $10$10
Philip Morris International Inc
1.88%, 02/25/2021 25 25
4.38%, 11/15/2041 10 11
Pinnacle Operating Corp
9.00%, 11/15/2020(b) 10 9
Reynolds American Inc
4.45%, 06/12/2025 15 17
5.70%, 08/15/2035 15 18
5.85%, 08/15/2045 5 7
6.88%, 05/01/2020 5 6
$114
Airlines - 0.21%
Air Canada
6.75%, 10/01/2019(b) 10 10
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028 9 10
American Airlines 2015-1 Class A Pass
Through Trust
3.38%, 11/01/2028 19 19
United Airlines 2014-1 Class A Pass Through
Trust
4.00%, 10/11/2027 14 15
United Airlines 2014-1 Class B Pass Through
Trust
4.75%, 10/11/2023 9 9
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028 15 16
US Airways 2001-1G Pass Through Trust
7.08%, 09/20/2022 1 1
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027 9 9
$89
Apparel - 0.03%
N
IKE Inc
3.88%, 11/01/2045 10 11
Automobile Asset Backed Securities - 2.16%
AmeriCredit Automobile Receivables 2016-1
1.20%, 06/10/2019(c) 200 200
AmeriCredit Automobile Receivables Trust
2015-3
0.96%, 01/08/2019(c) 68 68
Capital Auto Receivables Asset Trust 2014-2
1.26%, 05/21/2018(c) 190 190
Capital Auto Receivables Asset Trust 2015-2
0.85%, 10/20/2017(c) 126 126
Capital Auto Receivables Asset Trust 2016-1
1.15%, 11/20/2018(c) 20 20
CarMax Auto Owner Trust 2015-2
0.72%, 06/15/2018(c) 96 96
Chesapeake Funding LLC
1.69%, 04/07/2024(b),(c) 11 11
Drive Auto Receivables Trust 2015-D
1.31%, 06/15/2018(b),(c) 92 92
GM Financial Automobile Leasing Trust
2016-2
0.95%, 10/22/2018(c) 50 50
Honda Auto Receivables 2015-3 Owner
Trust
0.92%, 11/20/2017 77 77
$930
Automobile Floor Plan Asset Backed Securities - 0.64%
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(c) 200 200
BONDS (continued)
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$75
$275
Automobile Manufacturers - 0.50%
American Honda Finance Corp
2.45%, 09/24/2020 15 16
Ford Motor Co
7.40%, 11/01/2046 15 21
General Motors Co
3.50%, 10/02/2018 25 26
6.25%, 10/02/2043 5 6
General Motors Financial Co Inc
3.25%, 05/15/2018 10 10
Hyundai Capital America
2.55%, 02/06/2019(b) 60 61
N
avistar International Corp
8.25%, 11/01/2021 5 3
N
issan Motor Acceptance Corp
1.23%, 03/03/2017(b),(c) 30 30
Toyota Motor Credit Corp
1.02%, 01/17/2019(c) 25 25
2.00%, 10/24/2018 15 15
$213
Automobile Parts & Equipment - 0.03%
Dana Holding Corp
5.50%, 12/15/2024 5 5
Lear Corp
5.25%, 01/15/2025 10 10
$15
Banks - 2.45%
Associated Banc-Corp
2.75%, 11/15/2019 10 10
4.25%, 01/15/2025 20 21
Bankof America Corp
2.63%, 04/19/2021 40 41
3.50%, 04/19/2026 10 10
3.95%, 04/21/2025 15 15
4.10%, 07/24/2023 10 11
4.20%, 08/26/2024 20 21
4.25%, 10/22/2026 31 32
6.10%, 12/29/2049(c),(d) 10 10
Bankof New YorkMellon Corp/The
4.95%, 12/29/2049(c),(d) 30 30
Citigroup Inc
2.70%, 03/30/2021 15 15
3.40%, 05/01/2026 10 10
4.60%, 03/09/2026 5 5
4.75%, 05/18/2046 5 5
First Horizon National Corp
3.50%, 12/15/2020 20 20
Goldman Sachs Group Inc/The
2.38%, 01/22/2018 100 101
2.55%, 10/23/2019 20 20
3.50%, 01/23/2025 10 10
3.85%, 07/08/2024 10 11
4.25%, 10/21/2025 45 47
5.15%, 05/22/2045 15 16
5.38%, 03/15/2020 15 17
5.38%, 12/29/2049(c),(d) 25 25
6.75%, 10/01/2037 10 12
JPMorgan Chase & Co
1.63%, 05/15/2018 35 35
4.25%, 10/01/2027 10 11
4.40%, 07/22/2020 50 55
4.50%, 01/24/2022 10 11
4.95%, 06/01/2045 20 22
5.00%, 12/29/2049(c),(d) 20 19
5.63%, 08/16/2043 10 12
Morgan Stanley
2.38%, 07/23/2019 60 61
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 77
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Morgan Stanley (continued)
2.50%, 04/21/2021 $ 20$ 20
2.65%, 01/27/2020 5 5
4.00%, 07/23/2025 20 21
4.10%, 05/22/2023 70 73
4.88%, 11/01/2022 15 16
5.00%, 11/24/2025 30 33
5.55%, 12/29/2049(c),(d) 10 10
RBC USA Holdco Corp
5.25%, 09/15/2020 15 17
Royal Bankof Scotland Group PLC
5.13%, 05/28/2024 5 5
6.13%, 12/15/2022 5 5
US Bancorp
2.35%, 01/29/2021 30 31
Wells Fargo & Co
2.50%, 03/04/2021 25 26
2.60%, 07/22/2020 5 5
3.90%, 05/01/2045 10 10
4.40%, 06/14/2046 10 10
5.87%, 12/29/2049(c),(d) 55
5.90%, 12/29/2049(c),(d) 20 21
$1,054
Beverages - 0.63%
Anheuser-Busch Cos LLC
5.60%, 03/01/2017 25 26
Anheuser-Busch InBev Finance Inc
2.65%, 02/01/2021 70 73
3.30%, 02/01/2023 10 10
3.65%, 02/01/2026 65 70
4.70%, 02/01/2036 25 28
4.90%, 02/01/2046 30 35
Constellation Brands Inc
3.75%, 05/01/2021 15 15
Corp Lindley SA
6.75%, 11/23/2021(b) 78
6.75%, 11/23/2021 5 6
$271
Biotechnology - 0.20%
Celgene Corp
2.13%, 08/15/2018 25 25
2.88%, 08/15/2020 15 16
4.63%, 05/15/2044 5 5
5.00%, 08/15/2045 5 5
5.25%, 08/15/2043 5 6
Genzyme Corp
5.00%, 06/15/2020 15 17
Gilead Sciences Inc
3.05%, 12/01/2016 10 10
$84
Building Materials - 0.29%
Boise Cascade Co
6.38%, 11/01/2020 5 5
CRH America Inc
8.13%, 07/15/2018 45 51
Martin Marietta Materials Inc
1.73%, 06/30/2017(c) 65 65
N
orbord Inc
5.38%, 12/01/2020(b) 55
$126
Chemicals - 0.19%
A Schulman Inc
6.88%, 06/01/2023(b) 15 15
Agrium Inc
3.38%, 03/15/2025 20 20
Aruba Investments Inc
8.75%, 02/15/2023(b) 55
CF Industries Inc
4.95%, 06/01/2043 5 5
5.15%, 03/15/2034 10 10
BONDS (continued)
Principal
Amount (000's) Value (000's)
Chemicals (continued)
Dow Chemical Co/The
4.38%, 11/15/2042 $ 5$ 5
Eagle Spinco Inc
4.63%, 02/15/2021 5 5
LYB International Finance BV
4.88%, 03/15/2044 10 10
Monsanto Co
3.95%, 04/15/2045 5 5
$80
Commercial Mortgage Backed Securities - 2.15%
BCRR Trust 2009-1
5.86%, 07/17/2040(b) 25 25
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048 12 12
Citigroup Commercial Mortgage Trust 2015-
GC27
3.14%, 02/10/2048(c) 75 79
Citigroup Commercial Mortgage Trust 2015-
GC29
3.19%, 04/10/2048(c) 50 53
4.29%, 04/10/2048(c) 100 99
COMM 2014-CCRE17 Mortgage Trust
4.90%, 05/10/2047(c) 50 51
Credit Suisse First Boston Mortgage Securities
Corp
0.57%, 11/15/2037(b),(c),(e) 40 —
CSMC Series 2009-RR3
5.34%, 12/15/2043(b),(c) 25 25
GE Commercial Mortgage Corp Series 2007-
C1 Trust
5.61%, 12/10/2049(c) 100 97
GS Mortgage Securities Trust 2013-GCJ12
3.78%, 06/10/2046(c) 25 26
GS Mortgage Securities Trust 2015-GC34
3.51%, 10/10/2048(c) 125 135
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043 16 16
LB-UBS Commercial Mortgage Trust 2007-
C2
5.43%, 02/15/2040 8 8
Morgan Stanley Bankof America Merrill
Lynch Trust 2013-C9
3.46%, 05/15/2046 25 26
Morgan Stanley Bankof America Merrill
Lynch Trust 2014-C18
4.59%, 10/15/2047(c) 50 54
UBS Commercial Mortgage Trust 2012-C1
3.40%, 05/10/2045(c) 55 59
UBS-Barclays Commercial Mortgage Trust
2013-C5
3.18%, 03/10/2046(c) 15 16
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34
5.68%, 05/15/2046(c) 105 108
WFRBS Commercial Mortgage Trust 2013-
C12
1.54%, 03/15/2048(b),(c),(e) 563 35
$924
Commercial Services - 0.02%
Ahern Rentals Inc
7.38%, 05/15/2023(b) 53
Jurassic Holdings III Inc
6.88%, 02/15/2021(b) 53
TMS International Corp
7.63%, 10/15/2021(b) 54
$10
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 78
BONDS (continued)
Principal
Amount (000's) Value (000's)
Computers - 0.36%
Apple Inc
0.89%, 05/03/2018(c) $50$50
1.70%, 02/22/2019 5 5
2.85%, 05/06/2021 5 5
2.85%, 02/23/2023 5 5
3.45%, 02/09/2045 20 19
4.65%, 02/23/2046 15 17
Denali International LLC / Denali Finance
Corp
5.63%, 10/15/2020(b) 55
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(b) 55
4.42%, 06/15/2021(b) 15 16
6.02%, 06/15/2026(b) 10 11
7.13%, 06/15/2024(b) 55
Hewlett Packard Enterprise Co
6.20%, 10/15/2035(b) 10 10
$153
Consumer Products - 0.01%
Spectrum Brands Inc
5.75%, 07/15/2025 5 5
Credit Card Asset Backed Securities - 0.81%
BA Credit Card Trust
0.71%, 09/16/2019(c) 75 75
0.73%, 01/15/2020(c) 75 75
Barclays DryrockIssuance Trust
0.78%, 03/16/2020(c) 100 100
Citibank Credit Card Issuance Trust
0.65%, 08/24/2018(c) 100 100
$350
Distribution & Wholesale - 0.05%
Global Partners LP / GLP Finance Corp
7.00%, 06/15/2023 5 4
WW Grainger Inc
4.60%, 06/15/2045 15 18
$22
Diversified Financial Services - 0.46%
Aircastle Ltd
4.63%, 12/15/2018 5 5
5.00%, 04/01/2023 5 5
5.13%, 03/15/2021 10 10
Ally Financial Inc
3.25%, 11/05/2018 5 5
3.60%, 05/21/2018 15 15
CIT Group Inc
3.88%, 02/19/2019 10 10
Credit Acceptance Corp
6.13%, 02/15/2021 5 5
Intercontinental Exchange Inc
2.75%, 12/01/2020 15 16
International Lease Finance Corp
6.25%, 05/15/2019 5 5
N
ational Rural Utilities Cooperative Finance
Corp
4.75%, 04/30/2043(c) 10 10
N
avient Corp
6.13%, 03/25/2024 10 9
OneMain Financial Holdings LLC
7.25%, 12/15/2021(b) 10 10
Springleaf Finance Corp
5.25%, 12/15/2019 10 9
Synchrony Financial
2.70%, 02/03/2020 15 15
Visa Inc
2.20%, 12/14/2020 30 31
3.15%, 12/14/2025 15 16
4.30%, 12/14/2045 20 23
$199
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric - 1.19%
Alabama Power Co
3.75%, 03/01/2045 $ 10$ 10
3.85%, 12/01/2042 10 10
4.15%, 08/15/2044 10 11
CMS Energy Corp
3.00%, 05/15/2026 5 5
4.70%, 03/31/2043 5 6
4.88%, 03/01/2044 5 6
Commonwealth Edison Co
3.70%, 03/01/2045 10 10
3.80%, 10/01/2042 5 5
4.35%, 11/15/2045 5 6
Consolidated Edison Co of New YorkInc
4.50%, 12/01/2045 10 11
4.63%, 12/01/2054 10 12
Dominion Resources Inc/VA
3.90%, 10/01/2025 15 16
DTE Energy Co
6.38%, 04/15/2033 15 19
Dynegy Inc
7.38%, 11/01/2022 10 10
Edison International
3.75%, 09/15/2017 10 10
Electricite de France SA
2.35%, 10/13/2020(b) 20 20
3.63%, 10/13/2025(b) 10 10
4.95%, 10/13/2045(b) 56
Elwood Energy LLC
8.16%, 07/05/2026 15 17
Emera US Finance LP
2.70%, 06/15/2021(b) 10 10
Exelon Corp
2.85%, 06/15/2020 15 16
4.45%, 04/15/2046 5 5
Florida Power & Light Co
4.05%, 06/01/2042 10 11
4.13%, 02/01/2042 5 6
Kentucky Utilities Co
3.30%, 10/01/2025 15 16
Louisville Gas & Electric Co
3.30%, 10/01/2025 5 5
MidAmerican Energy Co
4.25%, 05/01/2046 10 11
N
orthern States Power Co/MN
3.40%, 08/15/2042 5 5
N
RG Energy Inc
6.25%, 05/01/2024 5 5
8.25%, 09/01/2020 10 10
Oncor Electric Delivery Co LLC
5.25%, 09/30/2040 5 6
Pacific Gas & Electric Co
3.50%, 06/15/2025 10 11
4.45%, 04/15/2042 5 6
PacifiCorp
3.85%, 06/15/2021 10 11
PPL Capital Funding Inc
3.10%, 05/15/2026 10 10
PPL Electric Utilities Corp
3.00%, 09/15/2021 5 5
4.75%, 07/15/2043 5 6
PPL WEM Ltd / Western Power Distribution
Ltd
5.38%, 05/01/2021(b) 25 28
Public Service Electric & Gas Co
4.15%, 11/01/2045 5 6
Puget Energy Inc
6.00%, 09/01/2021 15 18
Southern California Edison Co
3.60%, 02/01/2045 15 16
4.05%, 03/15/2042 15 16
Southern Co/The
2.95%, 07/01/2023 5 5
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 79
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
Southern Co/The (continued)
4.40%, 07/01/2046 $ 5$ 5
Virginia Electric & Power Co
4.00%, 01/15/2043 5 5
4.65%, 08/15/2043 5 6
Wisconsin Electric Power Co
4.30%, 12/15/2045 5 6
Xcel Energy Inc
2.40%, 03/15/2021 35 36
3.30%, 06/01/2025 10 11
$513
Electronics - 0.08%
Fortive Corp
2.35%, 06/15/2021(b) 55
3.15%, 06/15/2026(b) 10 10
Sanmina Corp
4.38%, 06/01/2019(b) 20 21
$36
Engineering & Construction - 0.06%
SBA Tower Trust
2.90%, 10/15/2044(b) 25 25
Entertainment - 0.32%
CCM Merger Inc
9.13%, 05/01/2019(b) 20 21
Churchill Downs Inc
5.38%, 12/15/2021(b) 35 36
CinemarkUSA Inc
4.88%, 06/01/2023 5 5
DreamWorks Animation SKG Inc
6.88%, 08/15/2020(b) 10 11
Lions Gate Entertainment Corp
5.25%, 08/01/2018 20 20
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(b) 55
Regal Entertainment Group
5.75%, 03/15/2022 5 5
WMG Acquisition Corp
6.00%, 01/15/2021(b) 13 13
WMG Holdings Corp
13.75%, 10/01/2019 19 20
$136
Environmental Control - 0.06%
Republic Services Inc
3.80%, 05/15/2018 25 26
Food - 0.33%
Arcor SAIC
6.00%, 07/06/2023(b),(f),(g) 15 15
BI-LO LLC / BI-LO Finance Corp
9.25%, 02/15/2019(b) 54
Ingles Markets Inc
5.75%, 06/15/2023 5 5
JBS USA LLC / JBS USA Finance Inc
5.75%, 06/15/2025(b) 55
JM Smucker Co/The
4.38%, 03/15/2045 10 11
Kraft Heinz Foods Co
2.80%, 07/02/2020(b) 15 16
4.38%, 06/01/2046(b) 25 26
5.00%, 07/15/2035(b) 56
Post Holdings Inc
7.75%, 03/15/2024(b) 56
Smithfield Foods Inc
5.88%, 08/01/2021(b) 55
TreeHouse Foods Inc
6.00%, 02/15/2024(b) 55
BONDS (continued)
Principal
Amount (000's) Value (000's)
Food (continued)
Wm Wrigley Jr Co
2.40%, 10/21/2018(b) $10$10
3.38%, 10/21/2020(b) 25 27
$141
Forest Products & Paper - 0.06%
Domtar Corp
6.25%, 09/01/2042 20 21
Tembec Industries Inc
9.00%, 12/15/2019(b) 54
$25
Gas - 0.04%
Dominion Gas Holdings LLC
2.80%, 11/15/2020 15 16
Healthcare - Products - 0.39%
Hill-Rom Holdings Inc
5.75%, 09/01/2023(b),(c) 55
Kinetic Concepts Inc / KCI USA Inc
10.50%, 11/01/2018 15 15
Mallinckrodt International Finance SA /
Mallinckrodt CB LLC
5.63%, 10/15/2023(b) 55
Medtronic Inc
2.50%, 03/15/2020 20 21
4.38%, 03/15/2035 19 21
4.63%, 03/15/2045 20 24
Universal Hospital Services Inc
7.63%, 08/15/2020 10 9
Zimmer Biomet Holdings Inc
2.70%, 04/01/2020 35 35
3.15%, 04/01/2022 20 21
3.55%, 04/01/2025 10 10
$166
Healthcare - Services - 0.83%
Aetna Inc
2.40%, 06/15/2021 20 20
2.75%, 11/15/2022 30 31
2.80%, 06/15/2023 25 26
3.20%, 06/15/2026 20 21
4.25%, 06/15/2036 10 10
4.38%, 06/15/2046 10 10
Anthem Inc
4.63%, 05/15/2042 10 11
Centene Corp
4.75%, 05/15/2022 10 10
5.75%, 06/01/2017 14 14
6.13%, 02/15/2024(b) 55
Cigna Corp
4.00%, 02/15/2022 5 5
4.38%, 12/15/2020 50 54
Fresenius Medical Care US Finance II Inc
5.88%, 01/31/2022(b) 56
HCA Inc
4.75%, 05/01/2023 10 10
5.25%, 04/15/2025 20 21
5.88%, 03/15/2022 5 6
Molina Healthcare Inc
5.38%, 11/15/2022(b) 55
MPH Acquisition Holdings LLC
7.13%, 06/01/2024(b) 55
UnitedHealth Group Inc
1.90%, 07/16/2018 10 10
4.63%, 07/15/2035 55 64
4.75%, 07/15/2045 5 6
WellCare Health Plans Inc
5.75%, 11/15/2020 5 5
$355
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 80
BONDS (continued)
Principal
Amount (000's) Value (000's)
Holding Companies - Diversified - 0.01%
Argos Merger Sub Inc
7.13%, 03/15/2023(b) $5$5
Home Builders - 0.10%
Beazer Homes USA Inc
6.63%, 04/15/2018 15 15
Lennar Corp
4.13%, 12/01/2018 5 5
4.75%, 11/15/2022(c) 55
WCI Communities Inc
6.88%, 08/15/2021 15 15
Woodside Homes Co LLC / Woodside Homes
Finance Inc
6.75%, 12/15/2021(b) 55
$45
Home Equity Asset Backed Securities - 0.05%
Specialty Underwriting & Residential Finance
Trust Series 2004-BC1
1.22%, 02/25/2035(c) 21 20
Housewares - 0.03%
N
ewell Brands Inc
3.15%, 04/01/2021 5 5
3.85%, 04/01/2023 5 6
$11
Insurance - 1.10%
American International Group Inc
3.30%, 03/01/2021 15 15
Chubb INA Holdings Inc
2.30%, 11/03/2020 45 46
3.35%, 05/03/2026 25 27
CNO Financial Group Inc
4.50%, 05/30/2020 10 10
Liberty Mutual Group Inc
7.00%, 03/07/2067(b),(c) 15 13
Markel Corp
5.00%, 04/05/2046 15 16
Metropolitan Life Global Funding I
2.30%, 04/10/2019(b) 150 154
Prudential Financial Inc
5.38%, 05/15/2045(c) 15 15
Teachers Insurance & Annuity Association of
America
4.90%, 09/15/2044(b) 15 17
TIAA Asset Management Finance Co LLC
2.95%, 11/01/2019(b) 40 41
Travelers Cos Inc/The
3.75%, 05/15/2046 10 10
Voya Financial Inc
5.65%, 05/15/2053(c) 30 28
XLIT Ltd
4.45%, 03/31/2025 60 61
5.50%, 03/31/2045 20 20
$473
Internet - 0.01%
Zayo Group LLC / Zayo Capital Inc
6.00%, 04/01/2023 5 5
Iron & Steel - 0.20%
AK Steel Corp
7.63%, 05/15/2020 5 5
ArcelorMittal
8.00%, 10/15/2039(c) 20 19
Commercial Metals Co
7.35%, 08/15/2018 25 26
Signode Industrial Group Lux SA/Signode
Industrial Group US Inc
6.38%, 05/01/2022(b) 10 10
BONDS (continued)
Principal
Amount (000's) Value (000's)
Iron & Steel (continued)
Vale Overseas Ltd
5.88%, 06/10/2021 $ 25$ 25
$85
Leisure Products & Services - 0.02%
N
CL Corp Ltd
4.63%, 11/15/2020(b) 55
5.25%, 11/15/2019(b) 55
$10
Lodging - 0.09%
Boyd Gaming Corp
6.88%, 05/15/2023 5 6
MGM Growth Properties Operating
Partnership LP / MGP Escrow Co-Issuer Inc
5.63%, 05/01/2024(b) 55
MGM Resorts International
6.00%, 03/15/2023 5 5
6.63%, 12/15/2021 5 6
Wyndham Worldwide Corp
2.50%, 03/01/2018 15 15
$37
Machinery - Construction & Mining - 0.01%
Vander Intermediate Holding II Corp
9.75%, PIK 10.50%, 02/01/2019(b),(h) 53
Media - 0.84%
21st Century Fox America Inc
4.75%, 09/15/2044 10 11
5.40%, 10/01/2043 5 6
CCO Holdings LLC / CCO Holdings Capital
Corp
5.13%, 05/01/2023(b) 15 15
5.75%, 02/15/2026(b) 55
Charter Communications Operating LLC /
Charter Communications Operating Capital
4.91%, 07/23/2025(b) 25 27
6.83%, 10/23/2055(b) 10 12
Comcast Corp
2.75%, 03/01/2023 35 37
3.38%, 02/15/2025 5 5
4.60%, 08/15/2045 5 6
6.40%, 03/01/2040 20 28
6.50%, 11/15/2035 5 7
DISH DBS Corp
4.25%, 04/01/2018 5 5
5.88%, 07/15/2022 15 15
5.88%, 11/15/2024 5 5
7.88%, 09/01/2019 10 11
Grupo Televisa SAB
6.63%, 01/15/2040 35 40
RCN Telecom Services LLC / RCN Capital
Corp
8.50%, 08/15/2020(b) 10 10
Time Warner Cable Inc
6.75%, 07/01/2018 5 5
Time Warner Inc
2.10%, 06/01/2019 10 10
2.95%, 07/15/2026 5 5
3.60%, 07/15/2025 10 11
3.88%, 01/15/2026 5 5
4.05%, 12/15/2023 5 6
4.65%, 06/01/2044 10 11
4.85%, 07/15/2045 10 11
6.25%, 03/29/2041 5 6
Viacom Inc
4.85%, 12/15/2034 15 14
Walt Disney Co/The
2.30%, 02/12/2021 10 10
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 81
BONDS (continued)
Principal
Amount (000's) Value (000's)
Media (continued)
WideOpenWest Finance LLC /
WideOpenWest Capital Corp
13.38%, 10/15/2019 $ 20$ 21
$360
Metal Fabrication & Hardware - 0.01%
Wise Metals Intermediate Holdings LLC/Wise
Holdings Finance Corp
9.75%, PIK 10.50%, 06/15/2019(b),(h) 11 6
Mining - 0.08%
BarrickNorth America Finance LLC
4.40%, 05/30/2021 10 11
BHP Billiton Finance USA Ltd
2.05%, 09/30/2018 10 10
FMG Resources August 2006 Pty Ltd
6.88%, 04/01/2022(b) 55
9.75%, 03/01/2022(b) 55
TasekoMinesLtd
7.75%, 04/15/2019 5 3
$34
Miscellaneous Manufacturers - 0.34%
Bombardier Inc
7.50%, 03/15/2025(b) 54
General Electric Co
5.30%, 02/11/2021 70 81
Ingersoll-Rand Global Holding Co Ltd
2.88%, 01/15/2019 10 11
5.75%, 06/15/2043 5 6
Ingersoll-Rand Luxembourg Finance SA
2.63%, 05/01/2020 15 15
3.55%, 11/01/2024 15 16
Tyco International Finance SA
5.13%, 09/14/2045 10 12
$145
Mortgage Backed Securities - 0.04%
Fannie Mae Interest Strip
4.50%, 10/25/2035(c),(e) 180 8
Freddie Mac REMICS
3.50%, 02/15/2025(c),(e) 222 10
$18
Office & Business Equipment - 0.05%
Xerox Corp
2.95%, 03/15/2017 5 5
3.50%, 08/20/2020 10 10
6.75%, 02/01/2017 5 5
$20
Oil & Gas - 1.27%
Anadarko Petroleum Corp
3.45%, 07/15/2024 10 10
4.85%, 03/15/2021 55 58
5.55%, 03/15/2026 10 11
Apache Corp
4.75%, 04/15/2043 5 5
Baytex Energy Corp
5.13%, 06/01/2021(b) 54
BP Capital Markets PLC
1.17%, 05/10/2019(c) 50 50
3.12%, 05/04/2026 5 5
Chaparral Energy Inc
0.00%, 11/15/2022(a) 10 6
Chesapeake Energy Corp
8.00%, 12/15/2022(b) 76
ConocoPhillips Co
1.53%, 05/15/2022(c) 20 19
Continental Resources Inc/OK
3.80%, 06/01/2024 5 4
4.50%, 04/15/2023 5 5
5.00%, 09/15/2022 5 5
BONDS (continued)
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
Denbury Resources Inc
5.50%, 05/01/2022 $ 10$ 7
Devon Energy Corp
2.25%, 12/15/2018 30 30
Ecopetrol SA
5.88%, 05/28/2045 5 4
Encana Corp
5.15%, 11/15/2041 10 8
EP Energy LLC / Everest Acquisition Finance
Inc
9.38%, 05/01/2020 20 14
Exxon Mobil Corp
1.71%, 03/01/2019 55 56
2.22%, 03/01/2021 20 21
Halcon Resources Corp
8.63%, 02/01/2020(b) 55
Kerr-McGee Corp
7.88%, 09/15/2031 5 6
N
abors Industries Inc
2.35%, 09/15/2016 10 10
N
orthern Blizzard Resources Inc
7.25%, 02/01/2022(b) 65
Oasis Petroleum Inc
6.50%, 11/01/2021 10 9
PDC Energy Inc
7.75%, 10/15/2022 10 10
Petrobras Global Finance BV
4.38%, 05/20/2023 5 4
8.38%, 05/23/2021 15 15
Petroleos Mexicanos
5.50%, 02/04/2019(b) 10 11
6.88%, 08/04/2026(b) 10 11
8.00%, 05/03/2019 25 28
Phillips 66
4.65%, 11/15/2034 10 11
Pioneer Natural Resources Co
3.45%, 01/15/2021 20 21
4.45%, 01/15/2026 5 5
QEP Resources Inc
5.25%, 05/01/2023 10 9
Repsol Oil & Gas Canada Inc
7.75%, 06/01/2019 25 27
Shell International Finance BV
4.00%, 05/10/2046 5 5
Sunoco LP / Sunoco Finance Corp
5.50%, 08/01/2020(b) 55
6.38%, 04/01/2023(b) 55
Whiting Petroleum Corp
5.75%, 03/15/2021 5 5
Woodside Finance Ltd
3.65%, 03/05/2025(b) 55
WPX Energy Inc
7.50%, 08/01/2020 5 5
$545
Oil & Gas Services - 0.02%
Schlumberger Investment SA
3.30%, 09/14/2021(b) 55
Seventy Seven Operating LLC
0.00%, 11/15/2019(a) 53
$8
Other Asset Backed Securities - 0.12%
Countrywide Asset-Backed Certificates
2.06%, 01/25/2034(c) 37 34
JP Morgan Mortgage Acquisition Trust 2007-
CH3
0.60%, 03/25/2037(c) 19 19
$53
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 82
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) $5$5
Coveris Holding Corp
10.00%, 06/01/2018(b) 15 15
Crown Cork&Seal CoInc
7.38%, 12/15/2026 8 9
Packaging Corp of America
4.50%, 11/01/2023 20 21
Reynolds Group Issuer Inc / Reynolds Group
Issuer LLC / Reynolds Group Issuer
(Luxembourg) S.A.
5.75%, 10/15/2020 30 31
WestRock RKT Co
3.50%, 03/01/2020 30 31
$112
Pharmaceuticals - 0.43%
AbbVie Inc
1.80%, 05/14/2018 50 50
2.50%, 05/14/2020 25 26
4.70%, 05/14/2045 10 11
Actavis Funding SCS
3.45%, 03/15/2022 25 26
3.80%, 03/15/2025 5 5
Baxalta Inc
4.00%, 06/23/2025 5 5
Forest Laboratories LLC
5.00%, 12/15/2021(b) 56
Johnson & Johnson
3.70%, 03/01/2046 15 17
Merck& Co Inc
1.30%, 05/18/2018 20 20
N
ovartis Capital Corp
4.00%, 11/20/2045 10 11
Valeant Pharmaceuticals International Inc
5.38%, 03/15/2020(b) 54
5.63%, 12/01/2021(b) 54
$185
Pipelines - 0.59%
BoardwalkPipelines LP
3.38%, 02/01/2023 15 14
Columbia Pipeline Group Inc
3.30%, 06/01/2020 20 21
Enbridge Inc
1.14%, 06/02/2017(c) 30 29
Energy Transfer Equity LP
5.88%, 01/15/2024 5 5
Energy Transfer Partners LP
4.05%, 03/15/2025 5 5
4.90%, 03/15/2035 5 4
EnLinkMidstream Partners LP
4.15%, 06/01/2025 20 18
4.40%, 04/01/2024 15 14
5.05%, 04/01/2045 10 8
Enterprise Products Operating LLC
3.70%, 02/15/2026 5 5
4.90%, 05/15/2046 10 11
Kinder Morgan Energy Partners LP
4.70%, 11/01/2042 15 14
5.63%, 09/01/2041 5 5
Kinder Morgan Inc/DE
3.05%, 12/01/2019 10 10
MPLX LP
4.88%, 06/01/2025(b) 22
ONEOK Partners LP
4.90%, 03/15/2025 10 10
Sabine Pass Liquefaction LLC
5.63%, 03/01/2025 20 20
Tesoro Logistics LP / Tesoro Logistics
Finance Corp
6.13%, 10/15/2021 10 10
BONDS (continued)
Principal
Amount (000's) Value (000's)
Pipelines (continued)
TransCanada PipeLines Ltd
4.63%, 03/01/2034 $ 10$ 11
5.00%, 10/16/2043 5 6
7.13%, 01/15/2019 5 6
Western Gas Partners LP
4.65%, 07/01/2026(f),(g) 55
5.45%, 04/01/2044 15 14
Williams Partners LP
3.60%, 03/15/2022 10 9
$256
Private Equity - 0.01%
Icahn Enterprises LP / Icahn Enterprises
Finance Corp
6.00%, 08/01/2020 5 5
Real Estate - 0.08%
American Campus Communities Operating
Partnership LP
3.35%, 10/01/2020 10 10
4.13%, 07/01/2024 10 11
Crescent Resources LLC / Crescent Ventures
Inc
10.25%, 08/15/2017(b) 10 10
Prologis LP
3.75%, 11/01/2025 5 5
$36
REITS - 0.51%
American Tower Corp
3.50%, 01/31/2023 5 5
AvalonBay Communities Inc
2.95%, 05/11/2026 15 15
Brixmor Operating Partnership LP
4.13%, 06/15/2026 5 5
DDR Corp
3.63%, 02/01/2025 10 10
DuPont Fabros Technology LP
5.88%, 09/15/2021 5 5
Equinix Inc
4.88%, 04/01/2020 5 5
5.38%, 01/01/2022 5 5
5.38%, 04/01/2023 5 5
Essex Portfolio LP
3.38%, 04/15/2026 25 26
Hospitality Properties Trust
4.25%, 02/15/2021 20 21
Iron Mountain US Holdings Inc
5.38%, 06/01/2026(b) 10 10
iStar Inc
4.88%, 07/01/2018 5 5
6.50%, 07/01/2021 10 10
9.00%, 06/01/2017 5 5
Kimco Realty Corp
3.40%, 11/01/2022 5 5
4.25%, 04/01/2045 15 15
Retail Properties of America Inc
4.00%, 03/15/2025 15 15
Select Income REIT
4.15%, 02/01/2022 15 15
Simon Property Group LP
2.50%, 09/01/2020 5 5
2.50%, 07/15/2021 15 16
Ventas Realty LP
3.13%, 06/15/2023 15 15
$218
Retail - 0.67%
BMC StockHoldings Inc
9.00%, 09/15/2018(b) 15 16
CVS Health Corp
2.80%, 07/20/2020 15 16
4.75%, 12/01/2022 25 29
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 83
BONDS (continued)
Principal
Amount (000's) Value (000's)
Retail (continued)
CVS Health Corp (continued)
5.00%, 12/01/2024 $ 10$ 12
5.13%, 07/20/2045 10 13
CVS Pass-Through Trust
7.51%, 01/10/2032(b) 45
Dollar Tree Inc
5.75%, 03/01/2023(b) 55
Home Depot Inc/The
3.35%, 09/15/2025 20 22
JC Penney Corp Inc
5.65%, 06/01/2020 15 14
KFC Holding Co/Pizza Hut Holdings
LLC/Taco Bell of America LLC
5.00%, 06/01/2024(b) 55
L Brands Inc
6.88%, 11/01/2035 5 5
Landry's Holdings II Inc
10.25%, 01/01/2018(b) 15 15
Macy's Retail Holdings Inc
5.90%, 12/01/2016 36 37
McDonald's Corp
2.10%, 12/07/2018 15 15
2.75%, 12/09/2020 25 26
3.70%, 01/30/2026 10 11
4.88%, 12/09/2045 25 29
Michaels Stores Inc
5.88%, 12/15/2020(b) 55
Target Corp
3.63%, 04/15/2046 5 5
Tops Holding LLC / Tops Markets II Corp
8.00%, 06/15/2022(b) 54
$289
Software - 0.14%
Fidelity National Information Services Inc
2.85%, 10/15/2018 10 11
First Data Corp
5.00%, 01/15/2024(b) 55
Microsoft Corp
2.00%, 11/03/2020 5 5
MSCI Inc
5.75%, 08/15/2025(b) 55
Oracle Corp
1.90%, 09/15/2021(f) 15 15
2.65%, 07/15/2026(f) 10 10
4.00%, 07/15/2046(f) 55
4.38%, 05/15/2055 5 5
$61
Sovereign - 0.26%
Hungary Government International Bond
5.38%, 02/21/2023 10 11
Peruvian Government International Bond
5.63%, 11/18/2050 15 19
Poland Government International Bond
3.25%, 04/06/2026 50 51
Romanian Government International Bond
4.88%, 01/22/2024(b) 30 33
$114
Student Loan Asset Backed Securities - 0.38%
N
avient Student Loan Trust 2014-8
0.73%, 08/25/2020(c) 20 20
N
avient Student Loan Trust 2015-1
0.75%, 09/26/2022(c) 80 80
SLM Private Education Loan Trust 2012-E
1.19%, 10/16/2023(b),(c) 18 18
SLM Private Education Loan Trust 2013-A
1.04%, 08/15/2022(b),(c) 45 45
$163
Telecommunications - 1.03%
AT&T Inc
1.58%, 11/27/2018(c) 10 10
BONDS (continued)
Principal
Amount (000's) Value (000's)
Telecommunications (continued)
AT&T Inc (continued)
2.38%, 11/27/2018 $ 5$ 5
2.45%, 06/30/2020 45 46
3.60%, 02/17/2023 25 26
3.80%, 03/15/2022 20 21
4.13%, 02/17/2026 5 5
4.50%, 05/15/2035 10 10
6.00%, 08/15/2040 15 18
6.38%, 03/01/2041 10 12
CC Holdings GS V LLC / Crown Castle GS
III Corp
3.85%, 04/15/2023 30 32
Cisco Systems Inc
1.60%, 02/28/2019 5 5
2.20%, 02/28/2021 20 21
Frontier Communications Corp
11.00%, 09/15/2025 10 10
10.50%, 09/15/2022 10 11
Goodman NetworksInc
12.13%, 07/01/2018 5 3
Intelsat Luxembourg SA
8.13%, 06/01/2023 15 4
Level 3 Communications Inc
5.75%, 12/01/2022 5 5
Level 3 Financing Inc
5.38%, 01/15/2024 10 10
6.13%, 01/15/2021 5 5
Sprint Capital Corp
6.88%, 11/15/2028 10 8
Sprint Communications Inc
6.00%, 11/15/2022 10 8
7.00%, 08/15/2020 10 9
9.13%, 03/01/2017 3 3
T-Mobile USA Inc
6.25%, 04/01/2021 10 11
6.50%, 01/15/2026 5 5
6.63%, 04/28/2021 5 5
Verizon Communications Inc
1.35%, 06/09/2017 25 25
2.41%, 09/14/2018(c) 50 51
4.52%, 09/15/2048 3 3
5.01%, 08/21/2054 17 18
5.15%, 09/15/2023 25 29
Vodafone Group PLC
2.50%, 09/26/2022 10 10
$444
Transportation - 0.35%
Burlington Northern Santa Fe LLC
3.85%, 09/01/2023 10 11
5.05%, 03/01/2041 15 18
CSX Corp
3.70%, 10/30/2020 15 16
3.95%, 05/01/2050 5 5
5.50%, 04/15/2041 10 13
Eletson Holdings Inc
9.63%, 01/15/2022(b) 54
FedEx Corp
4.55%, 04/01/2046 10 11
4.75%, 11/15/2045 25 28
HornbeckOffshore Services Inc
5.00%, 03/01/2021 10 6
N
avios Maritime Acquisition Corp / Navios
Acquisition Finance US Inc
8.13%, 11/15/2021(b) 20 16
N
avios Maritime Holdings Inc / Navios
Maritime Finance II US Inc
7.38%, 01/15/2022(b) 10 4
N
avios South American Logistics Inc / Navios
Logistics Finance US Inc
7.25%, 05/01/2022(b) 53
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 84
BONDS (continued)
Principal
Amount (000's) Value (000's)
Transportation (continued)
Union Pacific Corp
4.38%, 11/15/2065 $ 15$ 16
$151
Trucking & Leasing - 0.02%
PenskeTruckLeasing Co Lp / PTL Finance
Corp
3.38%, 02/01/2022(b) 10 10
TOTAL BONDS $ 10,358
SENIOR FLOATING RATE INTERESTS -
0.07%
Principal
Amount (000's) Value (000's)
Forest Products & Paper - 0.01%
Caraustar Industries Inc, Term Loan B
8.00%, 04/26/2019(c) $5$4
Oil & Gas - 0.02%
Seadrill Operating LP, Term Loan B
4.00%, 02/12/2021(c) 20 9
Packaging & Containers - 0.01%
SIG Combibloc PurchaseCo Sarl, Term Loan
B
4.25%, 03/11/2022(c) 55
Retail - 0.01%
Academy Ltd, Term Loan B
5.00%, 06/16/2022(c) 44
Semiconductors - 0.02%
Avago Technologies Cayman Finance Ltd,
Term Loan B1
4.25%, 11/11/2022(c) 10 10
TOTAL SENIOR FLOATING RATE INTERESTS $ 32
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS - 17.90%
Principal
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) 78
6.00%, 08/01/2037 25 29
6.00%, 01/01/2038(c) 55
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 90
2.50%, 07/01/2031(i) 240 248
3.00%, 06/01/2027 176 187
3.00%, 07/01/2031(i) 45 47
3.00%, 10/01/2034 41 43
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.00%, 07/01/2043 $ 47$ 49
3.00%, 07/01/2046(i) 215 223
3.50%, 10/01/2033 74 79
3.50%, 05/01/2043 54 58
3.50%, 07/01/2043 201 215
3.50%, 08/01/2043 77 82
3.50%, 09/01/2044 88 94
3.50%, 11/01/2044 100 106
3.50%, 07/01/2045(i) 395 417
4.00%, 08/01/2020 4 4
4.00%, 02/01/2031 6 6
4.00%, 06/01/2031 15 16
4.00%, 03/01/2041 22 23
4.00%, 05/01/2045 201 217
4.00%, 12/01/2045 24 26
4.50%, 05/01/2040 78 87
4.50%, 11/01/2045 41 45
5.00%, 01/01/2042 29 33
5.50%, 03/01/2034 12 14
5.50%, 04/01/2035 2 2
5.50%, 07/01/2038 59 67
6.00%, 02/01/2025 17 19
6.00%, 11/01/2035 88 102
6.00%, 11/01/2037 30 34
6.00%, 03/01/2038 8 10
6.50%, 02/01/2032 5 7
6.50%, 07/01/2037 3 4
6.50%, 07/01/2037 3 4
6.50%, 02/01/2038 5 6
6.50%, 09/01/2038 6 7
$2,671
Government National Mortgage Association (GNMA) -
2.00%
3.00%, 02/15/2043 25 26
3.00%, 01/20/2046 68 71
3.00%, 07/01/2046 190 199
3.50%, 05/15/2042 69 73
3.50%, 10/15/2042 38 41
3.50%, 07/01/2046 200 212
4.00%, 07/01/2045(i) 50 54
4.50%, 11/15/2040 53 59
5.00%, 02/15/2039 73 83
6.00%, 09/20/2026 11 12
6.00%, 01/15/2029 13 15
7.00%, 05/15/2031 5 6
7.00%, 02/20/2032 8 10
$861
U.S. Treasury - 7.07%
0.50%, 11/30/2016 10 10
0.63%, 08/15/2016 60 60
0.88%, 04/30/2017 145 145
0.88%, 07/15/2018 5 5
1.38%, 01/31/2020 350 357
1.38%, 04/30/2020 40 41
1.75%, 09/30/2019 385 397
1.88%, 11/30/2021 300 312
2.00%, 05/31/2021 25 26
2.13%, 06/30/2022 450 474
2.25%, 11/15/2025 175 187
2.38%, 12/31/2020 50 53
2.38%, 08/15/2024 10 11
2.50%, 02/15/2045 15 16
2.75%, 08/15/2042 20 22
2.88%, 08/15/2045 45 50
3.00%, 11/15/2044 100 115
3.00%, 05/15/2045 100 115
3.00%, 11/15/2045 200 230
3.13%, 11/15/2041 20 24
3.13%, 08/15/2044 10 12
3.75%, 11/15/2043 100 132
4.50%, 02/15/2036 165 238
Schedule of Investments
Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 85
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
U.S. Treasury (continued)
4.75%, 02/15/2037 $ 5$ 7
$3,039
U.S. Treasury Bill - 0.12%
0.28%, 09/15/2016(j) 50 50
U.S. Treasury Inflation-Indexed Obligations - 0.38%
0.13%, 04/15/2019 10 11
0.13%, 01/15/2022 21 22
0.25%, 01/15/2025 131 133
$166
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS $ 7,697
Total Investments $ 44,307
Other Assets and Liabilities - (3.03)% $ (1,304)
TOTAL NET ASSETS - 100.00% $ 43,003
(a)
N
on-Income Producing Security
(b) 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
p
eriod, the value of these securities totaled $1,501 or 3.49% of net assets.
(c) Variable Rate. Rate shown is in effect at June 30, 2016.
(d)
P
erpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
(e) Security is an Interest Only Strip.
(f) Security purchased on a when-issued basis.
(g)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securities totaled
$20 or 0.05% of net assets.
(h)
P
ayment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(i) Security was purchased in a "to-be-announced" ("TBA") transaction. See
N
otes to Financial Statements for additional information.
(j)
R
ate shown is the discount rate of the original purchase.
Portfolio Summary (unaudited)
Sector Percent
Consumer, Non-cyclical 17.59%
Financial 15.16%
Mortgage Securities 12.52%
Communications 10.18%
Consumer, Cyclical 8.98%
Government 7.83%
Industrial 7.38%
Technology 7.02%
Energy 5.25%
Asset Backed Securities 4.16%
Utilities 2.71%
Basic Materials 2.38%
Investment Companies 1.78%
Diversified 0.09%
Other Assets and Liabilities (3.03)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 86
INVESTMENT COMPANIES - 7.43% Shares Held Value (000's)
Money Market Funds - 7.43%
First American Government Obligations Fund 155,215,544 $ 155,216
TOTAL INVESTMENT COMPANIES $ 155,216
BONDS - 33.97%
Principal
Amount (000's) Value (000's)
Advertising - 0.01%
Omnicom Group Inc
4.45%, 08/15/2020 $ 128 $ 141
Aerospace & Defense - 0.37%
Boeing Capital Corp
4.70%, 10/27/2019 33 37
Boeing Co/The
1.88%, 06/15/2023 500 500
2.25%, 06/15/2026 500 502
5.88%, 02/15/2040 154 214
7.95%, 08/15/2024 200 283
Harris Corp
4.40%, 12/15/2020 51 55
L-3 Communications Corp
4.95%, 02/15/2021 277 303
Lockheed Martin Corp
2.50%, 11/23/2020 255 263
3.35%, 09/15/2021 102 109
3.55%, 01/15/2026 225 244
3.60%, 03/01/2035 350 355
4.07%, 12/15/2042 47 50
4.70%, 05/15/2046 345 407
5.50%, 11/15/2039 220 272
6.15%, 09/01/2036 290 385
N
orthrop Grumman Corp
1.75%, 06/01/2018 500 505
3.25%, 08/01/2023 500 537
3.50%, 03/15/2021 277 297
Raytheon Co
3.13%, 10/15/2020 77 83
4.88%, 10/15/2040 154 189
United Technologies Corp
3.10%, 06/01/2022 1,000 1,066
4.50%, 04/15/2020 74 82
4.50%, 06/01/2042 580 664
5.38%, 12/15/2017 102 108
5.70%, 04/15/2040 51 67
6.13%, 07/15/2038 18 25
6.70%, 08/01/2028 175 236
$7,838
Agriculture - 0.25%
Altria Group Inc
4.00%, 01/31/2024 350 392
4.50%, 05/02/2043 500 564
4.75%, 05/05/2021 128 146
5.38%, 01/31/2044 200 256
9.25%, 08/06/2019 126 155
9.95%, 11/10/2038 57 103
10.20%, 02/06/2039 68 126
Archer-Daniels-Midland Co
4.48%, 03/01/2021(a) 29 33
Philip Morris International Inc
1.13%, 08/21/2017 100 100
1.25%, 11/09/2017 500 502
2.75%, 02/25/2026 270 279
2.90%, 11/15/2021 51 54
4.38%, 11/15/2041 51 56
4.50%, 03/26/2020 131 146
4.50%, 03/20/2042 400 450
5.65%, 05/16/2018 25 27
6.38%, 05/16/2038 100 138
Reynolds American Inc
4.45%, 06/12/2025 220 246
4.85%, 09/15/2023 350 400
BONDS (continued)
Principal
Amount (000's) Value (000's)
Agriculture (continued)
Reynolds American Inc (continued)
5.85%, 08/15/2045 $ 390 $ 498
6.88%, 05/01/2020 500 590
8.13%, 06/23/2019 36 43
$5,304
Airlines - 0.07%
American Airlines 2011-1 Class A Pass
Through Trust
5.25%, 07/31/2022 127 137
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028 365 380
Continental Airlines 2010-1 Class A Pass
Through Trust
4.75%, 07/12/2022 37 40
Continental Airlines 2012-2 Class A Pass
Through Trust
4.00%, 04/29/2026 174 183
Delta Air Lines 2007-1 Class A Pass Through
Trust
6.82%, 02/10/2024 71 83
Southwest Airlines Co
2.75%, 11/06/2019 300 310
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028 194 205
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027 174 184
$1,522
Apparel - 0.05%
N
IKE Inc
2.25%, 05/01/2023 200 206
3.63%, 05/01/2043 200 211
Under Armour Inc
3.25%, 06/15/2026 160 162
VF Corp
6.00%, 10/15/2033 350 454
$1,033
Automobile Asset Backed Securities - 0.23%
Ally Auto Receivables Trust 2013-2
1.24%, 11/15/2018 500 501
Capital Auto Receivables Asset Trust 2015-2
1.39%, 09/20/2018(a) 1,000 1,001
CarMax Auto Owner Trust 2013-4
0.80%, 07/16/2018 182 181
Fifth Third Auto Trust 2014-3
1.47%, 05/17/2021(a) 500 502
Ford Credit Auto Owner Trust 2016-B
1.33%, 10/15/2020 1,000 1,005
Honda Auto Receivables 2014-4 Owner
Trust
0.99%, 09/17/2018 443 443
Honda Auto Receivables Owner Trust 2014-
3
0.88%, 06/15/2018(a) 379 379
Hyundai Auto Receivables Trust 2012-C
1.06%, 06/15/2018 266 266
WorldOmniAutoReceivablesTrust2013-B
1.32%, 01/15/2020(a) 515 517
$4,795
Automobile Manufacturers - 0.40%
American Honda Finance Corp
1.55%, 12/11/2017 350 353
Daimler Finance North America LLC
8.50%, 01/18/2031 102 166
Ford Motor Co
4.75%, 01/15/2043 400 423
7.45%, 07/16/2031 100 134
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 87
BONDS (continued)
Principal
Amount (000's) Value (000's)
Automobile Manufacturers (continued)
Ford Motor Credit Co LLC
2.15%, 01/09/2018 $ 500 $ 504
2.24%, 06/15/2018 370 374
2.55%, 10/05/2018 500 509
3.34%, 03/18/2021 1,000 1,037
3.66%, 09/08/2024 750 777
4.25%, 09/20/2022 200 216
4.38%, 08/06/2023 350 381
5.00%, 05/15/2018 200 212
5.88%, 08/02/2021 200 229
PACCAR Financial Corp
1.40%, 11/17/2017 320 322
Toyota Motor Credit Corp
1.25%, 10/05/2017 400 402
1.55%, 07/13/2018 500 505
1.70%, 02/19/2019 500 506
2.13%, 07/18/2019 500 513
2.15%, 03/12/2020 500 514
2.63%, 01/10/2023 100 105
3.30%, 01/12/2022 77 83
$8,265
Automobile Parts & Equipment - 0.05%
BorgWarner Inc
3.38%, 03/15/2025 500 511
Johnson Controls Inc
1.40%, 11/02/2017 200 201
3.75%, 12/01/2021 77 82
5.00%, 03/30/2020 64 70
5.25%, 12/01/2041 128 143
$1,007
Banks - 5.70%
Associated Banc-Corp
4.25%, 01/15/2025 500 516
Australia & New Zealand Banking Group
Ltd/New YorkNY
1.50%, 01/16/2018 500 502
Bankof America Corp
1.95%, 05/12/2018 460 463
2.00%, 01/11/2018 500 503
2.25%, 04/21/2020 160 161
2.60%, 01/15/2019 750 767
2.63%, 04/19/2021 750 762
3.30%, 01/11/2023 300 309
3.50%, 04/19/2026 745 770
3.95%, 04/21/2025 830 845
4.13%, 01/22/2024 1,000 1,076
4.88%, 04/01/2044 500 570
5.63%, 07/01/2020 380 428
5.65%, 05/01/2018 455 488
5.70%, 01/24/2022 580 672
5.88%, 02/07/2042 228 288
6.00%, 09/01/2017 265 279
6.88%, 04/25/2018 205 224
7.63%, 06/01/2019 300 347
7.75%, 05/14/2038 750 1,056
Bankof Montreal
1.40%, 04/10/2018 750 753
1.45%, 04/09/2018 300 301
Bankof Nova Scotia/The
1.45%, 04/25/2018 300 301
2.35%, 10/21/2020 500 511
2.45%, 03/22/2021 500 514
4.50%, 12/16/2025 500 519
Barclays BankPLC
5.14%, 10/14/2020 1,000 1,060
BB&T Corp
1.60%, 08/15/2017 200 201
6.85%, 04/30/2019 18 21
BNP Paribas SA
2.38%, 09/14/2017 200 203
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
BNP Paribas SA (continued)
2.40%, 12/12/2018 $ 750 $ 765
4.25%, 10/15/2024 750 771
5.00%, 01/15/2021 77 86
BPCE SA
1.61%, 07/25/2017 750 749
4.00%, 04/15/2024 250 272
Branch Banking & Trust Co
1.45%, 05/10/2019 750 753
2.30%, 10/15/2018 750 769
2.85%, 04/01/2021 1,000 1,051
Capital One Financial Corp
2.45%, 04/24/2019 250 254
3.20%, 02/05/2025 400 403
3.50%, 06/15/2023 84 87
Capital One NA/Mclean VA
1.50%, 09/05/2017 500 500
Citigroup Inc
1.55%, 08/14/2017 750 752
1.70%, 04/27/2018 1,000 1,002
2.05%, 12/07/2018 1,000 1,008
2.40%, 02/18/2020 200 202
2.65%, 10/26/2020 1,000 1,018
3.50%, 05/15/2023 600 612
3.70%, 01/12/2026 500 526
3.75%, 06/16/2024 500 526
4.05%, 07/30/2022 200 211
4.30%, 11/20/2026 500 515
4.50%, 01/14/2022 454 502
4.65%, 07/30/2045 260 286
5.50%, 09/13/2025 300 336
5.88%, 01/30/2042 328 415
6.63%, 06/15/2032 112 137
8.13%, 07/15/2039 127 198
Citizens BankNA/Providence RI
1.60%, 12/04/2017 500 500
Commonwealth Bankof Australia/New York
N
Y
2.05%, 03/15/2019 500 507
2.30%, 03/12/2020 750 764
2.50%, 09/20/2018 200 205
Cooperatieve RabobankUA
3.88%, 02/08/2022 328 356
3.95%, 11/09/2022 300 310
4.50%, 01/11/2021 51 57
5.25%, 05/24/2041 500 622
5.25%, 08/04/2045 500 556
Cooperatieve RabobankUA/NY
2.25%, 01/14/2020 300 305
Credit Suisse AG/New YorkNY
3.63%, 09/09/2024 400 414
5.40%, 01/14/2020 200 217
Credit Suisse Group Funding Guernsey Ltd
3.75%, 03/26/2025 750 734
4.88%, 05/15/2045 500 498
Deutsche BankAG
4.10%, 01/13/2026 500 497
Discover Bank/Greenwood DE
2.00%, 02/21/2018 200 201
4.25%, 03/13/2026 500 523
FifthThirdBancorp
8.25%, 03/01/2038 385 575
FifthThirdBank/Cincinnati OH
2.25%, 06/14/2021 500 508
2.30%, 03/15/2019 300 306
3.85%, 03/15/2026 500 525
Goldman Sachs Group Inc/The
2.55%, 10/23/2019 1,000 1,023
2.75%, 09/15/2020 500 510
3.50%, 01/23/2025 1,500 1,541
4.25%, 10/21/2025 1,250 1,292
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 88
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Goldman Sachs Group Inc/The (continued)
4.75%, 10/21/2045 $ 360 $ 397
5.25%, 07/27/2021 502 566
5.38%, 03/15/2020 500 556
5.75%, 01/24/2022 228 265
6.15%, 04/01/2018 821 885
6.25%, 02/01/2041 700 906
6.45%, 05/01/2036 351 415
HSBC Holdings PLC
2.95%, 05/25/2021 500 505
3.40%, 03/08/2021 345 355
3.60%, 05/25/2023 500 511
3.90%, 05/25/2026 395 406
4.00%, 03/30/2022 128 135
4.25%, 03/14/2024 500 506
4.30%, 03/08/2026 445 471
5.10%, 04/05/2021 728 803
6.10%, 01/14/2042 154 199
6.50%, 05/02/2036 400 480
6.50%, 09/15/2037 500 601
HSBC USA Inc
1.50%, 11/13/2017 400 399
1.63%, 01/16/2018 300 299
2.63%, 09/24/2018 200 203
2.75%, 08/07/2020 500 504
Huntington National Bank/The
2.20%, 11/06/2018 500 506
Industrial & Commercial Bankof China
Ltd/New York
2.35%, 11/13/2017 400 404
JPMorgan Chase & Co
1.63%, 05/15/2018 300 301
1.85%, 03/22/2019 500 505
2.25%, 01/23/2020 670 679
2.55%, 10/29/2020 1,000 1,022
2.75%, 06/23/2020 1,000 1,030
3.13%, 01/23/2025 1,000 1,022
3.20%, 01/25/2023 1,000 1,037
3.25%, 09/23/2022 300 314
3.30%, 04/01/2026 500 517
3.38%, 05/01/2023 400 408
3.88%, 09/10/2024 500 518
4.40%, 07/22/2020 162 177
4.50%, 01/24/2022 257 286
4.63%, 05/10/2021 257 286
4.95%, 03/25/2020 57 63
5.40%, 01/06/2042 102 127
5.60%, 07/15/2041 154 195
5.63%, 08/16/2043 350 409
6.30%, 04/23/2019 800 899
6.40%, 05/15/2038 200 274
JPMorgan Chase BankNA
6.00%, 10/01/2017 1,000 1,056
KeyBankNA/Cleveland OH
2.25%, 03/16/2020 200 203
2.50%, 12/15/2019 500 513
KeyCorp
5.10%, 03/24/2021 102 115
KFW
0.00%, 04/18/2036(b) 380 228
0.00%, 06/29/2037(b) 200 116
1.00%, 01/26/2018 500 502
1.13%, 08/06/2018 1,500 1,509
1.13%, 11/16/2018 500 503
1.50%, 06/15/2021 290 294
1.63%, 03/15/2021 670 683
1.75%, 10/15/2019 750 768
1.88%, 04/01/2019 250 257
1.88%, 11/30/2020 500 515
2.00%, 05/02/2025 880 902
2.63%, 01/25/2022 1,257 1,339
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
KFW (continued)
2.75%, 09/08/2020 $ 300 $ 319
4.00%, 01/27/2020 847 932
4.38%, 03/15/2018 295 313
4.50%, 07/16/2018 102 109
4.88%, 06/17/2019 1,782 1,984
Korea Development Bank/The
2.50%, 03/11/2020 500 514
2.88%, 08/22/2018 350 360
Landwirtschaftliche Rentenbank
0.88%, 09/12/2017 200 200
1.75%, 04/15/2019 350 358
2.00%, 01/13/2025 300 307
2.38%, 09/13/2017 200 204
Lloyds BankPLC
1.75%, 03/16/2018 750 748
2.35%, 09/05/2019 400 402
6.38%, 01/21/2021 51 60
Lloyds Banking Group PLC
4.58%, 12/10/2025(c) 1,000 1,005
Manufacturers & Traders Trust Co
2.10%, 02/06/2020 200 202
Morgan Stanley
2.50%, 04/21/2021 1,000 1,010
2.80%, 06/16/2020 1,000 1,025
3.75%, 02/25/2023 1,200 1,271
5.00%, 11/24/2025 500 547
5.63%, 09/23/2019 1,321 1,466
5.75%, 01/25/2021 1,050 1,197
6.25%, 08/28/2017 375 395
6.38%, 07/24/2042 600 813
MUFG Union BankNA
2.25%, 05/06/2019 400 407
N
ational Australia BankLtd/New York
2.30%, 07/25/2018 400 408
N
orthern Trust Corp
3.95%, 10/30/2025 500 558
Oesterreichische KontrollbankAG
1.38%, 02/10/2020 250 252
1.50%, 10/21/2020 160 161
1.88%, 01/20/2021 1,000 1,024
PNC BankNA
1.60%, 06/01/2018 750 758
1.95%, 03/04/2019 350 355
2.25%, 07/02/2019 1,000 1,021
3.80%, 07/25/2023 400 431
PNC Funding Corp
4.38%, 08/11/2020 51 56
5.13%, 02/08/2020 25 28
6.70%, 06/10/2019 25 29
Royal Bankof Canada
2.15%, 03/06/2020 750 763
2.20%, 07/27/2018 400 408
2.35%, 10/30/2020 500 514
Santander BankNA
2.00%, 01/12/2018 300 300
Santander Holdings USA Inc
4.50%, 07/17/2025 750 770
Santander UK Group Holdings PLC
2.88%, 10/16/2020 1,000 992
Santander UK PLC
2.38%, 03/16/2020 750 751
3.05%, 08/23/2018 500 512
SkandinaviskaEnskilda Banken AB
2.63%, 03/15/2021 500 516
Societe Generale SA
2.63%, 10/01/2018 300 307
State Street Corp
2.55%, 08/18/2020 180 187
3.10%, 05/15/2023 300 310
3.55%, 08/18/2025 200 217
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 89
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Sumitomo Mitsui Banking Corp
1.75%, 01/16/2018 $ 300 $ 302
2.50%, 07/19/2018 300 306
3.20%, 07/18/2022 100 105
3.65%, 07/23/2025 500 542
Sumitomo Mitsui Financial Group Inc
2.93%, 03/09/2021 500 521
3.78%, 03/09/2026 500 544
SunTrust Bank/Atlanta GA
2.75%, 05/01/2023 200 201
Svenska Handelsbanken AB
2.25%, 06/17/2019 500 512
Toronto-Dominion Bank/The
1.63%, 03/13/2018 750 757
2.50%, 12/14/2020 1,000 1,034
2.63%, 09/10/2018 350 360
UBS AG/Stamford CT
1.38%, 08/14/2017 890 891
US Bancorp
1.95%, 11/15/2018 101 103
2.95%, 07/15/2022 200 208
3.00%, 03/15/2022 128 136
3.10%, 04/27/2026 750 780
4.13%, 05/24/2021 77 86
Wachovia Corp
5.75%, 02/01/2018 280 300
Wells Fargo & Co
1.50%, 01/16/2018 300 302
2.13%, 04/22/2019 1,000 1,022
2.50%, 03/04/2021 1,000 1,025
3.00%, 02/19/2025 890 912
3.00%, 04/22/2026 500 510
3.45%, 02/13/2023 200 207
3.50%, 03/08/2022 180 193
3.90%, 05/01/2045 500 525
4.40%, 06/14/2046 350 357
4.60%, 04/01/2021 102 114
4.90%, 11/17/2045 500 547
5.38%, 02/07/2035 500 609
Wells Fargo BankNA
5.95%, 08/26/2036 750 945
6.60%, 01/15/2038 250 343
Wells Fargo Capital X
5.95%, 12/01/2086 200 211
Westpac Banking Corp
1.95%, 11/23/2018 500 507
2.60%, 11/23/2020 500 517
4.88%, 11/19/2019 225 249
$119,070
Beverages - 0.73%
Anheuser-Busch Cos LLC
5.50%, 01/15/2018 90 96
6.50%, 02/01/2043 500 679
Anheuser-Busch InBev Finance Inc
1.90%, 02/01/2019 1,065 1,083
2.65%, 02/01/2021 914 947
3.65%, 02/01/2026 2,290 2,453
4.70%, 02/01/2036 500 562
4.90%, 02/01/2046 750 879
Anheuser-Busch InBev Worldwide Inc
2.50%, 07/15/2022 300 305
3.75%, 07/15/2042 100 100
5.00%, 04/15/2020 38 42
5.38%, 01/15/2020 68 76
6.38%, 01/15/2040 251 338
6.88%, 11/15/2019 551 645
7.75%, 01/15/2019 478 553
8.20%, 01/15/2039 51 81
Coca-Cola Co/The
0.88%, 10/27/2017 500 501
1.15%, 04/01/2018 500 503
BONDS (continued)
Principal
Amount (000's) Value (000's)
Beverages (continued)
Coca-Cola Co/The (continued)
1.65%, 03/14/2018 $ 200 $ 203
2.88%, 10/27/2025 500 530
3.15%, 11/15/2020 528 568
Coca-Cola Femsa SAB de CV
2.38%, 11/26/2018 400 408
Diageo Capital PLC
4.83%, 07/15/2020 51 57
5.88%, 09/30/2036 139 179
Diageo Investment Corp
2.88%, 05/11/2022 200 210
Dr Pepper Snapple Group Inc
2.60%, 01/15/2019 277 284
Pepsi Bottling Group Inc/The
7.00%, 03/01/2029 300 430
PepsiCo Inc
2.15%, 10/14/2020 500 514
2.75%, 03/05/2022 593 621
3.13%, 11/01/2020 128 137
4.25%, 10/22/2044 500 561
4.50%, 01/15/2020 51 57
4.88%, 11/01/2040 128 153
5.00%, 06/01/2018 300 323
5.50%, 01/15/2040 51 66
7.90%, 11/01/2018 158 183
$ 15,327
Biotechnology - 0.37%
Amgen Inc
4.10%, 06/15/2021 501 550
4.56%, 06/15/2048(c) 460 482
4.66%, 06/15/2051(c) 810 846
5.70%, 02/01/2019 12 13
5.85%, 06/01/2017 279 291
Biogen Inc
4.05%, 09/15/2025 240 258
5.20%, 09/15/2045 500 562
Celgene Corp
2.30%, 08/15/2018 110 112
2.88%, 08/15/2020 500 517
3.88%, 08/15/2025 450 480
3.95%, 10/15/2020 400 431
4.63%, 05/15/2044 350 364
Gilead Sciences Inc
2.55%, 09/01/2020 600 624
3.50%, 02/01/2025 750 800
4.40%, 12/01/2021 77 87
4.60%, 09/01/2035 500 556
4.75%, 03/01/2046 180 205
4.80%, 04/01/2044 500 563
$7,741
Building Materials - 0.05%
Owens Corning
4.20%, 12/15/2022 1,000 1,066
Chemicals - 0.57%
Agrium Inc
4.90%, 06/01/2043 200 207
6.13%, 01/15/2041 250 297
Airgas Inc
2.38%, 02/15/2020 200 204
Albemarle Corp
5.45%, 12/01/2044 150 160
CF Industries Inc
5.15%, 03/15/2034 500 488
6.88%, 05/01/2018 100 109
7.13%, 05/01/2020 100 115
Dow Chemical Co/The
4.13%, 11/15/2021 201 220
4.38%, 11/15/2042 200 204
7.38%, 11/01/2029 850 1,140
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 90
BONDS (continued)
Principal
Amount (000's) Value (000's)
Chemicals (continued)
Dow Chemical Co/The (continued)
8.55%, 05/15/2019 $ 481 $ 571
9.40%, 05/15/2039 51 80
Eastman Chemical Co
2.70%, 01/15/2020 400 411
3.60%, 08/15/2022 100 105
4.50%, 01/15/2021 51 56
4.80%, 09/01/2042 100 104
Ecolab Inc
1.45%, 12/08/2017 300 301
4.35%, 12/08/2021 102 115
5.50%, 12/08/2041 307 383
EI du Pont de Nemours & Co
2.80%, 02/15/2023 200 205
4.15%, 02/15/2043 100 103
4.25%, 04/01/2021 177 197
4.63%, 01/15/2020 25 28
6.00%, 07/15/2018 200 219
LYB International Finance BV
5.25%, 07/15/2043 500 547
LyondellBasell Industries NV
5.00%, 04/15/2019 300 325
5.75%, 04/15/2024 100 119
Methanex Corp
3.25%, 12/15/2019 300 291
Monsanto Co
1.85%, 11/15/2018 280 282
3.38%, 07/15/2024 750 773
5.88%, 04/15/2038 317 362
Mosaic Co/The
4.25%, 11/15/2023 146 157
Potash Corp of Saskatchewan Inc
3.63%, 03/15/2024 500 527
4.88%, 03/30/2020 51 56
PPG Industries Inc
3.60%, 11/15/2020 251 264
Praxair Inc
2.20%, 08/15/2022 300 308
Sherwin-Williams Co/The
1.35%, 12/15/2017 1,500 1,503
Valspar Corp/The
4.40%, 02/01/2045 300 293
$ 11,829
Commercial Mortgage Backed Securities - 1.71%
Banc of America Commercial Mortgage Trust
2006-3
5.89%, 07/10/2044 2 2
Banc of America Commercial Mortgage Trust
2008-1
6.44%, 02/10/2051(a) 30 31
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048 28 28
Citigroup Commercial Mortgage Trust 2013-
GC11
0.75%, 04/10/2046 160 159
Citigroup Commercial Mortgage Trust 2013-
GC15
4.37%, 09/10/2046 1,000 1,142
COMM 2007-C9 Mortgage Trust
6.01%, 12/10/2049(a) 572 589
COMM 2013-CCRE8 Mortgage Trust
3.61%, 06/10/2046 500 544
COMM 2013-LC6 Mortgage Trust
2.94%, 01/10/2046 500 527
COMM 2014-LC15 Mortgage Trust
2.84%, 04/10/2047 1,000 1,034
COMM 2014-UBS3 Mortgage Trust
3.82%, 06/10/2047 500 547
COMM 2015-DC1 Mortgage Trust
3.35%, 02/10/2048(a) 1,000 1,063
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
COMM 2015-LC19 Mortgage Trust
3.18%, 02/10/2048(a) $ 1,000 $ 1,058
COMM 2016-CCRE28 Mortgage Trust
3.76%, 02/10/2049 1,000 1,095
Commercial Mortgage Loan Trust 2008-LS1
6.30%, 12/10/2049(a) 59 61
Commercial Mortgage Pass Through
Certificates
2.82%, 10/15/2045(a) 500 522
3.15%, 02/10/2047 500 516
Commercial Mortgage Trust 2007-GG9
5.44%, 03/10/2039(a) 181 183
CSAIL 2015-C1 Commercial Mortgage Trust
2.97%, 04/15/2050(a) 1,000 1,038
Fannie Mae-Aces
2.53%, 09/25/2024 1,000 1,036
2.59%, 04/25/2023(a) 851 885
2.72%, 02/25/2022 1,000 1,058
3.22%, 08/25/2024(a) 988 1,067
3.46%, 01/25/2024(a) 688 748
FHLMC Multifamily Structured Pass Through
Certificates
2.08%, 12/25/2019(a) 333 338
2.87%, 12/25/2021 540 572
3.02%, 02/25/2023(a) 371 391
3.06%, 07/25/2023(a) 750 811
3.06%, 12/25/2024 500 540
3.31%, 05/25/2023(a) 810 889
3.32%, 02/25/2023(a) 1,000 1,097
3.53%, 10/25/2023 1,050 1,167
4.19%, 12/25/2020(a) 850 947
GS Mortgage Securities Corp II
2.77%, 11/10/2045 500 523
GS Mortgage Securities Trust 2012-GC6
3.48%, 01/10/2045 274 296
GS Mortgage Securities Trust 2014-GC18
3.80%, 01/10/2047(a) 500 549
GS Mortgage Securities Trust 2015-GC34
3.51%, 10/10/2048(a) 1,000 1,079
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043 191 192
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-LDP7
6.18%, 04/17/2045(a) 192 192
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-LDP8
5.44%, 05/15/2045(a) 17 17
JP Morgan Chase Commercial Mortgage
Securities Trust 2007-LDP12
5.88%, 02/15/2051 300 310
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
4.17%, 08/15/2046 257 281
JPMBB Commercial Mortgage Securities
Trust 2013-C15
4.13%, 11/15/2045(a) 500 562
JPMBB Commercial Mortgage Securities
Trust 2014-C22
3.80%, 09/15/2047 1,000 1,097
LB Commercial Mortgage Trust 2007-C3
6.12%, 07/15/2044(a) 54 56
LB-UBS Commercial Mortgage Trust 2007-
C6
5.86%, 07/15/2040(a) 33 34
Merrill Lynch Mortgage Trust 2007-C1
6.02%, 06/12/2050(a) 77 79
Morgan Stanley Bankof America Merrill
Lynch Trust 2013-C11
3.09%, 08/15/2046(a) 225 233
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 91
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
Morgan Stanley Bankof America Merrill
Lynch Trust 2015-C24
3.48%, 05/15/2048 $ 1,000 $ 1,076
Morgan Stanley Capital I Trust 2007-IQ13
5.36%, 03/15/2044(a) 98 100
Morgan Stanley Capital I Trust 2007-IQ16
5.81%, 12/12/2049 414 430
UBS Commercial Mortgage Trust 2012-C1
3.40%, 05/10/2045(a) 500 537
UBS-Barclays Commercial Mortgage Trust
2012-C3
3.09%, 08/10/2049(a) 550 583
UBS-Barclays Commercial Mortgage Trust
2013-C6
3.24%, 04/10/2046(a) 500 531
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34
5.68%, 05/15/2046(a) 86 88
Wells Fargo Commercial Mortgage Trust
2012-LC5
2.92%, 10/15/2045 500 526
Wells Fargo Commercial Mortgage Trust
2015-C28
3.29%, 05/15/2048 1,845 1,957
WFRBS Commercial Mortgage Trust 2012-
C7
2.30%, 06/15/2045 280 286
WFRBS Commercial Mortgage Trust 2013-
C11
2.03%, 03/15/2045(a) 500 502
WFRBS Commercial Mortgage Trust 2013-
C14
2.98%, 06/15/2046 1,000 1,051
WFRBS Commercial Mortgage Trust 2014-
C20
3.04%, 05/15/2047(a) 500 521
WFRBS Commercial Mortgage Trust 2014-
LC14
1.19%, 03/15/2047 279 279
$ 35,652
Commercial Services - 0.12%
California Institute of Technology
4.32%, 08/01/2045 80 95
Lender Processing Services Inc / BlackKnight
Lending Solutions Inc
5.75%, 04/15/2023 200 210
Massachusetts Institute of Technology
4.68%, 07/01/2114 250 298
Moody's Corp
5.25%, 07/15/2044 500 608
S&P Global Inc
4.40%, 02/15/2026 160 180
6.55%, 11/15/2037 51 62
University of Southern California
5.25%, 10/01/2111 30 40
VeriskAnalytics Inc
4.00%, 06/15/2025 500 525
Western Union Co/The
5.25%, 04/01/2020 25 28
Yale University
2.09%, 04/15/2019 400 413
$2,459
Computers - 0.67%
Apple Inc
1.00%, 05/03/2018 300 301
2.00%, 05/06/2020 520 534
2.25%, 02/23/2021 475 489
2.40%, 05/03/2023 300 305
2.85%, 05/06/2021 500 528
3.20%, 05/13/2025 410 435
BONDS (continued)
Principal
Amount (000's) Value (000's)
Computers (continued)
Apple Inc (continued)
3.25%, 02/23/2026 $ 750 $ 796
3.45%, 05/06/2024 400 435
3.85%, 05/04/2043 1,300 1,305
4.65%, 02/23/2046 370 418
Computer Sciences Corp
4.45%, 09/15/2022 100 107
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(c) 345 353
4.42%, 06/15/2021(c) 940 967
6.02%, 06/15/2026(c) 750 782
8.10%, 07/15/2036(c) 255 275
8.35%, 07/15/2046(c) 215 231
EMC Corp/MA
1.88%, 06/01/2018 500 490
Hewlett Packard Enterprise Co
2.85%, 10/05/2018(c) 480 491
3.60%, 10/15/2020(c) 470 491
4.90%, 10/15/2025(c) 300 313
6.20%, 10/15/2035(c) 80 81
6.35%, 10/15/2045(c) 150 149
HP Inc
3.75%, 12/01/2020 121 128
4.65%, 12/09/2021 180 195
6.00%, 09/15/2041 154 148
International Business Machines Corp
1.25%, 02/08/2018 500 503
1.63%, 05/15/2020 700 709
2.25%, 02/19/2021 300 309
4.70%, 02/19/2046 185 213
5.60%, 11/30/2039 92 117
5.70%, 09/14/2017 180 190
5.88%, 11/29/2032 200 260
6.22%, 08/01/2027 351 461
Seagate HDD Cayman
4.75%, 06/01/2023 500 423
$ 13,932
Consumer Products - 0.04%
Avery Dennison Corp
5.38%, 04/15/2020 25 27
Clorox Co/The
3.80%, 11/15/2021 128 139
Kimberly-Clark Corp
2.40%, 03/01/2022 257 267
2.40%, 06/01/2023 150 156
3.70%, 06/01/2043 150 163
7.50%, 11/01/2018 18 21
$773
Cosmetics & Personal Care - 0.10%
Colgate-Palmolive Co
2.95%, 11/01/2020 154 165
Procter & Gamble Co/The
2.30%, 02/06/2022 411 427
4.70%, 02/15/2019 177 194
5.55%, 03/05/2037 500 693
6.45%, 01/15/2026 500 679
$2,158
Credit Card Asset Backed Securities - 0.22%
Capital One Multi-Asset Execution Trust
5.75%, 07/15/2020 476 504
Chase Issuance Trust
1.38%, 11/15/2019 1,000 1,005
Citibank Credit Card Issuance Trust
1.11%, 07/23/2018 500 500
2.68%, 06/07/2023(a) 1,000 1,053
2.88%, 01/23/2023 500 532
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 92
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) $ 1,000 $ 1,004
$4,598
Distribution & Wholesale - 0.03%
WW Grainger Inc
4.60%, 06/15/2045 500 593
Diversified Financial Services - 0.79%
Air Lease Corp
3.38%, 01/15/2019 400 408
American Express Co
2.65%, 12/02/2022 400 405
3.63%, 12/05/2024 500 513
6.15%, 08/28/2017 128 135
7.00%, 03/19/2018 282 308
American Express Credit Corp
1.55%, 09/22/2017 400 402
2.25%, 08/15/2019 500 510
2.25%, 05/05/2021 500 509
Ameriprise Financial Inc
4.00%, 10/15/2023 200 217
7.30%, 06/28/2019 600 696
Bear Stearns Cos LLC/The
6.40%, 10/02/2017 328 348
7.25%, 02/01/2018 444 484
BlackRockInc
3.38%, 06/01/2022 200 217
3.50%, 03/18/2024 500 542
5.00%, 12/10/2019 25 28
Capital One BankUSA NA
2.30%, 06/05/2019 400 405
3.38%, 02/15/2023 300 306
Charles Schwab Corp/The
2.20%, 07/25/2018 300 305
3.45%, 02/13/2026 250 267
CME Group Inc/IL
3.00%, 03/15/2025 500 522
5.30%, 09/15/2043 200 256
Credit Suisse USA Inc
7.13%, 07/15/2032 300 400
GE Capital International Funding Co
Unlimited Co
3.37%, 11/15/2025(c) 1,000 1,085
4.42%, 11/15/2035(c) 1,500 1,682
HSBC Finance Corp
6.68%, 01/15/2021 349 391
Jefferies Group LLC
6.50%, 01/20/2043 200 199
6.88%, 04/15/2021 27 31
8.50%, 07/15/2019 12 14
MasterCard Inc
2.00%, 04/01/2019 300 308
N
asdaq Inc
4.25%, 06/01/2024 350 369
N
ational Rural Utilities Cooperative Finance
Corp
3.05%, 02/15/2022 102 108
3.25%, 11/01/2025 500 539
10.38%, 11/01/2018 218 263
N
omura Holdings Inc
2.75%, 03/19/2019 500 512
6.70%, 03/04/2020 129 150
Synchrony Financial
2.70%, 02/03/2020 500 501
4.25%, 08/15/2024 300 310
Visa Inc
2.20%, 12/14/2020 585 603
3.15%, 12/14/2025 565 604
4.15%, 12/14/2035 215 243
BONDS (continued)
Principal
Amount (000's) Value (000's)
Diversified Financial Services (continued)
Visa Inc (continued)
4.30%, 12/14/2045 $ 375 $ 434
$ 16,529
Electric - 1.76%
Alabama Power Co
2.80%, 04/01/2025 500 518
4.30%, 01/02/2046 400 449
Ameren Illinois Co
2.70%, 09/01/2022 300 311
Appalachian Power Co
6.70%, 08/15/2037 277 358
7.00%, 04/01/2038 120 162
Arizona Public Service Co
3.35%, 06/15/2024 200 216
4.50%, 04/01/2042 77 89
Berkshire Hathaway Energy Co
2.00%, 11/15/2018 750 762
3.75%, 11/15/2023 1,000 1,093
6.13%, 04/01/2036 156 207
CMS Energy Corp
5.05%, 03/15/2022 500 572
Commonwealth Edison Co
4.00%, 08/01/2020 510 555
5.80%, 03/15/2018 212 228
5.88%, 02/01/2033 300 389
Consolidated Edison Co of New YorkInc
4.20%, 03/15/2042 128 138
5.50%, 12/01/2039 400 504
5.85%, 03/15/2036 51 66
6.65%, 04/01/2019 51 58
6.75%, 04/01/2038 125 177
Consumers Energy Co
3.13%, 08/31/2024 500 530
Dominion Resources Inc/VA
4.70%, 12/01/2044 300 325
4.90%, 08/01/2041 77 85
5.95%, 06/15/2035 800 975
DTE Electric Co
3.45%, 10/01/2020 405 436
6.63%, 06/01/2036 120 168
DTE Energy Co
3.50%, 06/01/2024 500 531
Duke Energy Carolinas LLC
2.50%, 03/15/2023 279 289
3.90%, 06/15/2021 410 452
4.00%, 09/30/2042 100 108
5.30%, 02/15/2040 512 654
Duke Energy Corp
3.75%, 04/15/2024 500 537
Duke Energy Florida LLC
4.55%, 04/01/2020 77 85
5.65%, 06/15/2018 128 139
5.65%, 04/01/2040 25 33
6.40%, 06/15/2038 66 94
Duke Energy Indiana LLC
3.75%, 07/15/2020 37 40
4.20%, 03/15/2042 128 140
6.12%, 10/15/2035 77 102
6.45%, 04/01/2039 300 432
Duke Energy Ohio Inc
5.45%, 04/01/2019 128 142
Duke Energy Progress LLC
4.15%, 12/01/2044 300 330
Entergy Arkansas Inc
3.70%, 06/01/2024 500 548
3.75%, 02/15/2021 25 27
Entergy Corp
5.13%, 09/15/2020 89 98
Exelon Generation Co LLC
5.20%, 10/01/2019 102 113
6.25%, 10/01/2039 344 378
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 93
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
FirstEnergy Solutions Corp
6.80%, 08/15/2039 $ 101 $ 102
Florida Power & Light Co
5.13%, 06/01/2041 154 196
5.65%, 02/01/2037 478 633
5.69%, 03/01/2040 48 65
Georgia Power Co
4.25%, 12/01/2019 77 84
4.30%, 03/15/2042 228 250
Great Plains Energy Inc
4.85%, 06/01/2021 77 85
Hydro-Quebec
8.05%, 07/07/2024 102 143
Iberdrola International BV
6.75%, 07/15/2036 128 168
Interstate Power & Light Co
3.25%, 12/01/2024 400 428
LG&E & KU Energy LLC
3.75%, 11/15/2020 77 83
Louisville Gas & Electric Co
3.30%, 10/01/2025 50 54
5.13%, 11/15/2040 51 63
MidAmerican Energy Co
4.25%, 05/01/2046 500 566
Mississippi Power Co
4.25%, 03/15/2042 100 89
N
evada Power Co
5.45%, 05/15/2041 150 190
6.50%, 05/15/2018 77 85
6.65%, 04/01/2036 400 555
7.13%, 03/15/2019 12 14
N
extEra Energy Capital Holdings Inc
4.50%, 06/01/2021 351 388
N
iSource Finance Corp
5.95%, 06/15/2041 525 653
6.40%, 03/15/2018 86 93
N
orthern States Power Co/MN
5.25%, 03/01/2018 41 44
5.35%, 11/01/2039 82 107
N
orthWestern Corp
4.18%, 11/15/2044 300 319
N
STAR Electric Co
2.38%, 10/15/2022 750 772
Oglethorpe Power Corp
4.20%, 12/01/2042 250 262
Ohio Edison Co
8.25%, 10/15/2038 119 178
Oklahoma Gas & Electric Co
4.00%, 12/15/2044 200 214
Oncor Electric Delivery Co LLC
5.00%, 09/30/2017 400 418
5.25%, 09/30/2040 51 62
6.80%, 09/01/2018 374 416
7.25%, 01/15/2033 300 427
Pacific Gas & Electric Co
3.25%, 06/15/2023 1,000 1,066
3.50%, 10/01/2020 25 27
4.45%, 04/15/2042 102 115
5.40%, 01/15/2040 128 163
6.05%, 03/01/2034 452 602
PacifiCorp
5.65%, 07/15/2018 70 77
6.25%, 10/15/2037 92 127
PECO Energy Co
2.38%, 09/15/2022 100 103
4.80%, 10/15/2043 250 307
PPL Capital Funding Inc
3.40%, 06/01/2023 300 313
4.70%, 06/01/2043 100 109
PPL Electric Utilities Corp
2.50%, 09/01/2022 200 207
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
Progress Energy Inc
3.15%, 04/01/2022 $ 128 $ 133
7.75%, 03/01/2031 136 190
PSEG Power LLC
2.45%, 11/15/2018 180 183
5.13%, 04/15/2020 300 326
Public Service Co of Colorado
3.95%, 03/15/2043 100 109
4.75%, 08/15/2041 550 662
Public Service Co of New Mexico
7.95%, 05/15/2018 154 172
Public Service Electric & Gas Co
3.50%, 08/15/2020 73 78
3.65%, 09/01/2042 200 211
4.15%, 11/01/2045 500 567
Puget Sound Energy Inc
4.43%, 11/15/2041 77 87
5.80%, 03/15/2040 351 469
San Diego Gas & Electric Co
5.35%, 05/15/2040 84 107
South Carolina Electric & Gas Co
5.45%, 02/01/2041 77 96
Southern California Edison Co
2.40%, 02/01/2022 300 311
4.05%, 03/15/2042 668 730
5.50%, 03/15/2040 102 132
5.95%, 02/01/2038 117 158
Southern Co/The
2.15%, 09/01/2019 500 509
2.35%, 07/01/2021 500 510
3.25%, 07/01/2026 500 519
4.40%, 07/01/2046 500 537
Southern Power Co
5.25%, 07/15/2043 200 218
Southwestern Electric Power Co
6.20%, 03/15/2040 51 64
6.45%, 01/15/2019 125 139
Tampa Electric Co
4.35%, 05/15/2044 200 219
TransAlta Corp
6.50%, 03/15/2040 25 18
Union Electric Co
3.50%, 04/15/2024 500 542
Virginia Electric & Power Co
2.75%, 03/15/2023 500 518
4.65%, 08/15/2043 250 294
6.00%, 05/15/2037 77 103
8.88%, 11/15/2038 10 17
WEC Energy Group Inc
3.55%, 06/15/2025 110 118
Westar Energy Inc
4.25%, 12/01/2045 500 561
5.10%, 07/15/2020 167 188
Wisconsin Electric Power Co
5.70%, 12/01/2036 750 978
$ 36,838
Electrical Components & Equipment - 0.01%
Emerson Electric Co
2.63%, 02/15/2023 100 104
4.88%, 10/15/2019 25 28
$132
Electronics - 0.09%
Arrow Electronics Inc
3.00%, 03/01/2018 300 303
4.50%, 03/01/2023 200 212
Corning Inc
4.75%, 03/15/2042 102 106
Honeywell International Inc
3.35%, 12/01/2023 265 289
5.30%, 03/01/2018 128 137
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 94
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electronics (continued)
Honeywell International Inc (continued)
5.38%, 03/01/2041 $ 77 $ 100
5.70%, 03/15/2037 12 16
Jabil Circuit Inc
4.70%, 09/15/2022 100 100
Keysight Technologies Inc
3.30%, 10/30/2019 500 508
Koninklijke Philips NV
5.00%, 03/15/2042 128 142
5.75%, 03/11/2018 10 11
Tyco Electronics Group SA
7.13%, 10/01/2037 14 19
$1,943
Engineering & Construction - 0.00%
ABB Finance USA Inc
2.88%, 05/08/2022 100 104
Environmental Control - 0.11%
Republic Services Inc
4.75%, 05/15/2023 51 59
5.25%, 11/15/2021 200 231
5.50%, 09/15/2019 104 116
6.20%, 03/01/2040 809 1,092
Waste Management Inc
3.90%, 03/01/2035 200 210
4.10%, 03/01/2045 200 218
4.60%, 03/01/2021 350 389
$2,315
Federal & Federally Sponsored Credit - 0.09%
Federal Farm Credit Banks
0.75%, 04/18/2018 1,000 1,001
0.88%, 09/14/2018 750 752
1.58%, 02/17/2021 175 175
$1,928
Finance - Mortgage Loan/Banker - 2.22%
Fannie Mae
0.00%, 10/09/2019(b) 890 855
0.88%, 08/28/2017 500 501
0.88%, 10/26/2017 1,000 1,004
0.88%, 12/20/2017 800 803
0.88%, 12/27/2017 450 450
0.88%, 02/08/2018 1,000 1,005
0.88%, 05/21/2018 950 954
1.00%, 09/27/2017 300 301
1.00%, 12/28/2017 500 500
1.00%, 04/30/2018 575 575
1.07%, 07/28/2017 675 675
1.13%, 04/30/2018 500 500
1.13%, 07/20/2018 500 504
1.25%, 02/26/2019 2,400 2,401
1.25%, 05/06/2021 500 502
1.38%, 01/28/2019 750 761
1.50%, 11/30/2020 500 508
1.63%, 11/27/2018 1,000 1,021
1.63%, 01/21/2020 1,000 1,024
1.75%, 09/12/2019 300 308
1.75%, 11/26/2019 750 771
1.88%, 09/18/2018 1,300 1,333
1.88%, 12/28/2020 500 517
2.13%, 04/24/2026 500 514
2.63%, 09/06/2024 750 807
3.00%, 03/01/2028 700 701
5.63%, 07/15/2037 200 292
6.63%, 11/15/2030 602 922
7.13%, 01/15/2030 199 312
7.25%, 05/15/2030 280 445
Federal Home Loan Banks
0.63%, 10/26/2017 500 500
0.75%, 08/28/2017 750 751
BONDS (continued)
Principal
Amount (000's) Value (000's)
Finance - Mortgage Loan/Banker (continued)
Federal Home Loan Banks (continued)
0.88%, 03/19/2018 $ 750 $ 753
0.88%, 06/29/2018 500 502
1.00%, 12/19/2017 500 503
1.13%, 12/08/2017 750 755
1.13%, 06/21/2019 500 505
1.38%, 03/09/2018 1,000 1,012
1.38%, 02/18/2021 250 253
1.63%, 06/14/2019 500 511
1.75%, 12/14/2018 1,500 1,536
1.88%, 03/13/2020 500 516
5.00%, 11/17/2017 690 731
5.38%, 09/30/2022 500 617
5.50%, 07/15/2036 180 260
5.63%, 06/11/2021 350 424
Freddie Mac
0.75%, 01/12/2018 1,000 1,002
0.75%, 04/09/2018 1,000 1,001
0.88%, 03/07/2018 1,250 1,252
1.00%, 07/28/2017 750 753
1.00%, 09/29/2017 1,200 1,206
1.00%, 12/15/2017 500 503
1.00%, 05/25/2018 600 600
1.02%, 04/30/2018 775 775
1.25%, 08/01/2019 500 506
1.25%, 10/02/2019 1,000 1,012
1.38%, 05/01/2020 1,000 1,015
1.40%, 08/22/2019 500 508
2.38%, 01/13/2022 1,257 1,331
3.75%, 03/27/2019 1,052 1,136
4.88%, 06/13/2018 212 229
5.13%, 11/17/2017 180 191
5.50%, 08/23/2017 231 244
6.25%, 07/15/2032 231 350
6.75%, 03/15/2031 577 895
$ 46,404
Food - 0.38%
Campbell Soup Co
3.05%, 07/15/2017 128 131
3.30%, 03/19/2025 300 315
4.25%, 04/15/2021 51 56
ConAgra Foods Inc
3.20%, 01/25/2023 567 585
3.25%, 09/15/2022 100 103
Delhaize Group
5.70%, 10/01/2040 102 119
General Mills Inc
3.15%, 12/15/2021 77 82
5.65%, 02/15/2019 75 83
JM Smucker Co/The
1.75%, 03/15/2018 300 302
Kraft Heinz Foods Co
2.00%, 07/02/2018(c) 420 425
3.50%, 06/06/2022 300 319
3.95%, 07/15/2025(c) 600 652
4.38%, 06/01/2046(c) 335 354
5.00%, 06/04/2042 200 230
5.20%, 07/15/2045(c) 200 237
5.38%, 02/10/2020 95 107
6.50%, 02/09/2040 75 99
6.88%, 01/26/2039 161 220
Kroger Co/The
3.30%, 01/15/2021 321 341
3.40%, 04/15/2022 154 165
5.15%, 08/01/2043 300 358
5.40%, 07/15/2040 25 30
6.15%, 01/15/2020 12 14
6.40%, 08/15/2017 18 19
Mondelez International Inc
2.25%, 02/01/2019 541 553
6.50%, 02/09/2040 139 189
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 95
BONDS (continued)
Principal
Amount (000's) Value (000's)
Food (continued)
Sysco Corp
4.85%, 10/01/2045 $ 250 $ 280
5.38%, 09/21/2035 500 592
Tyson Foods Inc
2.65%, 08/15/2019 350 360
Unilever Capital Corp
2.20%, 03/06/2019 250 257
5.90%, 11/15/2032 230 323
$7,900
Forest Products & Paper - 0.05%
Georgia-Pacific LLC
7.75%, 11/15/2029 51 74
8.00%, 01/15/2024 228 304
International Paper Co
4.75%, 02/15/2022 413 459
7.30%, 11/15/2039 25 33
7.50%, 08/15/2021 136 167
Plum CreekTimberlands LP
4.70%, 03/15/2021 51 55
$1,092
Gas - 0.13%
Atmos Energy Corp
4.13%, 10/15/2044 400 436
CenterPoint Energy Inc
6.50%, 05/01/2018 77 83
Dominion Gas Holdings LLC
4.80%, 11/01/2043 300 325
ONE Gas Inc
2.07%, 02/01/2019 500 508
Piedmont Natural Gas Co Inc
4.10%, 09/18/2034 500 521
Sempra Energy
6.00%, 10/15/2039 112 140
6.15%, 06/15/2018 120 131
Southern California Gas Co
3.15%, 09/15/2024 500 535
$2,679
Hand & Machine Tools - 0.01%
Stanley Black&Decker Inc
2.90%, 11/01/2022 200 211
Healthcare - Products - 0.43%
Abbott Laboratories
5.30%, 05/27/2040 200 244
Becton Dickinson and Co
2.68%, 12/15/2019 350 360
3.25%, 11/12/2020 500 526
4.69%, 12/15/2044 250 282
5.00%, 11/12/2040 51 57
Boston Scientific Corp
3.85%, 05/15/2025 500 529
4.13%, 10/01/2023 350 379
6.00%, 01/15/2020 51 58
7.38%, 01/15/2040 51 68
Covidien International Finance SA
6.00%, 10/15/2017 123 131
Danaher Corp
5.63%, 01/15/2018 128 137
Medtronic Inc
2.50%, 03/15/2020 350 363
3.15%, 03/15/2022 500 534
3.50%, 03/15/2025 1,850 2,017
4.63%, 03/15/2045 600 705
St Jude Medical Inc
3.25%, 04/15/2023 600 618
Stryker Corp
2.00%, 03/08/2019 350 356
3.50%, 03/15/2026 500 530
4.10%, 04/01/2043 200 204
BONDS (continued)
Principal
Amount (000's) Value (000's)
Healthcare - Products (continued)
Stryker Corp (continued)
4.38%, 01/15/2020 $ 25 $ 27
Thermo Fisher Scientific Inc
2.40%, 02/01/2019 500 509
4.70%, 05/01/2020 51 56
Zimmer Biomet Holdings Inc
4.45%, 08/15/2045 300 305
$8,995
Healthcare - Services - 0.51%
Aetna Inc
1.50%, 11/15/2017 100 100
3.20%, 06/15/2026 460 473
4.13%, 06/01/2021 102 112
4.13%, 11/15/2042 100 101
4.25%, 06/15/2036 155 160
4.38%, 06/15/2046 280 291
6.63%, 06/15/2036 105 140
6.75%, 12/15/2037 112 152
Anthem Inc
2.30%, 07/15/2018 500 507
3.30%, 01/15/2023 300 310
4.65%, 01/15/2043 100 104
4.85%, 08/15/2054 500 527
5.85%, 01/15/2036 250 299
Baylor Scott & White Holdings
3.97%, 11/15/2046 232 249
Cigna Corp
5.38%, 02/15/2042 128 152
Coventry Health Care Inc
5.45%, 06/15/2021 500 571
Dignity Health
2.64%, 11/01/2019 500 515
Howard Hughes Medical Institute
3.50%, 09/01/2023 400 441
Humana Inc
4.95%, 10/01/2044 300 329
Laboratory Corp of America Holdings
4.63%, 11/15/2020 500 545
Memorial Sloan-Kettering Cancer Center
4.13%, 07/01/2052 500 555
4.20%, 07/01/2055 250 283
Quest Diagnostics Inc
3.50%, 03/30/2025 500 516
4.70%, 04/01/2021 102 112
4.75%, 01/30/2020 3 3
UnitedHealth Group Inc
1.40%, 10/15/2017 400 402
1.90%, 07/16/2018 1,000 1,017
2.88%, 03/15/2022 180 188
3.75%, 07/15/2025 290 318
4.38%, 03/15/2042 750 833
4.70%, 02/15/2021 90 102
6.50%, 06/15/2037 77 107
6.88%, 02/15/2038 141 206
$ 10,720
Home Furnishings - 0.00%
Whirlpool Corp
4.85%, 06/15/2021 77 86
Housewares - 0.10%
N
ewell Brands Inc
2.88%, 12/01/2019 400 411
3.85%, 04/01/2023 350 371
3.90%, 11/01/2025 350 367
4.20%, 04/01/2026 500 542
5.38%, 04/01/2036 350 405
$2,096
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 96
BONDS (continued)
Principal
Amount (000's) Value (000's)
Insurance - 0.86%
Aflac Inc
3.63%, 11/15/2024 $ 200 $ 214
6.45%, 08/15/2040 132 176
Allied World Assurance Co Holdings Ltd
4.35%, 10/29/2025 500 512
Allstate Corp/The
5.55%, 05/09/2035 200 254
American International Group Inc
3.90%, 04/01/2026 750 773
4.70%, 07/10/2035 750 775
4.88%, 06/01/2022 250 278
Aon Corp
5.00%, 09/30/2020 128 143
Aon PLC
4.45%, 05/24/2043 300 300
Arch Capital Group US Inc
5.14%, 11/01/2043 375 407
AXA SA
8.60%, 12/15/2030 38 52
Berkshire Hathaway Finance Corp
1.30%, 05/15/2018 300 302
2.00%, 08/15/2018 500 511
4.25%, 01/15/2021 102 113
4.30%, 05/15/2043 300 333
5.75%, 01/15/2040 115 153
Berkshire Hathaway Inc
2.20%, 03/15/2021 380 392
3.13%, 03/15/2026 330 346
3.40%, 01/31/2022 205 221
Chubb Corp/The
6.50%, 05/15/2038 10 14
Chubb INA Holdings Inc
2.88%, 11/03/2022 500 523
6.70%, 05/15/2036 250 359
CNA Financial Corp
5.75%, 08/15/2021 77 89
Hartford Financial Services Group Inc/The
4.30%, 04/15/2043 250 250
6.63%, 03/30/2040 25 32
Lincoln National Corp
4.00%, 09/01/2023 1,000 1,040
6.15%, 04/07/2036 80 94
7.00%, 06/15/2040 47 60
8.75%, 07/01/2019 141 167
Loews Corp
2.63%, 05/15/2023 200 202
4.13%, 05/15/2043 200 204
Manulife Financial Corp
5.38%, 03/04/2046 250 292
Markel Corp
5.00%, 03/30/2043 200 213
Marsh & McLennan Cos Inc
2.35%, 03/06/2020 300 306
3.75%, 03/14/2026 750 791
MetLife Inc
3.00%, 03/01/2025 300 304
3.60%, 04/10/2024 250 264
4.37%, 09/15/2023(a) 200 221
4.60%, 05/13/2046 500 538
5.70%, 06/15/2035 164 198
6.40%, 12/15/2066(a) 288 307
7.72%, 02/15/2019 225 261
PartnerRe Finance B LLC
5.50%, 06/01/2020 115 128
Progressive Corp/The
3.75%, 08/23/2021 277 305
4.35%, 04/25/2044 200 229
Protective Life Corp
8.45%, 10/15/2039 51 71
Prudential Financial Inc
3.50%, 05/15/2024 1,200 1,247
BONDS (continued)
Principal
Amount (000's) Value (000's)
Insurance (continued)
Prudential Financial Inc (continued)
4.50%, 11/16/2021 $ 128 $ 144
5.70%, 12/14/2036 25 30
5.88%, 09/15/2042(a) 100 108
6.63%, 12/01/2037 126 162
7.38%, 06/15/2019 350 406
Reinsurance Group of America Inc
4.70%, 09/15/2023 200 217
Travelers Cos Inc/The
5.90%, 06/02/2019 350 395
6.25%, 06/15/2037 12 17
6.75%, 06/20/2036 51 73
Trinity Acquisition PLC
4.40%, 03/15/2026 500 522
Validus Holdings Ltd
8.88%, 01/26/2040 51 70
WR Berkley Corp
6.25%, 02/15/2037 29 36
XLIT Ltd
2.30%, 12/15/2018 350 354
5.25%, 12/15/2043 400 432
$ 17,930
Internet - 0.22%
Alibaba Group Holding Ltd
1.63%, 11/28/2017 750 752
3.13%, 11/28/2021 270 276
Alphabet Inc
3.38%, 02/25/2024 500 551
3.63%, 05/19/2021 51 56
Amazon.com Inc
1.20%, 11/29/2017 100 100
2.50%, 11/29/2022 100 103
2.60%, 12/05/2019 250 261
4.95%, 12/05/2044 500 609
Baidu Inc
3.25%, 08/06/2018 500 513
eBay Inc
2.60%, 07/15/2022 600 594
3.80%, 03/09/2022 500 531
4.00%, 07/15/2042 100 84
Expedia Inc
7.46%, 08/15/2018 128 142
$4,572
Investment Companies - 0.01%
Prospect Capital Corp
5.00%, 07/15/2019 250 248
Iron & Steel - 0.06%
N
ucor Corp
5.75%, 12/01/2017 12 13
Vale Overseas Ltd
5.63%, 09/15/2019 546 562
6.88%, 11/21/2036 617 561
8.25%, 01/17/2034 38 40
$1,176
Lodging - 0.06%
Marriott International Inc/MD
2.88%, 03/01/2021 500 517
3.13%, 10/15/2021 500 520
Wyndham Worldwide Corp
3.90%, 03/01/2023 300 307
$1,344
Machinery - Construction & Mining - 0.08%
Caterpillar Financial Services Corp
1.25%, 08/18/2017 500 501
2.45%, 09/06/2018 200 206
7.05%, 10/01/2018 200 225
7.15%, 02/15/2019 113 130
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 97
BONDS (continued)
Principal
Amount (000's) Value (000's)
Machinery - Construction & Mining (continued)
Caterpillar Inc
3.80%, 08/15/2042 $ 105 $ 107
4.75%, 05/15/2064 350 389
6.05%, 08/15/2036 132 173
$1,731
Machinery - Diversified - 0.12%
Deere & Co
4.38%, 10/16/2019 56 62
John Deere Capital Corp
1.20%, 10/10/2017 200 201
1.30%, 03/12/2018 1,025 1,030
3.90%, 07/12/2021 500 553
Rockwell Automation Inc
2.05%, 03/01/2020 250 254
6.25%, 12/01/2037 51 69
Roper Technologies Inc
1.85%, 11/15/2017 300 302
$2,471
Media - 0.98%
21st Century Fox America Inc
3.70%, 10/15/2025 500 542
4.50%, 02/15/2021 200 223
4.95%, 10/15/2045 350 399
5.65%, 08/15/2020 51 58
6.15%, 02/15/2041 577 721
6.20%, 12/15/2034 154 193
6.40%, 12/15/2035 128 163
6.90%, 03/01/2019 154 175
CBS Corp
1.95%, 07/01/2017 200 201
4.00%, 01/15/2026 500 534
4.85%, 07/01/2042 200 201
5.75%, 04/15/2020 65 74
7.88%, 07/30/2030 178 252
Comcast Corp
2.75%, 03/01/2023 80 84
2.85%, 01/15/2023 100 105
3.38%, 08/15/2025 500 540
4.20%, 08/15/2034 750 826
4.25%, 01/15/2033 100 110
4.40%, 08/15/2035 500 564
4.60%, 08/15/2045 250 288
4.65%, 07/15/2042 100 115
5.15%, 03/01/2020 774 875
6.30%, 11/15/2017 128 137
6.40%, 03/01/2040 500 698
6.45%, 03/15/2037 60 83
6.95%, 08/15/2037 274 394
Discovery Communications LLC
3.25%, 04/01/2023 200 197
4.38%, 06/15/2021 500 537
4.90%, 03/11/2026 500 530
5.05%, 06/01/2020 51 56
5.63%, 08/15/2019 51 56
6.35%, 06/01/2040 43 44
Grupo Televisa SAB
4.63%, 01/30/2026 500 540
6.63%, 03/18/2025 200 245
Historic TW Inc
6.88%, 06/15/2018 25 28
N
BCUniversal Media LLC
4.38%, 04/01/2021 151 169
5.15%, 04/30/2020 575 652
5.95%, 04/01/2041 100 135
6.40%, 04/30/2040 251 350
RELX Capital Inc
3.13%, 10/15/2022 125 127
Scripps Networks Interactive Inc
2.80%, 06/15/2020 500 508
BONDS (continued)
Principal
Amount (000's) Value (000's)
Media (continued)
Thomson Reuters Corp
3.95%, 09/30/2021 $ 175 $ 187
4.50%, 05/23/2043 300 297
5.85%, 04/15/2040 25 29
Time Warner Cable Inc
4.00%, 09/01/2021 180 191
5.50%, 09/01/2041 300 315
6.55%, 05/01/2037 151 176
6.75%, 07/01/2018 51 56
6.75%, 06/15/2039 77 90
7.30%, 07/01/2038 300 376
8.25%, 04/01/2019 654 759
8.75%, 02/14/2019 48 56
Time Warner Entertainment Co LP
8.38%, 07/15/2033 95 129
Time Warner Inc
4.00%, 01/15/2022 180 194
4.05%, 12/15/2023 500 551
4.65%, 06/01/2044 500 526
4.70%, 01/15/2021 81 90
4.88%, 03/15/2020 42 47
5.38%, 10/15/2041 128 147
6.10%, 07/15/2040 43 53
6.20%, 03/15/2040 51 63
6.50%, 11/15/2036 120 152
7.63%, 04/15/2031 445 610
Viacom Inc
3.25%, 03/15/2023 750 738
3.88%, 12/15/2021 128 135
4.38%, 03/15/2043 400 323
6.88%, 04/30/2036 166 182
Walt Disney Co/The
1.10%, 12/01/2017 100 100
2.35%, 12/01/2022 750 775
2.75%, 08/16/2021 102 108
3.70%, 12/01/2042 100 107
3.75%, 06/01/2021 200 222
7.00%, 03/01/2032 51 74
$ 20,587
Metal Fabrication & Hardware - 0.03%
Precision Castparts Corp
1.25%, 01/15/2018 200 201
2.50%, 01/15/2023 100 104
4.38%, 06/15/2045 250 292
$597
Mining - 0.23%
BarrickGold Corp
4.10%, 05/01/2023 48 51
BarrickNorth America Finance LLC
4.40%, 05/30/2021 651 701
BarrickPD Australia Finance Pty Ltd
5.95%, 10/15/2039 90 94
BHP Billiton Finance USA Ltd
3.25%, 11/21/2021 128 135
4.13%, 02/24/2042 328 338
5.00%, 09/30/2043 500 581
6.50%, 04/01/2019 23 26
Goldcorp Inc
3.63%, 06/09/2021 300 309
N
ewmont Mining Corp
3.50%, 03/15/2022 102 106
6.25%, 10/01/2039 515 573
Rio Tinto Alcan Inc
6.13%, 12/15/2033 77 88
Rio Tinto Finance USA Ltd
7.13%, 07/15/2028 512 650
9.00%, 05/01/2019 83 100
Rio Tinto Finance USA PLC
4.75%, 03/22/2042 328 347
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 98
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mining (continued)
Southern Copper Corp
5.38%, 04/16/2020 $ 25 $ 27
5.88%, 04/23/2045 350 330
6.75%, 04/16/2040 258 266
$4,722
Miscellaneous Manufacturers - 0.47%
3M Co
5.70%, 03/15/2037 38 51
Crane Co
4.45%, 12/15/2023 100 106
Dover Corp
5.38%, 03/01/2041 77 98
Eaton Corp
1.50%, 11/02/2017 400 402
2.75%, 11/02/2022 100 103
4.00%, 11/02/2032 100 107
4.15%, 11/02/2042 50 54
General Electric Co
2.20%, 01/09/2020 1,110 1,144
2.70%, 10/09/2022 300 315
4.13%, 10/09/2042 300 330
4.50%, 03/11/2044 500 577
4.63%, 01/07/2021 77 87
5.25%, 12/06/2017 300 318
5.30%, 02/11/2021 308 357
5.50%, 01/08/2020 295 337
5.63%, 09/15/2017 154 163
5.63%, 05/01/2018 800 867
5.88%, 01/14/2038 266 360
6.00%, 08/07/2019 181 207
6.15%, 08/07/2037 155 216
6.75%, 03/15/2032 881 1,236
6.88%, 01/10/2039 500 755
Illinois Tool WorksInc
3.50%, 03/01/2024 350 383
Ingersoll-Rand Global Holding Co Ltd
6.88%, 08/15/2018 490 544
Parker-Hannifin Corp
3.50%, 09/15/2022 577 633
Tyco Electronics Group SA
6.55%, 10/01/2017 112 119
$9,869
Office & Business Equipment - 0.06%
Pitney Bowes Inc
5.75%, 09/15/2017 27 28
Xerox Corp
2.75%, 09/01/2020 500 482
2.80%, 05/15/2020 500 481
4.50%, 05/15/2021 226 229
5.63%, 12/15/2019 21 23
$1,243
Oil & Gas - 1.86%
Anadarko Finance Co
7.50%, 05/01/2031 77 92
Anadarko Petroleum Corp
4.50%, 07/15/2044 100 92
6.20%, 03/15/2040 25 28
6.38%, 09/15/2017 27 28
6.45%, 09/15/2036 725 835
Apache Corp
3.63%, 02/01/2021 577 603
4.75%, 04/15/2043 128 132
5.10%, 09/01/2040 92 96
BP Capital Markets PLC
2.24%, 09/26/2018 1,000 1,021
2.32%, 02/13/2020 200 205
2.50%, 11/06/2022 200 202
3.06%, 03/17/2022 300 310
3.56%, 11/01/2021 200 215
BONDS (continued)
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
BP Capital Markets PLC (continued)
3.81%, 02/10/2024 $ 400 $ 429
4.74%, 03/11/2021 128 144
4.75%, 03/10/2019 25 27
Canadian Natural Resources Ltd
6.25%, 03/15/2038 164 178
Chevron Corp
1.79%, 11/16/2018 790 801
2.36%, 12/05/2022 300 305
2.41%, 03/03/2022 500 510
2.43%, 06/24/2020 450 464
2.95%, 05/16/2026 355 367
4.95%, 03/03/2019 400 438
CNOOC Finance 2013 Ltd
1.75%, 05/09/2018 150 150
3.00%, 05/09/2023 150 149
4.25%, 05/09/2043 100 100
CNOOC Nexen Finance 2014 ULC
4.25%, 04/30/2024 500 530
Conoco Funding Co
7.25%, 10/15/2031 200 255
ConocoPhillips
6.00%, 01/15/2020 293 333
6.50%, 02/01/2039 169 218
ConocoPhillips Co
3.35%, 05/15/2025 750 775
4.30%, 11/15/2044 400 406
ConocoPhillips Holding Co
6.95%, 04/15/2029 202 252
Devon Energy Corp
5.60%, 07/15/2041 125 121
5.85%, 12/15/2025 1,000 1,103
6.30%, 01/15/2019 154 167
7.95%, 04/15/2032 192 220
Devon Financing Co LLC
7.88%, 09/30/2031 128 149
Ecopetrol SA
4.13%, 01/16/2025 500 452
4.25%, 09/18/2018 250 259
5.88%, 09/18/2023 250 258
EOG Resources Inc
2.63%, 03/15/2023 200 199
4.15%, 01/15/2026 350 383
4.40%, 06/01/2020 51 55
EQT Corp
6.50%, 04/01/2018 127 132
Exxon Mobil Corp
1.31%, 03/06/2018 570 574
2.22%, 03/01/2021 480 495
3.04%, 03/01/2026 270 287
3.18%, 03/15/2024 500 537
3.57%, 03/06/2045 300 311
4.11%, 03/01/2046 90 102
Hess Corp
5.60%, 02/15/2041 51 51
7.13%, 03/15/2033 200 224
7.30%, 08/15/2031 38 44
8.13%, 02/15/2019 25 28
Husky Energy Inc
7.25%, 12/15/2019 550 619
Marathon Oil Corp
3.85%, 06/01/2025 500 459
5.90%, 03/15/2018 251 260
6.60%, 10/01/2037 223 225
Marathon Petroleum Corp
3.63%, 09/15/2024 400 393
5.00%, 09/15/2054 200 168
5.13%, 03/01/2021 77 85
N
abors Industries Inc
6.15%, 02/15/2018 200 206
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 99
BONDS (continued)
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
N
exen Energy ULC
5.88%, 03/10/2035 $ 500 $ 585
6.40%, 05/15/2037 157 194
7.50%, 07/30/2039 15 20
N
oble Energy Inc
5.25%, 11/15/2043 350 356
6.00%, 03/01/2041 102 110
8.25%, 03/01/2019 400 458
Occidental Petroleum Corp
2.70%, 02/15/2023 300 305
3.50%, 06/15/2025 500 528
Petro-Canada
5.95%, 05/15/2035 400 471
6.80%, 05/15/2038 12 16
7.88%, 06/15/2026 200 262
Petroleos Mexicanos
3.50%, 07/18/2018 1,400 1,409
3.50%, 07/23/2020 350 350
4.50%, 01/23/2026 1,000 962
4.88%, 01/24/2022 385 394
5.50%, 01/21/2021 208 220
5.50%, 06/27/2044 350 316
5.75%, 03/01/2018 141 147
6.38%, 01/23/2045 400 402
6.63%, 06/15/2035 1,036 1,068
8.00%, 05/03/2019 31 35
Phillips 66
4.30%, 04/01/2022 1,128 1,232
5.88%, 05/01/2042 128 154
Pioneer Natural Resources Co
3.95%, 07/15/2022 100 105
Shell International Finance BV
1.13%, 08/21/2017 200 201
1.88%, 05/10/2021 1,000 1,005
2.38%, 08/21/2022 100 102
3.40%, 08/12/2023 1,500 1,594
3.63%, 08/21/2042 100 96
4.00%, 05/10/2046 245 250
4.13%, 05/11/2035 410 442
4.30%, 09/22/2019 651 709
4.38%, 03/25/2020 25 27
4.38%, 05/11/2045 490 532
5.50%, 03/25/2040 25 31
6.38%, 12/15/2038 43 58
Statoil ASA
1.15%, 05/15/2018 400 400
2.25%, 11/08/2019 500 513
2.65%, 01/15/2024 400 404
3.15%, 01/23/2022 102 107
3.95%, 05/15/2043 200 207
5.10%, 08/17/2040 263 315
5.25%, 04/15/2019 23 25
Suncor Energy Inc
6.10%, 06/01/2018 128 138
6.50%, 06/15/2038 428 552
6.85%, 06/01/2039 5 7
Total Capital International SA
2.75%, 06/19/2021 400 416
2.88%, 02/17/2022 128 134
Total Capital SA
4.25%, 12/15/2021 51 57
4.45%, 06/24/2020 500 555
Valero Energy Corp
6.13%, 02/01/2020 138 156
6.63%, 06/15/2037 234 257
7.50%, 04/15/2032 15 18
9.38%, 03/15/2019 128 153
$ 38,816
Oil & Gas Services - 0.12%
Halliburton Co
3.25%, 11/15/2021 651 675
BONDS (continued)
Principal
Amount (000's) Value (000's)
Oil & Gas Services (continued)
Halliburton Co (continued)
3.80%, 11/15/2025 $ 245 $ 256
4.50%, 11/15/2041 51 50
4.85%, 11/15/2035 275 298
5.00%, 11/15/2045 340 374
5.90%, 09/15/2018 350 381
7.45%, 09/15/2039 10 14
N
ational Oilwell Varco Inc
2.60%, 12/01/2022 500 466
$2,514
Other Asset Backed Securities - 0.00%
CenterPoint Energy Restoration Bond Co
LLC
3.46%, 08/15/2019 68 70
Packaging & Containers - 0.01%
WestRockMWV LLC
7.38%, 09/01/2019 100 115
Pharmaceuticals - 1.41%
AbbVie Inc
1.75%, 11/06/2017 300 302
2.00%, 11/06/2018 200 202
2.50%, 05/14/2020 580 593
2.90%, 11/06/2022 200 204
3.20%, 05/14/2026 305 309
3.60%, 05/14/2025 470 492
4.30%, 05/14/2036 170 173
4.40%, 11/06/2042 200 204
4.45%, 05/14/2046 235 238
4.50%, 05/14/2035 280 293
4.70%, 05/14/2045 330 349
Actavis Funding SCS
1.30%, 06/15/2017 300 299
3.00%, 03/12/2020 400 413
3.80%, 03/15/2025 300 313
3.85%, 06/15/2024 445 466
4.75%, 03/15/2045 200 210
4.85%, 06/15/2044 500 527
Actavis Inc
1.88%, 10/01/2017 200 201
3.25%, 10/01/2022 150 153
4.63%, 10/01/2042 100 103
6.13%, 08/15/2019 12 13
AmerisourceBergen Corp
3.40%, 05/15/2024 250 264
AstraZeneca PLC
1.95%, 09/18/2019 600 610
3.38%, 11/16/2025 275 288
4.00%, 09/18/2042 100 103
4.38%, 11/16/2045 135 147
6.45%, 09/15/2037 144 197
Baxalta Inc
2.00%, 06/22/2018 500 500
3.60%, 06/23/2022 500 516
5.25%, 06/23/2045 105 114
Bristol-Myers Squibb Co
0.88%, 08/01/2017 100 100
1.75%, 03/01/2019 500 509
3.25%, 08/01/2042 600 597
Cardinal Health Inc
1.70%, 03/15/2018 300 302
3.20%, 03/15/2023 200 209
4.60%, 03/15/2043 100 107
Eli Lilly & Co
1.95%, 03/15/2019 1,000 1,023
3.70%, 03/01/2045 500 533
Express Scripts Holding Co
3.50%, 06/15/2024 500 516
3.90%, 02/15/2022 200 214
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 100
BONDS (continued)
Principal
Amount (000's) Value (000's)
Pharmaceuticals (continued)
Express Scripts Holding Co (continued)
4.75%, 11/15/2021 $ 77 $ 86
6.13%, 11/15/2041 77 92
GlaxoSmithKline Capital Inc
5.38%, 04/15/2034 1,000 1,268
5.65%, 05/15/2018 202 219
GlaxoSmithKline Capital PLC
2.85%, 05/08/2022 128 135
Johnson & Johnson
1.65%, 12/05/2018 500 509
2.95%, 09/01/2020 128 137
3.70%, 03/01/2046 215 242
4.95%, 05/15/2033 201 258
5.55%, 08/15/2017 128 135
5.95%, 08/15/2037 775 1,147
McKesson Corp
4.75%, 03/01/2021 250 276
4.88%, 03/15/2044 120 137
Mead Johnson Nutrition Co
4.60%, 06/01/2044 250 265
Medco Health Solutions Inc
7.13%, 03/15/2018 169 185
Merck& Co Inc
1.10%, 01/31/2018 100 100
1.30%, 05/18/2018 200 202
2.35%, 02/10/2022 750 773
2.40%, 09/15/2022 100 103
2.75%, 02/10/2025 350 366
2.80%, 05/18/2023 200 210
3.60%, 09/15/2042 100 103
4.15%, 05/18/2043 200 224
6.55%, 09/15/2037 187 270
MerckSharp & Dohme Corp
5.00%, 06/30/2019 154 171
Mylan Inc
2.55%, 03/28/2019 250 253
Mylan NV
3.75%, 12/15/2020(c) 750 782
3.95%, 06/15/2026(c) 295 299
5.25%, 06/15/2046(c) 145 151
N
ovartis Capital Corp
3.00%, 11/20/2025 500 531
4.40%, 04/24/2020 77 86
4.40%, 05/06/2044 330 398
N
ovartis Securities Investment Lt
d
5.13%, 02/10/2019 564 623
Perrigo Co PLC
5.30%, 11/15/2043 500 522
Pfizer Inc
1.45%, 06/03/2019 600 605
3.00%, 06/15/2023 500 533
3.40%, 05/15/2024 1,000 1,094
4.65%, 03/01/2018 51 54
5.60%, 09/15/2040 380 491
6.20%, 03/15/2019 280 316
7.20%, 03/15/2039 151 230
Sanofi
1.25%, 04/10/2018 400 402
Teva Pharmaceutical Finance Co BV
3.65%, 11/10/2021 400 424
Teva Pharmaceutical Finance Co LLC
6.15%, 02/01/2036 3 4
Wyeth LLC
5.95%, 04/01/2037 91 121
6.50%, 02/01/2034 144 198
Zoetis Inc
3.25%, 02/01/2023 100 102
3.45%, 11/13/2020 750 774
$ 29,512
BONDS (continued)
Principal
Amount (000's) Value (000's)
Pipelines - 0.84%
BoardwalkPipelines LP
3.38%, 02/01/2023 $ 200 $ 183
Buckeye Partners LP
2.65%, 11/15/2018 250 254
4.88%, 02/01/2021 850 893
Columbia Pipeline Group Inc
5.80%, 06/01/2045 500 577
Enable Midstream Partners LP
5.00%, 05/15/2044(a) 500 396
Enbridge Energy Partners LP
5.20%, 03/15/2020 9 9
7.38%, 10/15/2045 100 122
9.88%, 03/01/2019 87 100
Energy Transfer Partners LP
4.90%, 02/01/2024 350 358
4.90%, 03/15/2035 300 265
5.20%, 02/01/2022 102 107
5.95%, 10/01/2043 350 338
6.50%, 02/01/2042 102 107
6.70%, 07/01/2018 23 24
9.00%, 04/15/2019 6 7
Enterprise Products Operating LLC
3.35%, 03/15/2023 300 308
3.70%, 02/15/2026 500 520
3.75%, 02/15/2025 500 522
3.90%, 02/15/2024 250 265
4.85%, 08/15/2042 300 317
4.90%, 05/15/2046 400 431
5.20%, 09/01/2020 77 87
6.13%, 10/15/2039 123 146
6.45%, 09/01/2040 177 215
6.50%, 01/31/2019 161 180
6.88%, 03/01/2033 15 18
Kinder Morgan Energy Partners LP
3.50%, 03/01/2021 750 752
3.50%, 09/01/2023 200 195
4.15%, 03/01/2022 300 304
4.70%, 11/01/2042 200 180
5.00%, 03/01/2043 100 95
5.40%, 09/01/2044 400 395
6.38%, 03/01/2041 128 133
6.50%, 09/01/2039 112 117
6.95%, 01/15/2038 112 124
7.40%, 03/15/2031 177 193
9.00%, 02/01/2019 77 88
Kinder Morgan Inc/DE
3.05%, 12/01/2019 750 758
Magellan Midstream Partners LP
4.20%, 12/01/2042 200 191
ONEOK Partners LP
5.00%, 09/15/2023 250 263
6.13%, 02/01/2041 128 134
8.63%, 03/01/2019 20 23
Panhandle Eastern Pipe Line Co LP
6.20%, 11/01/2017 81 84
Plains All American Pipeline LP / PAA
Finance Corp
2.85%, 01/31/2023 200 184
3.65%, 06/01/2022 128 126
4.30%, 01/31/2043 200 161
4.70%, 06/15/2044 500 427
5.75%, 01/15/2020 15 16
Regency Energy Partners LP / Regency
Energy Finance Corp
5.88%, 03/01/2022 750 802
Southern Natural Gas Co LLC / Southern
N
atural Issuing Corp
4.40%, 06/15/2021 51 53
Spectra Energy Capital LLC
8.00%, 10/01/2019 300 344
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 101
BONDS (continued)
Principal
Amount (000's) Value (000's)
Pipelines (continued)
Spectra Energy Partners LP
5.95%, 09/25/2043 $ 200 $ 236
Sunoco Logistics Partners Operations LP
3.45%, 01/15/2023 200 197
4.95%, 01/15/2043 200 185
5.50%, 02/15/2020 46 50
Texas Eastern Transmission LP
7.00%, 07/15/2032 100 125
TransCanada PipeLines Ltd
3.80%, 10/01/2020 128 136
5.60%, 03/31/2034 300 340
6.10%, 06/01/2040 25 30
6.50%, 08/15/2018 1,042 1,142
7.25%, 08/15/2038 51 69
7.63%, 01/15/2039 500 704
Williams Partners LP
3.90%, 01/15/2025 350 318
4.00%, 09/15/2025 580 532
5.10%, 09/15/2045 180 154
5.25%, 03/15/2020 180 185
6.30%, 04/15/2040 343 325
$ 17,619
Real Estate - 0.01%
Brookfield Asset Management Inc
4.00%, 01/15/2025 300 305
Regional Authority - 0.18%
Province of British Columbia Canada
2.65%, 09/22/2021 77 82
6.50%, 01/15/2026 18 25
Province of Manitoba Canada
3.05%, 05/14/2024 500 541
Province of Ontario Canada
2.50%, 09/10/2021 500 522
3.15%, 12/15/2017 200 207
3.20%, 05/16/2024 750 818
4.00%, 10/07/2019 277 302
4.40%, 04/14/2020 151 168
Province of Quebec Canada
2.75%, 08/25/2021 231 245
3.50%, 07/29/2020 750 813
7.50%, 09/15/2029 64 97
Province of Saskatchewan Canada
8.50%, 07/15/2022 6 8
$3,828
REITS - 0.66%
Alexandria Real Estate Equities Inc
2.75%, 01/15/2020 750 757
American Tower Corp
3.50%, 01/31/2023 500 517
4.70%, 03/15/2022 278 307
AvalonBay Communities Inc
2.95%, 09/15/2022 100 103
3.63%, 10/01/2020 100 107
4.20%, 12/15/2023 400 440
Boston Properties LP
3.85%, 02/01/2023 200 214
4.13%, 05/15/2021 77 84
5.63%, 11/15/2020 25 29
5.88%, 10/15/2019 750 843
Brandywine Operating Partnership LP
3.95%, 02/15/2023 200 202
Brixmor Operating Partnership LP
3.85%, 02/01/2025 300 302
CBL & Associates LP
4.60%, 10/15/2024 750 676
Crown Castle International Corp
3.70%, 06/15/2026 250 258
DDR Corp
4.63%, 07/15/2022 200 216
BONDS (continued)
Principal
Amount (000's) Value (000's)
REITS (continued)
Duke Realty LP
3.88%, 10/15/2022 $ 100 $ 106
EPR Properties
7.75%, 07/15/2020 63 73
ERP Operating LP
2.38%, 07/01/2019 400 410
4.75%, 07/15/2020 51 56
Federal Realty Investment Trust
2.75%, 06/01/2023 150 152
HCP Inc
3.40%, 02/01/2025 300 290
4.20%, 03/01/2024 250 257
4.25%, 11/15/2023 200 207
5.38%, 02/01/2021 51 57
6.70%, 01/30/2018 15 16
Highwoods Realty LP
3.20%, 06/15/2021 350 353
Hospitality Properties Trust
5.00%, 08/15/2022 100 107
6.70%, 01/15/2018 77 81
Host Hotels & Resorts LP
6.00%, 10/01/2021 200 227
Kimco Realty Corp
3.13%, 06/01/2023 200 204
3.20%, 05/01/2021 250 260
Liberty Property LP
3.38%, 06/15/2023 300 304
Mid-America Apartments LP
4.00%, 11/15/2025 500 526
Omega Healthcare Investors Inc
4.50%, 01/15/2025 300 304
4.95%, 04/01/2024 750 780
Realty Income Corp
2.00%, 01/31/2018 100 101
4.65%, 08/01/2023 250 276
5.88%, 03/15/2035 51 62
Regency Centers LP
3.75%, 06/15/2024 200 208
Simon Property Group LP
2.15%, 09/15/2017 102 103
2.20%, 02/01/2019 400 409
4.13%, 12/01/2021 200 222
5.65%, 02/01/2020 47 53
6.75%, 02/01/2040 25 36
10.35%, 04/01/2019 90 110
Tanger Properties LP
3.88%, 12/01/2023 250 261
UDR Inc
4.00%, 10/01/2025 200 217
Ventas Realty LP / Ventas Capital Corp
2.00%, 02/15/2018 750 754
4.25%, 03/01/2022 128 138
Weingarten Realty Investors
3.38%, 10/15/2022 180 184
Welltower Inc
3.75%, 03/15/2023 200 207
6.13%, 04/15/2020 115 131
Weyerhaeuser Co
7.38%, 03/15/2032 300 397
$ 13,694
Retail - 1.13%
AutoNation Inc
6.75%, 04/15/2018 200 215
AutoZone Inc
1.63%, 04/21/2019 750 754
4.00%, 11/15/2020 251 270
BedBath& BeyondInc
5.17%, 08/01/2044 500 441
Costco Wholesale Corp
1.13%, 12/15/2017 1,000 1,006
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 102
BONDS (continued)
Principal
Amount (000's) Value (000's)
Retail (continued)
CVS Health Corp
2.25%, 08/12/2019 $ 500 $ 514
2.80%, 07/20/2020 530 552
3.50%, 07/20/2022 1,000 1,077
4.13%, 05/15/2021 500 549
5.13%, 07/20/2045 370 459
Darden Restaurants Inc
6.80%, 10/15/2037(a) 27 32
Dollar General Corp
1.88%, 04/15/2018 300 303
4.15%, 11/01/2025 500 549
Home Depot Inc/The
2.25%, 09/10/2018 750 772
3.75%, 02/15/2024 350 392
5.88%, 12/16/2036 987 1,348
5.95%, 04/01/2041 351 484
Kohl's Corp
4.00%, 11/01/2021 277 290
5.55%, 07/17/2045 250 233
Lowe's Cos Inc
2.50%, 04/15/2026 500 509
3.80%, 11/15/2021 102 112
4.38%, 09/15/2045 500 573
4.63%, 04/15/2020 77 85
5.80%, 04/15/2040 77 101
6.65%, 09/15/2037 312 441
Macy's Retail Holdings Inc
2.88%, 02/15/2023 300 285
3.45%, 01/15/2021 500 515
4.30%, 02/15/2043 200 157
6.65%, 07/15/2024 25 29
6.90%, 04/01/2029 125 137
McDonald's Corp
2.10%, 12/07/2018 500 512
3.38%, 05/26/2025 500 528
3.50%, 07/15/2020 151 161
3.70%, 02/15/2042 128 126
4.88%, 07/15/2040 9 10
4.88%, 12/09/2045 250 292
5.35%, 03/01/2018 36 39
6.30%, 10/15/2037 262 348
N
ordstrom Inc
4.75%, 05/01/2020 36 39
6.25%, 01/15/2018 12 13
O'Reilly Automotive Inc
3.85%, 06/15/2023 300 323
QVC Inc
4.38%, 03/15/2023 250 252
Signet UK Finance PLC
4.70%, 06/15/2024 250 244
Staples Inc
4.38%, 01/12/2023 180 183
Target Corp
2.50%, 04/15/2026 1,500 1,538
6.00%, 01/15/2018 149 160
Walgreen Co
4.40%, 09/15/2042 100 101
5.25%, 01/15/2019 6 7
Walgreens Boots Alliance Inc
1.75%, 11/17/2017 200 201
2.70%, 11/18/2019 300 310
3.45%, 06/01/2026 380 390
4.80%, 11/18/2044 300 323
Wal-Mart Stores Inc
2.55%, 04/11/2023 1,450 1,513
3.25%, 10/25/2020 51 55
3.63%, 07/08/2020 51 56
4.13%, 02/01/2019 102 110
4.25%, 04/15/2021 51 58
4.30%, 04/22/2044 500 584
5.25%, 09/01/2035 350 460
BONDS (continued)
Principal
Amount (000's) Value (000's)
Retail (continued)
Wal-Mart Stores Inc (continued)
5.63%, 04/01/2040 $ 38 $ 51
5.63%, 04/15/2041 280 377
5.80%, 02/15/2018 128 138
6.20%, 04/15/2038 25 35
6.50%, 08/15/2037 415 601
7.55%, 02/15/2030 128 195
$ 23,517
Semiconductors - 0.27%
Applied Materials Inc
3.90%, 10/01/2025 500 554
5.10%, 10/01/2035 250 284
Intel Corp
1.35%, 12/15/2017 300 302
2.45%, 07/29/2020 500 520
3.30%, 10/01/2021 177 192
3.70%, 07/29/2025 500 555
4.00%, 12/15/2032 200 216
4.25%, 12/15/2042 200 215
4.80%, 10/01/2041 77 88
KLA-Tencor Corp
4.65%, 11/01/2024 500 545
Lam Research Corp
2.75%, 03/15/2020 300 307
Maxim Integrated Products Inc
2.50%, 11/15/2018 200 204
QUALCOMM Inc
2.25%, 05/20/2020 370 380
3.45%, 05/20/2025 270 287
4.65%, 05/20/2035 100 109
4.80%, 05/20/2045 150 157
Texas Instruments Inc
1.65%, 08/03/2019 200 203
2.75%, 03/12/2021 400 426
Xilinx Inc
2.13%, 03/15/2019 175 177
$5,721
Software - 0.48%
Adobe Systems Inc
4.75%, 02/01/2020 51 56
CDK Global Inc
3.30%, 10/15/2019 500 501
Fidelity National Information Services Inc
2.00%, 04/15/2018 300 302
3.63%, 10/15/2020 340 360
5.00%, 10/15/2025 260 295
Fiserv Inc
3.50%, 10/01/2022 600 636
Microsoft Corp
1.30%, 11/03/2018 500 505
2.00%, 11/03/2020 160 164
2.38%, 02/12/2022 350 361
3.00%, 10/01/2020 600 641
3.13%, 11/03/2025 640 686
4.00%, 02/12/2055 850 857
4.20%, 06/01/2019 115 125
4.20%, 11/03/2035 430 487
5.30%, 02/08/2041 77 96
Oracle Corp
2.38%, 01/15/2019 450 463
2.50%, 10/15/2022 1,500 1,535
3.88%, 07/15/2020 77 84
4.30%, 07/08/2034 1,000 1,064
4.38%, 05/15/2055 590 620
5.00%, 07/08/2019 48 53
5.75%, 04/15/2018 180 195
$ 10,086
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 103
BONDS (continued)
Principal
Amount (000's) Value (000's)
Sovereign - 1.66%
Chile Government International Bond
3.13%, 03/27/2025 $ 250 $ 263
3.25%, 09/14/2021 180 192
3.88%, 08/05/2020 500 541
Colombia Government International Bond
4.38%, 07/12/2021 100 107
5.63%, 02/26/2044 1,000 1,107
6.13%, 01/18/2041 200 231
8.13%, 05/21/2024 201 259
11.75%, 02/25/2020 180 237
10.38%, 01/28/2033 100 150
Export Development Canada
1.75%, 08/19/2019 400 410
Export-Import Bankof Korea
2.25%, 01/21/2020 300 305
3.25%, 11/10/2025 500 535
3.25%, 08/12/2026 500 537
5.00%, 04/11/2022 200 231
Financing Corp
9.65%, 11/02/2018 900 1,085
Israel Government AID Bond
5.50%, 09/18/2023 25 32
5.50%, 04/26/2024 125 158
5.50%, 09/18/2033 12 17
Israel Government International Bond
4.00%, 06/30/2022 500 555
5.13%, 03/26/2019 147 162
Italy Government International Bond
5.38%, 06/15/2033 64 76
6.88%, 09/27/2023 212 266
Japan Bankfor International
Cooperation/Japan
1.13%, 07/19/2017 100 100
1.75%, 07/31/2018 650 657
2.38%, 04/20/2026 300 313
3.00%, 05/29/2024 1,000 1,086
Korea International Bond
3.88%, 09/11/2023 250 286
Mexico Government International Bond
3.50%, 01/21/2021 500 528
3.60%, 01/30/2025 210 219
3.63%, 03/15/2022 300 316
4.60%, 01/23/2046 520 549
4.75%, 03/08/2044 506 545
5.55%, 01/21/2045 300 359
5.95%, 03/19/2019 778 869
6.05%, 01/11/2040 464 583
8.30%, 08/15/2031 738 1,190
Panama Government International Bond
5.20%, 01/30/2020 1,154 1,278
6.70%, 01/26/2036 224 297
8.88%, 09/30/2027 77 113
Peruvian Government International Bond
5.63%, 11/18/2050 528 655
6.55%, 03/14/2037 126 170
7.13%, 03/30/2019 30 35
7.35%, 07/21/2025 180 245
8.75%, 11/21/2033 192 301
Philippine Government International Bond
3.95%, 01/20/2040 300 346
5.00%, 01/13/2037 300 387
6.38%, 10/23/2034 210 305
6.50%, 01/20/2020 200 233
8.38%, 06/17/2019 500 597
9.50%, 02/02/2030 400 684
10.63%, 03/16/2025 400 658
Poland Government International Bond
4.00%, 01/22/2024 1,000 1,080
5.00%, 03/23/2022 528 594
5.13%, 04/21/2021 51 57
BONDS (continued)
Principal
Amount (000's) Value (000's)
Sovereign (continued)
South Africa Government International Bond
4.67%, 01/17/2024 $ 200 $ 207
4.88%, 04/14/2026 750 778
6.25%, 03/08/2041 250 289
6.88%, 05/27/2019 500 557
SvenskExportkredit AB
1.88%, 06/17/2019 500 512
Tennessee Valley Authority
3.50%, 12/15/2042 400 432
3.88%, 02/15/2021 500 561
4.25%, 09/15/2065 200 235
4.50%, 04/01/2018 51 54
5.25%, 09/15/2039 251 344
5.38%, 04/01/2056 154 214
6.75%, 11/01/2025 102 141
Turkey Government International Bond
3.25%, 03/23/2023 700 678
4.88%, 04/16/2043 900 879
5.75%, 03/22/2024 250 279
6.63%, 02/17/2045 200 243
6.75%, 04/03/2018 500 538
7.00%, 06/05/2020 500 567
7.38%, 02/05/2025 750 925
7.50%, 11/07/2019 300 343
8.00%, 02/14/2034 400 539
Uruguay Government International Bond
4.13%, 11/20/2045 100 90
4.38%, 10/27/2027 940 992
8.00%, 11/18/2022 1,015 1,284
$ 34,772
Supranational Bank - 1.64%
African Development Bank
0.88%, 03/15/2018 800 801
1.00%, 05/15/2019 1,000 1,004
Asian Development Bank
1.13%, 06/05/2018 530 533
1.50%, 01/22/2020 300 305
1.75%, 09/11/2018 1,500 1,531
1.88%, 02/18/2022 250 257
2.13%, 11/24/2021 750 782
2.13%, 03/19/2025 300 310
5.82%, 06/16/2028 15 20
6.38%, 10/01/2028 51 73
Corp Andina de Fomento
4.38%, 06/15/2022 22 25
Council Of Europe Development Bank
1.13%, 05/31/2018 1,000 1,005
1.63%, 03/10/2020 300 305
European Bankfor Reconstruction &
Development
1.63%, 04/10/2018 250 253
1.63%, 11/15/2018 300 305
1.75%, 06/14/2019 500 511
1.88%, 02/23/2022 250 257
European Investment Bank
1.00%, 08/17/2017 1,000 1,003
1.00%, 03/15/2018 750 752
1.13%, 09/15/2017 1,400 1,406
1.25%, 05/15/2018 500 504
1.25%, 05/15/2019 1,400 1,409
1.63%, 03/16/2020 300 305
1.88%, 03/15/2019 500 512
2.00%, 03/15/2021 775 801
2.50%, 04/15/2021 1,500 1,582
3.25%, 01/29/2024 1,000 1,119
4.88%, 02/15/2036 25 34
FMS Wertmanagement AoeR
1.75%, 03/17/2020 300 306
Inter-American Development Bank
1.00%, 07/14/2017 1,000 1,003
1.00%, 05/13/2019 1,000 1,003
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 104
BONDS (continued)
Principal
Amount (000's) Value (000's)
Supranational Bank (continued)
Inter-American Development
Bank(continued)
1.75%, 08/24/2018 $ 1,000 $ 1,022
1.75%, 10/15/2019 500 511
1.88%, 03/15/2021 500 514
2.13%, 11/09/2020 250 260
3.00%, 02/21/2024 250 276
3.88%, 09/17/2019 577 629
3.88%, 02/14/2020 77 85
International Bankfor Reconstruction &
Development
0.88%, 07/19/2018 2,025 2,030
1.00%, 10/05/2018 540 542
1.13%, 07/18/2017 500 502
1.25%, 07/26/2019 750 759
1.38%, 04/10/2018 500 505
1.38%, 05/24/2021 345 347
1.63%, 02/10/2022 1,000 1,015
1.88%, 03/15/2019 500 514
1.88%, 10/07/2022 260 266
2.13%, 11/01/2020 750 781
2.25%, 06/24/2021 500 523
2.50%, 07/29/2025 700 749
7.63%, 01/19/2023 12 17
International Finance Corp
0.88%, 06/15/2018 300 300
1.25%, 07/16/2018 500 504
1.25%, 11/27/2018 500 505
1.75%, 09/04/2018 1,000 1,020
$ 34,192
Telecommunications - 1.50%
America Movil SAB de CV
3.13%, 07/16/2022 100 103
5.63%, 11/15/2017 1,015 1,071
6.13%, 03/30/2040 102 125
6.38%, 03/01/2035 200 245
AT&T Inc
1.75%, 01/15/2018 600 603
2.40%, 03/15/2017 200 202
2.45%, 06/30/2020 200 204
2.63%, 12/01/2022 600 601
3.00%, 02/15/2022 940 959
3.00%, 06/30/2022 200 205
3.40%, 05/15/2025 200 205
3.80%, 03/15/2022 102 108
3.88%, 08/15/2021 77 83
4.30%, 12/15/2042 201 195
4.35%, 06/15/2045 950 921
4.50%, 05/15/2035 200 205
4.60%, 02/15/2021 171 187
4.75%, 05/15/2046 200 205
5.50%, 02/01/2018 702 747
5.65%, 02/15/2047 350 401
5.88%, 10/01/2019 56 63
6.00%, 08/15/2040 663 774
6.30%, 01/15/2038 500 601
6.50%, 09/01/2037 521 644
BellSouth LLC
6.00%, 11/15/2034 200 225
British Telecommunications PLC
2.35%, 02/14/2019 1,250 1,277
9.38%, 12/15/2030(a) 77 119
Cisco Systems Inc
2.20%, 02/28/2021 535 551
2.95%, 02/28/2026 500 532
4.45%, 01/15/2020 102 113
4.95%, 02/15/2019 855 939
5.90%, 02/15/2039 680 923
Deutsche Telekom International Finance BV
6.00%, 07/08/2019 300 337
8.75%, 06/15/2030(a) 641 965
BONDS (continued)
Principal
Amount (000's) Value (000's)
Telecommunications (continued)
Juniper NetworksInc
4.60%, 03/15/2021 $ 500 $ 537
Motorola Solutions Inc
4.00%, 09/01/2024 500 489
Orange SA
4.13%, 09/14/2021 128 141
5.38%, 01/13/2042 102 127
9.00%, 03/01/2031(a) 815 1,262
Pacific Bell Telephone Co
7.13%, 03/15/2026 377 486
Qwest Corp
6.75%, 12/01/2021 200 216
7.25%, 10/15/2035 200 202
Rogers Communications Inc
3.00%, 03/15/2023 400 417
5.00%, 03/15/2044 500 568
6.80%, 08/15/2018 108 120
Telefonica Emisiones SAU
5.13%, 04/27/2020 918 1,013
7.05%, 06/20/2036 295 377
Verizon Communications Inc
1.10%, 11/01/2017 100 100
2.45%, 11/01/2022 100 101
2.63%, 02/21/2020 1,189 1,230
4.40%, 11/01/2034 750 773
4.50%, 09/15/2020 400 444
4.60%, 04/01/2021 77 86
4.67%, 03/15/2055 950 961
4.86%, 08/21/2046 2,600 2,842
5.01%, 08/21/2054 700 740
5.15%, 09/15/2023 1,100 1,281
Vodafone Group PLC
2.95%, 02/19/2023 200 201
5.45%, 06/10/2019 180 199
6.15%, 02/27/2037 201 233
6.25%, 11/30/2032 500 575
$ 31,359
Toys, Games & Hobbies - 0.03%
Hasbro Inc
3.15%, 05/15/2021 250 257
6.35%, 03/15/2040 25 31
Mattel Inc
2.35%, 05/06/2019 250 254
$542
Transportation - 0.56%
Burlington Northern Santa Fe LLC
3.00%, 04/01/2025 500 529
4.70%, 10/01/2019 783 866
5.15%, 09/01/2043 350 427
6.20%, 08/15/2036 500 663
7.95%, 08/15/2030 77 115
Canadian National Railway Co
2.25%, 11/15/2022 200 203
3.50%, 11/15/2042 200 198
5.55%, 03/01/2019 15 17
Canadian Pacific Railway Co
3.70%, 02/01/2026 130 139
4.45%, 03/15/2023 128 141
4.80%, 09/15/2035 500 571
CSX Corp
3.35%, 11/01/2025 500 531
3.70%, 11/01/2023 500 541
4.75%, 05/30/2042 277 321
6.25%, 03/15/2018 82 89
FedEx Corp
2.63%, 08/01/2022 100 103
3.25%, 04/01/2026 400 418
3.88%, 08/01/2042 100 98
4.50%, 02/01/2065 500 521
4.55%, 04/01/2046 400 434
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 105
BONDS (continued)
Principal
Amount (000's) Value (000's)
Transportation (continued)
FedEx Corp (continued)
4.75%, 11/15/2045 $ 500 $ 557
N
orfolkSouthern Corp
3.25%, 12/01/2021 251 265
3.85%, 01/15/2024 200 219
4.80%, 08/15/2043 350 408
4.84%, 10/01/2041 100 114
7.25%, 02/15/2031 130 187
Ryder System Inc
2.35%, 02/26/2019 200 202
2.45%, 09/03/2019 350 356
Union Pacific Corp
4.15%, 01/15/2045 350 384
4.16%, 07/15/2022 241 271
4.75%, 09/15/2041 77 91
United Parcel Service Inc
1.13%, 10/01/2017 400 402
3.13%, 01/15/2021 1,128 1,209
4.88%, 11/15/2040 25 32
6.20%, 01/15/2038 23 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 $ 710,104
MUNICIPAL BONDS - 0.96%
Principal
Amount (000's) Value (000's)
California - 0.37%
Bay Area Toll Authority
6.26%, 04/01/2049 $ 300 $ 458
6.92%, 04/01/2040 120 176
City of Los Angeles Department of Airports
6.58%, 05/15/2039 100 139
City of San Francisco CA Public Utilities
Commission Water Revenue
6.00%, 11/01/2040 200 265
East Bay Municipal Utility District Water
System Revenue
5.87%, 06/01/2040 60 83
Los Angeles Community College District/CA
6.60%, 08/01/2042 500 764
Los Angeles Department of Water
6.01%, 07/01/2039 55 74
Los Angeles Department of Water & Power
6.57%, 07/01/2045 150 226
Los Angeles Unified School District/CA
5.75%, 07/01/2034 80 106
5.76%, 07/01/2029 50 65
6.76%, 07/01/2034 130 187
Regents of the University of California
Medical Center Pooled Revenue
6.55%, 05/15/2048 250 361
Sacramento Municipal Utility District
6.16%, 05/15/2036 120 158
San Diego County Water Authority Financing
Corp
6.14%, 05/01/2049 460 664
Santa Clara Valley Transportation Authority
5.88%, 04/01/2032 25 32
State of California
6.65%, 03/01/2022 1,275 1,575
7.30%, 10/01/2039 375 567
7.60%, 11/01/2040 180 291
7.63%, 03/01/2040 280 442
MUNICIPAL BONDS (continued)
Principal
Amount (000's) Value (000's)
California (continued)
State of California (continued)
7.95%, 03/01/2036 $ 500 $ 608
University of California
1.80%, 07/01/2019 300 307
3.93%, 05/15/2045 200 214
5.77%, 05/15/2043 200 270
$8,032
Connecticut - 0.03%
State of Connecticut
5.85%, 03/15/2032 525 683
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
Georgia - 0.03%
Municipal Electric Authority of Georgia
6.64%, 04/01/2057 151 199
7.06%, 04/01/2057 200 241
State of Georgia
4.50%, 11/01/2025 175 201
$641
Illinois - 0.09%
Chicago Transit Authority
6.20%, 12/01/2040 70 86
6.90%, 12/01/2040 200 261
City of Chicago IL
6.31%, 01/01/2044 250 233
City of Chicago IL Waterworks Revenue
6.74%, 11/01/2040 145 188
County of CookIL
6.23%, 11/15/2034 102 125
State of Illinois
4.95%, 06/01/2023 30 32
5.10%, 06/01/2033 735 706
5.88%, 03/01/2019 345 373
7.35%, 07/01/2035 70 78
$2,082
Kansas - 0.01%
State of Kansas Department of
Transportation
4.60%, 09/01/2035 115 139
Nevada - 0.00%
County of ClarkDepartment of Aviation
6.82%, 07/01/2045 25 39
6.88%, 07/01/2042 70 80
$119
New Jersey - 0.10%
N
ew Jersey Economic Development
Authority (credit support from AGM)
0.00%, 02/15/2023(b),(d) 51 40
N
ew Jersey Economic Development
Authority (credit support from NATL)
7.43%, 02/15/2029(d) 1,000 1,237
N
ew Jersey Transportation Trust Fund
Authority
5.75%, 12/15/2028 190 205
6.56%, 12/15/2040 210 249
N
ew Jersey Turnpike Authorit
y
7.10%, 01/01/2041 147 224
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 106
MUNICIPAL BONDS (continued)
Principal
Amount (000's) Value (000's)
New Jersey (continued)
Rutgers The State University of New
Jersey (credit support from GO OF UNIV)
5.67%, 05/01/2040(d) $ 130 $ 166
$2,121
New York - 0.14%
City of New YorkNY
5.52%, 10/01/2037 25 33
5.85%, 06/01/2040 300 415
Metropolitan Transportation Authority
6.55%, 11/15/2031 180 244
6.65%, 11/15/2039 100 142
6.81%, 11/15/2040 135 197
N
ew York City Transitional Finance Authority
Future Tax Secured Revenue
5.51%, 08/01/2037 250 327
N
ew York City Water & Sewer System
5.72%, 06/15/2042 270 376
5.95%, 06/15/2042 125 179
N
ew YorkState Dormitory Authorit
y
5.60%, 03/15/2040 100 135
Port Authority of New York& New Jersey
4.46%, 10/01/2062 100 114
4.96%, 08/01/2046 300 373
Port Authority of New York&New
Jersey (credit support from GO OF AUTH)
6.04%, 12/01/2029(d) 50 65
$2,600
Ohio - 0.02%
American Municipal Power Inc
6.27%, 02/15/2050 69 90
7.50%, 02/15/2050 75 111
Ohio State University/The
4.91%, 06/01/2040 125 158
$359
Texas - 0.11%
City of Houston TX Combined Utility System
Revenue
3.83%, 05/15/2028 250 282
City Public Service Board of San Antonio
TX
5.72%, 02/01/2041 125 173
5.81%, 02/01/2041 135 188
Dallas Area Rapid Transit
5.02%, 12/01/2048 50 66
Dallas Convention Center Hotel Development
Corp
7.09%, 01/01/2042 70 99
Dallas County Hospital District
5.62%, 08/15/2044 83 112
Dallas Independent School District (credit
support from PSF-GTD)
6.45%, 02/15/2035(d) 50 60
Grand Parkway Transportation Corp
5.18%, 10/01/2042 300 391
State of Texas
4.68%, 04/01/2040 100 126
5.52%, 04/01/2039 405 564
Texas Transportation Commission State
Highway Fund
5.18%, 04/01/2030 125 161
$2,222
Utah - 0.02%
State of Utah
3.54%, 07/01/2025 300 334
MUNICIPAL BONDS (continued)
Principal
Amount (000's) Value (000's)
Washington - 0.00%
State of Washington
5.09%, 08/01/2033 $ 20 $ 25
Wisconsin - 0.00%
State of Wisconsin (credit support from
AGM)
5.70%, 05/01/2026(d) 50 61
TOTAL MUNICIPAL BONDS $ 20,146
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS - 64.73%
Principal
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) 44
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 107
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 108
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 109
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 110
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
6.00%, 01/01/2038(a) 78
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
Federal National Mortgage Association (FNMA) - 12.33%
2.00%, 08/01/2028 194 198
2.00%, 09/01/2028 280 286
2.00%, 11/01/2028 55 57
2.00%, 01/01/2029 22 22
2.00%, 05/01/2029 817 835
2.00%, 05/01/2030 556 564
2.17%, 05/01/2043(a) 357 368
2.38%, 01/01/2036(a) 44
2.50%, 12/01/2027 18 19
2.50%, 01/01/2028 302 314
2.50%, 02/01/2028 75 78
2.50%, 06/01/2028 485 504
2.50%, 06/01/2028 19 20
2.50%, 07/01/2028 354 367
2.50%, 08/01/2028 322 334
2.50%, 08/01/2028 168 175
2.50%, 08/01/2028 357 371
2.50%, 08/01/2028 20 21
2.50%, 09/01/2028 411 427
2.50%, 09/01/2028 147 153
2.50%, 10/01/2028 449 466
2.50%, 05/01/2029 75 78
2.50%, 06/01/2029 707 734
2.50%, 07/01/2029 227 235
2.50%, 07/01/2029 327 339
2.50%, 07/01/2029 492 510
2.50%, 09/01/2029 75 78
2.50%, 09/01/2029 481 499
2.50%, 12/01/2029 85 88
2.50%, 12/01/2029 126 131
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 111
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
2.50%, 12/01/2029 $ 410 $ 425
2.50%, 01/01/2030 370 383
2.50%, 02/01/2030 167 173
2.50%, 04/01/2030 489 506
2.50%, 04/01/2030 23 24
2.50%, 05/01/2030 1,121 1,161
2.50%, 06/01/2030 160 166
2.50%, 06/01/2030 120 125
2.50%, 06/01/2030 591 612
2.50%, 06/01/2030 109 113
2.50%, 08/01/2030 249 258
2.50%, 08/01/2030 1,098 1,137
2.50%, 12/01/2030 1,321 1,368
2.50%, 01/01/2031 294 305
2.50%, 01/01/2031 509 527
2.50%, 02/01/2031 471 488
2.50%, 02/01/2031 490 508
2.50%, 05/01/2031 296 307
2.50%, 06/01/2031 496 513
2.50%, 07/01/2031(e) 925 957
2.50%, 11/01/2032 74 76
2.50%, 07/01/2033 154 158
2.50%, 01/01/2043 752 761
2.50%, 07/01/2043 68 69
2.50%, 08/01/2043 189 191
2.50%, 10/01/2043 444 450
2.50%, 05/01/2046 100 101
2.51%, 07/01/2041 33 35
2.56%, 02/01/2042(a) 71 74
2.68%, 12/01/2043(a) 88 91
2.70%, 11/01/2043(a) 218 225
2.81%, 01/01/2042(a) 80 83
2.86%, 02/01/2042(a) 52 54
2.94%, 05/01/2042(a) 337 352
2.96%, 06/01/2040(a) 19 20
3.00%, 09/01/2026 79 83
3.00%, 11/01/2026 282 296
3.00%, 11/01/2026 99 104
3.00%, 01/01/2027 74 78
3.00%, 02/01/2027 66 70
3.00%, 04/01/2027 118 123
3.00%, 04/01/2027 110 115
3.00%, 07/01/2027 329 345
3.00%, 08/01/2027 358 376
3.00%, 10/01/2027 306 321
3.00%, 10/01/2028 612 643
3.00%, 11/01/2028 385 405
3.00%, 12/01/2028 42 44
3.00%, 12/01/2028 63 66
3.00%, 02/01/2029 303 318
3.00%, 03/01/2029 256 269
3.00%, 03/01/2029 509 534
3.00%, 04/01/2029 73 76
3.00%, 04/01/2029 365 383
3.00%, 05/01/2029 272 285
3.00%, 05/01/2029 136 143
3.00%, 05/01/2029 82 86
3.00%, 06/01/2029 181 190
3.00%, 07/01/2029 18 19
3.00%, 07/01/2029 179 188
3.00%, 08/01/2029 344 361
3.00%, 08/01/2029 326 342
3.00%, 08/01/2029 34 35
3.00%, 08/01/2029 399 419
3.00%, 10/01/2029 195 205
3.00%, 10/01/2029 350 367
3.00%, 10/01/2029 235 247
3.00%, 11/01/2029 155 163
3.00%, 01/01/2030 117 123
3.00%, 01/01/2030 442 464
3.00%, 01/01/2030 970 1,018
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.00%, 01/01/2030 $ 1,067 $ 1,119
3.00%, 06/01/2030 586 615
3.00%, 06/01/2030 550 577
3.00%, 08/01/2030 457 479
3.00%, 09/01/2030 208 218
3.00%, 09/01/2030 1,022 1,072
3.00%, 10/01/2030 608 638
3.00%, 11/01/2030 462 484
3.00%, 02/01/2031 273 286
3.00%, 07/01/2031(e) 475 498
3.00%, 08/01/2032 487 513
3.00%, 10/01/2032 523 552
3.00%, 08/01/2033 1,218 1,284
3.00%, 12/01/2033 545 576
3.00%, 10/01/2034 149 157
3.00%, 11/01/2034 156 164
3.00%, 02/01/2035 413 434
3.00%, 03/01/2035 171 179
3.00%, 04/01/2035 176 185
3.00%, 06/01/2035 370 389
3.00%, 07/01/2035 139 145
3.00%, 11/01/2035 215 226
3.00%, 04/01/2042 324 337
3.00%, 09/01/2042 166 173
3.00%, 12/01/2042 172 179
3.00%, 02/01/2043 721 750
3.00%, 02/01/2043 712 748
3.00%, 04/01/2043 401 417
3.00%, 04/01/2043 444 462
3.00%, 04/01/2043 714 743
3.00%, 04/01/2043 610 635
3.00%, 04/01/2043 554 576
3.00%, 04/01/2043 723 751
3.00%, 04/01/2043 561 583
3.00%, 04/01/2043 1,610 1,675
3.00%, 05/01/2043 811 844
3.00%, 05/01/2043 537 558
3.00%, 05/01/2043 89 92
3.00%, 05/01/2043 449 467
3.00%, 06/01/2043 37 39
3.00%, 06/01/2043 749 779
3.00%, 06/01/2043 733 763
3.00%, 06/01/2043 552 574
3.00%, 06/01/2043 29 30
3.00%, 07/01/2043 414 430
3.00%, 07/01/2043 180 187
3.00%, 07/01/2043 49 51
3.00%, 07/01/2043 251 261
3.00%, 07/01/2043 354 369
3.00%, 07/01/2043 596 619
3.00%, 08/01/2043 896 932
3.00%, 08/01/2043 375 390
3.00%, 08/01/2043 100 104
3.00%, 08/01/2043 1,242 1,291
3.00%, 08/01/2043 168 174
3.00%, 08/01/2043 639 664
3.00%, 08/01/2043 258 269
3.00%, 08/01/2043 402 418
3.00%, 09/01/2043 21 22
3.00%, 09/01/2043 21 22
3.00%, 09/01/2043 439 457
3.00%, 09/01/2043 29 30
3.00%, 09/01/2043 1,014 1,055
3.00%, 10/01/2043 245 254
3.00%, 11/01/2043 390 405
3.00%, 11/01/2043 159 165
3.00%, 11/01/2043 163 169
3.00%, 11/01/2043 249 259
3.00%, 12/01/2043 25 26
3.00%, 01/01/2044 180 187
3.00%, 01/01/2045 38 40
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 112
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.00%, 01/01/2045 $ 1,088 $ 1,130
3.00%, 05/01/2045 1,213 1,260
3.00%, 06/01/2045 35 36
3.00%, 06/01/2045 95 99
3.00%, 08/01/2045(e) 1,675 1,735
3.00%, 09/01/2045 215 224
3.00%, 09/01/2045 197 205
3.00%, 10/01/2045 856 889
3.00%, 11/01/2045 199 207
3.00%, 11/01/2045 450 468
3.00%, 12/01/2045 85 89
3.00%, 12/01/2045 133 139
3.00%, 12/01/2045 105 109
3.00%, 12/01/2045 1,015 1,054
3.00%, 01/01/2046 611 635
3.00%, 01/01/2046 26 27
3.00%, 02/01/2046 1,226 1,273
3.00%, 02/01/2046 37 39
3.00%, 02/01/2046 634 659
3.00%, 02/01/2046 398 414
3.00%, 03/01/2046 127 132
3.00%, 04/01/2046 996 1,035
3.00%, 05/01/2046 422 439
3.00%, 05/01/2046 639 664
3.00%, 06/01/2046 275 286
3.00%, 07/01/2046 1,125 1,169
3.00%, 07/01/2046(e) 7,575 7,861
3.06%, 12/01/2041(a) 41 43
3.16%, 12/01/2040(a) 25 26
3.42%, 05/01/2041(a) 27 29
3.50%, 04/01/2022 225 238
3.50%, 08/01/2025 25 27
3.50%, 10/01/2025 20 21
3.50%, 11/01/2025 23 25
3.50%, 11/01/2025 300 318
3.50%, 12/01/2025 134 142
3.50%, 12/01/2025 43 46
3.50%, 12/01/2025 26 28
3.50%, 01/01/2026 684 726
3.50%, 01/01/2026 30 32
3.50%, 01/01/2026 81 86
3.50%, 02/01/2026 208 220
3.50%, 03/01/2026 587 623
3.50%, 03/01/2026 9 9
3.50%, 05/01/2026 12 13
3.50%, 06/01/2026 67 71
3.50%, 07/01/2026 11 11
3.50%, 08/01/2026 8 9
3.50%, 08/01/2026 99 105
3.50%, 09/01/2026 403 428
3.50%, 10/01/2026 34 36
3.50%, 12/01/2026 121 129
3.50%, 12/01/2026 461 489
3.50%, 01/01/2027 79 84
3.50%, 01/01/2027 135 143
3.50%, 02/01/2027 298 316
3.50%, 11/01/2028 425 450
3.50%, 12/01/2028 21 22
3.50%, 12/01/2028 229 243
3.50%, 01/01/2029 245 259
3.50%, 03/01/2029 25 26
3.50%, 03/01/2029 374 397
3.50%, 12/01/2029 96 102
3.50%, 04/01/2030 188 199
3.50%, 11/01/2030 97 103
3.50%, 01/01/2031 16 17
3.50%, 04/01/2031 31 33
3.50%, 07/01/2031(e) 200 212
3.50%, 04/01/2032 132 140
3.50%, 05/01/2032 287 306
3.50%, 06/01/2032 479 511
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 07/01/2032 $ 182 $ 194
3.50%, 09/01/2032 285 303
3.50%, 09/01/2033 137 146
3.50%, 10/01/2033 280 297
3.50%, 11/01/2033 282 300
3.50%, 01/01/2034 205 218
3.50%, 06/01/2034 387 412
3.50%, 08/01/2034 106 113
3.50%, 11/01/2034 235 250
3.50%, 12/01/2035 523 556
3.50%, 10/01/2040 14 15
3.50%, 11/01/2040 53 56
3.50%, 12/01/2040 59 62
3.50%, 01/01/2041 40 42
3.50%, 02/01/2041 26 27
3.50%, 02/01/2041 23 24
3.50%, 03/01/2041 135 143
3.50%, 03/01/2041 91 97
3.50%, 10/01/2041 244 258
3.50%, 12/01/2041 704 745
3.50%, 12/01/2041 247 262
3.50%, 12/01/2041 764 809
3.50%, 01/01/2042 136 144
3.50%, 01/01/2042 252 267
3.50%, 01/01/2042 134 142
3.50%, 02/01/2042 59 62
3.50%, 02/01/2042 28 30
3.50%, 03/01/2042 172 182
3.50%, 03/01/2042 291 308
3.50%, 03/01/2042 63 67
3.50%, 03/01/2042 80 84
3.50%, 03/01/2042 528 559
3.50%, 03/01/2042 146 154
3.50%, 04/01/2042 115 121
3.50%, 04/01/2042 150 158
3.50%, 04/01/2042 101 107
3.50%, 04/01/2042 132 140
3.50%, 05/01/2042 171 182
3.50%, 07/01/2042 184 195
3.50%, 07/01/2042 327 346
3.50%, 08/01/2042 229 243
3.50%, 09/01/2042 76 81
3.50%, 09/01/2042 180 191
3.50%, 10/01/2042 640 678
3.50%, 10/01/2042 20 21
3.50%, 04/01/2043 301 319
3.50%, 04/01/2043 162 172
3.50%, 05/01/2043 972 1,033
3.50%, 05/01/2043 806 861
3.50%, 05/01/2043 412 435
3.50%, 06/01/2043 813 869
3.50%, 06/01/2043 475 502
3.50%, 07/01/2043 454 485
3.50%, 08/01/2043 237 252
3.50%, 08/01/2043 1,050 1,110
3.50%, 09/01/2043 816 864
3.50%, 09/01/2043 304 322
3.50%, 12/01/2043 260 275
3.50%, 01/01/2044 76 81
3.50%, 02/01/2044 364 384
3.50%, 02/01/2044 707 747
3.50%, 04/01/2044 74 78
3.50%, 10/01/2044 1,126 1,188
3.50%, 10/01/2044 210 222
3.50%, 10/01/2044 35 37
3.50%, 10/01/2044 389 411
3.50%, 11/01/2044 1,126 1,188
3.50%, 12/01/2044 972 1,026
3.50%, 12/01/2044 988 1,043
3.50%, 02/01/2045 150 158
3.50%, 04/01/2045 1,186 1,254
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 113
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 05/01/2045 $ 378 $ 399
3.50%, 07/01/2045(e) 30,400 32,077
3.50%, 07/01/2045 195 206
3.50%, 07/01/2045 960 1,013
3.50%, 08/01/2045 1,240 1,309
3.50%, 08/01/2045 1,187 1,253
3.50%, 08/01/2045(e) 1,225 1,291
3.50%, 09/01/2045 1,177 1,242
3.50%, 11/01/2045 496 524
3.50%, 11/01/2045 961 1,015
3.50%, 11/01/2045 1,237 1,305
3.50%, 12/01/2045 1,000 1,056
3.50%, 02/01/2046 880 929
3.51%, 02/01/2041(a) 32 34
3.56%, 01/01/2040(a) 31 33
3.58%, 08/01/2040(a) 18 19
3.68%, 05/01/2041(a) 22 24
4.00%, 08/01/2018 204 211
4.00%, 09/01/2018 20 20
4.00%, 09/01/2018 33 35
4.00%, 09/01/2018 73 76
4.00%, 05/01/2019 91 94
4.00%, 07/01/2019 12 12
4.00%, 03/01/2024 88 94
4.00%, 05/01/2024 16 17
4.00%, 05/01/2024 21 22
4.00%, 06/01/2024 33 35
4.00%, 07/01/2024 32 34
4.00%, 09/01/2024 15 16
4.00%, 10/01/2024 123 131
4.00%, 11/01/2024 7 7
4.00%, 01/01/2025 25 27
4.00%, 03/01/2025 30 32
4.00%, 04/01/2025 9 9
4.00%, 04/01/2025 142 151
4.00%, 05/01/2025 23 24
4.00%, 05/01/2025 4 4
4.00%, 05/01/2025 8 8
4.00%, 05/01/2025 24 26
4.00%, 05/01/2025 28 30
4.00%, 06/01/2025 21 22
4.00%, 06/01/2025 8 8
4.00%, 07/01/2025 40 42
4.00%, 08/01/2025 26 27
4.00%, 09/01/2025 29 31
4.00%, 11/01/2025 38 40
4.00%, 12/01/2025 48 51
4.00%, 01/01/2026 178 185
4.00%, 01/01/2026 24 25
4.00%, 01/01/2026 100 105
4.00%, 03/01/2026 62 66
4.00%, 03/01/2026 5 5
4.00%, 03/01/2026 111 119
4.00%, 05/01/2026 33 34
4.00%, 06/01/2026 34 36
4.00%, 07/01/2026 33 35
4.00%, 08/01/2026 152 162
4.00%, 09/01/2026 70 75
4.00%, 04/01/2029 9 9
4.00%, 10/01/2030 26 28
4.00%, 12/01/2030 219 237
4.00%, 02/01/2031 74 80
4.00%, 07/01/2031 47 51
4.00%, 10/01/2031 182 198
4.00%, 11/01/2031 43 47
4.00%, 12/01/2031 36 39
4.00%, 01/01/2032 55 60
4.00%, 09/01/2033 381 412
4.00%, 01/01/2036 384 416
4.00%, 03/01/2039 13 14
4.00%, 08/01/2039 8 8
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 08/01/2039 $ 45 $ 49
4.00%, 10/01/2039 489 526
4.00%, 10/01/2039 19 20
4.00%, 11/01/2039 52 56
4.00%, 12/01/2039 15 16
4.00%, 02/01/2040 54 58
4.00%, 05/01/2040 6 7
4.00%, 05/01/2040 44 47
4.00%, 08/01/2040 30 32
4.00%, 10/01/2040 54 58
4.00%, 10/01/2040 50 54
4.00%, 10/01/2040 18 19
4.00%, 10/01/2040 95 102
4.00%, 10/01/2040 28 30
4.00%, 10/01/2040 32 35
4.00%, 10/01/2040 16 17
4.00%, 11/01/2040 24 25
4.00%, 12/01/2040 104 111
4.00%, 12/01/2040 61 66
4.00%, 12/01/2040 96 103
4.00%, 12/01/2040 72 77
4.00%, 12/01/2040 23 25
4.00%, 01/01/2041 121 130
4.00%, 01/01/2041 47 51
4.00%, 01/01/2041 669 719
4.00%, 01/01/2041 77 82
4.00%, 02/01/2041 59 63
4.00%, 02/01/2041 109 117
4.00%, 02/01/2041 190 204
4.00%, 02/01/2041 555 597
4.00%, 02/01/2041 111 120
4.00%, 02/01/2041 75 80
4.00%, 03/01/2041 537 577
4.00%, 03/01/2041 108 117
4.00%, 03/01/2041 51 55
4.00%, 04/01/2041 9 10
4.00%, 07/01/2041(e) 19,000 20,371
4.00%, 09/01/2041 28 30
4.00%, 09/01/2041 244 262
4.00%, 09/01/2041 177 190
4.00%, 10/01/2041 188 201
4.00%, 10/01/2041 91 98
4.00%, 10/01/2041 17 18
4.00%, 11/01/2041 35 37
4.00%, 11/01/2041 77 83
4.00%, 11/01/2041 108 116
4.00%, 11/01/2041 156 168
4.00%, 11/01/2041 13 14
4.00%, 12/01/2041 95 102
4.00%, 12/01/2041 273 293
4.00%, 12/01/2041 145 156
4.00%, 12/01/2041 101 109
4.00%, 12/01/2041 101 108
4.00%, 01/01/2042 34 36
4.00%, 01/01/2042 104 112
4.00%, 01/01/2042 126 135
4.00%, 02/01/2042 73 78
4.00%, 05/01/2042 679 732
4.00%, 02/01/2043 253 272
4.00%, 02/01/2043 119 127
4.00%, 08/01/2043 200 214
4.00%, 09/01/2043 147 158
4.00%, 12/01/2043 289 310
4.00%, 01/01/2044 765 828
4.00%, 02/01/2044 68 73
4.00%, 04/01/2044 925 991
4.00%, 06/01/2044 145 156
4.00%, 06/01/2044 781 846
4.00%, 06/01/2044 542 581
4.00%, 07/01/2044 755 809
4.00%, 07/01/2044 1,003 1,075
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 114
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 09/01/2044 $ 371 $ 398
4.00%, 10/01/2044 347 372
4.00%, 11/01/2044 242 259
4.00%, 11/01/2044 478 513
4.00%, 11/01/2044 161 173
4.00%, 12/01/2044 696 746
4.00%, 12/01/2044 137 147
4.00%, 12/01/2044 161 173
4.00%, 12/01/2044 664 712
4.00%, 12/01/2044 113 122
4.00%, 01/01/2045 65 70
4.00%, 01/01/2045 56 60
4.00%, 01/01/2045 20 21
4.00%, 01/01/2045 378 405
4.00%, 02/01/2045 963 1,032
4.00%, 02/01/2045 434 465
4.00%, 02/01/2045 360 385
4.00%, 08/01/2045 65 70
4.00%, 08/01/2045 22 24
4.00%, 09/01/2045 985 1,057
4.00%, 09/01/2045(e) 250 268
4.00%, 10/01/2045 941 1,009
4.00%, 10/01/2045 174 187
4.00%, 11/01/2045 200 214
4.00%, 11/01/2045 400 431
4.00%, 11/01/2045 1,000 1,073
4.00%, 12/01/2045 373 400
4.00%, 03/01/2046 200 214
4.00%, 04/01/2046 784 841
4.50%, 02/01/2018 11 12
4.50%, 05/01/2018 176 180
4.50%, 08/01/2018 129 132
4.50%, 09/01/2018 182 187
4.50%, 12/01/2018 124 127
4.50%, 01/01/2019 1 1
4.50%, 03/01/2019 68 70
4.50%, 05/01/2019 29 30
4.50%, 01/01/2020 164 169
4.50%, 09/01/2020 5 5
4.50%, 05/01/2022 15 16
4.50%, 02/01/2024 5 5
4.50%, 04/01/2024 2 2
4.50%, 04/01/2024 3 3
4.50%, 11/01/2024 13 14
4.50%, 12/01/2024 18 20
4.50%, 12/01/2024 34 37
4.50%, 02/01/2025 31 32
4.50%, 02/01/2025 49 52
4.50%, 04/01/2025 5 5
4.50%, 05/01/2025 36 38
4.50%, 04/01/2026 56 60
4.50%, 07/01/2029 4 4
4.50%, 02/01/2030 23 25
4.50%, 04/01/2030 8 9
4.50%, 08/01/2030 159 173
4.50%, 09/01/2030 127 139
4.50%, 01/01/2031 27 30
4.50%, 04/01/2031 15 17
4.50%, 05/01/2031 24 26
4.50%, 07/01/2031 95 104
4.50%, 08/01/2031 50 55
4.50%, 08/01/2033 2 2
4.50%, 08/01/2033 24 27
4.50%, 11/01/2033 63 69
4.50%, 02/01/2035 204 224
4.50%, 12/01/2035 169 186
4.50%, 01/01/2036 2 3
4.50%, 03/01/2036 7 8
4.50%, 04/01/2038 28 30
4.50%, 06/01/2038 35 39
4.50%, 01/01/2039 8 8
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.50%, 02/01/2039 $ 19 $ 20
4.50%, 04/01/2039 64 70
4.50%, 04/01/2039 80 89
4.50%, 04/01/2039 14 16
4.50%, 06/01/2039 20 21
4.50%, 06/01/2039 72 79
4.50%, 06/01/2039 35 38
4.50%, 06/01/2039 99 110
4.50%, 07/01/2039 60 65
4.50%, 07/01/2039 40 44
4.50%, 07/01/2039 80 88
4.50%, 08/01/2039 42 47
4.50%, 09/01/2039 39 42
4.50%, 10/01/2039 24 26
4.50%, 10/01/2039 73 79
4.50%, 10/01/2039 114 125
4.50%, 12/01/2039 24 26
4.50%, 12/01/2039 53 59
4.50%, 12/01/2039 127 141
4.50%, 12/01/2039 30 33
4.50%, 12/01/2039 81 89
4.50%, 01/01/2040 104 115
4.50%, 01/01/2040 150 164
4.50%, 02/01/2040 75 83
4.50%, 02/01/2040 43 47
4.50%, 03/01/2040 48 53
4.50%, 04/01/2040 75 82
4.50%, 05/01/2040 48 53
4.50%, 05/01/2040 43 47
4.50%, 05/01/2040 188 207
4.50%, 05/01/2040 121 132
4.50%, 06/01/2040 33 37
4.50%, 07/01/2040 43 48
4.50%, 07/01/2040 2 2
4.50%, 08/01/2040 60 66
4.50%, 08/01/2040(e) 850 927
4.50%, 08/01/2040 335 366
4.50%, 08/01/2040 200 219
4.50%, 08/01/2040 105 115
4.50%, 09/01/2040 39 43
4.50%, 09/01/2040 26 28
4.50%, 09/01/2040 31 34
4.50%, 10/01/2040 149 163
4.50%, 12/01/2040 30 33
4.50%, 12/01/2040 550 600
4.50%, 03/01/2041 60 65
4.50%, 03/01/2041 215 236
4.50%, 03/01/2041 44 49
4.50%, 03/01/2041 66 72
4.50%, 04/01/2041 52 57
4.50%, 05/01/2041 216 237
4.50%, 05/01/2041 69 76
4.50%, 05/01/2041 107 117
4.50%, 06/01/2041 217 238
4.50%, 06/01/2041 124 136
4.50%, 06/01/2041 41 44
4.50%, 06/01/2041 62 68
4.50%, 06/01/2041 153 167
4.50%, 07/01/2041 55 61
4.50%, 07/01/2041 77 85
4.50%, 07/01/2041 50 54
4.50%, 07/01/2041(e) 500 546
4.50%, 08/01/2041 78 86
4.50%, 09/01/2041 78 86
4.50%, 09/01/2041 112 123
4.50%, 09/01/2041 389 426
4.50%, 10/01/2041 82 90
4.50%, 11/01/2041 82 90
4.50%, 11/01/2041 81 89
4.50%, 11/01/2041 74 81
4.50%, 11/01/2041 93 101
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 115
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.50%, 12/01/2041 $ 96 $ 105
4.50%, 04/01/2042 35 39
4.50%, 09/01/2042 158 173
4.50%, 09/01/2043 271 296
4.50%, 09/01/2043 432 475
4.50%, 09/01/2043 691 754
4.50%, 10/01/2043 811 885
4.50%, 11/01/2043 22 24
4.50%, 12/01/2043 236 258
4.50%, 12/01/2043 31 34
4.50%, 01/01/2044 1,019 1,113
4.50%, 03/01/2044 459 501
4.50%, 03/01/2044 291 318
4.50%, 04/01/2044 172 188
4.50%, 04/01/2044 61 66
4.50%, 05/01/2044 1,385 1,515
4.50%, 05/01/2044 419 457
4.50%, 05/01/2044 272 297
4.50%, 05/01/2044 166 182
4.50%, 05/01/2044 413 451
4.50%, 06/01/2044 906 992
4.50%, 06/01/2044 329 359
4.50%, 06/01/2044 733 800
4.50%, 07/01/2044 23 25
4.50%, 07/01/2044 752 821
4.50%, 07/01/2044 304 332
4.50%, 08/01/2044 181 197
4.50%, 08/01/2044 68 74
4.50%, 08/01/2044 169 185
4.50%, 10/01/2044 32 35
4.50%, 03/01/2046 150 164
5.00%, 12/01/2017 1 1
5.00%, 03/01/2018 110 113
5.00%, 11/01/2018 2 2
5.00%, 06/01/2019 17 17
5.00%, 07/01/2019 64 66
5.00%, 11/01/2020 112 120
5.00%, 11/01/2021 7 7
5.00%, 02/01/2023 13 13
5.00%, 07/01/2023 1 2
5.00%, 09/01/2023 73 78
5.00%, 12/01/2023 6 6
5.00%, 12/01/2023 10 11
5.00%, 01/01/2024 14 14
5.00%, 01/01/2024 34 35
5.00%, 02/01/2024 126 134
5.00%, 07/01/2024 10 11
5.00%, 12/01/2024 59 63
5.00%, 04/01/2025 297 329
5.00%, 04/01/2029 17 19
5.00%, 09/01/2029 401 445
5.00%, 03/01/2030 31 34
5.00%, 08/01/2030 37 41
5.00%, 05/01/2033 13 14
5.00%, 05/01/2033 19 21
5.00%, 07/01/2033 92 102
5.00%, 08/01/2033 5 5
5.00%, 09/01/2033 41 46
5.00%, 09/01/2033 145 161
5.00%, 11/01/2033 55 61
5.00%, 02/01/2034 7 8
5.00%, 03/01/2034 9 10
5.00%, 05/01/2034 76 85
5.00%, 02/01/2035 65 73
5.00%, 03/01/2035 9 10
5.00%, 04/01/2035 10 11
5.00%, 06/01/2035 124 138
5.00%, 07/01/2035 57 64
5.00%, 07/01/2035 152 170
5.00%, 07/01/2035 264 294
5.00%, 07/01/2035 15 17
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
5.00%, 07/01/2035 $ 6 $ 6
5.00%, 09/01/2035 10 11
5.00%, 10/01/2035 28 31
5.00%, 01/01/2036 53 59
5.00%, 03/01/2036 52 58
5.00%, 03/01/2036 33 37
5.00%, 04/01/2036 2 2
5.00%, 05/01/2036 1 1
5.00%, 06/01/2036 76 84
5.00%, 07/01/2036 69 77
5.00%, 04/01/2037 706 783
5.00%, 07/01/2037 19 22
5.00%, 02/01/2038 134 149
5.00%, 04/01/2038 42 46
5.00%, 05/01/2038 2 2
5.00%, 06/01/2038 5 6
5.00%, 12/01/2038 10 11
5.00%, 01/01/2039 40 45
5.00%, 01/01/2039 621 689
5.00%, 02/01/2039 42 46
5.00%, 03/01/2039 26 29
5.00%, 03/01/2039 2 2
5.00%, 04/01/2039 58 64
5.00%, 04/01/2039 39 44
5.00%, 04/01/2039 23 26
5.00%, 06/01/2039 134 149
5.00%, 07/01/2039 274 303
5.00%, 07/01/2039 254 282
5.00%, 07/01/2039 65 73
5.00%, 10/01/2039 51 57
5.00%, 12/01/2039 104 116
5.00%, 12/01/2039 42 47
5.00%, 01/01/2040 86 97
5.00%, 02/01/2040 116 132
5.00%, 05/01/2040 224 249
5.00%, 05/01/2040 29 33
5.00%, 06/01/2040 79 89
5.00%, 06/01/2040 69 77
5.00%, 06/01/2040 16 17
5.00%, 08/01/2040 41 46
5.00%, 08/01/2040 28 31
5.00%, 08/01/2040 123 136
5.00%, 09/01/2040 14 15
5.00%, 11/01/2040 47 52
5.00%, 04/01/2041 36 40
5.00%, 05/01/2041 51 57
5.00%, 05/01/2041 51 56
5.00%, 05/01/2041 15 17
5.00%, 05/01/2041 49 55
5.00%, 07/01/2041(e) 600 667
5.00%, 07/01/2041 386 430
5.00%, 07/01/2041 11 12
5.00%, 05/01/2042 767 856
5.00%, 09/01/2043 665 738
5.00%, 12/01/2043 550 610
5.00%, 01/01/2044 134 148
5.00%, 01/01/2044 179 200
5.00%, 03/01/2044 580 644
5.00%, 03/01/2044 386 428
5.00%, 05/01/2044 328 365
5.00%, 08/01/2044 223 247
5.00%, 11/01/2044 593 658
5.50%, 10/01/2016 1 1
5.50%, 01/01/2017 3 3
5.50%, 02/01/2018 15 15
5.50%, 12/01/2018 13 13
5.50%, 05/01/2019 1 1
5.50%, 08/01/2019 22 23
5.50%, 12/01/2019 3 3
5.50%, 01/01/2021 3 3
5.50%, 05/01/2021 6 6
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 116
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
5.50%, 10/01/2021 $ 3 $ 3
5.50%, 11/01/2022 8 9
5.50%, 11/01/2022 15 16
5.50%, 02/01/2023 12 13
5.50%, 03/01/2023 12 13
5.50%, 04/01/2023 11 11
5.50%, 07/01/2023 11 12
5.50%, 09/01/2023 12 13
5.50%, 12/01/2023 6 7
5.50%, 05/01/2025 14 14
5.50%, 07/01/2025 335 376
5.50%, 06/01/2028 10 11
5.50%, 09/01/2028 3 3
5.50%, 01/01/2029 7 8
5.50%, 12/01/2029 30 33
5.50%, 06/01/2033 14 16
5.50%, 04/01/2034 68 77
5.50%, 04/01/2034 50 56
5.50%, 04/01/2034 36 41
5.50%, 05/01/2034 44 50
5.50%, 06/01/2034 3 3
5.50%, 11/01/2034 39 44
5.50%, 01/01/2035 39 44
5.50%, 01/01/2035 9 11
5.50%, 03/01/2035 16 18
5.50%, 04/01/2035 1 1
5.50%, 04/01/2035 22 25
5.50%, 08/01/2035 8 9
5.50%, 09/01/2035 3 3
5.50%, 10/01/2035 6 7
5.50%, 10/01/2035 4 5
5.50%, 11/01/2035 280 315
5.50%, 12/01/2035 14 16
5.50%, 01/01/2036 5 5
5.50%, 02/01/2036 45 50
5.50%, 04/01/2036 44 49
5.50%, 04/01/2036 2 2
5.50%, 05/01/2036 192 217
5.50%, 07/01/2036 23 26
5.50%, 08/01/2036 59 66
5.50%, 09/01/2036 63 71
5.50%, 09/01/2036 27 30
5.50%, 10/01/2036 61 69
5.50%, 11/01/2036 22 24
5.50%, 11/01/2036 9 10
5.50%, 11/01/2036 15 17
5.50%, 01/01/2037 22 25
5.50%, 02/01/2037 42 48
5.50%, 03/01/2037 140 158
5.50%, 05/01/2037 2 2
5.50%, 05/01/2037 19 22
5.50%, 05/01/2037 639 720
5.50%, 05/01/2037 208 236
5.50%, 06/01/2037 48 54
5.50%, 07/01/2037 3 3
5.50%, 07/01/2037 6 7
5.50%, 08/01/2037 299 337
5.50%, 08/01/2037 221 250
5.50%, 08/01/2037 231 263
5.50%, 01/01/2038 10 11
5.50%, 01/01/2038 7 8
5.50%, 02/01/2038 60 67
5.50%, 02/01/2038 23 26
5.50%, 02/01/2038 31 35
5.50%, 03/01/2038 16 18
5.50%, 03/01/2038 28 32
5.50%, 03/01/2038 17 19
5.50%, 03/01/2038 93 105
5.50%, 05/01/2038 8 9
5.50%, 05/01/2038 32 36
5.50%, 05/01/2038 508 572
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
5.50%, 06/01/2038 $ 193 $ 216
5.50%, 06/01/2038 2 2
5.50%, 06/01/2038 257 290
5.50%, 06/01/2038 21 24
5.50%, 06/01/2038 3 3
5.50%, 07/01/2038 12 14
5.50%, 07/01/2038 17 20
5.50%, 08/01/2038 211 237
5.50%, 11/01/2038 10 11
5.50%, 11/01/2038 8 9
5.50%, 11/01/2038 6 7
5.50%, 11/01/2038 238 268
5.50%, 11/01/2038 123 138
5.50%, 11/01/2038 12 13
5.50%, 12/01/2038 18 20
5.50%, 12/01/2038 21 23
5.50%, 12/01/2038 11 12
5.50%, 01/01/2039 20 23
5.50%, 04/01/2039 8 9
5.50%, 06/01/2039 242 272
5.50%, 07/01/2039 56 63
5.50%, 09/01/2039 41 46
5.50%, 10/01/2039 14 16
5.50%, 12/01/2039 82 94
5.50%, 12/01/2039 29 32
5.50%, 05/01/2040 138 155
5.50%, 06/01/2040 9 11
5.50%, 07/01/2040 35 40
5.50%, 07/01/2041 195 220
5.50%, 09/01/2041 57 64
5.50%, 09/01/2041 78 88
6.00%, 06/01/2017 1 1
6.00%, 06/01/2017 5 5
6.00%, 05/01/2024 1 1
6.00%, 12/01/2032 23 27
6.00%, 01/01/2033 5 6
6.00%, 10/01/2033 7 8
6.00%, 12/01/2033 16 19
6.00%, 10/01/2034 24 28
6.00%, 12/01/2034 10 12
6.00%, 01/01/2035 56 64
6.00%, 07/01/2035 43 50
6.00%, 07/01/2035 103 119
6.00%, 10/01/2035 40 46
6.00%, 05/01/2036 6 7
6.00%, 05/01/2036 1 1
6.00%, 05/01/2036 3 4
6.00%, 06/01/2036 28 32
6.00%, 02/01/2037 38 43
6.00%, 02/01/2037 4 5
6.00%, 03/01/2037 28 32
6.00%, 03/01/2037 70 80
6.00%, 06/01/2037 15 17
6.00%, 07/01/2037 5 5
6.00%, 09/01/2037 36 41
6.00%, 10/01/2037 4 5
6.00%, 11/01/2037 1 1
6.00%, 11/01/2037 5 6
6.00%, 11/01/2037 6 6
6.00%, 12/01/2037 12 14
6.00%, 01/01/2038 15 17
6.00%, 01/01/2038 10 11
6.00%, 01/01/2038 232 265
6.00%, 02/01/2038 7 8
6.00%, 03/01/2038 84 97
6.00%, 03/01/2038 13 15
6.00%, 05/01/2038 5 6
6.00%, 05/01/2038 10 11
6.00%, 08/01/2038 15 17
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 117
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
6.00%, 09/01/2038 $ 59 $ 67
6.00%, 10/01/2038 36 41
6.00%, 11/01/2038 75 86
6.00%, 12/01/2038 7 8
6.00%, 10/01/2039 18 20
6.00%, 10/01/2039 18 20
6.00%, 04/01/2040 40 46
6.00%, 09/01/2040 12 14
6.00%, 10/01/2040 20 23
6.00%, 10/01/2040 45 51
6.00%, 05/01/2041 418 478
6.50%, 12/01/2016 2 2
6.50%, 07/01/2020 1 1
6.50%, 12/01/2031 2 2
6.50%, 03/01/2032 3 3
6.50%, 07/01/2032 8 9
6.50%, 11/01/2033 11 13
6.50%, 08/01/2034 24 29
6.50%, 09/01/2034 19 22
6.50%, 10/01/2034 6 7
6.50%, 07/01/2037 9 10
6.50%, 07/01/2037 12 15
6.50%, 08/01/2037 10 11
6.50%, 10/01/2037 54 62
6.50%, 01/01/2038 8 9
6.50%, 01/01/2038 209 243
6.50%, 02/01/2038 9 12
6.50%, 02/01/2038 11 13
6.50%, 03/01/2038 4 5
6.50%, 03/01/2038 52 65
6.50%, 05/01/2038 14 16
6.50%, 05/01/2038 148 181
6.50%, 09/01/2038 7 8
6.50%, 10/01/2039 13 15
7.00%, 12/01/2037 9 10
7.00%, 12/01/2037 18 21
7.50%, 05/01/2031 12 15
$257,789
Government National Mortgage Association (GNMA) -
7.88%
2.50%, 09/20/2027 233 243
2.50%, 01/20/2028 281 293
2.50%, 04/20/2028 209 217
2.50%, 07/20/2028 203 212
2.50%, 11/20/2030 94 98
2.50%, 03/20/2041(a) 237 243
2.50%, 02/20/2042(a) 74 76
2.50%, 01/20/2043(a) 107 110
2.50%, 03/15/2043 248 253
2.50%, 07/20/2043 320 328
2.50%, 11/20/2043(a) 375 385
2.50%, 06/20/2045 190 194
3.00%, 04/15/2027 122 129
3.00%, 04/20/2027 210 222
3.00%, 09/20/2027 217 230
3.00%, 11/20/2027 110 117
3.00%, 09/20/2028 128 136
3.00%, 10/20/2028 188 200
3.00%, 11/20/2028 77 82
3.00%, 01/20/2029 61 65
3.00%, 05/20/2029 244 258
3.00%, 07/20/2030 485 515
3.00%, 11/20/2041(a) 87 90
3.00%, 02/20/2042(a) 75 77
3.00%, 04/15/2042 28 29
3.00%, 04/20/2042(a) 223 230
3.00%, 07/20/2042(a) 303 311
3.00%, 08/20/2042 16 17
3.00%, 09/20/2042 332 348
3.00%, 10/15/2042 349 365
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 118
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 119
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 120
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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 4,000 3,999
0.63%, 07/31/2017 2,700 2,703
0.63%, 08/31/2017 6,315 6,321
0.63%, 09/30/2017 2,517 2,519
0.63%, 11/30/2017 5,641 5,646
0.63%, 04/30/2018 4,980 4,983
0.63%, 06/30/2018 2,810 2,811
0.75%, 10/31/2017 9,132 9,154
0.75%, 12/31/2017 3,419 3,428
0.75%, 01/31/2018 2,000 2,005
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
U.S. Treasury (continued)
0.75%, 02/28/2018 $ 6,000 $ 6,016
0.75%, 03/31/2018 3,385 3,394
0.75%, 04/15/2018 3,455 3,464
0.75%, 04/30/2018 2,795 2,803
0.75%, 02/15/2019 2,460 2,465
0.88%, 08/15/2017 2,530 2,539
0.88%, 10/15/2017 2,705 2,716
0.88%, 11/15/2017 6,235 6,261
0.88%, 11/30/2017 4,000 4,017
0.88%, 01/15/2018 3,795 3,812
0.88%, 01/31/2018 3,800 3,818
0.88%, 03/31/2018 2,750 2,763
0.88%, 05/31/2018 3,000 3,016
0.88%, 07/15/2018 3,426 3,445
0.88%, 10/15/2018 5,130 5,158
0.88%, 04/15/2019 2,580 2,592
0.88%, 05/15/2019 2,545 2,557
0.88%, 06/15/2019 2,595 2,608
0.88%, 07/31/2019 4,000 4,016
1.00%, 09/15/2017 2,588 2,602
1.00%, 12/15/2017 3,455 3,476
1.00%, 12/31/2017 2,780 2,797
1.00%, 02/15/2018 4,000 4,026
1.00%, 03/15/2018 2,420 2,437
1.00%, 05/15/2018 1,930 1,945
1.00%, 05/31/2018 3,135 3,159
1.00%, 08/15/2018 4,045 4,077
1.00%, 09/15/2018 855 862
1.00%, 03/15/2019 2,535 2,557
1.00%, 06/30/2019 2,040 2,057
1.00%, 08/31/2019 1,680 1,693
1.00%, 09/30/2019 3,580 3,607
1.00%, 11/30/2019 2,530 2,547
1.13%, 06/15/2018 2,840 2,869
1.13%, 01/15/2019 2,430 2,457
1.13%, 05/31/2019 2,000 2,025
1.13%, 12/31/2019 3,630 3,669
1.13%, 03/31/2020 3,130 3,162
1.13%, 04/30/2020 2,492 2,516
1.13%, 06/30/2021 5,200 5,226
1.25%, 10/31/2018 3,910 3,964
1.25%, 11/15/2018 2,500 2,535
1.25%, 11/30/2018 3,825 3,880
1.25%, 12/15/2018 2,565 2,602
1.25%, 01/31/2019 945 959
1.25%, 04/30/2019 4,000 4,063
1.25%, 01/31/2020 3,688 3,742
1.25%, 02/29/2020 603 612
1.25%, 03/31/2021 5,240 5,301
1.38%, 06/30/2018 3,183 3,231
1.38%, 07/31/2018 855 868
1.38%, 09/30/2018 2,020 2,053
1.38%, 11/30/2018 1,380 1,404
1.38%, 12/31/2018 2,000 2,035
1.38%, 02/28/2019 4,037 4,110
1.38%, 01/31/2020 1,500 1,529
1.38%, 02/29/2020 3,130 3,189
1.38%, 03/31/2020 3,365 3,429
1.38%, 04/30/2020 2,870 2,924
1.38%, 05/31/2020 2,300 2,342
1.38%, 08/31/2020 2,515 2,561
1.38%, 09/30/2020 1,400 1,425
1.38%, 10/31/2020 3,405 3,467
1.38%, 01/31/2021 3,660 3,725
1.38%, 04/30/2021 2,830 2,879
1.38%, 05/31/2021 3,500 3,563
1.38%, 06/30/2023 3,030 3,046
1.50%, 08/31/2018 920 937
1.50%, 12/31/2018 2,569 2,622
1.50%, 01/31/2019 3,205 3,272
1.50%, 02/28/2019 3,184 3,252
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 121
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
U.S. Treasury (continued)
1.50%, 03/31/2019 $ 730 $ 746
1.50%, 05/31/2019 3,955 4,044
1.50%, 10/31/2019 3,268 3,344
1.50%, 11/30/2019 2,480 2,538
1.50%, 05/31/2020 4,230 4,329
1.50%, 01/31/2022 5,039 5,141
1.50%, 02/28/2023 7,605 7,716
1.50%, 03/31/2023 2,960 3,003
1.63%, 03/31/2019 5,000 5,125
1.63%, 04/30/2019 1,120 1,149
1.63%, 06/30/2019 5,000 5,133
1.63%, 07/31/2019 3,675 3,774
1.63%, 08/31/2019 5,270 5,413
1.63%, 12/31/2019 3,105 3,191
1.63%, 06/30/2020 4,400 4,525
1.63%, 07/31/2020 5,000 5,142
1.63%, 11/30/2020 4,830 4,972
1.63%, 08/15/2022 3,400 3,487
1.63%, 11/15/2022 1,000 1,024
1.63%, 04/30/2023 3,010 3,078
1.63%, 05/31/2023 2,970 3,037
1.63%, 02/15/2026 7,112 7,192
1.63%, 05/15/2026 7,300 7,389
1.75%, 10/31/2018 1,320 1,354
1.75%, 09/30/2019 2,745 2,831
1.75%, 10/31/2020 3,000 3,101
1.75%, 12/31/2020 3,975 4,112
1.75%, 02/28/2022 3,995 4,129
1.75%, 03/31/2022 2,365 2,444
1.75%, 04/30/2022 3,685 3,807
1.75%, 05/15/2022 4,660 4,815
1.75%, 09/30/2022 2,460 2,538
1.75%, 01/31/2023 4,680 4,824
1.75%, 05/15/2023 4,617 4,763
1.88%, 08/31/2017 2,704 2,746
1.88%, 09/30/2017 345 350
1.88%, 10/31/2017 2,984 3,035
1.88%, 06/30/2020 2,740 2,845
1.88%, 11/30/2021 4,522 4,709
1.88%, 05/31/2022 2,755 2,865
1.88%, 08/31/2022 1,810 1,881
1.88%, 10/31/2022 2,555 2,655
2.00%, 07/31/2020 3,064 3,198
2.00%, 09/30/2020 3,000 3,133
2.00%, 11/30/2020 2,290 2,393
2.00%, 02/28/2021 4,580 4,791
2.00%, 05/31/2021 3,800 3,979
2.00%, 08/31/2021 5,345 5,598
2.00%, 10/31/2021 3,600 3,771
2.00%, 11/15/2021 4,500 4,717
2.00%, 02/15/2022 4,135 4,331
2.00%, 07/31/2022 2,021 2,116
2.00%, 11/30/2022 4,710 4,930
2.00%, 02/15/2023 6,787 7,109
2.00%, 02/15/2025 6,445 6,743
2.00%, 08/15/2025 6,250 6,534
2.13%, 08/31/2020 1,500 1,573
2.13%, 01/31/2021 3,615 3,801
2.13%, 06/30/2021 2,050 2,159
2.13%, 08/15/2021 4,350 4,584
2.13%, 09/30/2021 3,055 3,219
2.13%, 12/31/2021 3,435 3,621
2.13%, 06/30/2022 3,845 4,054
2.13%, 12/31/2022 3,100 3,268
2.13%, 05/15/2025 5,410 5,715
2.25%, 07/31/2018 1,000 1,034
2.25%, 03/31/2021 2,810 2,973
2.25%, 04/30/2021 3,447 3,648
2.25%, 07/31/2021 4,420 4,684
2.25%, 11/15/2024 6,773 7,225
2.25%, 11/15/2025 8,315 8,871
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
U.S. Treasury (continued)
2.38%, 07/31/2017 $ 2,140 $ 2,182
2.38%, 05/31/2018 638 659
2.38%, 06/30/2018 3,188 3,300
2.38%, 12/31/2020 1,689 1,793
2.38%, 08/15/2024 5,405 5,818
2.50%, 08/15/2023 2,982 3,231
2.50%, 05/15/2024 6,070 6,593
2.50%, 02/15/2045 5,065 5,273
2.50%, 02/15/2046 4,315 4,493
2.50%, 05/15/2046 2,915 3,038
2.63%, 01/31/2018 1,266 1,306
2.63%, 04/30/2018 1,800 1,867
2.63%, 08/15/2020 7,000 7,483
2.63%, 11/15/2020 5,532 5,927
2.75%, 12/31/2017 2,625 2,709
2.75%, 02/28/2018 1,673 1,732
2.75%, 02/15/2019 4,803 5,063
2.75%, 11/15/2023 2,406 2,652
2.75%, 02/15/2024 5,326 5,879
2.75%, 08/15/2042 2,111 2,326
2.75%, 11/15/2042 3,730 4,103
2.88%, 03/31/2018 3,692 3,837
2.88%, 05/15/2043 5,153 5,795
2.88%, 08/15/2045 4,055 4,553
3.00%, 05/15/2042 1,587 1,833
3.00%, 11/15/2044 4,945 5,686
3.00%, 05/15/2045 4,400 5,057
3.00%, 11/15/2045 4,355 5,008
3.13%, 05/15/2019 2,656 2,838
3.13%, 05/15/2021 2,420 2,663
3.13%, 11/15/2041 1,977 2,335
3.13%, 02/15/2042 2,318 2,740
3.13%, 02/15/2043 2,250 2,652
3.13%, 08/15/2044 4,400 5,179
3.38%, 11/15/2019 3,640 3,955
3.38%, 05/15/2044 4,540 5,595
3.50%, 02/15/2018 3,247 3,400
3.50%, 05/15/2020 3,477 3,821
3.50%, 02/15/2039 1,290 1,628
3.63%, 08/15/2019 2,578 2,807
3.63%, 02/15/2020 3,986 4,386
3.63%, 02/15/2021 6,000 6,715
3.63%, 08/15/2043 3,100 4,000
3.63%, 02/15/2044 4,370 5,635
3.75%, 11/15/2018 2,685 2,882
3.75%, 08/15/2041 1,000 1,304
3.75%, 11/15/2043 4,510 5,950
3.88%, 05/15/2018 1,000 1,062
3.88%, 08/15/2040 2,544 3,377
4.00%, 08/15/2018 2,505 2,688
4.25%, 11/15/2017 1,733 1,820
4.25%, 05/15/2039 1,739 2,430
4.25%, 11/15/2040 1,800 2,520
4.38%, 02/15/2038 1,145 1,632
4.38%, 11/15/2039 3,150 4,477
4.38%, 05/15/2040 1,024 1,457
4.38%, 05/15/2041 1,770 2,527
4.50%, 02/15/2036 645 929
4.50%, 05/15/2038 1,000 1,451
4.50%, 08/15/2039 1,126 1,628
4.63%, 02/15/2040 1,930 2,837
4.75%, 08/15/2017 5,174 5,415
4.75%, 02/15/2037 500 744
4.75%, 02/15/2041 1,028 1,542
5.00%, 05/15/2037 400 615
5.25%, 11/15/2028 1,140 1,605
5.25%, 02/15/2029 940 1,329
5.38%, 02/15/2031 3,876 5,749
5.50%, 08/15/2028 810 1,158
6.00%, 02/15/2026 509 717
6.13%, 11/15/2027 1,100 1,624
Schedule of Investments
Bond Market Index Account
June 30, 2016 (unaudited)
See accompanying notes. 122
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
U.S. Treasury (continued)
6.38%, 08/15/2027 $ 750 $ 1,121
6.50%, 11/15/2026 1,300 1,925
6.75%, 08/15/2026 150 225
6.88%, 08/15/2025 20 29
7.50%, 11/15/2024 280 416
7.63%, 02/15/2025 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) Variable Rate. Rate shown is in effect at June 30, 2016.
(b)
N
on-Income Producing Security
(c) 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
p
eriod, the value of these securities totaled $12,133 or 0.58% of net assets.
(d) Credit support indicates investments that benefit from credit enhancement
or liquidity support provided by a third party bank, institution, or
g
overnment agency.
(e) Security was purchased in a "to-be-announced" ("TBA") transaction. See
N
otes to Financial Statements for additional information.
Portfolio Summary (unaudited)
Sector Percent
Government 42.72%
Mortgage Securities 29.51%
Financial 8.03%
Investment Companies 7.43%
Consumer, Non-cyclical 4.34%
Energy 2.82%
Communications 2.71%
Industrial 1.92%
Consumer, Cyclical 1.92%
Utilities 1.89%
Technology 1.48%
Basic Materials 0.91%
Revenue Bonds 0.47%
Asset Backed Securities 0.45%
General Obligation Unlimited 0.41%
Insured 0.07%
General Obligation Limited 0.01%
Investments Sold Short (0.02)%
Other Assets and Liabilities (7.07)%
TOTAL NET ASSETS 100.00%
Short Sales Outstanding
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS - (0.02)%
Principal
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 100 101
2.50%, 08/01/2045 300 303
$404
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS (proceeds $510)
$510
TOTAL SHORT SALES (proceeds $510) $ 510
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 123
INVESTMENT COMPANIES - 6.08% Shares Held Value (000's)
Money Market Funds - 6.08%
BlackRockLiquidity Funds FedFund Portfolio 18,608,405 $ 18,608
TOTAL INVESTMENT COMPANIES $ 18,608
PREFERRED STOCKS - 0.45% Shares Held Value (000's)
Banks - 0.41%
Morgan Stanley (a) 15,000 406
State Street Corp 5.90%; Series D (a) 30,000 845
$1,251
Telecommunications - 0.04%
Verizon Communications Inc 5,000 138
TOTAL PREFERRED STOCKS $ 1,389
BONDS - 62.34%
Principal
Amount (000's) Value (000's)
Advertising - 0.03%
MDC Partners Inc
6.50%, 05/01/2024(b) $100$99
Aerospace & Defense - 0.33%
Air 2 US
8.63%, 10/01/2020(b) 20 20
BAE Systems Holdings Inc
2.85%, 12/15/2020(b) 145 148
3.85%, 12/15/2025(b) 265 281
Lockheed Martin Corp
2.50%, 11/23/2020 195 201
3.55%, 01/15/2026 140 152
4.70%, 05/15/2046 90 106
United Technologies Corp
4.50%, 06/01/2042 100 115
$1,023
Agriculture - 0.77%
Altria Group Inc
4.50%, 05/02/2043 215 243
9.95%, 11/10/2038 90 162
BAT International Finance PLC
2.75%, 06/15/2020(b) 35 36
Imperial Brands Finance PLC
3.75%, 07/21/2022(b) 220 232
Philip Morris International Inc
1.88%, 02/25/2021 365 369
4.38%, 11/15/2041 140 154
Pinnacle Operating Corp
9.00%, 11/15/2020(b) 158 133
Reynolds American Inc
3.25%, 06/12/2020 108 114
4.45%, 06/12/2025 240 269
5.70%, 08/15/2035 300 365
5.85%, 08/15/2045 105 134
6.88%, 05/01/2020 130 154
$2,365
Airlines - 0.47%
American Airlines 2013-1 Class B Pass
Through Trust
5.63%, 01/15/2021(b) 171 176
American Airlines 2014-1 Class A Pass
Through Trust
3.70%, 04/01/2028 151 157
American Airlines 2015-1 Class A Pass
Through Trust
3.38%, 11/01/2028 372 374
American Airlines 2015-1 Class B Pass
Through Trust
3.70%, 11/01/2024 18 18
United Airlines 2014-1 Class A Pass Through
Trust
4.00%, 10/11/2027 217 229
United Airlines 2014-2 Class A Pass Through
Trust
3.75%, 03/03/2028 291 308
BONDS (continued)
Principal
Amount (000's) Value (000's)
Airlines (continued)
US Airways 2001-1G Pass Through Trust
7.08%, 09/20/2022 $ 29$ 32
US Airways 2013-1 Class A Pass Through
Trust
3.95%, 05/15/2027 131 138
$1,432
Apparel - 0.04%
Hanesbrands Inc
4.63%, 05/15/2024(b) 20 20
N
IKE Inc
3.88%, 11/01/2045 100 111
$131
Automobile Asset Backed Securities - 7.51%
Ally Auto Receivables Trust 2014-3
0.81%, 09/15/2017(c) 137 137
Ally Auto Receivables Trust 2014-SN2
1.03%, 09/20/2017(c) 2,310 2,310
1.21%, 02/20/2019(c) 600 600
Ally Auto Receivables Trust 2015-2
0.87%, 03/15/2018(c) 1,893 1,894
Ally Auto Receivables Trust 2016-2
1.35%, 05/15/2020 775 778
AmeriCredit Automobile Receivables 2015-4
2.11%, 01/08/2021(c) 425 429
AmeriCredit Automobile Receivables 2016-1
1.20%, 06/10/2019(c) 1,000 1,001
AmeriCredit Automobile Receivables Trust
2015-3
0.96%, 01/08/2019(c) 949 949
AmeriCredit Automobile Receivables Trust
2016-2
2.87%, 11/08/2021(c) 425 434
BMW Vehicle Lease Trust 2015-1
1.24%, 12/20/2017 300 300
Capital Auto Receivables Asset Trust 2014-2
1.26%, 05/21/2018(c) 2,411 2,413
Capital Auto Receivables Asset Trust 2015-1
1.42%, 06/20/2018 350 351
Capital Auto Receivables Asset Trust 2015-2
0.85%, 10/20/2017(c) 590 590
Capital Auto Receivables Asset Trust 2016-1
1.15%, 11/20/2018(c) 295 295
CarMax Auto Owner Trust 2014-4
1.25%, 11/15/2019 1,000 1,002
CarMax Auto Owner Trust 2015-2
0.72%, 06/15/2018(c) 1,433 1,433
Chesapeake Funding LLC
1.69%, 04/07/2024(b),(c) 81 81
Drive Auto Receivables Trust 2015-D
1.31%, 06/15/2018(b),(c) 1,027 1,027
Enterprise Fleet Financing LLC
1.59%, 02/22/2021(b),(c) 319 319
Ford Credit Auto Owner Trust 2016-A
1.39%, 07/15/2020 450 453
GM Financial Automobile Leasing Trust
2014-1
1.76%, 05/21/2018(b) 645 646
GM Financial Automobile Leasing Trust
2016-2
0.95%, 10/22/2018(c) 1,000 1,000
Honda Auto Receivables 2015-3 Owner
Trust
0.92%, 11/20/2017 694 694
Mercedes Benz Auto Lease Trust 2015-B
0.96%, 01/16/2018(c) 897 897
N
issan Auto Receivables 2013-C Owner
Trust
0.67%, 08/15/2018(c) 693 692
Santander Drive Auto Receivables Trust 2014-
5
1.77%, 09/16/2019 450 451
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 124
BONDS (continued)
Principal
Amount (000's) Value (000's)
Automobile Asset Backed Securities (continued)
Santander Drive Auto Receivables Trust 2015-
5
1.58%, 09/16/2019(c) $ 525$ 527
SunTrust Auto Receivables Trust 2015-1
0.99%, 06/15/2018(b),(c) 156 156
Volkswagen Auto Loan Enhanced Trust 2014-
1
0.91%, 10/22/2018 433 432
WorldOmniAutoReceivablesTrust2014-B
1.14%, 01/15/2020 700 701
$ 22,992
Automobile Floor Plan Asset Backed Securities - 1.60%
Ally Master Owner Trust
1.60%, 10/15/2019 300 301
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(c) 3,100 3,099
GE Dealer Floorplan Master Note Trust
0.83%, 07/20/2019(c) 1,500 1,497
$4,897
Automobile Manufacturers - 1.10%
American Honda Finance Corp
2.45%, 09/24/2020 360 374
Daimler Finance North America LLC
2.25%, 03/02/2020(b) 210 214
2.45%, 05/18/2020(b) 40 41
Ford Motor Co
7.40%, 11/01/2046 175 246
Ford Motor Credit Co LLC
8.00%, 12/15/2016 185 191
General Motors Co
3.50%, 10/02/2018 410 422
4.88%, 10/02/2023 170 181
6.25%, 10/02/2043 35 39
6.60%, 04/01/2036 75 86
General Motors Financial Co Inc
2.63%, 07/10/2017 355 358
3.25%, 05/15/2018 190 194
3.45%, 04/10/2022 90 90
4.30%, 07/13/2025 5 5
Jaguar Land Rover Automotive PLC
4.13%, 12/15/2018(b) 200 202
N
avistar International Corp
8.25%, 11/01/2021 120 84
N
issan Motor Acceptance Corp
1.23%, 03/03/2017(b),(c) 410 410
Volkswagen International Finance NV
1.13%, 11/18/2016(b) 235 235
$3,372
Automobile Parts & Equipment - 0.20%
Dana Holding Corp
5.50%, 12/15/2024 130 123
Lear Corp
5.25%, 01/15/2025 135 142
N
emakSAB de C
V
5.50%, 02/28/2023(b) 200 207
ZF North America Capital Inc
4.75%, 04/29/2025(b) 150 152
$624
Banks - 7.35%
Associated Banc-Corp
2.75%, 11/15/2019 160 162
4.25%, 01/15/2025 425 439
Banco Inbursa SA Institucion de Banca
Multiple
4.13%, 06/06/2024(b) 200 200
Bankof America Corp
2.63%, 04/19/2021 645 655
3.50%, 04/19/2026 135 139
3.95%, 04/21/2025 310 316
4.20%, 08/26/2024 355 367
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Bankof America Corp (continued)
4.25%, 10/22/2026 $ 276$ 286
6.10%, 12/29/2049(a),(c) 405 411
6.25%, 09/29/2049(a),(c) 305 310
Bankof New YorkMellon Corp/The
2.50%, 04/15/2021 110 114
4.95%, 12/29/2049(a),(c) 840 843
Barclays PLC
8.25%, 12/29/2049(a),(c) 215 210
BPCE SA
2.65%, 02/03/2021 305 314
Citigroup Inc
2.70%, 03/30/2021 365 371
3.40%, 05/01/2026 180 185
4.60%, 03/09/2026 110 117
4.75%, 05/18/2046 65 65
CoBankACB
6.25%, 12/29/2049(a),(c) 115 121
Compass Bank
2.75%, 09/29/2019 270 267
Cooperatieve RabobankUA
4.38%, 08/04/2025 350 366
5.25%, 08/04/2045 390 434
11.00%, 12/29/2049(a),(b),(c) 281 335
Discover Bank/Greenwood DE
2.60%, 11/13/2018 500 508
FifthThirdBank/Cincinnati OH
2.25%, 06/14/2021 235 239
2.88%, 10/01/2021 430 444
First Horizon National Corp
3.50%, 12/15/2020 410 414
Goldman Sachs Group Inc/The
2.55%, 10/23/2019 405 414
2.60%, 04/23/2020 170 173
3.50%, 01/23/2025 180 185
3.85%, 07/08/2024 370 392
4.25%, 10/21/2025 265 274
5.15%, 05/22/2045 285 297
5.38%, 12/29/2049(a),(c) 845 836
6.00%, 06/15/2020 200 228
6.75%, 10/01/2037 280 345
HSBC Holdings PLC
2.95%, 05/25/2021 200 202
3.60%, 05/25/2023 240 245
Huntington National Bank/The
1.06%, 04/24/2017(c) 1,500 1,499
ING BankNV
2.00%, 11/26/2018(b) 270 273
5.80%, 09/25/2023(b) 200 219
Intesa Sanpaolo SpA
5.02%, 06/26/2024(b) 545 499
5.71%, 01/15/2026(b) 340 322
JPMorgan Chase & Co
4.13%, 12/15/2026 20 21
4.25%, 10/01/2027 210 222
4.50%, 01/24/2022 245 273
4.95%, 06/01/2045 450 494
5.00%, 12/29/2049(a),(c) 280 268
5.63%, 08/16/2043 195 228
Morgan Stanley
2.38%, 07/23/2019 85 86
2.50%, 04/21/2021 310 313
2.65%, 01/27/2020 100 102
4.00%, 07/23/2025 390 418
4.10%, 05/22/2023 655 679
4.30%, 01/27/2045 345 363
4.88%, 11/01/2022 280 307
5.55%, 12/29/2049(a),(c) 220 218
Popular Inc
7.00%, 07/01/2019 75 73
RBC USA Holdco Corp
5.25%, 09/15/2020 290 327
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 125
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Royal Bankof Scotland Group PLC
5.13%, 05/28/2024 $ 50$ 49
SkandinaviskaEnskilda Banken AB
5.75%, 11/29/2049(a),(c) 615 583
UBS AG/Jersey
7.25%, 02/22/2022(c) 245 251
UBS AG/Stamford CT
2.35%, 03/26/2020 270 277
UBSGroupFundingJerseyLtd
2.95%, 09/24/2020(b) 365 371
US Bancorp
2.35%, 01/29/2021 600 619
Wells Fargo & Co
2.50%, 03/04/2021 440 451
2.60%, 07/22/2020 180 185
4.40%, 06/14/2046 170 173
5.87%, 12/29/2049(a),(c) 110 117
$ 22,503
Beverages - 1.42%
Anheuser-Busch InBev Finance Inc
2.65%, 02/01/2021 955 990
3.30%, 02/01/2023 265 279
3.65%, 02/01/2026 870 932
4.70%, 02/01/2036 510 573
4.90%, 02/01/2046 650 762
Coca-Cola IcecekAS
4.75%, 10/01/2018(b) 250 261
Constellation Brands Inc
3.75%, 05/01/2021 25 26
3.88%, 11/15/2019 20 21
4.25%, 05/01/2023 105 109
Corp Lindley SA
6.75%, 11/23/2021(b) 44 50
6.75%, 11/23/2021 66 75
Pernod Ricard SA
5.75%, 04/07/2021(b) 235 271
$4,349
Biotechnology - 0.20%
Celgene Corp
2.88%, 08/15/2020 235 243
4.63%, 05/15/2044 30 31
5.00%, 08/15/2045 85 94
5.25%, 08/15/2043 30 34
Gilead Sciences Inc
3.05%, 12/01/2016 135 136
4.60%, 09/01/2035 45 50
4.75%, 03/01/2046 15 17
$605
Building Materials - 0.85%
Boise Cascade Co
6.38%, 11/01/2020 55 56
Cemex SAB de CV
7.25%, 01/15/2021(b) 200 211
7.75%, 04/16/2026(b) 200 210
CRH America Inc
8.13%, 07/15/2018 510 572
Martin Marietta Materials Inc
1.73%, 06/30/2017(c) 1,385 1,381
Masco Corp
4.38%, 04/01/2026 80 82
N
orbord Inc
5.38%, 12/01/2020(b) 95 98
$2,610
Chemicals - 0.58%
A Schulman Inc
6.88%, 06/01/2023(b) 55 55
Agrium Inc
3.38%, 03/15/2025 350 356
Aruba Investments Inc
8.75%, 02/15/2023(b) 80 77
BONDS (continued)
Principal
Amount (000's) Value (000's)
Chemicals (continued)
Axiall Corp
4.88%, 05/15/2023 $ 25$ 26
Blue Cube Spinco Inc
9.75%, 10/15/2023(b) 40 46
Braskem Finance Ltd
5.75%, 04/15/2021(b) 200 200
CF Industries Inc
4.95%, 06/01/2043 95 87
5.15%, 03/15/2034 70 68
Consolidated Energy Finance SA
6.75%, 10/15/2019(b) 200 188
Cornerstone Chemical Co
9.38%, 03/15/2018(b) 70 69
Dow Chemical Co/The
4.38%, 11/15/2042 80 82
Eagle Spinco Inc
4.63%, 02/15/2021 40 41
Monsanto Co
3.95%, 04/15/2045 195 181
4.40%, 07/15/2044 55 54
Solvay Finance America LLC
3.40%, 12/03/2020(b) 225 236
$1,766
Commercial Mortgage Backed Securities - 5.44%
Banc of America Commercial Mortgage Trust
2007-3
0.73%, 06/10/2049(b),(c) 300 296
Banc of America Commercial Mortgage Trust
2015-UBS7
3.71%, 09/15/2048 500 549
Banc of America Commercial Mortgage Trust
2016-UBS10
4.91%, 06/15/2049(c) 300 306
BCRR Trust 2009-1
5.86%, 07/17/2040(b) 220 225
CD 2006-CD3 Mortgage Trust
5.62%, 10/15/2048 169 170
Citigroup Commercial Mortgage Trust 2015-
GC27
3.57%, 02/10/2048(c) 900 944
Citigroup Commercial Mortgage Trust 2015-
GC29
3.19%, 04/10/2048(c) 750 791
4.29%, 04/10/2048(c) 500 494
Citigroup Commercial Mortgage Trust 2016-
GC37
3.58%, 04/10/2049(c) 350 367
COMM 2007-C9 Mortgage Trust
6.01%, 12/10/2049(c) 1,000 1,005
COMM 2013-CCRE11 Mortgage Trust
1.20%, 10/10/2046(c),(d) 6,891 408
COMM 2015-PC1 Mortgage Trust
4.29%, 07/10/2050(c) 250 273
Credit Suisse Commercial Mortgage Trust
Series 2006-C5
0.86%, 12/15/2039(c),(d) 2,299 2
Credit Suisse Commercial Mortgage Trust
Series 2007-C3
5.89%, 06/15/2039(c) 338 343
Credit Suisse First Boston Mortgage Securities
Corp
0.57%, 11/15/2037(b),(c),(d) 415 —
4.77%, 07/15/2037 3 3
CSMC Series 2009-RR1
5.38%, 02/15/2040(b) 385 388
CSMC Series 2009-RR3
5.34%, 12/15/2043(b),(c) 340 344
DBUBS 2011-LC2 Mortgage Trust
4.54%, 07/10/2044(b) 750 834
GS Mortgage Securities Trust 2011-GC5
1.59%, 08/10/2044(b),(c),(d) 10,518 542
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 126
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$ 219
GS Mortgage Securities Trust 2013-GC16
1.62%, 11/10/2046(c),(d) 2,849 167
GS Mortgage Securities Trust 2013-GCJ12
3.78%, 06/10/2046(c) 250 263
GS Mortgage Securities Trust 2014-GC26
1.25%, 11/10/2047(c),(d) 5,000 326
GS Mortgage Securities Trust 2015-GC34
3.51%, 10/10/2048(c) 375 405
JP Morgan Chase Commercial Mortgage
Securities Corp
1.99%, 12/15/2047(c),(d) 3,721 262
JP Morgan Chase Commercial Mortgage
Securities Trust 2006-CIBC17
5.43%, 12/12/2043 232 233
JP Morgan Chase Commercial Mortgage
Securities Trust 2010-C1
5.95%, 06/15/2043(b) 400 430
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
3.15%, 08/15/2046 154 154
5.49%, 08/15/2046(b),(c) 350 381
JP Morgan Chase Commercial Mortgage
Securities Trust 2013-C16
1.30%, 12/15/2046(c),(d) 10,836 574
JPMBB Commercial Mortgage Securities
Trust 2014-C24
4.57%, 11/15/2047(c) 500 508
LB-UBS Commercial Mortgage Trust 2007-
C1
0.60%, 02/15/2040(c),(d) 15,460 30
LB-UBS Commercial Mortgage Trust 2007-
C2
5.43%, 02/15/2040 275 279
Morgan Stanley Bankof America Merrill
Lynch Trust 2012-C5
1.89%, 08/15/2045(b),(c),(d) 4,456 273
Morgan Stanley Bankof America Merrill
Lynch Trust 2014-C14
1.43%, 02/15/2047(c),(d) 9,805 521
Morgan Stanley Bankof America Merrill
Lynch Trust 2014-C16
1.38%, 06/15/2047(c),(d) 4,421 269
Morgan Stanley Bankof America Merrill
Lynch Trust 2015-C26
3.89%, 10/15/2048 250 271
Morgan Stanley Bankof America Merrill
Lynch Trust 2015-C27
3.75%, 12/15/2047(c) 100 110
Morgan Stanley Capital I Trust 2007-IQ13
5.36%, 03/15/2044(c) 103 104
MSBAM Commercial Mortgage Securities
Trust 2012-CKSV
1.26%, 10/15/2030(b),(c),(d) 3,709 215
UBS Commercial Mortgage Trust 2012-C1
3.40%, 05/10/2045(c) 150 161
UBS-Barclays Commercial Mortgage Trust
2012-C3
3.09%, 08/10/2049(c) 255 270
UBS-Barclays Commercial Mortgage Trust
2012-C4
1.93%, 12/10/2045(b),(c),(d) 1,412 113
3.32%, 12/10/2045(b),(c) 500 525
UBS-Barclays Commercial Mortgage Trust
2013-C5
3.18%, 03/10/2046(c) 335 355
4.22%, 03/10/2046(b),(c) 175 157
WFRBS Commercial Mortgage Trust 2013-
C12
1.54%, 03/15/2048(b),(c),(d) 3,756 232
BONDS (continued)
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities (continued)
WFRBS Commercial Mortgage Trust 2014-
C22
4.07%, 09/15/2057 $ 500$ 547
$ 16,638
Commercial Services - 0.04%
Ahern Rentals Inc
7.38%, 05/15/2023(b) 55 38
Jurassic Holdings III Inc
6.88%, 02/15/2021(b) 55 35
TMS International Corp
7.63%, 10/15/2021(b) 85 59
$132
Computers - 0.79%
Apple Inc
0.89%, 05/03/2018(c) 750 751
1.70%, 02/22/2019 175 178
2.85%, 05/06/2021 20 21
2.85%, 02/23/2023 125 131
3.25%, 02/23/2026 125 133
3.45%, 02/09/2045 155 146
4.65%, 02/23/2046 145 164
Compiler Finance Sub Inc
7.00%, 05/01/2021(b) 80 34
Denali International LLC / Denali Finance
Corp
5.63%, 10/15/2020(b) 110 115
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
4.42%, 06/15/2021(b) 230 237
5.88%, 06/15/2021(b) 45 46
6.02%, 06/15/2026(b) 130 136
7.13%, 06/15/2024(b) 50 52
Hewlett Packard Enterprise Co
2.85%, 10/05/2018(b) 95 97
4.90%, 10/15/2025(b) 50 52
6.20%, 10/15/2035(b) 120 121
$2,414
Consumer Products - 0.02%
Spectrum Brands Inc
5.75%, 07/15/2025 55 57
Credit Card Asset Backed Securities - 1.00%
Barclays DryrockIssuance Trust
0.80%, 12/16/2019(c) 2,000 2,001
Citibank Credit Card Issuance Trust
0.65%, 08/24/2018(c) 550 550
World Financial Network Credit Card Master
Trust
1.76%, 05/17/2021(c) 500 503
$3,054
Distribution & Wholesale - 0.11%
American Builders & Contractors Supply Co
Inc
5.75%, 12/15/2023(b) 45 47
Global Partners LP / GLP Finance Corp
7.00%, 06/15/2023 80 67
HD Supply Inc
5.75%, 04/15/2024(b) 25 26
7.50%, 07/15/2020 111 116
WW Grainger Inc
4.60%, 06/15/2045 65 77
$333
Diversified Financial Services - 1.72%
AerCap Ireland Capital Ltd / AerCap Global
Aviation Trust
3.95%, 02/01/2022 150 150
Aircastle Ltd
4.63%, 12/15/2018 55 57
5.00%, 04/01/2023 60 61
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 127
BONDS (continued)
Principal
Amount (000's) Value (000's)
Diversified Financial Services (continued)
Aircastle Ltd (continued)
5.13%, 03/15/2021 $ 150$ 156
5.50%, 02/15/2022 40 42
Ally Financial Inc
3.25%, 11/05/2018 85 85
5.75%, 11/20/2025 90 90
CIT Group Inc
3.88%, 02/19/2019 380 382
Credit Acceptance Corp
6.13%, 02/15/2021 105 100
7.38%, 03/15/2023 65 62
Fly Leasing Ltd
6.38%, 10/15/2021 200 194
GE Capital International Funding Co
Unlimited Co
2.34%, 11/15/2020(b) 163 168
4.42%, 11/15/2035(b) 438 491
Intercontinental Exchange Inc
2.75%, 12/01/2020 320 332
International Lease Finance Corp
6.25%, 05/15/2019 95 102
N
ational Rural Utilities Cooperative Finance
Corp
4.75%, 04/30/2043(c) 125 123
N
avient Corp
5.00%, 10/26/2020 10 9
5.88%, 03/25/2021 65 61
6.13%, 03/25/2024 80 70
Peachtree Corners Funding Trust
3.98%, 02/15/2025(b) 125 125
Springleaf Finance Corp
5.25%, 12/15/2019 110 103
Vesey Street Investment Trust I
4.40%, 09/01/2016(c) 765 769
Visa Inc
2.20%, 12/14/2020 615 634
3.15%, 12/14/2025 630 674
4.30%, 12/14/2045 205 237
$5,277
Electric - 3.09%
Alabama Power Co
3.75%, 03/01/2045 140 146
3.85%, 12/01/2042 125 130
4.15%, 08/15/2044 235 257
CMS Energy Corp
3.00%, 05/15/2026 140 143
4.70%, 03/31/2043 135 152
4.88%, 03/01/2044 130 149
Commonwealth Edison Co
3.70%, 03/01/2045 120 123
4.35%, 11/15/2045 125 142
Consolidated Edison Co of New YorkInc
4.50%, 12/01/2045 210 239
4.63%, 12/01/2054 150 172
Dominion Resources Inc/VA
3.90%, 10/01/2025 325 348
DTE Energy Co
6.38%, 04/15/2033 305 392
Dynegy Inc
7.38%, 11/01/2022 125 121
Edison International
3.75%, 09/15/2017 160 165
Electricite de France SA
2.35%, 10/13/2020(b) 400 409
3.63%, 10/13/2025(b) 230 240
4.95%, 10/13/2045(b) 105 116
5.63%, 12/29/2049(a),(b),(c) 400 381
Elwood Energy LLC
8.16%, 07/05/2026 132 145
Emera US Finance LP
2.70%, 06/15/2021(b) 185 188
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
Exelon Corp
2.85%, 06/15/2020 $ 330$ 340
4.45%, 04/15/2046 140 149
5.10%, 06/15/2045 115 132
Florida Power & Light Co
4.05%, 06/01/2042 160 179
Indiantown Cogeneration LP
9.77%, 12/15/2020 109 120
ITC Holdings Corp
3.25%, 06/30/2026(e) 75 75
Kentucky Utilities Co
3.30%, 10/01/2025 285 308
Louisville Gas & Electric Co
3.30%, 10/01/2025 115 124
MidAmerican Energy Co
4.25%, 05/01/2046 205 232
Mirant Mid-Atlantic Series C Pass Through
Trust
10.06%, 12/30/2028 127 120
N
orthern States Power Co/MN
3.40%, 08/15/2042 40 41
N
RG Energy Inc
8.25%, 09/01/2020 125 129
Oncor Electric Delivery Co LLC
5.25%, 09/30/2040 120 147
Pacific Gas & Electric Co
3.50%, 06/15/2025 245 267
4.45%, 04/15/2042 105 118
PacifiCorp
2.95%, 06/01/2023 185 195
3.85%, 06/15/2021 150 165
PPL Capital Funding Inc
3.10%, 05/15/2026 190 192
PPL Electric Utilities Corp
3.00%, 09/15/2021 80 85
4.75%, 07/15/2043 115 139
PPL WEM Ltd / Western Power Distribution
Ltd
5.38%, 05/01/2021(b) 440 490
Public Service Electric & Gas Co
4.15%, 11/01/2045 115 130
Puget Energy Inc
6.00%, 09/01/2021 285 332
Southern California Edison Co
3.60%, 02/01/2045 260 270
Southern Co/The
2.95%, 07/01/2023 145 150
4.40%, 07/01/2046 105 113
Virginia Electric & Power Co
4.00%, 01/15/2043 35 37
4.45%, 02/15/2044 125 144
4.65%, 08/15/2043 65 76
Wisconsin Electric Power Co
4.30%, 12/15/2045 105 120
Xcel Energy Inc
3.30%, 06/01/2025 180 190
$9,467
Electronics - 0.15%
Fortive Corp
2.35%, 06/15/2021(b) 110 112
3.15%, 06/15/2026(b) 180 185
Keysight Technologies Inc
3.30%, 10/30/2019 115 117
Sanmina Corp
4.38%, 06/01/2019(b) 15 15
Tyco Electronics Group SA
7.13%, 10/01/2037 20 27
$456
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 128
BONDS (continued)
Principal
Amount (000's) Value (000's)
Engineering & Construction - 0.06%
SBA Tower Trust
2.90%, 10/15/2044(b) $ 170$ 172
Entertainment - 0.41%
Carmike Cinemas Inc
6.00%, 06/15/2023(b) 55 57
CCM Merger Inc
9.13%, 05/01/2019(b) 195 204
CinemarkUSA Inc
4.88%, 06/01/2023 145 144
DreamWorks Animation SKG Inc
6.88%, 08/15/2020(b) 115 122
Eldorado Resorts Inc
7.00%, 08/01/2023 85 88
GLP Capital LP / GLP Financing II Inc
4.38%, 04/15/2021 10 10
5.38%, 04/15/2026 80 82
Lions Gate Entertainment Corp
5.25%, 08/01/2018 70 71
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(b) 130 131
Pinnacle Entertainment Inc
5.63%, 05/01/2024(b) 70 70
Regal Entertainment Group
5.75%, 03/15/2022 100 102
WMG Acquisition Corp
6.00%, 01/15/2021(b) 24 25
WMG Holdings Corp
13.75%, 10/01/2019 131 140
$1,246
Environmental Control - 0.02%
Republic Services Inc
2.90%, 07/01/2026(e) 45 46
Food - 1.22%
Arcor SAIC
6.00%, 07/06/2023(b),(e),(f) 75 75
BI-LO LLC / BI-LO Finance Corp
9.25%, 02/15/2019(b) 85 74
Cencosud SA
5.50%, 01/20/2021 150 161
Gruma SAB de CV
4.88%, 12/01/2024(b) 350 378
Grupo Bimbo SAB de CV
4.88%, 06/27/2044(b) 200 197
Ingles Markets Inc
5.75%, 06/15/2023 90 91
JBS USA LLC / JBS USA Finance Inc
5.75%, 06/15/2025(b) 85 80
7.25%, 06/01/2021(b) 25 26
JM Smucker Co/The
2.50%, 03/15/2020 125 129
3.50%, 03/15/2025 130 140
4.38%, 03/15/2045 215 234
Kraft Heinz Foods Co
2.80%, 07/02/2020(b) 460 478
4.38%, 06/01/2046(b) 450 476
5.00%, 07/15/2035(b) 80 92
5.20%, 07/15/2045(b) 70 83
Post Holdings Inc
7.38%, 02/15/2022 50 52
7.75%, 03/15/2024(b) 35 38
Smithfield Foods Inc
5.25%, 08/01/2018(b) 70 71
5.88%, 08/01/2021(b) 95 99
TreeHouse Foods Inc
6.00%, 02/15/2024(b) 75 79
Wm Wrigley Jr Co
2.40%, 10/21/2018(b) 235 240
BONDS (continued)
Principal
Amount (000's) Value (000's)
Food (continued)
Wm Wrigley Jr Co (continued)
3.38%, 10/21/2020(b) $ 415$ 443
$3,736
Forest Products & Paper - 0.15%
Domtar Corp
6.25%, 09/01/2042 285 295
Resolute Forest Products Inc
5.88%, 05/15/2023 75 59
Sappi Papier Holding GmbH
7.50%, 06/15/2032(b) 50 44
Tembec Industries Inc
9.00%, 12/15/2019(b) 75 58
Verso Paper Holdings LLC / Verso Paper Inc
0.00%, 01/15/2019(g) 55 9
$465
Gas - 0.09%
Dominion Gas Holdings LLC
2.80%, 11/15/2020 260 268
4.80%, 11/01/2043 10 11
$279
Healthcare - Products - 1.15%
ConvaTec Finance International SA
8.25%, PIK 9.00%, 01/15/2019(b),(h) 200 196
DJO Finco Inc / DJO Finance LLC / DJO
Finance Corp
8.13%, 06/15/2021(b) 135 117
Hill-Rom Holdings Inc
5.75%, 09/01/2023(b),(c) 60 61
Kinetic Concepts Inc / KCI USA Inc
7.88%, 02/15/2021(b) 70 75
10.50%, 11/01/2018 65 65
Mallinckrodt International Finance SA /
Mallinckrodt CB LLC
5.63%, 10/15/2023(b) 165 154
Medtronic Inc
2.50%, 03/15/2020 355 368
4.38%, 03/15/2035 440 498
4.63%, 03/15/2045 400 470
Teleflex Inc
4.88%, 06/01/2026 40 40
Universal Hospital Services Inc
7.63%, 08/15/2020 110 101
Zimmer Biomet Holdings Inc
2.00%, 04/01/2018 285 287
2.70%, 04/01/2020 810 820
3.15%, 04/01/2022 95 97
3.55%, 04/01/2025 150 155
$3,504
Healthcare - Services - 1.46%
Aetna Inc
2.40%, 06/15/2021 365 372
2.75%, 11/15/2022 35 36
2.80%, 06/15/2023 455 465
3.20%, 06/15/2026 305 314
4.25%, 06/15/2036 140 145
4.38%, 06/15/2046 170 177
Anthem Inc
3.13%, 05/15/2022 75 78
4.35%, 08/15/2020 130 141
4.63%, 05/15/2042 130 136
Centene Corp
4.75%, 05/15/2022 155 158
5.63%, 02/15/2021(b) 40 42
5.75%, 06/01/2017 188 192
6.13%, 02/15/2024(b) 60 64
Cigna Corp
4.00%, 02/15/2022 170 183
Fresenius Medical Care US Finance II Inc
4.75%, 10/15/2024(b) 100 103
5.88%, 01/31/2022(b) 85 93
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 129
BONDS (continued)
Principal
Amount (000's) Value (000's)
Healthcare - Services (continued)
Fresenius Medical Care US Finance II
Inc (continued)
6.50%, 09/15/2018(b) $55$59
HCA Inc
4.75%, 05/01/2023 245 251
5.00%, 03/15/2024 125 129
5.25%, 04/15/2025 105 110
5.88%, 03/15/2022 85 92
Molina Healthcare Inc
5.38%, 11/15/2022(b) 80 80
MPH Acquisition Holdings LLC
7.13%, 06/01/2024(b) 160 168
UnitedHealth Group Inc
1.90%, 07/16/2018 220 224
4.63%, 07/15/2035 435 505
4.75%, 07/15/2045 65 78
WellCare Health Plans Inc
5.75%, 11/15/2020 70 72
$4,467
Holding Companies - Diversified - 0.03%
Argos Merger Sub Inc
7.13%, 03/15/2023(b) 90 93
Home Builders - 0.19%
CalAtlantic Group Inc
5.88%, 11/15/2024 35 36
Lennar Corp
4.13%, 12/01/2018 90 91
4.50%, 11/15/2019 20 21
4.75%, 11/15/2022(c) 105 107
4.88%, 12/15/2023 40 40
WCI Communities Inc
6.88%, 08/15/2021 150 149
Woodside Homes Co LLC / Woodside Homes
Finance Inc
6.75%, 12/15/2021(b) 135 125
$569
Home Equity Asset Backed Securities - 0.06%
N
ew Century Home Equity Loan Trust 2005-
1
1.03%, 03/25/2035(c) 25 25
Saxon Asset Securities Trust 2004-1
2.15%, 03/25/2035(c) 127 53
Specialty Underwriting & Residential Finance
Trust Series 2004-BC1
1.22%, 02/25/2035(c) 123 113
$191
Housewares - 0.04%
N
ewell Brands Inc
3.15%, 04/01/2021 50 52
3.85%, 04/01/2023 65 69
$121
Insurance - 1.41%
American International Group Inc
3.30%, 03/01/2021 290 300
3.38%, 08/15/2020 385 404
Chubb INA Holdings Inc
2.30%, 11/03/2020 845 869
3.35%, 05/03/2026 300 320
CNO Financial Group Inc
4.50%, 05/30/2020 35 36
Liberty Mutual Group Inc
7.00%, 03/07/2067(b),(c) 215 181
Markel Corp
5.00%, 04/05/2046 280 295
Prudential Financial Inc
5.38%, 05/15/2045(c) 150 151
Travelers Cos Inc/The
3.75%, 05/15/2046 140 146
BONDS (continued)
Principal
Amount (000's) Value (000's)
Insurance (continued)
Voya Financial Inc
5.65%, 05/15/2053(c) $ 435$ 410
XLIT Ltd
4.45%, 03/31/2025 725 732
5.50%, 03/31/2045 490 484
$4,328
Internet - 0.14%
Alibaba Group Holding Ltd
3.13%, 11/28/2021 250 256
Zayo Group LLC / Zayo Capital Inc
6.00%, 04/01/2023 170 172
$428
Iron & Steel - 0.30%
AK Steel Corp
7.50%, 07/15/2023 50 51
7.63%, 05/15/2020 50 48
ArcelorMittal
6.50%, 03/01/2021(c) 15 15
8.00%, 10/15/2039(c) 255 247
BlueScope Steel Finance Ltd/BlueScope Steel
Finance USA LLC
6.50%, 05/15/2021(b) 35 36
Commercial Metals Co
4.88%, 05/15/2023 240 227
Signode Industrial Group Lux SA/Signode
Industrial Group US Inc
6.38%, 05/01/2022(b) 165 158
Vale Overseas Ltd
5.88%, 06/10/2021 130 130
$912
Leisure Products & Services - 0.06%
N
CL Corp Ltd
4.63%, 11/15/2020(b) 100 100
5.25%, 11/15/2019(b) 80 81
$181
Lodging - 0.17%
Boyd Gaming Corp
6.88%, 05/15/2023 45 48
MGM Growth Properties Operating
Partnership LP / MGP Escrow Co-Issuer Inc
5.63%, 05/01/2024(b) 60 63
MGM Resorts International
6.00%, 03/15/2023 55 58
6.63%, 12/15/2021 30 33
Wyndham Worldwide Corp
2.50%, 03/01/2018 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
Media - 2.37%
21st Century Fox America Inc
4.75%, 09/15/2044 90 100
5.40%, 10/01/2043 230 267
6.15%, 02/15/2041 30 37
Altice Financing SA
6.50%, 01/15/2022(b) 200 202
Altice Finco SA
7.63%, 02/15/2025(b) 75 69
CBS Corp
5.75%, 04/15/2020 180 206
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 130
BONDS (continued)
Principal
Amount (000's) Value (000's)
Media (continued)
CCO Holdings LLC / CCO Holdings Capital
Corp
5.13%, 05/01/2023(b) $ 345$ 347
5.50%, 05/01/2026(b) 35 35
5.75%, 02/15/2026(b) 15 15
Charter Communications Operating LLC /
Charter Communications Operating Capital
4.46%, 07/23/2022(b) 350 376
4.91%, 07/23/2025(b) 220 240
6.38%, 10/23/2035(b) 40 47
6.48%, 10/23/2045(b) 120 143
6.83%, 10/23/2055(b) 170 202
Comcast Corp
3.15%, 03/01/2026 170 181
3.38%, 02/15/2025 85 92
4.20%, 08/15/2034 35 38
4.60%, 08/15/2045 25 29
6.40%, 03/01/2040 345 482
6.50%, 11/15/2035 15 21
DISH DBS Corp
5.88%, 07/15/2022 85 83
5.88%, 11/15/2024 110 102
6.75%, 06/01/2021 105 109
7.75%, 07/01/2026(b) 25 26
7.88%, 09/01/2019 274 302
N
BCUniversal Enterprise Inc
1.31%, 04/15/2018(b),(c) 720 723
N
eptune Finco Corp
10.13%, 01/15/2023(b) 215 241
N
umericable-SFR SA
7.38%, 05/01/2026(b) 200 198
RCN Telecom Services LLC / RCN Capital
Corp
8.50%, 08/15/2020(b) 125 128
Time Warner Cable Inc
5.88%, 11/15/2040 5 5
6.75%, 07/01/2018 120 132
Time Warner Inc
2.10%, 06/01/2019 135 137
2.95%, 07/15/2026 80 81
3.60%, 07/15/2025 150 159
3.88%, 01/15/2026 70 75
4.05%, 12/15/2023 135 149
4.65%, 06/01/2044 70 74
4.85%, 07/15/2045 120 130
6.25%, 03/29/2041 165 208
Unitymedia Hessen GmbH & Co KG /
Unitymedia NRW GmbH
5.50%, 01/15/2023(b) 150 151
Univision Communications Inc
8.50%, 05/15/2021(b) 37 39
Viacom Inc
4.85%, 12/15/2034 295 275
Virgin Media Finance PLC
6.00%, 10/15/2024(b) 200 196
Walt Disney Co/The
2.30%, 02/12/2021 175 182
WideOpenWest Finance LLC /
WideOpenWest Capital Corp
13.38%, 10/15/2019 130 138
10.25%, 07/15/2019 75 78
$7,250
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
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mining (continued)
BarrickNorth America Finance LLC
4.40%, 05/30/2021 $ 220$ 237
BHP Billiton Finance USA Ltd
2.05%, 09/30/2018 5 5
FMG Resources August 2006 Pty Ltd
6.88%, 04/01/2022(b) 135 128
9.75%, 03/01/2022(b) 95 105
Freeport-McMoRan Inc
2.30%, 11/14/2017 75 74
N
ewmont Mining Corp
4.88%, 03/15/2042 115 114
St Barbara Ltd
8.88%, 04/15/2018(b) 200 201
TasekoMinesLtd
7.75%, 04/15/2019 80 50
Teck Resources Ltd
3.75%, 02/01/2023 70 53
8.00%, 06/01/2021(b) 20 21
8.50%, 06/01/2024(b) 15 16
$1,019
Miscellaneous Manufacturers - 0.28%
Bombardier Inc
5.50%, 09/15/2018(b) 55 54
7.50%, 03/15/2025(b) 45 39
General Electric Co
5.30%, 02/11/2021 129 150
Ingersoll-Rand Global Holding Co Ltd
2.88%, 01/15/2019 150 155
5.75%, 06/15/2043 60 74
Ingersoll-Rand Luxembourg Finance SA
3.55%, 11/01/2024 205 216
Tyco International Finance SA
5.13%, 09/14/2045 150 172
$860
Mortgage Backed Securities - 1.96%
Fannie Mae REMIC Trust 2005-W2
0.65%, 05/25/2035(c) 102 101
Fannie Mae REMICS
2.25%, 07/25/2040 199 201
3.00%, 04/25/2022(d) 994 50
3.00%, 04/25/2027(d) 462 41
3.50%, 11/25/2027(c),(d) 325 34
3.50%, 07/25/2028(c),(d) 652 68
3.50%, 03/25/2031(c),(d) 807 82
5.55%, 07/25/2039(c),(d) 1,682 211
5.56%, 07/25/2046(c),(d),(f) 1,000 267
5.60%, 01/25/2044(c),(d) 3,018 540
5.65%, 02/25/2043(c),(d) 613 126
5.65%, 03/25/2043(c),(d) 866 208
6.05%, 03/25/2022(c),(d) 91 9
Freddie Mac REMICS
0.89%, 06/15/2023(c) 77
3.00%, 09/15/2025(c),(d) 279 12
3.00%, 03/15/2026(c),(d) 544 26
3.00%, 05/15/2027(c),(d) 690 43
3.00%, 10/15/2027(c),(d) 208 19
3.50%, 11/15/2020(c),(d) 866 41
3.50%, 09/15/2026(c),(d) 1,114 115
4.00%, 11/15/2038(d) 1,380 114
5.61%, 04/15/2040(c),(d) 1,552 332
Freddie Mac Structured Agency Credit Risk
Debt Notes
1.30%, 04/25/2024(c) 221 221
Ginnie Mae
4.00%, 07/20/2036(c),(d) 522 8
4.50%, 04/16/2044(d) 546 85
5.15%, 02/20/2045(c),(d) 3,136 667
5.60%, 08/20/2043(c),(d) 614 96
5.66%, 07/16/2043(c),(d) 754 145
5.75%, 09/20/2044(c),(d) 1,231 261
5.75%, 11/20/2045(c),(d) 1,181 263
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 131
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Ginnie Mae (continued)
5.75%, 01/20/2046(c),(d) $ 1,082$ 274
6.16%, 04/16/2040(c),(d) 1,130 274
6.21%, 04/16/2042(c),(d) 2,004 435
HomeBanc Mortgage Trust 2005-5
0.79%, 01/25/2036(c) 605 523
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2006-AR1 Trust
0.70%, 02/25/2036(c) 131 92
$5,991
Office & Business Equipment - 0.09%
Xerox Corp
2.95%, 03/15/2017 80 81
3.50%, 08/20/2020 125 124
6.75%, 02/01/2017 10 10
6.75%, 12/15/2039 50 48
$263
Oil & Gas - 2.49%
Anadarko Petroleum Corp
3.45%, 07/15/2024 250 244
5.55%, 03/15/2026 260 287
6.60%, 03/15/2046 100 121
Apache Corp
4.25%, 01/15/2044 25 24
4.75%, 04/15/2043 90 92
Baytex Energy Corp
5.13%, 06/01/2021(b) 45 38
BP Capital Markets PLC
1.17%, 05/10/2019(c) 650 645
3.12%, 05/04/2026 155 158
Carrizo Oil & Gas Inc
6.25%, 04/15/2023 10 10
7.50%, 09/15/2020 125 127
Chaparral Energy Inc
0.00%, 10/01/2020(g) 90 53
0.00%, 11/15/2022(g) 81 49
Chesapeake Energy Corp
8.00%, 12/15/2022(b) 150 127
ConocoPhillips Co
1.53%, 05/15/2022(c) 235 223
Continental Resources Inc/OK
3.80%, 06/01/2024 170 148
4.50%, 04/15/2023 115 107
5.00%, 09/15/2022 70 68
Devon Energy Corp
2.25%, 12/15/2018 625 621
Ecopetrol SA
5.38%, 06/26/2026 50 49
Encana Corp
5.15%, 11/15/2041 150 118
EP Energy LLC / Everest Acquisition Finance
Inc
6.38%, 06/15/2023 65 39
9.38%, 05/01/2020 170 120
Exxon Mobil Corp
2.22%, 03/01/2021 360 371
4.11%, 03/01/2046 30 34
Halcon Resources Corp
8.63%, 02/01/2020(b) 105 99
12.00%, 02/15/2022(b) 98
Kerr-McGee Corp
7.88%, 09/15/2031 115 137
Laredo Petroleum Inc
5.63%, 01/15/2022 5 5
7.38%, 05/01/2022 45 45
Marathon Petroleum Corp
4.75%, 09/15/2044 81 69
N
oble Energy Inc
3.90%, 11/15/2024 160 163
5.05%, 11/15/2044 135 136
BONDS (continued)
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
N
orthern Blizzard Resources Inc
7.25%, 02/01/2022(b) $93$85
Oasis Petroleum Inc
6.50%, 11/01/2021 65 59
6.88%, 03/15/2022 45 42
6.88%, 01/15/2023 140 127
PDC Energy Inc
7.75%, 10/15/2022 135 140
Petrobras Global Finance BV
4.38%, 05/20/2023 250 203
8.38%, 05/23/2021 160 165
Petroleos de Venezuela SA
6.00%, 05/16/2024 200 71
Petroleos Mexicanos
4.88%, 01/18/2024 100 101
6.88%, 08/04/2026(b) 60 67
8.00%, 05/03/2019 300 334
Phillips 66
4.65%, 11/15/2034 165 176
Pioneer Natural Resources Co
3.45%, 01/15/2021 280 289
4.45%, 01/15/2026 110 120
Repsol Oil & Gas Canada Inc
7.75%, 06/01/2019 430 472
Seven Generations Energy Ltd
6.75%, 05/01/2023(b) 20 20
Shell International Finance BV
4.00%, 05/10/2046 135 138
Sunoco LP / Sunoco Finance Corp
5.50%, 08/01/2020(b) 60 59
6.38%, 04/01/2023(b) 90 89
Whiting Petroleum Corp
5.00%, 03/15/2019 70 64
5.75%, 03/15/2021 35 32
Woodside Finance Ltd
3.65%, 03/05/2025(b) 80 78
WPX Energy Inc
7.50%, 08/01/2020 100 100
YPF SA
8.50%, 03/23/2021(b) 55 59
$7,625
Oil & Gas Services - 0.08%
ArchrockPartners LP / ArchrockPartners
Finance Corp
6.00%, 10/01/2022 55 49
PHI Inc
5.25%, 03/15/2019 65 60
Schlumberger Investment SA
3.30%, 09/14/2021(b) 85 90
Seventy Seven Operating LLC
0.00%, 11/15/2019(g) 90 45
$244
Other Asset Backed Securities - 1.21%
CNH Equipment Trust 2014-C
1.65%, 09/15/2021(c) 500 504
Dell Equipment Finance Trust 2015-2
1.72%, 09/22/2020(b),(c) 625 626
JP Morgan Mortgage Acquisition Trust 2007-
CH3
0.60%, 03/25/2037(c) 183 181
Kubota Credit Owner Trust 2015-1
1.54%, 03/15/2019(b),(c) 700 704
Trade MAPS 1 Ltd
1.15%, 12/10/2018(b),(c) 1,500 1,494
Washington Mutural Asset-Backed
Certificates WMABS Series 2006-HE1 Trust
0.63%, 04/25/2036(c) 181 178
$3,687
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 132
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) $ 200$ 201
Beverage Packaging Holdings Luxembourg II
SA / Beverage Packaging Holdings II
5.63%, 12/15/2016(b) 25 25
Coveris Holding Corp
10.00%, 06/01/2018(b) 105 105
Crown Cork&Seal CoInc
7.38%, 12/15/2026 132 145
Packaging Corp of America
4.50%, 11/01/2023 330 359
Reynolds Group Issuer Inc / Reynolds Group
Issuer LLC / Reynolds Group Issuer
(Luxembourg) S.A.
4.13%, 07/15/2021(b),(c) 40 40
5.13%, 07/15/2023(b) 65 66
5.75%, 10/15/2020 105 108
7.00%, 07/15/2024(b) 15 15
WestRock RKT Co
3.50%, 03/01/2020 565 583
$1,647
Pharmaceuticals - 0.74%
AbbVie Inc
2.50%, 05/14/2020 415 424
3.20%, 05/14/2026 50 51
4.70%, 05/14/2045 230 243
Actavis Funding SCS
3.80%, 03/15/2025 205 214
4.55%, 03/15/2035 25 26
Baxalta Inc
4.00%, 06/23/2025 55 57
5.25%, 06/23/2045 95 103
Forest Laboratories LLC
5.00%, 12/15/2021(b) 320 358
JLL/DeltaDutchPledgeco BV
8.75%, PIK 9.50%, 05/01/2020(b),(h) 80 80
Johnson & Johnson
2.45%, 03/01/2026 85 88
3.70%, 03/01/2046 260 293
N
ovartis Capital Corp
4.00%, 11/20/2045 155 177
Valeant Pharmaceuticals International Inc
5.63%, 12/01/2021(b) 45 37
5.88%, 05/15/2023(b) 65 52
7.50%, 07/15/2021(b) 60 53
$2,256
Pipelines - 1.56%
BoardwalkPipelines LP
3.38%, 02/01/2023 250 229
Columbia Pipeline Group Inc
3.30%, 06/01/2020 400 414
Enbridge Inc
1.14%, 06/02/2017(c) 520 511
Energy Transfer Equity LP
5.88%, 01/15/2024 50 49
Energy Transfer Partners LP
4.05%, 03/15/2025 245 240
4.90%, 03/15/2035 70 62
EnLinkMidstream Partners LP
4.15%, 06/01/2025 355 327
4.40%, 04/01/2024 320 300
5.05%, 04/01/2045 150 123
Enterprise Products Operating LLC
3.70%, 02/15/2026 135 140
4.90%, 05/15/2046 195 210
Kinder Morgan Energy Partners LP
4.70%, 11/01/2042 220 198
BONDS (continued)
Principal
Amount (000's) Value (000's)
Pipelines (continued)
Kinder Morgan Inc/DE
3.05%, 12/01/2019 $ 100$ 101
Magellan Midstream Partners LP
5.00%, 03/01/2026 65 73
MPLX LP
4.88%, 06/01/2025(b) 88 86
ONEOK Partners LP
4.90%, 03/15/2025 185 194
Sabine Pass Liquefaction LLC
5.63%, 03/01/2025 175 174
6.25%, 03/15/2022 110 113
Tesoro Logistics LP / Tesoro Logistics
Finance Corp
6.13%, 10/15/2021 110 114
6.25%, 10/15/2022 15 16
6.38%, 05/01/2024 15 16
TransCanada PipeLines Ltd
4.63%, 03/01/2034 135 142
5.00%, 10/16/2043 50 56
7.13%, 01/15/2019 95 107
Western Gas Partners LP
4.65%, 07/01/2026(e),(f) 115 115
5.45%, 04/01/2044 240 225
Williams Partners LP
3.60%, 03/15/2022 245 232
Williams Partners LP / ACMP Finance Corp
4.88%, 05/15/2023 210 203
$4,770
Private Equity - 0.05%
Icahn Enterprises LP / Icahn Enterprises
Finance Corp
4.88%, 03/15/2019 55 54
6.00%, 08/01/2020 105 103
$157
Real Estate - 0.22%
American Campus Communities Operating
Partnership LP
3.35%, 10/01/2020 235 244
4.13%, 07/01/2024 205 216
Crescent Resources LLC / Crescent Ventures
Inc
10.25%, 08/15/2017(b) 110 110
Prologis LP
3.75%, 11/01/2025 100 107
$677
Regional Authority - 0.05%
Provincia de Buenos Aires/Argentina
9.13%, 03/16/2024 150 165
REITS - 1.38%
American Tower Corp
3.30%, 02/15/2021 80 84
3.50%, 01/31/2023 125 129
AvalonBay Communities Inc
2.95%, 05/11/2026 285 286
Brixmor Operating Partnership LP
4.13%, 06/15/2026 120 123
DDR Corp
3.63%, 02/01/2025 205 206
Duke Realty LP
3.25%, 06/30/2026 65 66
DuPont Fabros Technology LP
5.88%, 09/15/2021 105 110
Equinix Inc
4.88%, 04/01/2020 35 36
5.38%, 01/01/2022 35 36
5.38%, 04/01/2023 115 119
5.88%, 01/15/2026 40 42
Essex Portfolio LP
3.38%, 04/15/2026 355 362
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 133
BONDS (continued)
Principal
Amount (000's) Value (000's)
REITS (continued)
Hospitality Properties Trust
4.25%, 02/15/2021 $ 355$ 370
Host Hotels & Resorts LP
4.50%, 02/01/2026 95 100
Iron Mountain Inc
4.38%, 06/01/2021(b) 115 116
Iron Mountain US Holdings Inc
5.38%, 06/01/2026(b) 65 63
iStar Inc
4.88%, 07/01/2018 35 34
5.00%, 07/01/2019 15 14
6.50%, 07/01/2021 30 28
9.00%, 06/01/2017 80 83
Kimco Realty Corp
3.40%, 11/01/2022 190 199
4.25%, 04/01/2045 100 102
MPT Operating Partnership LP / MPT Finance
Corp
6.38%, 03/01/2024 43 46
Retail Properties of America Inc
4.00%, 03/15/2025 300 290
Select Income REIT
4.15%, 02/01/2022 250 251
Simon Property Group LP
2.50%, 09/01/2020 145 150
2.50%, 07/15/2021 230 237
Ventas Realty LP
3.13%, 06/15/2023 240 245
VEREIT Operating Partnership LP
4.13%, 06/01/2021 105 110
4.88%, 06/01/2026 130 133
Welltower Inc
4.25%, 04/01/2026 55 59
$4,229
Retail - 1.34%
BMC StockHoldings Inc
9.00%, 09/15/2018(b) 135 141
Claire's Stores Inc
9.00%, 03/15/2019(b) 54 32
CVS Health Corp
4.75%, 12/01/2022 460 525
5.00%, 12/01/2024 190 222
5.13%, 07/20/2045 320 397
CVS Pass-Through Trust
7.51%, 01/10/2032(b) 51 64
Dollar Tree Inc
5.75%, 03/01/2023(b) 55 58
Home Depot Inc/The
3.35%, 09/15/2025 415 452
JC Penney Corp Inc
5.65%, 06/01/2020 120 113
5.88%, 07/01/2023(b) 25 25
KFC Holding Co/Pizza Hut Holdings
LLC/Taco Bell of America LLC
5.00%, 06/01/2024(b) 100 102
5.25%, 06/01/2026(b) 80 82
L Brands Inc
6.88%, 11/01/2035 60 61
Landry's Holdings II Inc
10.25%, 01/01/2018(b) 90 91
Landry's Inc
9.38%, 05/01/2020(b) 105 110
Macy's Retail Holdings Inc
5.90%, 12/01/2016 420 429
6.90%, 04/01/2029 25 28
McDonald's Corp
2.10%, 12/07/2018 75 77
2.75%, 12/09/2020 185 193
3.70%, 01/30/2026 95 103
4.70%, 12/09/2035 85 96
4.88%, 12/09/2045 285 333
BONDS (continued)
Principal
Amount (000's) Value (000's)
Retail (continued)
Michaels Stores Inc
5.88%, 12/15/2020(b) $91$94
Rite Aid Corp
6.13%, 04/01/2023(b) 90 96
Target Corp
3.63%, 04/15/2046 75 77
Tops Holding LLC / Tops Markets II Corp
8.00%, 06/15/2022(b) 100 88
$4,089
Shipbuilding - 0.03%
Huntington Ingalls Industries Inc
5.00%, 11/15/2025(b) 100 106
Software - 0.54%
Activision Blizzard Inc
6.13%, 09/15/2023(b) 145 158
Fidelity National Information Services Inc
2.85%, 10/15/2018 175 180
First Data Corp
5.00%, 01/15/2024(b) 125 125
5.75%, 01/15/2024(b) 40 40
Microsoft Corp
2.00%, 11/03/2020 170 174
4.45%, 11/03/2045 110 124
MSCI Inc
5.25%, 11/15/2024(b) 75 77
5.75%, 08/15/2025(b) 25 26
Oracle Corp
1.90%, 09/15/2021(e) 260 261
2.65%, 07/15/2026(e) 235 235
4.00%, 07/15/2046(e) 120 121
4.38%, 05/15/2055 130 136
$1,657
Sovereign - 0.81%
Argentine Republic Government International
Bond
6.88%, 04/22/2021(b) 150 160
7.50%, 04/22/2026(b) 150 162
Brazilian Government International Bond
4.25%, 01/07/2025 200 197
Croatia Government International Bond
6.38%, 03/24/2021 200 218
Dominican Republic International Bond
6.88%, 01/29/2026(b) 100 110
Hungary Government International Bond
5.38%, 02/21/2023 70 78
Mexico Government International Bond
4.13%, 01/21/2026 200 217
Panama Government International Bond
4.00%, 09/22/2024 200 215
Peruvian Government International Bond
5.63%, 11/18/2050 60 74
Poland Government International Bond
3.25%, 04/06/2026 75 76
Qatar Government International Bond
2.38%, 06/02/2021(b) 200 202
3.25%, 06/02/2026(b) 250 255
Romanian Government International Bond
4.88%, 01/22/2024(b) 70 77
Russian Foreign Bond - Eurobond
5.00%, 04/29/2020 100 108
7.50%, 03/31/2030(c) 184 224
Uruguay Government International Bond
5.10%, 06/18/2050 60 60
Venezuela Government International Bond
12.75%, 08/23/2022 95 48
$2,481
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 134
BONDS (continued)
Principal
Amount (000's) Value (000's)
Student Loan Asset Backed Securities - 1.02%
N
avient Private Education Loan Trust 2014-
A
0.92%, 05/16/2022(b),(c) $57$57
N
avient Student Loan Trust 2014-8
0.73%, 08/25/2020(c) 202 202
N
avient Student Loan Trust 2015-1
0.75%, 09/26/2022(c) 1,607 1,602
SLM Private Education Loan Trust 2012-A
1.84%, 08/15/2025(b),(c) 119 119
SLM Private Education Loan Trust 2012-C
1.54%, 08/15/2023(b),(c) 88
SLM Private Education Loan Trust 2012-E
1.19%, 10/16/2023(b),(c) 306 306
SLM Private Education Loan Trust 2013-A
1.04%, 08/15/2022(b),(c) 836 835
$3,129
Telecommunications - 2.62%
AT&T Inc
2.45%, 06/30/2020 230 235
3.60%, 02/17/2023 365 381
3.80%, 03/15/2022 335 356
4.13%, 02/17/2026 200 215
4.45%, 05/15/2021 95 104
4.50%, 05/15/2035 365 373
6.00%, 08/15/2040 195 228
6.38%, 03/01/2041 135 164
B Communications Ltd
7.38%, 02/15/2021(b) 35 37
CC Holdings GS V LLC / Crown Castle GS
III Corp
3.85%, 04/15/2023 510 544
Cisco Systems Inc
1.60%, 02/28/2019 145 147
2.20%, 02/28/2021 265 273
Frontier Communications Corp
8.88%, 09/15/2020 25 27
11.00%, 09/15/2025 175 181
10.50%, 09/15/2022 120 127
Goodman NetworksInc
12.13%, 07/01/2018 95 48
Intelsat Jackson Holdings SA
7.25%, 10/15/2020 95 68
8.00%, 02/15/2024(b) 20 20
Intelsat Luxembourg SA
7.75%, 06/01/2021 95 23
8.13%, 06/01/2023 115 28
Level 3 Communications Inc
5.75%, 12/01/2022 55 56
Level 3 Financing Inc
5.13%, 05/01/2023 35 35
5.38%, 01/15/2024 80 80
6.13%, 01/15/2021 40 42
Ooredoo International Finance Ltd
3.88%, 01/31/2028 250 250
Sprint Capital Corp
6.88%, 11/15/2028 85 67
Sprint Communications Inc
6.00%, 11/15/2022 15 12
7.00%, 08/15/2020 135 120
9.00%, 11/15/2018(b) 20 21
9.13%, 03/01/2017 25 26
Sprint Corp
7.13%, 06/15/2024 140 112
7.88%, 09/15/2023 130 106
T-Mobile USA Inc
6.00%, 03/01/2023 60 62
6.13%, 01/15/2022 20 21
6.25%, 04/01/2021 675 704
6.50%, 01/15/2024 30 32
6.50%, 01/15/2026 95 100
6.63%, 04/28/2021 85 89
BONDS (continued)
Principal
Amount (000's) Value (000's)
Telecommunications (continued)
Verizon Communications Inc
1.35%, 06/09/2017 $ 410$ 411
2.41%, 09/14/2018(c) 750 769
2.63%, 02/21/2020 11 11
4.52%, 09/15/2048 226 235
5.01%, 08/21/2054 261 276
5.15%, 09/15/2023 150 175
Vodafone Group PLC
2.50%, 09/26/2022 360 355
Wind Acquisition Finance SA
7.38%, 04/23/2021(b) 290 276
$8,022
Transportation - 0.75%
Burlington Northern Santa Fe LLC
3.85%, 09/01/2023 185 206
4.90%, 04/01/2044 95 113
CSX Corp
3.70%, 10/30/2020 320 344
3.95%, 05/01/2050 50 50
5.50%, 04/15/2041 85 109
6.25%, 03/15/2018 200 217
7.38%, 02/01/2019 170 195
Eletson Holdings Inc
9.63%, 01/15/2022(b) 110 86
FedEx Corp
4.55%, 04/01/2046 75 81
4.75%, 11/15/2045 345 385
HornbeckOffshore Services Inc
5.00%, 03/01/2021 65 39
N
avios Maritime Acquisition Corp / Navios
Acquisition Finance US Inc
8.13%, 11/15/2021(b) 190 149
N
avios Maritime Holdings Inc / Navios
Maritime Finance II US Inc
7.38%, 01/15/2022(b) 140 62
N
avios South American Logistics Inc / Navios
Logistics Finance US Inc
7.25%, 05/01/2022(b) 185 130
Union Pacific Corp
4.38%, 11/15/2065 120 128
$2,294
Trucking & Leasing - 0.07%
PenskeTruckLeasing Co Lp / PTL Finance
Corp
3.38%, 02/01/2022(b) 200 204
TOTAL BONDS $ 190,784
CONVERTIBLE BONDS - 0.03%
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 -
1.94%
Principal
Amount (000's) Value (000's)
Aerospace & Defense - 0.04%
B/E Aerospace Inc, Term Loan B
3.75%, 12/16/2021(c) $ 131$ 132
Automobile Manufacturers - 0.04%
FCA US LLC, Term Loan B
3.50%, 05/24/2017(c) 72 72
N
avistar Inc, Term Loan B
6.50%, 08/06/2020(c) 45 42
$114
Building Materials - 0.05%
Builders FirstSource Inc, Term Loan B
6.00%, 07/22/2022(c) 64 64
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 135
SENIOR FLOATING RATE INTERESTS
(continued)
Principal
Amount (000's) Value (000's)
Building Materials (continued)
GYP Holdings III Corp, Term Loan B
4.75%, 03/26/2021(c) $88$86
$150
Chemicals - 0.17%
A Schulman Inc, Term Loan B
4.00%, 05/11/2022(c) 59 59
Aruba Investments Inc, Term Loan B
4.50%, 02/02/2022(c) 15 14
Axiall Holdco Inc, Term Loan B
4.00%, 02/25/2022(c) 40 40
Emerald Performance Materials LLC, Term
Loan
7.75%, 07/22/2022(c) 140 136
Ineos US Finance LLC, Term Loan B
3.75%, 12/15/2020(c) 175 171
Methanol Holdings Trinidad Ltd, Term Loan
B
4.25%, 06/16/2022(c) 113 111
$531
Computers - 0.02%
Oberthur Technologies of America Corp,
Term Loan B2
4.50%, 10/18/2019(c) 75 74
Consumer Products - 0.06%
Dell International LLC, Term Loan B
0.00%, 06/02/2023(c),(i) 60 60
Dell International LLC, Term Loan B2
4.00%, 04/29/2020(c) 120 119
$179
Diversified Financial Services - 0.05%
Delos Finance Sarl, Term Loan B
3.50%, 02/26/2021(c) 150 150
Electric - 0.02%
Dynegy Inc, Term Loan C
0.00%, 06/22/2023(c),(i) 50 49
Entertainment - 0.23%
CCM Merger Inc, Term Loan B
4.50%, 07/30/2021(c) 155 155
Eldorado Resorts Inc, Term Loan B
3.55%, 07/15/2022(c) 63 64
Lions Gate Entertainment Corp, Term Loan
B
5.00%, 03/11/2022(c) 140 142
Peninsula Gaming LLC, Term Loan B
4.25%, 11/30/2017(c) 79 79
WMG Acquisition Corp, Term Loan B
3.75%, 07/07/2020(c) 272 268
$708
Food - 0.03%
B&G Foods Inc, Term Loan B
3.75%, 10/21/2022(c) 34 34
JBS USA LLC, Term Loan B
4.16%, 08/18/2022(c) 25 25
Pinnacle Foods Finance LLC, Term Loan I
3.61%, 01/13/2023(c) 40 40
$99
Forest Products & Paper - 0.10%
Caraustar Industries Inc, Term Loan B
8.00%, 04/26/2019(c) 84 84
8.00%, 05/01/2019(c) 154 154
N
ewPage Corp, DIP Dela
y
-Draw Term Loan
DD
11.00%, 07/26/2017(c) 23 23
N
ewPage Corp, DIP Term Loan ROLL UP
11.00%, 07/26/2017(c) 62 34
SENIOR FLOATING RATE INTERESTS
(continued)
Principal
Amount (000's) Value (000's)
Forest Products & Paper (continued)
N
ewPage Corp, Term Loan B
0.00%, 02/05/2021(c),(g) $115$16
$311
Healthcare - Products - 0.05%
Kinetic Concepts Inc, Term Loan F1
5.00%, 11/04/2020(c) 62 61
Mallinckrodt International Finance SA, Term
Loan B
3.25%, 03/19/2021(c) 84 83
$144
Healthcare - Services - 0.20%
Acadia Healthcare Co Inc, Term Loan B2
4.39%, 02/04/2023(c) 55 54
DaVita HealthCare Partners Inc, Term Loan
B
3.50%, 06/18/2021(c) 44 44
Lantheus Medical Imaging Inc, Term Loan B
7.00%, 06/24/2022(c) 228 201
MPH Acquisition Holdings LLC, Term Loan
B
5.00%, 05/25/2023(c) 170 170
Radnet Management Inc, Term Loan B
4.35%, 10/10/2018(c) 14 14
8.00%, 03/25/2021(c) 130 124
$607
Insurance - 0.05%
Asurion LLC, Term Loan
8.50%, 02/19/2021(c) 65 62
AsurionLLC,TermLoanB1
5.00%, 05/24/2019(c) 32 32
AsurionLLC,TermLoanB2
4.25%, 06/19/2020(c) 51 49
$143
Internet - 0.03%
Zayo Group LLC, Term Loan B
3.75%, 05/06/2021(c) 81 81
Investment Companies - 0.04%
FrankRussell Co, Term Loan B
6.75%, 05/10/2023(c) 125 120
Lodging - 0.03%
Hilton Worldwide Finance LLC, Term Loan
B
3.50%, 09/23/2020(c) 95 95
Media - 0.05%
N
umericable US LLC, Term Loan B
5.00%, 01/08/2024(c) 50 50
Univision Communications Inc, Term Loan
C3
4.00%, 03/01/2020(c) 24 24
Univision Communications Inc, Term Loan
C4
4.00%, 03/01/2020(c) 74 73
WideOpenWest Finance LLC, Term Loan B
4.50%, 04/01/2019(c) 19 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)
See accompanying notes. 136
SENIOR FLOATING RATE INTERESTS
(continued)
Principal
Amount (000's) Value (000's)
Oil & Gas (continued)
EP Energy LLC, Term Loan B3
3.50%, 05/24/2018(c) $40$35
Seadrill Operating LP, Term Loan B
4.00%, 02/12/2021(c) 131 58
$119
Oil & Gas Services - 0.09%
N
avios Maritime Midstream Partners LP,
Term Loan B
5.36%, 06/15/2020(c) 267 255
Seventy Seven Operating LLC, Term Loan B
3.75%, 06/17/2021(c) 29 25
$280
Packaging & Containers - 0.03%
Berry Plastics Group Inc, Term Loan H
3.75%, 10/01/2022(c) 39 38
SIG Combibloc PurchaseCo Sarl, Term Loan
B
4.25%, 03/11/2022(c) 54 54
$92
Pharmaceuticals - 0.11%
DPx Holdings BV, Term Loan B
4.25%, 01/22/2021(c) 63 61
Endo Luxembourg Finance Co I Sarl, Term
Loan B
3.75%, 06/24/2022(c) 45 44
Grifols Worldwide Operations USA Inc, Term
Loan B
3.46%, 03/05/2021(c) 83 82
Valeant Pharmaceuticals International Inc,
Term Loan BE1
4.75%, 08/05/2020(c) 105 102
Valeant Pharmaceuticals International Inc,
Term Loan BF1
5.00%, 04/01/2022(c) 48 47
$336
REITS - 0.08%
iStar Inc, Term Loan B
5.50%, 07/01/2020(c) 240 239
MGM Growth Properties Operating
Partnership LP, Term Loan B
4.00%, 04/07/2023(c) 10 10
$249
Retail - 0.16%
Academy Ltd, Term Loan B
5.00%, 06/16/2022(c) 106 99
DollarTreeInc,TermLoan B2
4.18%, 07/06/2022(c) 130 130
JC Penney Corp Inc
5.25%, 06/09/2023(c) 45 45
KFC Holding Co
0.00%, 06/02/2023(c),(i) 60 60
Michaels Stores Inc, Term Loan B2
4.00%, 01/20/2028(c) 80 80
PetSmart Inc, Term Loan B
4.25%, 03/11/2022(c) 94 93
$507
Semiconductors - 0.06%
Avago Technologies Cayman Finance Ltd,
Term Loan B1
4.25%, 11/11/2022(c) 85 85
N
XP BV, Term Loan B
3.75%, 11/05/2020(c) 91 91
$176
Software - 0.05%
Activision Blizzard Inc, Term Loan B
3.25%, 07/26/2020(c) 66
Evergreen Skills Lux Sarl, Term Loan
3.75%, 04/08/2021(c) 59 59
SENIOR FLOATING RATE INTERESTS
(continued)
Principal
Amount (000's) Value (000's)
Software (continued)
First Data Corp, Term Loan B
4.20%, 07/08/2022(c) $60$59
4.45%, 03/24/2021(c) 20 20
$144
Trucking & Leasing - 0.03%
Fly Funding II Sarl, Term Loan
3.50%, 08/09/2019(c) 80 79
TOTAL SENIOR FLOATING RATE INTERESTS $ 5,927
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS - 36.94%
Principal
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) 34
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
Federal National Mortgage Association (FNMA) - 13.70%
2.43%, 07/01/2034(c) 33
2.50%, 03/01/2030 871 904
2.50%, 07/01/2031(j) 5,880 6,083
3.00%, 10/01/2030 2,334 2,462
3.00%, 07/01/2031(j) 750 786
3.00%, 03/01/2034 582 614
3.00%, 11/01/2042 1,078 1,132
3.00%, 05/01/2043 266 279
3.00%, 07/01/2046(j) 1,450 1,505
3.50%, 04/01/2030 639 687
3.50%, 08/01/2034 706 751
3.50%, 01/01/2041 64 68
3.50%, 11/01/2042 1,275 1,346
3.50%, 07/01/2043 1,329 1,421
3.50%, 07/01/2043 517 553
3.50%, 09/01/2044 3,053 3,264
3.50%, 11/01/2044 2,492 2,660
Schedule of Investments
Core Plus Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 137
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
3.50%, 07/01/2045(j) $ 3,825$ 4,036
4.00%, 10/01/2019 36 37
4.00%, 08/01/2020 180 187
4.00%, 03/01/2034 680 740
4.00%, 11/01/2040 2,219 2,421
4.00%, 09/01/2043 974 1,056
4.00%, 06/01/2044 450 486
4.00%, 05/01/2045 700 757
4.00%, 12/01/2045 1,232 1,326
4.50%, 07/01/2025 89 95
4.50%, 11/01/2040 1,354 1,493
4.50%, 09/01/2041 378 415
4.50%, 12/01/2044 268 293
5.00%, 02/01/2035 264 297
5.00%, 06/01/2040 23 26
5.00%, 10/01/2041 353 394
5.00%, 01/01/2042 367 413
5.50%, 06/01/2019 26 27
5.50%, 07/01/2019 15 16
5.50%, 07/01/2019 7 7
5.50%, 08/01/2019 4 4
5.50%, 08/01/2019 21 22
5.50%, 10/01/2019 31 32
5.50%, 10/01/2019 40 43
5.50%, 12/01/2022 35 39
5.50%, 07/01/2033 405 459
5.50%, 04/01/2035 40 45
5.50%, 08/01/2036 805 907
5.50%, 02/01/2037 14 16
5.50%, 05/01/2040 68 77
6.00%, 05/01/2031 4 5
6.00%, 07/01/2035 253 292
6.00%, 02/01/2037 208 237
6.00%, 02/01/2038 104 121
6.50%, 03/01/2032 11 12
6.50%, 07/01/2037 49 59
6.50%, 07/01/2037 70 85
6.50%, 02/01/2038 54 66
6.50%, 03/01/2038 28 32
6.50%, 09/01/2038 282 333
7.00%, 02/01/2032 17 18
$ 41,944
Government National Mortgage Association (GNMA) -
6.41%
1.50%, 07/20/2043(c) 371 380
3.00%, 02/15/2043 630 660
3.00%, 07/20/2044 967 1,013
3.00%, 01/20/2046 682 714
3.00%, 07/01/2046 2,900 3,032
3.50%, 10/15/2042 76 81
3.50%, 07/01/2046 5,450 5,784
4.00%, 02/15/2042 249 271
4.00%, 07/01/2045(j) 2,750 2,955
4.00%, 02/20/2046 624 668
4.50%, 09/15/2039 888 978
4.50%, 11/15/2040 213 237
4.50%, 07/20/2045 694 745
5.00%, 02/15/2034 407 460
5.00%, 10/15/2034 145 164
5.00%, 10/20/2039 91 101
5.00%, 07/20/2040 47 52
5.00%, 02/15/2042 166 186
5.50%, 12/20/2033 200 226
5.50%, 05/20/2035 22 25
6.00%, 01/20/2029 37 43
6.00%, 07/20/2029 6 8
6.00%, 12/15/2033 35 41
6.00%, 12/20/2036 113 131
6.50%, 03/20/2028 6 7
6.50%, 05/20/2029 5 7
6.50%, 12/15/2032 517 595
7.00%, 03/15/2031 14 16
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
U.S. Treasury - 11.33%
0.50%, 11/30/2016 445 445
0.63%, 08/15/2016 910 911
0.88%, 04/30/2017(k)850 853
0.88%, 07/15/2018 1,125 1,131
1.00%, 08/31/2016 300 300
1.38%, 01/31/2020 5,825 5,936
1.38%, 03/31/2020 250 255
1.38%, 04/30/2020 300 306
1.75%, 09/30/2019(l) 4,800 4,950
1.75%, 04/30/2022 60 62
1.88%, 11/30/2021 2,550 2,655
2.00%, 05/31/2021 720 754
2.00%, 10/31/2021 540 566
2.00%, 02/15/2025 1,300 1,360
2.13%, 05/15/2025 750 792
2.63%, 01/31/2018 1,700 1,755
2.75%, 08/15/2042 210 231
2.88%, 08/15/2045 675 758
3.00%, 11/15/2044 1,450 1,667
3.00%, 05/15/2045 190 218
3.00%, 11/15/2045 2,000 2,300
3.13%, 02/15/2042 590 697
3.13%, 08/15/2044 70 82
3.75%, 11/15/2043 1,500 1,979
4.75%, 02/15/2037 2,500 3,719
$ 34,682
U.S. Treasury Inflation-Indexed Obligations - 1.09%
0.13%, 04/15/2019 163 167
0.13%, 01/15/2022 359 366
0.25%, 01/15/2025 2,753 2,795
$3,328
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS $ 113,061
Total Investments $ 329,855
Other Assets and Liabilities - (7.78)% $ (23,804)
TOTAL NET ASSETS - 100.00% $ 306,051
(a)
P
erpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
(b) 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
p
eriod, the value of these securities totaled $37,742 or 12.33% of net
assets.
(c) Variable Rate. Rate shown is in effect at June 30, 2016.
(d) Security is an Interest Only Strip.
(e) Security purchased on a when-issued basis.
(f)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securities totaled
$457 or 0.15% of net assets.
(g)
N
on-Income Producing Security
(h)
P
ayment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(i) This Senior Floating Rate Note will settle after June 30, 2016, at which
time the interest rate will be determined.
(j) Security was purchased in a "to-be-announced" ("TBA") transaction. See
N
otes to Financial Statements for additional information.
(k) 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.
(l) 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)
See accompanying notes. 138
Portfolio Summary (unaudited)
Sector Percent
Mortgage Securities 31.92%
Government 13.28%
Financial 12.76%
Asset Backed Securities 12.40%
Consumer, Non-cyclical 7.47%
Investment Companies 6.08%
Communications 5.28%
Consumer, Cyclical 4.59%
Energy 4.26%
Industrial 3.27%
Utilities 3.20%
Basic Materials 1.66%
Technology 1.58%
Diversified 0.03%
Other Assets and Liabilities (7.78)%
TOTAL NET ASSETS 100.00%
Exchange Cleared Credit Default Swaps
Buy Protection
Reference Entity
(Pay)/
Receive Fixed
Rate
Expiration
Date
Notional
Amount
Upfront
Premiums
Paid/(Received)
Unrealized
Appreciation/
(Depreciation) Fair Value
CDX.HY.26 (5.00)% 06/20/2021 $ 3,500$ (98) $ (14) $ (112)
CDX.NA.HY.25 (5.00)% 12/20/2020 4,356 19 (200) (181)
CDX.NA.HY.25 (5.00)% 12/20/2020 4,356 (13) (168) (181)
Total $ (92) $ (382) $ (474)
A
mounts in thousands
Futures Contracts
Type Long/Short Contracts Notional Value Fair Value
Unrealized
Appreciation/(Depreciation)
US 10 Year Ultra Note; September 2016 Long 22 $ 3,097 $ 3,205 $ 108
US 2 Year Note; September 2016 Short 25 5,445 5,483 (38)
US 5 Year Note; September 2016 Long 66 7,924 8,063 139
US Long Bond; September 2016 Long 13 2,122 2,240 118
US Ultra Bond; September 2016 Long 22 3,829 4,100 271
Total $598
A
mounts in thousands except contracts
Schedule of Investments
Diversified Balanced Account
June 30, 2016 (unaudited)
See accompanying notes. 139
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 14.55%
International Equity Index Fund (a) 8,126,932 $ 71,761
MidCap S&P 400 Index Fund (a) 2,258,691 42,599
SmallCap S&P 600 Index Fund (a) 1,856,979 42,525
$156,885
Principal Variable Contracts Funds, Inc. Class 1 - 85.48%
Bond Market Index Account (a) 50,931,240 546,492
LargeCap S&P 500 Index Account (a) 25,143,863 375,649
$922,141
TOTAL INVESTMENT COMPANIES $ 1,079,026
Total Investments $ 1,079,026
Other Assets and Liabilities - (0.03)% $ (273)
TOTAL NET ASSETS - 100.00% $ 1,078,753
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 50.66%
Domestic Equity Funds 42.71%
International Equity Funds 6.66%
Other Assets and Liabilities (0.03)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond Market Index Account 50,813,812 $ 511,814 4,103,149 $ 43,068 3,985,721 $ 41,413 50,931,240$ 513,466
International Equity Index Fund 7,867,228 77,275 975,921 8,394 716,217 6,322 8,126,932 79,335
LargeCap S&P 500 Index Account 24,934,691 242,039 1,952,956 26,862 1,743,784 25,045 25,143,863 244,387
MidCap S&P 400 Index Fund 2,342,483 35,165 224,551 3,717 308,343 5,509 2,258,691 33,383
SmallCap S&P 600 Index Fund 1,892,320 33,588 222,563 4,542 257,904 5,662 1,856,979 32,461
$ 899,881 $ 86,583 $ 83,951 $ 903,032
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond Market Index Account $ — $ (3) $ —
International Equity Index Fund — (12) —
LargeCap S&P 500 Index Account — 531 —
MidCap S&P 400 Index Fund — 10 —
SmallCap S&P 600 Index Fund — (7) —
$—$ 519$ —
A
mounts in thousands except shares
Schedule of Investments
Diversified Balanced Managed Volatility Account
June 30, 2016 (unaudited)
See accompanying notes. 140
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 14.54%
International Equity Index Fund (a) 1,165,613 $ 10,292
MidCap S&P 400 Index Fund (a) 323,974 6,110
SmallCap S&P 600 Index Fund (a) 266,356 6,100
$ 22,502
Principal Variable Contracts Funds, Inc. Class 1 - 85.49%
Bond Market Index Account (a) 7,305,775 78,391
LargeCap S&P 500 Managed Volatility Index
Account (a)
4,640,716 53,925
$132,316
TOTAL INVESTMENT COMPANIES $ 154,818
Total Investments $ 154,818
Other Assets and Liabilities - (0.03)% $ (43)
TOTAL NET ASSETS - 100.00% $ 154,775
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 50.65%
Domestic Equity Funds 42.73%
International Equity Funds 6.65%
Other Assets and Liabilities (0.03)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond Market Index Account 6,817,647 $ 69,933 999,484 $ 10,469 511,356 $ 5,306 7,305,775$ 75,095
International Equity Index Fund 1,055,620 10,691 211,350 1,830 101,357 894 1,165,613 11,629
LargeCap S&P 500 Managed
Volatility Index Account
4,281,462 47,120 621,602 6,820 262,348 2,932 4,640,716 51,008
MidCap S&P 400 Index Fund 314,314 6,082 53,101 901 43,441 773 323,974 6,212
SmallCap S&P 600 Index Fund 253,917 6,107 48,887 1,015 36,448 798 266,356 6,325
$ 139,933 $ 21,035 $ 10,703 $ 150,269
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond Market Index Account $ — $ (1) $ —
International Equity Index Fund — 2 —
LargeCap S&P 500 Managed Volatility
Index Account — — —
MidCap S&P 400 Index Fund — 2 —
SmallCap S&P 600 Index Fund — 1 —
$—$ 4$ —
A
mounts in thousands except shares
Schedule of Investments
Diversified Growth Account
June 30, 2016 (unaudited)
See accompanying notes. 141
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 19.45%
International Equity Index Fund (a) 36,755,414 $ 324,550
MidCap S&P 400 Index Fund (a) 8,936,322 168,539
SmallCap S&P 600 Index Fund (a) 7,346,975 168,246
$661,335
Principal Variable Contracts Funds, Inc. Class 1 - 80.57%
Bond Market Index Account (a) 112,818,512 1,210,543
LargeCap S&P 500 Index Account (a) 102,318,548 1,528,639
$ 2,739,182
TOTAL INVESTMENT COMPANIES $ 3,400,517
Total Investments $ 3,400,517
Other Assets and Liabilities - (0.02)% $ (845)
TOTAL NET ASSETS - 100.00% $ 3,399,672
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 54.87%
Fixed Income Funds 35.61%
International Equity Funds 9.54%
Other Assets and Liabilities (0.02)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond Market Index Account 110,605,381 $ 1,116,309 11,654,247 $ 122,290 9,441,116 $ 97,960 112,818,512$ 1,140,603
International Equity Index Fund 34,947,810 351,945 4,049,083 34,855 2,241,479 19,830 36,755,414 366,933
LargeCap S&P 500 Index Account 99,688,722 1,086,447 6,818,049 94,177 4,188,223 60,135 102,318,548 1,120,385
MidCap S&P 400 Index Fund 9,105,130 147,871 780,916 12,978 949,724 16,993 8,936,322 143,868
SmallCap S&P 600 Index Fund 7,355,404 144,123 791,460 16,210 799,889 17,624 7,346,975 142,714
$ 2,846,695 $ 280,510 $ 212,542 $ 2,914,503
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond Market Index Account $ — $ (36) $ —
International Equity Index Fund — (37) —
LargeCap S&P 500 Index Account — (104) —
MidCap S&P 400 Index Fund — 12 —
SmallCap S&P 600 Index Fund — 5 —
$ — $ (160) $ —
A
mounts in thousands except shares
Schedule of Investments
Diversified Growth Managed Volatility Account
June 30, 2016 (unaudited)
See accompanying notes. 142
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 19.45%
International Equity Index Fund (a) 3,107,157 $ 27,436
MidCap S&P 400 Index Fund (a) 755,409 14,247
SmallCap S&P 600 Index Fund (a) 621,064 14,223
$ 55,906
Principal Variable Contracts Funds, Inc. Class 1 - 80.58%
Bond Market Index Account (a) 9,536,110 102,321
LargeCap S&P 500 Managed Volatility Index
Account (a)
11,129,050 129,320
$231,641
TOTAL INVESTMENT COMPANIES $ 287,547
Total Investments $ 287,547
Other Assets and Liabilities - (0.03)% $ (75)
TOTAL NET ASSETS - 100.00% $ 287,472
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 54.90%
Fixed Income Funds 35.59%
International Equity Funds 9.54%
Other Assets and Liabilities (0.03)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond Market Index Account 8,723,872 $ 89,404 1,556,395 $ 16,319 744,157 $ 7,718 9,536,110$ 98,005
International Equity Index Fund 2,756,555 28,002 553,560 4,802 202,958 1,789 3,107,157 31,017
LargeCap S&P 500 Managed
Volatility Index Account
10,062,306 110,845 1,448,275 15,972 381,531 4,248 11,129,050 122,568
MidCap S&P 400 Index Fund 718,180 13,911 120,106 2,053 82,877 1,476 755,409 14,494
SmallCap S&P 600 Index Fund 580,172 13,984 110,860 2,316 69,968 1,536 621,064 14,763
$ 256,146 $ 41,462 $ 16,767 $ 280,847
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond Market Index Account $ — $ — $ —
International Equity Index Fund — 2 —
LargeCap S&P 500 Managed Volatility
Index Account — (1) —
MidCap S&P 400 Index Fund — 6 —
SmallCap S&P 600 Index Fund — (1) —
$—$ 6$ —
A
mounts in thousands except shares
Schedule of Investments
Diversified Income Account
June 30, 2016 (unaudited)
See accompanying notes. 143
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 9.68%
International Equity Index Fund (a) 977,442 $ 8,631
MidCap S&P 400 Index Fund (a) 356,666 6,727
SmallCap S&P 600 Index Fund (a) 293,235 6,715
$ 22,073
Principal Variable Contracts Funds, Inc. Class 1 - 90.35%
Bond Market Index Account (a) 13,941,967 149,597
LargeCap S&P 500 Index Account (a) 3,781,446 56,495
$206,092
TOTAL INVESTMENT COMPANIES $ 228,165
Total Investments $ 228,165
Other Assets and Liabilities - (0.03)% $ (61)
TOTAL NET ASSETS - 100.00% $ 228,104
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 65.58%
Domestic Equity Funds 30.67%
International Equity Funds 3.78%
Other Assets and Liabilities (0.03)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond Market Index Account 12,714,521 $ 129,365 2,294,518 $ 24,058 1,067,072 $ 11,130 13,941,967$ 142,299
International Equity Index Fund 865,340 8,768 230,849 1,994 118,747 1,047 977,442 9,716
LargeCap S&P 500 Index Account 3,428,317 41,108 744,866 10,399 391,737 5,635 3,781,446 45,872
MidCap S&P 400 Index Fund 338,175 5,822 78,977 1,342 60,486 1,081 356,666 6,084
SmallCap S&P 600 Index Fund 273,191 5,787 70,533 1,466 50,489 1,105 293,235 6,145
$ 190,850 $ 39,259 $ 19,998 $ 210,116
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond Market Index Account $ — $ 6 $ —
International Equity Index Fund — 1 —
LargeCap S&P 500 Index Account — — —
MidCap S&P 400 Index Fund — 1 —
SmallCap S&P 600 Index Fund — (3) —
$—$ 5$ —
A
mounts in thousands except shares
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
See accompanying notes. 144
COMMON STOCKS - 98.94% Shares Held Value (000's)
Advertising - 0.95%
WPP PLC 115,051 $ 2,398
Aerospace & Defense - 0.78%
Safran SA 12,605 849
Thales SA 13,565 1,126
$1,975
Agriculture - 2.65%
British American Tobacco PLC 53,577 3,473
Imperial Brands PLC 23,270 1,262
KT&G Corp 16,604 1,967
$6,702
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 63,100 2,169
Maruti Suzuki India Ltd 20,640 1,283
Renault SA 20,048 1,514
Tata Motors Ltd ADR 20,912 725
Toyota Motor Corp 71,563 3,528
$9,219
Automobile Parts & Equipment - 1.35%
Bridgestone Corp 26,603 855
Continental AG 7,919 1,498
Toyota Industries Corp 26,600 1,058
$3,411
Banks - 10.88%
Axis BankLtd 144,921 1,152
Bancolombia SA ADR 12,113 423
BangkokBankPCL 105,700 489
Bankof Ireland (a) 3,029,337 625
Bankof Montreal 23,367 1,482
Bankof Nova Scotia/The 36,000 1,764
BankRakyat Indonesia Persero TbkPT 874,400 719
Barclays Africa Group Ltd 114,309 1,121
BNP Paribas SA 55,050 2,414
Credicorp Ltd 4,906 757
Danske BankA/S 52,566 1,384
Erste Group BankAG 31,894 726
HDFC BankLtd (b) 15,377 312
HDFC BankLtd ADR 11,200 743
Mediobanca SpA 137,967 795
Mitsubishi UFJ Financial Group Inc 602,949 2,703
Royal Bankof Canada 38,459 2,273
Siam Commercial BankPCL/The (b) 130,500 519
SkandinaviskaEnskilda Banken AB 138,671 1,211
Societe Generale SA 14,036 439
Sumitomo Mitsui Trust Holdings Inc 291,000 947
Toronto-Dominion Bank/The 80,308 3,449
Yes BankLtd 64,646 1,065
$ 27,512
Beverages - 0.51%
Ambev SA 217,700 1,291
Biotechnology - 1.15%
CSL Ltd 14,700 1,240
Genmab A/S (a) 9,182 1,674
$2,914
Building Materials - 1.25%
CRH PLC 74,655 2,176
Kingspan Group PLC 44,647 972
$3,148
Chemicals - 1.65%
EvonikIndustries AG 39,379 1,174
COMMON STOCKS (continued) Shares Held Value (000's)
Chemicals (continued)
Givaudan SA 594 $ 1,196
Lonza Group AG (a) 10,912 1,812
$4,182
Commercial Services - 1.59%
Ashtead Group PLC 48,988 700
Brookfield Business Partners LP (a) 1,806 34
Kroton Educacional SA 187,000 790
N
ew Oriental Education & Technology Group
Inc ADR
14,468 606
Ritchie Bros Auctioneers Inc 17,800 601
TAL Education Group ADR(a) 20,671 1,283
$4,014
Computers - 0.80%
Capgemini SA 15,262 1,317
CGI Group Inc (a) 16,400 701
$2,018
Cosmetics & Personal Care - 0.68%
Svenska Cellulosa AB SCA 53,588 1,722
Distribution & Wholesale - 0.73%
ITOCHU Corp 108,000 1,321
Mitsubishi Corp 30,300 534
$1,855
Diversified Financial Services - 1.64%
Euronext NV (c) 10,676 392
Intermediate Capital Group PLC 68,523 449
Macquarie Group Ltd 18,527 964
ORIX Corp 139,400 1,804
Zenkoku Hosho Co Ltd 14,800 541
$4,150
Electric - 2.53%
Enel SpA 361,443 1,604
Iberdrola SA 341,998 2,333
Korea Electric Power Corp 46,917 2,463
$6,400
Electrical Components & Equipment - 0.31%
Prysmian SpA 35,729 784
Electronics - 1.88%
Hon Hai Precision Industry Co Ltd 977,996 2,519
Hoya Corp 44,996 1,607
Yokogawa Electric Corp 54,600 616
$4,742
Energy - Alternate Sources - 0.59%
Vestas Wind Systems A/S 21,913 1,489
Engineering & Construction - 2.93%
Aena SA (c) 7,408 982
Eiffage SA 18,798 1,336
Obayashi Corp 97,500 1,038
Promotora y Operadora de Infraestructura
SAB de CV
57,493 708
Skanska AB 40,506 848
Vinci SA 35,457 2,502
$7,414
Entertainment - 0.20%
Paddy Power Betfair PLC 4,826 508
Food - 3.09%
Delhaize Group 19,767 2,088
Greencore Group PLC 114,637 472
Gruma SAB de CV 40,703 586
Jeronimo Martins SGPS SA 34,954 551
Koninklijke Ahold NV 22,830 504
N
estle SA 38,369 2,973
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
See accompanying notes. 145
COMMON STOCKS (continued) Shares Held Value (000's)
Food (continued)
Uni-President Enterprises Corp 327,280 $ 646
$7,820
Food Service - 0.44%
Compass Group PLC 59,107 1,125
Forest Products & Paper - 0.94%
Mondi PLC 66,474 1,244
UPM-Kymmene OYJ 61,824 1,136
$2,380
Gas - 0.79%
N
ational Grid PLC 135,014 1,985
Hand & Machine Tools - 0.21%
Fuji Electric Co Ltd 125,263 522
Healthcare - Services - 0.93%
Fresenius SE & Co KGaA 32,040 2,354
Holding Companies - Diversified - 0.99%
CK Hutchison Holdings Ltd 104,011 1,144
Wharf Holdings Ltd/The 224,000 1,367
$2,511
Home Builders - 2.22%
Barratt Developments PLC 223,029 1,212
Persimmon PLC 34,189 663
Sekisui House Ltd 121,832 2,133
Taylor Wimpey PLC 898,880 1,595
$5,603
Home Furnishings - 1.05%
Howden Joinery Group PLC 118,262 607
Steinhoff International Holdings NV 357,537 2,051
$2,658
Insurance - 5.42%
AXA SA 98,431 1,946
BB Seguridade Participacoes SA 184,100 1,600
Direct Line Insurance Group PLC 368,362 1,703
Fairfax Financial Holdings Ltd 1,788 963
Hannover RueckSE 20,688 2,168
N
N Group NV 37,869 1,042
PICC Property & Casualty Co Ltd 342,225 540
Sanlam Ltd 153,807 635
SCOR SE 36,598 1,082
Swiss Re AG 14,332 1,252
Tokio Marine Holdings Inc 23,350 777
$ 13,708
Internet - 2.70%
Alibaba Group Holding Ltd ADR(a) 9,116 725
Auto Trader Group PLC (c) 179,349 848
N
AVER Corp 1,919 1,189
Tencent Holdings Ltd 176,693 4,053
$6,815
Investment Companies - 0.51%
Investor AB 38,635 1,298
Iron & Steel - 0.45%
Fortescue Metals Group Ltd 234,630 628
Hitachi Metals Ltd 50,400 512
$1,140
Machinery - Construction & Mining - 0.43%
ABB Ltd (a) 54,428 1,077
Machinery - Diversified - 0.63%
Hexagon AB 23,450 858
Mitsubishi Heavy Industries Ltd 181,000 728
$1,586
COMMON STOCKS (continued) Shares Held Value (000's)
Media - 0.43%
ProSiebenSat.1 Media SE 24,896 $ 1,089
Mining - 1.06%
Kinross Gold Corp (a) 273,800 1,343
Yamana Gold Inc 254,700 1,325
$2,668
Miscellaneous Manufacturers - 0.70%
FUJIFILM Holdings Corp 45,580 1,769
Oil & Gas - 4.72%
Bharat Petroleum Corp Ltd 58,018 923
Caltex Australia Ltd 36,889 889
Canadian Natural Resources Ltd 44,600 1,376
Cenovus Energy Inc 44,729 619
China Petroleum & Chemical Corp 1,106,000 799
Lukoil PJSC ADR 37,427 1,566
Royal Dutch Shell PLC - A Shares 11,256 309
Seven Generations Energy Ltd (a) 38,900 743
Statoil ASA 95,207 1,645
TOTAL SA 63,759 3,058
$ 11,927
Oil & Gas Services - 0.24%
Technip SA 11,281 611
Pharmaceuticals - 6.39%
Actelion Ltd (a) 9,861 1,660
BTG PLC (a) 75,025 725
Daiichi Sankyo Co Ltd 42,200 1,025
N
ovo NordiskA/S 77,184 4,157
Recordati SpA 25,836 777
Roche Holding AG 20,013 5,281
Shire PLC 40,822 2,523
$ 16,148
Pipelines - 1.42%
Keyera Corp 21,340 653
TransCanada Corp 65,173 2,949
$3,602
Private Equity - 0.57%
3i Group PLC 197,714 1,451
Real Estate - 2.48%
Brookfield Asset Management Inc 90,313 2,988
Cheung Kong Property Holdings Ltd 112,160 707
Deutsche Wohnen AG 35,410 1,206
Vonovia SE 22,990 839
Wheelock& Co Ltd 113,369 532
$6,272
REITS - 0.29%
Fibra Uno Administracion SA de CV 339,474 723
Retail - 3.48%
Alimentation Couche-Tard Inc 50,923 2,187
Dollarama Inc 31,384 2,191
Pandora A/S 20,244 2,757
Wal-Mart de Mexico SAB de CV 687,722 1,655
$8,790
Semiconductors - 4.33%
Infineon Technologies AG 103,004 1,491
Samsung Electronics Co Ltd 2,557 3,184
Taiwan Semiconductor Manufacturing Co Ltd 745,140 3,755
Tokyo Electron Ltd 23,400 1,978
Ulvac Inc 17,100 525
$ 10,933
Software - 1.61%
HCL Technologies Ltd 47,886 520
Open Text Corp 10,200 603
SAP SE 24,551 1,844
Schedule of Investments
Diversified International Account
June 30, 2016 (unaudited)
See accompanying notes. 146
COMMON STOCKS (continued) Shares Held Value (000's)
Software (continued)
UBISOFT Entertainment (a) 30,103 $ 1,096
$4,063
Telecommunications - 8.63%
Bharti Infratel Ltd 155,786 798
BT Group PLC 410,313 2,255
China Mobile Ltd 198,954 2,299
China Telecom Corp Ltd 2,792,556 1,256
Deutsche Telekom AG 159,843 2,726
KDDI Corp 76,362 2,322
Koninklijke KPN NV 286,344 1,021
MTN Group Ltd 54,528 530
N
ippon Telegraph & Telephone Corp 59,113 2,772
N
TT DOCOMO Inc 94,000 2,535
Orange SA 137,769 2,240
Telekomunikasi Indonesia Persero TbkPT 3,494,900 1,063
$ 21,817
Transportation - 1.59%
Canadian National Railway Co 35,028 2,069
East Japan Railway Co 21,000 1,946
$4,015
Water - 0.43%
Veolia Environnement SA 49,986 1,079
TOTAL COMMON STOCKS $ 250,071
INVESTMENT COMPANIES - 0.46% Shares Held Value (000's)
Money Market Funds - 0.46%
BlackRockLiquidity Funds FedFund Portfolio 1,158,101 1,159
TOTAL INVESTMENT COMPANIES $ 1,159
Total Investments $ 251,230
Other Assets and Liabilities - 0.60% $ 1,522
TOTAL NET ASSETS - 100.00% $ 252,752
(a)
N
on-Income Producing Security
(b)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securities totaled
$831 or 0.33% of net assets.
(c) 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
p
eriod, the value of these securities totaled $2,222 or 0.88% of net assets.
Portfolio Summary (unaudited)
Country Percent
Japan 15.13%
Canada 11.99%
France 8.95%
United Kingdom 8.88%
Germany 7.08%
Switzerland 6.05%
Denmark4.53%
China 3.67%
Korea, Republic Of 3.48%
India 2.98%
Taiwan, Province Of China 2.74%
Hong Kong 2.39%
Ireland 2.36%
Sweden 2.34%
South Africa 2.20%
Italy 1.57%
Australia 1.47%
United States 1.46%
Mexico 1.45%
Brazil 1.45%
Spain 1.31%
N
etherlands 1.29%
Belgium 0.82%
Indonesia 0.70%
N
orwa
y
0.65%
Russian Federation 0.62%
Finland 0.45%
Thailand 0.40%
Peru 0.30%
Austria 0.29%
Portugal 0.22%
Colombia 0.17%
Bermuda 0.01%
Other Assets and Liabilities 0.60%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Equity Income Account
June 30, 2016 (unaudited)
See accompanying notes. 147
COMMON STOCKS - 98.50% Shares Held Value (000's)
Aerospace & Defense - 1.54%
Boeing Co/The 34,982 $ 4,543
Lockheed Martin Corp 4,535 1,126
Raytheon Co 19,650 2,671
$8,340
Airlines - 0.76%
Delta Air Lines Inc 113,062 4,119
Apparel - 1.04%
VF Corp 91,655 5,636
Automobile Manufacturers - 1.39%
PACCAR Inc 145,518 7,548
Automobile Parts & Equipment - 2.17%
Autoliv Inc 68,217 7,330
Johnson Controls Inc 99,489 4,403
$ 11,733
Banks - 8.81%
Bankof Nova Scotia/The 109,900 5,386
Grupo Financiero Santander Mexico SAB de
CV ADR
241,097 2,192
JPMorgan Chase & Co 179,417 11,149
M&T BankCorp 31,576 3,733
PNC Financial Services Group Inc/The 112,657 9,169
US Bancorp 189,268 7,633
Wells Fargo & Co 177,325 8,393
$ 47,655
Beverages - 0.81%
Coca-Cola Co/The 96,734 4,385
Chemicals - 1.96%
Air Products & Chemicals Inc 34,362 4,881
EI du Pont de Nemours & Co 52,126 3,378
PPG Industries Inc 22,462 2,339
$ 10,598
Computers - 4.38%
Accenture PLC - Class A 17,741 2,010
Apple Inc 140,487 13,431
EMC Corp/MA 216,432 5,880
International Business Machines Corp 15,638 2,374
$ 23,695
Diversified Financial Services - 6.72%
BlackRockInc 32,841 11,249
Discover Financial Services 221,728 11,882
FNF Group 353,027 13,239
$ 36,370
Electric - 5.73%
Eversource Energy 132,006 7,907
N
extEra Energy Inc 50,440 6,577
WEC Energy Group Inc 125,750 8,212
Xcel Energy Inc 185,212 8,294
$ 30,990
Electrical Components & Equipment - 0.80%
Emerson Electric Co 83,605 4,361
Electronics - 1.11%
Garmin Ltd 25,243 1,071
Honeywell International Inc 42,267 4,916
$5,987
Food - 3.09%
Kraft Heinz Co/The 78,348 6,932
Kroger Co/The 266,041 9,788
$ 16,720
COMMON STOCKS (continued) Shares Held Value (000's)
Gas - 1.27%
Sempra Energy 60,235 $ 6,868
Healthcare - Products - 3.95%
Abbott Laboratories 180,194 7,084
Becton Dickinson and Co 33,175 5,626
Medtronic PLC 99,578 8,640
$ 21,350
Insurance - 5.24%
Allstate Corp/The 81,875 5,727
Chubb Ltd 117,615 15,374
MetLife Inc 117,201 4,668
Swiss Re AG ADR 116,921 2,566
$ 28,335
Machinery - Diversified - 2.09%
Deere & Co 139,405 11,297
Media - 0.35%
Walt Disney Co/The 19,623 1,920
Miscellaneous Manufacturers - 2.10%
3M Co 18,952 3,319
Parker-Hannifin Corp 74,255 8,023
$ 11,342
Oil & Gas - 10.60%
Chevron Corp 66,391 6,960
Cimarex Energy Co 72,227 8,618
Exxon Mobil Corp 97,103 9,102
HollyFrontier Corp 46,141 1,097
Marathon Petroleum Corp 251,459 9,545
Occidental Petroleum Corp 144,693 10,933
Royal Dutch Shell PLC - B shares ADR 197,817 11,078
$ 57,333
Pharmaceuticals - 7.87%
Johnson & Johnson 62,101 7,533
Merck& Co Inc 136,042 7,837
N
ovartis AG ADR 72,778 6,005
Pfizer Inc 204,408 7,197
Roche Holding AG ADR 277,737 9,152
Teva Pharmaceutical Industries Ltd ADR 96,721 4,858
$ 42,582
Pipelines - 2.44%
Enterprise Products Partners LP 441,781 12,926
Kinder Morgan Inc/DE 14,887 279
$ 13,205
Private Equity - 1.15%
KKR & Co LP 504,447 6,225
REITS - 3.68%
American Capital Agency Corp 272,107 5,393
Annaly Capital Management Inc 546,659 6,051
Digital Realty Trust Inc 77,499 8,447
$ 19,891
Retail - 2.78%
Costco Wholesale Corp 25,005 3,927
Genuine Parts Co 42,089 4,261
Starbucks Corp 115,188 6,580
Tiffany & Co 4,223 256
$ 15,024
Semiconductors - 6.11%
Applied Materials Inc 334,805 8,025
Maxim Integrated Products Inc 149,440 5,334
Microchip Technology Inc 241,351 12,251
Taiwan Semiconductor Manufacturing Co Ltd
ADR
285,187 7,480
$ 33,090
Schedule of Investments
Equity Income Account
June 30, 2016 (unaudited)
See accompanying notes. 148
COMMON STOCKS (continued) Shares Held Value (000's)
Software - 1.50%
Fidelity National Information Services Inc 44,437 $ 3,274
Microsoft Corp 94,774 4,850
$8,124
Telecommunications - 2.79%
BCE Inc 162,192 7,673
Verizon Communications Inc 132,531 7,401
$ 15,074
Toys, Games & Hobbies - 2.31%
Hasbro Inc 148,834 12,501
Transportation - 1.96%
N
orfolkSouthern Corp 3,209 273
Union Pacific Corp 76,893 6,709
United Parcel Service Inc 33,579 3,617
$ 10,599
TOTAL COMMON STOCKS $ 532,897
INVESTMENT COMPANIES - 1.26% Shares Held Value (000's)
Money Market Funds - 1.26%
BlackRockLiquidity Funds FedFund Portfolio 6,830,403 6,830
TOTAL INVESTMENT COMPANIES $ 6,830
Total Investments $ 539,727
Other Assets and Liabilities - 0.24% $ 1,295
TOTAL NET ASSETS - 100.00% $ 541,022
Portfolio Summary (unaudited)
Sector Percent
Financial 25.60%
Consumer, Non-cyclical 15.72%
Energy 13.04%
Technology 12.00%
Consumer, Cyclical 10.45%
Industrial 9.60%
Utilities 7.00%
Communications 3.13%
Basic Materials 1.96%
Investment Companies 1.26%
Other Assets and Liabilities 0.24%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 149
INVESTMENT COMPANIES - 0.79% Shares Held Value (000's)
Money Market Funds - 0.79%
BlackRockLiquidity Funds FedFund Portfolio 2,084,208 $ 2,084
TOTAL INVESTMENT COMPANIES $ 2,084
BONDS - 30.96%
Principal
Amount (000's) Value (000's)
Commercial Mortgage Backed Securities - 10.15%
CFCRE Commercial Mortgage Trust 2011-
C1
6.39%, 04/15/2044(a),(b) $ 1,000$ 1,081
COMM 2014-UBS4 Mortgage Trust
4.78%, 08/10/2047(a) 1,000 1,005
Ginnie Mae
0.10%, 04/16/2053(a),(c) 8,719 207
0.52%, 01/16/2054(a),(c) 19,160 867
0.67%, 04/16/2047(a),(c) 14,537 730
0.69%, 03/16/2049(a),(c) 7,794 287
0.73%, 11/16/2045(a),(c) 24,081 1,215
0.77%, 09/16/2051(a),(c) 4,915 284
0.77%, 12/16/2053(a),(c) 14,394 799
0.78%, 10/16/2054(a),(c) 13,324 550
0.82%, 11/16/2052(a),(c) 16,707 962
0.82%, 02/16/2053(a),(c) 14,097 888
0.88%, 03/16/2052(a),(c) 16,471 1,105
0.91%, 07/16/2047(a),(c) 7,609 477
0.94%, 02/16/2055(a),(c) 24,816 1,041
0.96%, 02/16/2046(a),(c) 13,010 763
0.96%, 09/16/2053(a),(c) 13,545 800
0.96%, 10/16/2056(a),(c) 6,366 514
2.27%, 03/16/2046(a) 1,580 1,601
GS Mortgage Securities Trust 2011-GC5
5.55%, 08/10/2044(a),(b) 900 892
GS Mortgage Securities Trust 2015-GC34
4.81%, 10/10/2048(a) 900 909
JP Morgan Chase Commercial Mortgage
Securities Trust 2011-C5
5.49%, 08/15/2046(a),(b) 2,000 2,235
JP Morgan Chase Commercial Mortgage
Securities Trust 2013-C16
5.08%, 12/15/2046(a) 1,800 2,033
JPMBB Commercial Mortgage Securities
Trust 2014-C25
4.60%, 11/15/2047(a) 1,000 1,000
WFRBS Commercial Mortgage Trust 2013-
C14
4.13%, 06/15/2046(a),(b) 1,000 881
WFRBS Commercial Mortgage Trust 2014-
C23
4.52%, 10/15/2057(a) 1,000 1,092
WFRBS Commercial Mortgage Trust 2014-
LC14
4.34%, 03/15/2047(a) 2,450 2,513
$ 26,731
Home Equity Asset Backed Securities - 1.15%
ACE Securities Corp Mortgage Loan Trust
Series 2007-D1
6.34%, 02/25/2038(a),(b) 1,800 1,728
6.93%, 02/25/2038(b) 1,309 1,288
$3,016
Mortgage Backed Securities - 19.63%
Citigroup Mortgage Loan Trust 2009-11
1.80%, 10/25/2035(a),(b) 88
Citigroup Mortgage Loan Trust 2010-10
2.65%, 02/25/2036(a),(b) 1,400 1,415
Fannie Mae Grantor Trust 2005-T1
0.80%, 05/25/2035(a) 365 358
Fannie Mae Interest Strip
3.50%, 12/25/2043(c) 2,555 386
Fannie Mae REMICS
1.68%, 03/25/2046(a),(c) 9,255 617
1.74%, 05/25/2046(a),(c) 14,259 870
1.76%, 09/25/2055(a),(c) 8,550 573
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Fannie Mae REMICS (continued)
1.82%, 04/25/2045(a),(c) $ 10,697$ 741
1.82%, 06/25/2045(a),(c) 14,602 1,045
1.86%, 07/25/2045(a),(c) 9,562 677
1.89%, 12/25/2044(a),(c) 14,991 1,032
1.92%, 08/25/2044(a),(c) 7,095 484
2.00%, 02/25/2040(a) 1,389 1,407
2.50%, 11/25/2041 942 975
3.00%, 12/25/2032(a),(c) 6,360 803
3.50%, 01/25/2028(a),(c) 4,689 529
3.50%, 01/25/2040(a),(c) 5,314 565
3.50%, 11/25/2042 2,500 2,738
3.50%, 11/25/2042(a),(c) 5,803 960
4.00%, 12/25/2039(c) 2,934 345
4.00%, 11/25/2042(a),(c) 3,049 645
4.50%, 04/25/2045(a),(c) 5,312 1,183
7.00%, 04/25/2032 194 225
8.70%, 12/25/2019 2 2
Freddie Mac REMICS
1.50%, 04/15/2028 1,915 1,930
1.87%, 05/15/2038(a),(c) 8,882 511
1.91%, 04/15/2040(a),(c) 11,425 886
2.00%, 10/15/2040(a),(c) 5,835 468
2.50%, 11/15/2028(a),(c) 6,371 448
2.50%, 11/15/2032 1,542 1,566
2.50%, 01/15/2043(a),(c) 4,004 470
2.50%, 02/15/2043 1,460 1,473
3.00%, 11/15/2030(a),(c) 4,719 299
3.00%, 06/15/2033(a),(c) 8,431 521
3.00%, 11/15/2035 950 990
3.00%, 06/15/2040 818 853
3.50%, 10/15/2027(c) 6,540 737
3.50%, 08/15/2040(a),(c) 5,191 525
4.00%, 02/15/2039(a),(c) 5,775 554
4.00%, 05/15/2039 4,200 4,510
4.00%, 10/15/2040 3,000 3,276
4.50%, 05/15/2037(a) 827 858
Freddie Mac Strips
1.96%, 02/15/2038(a),(c) 14,403 991
3.00%, 12/15/2032(a),(c) 9,083 1,000
Ginnie Mae
1.17%, 09/20/2037(a),(c) 12,824 488
1.19%, 03/20/2041(a),(c) 5,252 208
3.50%, 12/20/2034(a),(c) 4,720 170
3.50%, 05/20/2039 315 328
3.50%, 05/20/2043(a),(c) 6,687 1,078
4.00%, 04/20/2045(a),(c) 5,025 911
JP Morgan Mortgage Trust 2013-1
3.00%, 03/25/2043(b) 1,297 1,313
N
ew Residential Mortgage Loan Trust 2014-
1
5.00%, 01/25/2054(a),(b) 1,810 1,938
N
ew Residential Mortgage Loan Trust 2014-
3
4.75%, 11/25/2054(a),(b) 1,236 1,353
N
ew Residential Mortgage Loan Trust 2015-
2
5.61%, 08/25/2055(a),(b) 1,351 1,456
Springleaf Mortgage Loan Trust 2013-3
3.79%, 09/25/2057(a),(b) 1,000 1,005
$ 51,697
Other Asset Backed Securities - 0.03%
Chase Funding Trust Series 2004-1
0.91%, 12/25/2033(a) 98 92
TOTAL BONDS $ 81,536
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS - 67.32%
Principal
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
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 150
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
6.00%, 01/01/2038(a) 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
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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
Federal National Mortgage Association (FNMA) - 33.90%
2.00%, 10/01/2027 1,593 1,627
2.00%, 10/01/2027 629 642
2.43%, 07/01/2034(a) 64 68
2.45%, 12/01/2032(a) 47 49
2.48%, 12/01/2033(a) 167 173
2.50%, 05/01/2027 1,621 1,682
2.50%, 06/01/2027 1,950 2,023
2.50%, 05/01/2028 978 1,024
2.50%, 07/01/2028 735 758
2.50%, 08/01/2028 1,374 1,438
3.00%, 05/01/2028 1,236 1,305
3.00%, 05/01/2029 1,502 1,587
3.00%, 10/01/2042 2,185 2,297
3.00%, 11/01/2042 768 799
3.00%, 11/01/2042 2,372 2,493
3.00%, 01/01/2043 1,011 1,062
3.00%, 02/01/2043 1,521 1,603
3.00%, 04/01/2043 1,376 1,431
3.00%, 06/01/2043 2,682 2,818
3.50%, 02/01/2042 1,664 1,790
3.50%, 09/01/2042 2,847 3,045
3.50%, 11/01/2042 2,016 2,161
3.50%, 12/01/2042 2,124 2,273
3.50%, 02/01/2043 738 792
3.50%, 10/01/2044 877 944
3.50%, 11/01/2044 884 951
3.50%, 03/01/2045 916 982
3.50%, 03/01/2045 2,173 2,324
3.50%, 06/01/2045 1,542 1,659
3.50%, 09/01/2045 1,328 1,421
3.50%, 01/01/2046 974 1,047
4.00%, 01/01/2034 925 1,002
4.00%, 11/01/2040 902 971
4.00%, 12/01/2040 877 962
4.00%, 02/01/2041 2,213 2,427
4.00%, 03/01/2041 2,143 2,304
4.00%, 02/01/2042 1,366 1,498
4.00%, 04/01/2042 1,008 1,083
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 151
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 08/01/2043 $ 754$ 828
4.00%, 10/01/2043 705 772
4.00%, 10/01/2043 718 778
4.00%, 08/01/2044 837 919
4.00%, 10/01/2044 2,540 2,758
4.00%, 02/01/2045 1,366 1,502
4.00%, 09/01/2045 2,690 2,962
4.50%, 12/01/2019 34 35
4.50%, 01/01/2020 126 130
4.50%, 08/01/2039 712 795
4.50%, 09/01/2039 1,069 1,176
4.50%, 03/01/2042 721 806
4.50%, 09/01/2043 1,175 1,317
4.50%, 09/01/2043 2,864 3,212
4.50%, 10/01/2043 1,440 1,614
4.50%, 11/01/2043 1,626 1,823
4.50%, 09/01/2044 847 952
5.00%, 01/01/2018 49 50
5.00%, 11/01/2018 48 49
5.00%, 05/01/2033 2,000 2,270
5.00%, 04/01/2035 157 177
5.00%, 04/01/2035 201 227
5.00%, 07/01/2035 10 11
5.00%, 02/01/2038 548 621
5.00%, 02/01/2040 2,230 2,531
5.00%, 07/01/2041 1,775 2,023
5.50%, 08/01/2017 13 13
5.50%, 12/01/2017 9 9
5.50%, 01/01/2018 17 18
5.50%, 07/01/2019 28 29
5.50%, 08/01/2019 5 5
5.50%, 08/01/2019 8 8
5.50%, 08/01/2019 8 8
5.50%, 08/01/2019 64 66
5.50%, 08/01/2019 13 14
5.50%, 08/01/2019 6 6
5.50%, 09/01/2019 37 39
5.50%, 10/01/2019 16 17
5.50%, 05/01/2024 16 18
5.50%, 05/01/2033 34 37
5.50%, 06/01/2033 126 143
5.50%, 06/01/2033 97 110
5.50%, 09/01/2033 508 584
5.50%, 02/01/2037 13 14
5.50%, 03/01/2038 197 227
5.50%, 03/01/2038 280 318
5.50%, 08/01/2038 152 174
6.00%, 12/01/2016 3 3
6.00%, 08/01/2017 17 17
6.00%, 06/01/2022 33 37
6.00%, 11/01/2028 15 17
6.00%, 08/01/2031 68 78
6.00%, 12/01/2031 18 20
6.00%, 01/01/2033 100 116
6.00%, 02/01/2034 24 28
6.00%, 05/01/2037 218 240
6.00%, 07/01/2037 243 280
6.00%, 11/01/2037 30 34
6.00%, 12/01/2037 9 10
6.00%, 03/01/2038 100 114
6.00%, 08/01/2038 589 682
6.50%, 08/01/2017 5 5
6.50%, 11/01/2023 25 29
6.50%, 05/01/2024 18 21
6.50%, 09/01/2024 20 23
6.50%, 07/01/2025 13 15
6.50%, 08/01/2025 33 36
6.50%, 02/01/2026 6 7
6.50%, 03/01/2026 2 2
6.50%, 05/01/2026 4 5
6.50%, 06/01/2026 2 3
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
6.50%, 07/01/2028 $ 11$ 13
6.50%, 09/01/2028 19 22
6.50%, 02/01/2029 4 5
6.50%, 03/01/2029 11 12
6.50%, 04/01/2029 5 6
6.50%, 06/01/2031 12 13
6.50%, 06/01/2031 10 12
6.50%, 01/01/2032 4 5
6.50%, 04/01/2032 62 72
6.50%, 08/01/2032 20 23
6.50%, 11/01/2032 32 37
6.50%, 02/01/2033 32 36
6.50%, 12/01/2036 73 84
6.50%, 07/01/2037 54 65
6.50%, 07/01/2037 38 46
6.50%, 02/01/2038 42 52
7.00%, 11/01/2027 7 8
7.00%, 08/01/2028 27 31
7.00%, 12/01/2028 22 26
7.00%, 10/01/2029 26 31
7.00%, 05/01/2031 5 5
7.00%, 11/01/2031 46 51
7.50%, 04/01/2022 1 1
7.50%, 11/01/2029 15 16
8.00%, 05/01/2027 19 21
8.00%, 09/01/2027 10 10
8.00%, 06/01/2030 3 4
8.50%, 10/01/2027 32 33
9.00%, 09/01/2030 9 11
$ 89,283
Government National Mortgage Association (GNMA) -
8.20%
3.00%, 04/15/2027 950 1,002
3.00%, 11/15/2042 1,518 1,587
3.00%, 12/15/2042 2,748 2,874
3.00%, 02/15/2043 2,243 2,359
3.50%, 12/20/2041 1,461 1,556
3.50%, 01/15/2043 1,784 1,915
3.50%, 06/20/2043 1,153 1,240
3.50%, 04/20/2045 1,300 1,389
3.50%, 09/20/2045 1,658 1,780
4.00%, 08/15/2041 1,505 1,642
4.50%, 07/15/2040 1,153 1,279
5.00%, 09/15/2033 9 10
5.00%, 02/15/2034 528 596
5.00%, 09/15/2039 75 85
5.50%, 07/20/2033 239 269
5.50%, 11/15/2033 46 53
5.50%, 03/20/2034 255 293
5.50%, 05/20/2035 222 250
5.50%, 01/15/2039 72 83
5.50%, 03/15/2039 139 157
6.00%, 06/20/2024 49 55
6.00%, 02/20/2026 5 6
6.00%, 04/20/2026 8 10
6.00%, 05/20/2026 5 6
6.00%, 06/20/2026 7 7
6.00%, 06/20/2026 9 10
6.00%, 07/20/2026 3 4
6.00%, 09/20/2026 9 10
6.00%, 03/20/2027 22 25
6.00%, 01/20/2028 6 7
6.00%, 03/20/2028 4 5
6.00%, 06/20/2028 23 26
6.00%, 07/20/2028 15 17
6.00%, 02/20/2029 14 16
6.00%, 03/20/2029 27 31
6.00%, 07/20/2029 29 33
6.00%, 05/20/2032(a) 48 57
6.00%, 07/20/2033 188 221
Schedule of Investments
Government & High Quality Bond Account
June 30, 2016 (unaudited)
See accompanying notes. 152
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
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 5,600 5,637
2.25%, 11/30/2017 5,000 5,118
3.13%, 05/15/2021 6,000 6,601
4.25%, 11/15/2040 800 1,120
5.25%, 11/15/2028 1,500 2,111
6.25%, 08/15/2023 3,600 4,825
$ 25,412
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS $ 177,318
Total Investments $ 260,938
Other Assets and Liabilities - 0.93% $ 2,440
TOTAL NET ASSETS - 100.00% $ 263,378
(a) Variable Rate. Rate shown is in effect at June 30, 2016.
(b) 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
p
eriod, the value o
f
these securities totaled $16,593 or 6.30% of net assets.
(c) Security is an Interest Only Strip.
Portfolio Summary (unaudited)
Sector Percent
Mortgage Securities 87.45%
Government 9.65%
Asset Backed Securities 1.18%
Investment Companies 0.79%
Other Assets and Liabilities 0.93%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
See accompanying notes. 153
COMMON STOCKS - 0.00% Shares Held Value (000's)
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% Shares Held Value (000's)
Money Market Funds - 1.19%
BlackRockLiquidity Funds FedFund Portfolio 2,869,091 2,869
TOTAL INVESTMENT COMPANIES $ 2,869
BONDS - 64.53%
Principal
Amount (000's) Value (000's)
Aerospace & Defense - 0.47%
Boeing Co/The
8.75%, 08/15/2021 $ 850$ 1,135
Airlines - 0.00%
Southwest Airlines Co 1994-A Pass Through
Trust
9.15%, 07/01/2016 6 6
Apparel - 0.21%
Under Armour Inc
3.25%, 06/15/2026 500 505
Automobile Floor Plan Asset Backed Securities - 2.48%
BMW Floorplan Master Owner Trust
0.94%, 07/15/2020(d),(e) 1,500 1,500
CNH Wholesale Master Note Trust
1.04%, 08/15/2019(d),(e) 2,000 2,000
Ford Credit Floorplan Master Owner Trust A
0.84%, 02/15/2019(d) 500 500
Volkswagen Credit Auto Master Trust
0.80%, 07/22/2019(d),(e) 2,000 1,975
$5,975
Automobile Manufacturers - 0.66%
American Honda Finance Corp
1.13%, 10/07/2016(d) 500 501
Ford Motor Credit Co LLC
4.39%, 01/08/2026 500 546
General Motors Co
4.88%, 10/02/2023 500 532
$1,579
Banks - 8.61%
Bankof America Corp
5.42%, 03/15/2017 800 822
8.00%, 07/29/2049(d),(f) 1,000 994
8.13%, 12/29/2049(d),(f) 1,000 1,002
Bankof New YorkMellon Corp/The
2.80%, 05/04/2026 500 519
Citigroup Inc
3.88%, 03/26/2025 1,000 1,010
4.50%, 01/14/2022 1,000 1,105
Goldman Sachs Group Inc/The
5.38%, 03/15/2020 2,000 2,225
ING BankNV
5.00%, 06/09/2021(e) 1,000 1,135
JPMorgan Chase & Co
3.63%, 05/13/2024 1,000 1,062
7.90%, 04/29/2049(d),(f) 1,000 1,020
Morgan Stanley
5.50%, 07/28/2021 1,000 1,142
6.25%, 08/09/2026 850 1,069
PNC Financial Services Group Inc/The
6.75%, 07/29/2049(d),(f) 2,000 2,232
SunTrust Bank/Atlanta GA
2.75%, 05/01/2023 1,000 1,006
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
US Bancorp
1.65%, 05/15/2017 $ 2,000$ 2,010
3.60%, 09/11/2024 250 269
Wells Fargo & Co
7.98%, 12/31/2049(d),(f) 2,000 2,093
$ 20,715
Beverages - 1.73%
Anheuser-Busch InBev Finance Inc
3.65%, 02/01/2026 1,000 1,071
Anheuser-Busch InBev Worldwide Inc
2.50%, 07/15/2022 750 763
7.75%, 01/15/2019 1,000 1,157
Innovation Ventures LLC / Innovation
Ventures Finance Corp
9.50%, 08/15/2019(e) 1,114 1,163
$4,154
Biotechnology - 2.05%
Amgen Inc
3.63%, 05/15/2022 500 538
3.88%, 11/15/2021 2,000 2,181
Gilead Sciences Inc
3.65%, 03/01/2026 1,000 1,088
4.40%, 12/01/2021 1,000 1,129
$4,936
Chemicals - 0.63%
Airgas Inc
1.65%, 02/15/2018 1,000 1,003
Eagle Spinco Inc
4.63%, 02/15/2021 500 512
$1,515
Commercial Services - 1.01%
ERAC USA Finance LLC
6.38%, 10/15/2017(e) 1,000 1,060
7.00%, 10/15/2037(e) 1,000 1,362
$2,422
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) 1,325 1,318
0.99%, 10/15/2019(d),(e) 500 500
1.11%, 07/17/2023(d) 500 494
$2,312
Diversified Financial Services - 1.56%
GE Capital International Funding Co
Unlimited Co
2.34%, 11/15/2020(e) 413 425
International Lease Finance Corp
8.75%, 03/15/2017(d) 1,000 1,044
Jefferies Group LLC
6.25%, 01/15/2036 1,425 1,433
8.50%, 07/15/2019 750 857
$3,759
Electric - 6.44%
Entergy Louisiana LLC
3.25%, 04/01/2028 500 526
Entergy Texas Inc
2.55%, 06/01/2021 500 516
Exelon Generation Co LLC
6.20%, 10/01/2017 1,000 1,057
GenOn Americas Generation LLC
8.50%, 10/01/2021 1,250 994
GenOn Energy Inc
9.88%, 10/15/2020 750 532
LG&E & KU Energy LLC
4.38%, 10/01/2021 1,000 1,104
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
See accompanying notes. 154
BONDS (continued)
Principal
Amount (000's) Value (000's)
Electric (continued)
Metropolitan Edison Co
3.50%, 03/15/2023(e) $ 1,000$ 1,029
Oncor Electric Delivery Co LLC
7.00%, 09/01/2022 2,000 2,547
PacifiCorp
5.25%, 06/15/2035 850 1,027
6.25%, 10/15/2037 500 691
Solar Star Funding LLC
5.38%, 06/30/2035(e) 1,500 1,778
Southwestern Electric Power Co
3.55%, 02/15/2022 1,000 1,066
TransAlta Corp
4.50%, 11/15/2022 1,750 1,595
Tucson Electric Power Co
3.85%, 03/15/2023 1,000 1,041
$ 15,503
Electronics - 0.56%
Corning Inc
4.75%, 03/15/2042 750 783
6.63%, 05/15/2019 500 561
$1,344
Entertainment - 0.21%
Greektown Holdings LLC/Greektown
Mothership Corp
8.88%, 03/15/2019(e) 250 260
Peninsula Gaming LLC / Peninsula Gaming
Corp
8.38%, 02/15/2018(e) 250 251
$511
Environmental Control - 1.08%
Advanced Disposal Services Inc
8.25%, 10/01/2020 1,500 1,515
Republic Services Inc
3.55%, 06/01/2022 1,000 1,080
$2,595
Food - 0.23%
Kraft Heinz Foods Co
3.95%, 07/15/2025(e) 500 544
Forest Products & Paper - 0.90%
Plum CreekTimberlands LP
4.70%, 03/15/2021 2,000 2,178
Healthcare - Services - 1.69%
HCA Inc
7.50%, 11/06/2033 250 266
HealthSouth Corp
5.75%, 11/01/2024 500 502
7.75%, 09/15/2022 230 238
Roche Holdings Inc
0.97%, 09/30/2019(d),(e) 1,000 1,000
Surgery Center Holdings Inc
8.88%, 04/15/2021(e) 2,000 2,055
$4,061
Housewares - 0.23%
N
ewell Brands Inc
4.20%, 04/01/2026 500 542
Insurance - 2.87%
Fidelity National Financial Inc
6.60%, 05/15/2017 2,500 2,605
First American Financial Corp
4.30%, 02/01/2023 2,000 2,047
Prudential Financial Inc
7.38%, 06/15/2019 1,000 1,160
8.88%, 06/15/2068(d) 1,000 1,100
$6,912
BONDS (continued)
Principal
Amount (000's) Value (000's)
Iron & Steel - 0.86%
Allegheny Technologies Inc
5.95%, 01/15/2021 $ 2,000$ 1,660
7.88%, 08/15/2023(d) 500 417
$2,077
Leisure Products & Services - 1.21%
Carnival Corp
7.20%, 10/01/2023 1,475 1,827
Royal Caribbean Cruises Ltd
7.25%, 03/15/2018 1,000 1,080
$2,907
Lodging - 0.33%
Boyd Gaming Corp
6.88%, 05/15/2023 750 799
Media - 3.21%
21st Century Fox America Inc
6.40%, 12/15/2035 1,000 1,270
8.00%, 10/17/2016 1,000 1,020
Comcast Corp
6.45%, 03/15/2037 2,000 2,752
Historic TW Inc
9.15%, 02/01/2023 250 336
Time Warner Cable Inc
6.55%, 05/01/2037 1,500 1,748
6.75%, 06/15/2039 500 587
$7,713
Miscellaneous Manufacturers - 0.07%
General Electric Co
5.30%, 02/11/2021 144 167
Oil & Gas - 5.30%
BG Energy Capital PLC
4.00%, 10/15/2021(e) 2,000 2,181
BP Capital Markets PLC
3.25%, 05/06/2022 1,000 1,050
Linn Energy LLC / Linn Energy Finance
Corp
0.00%, 05/15/2019(a) 1,000 176
N
abors Industries Inc
5.00%, 09/15/2020 1,000 941
Petro-Canada
9.25%, 10/15/2021 1,075 1,406
Phillips 66
4.30%, 04/01/2022 1,000 1,092
Rowan Cos Inc
4.88%, 06/01/2022 750 656
5.00%, 09/01/2017 2,000 2,025
W&T Offshore Inc
8.50%, 06/15/2019 2,500 625
Whiting Petroleum Corp
5.75%, 03/15/2021 1,250 1,128
XTO Energy Inc
6.75%, 08/01/2037 1,000 1,477
$ 12,757
Oil & Gas Services - 2.06%
ArchrockPartners LP / ArchrockPartners
Finance Corp
6.00%, 04/01/2021 2,000 1,790
Schlumberger Holdings Corp
3.63%, 12/21/2022(e) 500 529
4.00%, 12/21/2025(e) 500 538
Weatherford International Ltd
4.50%, 04/15/2022 250 214
5.13%, 09/15/2020 2,000 1,890
$4,961
Other Asset Backed Securities - 0.97%
Drug Royalty II LP 2
3.48%, 07/15/2023(d),(e) 1,361 1,343
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
See accompanying notes. 155
BONDS (continued)
Principal
Amount (000's) Value (000's)
Other Asset Backed Securities (continued)
PFS Financing Corp
1.06%, 04/15/2020(d),(e) $ 1,000$ 991
$2,334
Packaging & Containers - 0.44%
Sealed Air Corp
6.88%, 07/15/2033(e) 1,000 1,060
Pharmaceuticals - 1.18%
AbbVie Inc
2.90%, 11/06/2022 1,000 1,019
Actavis Funding SCS
3.80%, 03/15/2025 1,000 1,042
4.55%, 03/15/2035 750 771
$2,832
Pipelines - 2.94%
ANR Pipeline Co
9.63%, 11/01/2021 1,000 1,312
Buckeye Partners LP
4.35%, 10/15/2024 500 495
Columbia Pipeline Group Inc
4.50%, 06/01/2025 1,000 1,075
El Paso Natural Gas Co LLC
7.50%, 11/15/2026 2,100 2,280
Express Pipeline LLC
7.39%, 12/31/2019(e) 226 235
Southeast Supply Header LLC
4.25%, 06/15/2024(e) 750 743
Southern Natural Gas Co LLC
8.00%, 03/01/2032 850 942
$7,082
REITS - 6.43%
Alexandria Real Estate Equities Inc
4.30%, 01/15/2026 1,000 1,061
4.60%, 04/01/2022 1,250 1,352
CubeSmart LP
4.80%, 07/15/2022 2,000 2,222
HCP Inc
3.75%, 02/01/2019 1,000 1,035
Hospitality Properties Trust
4.65%, 03/15/2024 750 764
5.00%, 08/15/2022 750 806
Kimco Realty Corp
6.88%, 10/01/2019 2,000 2,306
Omega Healthcare Investors Inc
5.25%, 01/15/2026 500 532
Simon Property Group LP
10.35%, 04/01/2019 2,000 2,436
Ventas Realty LP / Ventas Capital Corp
3.25%, 08/15/2022 1,750 1,809
Welltower Inc
6.13%, 04/15/2020 1,000 1,139
$ 15,462
Savings & Loans - 0.25%
First Niagara Financial Group Inc
7.25%, 12/15/2021 500 591
Software - 0.86%
Oracle Corp
2.50%, 05/15/2022 1,000 1,022
2.95%, 05/15/2025 1,000 1,039
$2,061
Telecommunications - 1.20%
Qwest Corp
6.75%, 12/01/2021 2,000 2,164
Sprint Corp
7.88%, 09/15/2023 250 204
BONDS (continued)
Principal
Amount (000's) Value (000's)
Telecommunications (continued)
T-Mobile USA Inc
6.38%, 03/01/2025 $ 500$ 523
$2,891
Transportation - 1.05%
Trailer Bridge Inc
0.00%, 11/15/2016(a),(b),(c) 2,000 —
17.00%, PIK 16.50%, 03/31/2017(b),(c),(d),(g) 2,826 2,536
$2,536
Trucking & Leasing - 0.85%
PenskeTruckLeasing Co Lp / PTL Finance
Corp
3.75%, 05/11/2017(e) 2,000 2,038
TOTAL BONDS $ 155,253
SENIOR FLOATING RATE INTERESTS -
0.08%
Principal
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
AGENCY OBLIGATIONS - 33.00%
Principal
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
Federal National Mortgage Association (FNMA) - 14.13%
3.00%, 03/01/2042 1,277 1,327
3.00%, 03/01/2042 1,344 1,397
3.00%, 05/01/2042 712 740
3.00%, 06/01/2042 646 672
3.00%, 06/01/2042 1,300 1,352
3.50%, 12/01/2040 1,069 1,131
3.50%, 12/01/2041 382 405
3.50%, 03/01/2042 627 664
3.50%, 04/01/2042 1,180 1,249
3.50%, 02/01/2043 782 835
3.50%, 06/01/2043 1,222 1,306
3.50%, 03/01/2045 902 965
4.00%, 03/01/2039 791 850
4.00%, 08/01/2040 663 713
4.00%, 09/01/2040 1,507 1,643
4.00%, 11/01/2040 798 859
4.00%, 10/01/2041 841 902
Schedule of Investments
Income Account
June 30, 2016 (unaudited)
See accompanying notes. 156
U.S. GOVERNMENT & GOVERNMENT
AGENCY OBLIGATIONS (continued)
Principal
Amount (000's) Value (000's)
Federal National Mortgage Association (FNMA) (continued)
4.00%, 10/01/2041 $ 636$ 683
4.00%, 11/01/2041 924 992
4.00%, 04/01/2042 586 630
4.00%, 11/01/2043 724 784
4.00%, 11/01/2043 1,835 2,003
4.00%, 01/01/2044 1,629 1,765
4.00%, 02/01/2044 2,199 2,394
4.00%, 09/01/2044 778 834
4.50%, 06/01/2039 216 236
4.50%, 08/01/2039 326 362
4.50%, 08/01/2040 1,092 1,195
4.50%, 10/01/2040 1,089 1,193
4.50%, 12/01/2040 636 701
4.50%, 08/01/2041 749 821
4.50%, 05/01/2044 1,065 1,162
5.00%, 01/01/2018 24 25
5.00%, 08/01/2035 345 383
5.50%, 03/01/2033 39 44
5.50%, 06/01/2033 185 210
5.50%, 02/01/2035 343 389
6.00%, 04/01/2032 44 51
6.50%, 05/01/2031 5 6
6.50%, 04/01/2032 71 82
6.50%, 05/01/2032 28 34
7.00%, 01/01/2030 2 2
$ 33,991
Government National Mortgage Association (GNMA) -
0.05%
6.00%, 05/20/2032(d) 41 48
7.00%, 06/20/2031 46 58
9.00%, 02/15/2025 3 3
$109
U.S. Treasury - 13.44%
0.75%, 10/31/2017 1,000 1,002
0.88%, 02/28/2017 1,000 1,003
1.38%, 11/30/2018 1,000 1,017
1.63%, 11/15/2022 2,000 2,047
1.75%, 05/15/2022 2,000 2,067
2.00%, 11/15/2021 1,000 1,048
2.38%, 05/31/2018 1,000 1,034
2.50%, 05/15/2024 1,000 1,086
2.63%, 11/15/2020 2,000 2,143
2.75%, 02/15/2019 1,000 1,054
2.75%, 02/15/2024 1,000 1,104
2.88%, 05/15/2043 1,000 1,125
2.88%, 08/15/2045 1,000 1,123
3.00%, 11/15/2044 1,000 1,150
3.13%, 05/15/2019 2,000 2,138
3.13%, 05/15/2021 1,000 1,100
3.13%, 08/15/2044 1,000 1,177
3.38%, 05/15/2044 1,000 1,232
3.50%, 02/15/2039 1,000 1,262
3.63%, 02/15/2020 2,000 2,201
3.63%, 02/15/2044 1,000 1,289
3.75%, 08/15/2041 1,000 1,304
3.75%, 11/15/2043 2,000 2,639
$ 32,345
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY
OBLIGATIONS $ 79,388
Total Investments $ 237,693
Other Assets and Liabilities - 1.20% $ 2,896
TOTAL NET ASSETS - 100.00% $ 240,589
(a)
N
on-Income Producing Security
(b) Security is Illiquid. At the end of the period, the value of these securities
totaled $2,719 or 1.13% of net assets.
(c)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securities totaled
$2,719 or 1.13% of net assets.
(d) Variable Rate. Rate shown is in effect at June 30, 2016.
(e) 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
p
eriod, the value of these securities totaled $27,695 or 11.51% of net
assets.
(f)
P
erpetual security. Perpetual securities pay an indefinite stream of
interest, but they may be called by the issuer at an earlier date.
(g)
P
ayment in kind; the issuer has the option of paying additional securities
in lieu of cash.
Portfolio Summary (unaudited)
Sector Percent
Financial 19.72%
Mortgage Securities 19.56%
Government 13.44%
Energy 10.30%
Consumer, Non-cyclical 7.89%
Utilities 6.44%
Industrial 4.60%
Communications 4.41%
Asset Backed Securities 4.41%
Consumer, Cyclical 2.85%
Basic Materials 2.39%
Technology 1.60%
Investment Companies 1.19%
Other Assets and Liabilities 1.20%
TOTAL NET ASSETS 100.00%
Schedule of Investments
International Emerging Markets Account
June 30, 2016 (unaudited)
See accompanying notes. 157
COMMON STOCKS - 94.30% Shares Held Value (000's)
Agriculture - 2.37%
Golden Agri-Resources Ltd 1,507,200 $ 394
Gudang Garam TbkPT 60,100 314
KT&G Corp 9,355 1,108
Kuala Lumpur Kepong Bhd 42,800 248
$2,064
Airlines - 0.97%
AirAsia Bhd 755,800 489
China Eastern Airlines Corp Ltd (a) 722,000 362
$851
Automobile Manufacturers - 3.43%
AshokLeyland Ltd 328,430 480
Ford Otomotiv Sanayi AS 15,577 166
Guangzhou Automobile Group Co Ltd 724,000 869
Kia Motors Corp 12,158 458
Tata Motors Ltd 148,641 1,017
$2,990
Automobile Parts & Equipment - 1.85%
HankookTire Co Ltd 10,909 485
Hiroca Holdings Ltd 126,000 449
Hota Industrial Manufacturing Co Ltd 55,000 258
Tong Yang Industry Co Ltd 283,000 422
$1,614
Banks - 9.82%
Abu Dhabi Commercial BankPJSC 272,489 451
Axis BankLtd 43,556 346
BangkokBankPCL 83,963 389
BankMandiri Persero TbkPT 313,600 227
BankNegara Indonesia Persero TbkPT 956,800 379
Barclays Africa Group Ltd 49,600 486
China Construction Bank Corp 3,520,902 2,347
Credicorp Ltd 3,869 597
First Gulf BankPJSC 101,943 350
Investec PLC 61,535 383
Malayan Banking Bhd 210,200 425
OTP BankPLC 21,718 486
Sberbankof Russia PJSC ADR 85,014 746
Yes BankLtd 58,043 956
$8,568
Beverages - 0.53%
Ambev SA 78,300 464
Biotechnology - 0.44%
China Biologic Products Inc (a) 3,584 381
Chemicals - 1.12%
Hanwha Chemical Corp 16,015 335
Indorama Ventures PCL (b) 431,000 358
Sinopec Shanghai Petrochemical Co Ltd 620,000 285
$978
Coal - 0.17%
Exxaro Resources Ltd 32,730 151
Commercial Services - 3.56%
CCR SA 97,700 511
Kroton Educacional SA 239,400 1,011
N
ew Oriental Education & Technology Group
Inc ADR
17,169 719
Qualicorp SA 90,100 524
TAL Education Group ADR(a) 5,420 337
$3,102
Computers - 1.61%
Infosys Ltd ADR 57,970 1,035
Wistron Corp 526,000 368
$1,403
Diversified Financial Services - 2.66%
E.Sun Financial Holding Co Ltd 728,000 431
Indiabulls Housing Finance Ltd 33,767 337
COMMON STOCKS (continued) Shares Held Value (000's)
Diversified Financial Services (continued)
Mega Financial Holding Co Ltd 842,731 $ 637
Shinhan Financial Group Co Ltd 26,665 877
SinoPac Financial Holdings Co Ltd 137,700 41
$2,323
Electric - 2.95%
Enersis Americas SA 2,078,701 356
Korea Electric Power Corp 28,510 1,497
N
TPC Ltd 42,921 100
Tenaga Nasional BHD 177,100 620
$2,573
Electronics - 1.03%
AAC Technologies Holdings Inc 80,500 688
Chin-Poon Industrial Co Ltd (a) 99,000 214
$902
Engineering & Construction - 3.36%
China Railway Construction Corp Ltd 321,000 404
Grupo Aeroportuario del Pacifico SAB de CV 52,100 536
Grupo Aeroportuario del Sureste SAB de CV 17,541 279
Hyundai Development Co-Engineering &
Construction
16,112 559
Larsen & Toubro Ltd (a) 23,066 514
Promotora y Operadora de Infraestructura
SAB de CV
52,308 644
$2,936
Food - 1.78%
Cencosud SA 138,892 396
Charoen Pokphand Foods PCL (b) 462,000 379
Grupo Lala SAB de CV 133,700 295
Uni-President Enterprises Corp 243,160 480
$1,550
Forest Products & Paper - 0.53%
Sappi Ltd (a) 99,595 464
Holding Companies - Diversified - 0.85%
KOC Holding AS 50,050 229
Siam Cement PCL/The 37,450 509
$738
Home Furnishings - 1.22%
Steinhoff International Holdings NV 186,321 1,069
Insurance - 4.09%
AIA Group Ltd 213,000 1,281
Dongbu Insurance Co Ltd 9,847 593
PICC Property & Casualty Co Ltd 584,300 921
Sanlam Ltd 186,338 770
$3,565
Internet - 8.40%
Alibaba Group Holding Ltd ADR(a) 29,612 2,355
N
AVER Corp 1,290 799
Tencent Holdings Ltd 181,800 4,171
$7,325
Iron & Steel - 0.64%
Kumba Iron Ore Ltd (a) 33,257 251
Ternium SA ADR 16,062 306
$557
Leisure Products & Services - 0.77%
Hero MotoCorp Ltd 14,134 668
Media - 1.90%
N
aspers Ltd 10,830 1,654
Metal Fabrication & Hardware - 0.68%
Hyosung Corp 5,467 598
Schedule of Investments
International Emerging Markets Account
June 30, 2016 (unaudited)
See accompanying notes. 158
COMMON STOCKS (continued) Shares Held Value (000's)
Mining - 0.95%
AngloGold Ashanti Ltd (a) 45,835 $ 828
Miscellaneous Manufacturers - 1.39%
Largan Precision Co Ltd 7,000 647
Sunny Optical Technology Group Co Ltd 161,000 567
$1,214
Oil & Gas - 9.31%
Bharat Petroleum Corp Ltd 44,303 705
China Petroleum & Chemical Corp 1,578,400 1,141
CNOOC Ltd 412,000 514
Gazprom PJSC ADR 126,204 545
Lukoil PJSC ADR 42,784 1,791
Reliance Industries Ltd 54,698 788
SK Innovation Co Ltd 6,694 825
Tatneft PJSC ADR 22,501 695
Thai Oil PCL (b) 236,500 405
Tupras Turkiye Petrol Rafinerileri AS 18,568 412
YPF SA ADR 15,531 298
$8,119
Pipelines - 0.33%
Petronet LNG Ltd 66,701 291
Real Estate - 0.78%
China Overseas Land & Investment Ltd 136,000 434
Housing Development & Infrastructure Ltd (a) 161,285 248
$682
REITS - 1.04%
Fibra Uno Administracion SA de CV 200,200 427
Macquarie Mexico Real Estate Management
SA de CV (a)
368,500 483
$910
Retail - 2.02%
Lojas Renner SA 76,100 563
Raia Drogasil SA 18,900 374
Wal-Mart de Mexico SAB de CV 342,549 824
$1,761
Semiconductors - 12.15%
Powertech Technology Inc 235,000 525
Samsung Electronics Co Ltd 3,564 4,438
Silicon Motion Technology Corp ADR 12,928 618
Taiwan Semiconductor Manufacturing Co Ltd 867,164 4,370
Win Semiconductors Corp 315,505 646
$ 10,597
Telecommunications - 8.70%
China Mobile Ltd 244,459 2,824
China Telecom Corp Ltd 1,146,000 515
Chunghwa Telecom Co Ltd 429,000 1,552
Mobile TeleSystems PJSC ADR 39,683 329
MTN Group Ltd 77,342 752
Telekomunikasi Indonesia Persero TbkPT 4,138,500 1,259
Vodacom Group Ltd 31,792 362
$7,593
Textiles - 0.21%
Welspun India Ltd 115,160 186
Water - 0.69%
Cia de Saneamento Basico do Estado de Sao
Paulo
67,600 606
TOTAL COMMON STOCKS $ 82,275
INVESTMENT COMPANIES - 1.56% Shares Held Value (000's)
Money Market Funds - 1.56%
BlackRockLiquidity Funds FedFund Portfolio 1,361,992 1,362
TOTAL INVESTMENT COMPANIES $ 1,362
PREFERRED STOCKS - 2.98% Shares Held Value (000's)
Banks - 0.56%
Banco Bradesco SA 62,114 $ 486
Holding Companies - Diversified - 1.62%
Itausa - Investimentos Itau SA 606,380 1,416
Iron & Steel - 0.75%
Vale SA 161,207 651
Media - 0.05%
Zee Entertainment Enterprises Ltd (a) 322,341 43
TOTAL PREFERRED STOCKS $ 2,596
Total Investments $ 86,233
Other Assets and Liabilities - 1.16% $ 1,012
TOTAL NET ASSETS - 100.00% $ 87,245
(a)
N
on-Income Producing Security
(b)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. 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 Percent
China 19.02%
Korea, Republic Of 14.42%
Taiwan, Province Of China 13.35%
India 8.84%
South Africa 8.21%
Brazil 7.58%
Hong Kong 5.21%
Russian Federation 4.71%
Mexico 3.99%
Indonesia 2.49%
Thailand 2.33%
Malaysia 2.05%
United States 1.56%
Turkey 0.92%
United Arab Emirates 0.92%
Chile 0.86%
Peru 0.68%
Hungary 0.56%
Singapore 0.45%
Luxembourg 0.35%
Argentina 0.34%
Other Assets and Liabilities 1.16%
TOTAL NET ASSETS 100.00%
Schedule of Investments
LargeCap Growth Account
June 30, 2016 (unaudited)
See accompanying notes. 159
COMMON STOCKS - 96.83% Shares Held Value (000's)
Airlines - 1.55%
Delta Air Lines Inc 43,614 $ 1,589
Apparel - 0.84%
Under Armour Inc (a) 21,345 857
Automobile Manufacturers - 0.95%
Ford Motor Co 77,600 975
Banks - 1.46%
Capital One Financial Corp 23,588 1,498
Beverages - 1.65%
Constellation Brands Inc 10,255 1,696
Biotechnology - 2.31%
Gilead Sciences Inc 28,427 2,371
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 8,153 1,047
FleetCor Technologies Inc (a) 17,286 2,474
PayPal Holdings Inc (a) 38,900 1,420
S&P Global Inc 9,992 1,072
$6,013
Computers - 4.13%
Accenture PLC - Class A 8,700 986
Apple Inc 33,922 3,243
$4,229
Cosmetics & Personal Care - 1.60%
Procter & Gamble Co/The 19,400 1,643
Diversified Financial Services - 7.68%
MasterCard Inc 42,058 3,703
Visa Inc 56,140 4,164
$7,867
Entertainment - 0.50%
Six Flags Entertainment Corp 8,900 516
Food - 4.74%
Kellogg Co 22,700 1,853
Kraft Heinz Co/The 15,300 1,354
Mondelez International Inc 36,337 1,654
$4,861
Healthcare - Products - 7.77%
Boston Scientific Corp (a) 45,500 1,063
Edwards Lifesciences Corp (a) 31,327 3,124
Intuitive Surgical Inc (a) 3,383 2,238
Thermo Fisher Scientific Inc 10,389 1,535
$7,960
Housewares - 1.05%
N
ewell Brands Inc 22,100 1,073
Internet - 11.81%
Alphabet Inc - A Shares (a) 6,170 4,341
Amazon.com Inc (a) 5,213 3,731
FacebookInc (a) 35,214 4,024
$ 12,096
COMMON STOCKS (continued) Shares Held Value (000's)
Iron & Steel - 1.18%
N
ucor Corp 24,400 $ 1,206
Leisure Products & Services - 1.55%
Royal Caribbean Cruises Ltd 23,662 1,589
Lodging - 1.08%
Wynn Resorts Ltd 12,251 1,110
Oil & Gas - 1.18%
Pioneer Natural Resources Co 7,996 1,209
Pharmaceuticals - 7.33%
Bristol-Myers Squibb Co 57,866 4,256
DexCom Inc (a) 19,610 1,556
Eli Lilly & Co 21,525 1,695
$7,507
Retail - 13.40%
Dollar Tree Inc (a) 11,200 1,055
McDonald's Corp 12,690 1,527
Panera Bread Co (a) 5,191 1,100
Starbucks Corp 40,418 2,309
Target Corp 23,077 1,611
TJX Cos Inc/The 31,682 2,447
Ulta Salon Cosmetics & Fragrance Inc (a) 15,095 3,678
$ 13,727
Semiconductors - 5.83%
Broadcom Ltd 12,528 1,947
Lam Research Corp 20,826 1,751
Micron Technology Inc (a) 53,600 737
N
XP Semiconductors NV (a) 19,646 1,539
$5,974
Software - 5.68%
Activision Blizzard Inc 59,236 2,348
Microsoft Corp 47,900 2,451
salesforce.com Inc (a) 12,800 1,016
$5,815
Transportation - 0.98%
FedEx Corp 6,637 1,007
TOTAL COMMON STOCKS $ 99,213
INVESTMENT COMPANIES - 3.27% Shares Held Value (000's)
Money Market Funds - 3.27%
BlackRockLiquidity Funds FedFund Portfolio 3,353,591 3,354
TOTAL INVESTMENT COMPANIES $ 3,354
Total Investments $ 102,567
Other Assets and Liabilities - (0.10)% $ (107)
TOTAL NET ASSETS - 100.00% $ 102,460
(a)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Sector Percent
Consumer, Non-cyclical 31.28%
Consumer, Cyclical 20.92%
Technology 15.64%
Communications 11.80%
Financial 9.14%
Basic Materials 4.06%
Investment Companies 3.27%
Industrial 2.81%
Energy 1.18%
Other Assets and Liabilities (0.10)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 160
COMMON STOCKS - 96.68% Shares Held Value (000's)
Advertising - 0.06%
Interpublic Group of Cos Inc/The 1,730 $ 40
Omnicom Group Inc 1,381 113
$153
Aerospace & Defense - 1.71%
B/E Aerospace Inc 434 20
Boeing Co/The 26,200 3,403
General Dynamics Corp 582 81
HEICO Corp 125 8
HEICO Corp - Class A 212 11
Lockheed Martin Corp 1,134 281
N
orthrop Grumman Corp 480 107
Raytheon Co 637 87
Rockwell Collins Inc 538 46
Spirit AeroSystems Holdings Inc (a) 332 14
TransDigm Group Inc (a) 203 54
$4,112
Agriculture - 0.53%
Altria Group Inc 5,646 389
Philip Morris International Inc 7,860 800
Reynolds American Inc 1,468 79
$1,268
Airlines - 1.29%
Alaska Air Group Inc 18,790 1,095
American Airlines Group Inc 63,645 1,802
Delta Air Lines Inc 2,756 100
JetBlue Airways Corp (a) 182 3
Southwest Airlines Co 3,050 120
$3,120
Apparel - 1.62%
Carter's Inc 228 24
Hanesbrands Inc 35,306 887
Michael Kors Holdings Ltd (a) 716 35
N
IKE Inc 3,822 211
Ralph Lauren Corp 33 3
Skechers U.S.A. Inc (a) 544 16
Under Armour Inc – Class A (a) 27,056 1,086
Under Armour Inc – Class C (a) 43,605 1,588
VF Corp 981 60
$3,910
Automobile Manufacturers - 0.83%
Ferrari NV 11,440 468
PACCAR Inc 461 24
Tesla Motors Inc (a) 7,107 1,509
$2,001
Automobile Parts & Equipment - 0.43%
BorgWarner Inc 153 5
Delphi Automotive PLC 1,425 89
Johnson Controls Inc 559 25
Lear Corp 268 27
Mobileye NV (a) 18,710 863
Visteon Corp 168 11
WABCO Holdings Inc (a) 222 20
$1,040
Banks - 1.35%
Citizens Financial Group Inc 968 19
Morgan Stanley 94,760 2,462
Signature Bank/New YorkNY (a) 131 17
State Street Corp 14,000 755
Western Alliance Bancorp (a) 216 7
$3,260
Beverages - 0.59%
Brown-Forman Corp - A Shares 117 13
Brown-Forman Corp - B Shares 385 38
Coca-Cola Co/The 11,876 538
Constellation Brands Inc 735 121
Dr Pepper Snapple Group Inc 1,002 97
Monster Beverage Corp (a) 428 69
COMMON STOCKS (continued) Shares Held Value (000's)
Beverages (continued)
PepsiCo Inc 5,151 $ 546
$1,422
Biotechnology - 3.81%
Alexion Pharmaceuticals Inc (a) 34,325 4,008
Alnylam Pharmaceuticals Inc (a) 250 14
Amgen Inc 2,930 446
Biogen Inc (a) 2,953 714
BioMarin Pharmaceutical Inc (a) 3,933 306
Celgene Corp (a) 11,678 1,152
Charles River Laboratories International Inc
(a)
212 17
Gilead Sciences Inc 5,166 431
Illumina Inc (a) 2,291 322
Incyte Corp (a) 5,635 451
Intercept Pharmaceuticals Inc (a) 63 9
Intrexon Corp (a) 213 5
Ionis Pharmaceuticals Inc (a) 464 11
Juno Therapeutics Inc (a) 218 8
Medivation Inc (a) 623 38
Regeneron Pharmaceuticals Inc (a) 302 105
Seattle Genetics Inc (a) 371 15
United Therapeutics Corp (a) 47 5
Vertex Pharmaceuticals Inc (a) 13,139 1,130
$9,187
Building Materials - 0.53%
Eagle Materials Inc 194 15
Fortune Brands Home & Security Inc 652 38
Lennox International Inc 167 24
Martin Marietta Materials Inc 234 45
Masco Corp 945 29
Vulcan Materials Co 9,422 1,134
$1,285
Chemicals - 1.87%
Air Products & Chemicals Inc 491 70
Axalta Coating Systems Ltd (a) 693 18
Celanese Corp 85 6
Ecolab Inc 30,402 3,606
EI du Pont de Nemours & Co 2,523 163
International Flavors & Fragrances Inc 325 41
LyondellBasell Industries NV 897 67
Monsanto Co 1,235 128
PPG Industries Inc 1,226 128
Praxair Inc 1,164 131
RPM International Inc 548 27
Sherwin-Williams Co/The 383 112
WR Grace & Co 178 13
$4,510
Commercial Services - 2.08%
Aramark494 17
Automatic Data Processing Inc 1,314 121
Booz Allen Hamilton Holding Corp 524 16
CoStar Group Inc (a) 127 28
Equifax Inc 490 63
Euronet Worldwide Inc (a) 235 16
FleetCor Technologies Inc (a) 16,293 2,332
Gartner Inc (a) 341 33
Global Payments Inc 639 46
KAR Auction Services Inc 607 25
Moody's Corp 439 41
Morningstar Inc 103 9
N
ielsen Holdings PLC 815 42
PayPal Holdings Inc (a) 51,582 1,883
Quanta Services Inc (a) 233 5
Robert Half International Inc 550 21
RR Donnelley & Sons Co 731 12
S&P Global Inc 759 81
Sabre Corp 905 24
Service Corp International/US 855 23
ServiceMaster Global Holdings Inc (a) 588 23
Total System Services Inc 712 38
TransUnion (a) 290 10
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 161
COMMON STOCKS (continued) Shares Held Value (000's)
Commercial Services (continued)
United Rentals Inc (a) 303 $ 20
Vantiv Inc (a) 661 38
Western Union Co/The 2,110 41
WEX Inc (a) 171 15
$5,023
Computers - 3.77%
Accenture PLC - Class A 3,583 406
Apple Inc 30,231 2,890
Cadence Design Systems Inc (a) 1,280 31
Cognizant Technology Solutions Corp (a) 41,824 2,395
CSRA Inc 736 17
DST Systems Inc 153 18
EMC Corp/MA 2,068 56
Fortinet Inc (a) 609 19
Genpact Ltd (a) 99,344 2,666
IHS Inc (a) 250 29
International Business Machines Corp 3,230 490
Manhattan Associates Inc (a) 326 21
N
CR Corp (a) 556 16
Synopsys Inc (a) 109 6
Teradata Corp (a) 605 15
VeriFone Systems Inc (a) 481 9
$9,084
Consumer Products - 0.13%
Avery Dennison Corp 358 27
Church & Dwight Co Inc 522 54
Clorox Co/The 622 86
Kimberly-Clark Corp 882 121
Spectrum Brands Holdings Inc 113 13
$301
Cosmetics & Personal Care - 1.56%
Colgate-Palmolive Co 943 69
Estee Lauder Cos Inc/The 40,514 3,688
$3,757
Distribution & Wholesale - 0.96%
Fastenal Co 48,605 2,158
HD Supply Holdings Inc (a) 877 31
LKQ Corp (a) 1,258 40
Pool Corp 195 18
Watsco Inc 123 17
WW Grainger Inc 230 52
$2,316
Diversified Financial Services - 5.60%
Affiliated Managers Group Inc (a) 185 26
Air Lease Corp 231 6
Alliance Data Systems Corp (a) 239 47
Ameriprise Financial Inc 379 34
Artisan Partners Asset Management Inc 205 6
CBOE Holdings Inc 331 22
Charles Schwab Corp/The 42,491 1,076
CME Group Inc/IL 6,700 653
CoreLogic Inc/United States (a) 284 11
Credit Acceptance Corp (a) 33 6
Discover Financial Services 920 49
Eaton Vance Corp 460 16
Federated Investors Inc 424 12
Intercontinental Exchange Inc 5,683 1,455
Invesco Ltd 325 8
Lazard Ltd 115 3
LPL Financial Holdings Inc 104 2
MasterCard Inc 5,093 448
N
orthStar Asset Management Group Inc/New
York
766 8
Santander Consumer USA Holdings Inc (a) 26 —
T Rowe Price Group Inc 537 39
TD Ameritrade Holding Corp 35,220 1,003
Visa Inc 115,578 8,573
$ 13,503
Electric - 0.01%
Dominion Resources Inc/VA 147 11
COMMON STOCKS (continued) Shares Held Value (000's)
Electric (continued)
ITC Holdings Corp 317 $ 15
$26
Electrical Components & Equipment - 0.05%
Acuity Brands Inc 180 45
AMETEK Inc 195 9
Emerson Electric Co 887 46
Energizer Holdings Inc 100 5
Hubbell Inc 169 18
$123
Electronics - 1.86%
Agilent Technologies Inc 378 17
Allegion PLC 419 29
Amphenol Corp 55,787 3,198
FEI Co 171 18
Fitbit Inc (a) 558 7
Gentex Corp 926 14
Honeywell International Inc 3,191 371
Mettler-Toledo International Inc (a) 108 39
N
ational Instruments Corp 26,054 714
PerkinElmer Inc 121 6
Trimble Navigation Ltd (a) 848 21
Tyco International Plc 106 5
Waters Corp (a) 316 45
$4,484
Engineering & Construction - 1.06%
SBA Communications Corp (a) 23,562 2,543
Entertainment - 0.04%
CinemarkHoldings Inc 493 18
Gaming and Leisure Properties Inc 804 28
Regal Entertainment Group 264 6
Six Flags Entertainment Corp 333 19
Vail Resorts Inc 163 22
$93
Environmental Control - 0.06%
Stericycle Inc (a) 303 32
Waste Management Inc 1,856 123
$155
Food - 0.44%
Blue Buffalo Pet Products Inc (a) 279 7
Campbell Soup Co 764 51
ConAgra Foods Inc 1,827 87
Flowers Foods Inc 698 13
General Mills Inc 2,695 192
Hain Celestial Group Inc/The (a) 303 15
Hershey Co/The 568 64
Hormel Foods Corp 969 35
Ingredion Inc 211 27
Kellogg Co 662 54
Kraft Heinz Co/The 424 38
Kroger Co/The 4,182 154
McCormick& Co Inc/MD 470 50
Pilgrim's Pride Corp 101 3
Post Holdings Inc (a) 156 13
Sprouts Farmers Market Inc (a) 590 13
Sysco Corp 2,542 129
TreeHouse Foods Inc (a) 77 8
Tyson Foods Inc 931 62
WhiteWave Foods Co/The (a) 676 32
Whole Foods Market Inc 240 8
$1,055
Food Service - 0.00%
US Foods Holding Corp (a) 172 4
Hand & Machine Tools - 0.03%
Lincoln Electric Holdings Inc 202 12
Snap-on Inc 185 29
Stanley Black&Decker Inc 303 34
$75
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 162
COMMON STOCKS (continued) Shares Held Value (000's)
Healthcare - Products - 6.79%
Align Technology Inc (a) 301 $ 24
Baxter International Inc 928 42
Becton Dickinson and Co 603 102
Bio-Techne Corp 156 18
Boston Scientific Corp (a) 3,886 91
Bruker Corp 502 11
Cooper Cos Inc/The 151 26
CR Bard Inc 418 98
Danaher Corp 80,820 8,163
Edwards Lifesciences Corp (a) 1,096 109
Henry Schein Inc (a) 333 59
Hill-Rom Holdings Inc 264 13
Hologic Inc (a) 1,036 36
IDEXX Laboratories Inc (a) 375 35
Intuitive Surgical Inc (a) 9,435 6,241
ResMed Inc 575 36
St Jude Medical Inc 558 44
Stryker Corp 8,010 960
Teleflex Inc 44 8
Thermo Fisher Scientific Inc 895 132
Varian Medical Systems Inc (a) 396 33
VWR Corp (a) 89 3
West Pharmaceutical Services Inc 309 23
Zimmer Biomet Holdings Inc 543 65
$ 16,372
Healthcare - Services - 4.44%
Aetna Inc 8,920 1,090
Amsurg Corp (a) 147 11
Anthem Inc 10,918 1,434
Centene Corp (a) 7,622 544
Cigna Corp 7,846 1,005
DaVita HealthCare Partners Inc (a) 30,471 2,356
Envision Healthcare Holdings Inc (a) 642 16
HCA Holdings Inc (a) 601 46
Humana Inc 7,545 1,357
Laboratory Corp of America Holdings (a) 195 25
MEDNAX Inc (a) 275 20
Tenet Healthcare Corp (a) 344 10
UnitedHealth Group Inc 19,506 2,754
Universal Health Services Inc 99 13
WellCare Health Plans Inc (a) 180 19
$ 10,700
Home Builders - 0.04%
DR Horton Inc 822 26
Lennar Corp - A Shares 398 18
Lennar Corp - B Shares 90 3
N
VR Inc (a) 16 29
PulteGroup Inc 452 9
Thor Industries Inc 237 15
$100
Home Furnishings - 0.02%
Leggett & Platt Inc 593 31
Tempur Sealy International Inc (a) 222 12
Whirlpool Corp 43 7
$50
Housewares - 0.05%
N
ewell Brands Inc 1,267 61
Scotts Miracle-Gro Co/The 198 14
Toro Co/The 247 22
Tupperware Brands Corp 246 14
$111
Insurance - 0.14%
AmTrust Financial Services Inc 117 3
Aon PLC 758 83
Arthur J Gallagher & Co 529 25
Brown & Brown Inc 101 4
Erie Indemnity Co 97 10
Lincoln National Corp 267 10
Marsh & McLennan Cos Inc 2,341 160
Progressive Corp/The 925 31
COMMON STOCKS (continued) Shares Held Value (000's)
Insurance (continued)
XL Group PLC 425 $ 14
$340
Internet - 19.39%
Alphabet Inc - A Shares (a) 9,218 6,485
Alphabet Inc - C Shares (a) 8,163 5,649
Amazon.com Inc (a) 20,245 14,487
CDW Corp/DE 703 28
Dropbox Inc (a),(b),(c),(d) 1,434 11
eBay Inc (a) 3,079 72
Expedia Inc 472 50
F5 NetworksInc (a) 289 33
FacebookInc (a) 82,968 9,481
Flipkart Online Services Pvt Ltd (a),(b),(c),(d) 194 19
GoDaddy Inc (a) 243 8
Groupon Inc (a) 1,872 6
IAC/InterActiveCorp 264 15
LinkedIn Corp (a) 338 64
Match Group Inc (a) 258 4
N
etflix Inc (a) 14,956 1,369
Priceline Group Inc/The (a) 3,813 4,760
SplunkInc (a) 514 28
Symantec Corp 439 9
Tencent Holdings Ltd ADR 43,700 1,004
TripAdvisor Inc (a) 48,381 3,111
VeriSign Inc (a) 401 35
Yelp Inc (a) 225 7
$ 46,735
Iron & Steel - 0.00%
Steel Dynamics Inc 230 6
Leisure Products & Services - 0.20%
BrunswickCorp/DE 345 16
Harley-Davidson Inc 764 35
Polaris Industries Inc 256 21
Royal Caribbean Cruises Ltd 6,200 416
Vista Outdoor Inc (a) 112 5
$493
Lodging - 1.54%
Hilton Worldwide Holdings Inc 85,481 1,926
Las Vegas Sands Corp 1,051 46
Marriott International Inc/MD 684 45
MGM Resorts International (a) 70,927 1,605
Starwood Hotels & Resorts Worldwide Inc 429 32
Wyndham Worldwide Corp 476 34
Wynn Resorts Ltd 285 26
$3,714
Machinery - Diversified - 1.39%
BWX Technologies Inc 461 17
Cognex Corp 344 15
Deere & Co 222 18
Flowserve Corp 10,308 465
Graco Inc 241 19
IDEX Corp 312 26
Manitowoc Foodservice Inc (a) 312 6
Middleby Corp/The (a) 237 27
N
ordson Corp 257 21
Rockwell Automation Inc 294 34
Roper Technologies Inc 308 53
Wabtec Corp/DE 37,457 2,630
Xylem Inc/NY 436 19
$3,350
Media - 0.74%
AMC NetworksInc (a) 278 17
Cable One Inc 23 12
CBS Corp 2,275 124
Charter Communications Inc (a) 578 132
Comcast Corp - Class A 9,300 606
Discovery Communications Inc - A Shares (a) 634 16
Discovery Communications Inc - C Shares (a) 974 23
DISH Network Corp (a) 709 37
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 163
COMMON STOCKS (continued) Shares Held Value (000's)
Media (continued)
FactSet Research Systems Inc 157 $ 25
Scripps Networks Interactive Inc 377 24
Sirius XM Holdings Inc (a) 7,771 31
Starz (a) 433 13
Time Warner Inc 1,405 103
Twenty-First Century Fox Inc - A Shares 2,426 66
Twenty-First Century Fox Inc - B Shares 1,610 44
Viacom Inc - A Shares 109 5
Viacom Inc - B Shares 1,264 52
Walt Disney Co/The 4,684 458
$1,788
Metal Fabrication & Hardware - 0.01%
Valmont Industries Inc 92 12
Mining - 0.01%
Freeport-McMoRan Inc 1,059 12
Southern Copper Corp 169 4
$16
Miscellaneous Manufacturers - 0.56%
3M Co 1,698 297
AptarGroup Inc 90 7
Carlisle Cos Inc 104 11
General Electric Co 5,154 162
Hexcel Corp 385 16
Illinois Tool Works Inc 1,401 146
Ingersoll-Rand PLC 905 58
Textron Inc 17,967 657
$1,354
Office & Business Equipment - 0.01%
Pitney Bowes Inc 794 14
Oil & Gas - 0.07%
Apache Corp 1,101 61
Cabot Oil & Gas Corp 1,298 33
Chesapeake Energy Corp (a) 333 2
Cimarex Energy Co 77 9
Continental Resources Inc/OK (a) 191 9
CVR Energy Inc 19 —
Devon Energy Corp 132 5
EOG Resources Inc 176 15
Memorial Resource Development Corp (a) 197 3
Murphy USA Inc (a) 128 10
Parsley Energy Inc (a) 122 3
Southwestern Energy Co (a) 1,614 20
$170
Packaging & Containers - 0.08%
Ball Corp 569 41
Bemis Co Inc 103 5
Berry Plastics Group Inc (a) 525 20
Crown Holdings Inc (a) 564 29
Graphic Packaging Holding Co 1,070 13
Owens-Illinois Inc (a) 666 12
Packaging Corp of America 399 27
Sealed Air Corp 814 38
Silgan Holdings Inc 196 10
$195
Pharmaceuticals - 7.46%
AbbVie Inc 6,310 391
ACADIA Pharmaceuticals Inc (a) 348 11
Agios Pharmaceuticals Inc (a) 100 4
Akorn Inc (a) 372 11
Alkermes PLC (a) 580 25
Allergan plc (a) 9,419 2,176
AmerisourceBergen Corp 1,111 88
Bristol-Myers Squibb Co 97,121 7,143
Cardinal Health Inc 1,595 124
Eli Lilly & Co 11,770 927
Express Scripts Holding Co (a) 43,009 3,261
Herbalife Ltd (a) 314 18
COMMON STOCKS (continued) Shares Held Value (000's)
Pharmaceuticals (continued)
Johnson & Johnson 2,139 $ 260
McKesson Corp 647 121
Mead Johnson Nutrition Co 34,966 3,173
Mylan NV (a) 979 42
N
eurocrine Biosciences Inc (a) 331 15
OPKO Health Inc (a) 1,104 10
Pfizer Inc 1,220 43
Premier Inc (a) 110 4
Quintiles Transnational Holdings Inc (a) 245 16
VCA Inc (a) 333 23
Zoetis Inc 2,189 104
$ 17,990
Pipelines - 0.03%
ONEOK Inc 883 42
Spectra Energy Corp 553 20
Williams Cos Inc/The 326 7
$69
Real Estate - 0.01%
CBRE Group Inc (a) 1,208 32
REITS - 0.53%
Alexandria Real Estate Equities Inc 54 6
American Tower Corp 1,741 198
Boston Properties Inc 268 35
Care Capital Properties Inc 127 3
Crown Castle International Corp 858 87
CubeSmart 575 18
CyrusOne Inc 300 17
Digital Realty Trust Inc 424 46
Empire State Realty Trust Inc 375 7
Equinix Inc 199 77
Equity LifeStyle Properties Inc 339 27
Essex Property Trust Inc 115 26
Extra Space Storage Inc 501 46
Federal Realty Investment Trust 296 49
Healthcare Trust of America Inc 467 15
Iron Mountain Inc 1,063 42
Lamar Advertising Co 358 24
Omega Healthcare Investors Inc 307 10
Outfront Media Inc 113 3
Public Storage 671 172
Regency Centers Corp 101 9
Senior Housing Properties Trust 216 5
Simon Property Group Inc 1,196 259
Sovran Self Storage Inc 147 15
Tanger Factory Outlet Centers Inc 405 16
Taubman Centers Inc 132 10
Ventas Inc 736 54
$1,276
Retail - 7.62%
Advance Auto Parts Inc 293 47
AutoNation Inc (a) 122 6
AutoZone Inc (a) 155 123
BedBath& BeyondInc 135 6
Brinker International Inc 290 13
Burlington Stores Inc (a) 210 14
Cabela's Inc (a) 47 2
Casey's General Stores Inc 160 21
Coach Inc 252 10
Copart Inc (a) 441 22
Costco Wholesale Corp 31,473 4,942
CVS Health Corp 4,204 403
Darden Restaurants Inc 511 32
Dick's Sporting Goods Inc 321 14
Dollar General Corp 17,214 1,618
Dollar Tree Inc (a) 653 62
Dunkin' Brands Group Inc 414 18
Foot Locker Inc 535 29
Gap Inc/The 177 4
Genuine Parts Co 581 59
Home Depot Inc/The 5,157 659
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 164
COMMON STOCKS (continued) Shares Held Value (000's)
Retail (continued)
Kate Spade & Co (a) 557 $ 12
L Brands Inc 125 8
Liberty Interactive Corp QVC Group (a) 1,088 28
Lowe's Cos Inc 25,384 2,009
lululemon athletica Inc (a) 388 29
McDonald's Corp 3,732 449
Michaels Cos Inc/The (a) 390 11
MSC Industrial Direct Co Inc 126 9
N
uSkin Enterprises Inc 97 5
O'Reilly Automotive Inc (a) 497 135
Panera Bread Co (a) 98 21
Ross Stores Inc 2,206 125
Sally Beauty Holdings Inc (a) 674 20
Signet Jewelers Ltd 296 24
Starbucks Corp 93,552 5,343
Target Corp 804 56
TJX Cos Inc/The 3,055 236
Tractor Supply Co 15,487 1,412
Ulta Salon Cosmetics & Fragrance Inc (a) 236 58
Urban Outfitters Inc (a) 393 11
Walgreens Boots Alliance Inc 952 79
Wendy's Co/The 670 6
Williams-Sonoma Inc 396 21
Yum! Brands Inc 1,917 159
$ 18,370
Semiconductors - 2.58%
Applied Materials Inc 2,248 54
ASML Holding NV - NY Reg Shares 11,610 1,152
Broadcom Ltd 1,088 169
Cree Inc (a) 146 4
Intel Corp 2,731 90
IPG Photonics Corp (a) 129 10
KLA-Tencor Corp 652 48
Lam Research Corp 528 44
Linear Technology Corp 499 23
Maxim Integrated Products Inc 1,185 42
Microchip Technology Inc 875 44
N
VIDIA Corp 2,649 124
N
XP Semiconductors NV (a) 51,976 4,072
ON Semiconductor Corp (a) 342 3
Qorvo Inc (a) 84 5
QUALCOMM Inc 1,749 94
Skyworks Solutions Inc 704 44
Texas Instruments Inc 2,905 182
Xilinx Inc 366 17
$6,221
Shipbuilding - 0.01%
Huntington Ingalls Industries Inc 172 29
Software - 9.05%
Activision Blizzard Inc 4,580 182
Adobe Systems Inc (a) 25,949 2,486
Akamai Technologies Inc (a) 41,389 2,314
ANSYS Inc (a) 20,515 1,862
athenahealth Inc (a) 159 22
Atlassian Corp PLC (a) 167 4
AutodeskInc (a) 697 38
BlackKnight Financial Services Inc (a) 143 5
Broadridge Financial Solutions Inc 507 33
CDK Global Inc 651 36
Cerner Corp (a) 844 49
Citrix Systems Inc (a) 642 51
Dun & Bradstreet Corp/The 78 10
Electronic Arts Inc (a) 838 63
Fidelity National Information Services Inc 535 39
First Data Corp (a) 1,409 16
Fiserv Inc (a) 2,021 220
Guidewire Software Inc (a) 328 20
IMS Health Holdings Inc (a) 654 17
Intuit Inc 703 78
JackHenry & Associates Inc 353 31
Microsoft Corp 83,131 4,254
COMMON STOCKS (continued) Shares Held Value (000's)
Software (continued)
MSCI Inc 383 $ 30
N
etSuite Inc (a) 36,462 2,655
N
uance Communications Inc (a) 818 13
Oracle Corp 4,415 181
Paychex Inc 931 55
Rackspace Hosting Inc (a) 513 11
Red Hat Inc (a) 729 53
salesforce.com Inc (a) 70,759 5,619
ServiceNow Inc (a) 12,000 797
SS&C Technologies Holdings Inc 646 18
Tableau Software Inc (a) 235 11
Tyler Technologies Inc (a) 144 24
Ultimate Software Group Inc/The (a) 113 24
Veeva Systems Inc (a) 415 14
VMware Inc (a) 147 8
Workday Inc (a) 6,205 463
$ 21,806
Telecommunications - 0.89%
Arista NetworksInc (a) 181 12
ARRIS International PLC (a) 226 5
CommScope Holding Co Inc (a) 548 17
Juniper Networks Inc 21,600 486
Motorola Solutions Inc 121 8
Palo Alto NetworksInc (a) 2,790 342
T-Mobile US Inc (a) 18,980 821
Verizon Communications Inc 7,961 444
Zayo Group Holdings Inc (a) 629 18
$2,153
Textiles - 0.02%
MohawkIndustries Inc (a) 207 39
Toys, Games & Hobbies - 0.04%
Hasbro Inc 481 40
Mattel Inc 1,394 44
$84
Transportation - 0.69%
CH Robinson Worldwide Inc 605 45
Expeditors International of Washington Inc 559 27
FedEx Corp 8,470 1,285
JB Hunt Transport Services Inc 381 31
Landstar System Inc 206 14
Old Dominion Freight Line Inc (a) 178 11
Teekay Corp 65 1
Union Pacific Corp 385 34
United Parcel Service Inc 1,996 215
$1,663
Trucking & Leasing - 0.00%
AMERCO 19 7
TOTAL COMMON STOCKS $ 233,069
INVESTMENT COMPANIES - 2.23% Shares Held Value (000's)
Money Market Funds - 2.23%
BlackRockLiquidity Funds FedFund Portfolio 2,359,848 2,360
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
115,943 116
First American Government Obligations Fund 2,896,817 2,897
$5,373
TOTAL INVESTMENT COMPANIES $ 5,373
CONVERTIBLE PREFERRED STOCKS -
0.37% Shares Held Value (000's)
Internet - 0.37%
Airbnb Inc - Series D (a),(b),(c),(d) 3,936 366
Airbnb Inc - Series E (a),(b),(c),(d) 1,119 104
Dropbox Inc (a),(b),(c),(d) 8,228 100
Flipkart Online Services Pvt Ltd Series A
(a),(b),(c),(d)
68 7
Flipkart Online Services Pvt Ltd Series C
(a),(b),(c),(d)
117 11
Schedule of Investments
LargeCap Growth Account I
June 30, 2016 (unaudited)
See accompanying notes. 165
CONVERTIBLE PREFERRED STOCKS
(continued) Shares Held Value (000's)
Internet (continued)
Flipkart Online Services Pvt Ltd Series E
(a),(b),(c),(d)
220 $ 21
Uber Technologies Inc (a),(b),(c),(d) 5,740 280
$889
TOTAL CONVERTIBLE PREFERRED STOCKS $ 889
PREFERRED STOCKS - 0.22% Shares Held Value (000's)
Internet - 0.10%
Flipkart Online Services Pvt Ltd Series G
(a),(b),(c),(d)
985 96
Uber Technologies Inc (a),(b),(c),(d) 3,311 161
$257
Software - 0.12%
Magic Leap Inc (a),(b),(c),(d) 5,653 130
Snapchat Inc (a),(b),(c),(d) 4,923 151
$281
TOTAL PREFERRED STOCKS $ 538
Total Investments $ 239,869
Other Assets and Liabilities - 0.50% $ 1,213
TOTAL NET ASSETS - 100.00% $ 241,082
(a)
N
on-Income Producing Security
(b) Security is Illiquid. At the end of the period, the value of these securities
totaled $1,457 or 0.60% of net assets.
(c)
R
estricted Security. Please see Restricted Security Sub-Schedule for more
information.
(d)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securitie
s
totaled
$1,457 or 0.60% of net assets.
Portfolio Summary (unaudited)
Sector Percent
Consumer, Non-cyclical 27.85%
Communications 21.55%
Technology 15.51%
Consumer, Cyclical 14.70%
Industrial 8.04%
Financial 7.63%
Investment Companies 2.23%
Basic Materials 1.88%
Energy 0.10%
Utilities 0.01%
Other Assets and Liabilities 0.50%
TOTAL NET ASSETS 100.00%
Futures Contracts
Type Long/Short Contracts Notional Value Fair Value
Unrealized
Appreciation/(Depreciation)
S&P 500 Emini; September 2016 Long 58 $ 6,076 $ 6,062 $ (14)
Total $(14)
A
mounts in thousands except contracts
Restricted Securities
Security Name Trade Date Cost Value Percent of Net Assets
Airbnb Inc - Series D 04/16/2014 $ 160 $ 366 0.15%
Airbnb Inc - Series E 07/14/2015 104 104 0.04%
Dropbox Inc 01/30/2014 157 100 0.04%
Dropbox Inc 11/07/2014 27 11 0.00%
Flipkart Online Services Pvt Ltd 03/19/2015 22 19 0.01%
Flipkart Online Services Pvt Ltd Series A 03/19/2015 8 7 0.00%
Flipkart Online Services Pvt Ltd Series C 03/19/2015 14 11 0.00%
Flipkart Online Services Pvt Ltd Series E 03/19/2015 25 21 0.01%
Flipkart Online Services Pvt Ltd Series G 12/17/2014 118 96 0.04%
Magic Leap Inc 01/20/2016 130 130 0.05%
Snapchat Inc 05/06/2016 151 151 0.06%
Uber Technologies Inc 12/03/2015 162 161 0.07%
Uber Technologies Inc 12/05/2014 191 280 0.12%
A
mounts in thousands
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 166
COMMON STOCKS - 97.69% Shares Held Value (000's)
Advertising - 0.15%
Interpublic Group of Cos Inc/The 46,639 $ 1,077
Omnicom Group Inc 27,555 2,246
$3,323
Aerospace & Defense - 2.09%
Boeing Co/The 69,400 9,013
General Dynamics Corp 33,299 4,637
Harris Corp 14,455 1,206
L-3 Communications Holdings Inc 8,918 1,308
Lockheed Martin Corp 30,346 7,531
N
orthrop Grumman Corp 20,914 4,649
Raytheon Co 34,420 4,679
Rockwell Collins Inc 15,089 1,285
TransDigm Group Inc (a) 6,140 1,619
United Technologies Corp 90,204 9,250
$ 45,177
Agriculture - 1.95%
Altria Group Inc 226,751 15,637
Archer-Daniels-Midland Co 68,101 2,921
Philip Morris International Inc 179,793 18,289
Reynolds American Inc 95,949 5,174
$ 42,021
Airlines - 0.49%
Alaska Air Group Inc 14,285 833
American Airlines Group Inc 67,010 1,897
Delta Air Lines Inc 89,428 3,258
Southwest Airlines Co 74,024 2,902
United Continental Holdings Inc (a) 38,908 1,597
$ 10,487
Apparel - 0.71%
Hanesbrands Inc 43,754 1,099
Michael Kors Holdings Ltd (a) 20,453 1,012
N
IKE Inc 154,318 8,518
Ralph Lauren Corp 6,608 592
Under Armour Inc – Class A (a) 21,226 852
Under Armour Inc – Class C (a) 21,334 777
VF Corp 38,666 2,378
$ 15,228
Automobile Manufacturers - 0.57%
Ford Motor Co 452,244 5,685
General Motors Co 162,405 4,596
PACCAR Inc 40,619 2,107
$ 12,388
Automobile Parts & Equipment - 0.32%
BorgWarner Inc 25,222 745
Delphi Automotive PLC 31,638 1,980
Goodyear Tire & Rubber Co/The 30,823 791
Johnson Controls Inc 75,146 3,326
$6,842
Banks - 6.18%
Bankof America Corp 1,190,527 15,798
Bankof New YorkMellon Corp/The 124,835 4,850
BB&T Corp 95,139 3,388
Capital One Financial Corp 59,352 3,769
Citigroup Inc 340,161 14,419
Citizens Financial Group Inc 61,309 1,225
Comerica Inc 20,298 835
Fifth Third Bancorp 88,979 1,565
Goldman Sachs Group Inc/The 44,774 6,653
Huntington Bancshares Inc/OH 92,589 828
JPMorgan Chase & Co 423,812 26,336
KeyCorp 97,632 1,079
M&T BankCorp 18,428 2,179
Morgan Stanley 175,112 4,549
N
orthern Trust Corp 24,857 1,647
PNC Financial Services Group Inc/The 57,872 4,710
Regions Financial Corp 146,813 1,249
State Street Corp 45,889 2,474
SunTrust Banks Inc 58,081 2,386
US Bancorp 188,086 7,586
COMMON STOCKS (continued) Shares Held Value (000's)
Banks (continued)
Wells Fargo & Co 535,476 $ 25,344
Zions Bancorporation 23,716 596
$133,465
Beverages - 2.30%
Brown-Forman Corp - B Shares 11,648 1,162
Coca-Cola Co/The 451,270 20,456
Constellation Brands Inc 20,446 3,382
Dr Pepper Snapple Group Inc 21,535 2,081
Molson Coors Brewing Co 21,340 2,158
Monster Beverage Corp (a) 16,316 2,622
PepsiCo Inc 167,409 17,735
$ 49,596
Biotechnology - 2.42%
Alexion Pharmaceuticals Inc (a) 25,964 3,031
Amgen Inc 87,066 13,247
Biogen Inc (a) 25,388 6,139
Celgene Corp (a) 89,777 8,855
Gilead Sciences Inc 154,359 12,877
Illumina Inc (a) 17,060 2,395
Regeneron Pharmaceuticals Inc (a) 9,039 3,157
Vertex Pharmaceuticals Inc (a) 28,668 2,466
$ 52,167
Building Materials - 0.25%
Fortune Brands Home & Security Inc 17,756 1,029
Martin Marietta Materials Inc 7,362 1,414
Masco Corp 38,565 1,193
Vulcan Materials Co 15,436 1,858
$5,494
Chemicals - 2.01%
Air Products & Chemicals Inc 22,539 3,201
Albemarle Corp 13,003 1,031
CF Industries Holdings Inc 27,015 651
Dow Chemical Co/The 130,137 6,469
Eastman Chemical Co 17,229 1,170
Ecolab Inc 30,594 3,628
EI du Pont de Nemours & Co 101,241 6,560
FMC Corp 15,502 718
International Flavors & Fragrances Inc 9,238 1,165
LyondellBasell Industries NV 39,566 2,945
Monsanto Co 50,630 5,236
Mosaic Co/The 40,544 1,061
PPG Industries Inc 30,837 3,212
Praxair Inc 33,062 3,716
Sherwin-Williams Co/The 9,112 2,676
$ 43,439
Commercial Services - 1.24%
Automatic Data Processing Inc 52,797 4,850
Cintas Corp 10,045 986
Equifax Inc 13,793 1,771
Global Payments Inc 17,848 1,274
H&R BlockInc 26,008 598
Moody's Corp 19,592 1,836
N
ielsen Holdings PLC 41,817 2,173
PayPal Holdings Inc (a) 127,832 4,667
Quanta Services Inc (a) 17,505 405
Robert Half International Inc 15,220 581
S&P Global Inc 30,667 3,289
Total System Services Inc 19,578 1,040
United Rentals Inc (a) 10,257 688
VeriskAnalytics Inc (a) 17,931 1,454
Western Union Co/The 56,923 1,092
$ 26,704
Computers - 4.85%
Accenture PLC - Class A 72,298 8,191
Apple Inc 634,840 60,691
Cognizant Technology Solutions Corp (a) 70,221 4,019
CSRA Inc 15,898 372
EMC Corp/MA 226,377 6,151
Hewlett Packard Enterprise Co 192,594 3,519
HP Inc 198,261 2,488
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 167
COMMON STOCKS (continued) Shares Held Value (000's)
Computers (continued)
International Business Machines Corp 102,359 $ 15,536
N
etApp Inc 33,505 824
Seagate Technology PLC 34,594 843
Teradata Corp (a) 15,067 378
Western Digital Corp 32,618 1,541
$104,553
Consumer Products - 0.47%
Avery Dennison Corp 10,336 773
Church & Dwight Co Inc 14,873 1,530
Clorox Co/The 14,990 2,075
Kimberly-Clark Corp 41,739 5,738
$ 10,116
Cosmetics & Personal Care - 1.67%
Colgate-Palmolive Co 103,501 7,576
Estee Lauder Cos Inc/The 25,797 2,348
Procter & Gamble Co/The (b) 308,511 26,122
$ 36,046
Distribution & Wholesale - 0.19%
Fastenal Co 33,481 1,486
LKQ Corp (a) 35,544 1,127
WW Grainger Inc 6,538 1,486
$4,099
Diversified Financial Services - 2.97%
Affiliated Managers Group Inc (a) 6,236 878
Alliance Data Systems Corp (a) 6,831 1,338
American Express Co 93,691 5,693
Ameriprise Financial Inc 19,217 1,727
BlackRockInc 14,579 4,994
Charles Schwab Corp/The 139,398 3,528
CME Group Inc/IL 39,248 3,823
Discover Financial Services 47,777 2,560
E*TRADE Financial Corp (a) 32,305 759
Franklin Resources Inc 42,710 1,425
Intercontinental Exchange Inc 13,797 3,532
Invesco Ltd 48,362 1,235
Legg Mason Inc 12,216 360
MasterCard Inc 112,516 9,908
N
asdaq Inc 13,347 863
N
avient Corp 38,306 458
Synchrony Financial 96,652 2,443
T Rowe Price Group Inc 28,766 2,099
Visa Inc 220,767 16,374
$ 63,997
Electric - 3.19%
AES Corp/VA 76,378 953
Alliant Energy Corp 26,299 1,044
Ameren Corp 28,121 1,507
American Electric Power Co Inc 56,943 3,991
CMS Energy Corp 32,354 1,484
Consolidated Edison Inc 35,252 2,836
Dominion Resources Inc/VA 71,420 5,566
DTE Energy Co 20,796 2,061
Duke Energy Corp 79,844 6,850
Edison International 37,761 2,933
Entergy Corp 20,716 1,685
Eversource Energy 36,764 2,202
Exelon Corp 106,837 3,885
FirstEnergy Corp 49,224 1,718
N
extEra Energy Inc 53,482 6,974
N
RG Energy Inc 36,498 547
PG&E Corp 57,491 3,675
Pinnacle West Capital Corp 12,881 1,044
PPL Corp 78,458 2,962
Public Service Enterprise Group Inc 58,637 2,733
SCANA Corp 16,564 1,253
Southern Co/The 108,779 5,834
WEC Energy Group Inc 36,583 2,389
Xcel Energy Inc 58,872 2,636
$ 68,762
COMMON STOCKS (continued) Shares Held Value (000's)
Electrical Components & Equipment - 0.30%
Acuity Brands Inc 5,079 $ 1,259
AMETEK Inc 27,052 1,251
Emerson Electric Co 74,565 3,889
$6,399
Electronics - 1.15%
Agilent Technologies Inc 37,988 1,685
Allegion PLC 11,095 770
Amphenol Corp 35,689 2,046
Corning Inc 124,634 2,553
FLIR Systems Inc 15,951 494
Garmin Ltd 13,595 577
Honeywell International Inc 88,330 10,275
PerkinElmer Inc 12,636 662
TE Connectivity Ltd 41,448 2,367
Tyco International Plc 49,315 2,101
Waters Corp (a) 9,381 1,319
$ 24,849
Energy - Alternate Sources - 0.02%
First Solar Inc (a) 8,887 431
Engineering & Construction - 0.07%
Fluor Corp 16,136 795
Jacobs Engineering Group Inc (a) 14,131 704
$1,499
Environmental Control - 0.26%
Republic Services Inc 27,502 1,411
Stericycle Inc (a) 9,841 1,025
Waste Management Inc 47,886 3,173
$5,609
Food - 1.97%
Campbell Soup Co 20,781 1,383
ConAgra Foods Inc 50,581 2,418
General Mills Inc 68,891 4,913
Hershey Co/The 16,287 1,848
Hormel Foods Corp 31,319 1,146
JM Smucker Co/The 13,871 2,114
Kellogg Co 29,211 2,385
Kraft Heinz Co/The 69,056 6,110
Kroger Co/The 110,545 4,067
McCormick& Co Inc/MD 13,359 1,425
Mondelez International Inc 179,885 8,187
Sysco Corp 60,740 3,082
Tyson Foods Inc 34,832 2,327
Whole Foods Market Inc 37,207 1,191
$ 42,596
Forest Products & Paper - 0.09%
International Paper Co 47,655 2,020
Gas - 0.25%
CenterPoint Energy Inc 49,909 1,198
N
iSource Inc 37,267 988
Sempra Energy 27,471 3,132
$5,318
Hand & Machine Tools - 0.14%
Snap-on Inc 6,739 1,064
Stanley Black&Decker Inc 17,398 1,935
$2,999
Healthcare - Products - 3.16%
Abbott Laboratories 170,276 6,694
Baxter International Inc 64,007 2,894
Becton Dickinson and Co 24,594 4,171
Boston Scientific Corp (a) 157,262 3,675
CR Bard Inc 8,497 1,998
Danaher Corp 69,443 7,014
DENTSPLY SIRONA Inc 27,147 1,684
Edwards Lifesciences Corp (a) 24,543 2,448
Henry Schein Inc (a) 9,511 1,682
Hologic Inc (a) 28,115 973
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 168
COMMON STOCKS (continued) Shares Held Value (000's)
Healthcare - Products (continued)
Intuitive Surgical Inc (a) 4,411 $ 2,917
Medtronic PLC 162,975 14,141
Patterson Cos Inc 9,647 462
St Jude Medical Inc 32,948 2,570
Stryker Corp 36,409 4,363
Thermo Fisher Scientific Inc 45,608 6,739
Varian Medical Systems Inc (a) 11,035 907
Zimmer Biomet Holdings Inc 23,074 2,778
$ 68,110
Healthcare - Services - 1.91%
Aetna Inc 40,634 4,963
Anthem Inc 30,476 4,003
Centene Corp (a) 19,757 1,410
Cigna Corp 29,730 3,805
DaVita HealthCare Partners Inc (a) 18,907 1,462
HCA Holdings Inc (a) 34,899 2,687
Humana Inc 17,273 3,107
Laboratory Corp of America Holdings (a) 11,868 1,546
Quest Diagnostics Inc 16,395 1,335
UnitedHealth Group Inc 110,199 15,560
Universal Health Services Inc 10,403 1,395
$ 41,273
Holding Companies - Diversified - 0.03%
Leucadia National Corp 38,634 670
Home Builders - 0.13%
DR Horton Inc 38,261 1,205
Lennar Corp - A Shares 21,256 980
PulteGroup Inc 36,496 711
$2,896
Home Furnishings - 0.13%
Harman International Industries Inc 8,177 587
Leggett & Platt Inc 15,568 796
Whirlpool Corp 8,804 1,467
$2,850
Housewares - 0.12%
N
ewell Brands Inc 52,929 2,571
Insurance - 4.00%
Aflac Inc 47,981 3,462
Allstate Corp/The 43,389 3,035
American International Group Inc 129,697 6,860
Aon PLC 30,704 3,354
Arthur J Gallagher & Co 20,529 977
Assurant Inc 7,178 619
Berkshire Hathaway Inc - Class B (a) 217,180 31,445
Chubb Ltd 53,833 7,036
Cincinnati Financial Corp 17,143 1,284
Hartford Financial Services Group Inc/The 45,593 2,023
Lincoln National Corp 27,701 1,074
Loews Corp 31,041 1,275
Marsh & McLennan Cos Inc 60,411 4,136
MetLife Inc 127,336 5,072
Progressive Corp/The 67,570 2,264
Prudential Financial Inc 51,228 3,655
TorchmarkCorp 13,004 804
Travelers Cos Inc/The 33,888 4,034
Unum Group 27,556 876
Willis Towers Watson PLC 16,045 1,995
XL Group PLC 32,993 1,099
$ 86,379
Internet - 6.23%
Alphabet Inc - A Shares (a) 34,037 23,946
Alphabet Inc - C Shares (a) 34,232 23,692
Amazon.com Inc (a) 44,842 32,090
eBay Inc (a) 122,506 2,868
Expedia Inc 13,586 1,444
F5 NetworksInc (a) 7,763 884
FacebookInc (a) 267,947 30,621
COMMON STOCKS (continued) Shares Held Value (000's)
Internet (continued)
N
etflix Inc (a) 49,640 $ 4,541
Priceline Group Inc/The (a) 5,753 7,182
Symantec Corp 70,965 1,458
TripAdvisor Inc (a) 13,247 852
VeriSign Inc (a) 11,063 956
Yahoo! Inc (a) 101,289 3,804
$134,338
Iron & Steel - 0.08%
N
ucor Corp 36,848 1,821
Leisure Products & Services - 0.21%
Carnival Corp 50,818 2,246
Harley-Davidson Inc 20,988 951
Royal Caribbean Cruises Ltd 19,458 1,307
$4,504
Lodging - 0.22%
Marriott International Inc/MD 22,099 1,469
Starwood Hotels & Resorts Worldwide Inc 19,535 1,445
Wyndham Worldwide Corp 12,975 924
Wynn Resorts Ltd 9,438 855
$4,693
Machinery - Construction & Mining - 0.24%
Caterpillar Inc 67,671 5,130
Machinery - Diversified - 0.47%
Cummins Inc 18,362 2,065
Deere & Co 34,601 2,804
Flowserve Corp 15,109 682
Rockwell Automation Inc 15,097 1,733
Roper Technologies Inc 11,729 2,001
Xylem Inc/NY 20,734 926
$ 10,211
Media - 2.50%
CBS Corp 48,135 2,620
Comcast Corp - Class A 280,220 18,267
Discovery Communications Inc - A Shares (a) 17,440 440
Discovery Communications Inc - C Shares (a) 27,671 660
N
ews Corp - A Shares 44,108 501
N
ews Corp - B Shares 12,494 146
Scripps Networks Interactive Inc 11,013 686
TEGNA Inc 25,218 584
Time Warner Inc 91,144 6,703
Twenty-First Century Fox Inc - A Shares 126,995 3,435
Twenty-First Century Fox Inc - B Shares 49,976 1,362
Viacom Inc - B Shares 40,172 1,666
Walt Disney Co/The 172,999 16,923
$ 53,993
Mining - 0.25%
Alcoa Inc 152,422 1,413
Freeport-McMoRan Inc 145,124 1,617
N
ewmont Mining Corp 61,489 2,405
$5,435
Miscellaneous Manufacturers - 2.79%
3M Co 70,295 12,310
Dover Corp 17,981 1,246
Eaton Corp PLC 53,082 3,171
General Electric Co 1,065,787 33,551
Illinois Tool Works Inc 37,486 3,904
Ingersoll-Rand PLC 29,840 1,900
Parker-Hannifin Corp 15,609 1,687
Pentair PLC 20,945 1,221
Textron Inc 31,157 1,139
$ 60,129
Office & Business Equipment - 0.07%
Pitney Bowes Inc 21,861 389
Xerox Corp 110,363 1,047
$1,436
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 169
COMMON STOCKS (continued) Shares Held Value (000's)
Oil & Gas - 5.72%
Anadarko Petroleum Corp 59,159 $ 3,150
Apache Corp 43,872 2,442
Cabot Oil & Gas Corp 53,894 1,387
Chesapeake Energy Corp (a) 67,783 290
Chevron Corp 218,439 22,899
Cimarex Energy Co 10,989 1,311
Concho Resources Inc (a) 15,107 1,802
ConocoPhillips 143,530 6,258
Devon Energy Corp 60,732 2,202
Diamond Offshore Drilling Inc 7,472 182
EOG Resources Inc 63,777 5,320
EQT Corp 20,020 1,550
Exxon Mobil Corp 480,597 45,051
Helmerich & Payne Inc 12,521 841
Hess Corp 30,552 1,836
Marathon Oil Corp 98,243 1,475
Marathon Petroleum Corp 61,408 2,331
Murphy Oil Corp 18,760 596
N
ewfield Exploration Co (a) 22,798 1,007
N
oble Energy Inc 49,671 1,782
Occidental Petroleum Corp 88,518 6,688
Phillips 66 54,214 4,301
Pioneer Natural Resources Co 18,956 2,866
Range Resources Corp 19,673 849
Southwestern Energy Co (a) 54,820 690
Tesoro Corp 13,905 1,042
Transocean Ltd 39,787 473
Valero Energy Corp 54,450 2,777
$123,398
Oil & Gas Services - 1.01%
Baker Hughes Inc 50,754 2,291
FMC Technologies Inc (a) 26,234 700
Halliburton Co 99,589 4,510
N
ational Oilwell Varco Inc 43,701 1,471
Schlumberger Ltd 161,046 12,735
$ 21,707
Packaging & Containers - 0.18%
Ball Corp 20,142 1,456
Owens-Illinois Inc (a) 18,766 338
Sealed Air Corp 22,848 1,050
WestRock Co 29,277 1,138
$3,982
Pharmaceuticals - 7.02%
AbbVie Inc 187,453 11,605
Allergan plc (a) 45,845 10,594
AmerisourceBergen Corp 21,265 1,687
Bristol-Myers Squibb Co 193,474 14,230
Cardinal Health Inc 37,762 2,946
Eli Lilly & Co 112,583 8,866
Endo International PLC (a) 23,742 370
Express Scripts Holding Co (a) 73,342 5,560
Johnson & Johnson 318,802 38,671
Mallinckrodt PLC (a) 12,671 770
McKesson Corp 26,080 4,868
Mead Johnson Nutrition Co 21,634 1,963
Merck& Co Inc 320,817 18,482
Mylan NV (a) 49,493 2,140
Perrigo Co PLC 16,599 1,505
Pfizer Inc (b) 702,923 24,750
Zoetis Inc 52,909 2,511
$151,518
Pipelines - 0.51%
Columbia Pipeline Group Inc 46,342 1,181
Kinder Morgan Inc/DE 212,084 3,970
ONEOK Inc 24,351 1,156
Spectra Energy Corp 79,300 2,905
Williams Cos Inc/The 79,162 1,712
$ 10,924
COMMON STOCKS (continued) Shares Held Value (000's)
Real Estate - 0.04%
CBRE Group Inc (a) 33,823 $ 896
REITS - 3.12%
American Tower Corp 49,207 5,590
Apartment Investment & Management Co 18,151 801
AvalonBay Communities Inc 15,897 2,868
Boston Properties Inc 17,803 2,348
Crown Castle International Corp 39,046 3,960
Digital Realty Trust Inc 17,016 1,855
Equinix Inc 8,046 3,120
Equity Residential 42,362 2,918
Essex Property Trust Inc 7,583 1,730
Extra Space Storage Inc 14,511 1,343
Federal Realty Investment Trust 8,217 1,360
General Growth Properties Inc 67,559 2,015
HCP Inc 54,136 1,915
Host Hotels & Resorts Inc 86,614 1,404
Iron Mountain Inc 27,701 1,103
Kimco Realty Corp 48,637 1,526
Macerich Co/The 14,628 1,249
Prologis Inc 60,890 2,986
Public Storage 17,080 4,365
Realty Income Corp 29,859 2,071
Simon Property Group Inc 35,860 7,778
SL Green Realty Corp 11,617 1,237
UDR Inc 30,961 1,143
Ventas Inc 39,189 2,854
Vornado Realty Trust 20,566 2,059
Welltower Inc 41,376 3,152
Weyerhaeuser Co 86,586 2,578
$ 67,328
Retail - 6.52%
Advance Auto Parts Inc 8,525 1,378
AutoNation Inc (a) 8,245 387
AutoZone Inc (a) 3,460 2,747
Bed Bath & Beyond Inc 17,891 773
Best Buy Co Inc 32,678 1,000
CarMax Inc (a) 22,465 1,101
Chipotle Mexican Grill Inc (a) 3,384 1,363
Coach Inc 32,224 1,313
Costco Wholesale Corp 50,772 7,973
CVS Health Corp 124,480 11,918
Darden Restaurants Inc 13,218 837
Dollar General Corp 32,890 3,092
Dollar Tree Inc (a) 27,302 2,573
Foot Locker Inc 15,773 865
Gap Inc/The 26,290 558
Genuine Parts Co 17,341 1,756
Home Depot Inc/The 144,181 18,411
Kohl's Corp 21,292 807
L Brands Inc 29,323 1,968
Lowe's Cos Inc 102,700 8,131
Macy's Inc 35,743 1,201
McDonald's Corp 101,744 12,244
N
ordstrom Inc 14,874 566
O'Reilly Automotive Inc (a) 11,179 3,031
PVH Corp 9,392 885
Ross Stores Inc 46,569 2,640
Signet Jewelers Ltd 9,040 745
Staples Inc 74,905 646
Starbucks Corp 169,783 9,698
Target Corp 68,297 4,769
Tiffany & Co 12,706 771
TJX Cos Inc/The 76,620 5,917
Tractor Supply Co 15,464 1,410
Ulta Salon Cosmetics & Fragrance Inc (a) 7,238 1,763
Urban Outfitters Inc (a) 10,044 276
Walgreens Boots Alliance Inc 100,161 8,340
Wal-Mart Stores Inc 176,999 12,924
Yum! Brands Inc 47,222 3,916
$140,693
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 170
COMMON STOCKS (continued) Shares Held Value (000's)
Savings & Loans - 0.02%
People's United Financial Inc 36,029 $ 528
Semiconductors - 2.76%
Analog Devices Inc 35,622 2,017
Applied Materials Inc 126,233 3,026
Broadcom Ltd 42,990 6,681
Intel Corp 547,285 17,951
KLA-Tencor Corp 18,046 1,322
Lam Research Corp 18,497 1,555
Linear Technology Corp 27,711 1,289
Microchip Technology Inc 24,897 1,264
Micron Technology Inc (a) 120,194 1,654
N
VIDIA Corp 58,796 2,764
Qorvo Inc (a) 14,780 817
QUALCOMM Inc 170,248 9,120
Skyworks Solutions Inc 22,048 1,395
Texas Instruments Inc 116,391 7,292
Xilinx Inc 29,407 1,356
$ 59,503
Software - 4.53%
Activision Blizzard Inc 59,037 2,340
Adobe Systems Inc (a) 57,974 5,553
Akamai Technologies Inc (a) 20,351 1,138
AutodeskInc (a) 26,030 1,409
CA Inc 34,296 1,126
Cerner Corp (a) 34,873 2,044
Citrix Systems Inc (a) 17,976 1,440
Dun & Bradstreet Corp/The 4,202 512
Electronic Arts Inc (a) 34,956 2,648
Fidelity National Information Services Inc 32,160 2,369
Fiserv Inc (a) 25,768 2,802
Intuit Inc 29,655 3,310
Microsoft Corp 911,037 46,618
Oracle Corp 360,730 14,765
Paychex Inc 37,147 2,210
Red Hat Inc (a) 21,028 1,527
salesforce.com Inc (a) 73,811 5,861
$ 97,672
Telecommunications - 3.72%
AT&T Inc 713,487 30,830
CenturyLinkInc 63,289 1,836
Cisco Systems Inc 582,949 16,725
Frontier Communications Corp 135,961 671
Juniper Networks Inc 40,939 921
Level 3 Communications Inc (a) 33,602 1,730
Motorola Solutions Inc 18,415 1,215
Verizon Communications Inc 472,446 26,381
$ 80,309
Textiles - 0.06%
MohawkIndustries Inc (a) 7,385 1,401
Toys, Games & Hobbies - 0.11%
Hasbro Inc 13,007 1,092
Mattel Inc 39,458 1,235
$2,327
Transportation - 1.48%
CH Robinson Worldwide Inc 16,546 1,229
CSX Corp 110,786 2,889
Expeditors International of Washington Inc 21,100 1,035
FedEx Corp 28,932 4,391
JB Hunt Transport Services Inc 10,314 835
Kansas City Southern 12,515 1,127
N
orfolkSouthern Corp 34,276 2,918
Ryder System Inc 6,224 380
Union Pacific Corp 97,476 8,505
United Parcel Service Inc 80,024 8,620
$ 31,929
COMMON STOCKS (continued) Shares Held Value (000's)
Water - 0.08%
American Water Works Co Inc 20,597 $ 1,741
TOTAL COMMON STOCKS $ 2,107,919
INVESTMENT COMPANIES - 2.46% Shares Held Value (000's)
Exchange Traded Funds - 0.80%
iShares Core S&P 500 ETF 81,316 17,133
Money Market Funds - 1.66%
BlackRockLiquidity Funds FedFund Portfolio 35,915,190 35,915
TOTAL INVESTMENT COMPANIES $ 53,048
Total Investments $ 2,160,967
Other Assets and Liabilities - (0.15)% $ (3,204)
TOTAL NET ASSETS - 100.00% $ 2,157,763
(a)
N
on-Income Producing Security
(b) 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.
Portfolio Summary (unaudited)
Sector Percent
Consumer, Non-cyclical 24.21%
Financial 16.33%
Communications 12.60%
Technology 12.11%
Consumer, Cyclical 9.78%
Industrial 9.42%
Energy 7.26%
Utilities 3.52%
Investment Companies 2.46%
Basic Materials 2.43%
Diversified 0.03%
Other Assets and Liabilities (0.15)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
LargeCap S&P 500 Index Account
June 30, 2016 (unaudited)
See accompanying notes. 171
Futures Contracts
Type Long/Short Contracts Notional Value Fair Value
Unrealized
Appreciation/(Depreciation)
S&P 500 Emini; September 2016 Long 336 $ 34,904 $ 35,115 $ 211
Total $211
A
mounts in thousands except contracts
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 172
COMMON STOCKS - 93.41% Shares Held Value (000's)
Advertising - 0.15%
Interpublic Group of Cos Inc/The 3,788 $ 88
Omnicom Group Inc 2,238 182
$270
Aerospace & Defense - 2.00%
Boeing Co/The 5,637 732
General Dynamics Corp 2,704 377
Harris Corp 1,174 98
L-3 Communications Holdings Inc 725 106
Lockheed Martin Corp 2,465 612
N
orthrop Grumman Corp 1,698 378
Raytheon Co 2,796 380
Rockwell Collins Inc 1,226 104
TransDigm Group Inc (a) 499 132
United Technologies Corp 7,327 751
$3,670
Agriculture - 1.86%
Altria Group Inc 18,420 1,270
Archer-Daniels-Midland Co 5,531 237
Philip Morris International Inc 14,605 1,486
Reynolds American Inc 7,794 420
$3,413
Airlines - 0.46%
Alaska Air Group Inc 1,160 67
American Airlines Group Inc 5,443 154
Delta Air Lines Inc 7,265 265
Southwest Airlines Co 6,013 236
United Continental Holdings Inc (a) 3,160 130
$852
Apparel - 0.68%
Hanesbrands Inc 3,554 90
Michael Kors Holdings Ltd (a) 1,661 82
N
IKE Inc 12,536 692
Ralph Lauren Corp 536 48
Under Armour Inc – Class A (a) 1,724 69
Under Armour Inc – Class C (a) 1,733 63
VF Corp 3,140 193
$1,237
Automobile Manufacturers - 0.55%
Ford Motor Co 36,739 462
General Motors Co 13,192 373
PACCAR Inc 3,299 171
$1,006
Automobile Parts & Equipment - 0.30%
BorgWarner Inc 2,049 61
Delphi Automotive PLC 2,570 161
Goodyear Tire & Rubber Co/The 2,504 64
Johnson Controls Inc 6,104 270
$556
Banks - 5.92%
Bankof America Corp 96,716 1,283
Bankof New YorkMellon Corp/The 10,141 394
BB&T Corp 7,728 275
Capital One Financial Corp 4,820 306
Citigroup Inc 27,633 1,171
Citizens Financial Group Inc 4,980 100
Comerica Inc 1,648 68
Fifth Third Bancorp 7,227 127
Goldman Sachs Group Inc/The 3,636 540
Huntington Bancshares Inc/OH 7,520 67
JPMorgan Chase & Co 34,429 2,139
KeyCorp 7,930 88
M&T BankCorp 1,496 177
Morgan Stanley 14,225 370
N
orthern Trust Corp 2,019 134
PNC Financial Services Group Inc/The 4,701 383
Regions Financial Corp 11,926 102
State Street Corp 3,727 201
SunTrust Banks Inc 4,717 194
US Bancorp 15,279 616
COMMON STOCKS (continued) Shares Held Value (000's)
Banks (continued)
Wells Fargo & Co 43,500 $ 2,059
Zions Bancorporation 1,926 48
$ 10,842
Beverages - 2.20%
Brown-Forman Corp - B Shares 946 94
Coca-Cola Co/The 36,660 1,662
Constellation Brands Inc 1,661 275
Dr Pepper Snapple Group Inc 1,749 169
Molson Coors Brewing Co 1,734 175
Monster Beverage Corp (a) 1,325 213
PepsiCo Inc 13,599 1,441
$4,029
Biotechnology - 2.31%
Alexion Pharmaceuticals Inc (a) 2,109 246
Amgen Inc 7,072 1,076
Biogen Inc (a) 2,062 499
Celgene Corp (a) 7,293 719
Gilead Sciences Inc 12,539 1,046
Illumina Inc (a) 1,385 195
Regeneron Pharmaceuticals Inc (a) 734 256
Vertex Pharmaceuticals Inc (a) 2,329 200
$4,237
Building Materials - 0.24%
Fortune Brands Home & Security Inc 1,442 83
Martin Marietta Materials Inc 598 115
Masco Corp 3,132 97
Vulcan Materials Co 1,254 151
$446
Chemicals - 1.92%
Air Products & Chemicals Inc 1,830 260
Albemarle Corp 1,056 84
CF Industries Holdings Inc 2,195 53
Dow Chemical Co/The 10,571 525
Eastman Chemical Co 1,400 95
Ecolab Inc 2,485 295
EI du Pont de Nemours & Co 8,224 533
FMC Corp 1,259 58
International Flavors & Fragrances Inc 751 95
LyondellBasell Industries NV 3,214 239
Monsanto Co 4,112 425
Mosaic Co/The 3,293 86
PPG Industries Inc 2,505 261
Praxair Inc 2,686 302
Sherwin-Williams Co/The 740 217
$3,528
Commercial Services - 1.18%
Automatic Data Processing Inc 4,289 394
Cintas Corp 816 80
Equifax Inc 1,120 144
Global Payments Inc 1,450 104
H&R BlockInc 2,112 49
Moody's Corp 1,591 149
N
ielsen Holdings PLC 3,396 176
PayPal Holdings Inc (a) 10,384 379
Quanta Services Inc (a) 1,422 33
Robert Half International Inc 1,236 47
S&P Global Inc 2,491 267
Total System Services Inc 1,590 84
United Rentals Inc (a) 833 56
VeriskAnalytics Inc (a) 1,456 118
Western Union Co/The 4,624 89
$2,169
Computers - 4.63%
Accenture PLC - Class A 5,872 665
Apple Inc 51,573 4,930
Cognizant Technology Solutions Corp (a) 5,704 327
CSRA Inc 1,292 30
EMC Corp/MA 18,390 500
Hewlett Packard Enterprise Co 15,645 286
HP Inc 16,106 202
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 173
COMMON STOCKS (continued) Shares Held Value (000's)
Computers (continued)
International Business Machines Corp 8,314 $ 1,262
N
etApp Inc 2,721 67
Seagate Technology PLC 2,809 68
Teradata Corp (a) 1,224 31
Western Digital Corp 2,649 125
$8,493
Consumer Products - 0.45%
Avery Dennison Corp 839 63
Church & Dwight Co Inc 1,208 124
Clorox Co/The 1,218 169
Kimberly-Clark Corp 3,390 466
$822
Cosmetics & Personal Care - 1.60%
Colgate-Palmolive Co 8,407 615
Estee Lauder Cos Inc/The 2,096 191
Procter & Gamble Co/The 25,062 2,122
$2,928
Distribution & Wholesale - 0.18%
Fastenal Co 2,720 121
LKQ Corp (a) 2,887 91
WW Grainger Inc 531 121
$333
Diversified Financial Services - 2.84%
Affiliated Managers Group Inc (a) 506 71
Alliance Data Systems Corp (a) 555 109
American Express Co 7,610 462
Ameriprise Financial Inc 1,561 140
BlackRockInc 1,184 406
Charles Schwab Corp/The 11,324 287
CME Group Inc/IL 3,188 311
Discover Financial Services 3,881 208
E*TRADE Financial Corp (a) 2,624 62
Franklin Resources Inc 3,469 116
Intercontinental Exchange Inc 1,121 287
Invesco Ltd 3,928 100
Legg Mason Inc 992 29
MasterCard Inc 9,140 805
N
asdaq Inc 1,085 70
N
avient Corp 3,111 37
Synchrony Financial 7,851 199
T Rowe Price Group Inc 2,336 170
Visa Inc 17,934 1,330
$5,199
Electric - 3.05%
AES Corp/VA 6,204 77
Alliant Energy Corp 2,136 85
Ameren Corp 2,284 122
American Electric Power Co Inc 4,625 324
CMS Energy Corp 2,628 121
Consolidated Edison Inc 2,863 230
Dominion Resources Inc/VA 5,802 452
DTE Energy Co 1,689 167
Duke Energy Corp 6,485 556
Edison International 3,067 238
Entergy Corp 1,683 137
Eversource Energy 2,986 179
Exelon Corp 8,679 316
FirstEnergy Corp 3,999 140
N
extEra Energy Inc 4,344 567
N
RG Energy Inc 2,964 44
PG&E Corp 4,669 298
Pinnacle West Capital Corp 1,046 85
PPL Corp 6,373 241
Public Service Enterprise Group Inc 4,763 222
SCANA Corp 1,346 102
Southern Co/The 8,836 474
WEC Energy Group Inc 2,972 194
Xcel Energy Inc 4,782 214
$5,585
COMMON STOCKS (continued) Shares Held Value (000's)
Electrical Components & Equipment - 0.28%
Acuity Brands Inc 412 $ 102
AMETEK Inc 2,198 102
Emerson Electric Co 6,056 316
$520
Electronics - 1.10%
Agilent Technologies Inc 3,085 137
Allegion PLC 901 62
Amphenol Corp 2,899 166
Corning Inc 10,124 207
FLIR Systems Inc 1,296 40
Garmin Ltd 1,104 47
Honeywell International Inc 7,175 835
PerkinElmer Inc 1,026 54
TE Connectivity Ltd 3,367 192
Tyco International Plc 4,006 171
Waters Corp (a) 762 107
$2,018
Energy - Alternate Sources - 0.02%
First Solar Inc (a) 721 35
Engineering & Construction - 0.07%
Fluor Corp 1,310 65
Jacobs Engineering Group Inc (a) 1,148 57
$122
Environmental Control - 0.25%
Republic Services Inc 2,234 115
Stericycle Inc (a) 799 83
Waste Management Inc 3,889 258
$456
Food - 1.89%
Campbell Soup Co 1,688 112
ConAgra Foods Inc 4,109 197
General Mills Inc 5,595 399
Hershey Co/The 1,323 150
Hormel Foods Corp 2,544 93
JM Smucker Co/The 1,126 172
Kellogg Co 2,372 194
Kraft Heinz Co/The 5,609 496
Kroger Co/The 8,979 330
McCormick& Co Inc/MD 1,086 116
Mondelez International Inc 14,613 665
Sysco Corp 4,934 250
Tyson Foods Inc 2,829 189
Whole Foods Market Inc 3,022 97
$3,460
Forest Products & Paper - 0.09%
International Paper Co 3,871 164
Gas - 0.24%
CenterPoint Energy Inc 4,054 97
N
iSource Inc 3,027 80
Sempra Energy 2,231 255
$432
Hand & Machine Tools - 0.13%
Snap-on Inc 548 87
Stanley Black&Decker Inc 1,413 157
$244
Healthcare - Products - 3.02%
Abbott Laboratories 13,832 544
Baxter International Inc 5,199 235
Becton Dickinson and Co 1,998 339
Boston Scientific Corp (a) 12,775 298
CR Bard Inc 690 162
Danaher Corp 5,640 570
DENTSPLY SIRONA Inc 2,205 137
Edwards Lifesciences Corp (a) 1,994 199
Henry Schein Inc (a) 772 136
Hologic Inc (a) 2,284 79
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 174
COMMON STOCKS (continued) Shares Held Value (000's)
Healthcare - Products (continued)
Intuitive Surgical Inc (a) 358 $ 237
Medtronic PLC 13,239 1,149
Patterson Cos Inc 784 37
St Jude Medical Inc 2,676 209
Stryker Corp 2,957 354
Thermo Fisher Scientific Inc 3,704 547
Varian Medical Systems Inc (a) 896 74
Zimmer Biomet Holdings Inc 1,874 226
$5,532
Healthcare - Services - 1.83%
Aetna Inc 3,300 403
Anthem Inc 2,475 325
Centene Corp (a) 1,605 115
Cigna Corp 2,415 309
DaVita HealthCare Partners Inc (a) 1,536 119
HCA Holdings Inc (a) 2,834 218
Humana Inc 1,403 252
Laboratory Corp of America Holdings (a) 964 126
Quest Diagnostics Inc 1,332 108
UnitedHealth Group Inc 8,951 1,264
Universal Health Services Inc 845 113
$3,352
Holding Companies - Diversified - 0.03%
Leucadia National Corp 3,138 54
Home Builders - 0.13%
DR Horton Inc 3,108 98
Lennar Corp - A Shares 1,726 79
PulteGroup Inc 2,964 58
$235
Home Furnishings - 0.13%
Harman International Industries Inc 664 48
Leggett & Platt Inc 1,264 64
Whirlpool Corp 715 119
$231
Housewares - 0.11%
N
ewell Brands Inc 4,299 209
Insurance - 3.83%
Aflac Inc 3,898 281
Allstate Corp/The 3,524 247
American International Group Inc 10,535 557
Aon PLC 2,494 272
Arthur J Gallagher & Co 1,667 79
Assurant Inc 583 50
Berkshire Hathaway Inc - Class B (a) 17,643 2,555
Chubb Ltd 4,373 572
Cincinnati Financial Corp 1,392 104
Hartford Financial Services Group Inc/The 3,703 164
Lincoln National Corp 2,250 87
Loews Corp 2,521 104
Marsh & McLennan Cos Inc 4,907 336
MetLife Inc 10,343 412
Progressive Corp/The 5,488 184
Prudential Financial Inc 4,161 297
TorchmarkCorp 1,056 65
Travelers Cos Inc/The 2,752 328
Unum Group 2,238 71
Willis Towers Watson PLC 1,303 162
XL Group PLC 2,679 89
$7,016
Internet - 5.95%
Alphabet Inc - A Shares (a) 2,765 1,945
Alphabet Inc - C Shares (a) 2,780 1,924
Amazon.com Inc (a) 3,642 2,606
eBay Inc (a) 9,951 233
Expedia Inc 1,103 117
F5 NetworksInc (a) 631 72
FacebookInc (a) 21,766 2,488
COMMON STOCKS (continued) Shares Held Value (000's)
Internet (continued)
N
etflix Inc (a) 4,032 $ 369
Priceline Group Inc/The (a) 468 584
Symantec Corp 5,764 118
TripAdvisor Inc (a) 1,076 69
VeriSign Inc (a) 898 78
Yahoo! Inc (a) 8,228 309
$ 10,912
Iron & Steel - 0.08%
N
ucor Corp 2,992 148
Leisure Products & Services - 0.20%
Carnival Corp 4,127 183
Harley-Davidson Inc 1,705 77
Royal Caribbean Cruises Ltd 1,581 106
$366
Lodging - 0.21%
Marriott International Inc/MD 1,795 119
Starwood Hotels & Resorts Worldwide Inc 1,587 117
Wyndham Worldwide Corp 1,054 75
Wynn Resorts Ltd 766 70
$381
Machinery - Construction & Mining - 0.23%
Caterpillar Inc 5,497 417
Machinery - Diversified - 0.45%
Cummins Inc 1,491 168
Deere & Co 2,810 228
Flowserve Corp 1,227 55
Rockwell Automation Inc 1,226 141
Roper Technologies Inc 952 162
Xylem Inc/NY 1,684 75
$829
Media - 2.39%
CBS Corp 3,910 213
Comcast Corp - Class A 22,763 1,484
Discovery Communications Inc - A Shares (a) 1,416 36
Discovery Communications Inc - C Shares (a) 2,248 54
N
ews Corp - A Shares 3,582 41
N
ews Corp - B Shares 1,015 12
Scripps Networks Interactive Inc 894 56
TEGNA Inc 2,048 47
Time Warner Inc 7,403 544
Twenty-First Century Fox Inc - A Shares 10,316 279
Twenty-First Century Fox Inc - B Shares 4,059 110
Viacom Inc - B Shares 3,263 135
Walt Disney Co/The 14,053 1,375
$4,386
Mining - 0.24%
Alcoa Inc 12,382 115
Freeport-McMoRan Inc 11,789 131
N
ewmont Mining Corp 4,994 195
$441
Miscellaneous Manufacturers - 2.66%
3M Co 5,710 1,000
Dover Corp 1,460 101
Eaton Corp PLC 4,312 258
General Electric Co (b) 86,582 2,726
Illinois Tool Works Inc 3,045 317
Ingersoll-Rand PLC 2,423 154
Parker-Hannifin Corp 1,268 137
Pentair PLC 1,701 99
Textron Inc 2,531 92
$4,884
Office & Business Equipment - 0.06%
Pitney Bowes Inc 1,775 32
Xerox Corp 8,965 85
$117
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 175
COMMON STOCKS (continued) Shares Held Value (000's)
Oil & Gas - 5.47%
Anadarko Petroleum Corp 4,805 $ 256
Apache Corp 3,564 198
Cabot Oil & Gas Corp 4,377 113
Chesapeake Energy Corp (a) 5,507 24
Chevron Corp 17,745 1,860
Cimarex Energy Co 892 107
Concho Resources Inc (a) 1,227 146
ConocoPhillips 11,660 508
Devon Energy Corp 4,933 179
Diamond Offshore Drilling Inc 607 15
EOG Resources Inc 5,180 432
EQT Corp 1,627 126
Exxon Mobil Corp (b) 39,042 3,660
Helmerich & Payne Inc 1,017 68
Hess Corp 2,482 149
Marathon Oil Corp 7,980 120
Marathon Petroleum Corp 4,988 189
Murphy Oil Corp 1,524 48
N
ewfield Exploration Co (a) 1,851 82
N
oble Energy Inc 4,035 145
Occidental Petroleum Corp 7,190 543
Phillips 66 4,403 349
Pioneer Natural Resources Co 1,540 233
Range Resources Corp 1,598 69
Southwestern Energy Co (a) 4,453 56
Tesoro Corp 1,129 85
Transocean Ltd 3,232 38
Valero Energy Corp 4,423 226
$ 10,024
Oil & Gas Services - 0.96%
Baker Hughes Inc 4,122 186
FMC Technologies Inc (a) 2,131 57
Halliburton Co 8,090 366
N
ational Oilwell Varco Inc 3,549 119
Schlumberger Ltd 13,082 1,035
$1,763
Packaging & Containers - 0.18%
Ball Corp 1,636 118
Owens-Illinois Inc (a) 1,525 28
Sealed Air Corp 1,855 85
WestRock Co 2,378 92
$323
Pharmaceuticals - 6.72%
AbbVie Inc 15,228 943
Allergan plc (a) 3,724 861
AmerisourceBergen Corp 1,727 137
Bristol-Myers Squibb Co 15,717 1,156
Cardinal Health Inc 3,067 239
Eli Lilly & Co 9,145 720
Endo International PLC (a) 1,928 30
Express Scripts Holding Co (a) 5,958 452
Johnson & Johnson 25,898 3,141
Mallinckrodt PLC (a) 1,029 63
McKesson Corp 2,119 395
Mead Johnson Nutrition Co 1,758 160
Merck& Co Inc 26,062 1,501
Mylan NV (a) 4,020 174
Perrigo Co PLC 1,349 122
Pfizer Inc 57,104 2,011
Zoetis Inc 4,297 204
$ 12,309
Pipelines - 0.48%
Columbia Pipeline Group Inc 3,764 96
Kinder Morgan Inc/DE 17,229 322
ONEOK Inc 1,978 94
Spectra Energy Corp 6,441 236
Williams Cos Inc/The 6,430 139
$887
COMMON STOCKS (continued) Shares Held Value (000's)
Real Estate - 0.04%
CBRE Group Inc (a) 2,747 $ 73
REITS - 2.98%
American Tower Corp 3,996 454
Apartment Investment & Management Co 1,475 65
AvalonBay Communities Inc 1,292 233
Boston Properties Inc 1,447 191
Crown Castle International Corp 3,171 322
Digital Realty Trust Inc 1,382 151
Equinix Inc 654 254
Equity Residential 3,441 237
Essex Property Trust Inc 616 140
Extra Space Storage Inc 1,179 109
Federal Realty Investment Trust 667 110
General Growth Properties Inc 5,487 164
HCP Inc 4,397 156
Host Hotels & Resorts Inc 7,036 114
Iron Mountain Inc 2,250 90
Kimco Realty Corp 3,951 124
Macerich Co/The 1,189 102
Prologis Inc 4,945 242
Public Storage 1,387 354
Realty Income Corp 2,426 168
Simon Property Group Inc 2,912 632
SL Green Realty Corp 944 100
UDR Inc 2,515 93
Ventas Inc 3,183 232
Vornado Realty Trust 1,670 167
Welltower Inc 3,361 256
Weyerhaeuser Co 7,034 209
$5,469
Retail - 6.23%
Advance Auto Parts Inc 692 112
AutoNation Inc (a) 669 31
AutoZone Inc (a) 281 223
BedBath& BeyondInc 1,453 63
Best Buy Co Inc 2,654 81
CarMax Inc (a) 1,824 89
Chipotle Mexican Grill Inc (a) 275 111
Coach Inc 2,617 107
Costco Wholesale Corp 4,124 648
CVS Health Corp 10,111 968
Darden Restaurants Inc 1,074 68
Dollar General Corp 2,671 251
Dollar Tree Inc (a) 2,217 209
Foot Locker Inc 1,281 70
Gap Inc/The 2,135 45
Genuine Parts Co 1,408 143
Home Depot Inc/The 11,712 1,496
Kohl's Corp 1,730 66
L Brands Inc 2,382 160
Lowe's Cos Inc 8,343 661
Macy's Inc 2,903 98
McDonald's Corp 8,264 994
N
ordstrom Inc 1,208 46
O'Reilly Automotive Inc (a) 908 246
PVH Corp 763 72
Ross Stores Inc 3,782 214
Signet Jewelers Ltd 734 60
Staples Inc 6,085 52
Starbucks Corp 13,792 788
Target Corp 5,548 387
Tiffany & Co 1,033 63
TJX Cos Inc/The 6,224 481
Tractor Supply Co 1,256 115
Ulta Salon Cosmetics & Fragrance Inc (a) 588 143
Urban Outfitters Inc (a) 816 22
Walgreens Boots Alliance Inc 8,136 677
Wal-Mart Stores Inc 14,379 1,050
Yum! Brands Inc 3,835 318
$ 11,428
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 176
COMMON STOCKS (continued) Shares Held Value (000's)
Savings & Loans - 0.02%
People's United Financial Inc 2,926 $ 43
Semiconductors - 2.64%
Analog Devices Inc 2,894 164
Applied Materials Inc 10,254 246
Broadcom Ltd 3,492 543
Intel Corp 44,459 1,458
KLA-Tencor Corp 1,465 107
Lam Research Corp 1,503 126
Linear Technology Corp 2,251 105
Microchip Technology Inc 2,022 103
Micron Technology Inc (a) 9,764 134
N
VIDIA Corp 4,776 225
Qorvo Inc (a) 1,201 67
QUALCOMM Inc 13,830 741
Skyworks Solutions Inc 1,791 113
Texas Instruments Inc 9,455 592
Xilinx Inc 2,388 110
$4,834
Software - 4.33%
Activision Blizzard Inc 4,795 190
Adobe Systems Inc (a) 4,709 451
Akamai Technologies Inc (a) 1,653 93
AutodeskInc (a) 2,114 114
CA Inc 2,785 91
Cerner Corp (a) 2,832 166
Citrix Systems Inc (a) 1,460 117
Dun & Bradstreet Corp/The 342 42
Electronic Arts Inc (a) 2,840 215
Fidelity National Information Services Inc 2,612 192
Fiserv Inc (a) 2,093 228
Intuit Inc 2,409 269
Microsoft Corp (b) 74,011 3,787
Oracle Corp 29,304 1,199
Paychex Inc 3,017 180
Red Hat Inc (a) 1,708 124
salesforce.com Inc (a) 5,995 476
$7,934
Telecommunications - 3.56%
AT&T Inc 57,961 2,504
CenturyLinkInc 5,141 149
Cisco Systems Inc 47,357 1,359
Frontier Communications Corp 11,045 55
Juniper Networks Inc 3,325 75
Level 3 Communications Inc (a) 2,729 140
Motorola Solutions Inc 1,495 99
Verizon Communications Inc 38,380 2,143
$6,524
Textiles - 0.06%
MohawkIndustries Inc (a) 600 114
Toys, Games & Hobbies - 0.10%
Hasbro Inc 1,056 89
Mattel Inc 3,205 100
$189
Transportation - 1.42%
CH Robinson Worldwide Inc 1,344 100
CSX Corp 8,999 235
Expeditors International of Washington Inc 1,714 84
FedEx Corp 2,350 357
JB Hunt Transport Services Inc 838 68
Kansas City Southern 1,017 91
N
orfolkSouthern Corp 2,784 237
Ryder System Inc 505 31
Union Pacific Corp 7,918 691
United Parcel Service Inc 6,500 700
$2,594
COMMON STOCKS (continued) Shares Held Value (000's)
Water - 0.08%
American Water Works Co Inc 1,673 $ 141
TOTAL COMMON STOCKS $ 171,225
INVESTMENT COMPANIES - 6.51% Shares Held Value (000's)
Exchange Traded Funds - 0.82%
iShares Core S&P 500 ETF 7,108 1,498
Money Market Funds - 5.69%
BlackRockLiquidity Funds FedFund Portfolio 10,426,285 10,426
TOTAL INVESTMENT COMPANIES $ 11,924
TOTAL PURCHASED OPTIONS - 0.22% $ 398
Total Investments $ 183,547
Other Assets and Liabilities - (0.14)% $ (249)
TOTAL NET ASSETS - 100.00% $ 183,298
(a)
N
on-Income Producing Security
(b) 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 Percent
Consumer, Non-cyclical 23.16%
Financial 15.62%
Communications 12.05%
Technology 11.56%
Consumer, Cyclical 9.34%
Industrial 9.01%
Energy 6.93%
Investment Companies 6.51%
Utilities 3.37%
Basic Materials 2.34%
Purchased Options 0.22%
Diversified 0.03%
Other Assets and Liabilities (0.14)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
June 30, 2016 (unaudited)
See accompanying notes. 177
Futures Contracts
Type Long/Short Contracts Notional Value Fair Value
Unrealized
Appreciation/(Depreciation)
S&P 500 Emini; September 2016 Long 19 $ 1,971 $ 1,986 $ 15
Total $15
A
mounts in thousands except contracts
Options
Purchased Options Outstanding Exercise Price Expiration Date Contracts
Upfront Premiums
Paid/(Received) Fair Value
Unrealized
Appreciation/(Depreciation)
Call - S&P 500 Index $ 2,100.00 07/18/2016 150 $ 111 $ 302 $ 191
Put - S&P 500 Index $ 2,000.00 07/18/2016 250 487 96 (391)
Total $ 598 $ 398 $ (200)
Written Options Outstanding Exercise Price Expiration Date Contracts
Upfront Premiums
Paid/(Received) Fair Value
Unrealized
Appreciation/(Depreciation)
Call - S&P 500 Index $ 2,130.00 07/18/2016 150 $ (58) $ (104) $ (46)
Put - S&P 500 Index $ 1,960.00 07/18/2016 250 (326) (54) 272
Total $ (384) $ (158) $ 226
A
mounts in thousands except contracts
Schedule of Investments
LargeCap Value Account
June 30, 2016 (unaudited)
See accompanying notes. 178
COMMON STOCKS - 99.25% Shares Held Value (000's)
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 104,610 1,315
Automobile Parts & Equipment - 0.93%
Goodyear Tire & Rubber Co/The 50,020 1,284
Banks - 11.41%
Bankof America Corp 93,000 1,234
Citigroup Inc 41,106 1,743
JPMorgan Chase & Co 104,414 6,488
SunTrust Banks Inc 71,500 2,937
Wells Fargo & Co 71,400 3,380
$ 15,782
Biotechnology - 0.96%
Amgen Inc 8,690 1,322
Building Materials - 2.11%
Owens Corning 56,500 2,911
Chemicals - 3.64%
Cabot Corp 22,240 1,015
Dow Chemical Co/The 80,784 4,016
$5,031
Computers - 0.86%
Amdocs Ltd 20,491 1,183
Cosmetics & Personal Care - 1.14%
Procter & Gamble Co/The 18,570 1,572
Diversified Financial Services - 2.03%
CME Group Inc/IL 14,900 1,451
CoreLogic Inc/United States (a) 29,590 1,139
Synchrony Financial 8,619 218
$2,808
Electric - 3.72%
Entergy Corp 48,605 3,954
Exelon Corp 32,890 1,196
$5,150
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 8,530 1,104
Kroger Co/The 38,600 1,420
Tyson Foods Inc 22,800 1,523
$4,047
Gas - 1.27%
CenterPoint Energy Inc 73,193 1,757
Hand & Machine Tools - 1.85%
Stanley Black&Decker Inc 23,000 2,558
Healthcare - Products - 1.07%
Baxter International Inc 32,600 1,474
COMMON STOCKS (continued) Shares Held Value (000's)
Healthcare - Services - 3.42%
Aetna Inc 9,500 $ 1,160
Anthem Inc 20,437 2,684
UnitedHealth Group Inc 6,300 890
$4,734
Insurance - 10.27%
Aflac Inc 48,610 3,508
Assured Guaranty Ltd 28,700 728
Berkshire Hathaway Inc - Class B (a) 14,140 2,047
Everest Re Group Ltd 14,075 2,571
Travelers Cos Inc/The 31,300 3,726
Unum Group 51,150 1,626
$ 14,206
Machinery - Diversified - 0.80%
BWX Technologies Inc 31,000 1,109
Miscellaneous Manufacturers - 2.50%
General Electric Co 75,221 2,368
Parker-Hannifin Corp 10,100 1,091
$3,459
Oil & Gas - 11.18%
Chevron Corp 18,882 1,979
Exxon Mobil Corp 74,300 6,965
Helmerich & Payne Inc 28,890 1,939
Murphy Oil Corp 114,400 3,632
N
ewfield Exploration Co (a) 21,400 946
$ 15,461
Pharmaceuticals - 5.74%
Cardinal Health Inc 35,100 2,738
Johnson & Johnson 21,700 2,632
Pfizer Inc (b) 72,700 2,560
$7,930
Pipelines - 0.47%
ONEOK Inc 13,700 650
REITS - 6.58%
Duke Realty Corp 48,200 1,285
Equity Residential 13,600 937
Kimco Realty Corp 73,900 2,319
Public Storage 10,586 2,706
Regency Centers Corp 5,710 478
Simon Property Group Inc 6,300 1,366
$9,091
Retail - 6.95%
CVS Health Corp 8,100 775
Darden Restaurants Inc 12,994 823
Target Corp 42,733 2,984
Wal-Mart Stores Inc 52,900 3,863
World Fuel Services Corp 24,500 1,163
$9,608
Semiconductors - 2.99%
Intel Corp 126,120 4,137
Software - 2.32%
Microsoft Corp 55,581 2,844
N
uance Communications Inc (a) 23,000 360
$3,204
Telecommunications - 6.69%
AT&T Inc 79,090 3,418
Cisco Systems Inc 203,432 5,836
$9,254
TOTAL COMMON STOCKS $ 137,219
Schedule of Investments
LargeCap Value Account
June 30, 2016 (unaudited)
See accompanying notes. 179
INVESTMENT COMPANIES - 0.76% Shares Held Value (000's)
Money Market Funds - 0.76%
BlackRockLiquidity Funds FedFund Portfolio 1,051,894 $ 1,052
TOTAL INVESTMENT COMPANIES $ 1,052
Total Investments $ 138,271
Other Assets and Liabilities - (0.01)% $ (8)
TOTAL NET ASSETS - 100.00% $ 138,263
(a)
N
on-Income Producing Security
(b) 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 Percent
Financial 30.29%
Consumer, Non-cyclical 16.62%
Energy 11.65%
Industrial 10.37%
Consumer, Cyclical 8.83%
Communications 6.69%
Technology 6.17%
Utilities 4.99%
Basic Materials 3.64%
Investment Companies 0.76%
Other Assets and Liabilities (0.01)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
MidCap Account
June 30, 2016 (unaudited)
See accompanying notes. 180
COMMON STOCKS - 99.82% Shares Held Value (000's)
Aerospace & Defense - 3.00%
TransDigm Group Inc (a) 69,863 $ 18,422
Banks - 1.09%
M&T BankCorp 56,590 6,691
Building Materials - 1.32%
Armstrong World Industries Inc (a) 70,084 2,744
Martin Marietta Materials Inc 28,021 5,380
$8,124
Chemicals - 2.27%
Air Products & Chemicals Inc 69,881 9,926
Ecolab Inc 32,384 3,841
Ingevity Corp (a) 4,832 164
$ 13,931
Commercial Services - 11.04%
Brookfield Business Partners LP (a) 17,313 330
KAR Auction Services Inc 196,687 8,210
Live Nation Entertainment Inc (a) 189,859 4,462
Macquarie Infrastructure Corp 100,088 7,411
Moody's Corp 174,217 16,326
PayPal Holdings Inc (a) 145,982 5,330
Robert Half International Inc 43,317 1,653
S&P Global Inc 119,216 12,787
VeriskAnalytics Inc (a) 139,282 11,293
$ 67,802
Distribution & Wholesale - 0.88%
Fastenal Co 55,716 2,473
HD Supply Holdings Inc (a) 83,432 2,905
$5,378
Diversified Financial Services - 2.25%
FNF Group 340,406 12,765
FNFV Group (a) 92,795 1,065
$ 13,830
Electric - 2.03%
Brookfield Infrastructure Partners LP 223,482 10,115
Brookfield Renewable Partners LP 79,898 2,380
$ 12,495
Electronics - 0.63%
Sensata Technologies Holding NV (a) 110,061 3,840
Engineering & Construction - 3.66%
SBA Communications Corp (a) 208,571 22,513
Healthcare - Products - 1.81%
Becton Dickinson and Co 2,727 463
CR Bard Inc 45,315 10,656
$ 11,119
Healthcare - Services - 1.30%
DaVita HealthCare Partners Inc (a) 103,164 7,977
Holding Companies - Diversified - 0.88%
Leucadia National Corp 310,989 5,389
Home Builders - 0.54%
Lennar Corp - A Shares 72,000 3,319
Insurance - 13.24%
Alleghany Corp (a) 4,772 2,623
Aon PLC 188,095 20,546
Arch Capital Group Ltd (a) 48,597 3,499
Brown & Brown Inc 195,711 7,333
Loews Corp 246,662 10,135
Markel Corp (a) 23,355 22,252
Progressive Corp/The 101,842 3,412
White Mountains Insurance Group Ltd 6,392 5,382
COMMON STOCKS (continued) Shares Held Value (000's)
Insurance (continued)
Willis Towers Watson PLC 49,575 $ 6,163
$ 81,345
Internet - 3.07%
Liberty Ventures (a) 206,427 7,652
VeriSign Inc (a) 129,837 11,226
$ 18,878
Machinery - Diversified - 1.99%
Roper Technologies Inc 71,496 12,194
Media - 6.28%
FactSet Research Systems Inc 20,495 3,308
Liberty Braves Group - A Shares (a) 8,105 122
Liberty Braves Group - C Shares (a) 36,850 540
Liberty Broadband Corp - A Shares (a) 47,802 2,839
Liberty Broadband Corp - C Shares (a) 150,362 9,022
Liberty Global PLC - A Shares (a) 61,665 1,792
Liberty Global PLC - C Shares (a) 292,351 8,376
Liberty Global Plc LiLAC - A Shares (a) 11,545 373
Liberty Global Plc LiLAC - C Shares (a) 43,643 1,418
Liberty Media Group - A Shares (a) 20,264 388
Liberty Media Group - C Shares (a) 56,190 1,066
Liberty SiriusXM Group - A Shares (a) 79,159 2,482
Liberty SiriusXM Group - C Shares (a) 222,962 6,883
$ 38,609
Miscellaneous Manufacturers - 1.38%
Colfax Corp (a) 321,165 8,498
Packaging & Containers - 0.18%
WestRock Co 28,995 1,127
Pharmaceuticals - 3.49%
Mead Johnson Nutrition Co 52,283 4,745
Zoetis Inc 351,821 16,697
$ 21,442
Private Equity - 0.96%
KKR & Co LP 125,801 1,552
Onex Corp 71,341 4,359
$5,911
Real Estate - 7.16%
Brookfield Asset Management Inc 879,128 29,073
Brookfield Property Partners LP 106,622 2,395
CBRE Group Inc (a) 291,247 7,712
Howard Hughes Corp/The (a) 42,256 4,830
$ 44,010
REITS - 2.70%
Crown Castle International Corp 21,034 2,134
Equinix Inc 20,505 7,950
Forest City Realty Trust Inc 291,446 6,502
$ 16,586
Retail - 16.65%
AutoZone Inc (a) 14,087 11,183
CarMax Inc (a) 300,692 14,743
Copart Inc (a) 134,915 6,612
Dollar General Corp 47,888 4,501
Dollar Tree Inc (a) 178,550 16,827
Liberty Interactive Corp QVC Group (a) 332,533 8,436
O'Reilly Automotive Inc (a) 58,292 15,803
Restaurant Brands International Inc 267,423 11,125
Ross Stores Inc 229,983 13,038
$102,268
Semiconductors - 1.29%
Microchip Technology Inc 156,252 7,931
Software - 5.90%
AutodeskInc (a) 172,665 9,348
CDK Global Inc 72,164 4,005
Schedule of Investments
MidCap Account
June 30, 2016 (unaudited)
See accompanying notes. 181
COMMON STOCKS (continued) Shares Held Value (000's)
Software (continued)
Fidelity National Information Services Inc 136,249 $ 10,039
Intuit Inc 71,565 7,987
MSCI Inc 63,172 4,872
$ 36,251
Telecommunications - 1.41%
EchoStar Corp (a) 58,771 2,333
Motorola Solutions Inc 95,827 6,322
$8,655
Textiles - 1.42%
MohawkIndustries Inc (a) 46,057 8,740
TOTAL COMMON STOCKS $ 613,275
INVESTMENT COMPANIES - 0.00% Shares Held Value (000's)
Money Market Funds - 0.00%
BlackRockLiquidity Funds FedFund Portfolio 6,070 6
TOTAL INVESTMENT COMPANIES $ 6
Total Investments $ 613,281
Other Assets and Liabilities - 0.18% $ 1,114
TOTAL NET ASSETS - 100.00% $ 614,395
(a)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Sector Percent
Financial 27.40%
Consumer, Cyclical 19.49%
Consumer, Non-cyclical 17.64%
Industrial 12.16%
Communications 10.76%
Technology 7.19%
Basic Materials 2.27%
Utilities 2.03%
Diversified 0.88%
Investment Companies 0.00%
Other Assets and Liabilities 0.18%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Multi-Asset Income Account
June 30, 2016 (unaudited)
See accompanying notes. 182
INVESTMENT COMPANIES - 100.45% Shares Held Value
Principal Funds, Inc. Institutional Class - 100.45%
Equity Income Fund (a) 49 $ 1,294
Global Diversified Income Fund (a) 658 8,854
Global Real Estate Securities Fund (a) 147 1,383
High Yield Fund (a) 512 3,571
International Fund I (a) 90 1,136
Preferred Securities Fund (a) 228 2,300
Real Estate Debt Income Fund (a) 201 1,955
$ 20,493
TOTAL INVESTMENT COMPANIES $ 20,493
Total Investments $ 20,493
Other Assets and Liabilities - (0.45)% $ (91)
TOTAL NET ASSETS - 100.00% $ 20,402
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Specialty Funds 43.40%
Fixed Income Funds 38.37%
International Equity Funds 12.34%
Domestic Equity Funds 6.34%
Other Assets and Liabilities (0.45)%
TOTAL NET ASSETS 100.00%
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Equity Income Fund 48 $ 1,269 1 $ 15 — $
—
49 $ 1,284
Global Diversified Income Fund 641 8,871 17 217 —
—
658 9,088
Global Real Estate Securities Fund 146 1,348 1 9 —
—
147 1,357
High Yield Fund 496 3,604 16 109 —
—
512 3,713
International Fund I 90 1,262 — — —
—
90 1,262
Preferred Securities Fund 222 2,282 6 55 —
—
228 2,337
Real Estate Debt Income Fund 197 1,943 4 30 —
—
201 1,973
$ 20,579 $ 435 $
–
$ 21,014
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Equity Income Fund $ 15 $ — $ —
Global Diversified Income Fund 217 — —
Global Real Estate Securities Fund 9 — —
High Yield Fund 109 — —
International Fund I — — —
Preferred Securities Fund 55 — —
Real Estate Debt Income Fund 31 — —
$436$—$—
A
mounts shown are in dollars and not rounded to the thousands
Schedule of Investments
Principal Capital Appreciation Account
June 30, 2016 (unaudited)
See accompanying notes. 183
COMMON STOCKS - 98.89% Shares Held Value (000's)
Aerospace & Defense - 3.10%
Boeing Co/The 13,524 $ 1,757
N
orthrop Grumman Corp 9,727 2,162
Teledyne Technologies Inc (a) 9,512 942
$4,861
Airlines - 0.55%
Alaska Air Group Inc 14,850 866
Apparel - 1.32%
Deckers Outdoor Corp (a) 9,821 565
N
IKE Inc 27,196 1,501
$2,066
Automobile Manufacturers - 0.71%
PACCAR Inc 21,365 1,108
Automobile Parts & Equipment - 1.24%
Autoliv Inc 5,171 556
Johnson Controls Inc 25,004 1,107
Mobileye NV (a) 5,968 275
$1,938
Banks - 5.77%
East West Bancorp Inc 23,793 813
Goldman Sachs Group Inc/The 6,987 1,038
JPMorgan Chase & Co 24,782 1,540
PNC Financial Services Group Inc/The 13,181 1,073
SVB Financial Group (a) 4,777 455
US Bancorp 39,858 1,607
Wells Fargo & Co 53,334 2,524
$9,050
Beverages - 2.86%
Anheuser-Busch InBev SA/NV ADR 7,560 996
Brown-Forman Corp - B Shares 5,177 516
Coca-Cola Co/The 25,794 1,169
PepsiCo Inc 16,936 1,794
$4,475
Biotechnology - 1.53%
Biogen Inc (a) 4,324 1,046
Gilead Sciences Inc 16,199 1,351
$2,397
Building Materials - 0.32%
Apogee Enterprises Inc 10,778 500
Chemicals - 2.08%
EI du Pont de Nemours & Co 8,165 529
FMC Corp 13,111 607
Innospec Inc 10,951 504
International Flavors & Fragrances Inc 4,281 540
PPG Industries Inc 10,430 1,086
$3,266
Commercial Services - 0.93%
Aaron's Inc 24,648 539
PayPal Holdings Inc (a) 19,329 706
Robert Half International Inc 1,446 55
TrueBlue Inc (a) 7,922 150
$1,450
Computers - 3.85%
Apple Inc 46,786 4,473
EMC Corp/MA 45,888 1,247
International Business Machines Corp 2,085 316
$6,036
Consumer Products - 0.33%
Kimberly-Clark Corp 3,748 515
Cosmetics & Personal Care - 1.02%
Procter & Gamble Co/The 18,936 1,603
COMMON STOCKS (continued) Shares Held Value (000's)
Distribution & Wholesale - 0.35%
Pool Corp 5,916 $ 556
Diversified Financial Services - 3.96%
Ameriprise Financial Inc 10,201 917
Charles Schwab Corp/The 35,558 900
Discover Financial Services 13,929 746
FNF Group 39,445 1,479
Synchrony Financial 58,628 1,482
T Rowe Price Group Inc 6,219 454
WisdomTree Investments Inc 23,158 227
$6,205
Electric - 2.02%
N
extEra Energy Inc 10,430 1,360
Xcel Energy Inc 40,348 1,807
$3,167
Electronics - 1.09%
Trimble Navigation Ltd (a) 24,416 595
Waters Corp (a) 7,967 1,120
$1,715
Environmental Control - 1.65%
Stericycle Inc (a) 4,974 518
Waste Connections Inc 28,625 2,062
$2,580
Food - 3.04%
B&G Foods Inc 12,726 613
General Mills Inc 24,171 1,724
Kroger Co/The 33,213 1,222
McCormick& Co Inc/MD 11,267 1,202
Safeway, Inc. - CVR - Casa Ley (a),(b),(c) 825 —
Safeway, Inc. - CVR - Property Development
Centers (a),(b),(c)
825 —
$4,761
Gas - 1.47%
Sempra Energy 20,155 2,298
Healthcare - Products - 4.60%
Abbott Laboratories 19,471 765
Becton Dickinson and Co 9,880 1,676
Bio-Techne Corp 4,768 538
Edwards Lifesciences Corp (a) 8,921 890
Medtronic PLC 7,704 668
Thermo Fisher Scientific Inc 13,340 1,971
Varian Medical Systems Inc (a) 8,460 696
$7,204
Healthcare - Services - 1.42%
DaVita HealthCare Partners Inc (a) 17,853 1,381
Universal Health Services Inc 6,332 849
$2,230
Housewares - 0.46%
Tupperware Brands Corp 12,840 723
Insurance - 2.74%
AmTrust Financial Services Inc 57,001 1,397
Chubb Ltd 16,385 2,142
XL Group PLC 22,798 759
$4,298
Internet - 5.36%
Alphabet Inc - A Shares (a) 2,910 2,047
Alphabet Inc - C Shares (a) 2,003 1,386
Amazon.com Inc (a) 2,828 2,024
comScore Inc (a) 2,591 62
eBay Inc (a) 32,263 755
FacebookInc (a) 18,665 2,133
$8,407
Schedule of Investments
Principal Capital Appreciation Account
June 30, 2016 (unaudited)
See accompanying notes. 184
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
Machinery - Diversified - 2.04%
Deere & Co 19,899 1,613
Flowserve Corp 22,838 1,031
Roper Technologies Inc 3,241 553
$3,197
Media - 3.25%
Comcast Corp - Class A 36,819 2,400
Sirius XM Holdings Inc (a) 174,596 690
Walt Disney Co/The 20,475 2,003
$5,093
Miscellaneous Manufacturers - 2.03%
AptarGroup Inc 13,389 1,059
Crane Co 9,001 510
Donaldson Co Inc 6,018 207
General Electric Co 44,621 1,405
$3,181
Oil & Gas - 5.38%
Chevron Corp 15,585 1,634
Cimarex Energy Co 13,612 1,624
Energen Corp 17,569 847
Exxon Mobil Corp 27,514 2,579
HollyFrontier Corp 40,916 973
N
oble Energy Inc 21,788 781
$8,438
Oil & Gas Services - 1.02%
Schlumberger Ltd 20,315 1,606
Pharmaceuticals - 6.33%
Allergan plc (a) 6,618 1,529
Bristol-Myers Squibb Co 20,408 1,501
Johnson & Johnson 19,762 2,397
McKesson Corp 8,020 1,497
Perrigo Co PLC 5,338 484
Pfizer Inc 40,423 1,423
Teva Pharmaceutical Industries Ltd ADR 3,880 195
VCA Inc (a) 13,217 894
$9,920
Pipelines - 0.60%
Magellan Midstream Partners LP 12,303 935
REITS - 3.79%
Alexandria Real Estate Equities Inc 13,661 1,414
Essex Property Trust Inc 3,952 902
Realty Income Corp 22,330 1,549
Ventas Inc 14,765 1,075
Weyerhaeuser Co 33,732 1,004
$5,944
Retail - 6.05%
Chipotle Mexican Grill Inc (a) 1,637 659
Copart Inc (a) 8,656 424
Costco Wholesale Corp 6,291 988
CVS Health Corp 21,319 2,041
Dollar General Corp 21,477 2,019
Home Depot Inc/The 12,838 1,639
N
ordstrom Inc 8,907 339
Starbucks Corp 24,169 1,381
$9,490
Savings & Loans - 0.28%
Washington Federal Inc 18,075 438
Semiconductors - 3.03%
Applied Materials Inc 13,455 322
COMMON STOCKS (continued) Shares Held Value (000's)
Semiconductors (continued)
Broadcom Ltd 4,991 $ 776
Intel Corp 25,368 832
Lam Research Corp 16,619 1,397
Microchip Technology Inc 24,856 1,262
QUALCOMM Inc 2,906 156
$4,745
Software - 6.03%
Adobe Systems Inc (a) 17,255 1,653
Fair Isaac Corp 6,883 778
Fidelity National Information Services Inc 18,931 1,395
Microsoft Corp 60,153 3,078
Omnicell Inc (a) 23,568 807
Oracle Corp 34,328 1,405
Tyler Technologies Inc (a) 1,988 331
$9,447
Telecommunications - 2.92%
Cisco Systems Inc 33,171 952
Verizon Communications Inc 64,880 3,623
$4,575
Toys, Games & Hobbies - 0.76%
Hasbro Inc 14,215 1,194
Transportation - 0.95%
Expeditors International of Washington Inc 15,954 783
Union Pacific Corp 8,026 700
$1,483
TOTAL COMMON STOCKS $ 154,990
INVESTMENT COMPANIES - 0.85% Shares Held Value (000's)
Money Market Funds - 0.85%
BlackRockLiquidity Funds FedFund Portfolio 1,340,177 1,340
TOTAL INVESTMENT COMPANIES $ 1,340
Total Investments $ 156,330
Other Assets and Liabilities - 0.26% $ 411
TOTAL NET ASSETS - 100.00% $ 156,741
(a)
N
on-Income Producing Security
(b) Security is Illiquid. At the end of the period, the value of these securities
totaled $0 or 0.00% of net assets.
(c)
F
air value of these investments is determined in good faith by the Manager
under procedures established and periodically reviewed by the Board of
D
irectors. At the end of the period, the fair value of these securities totaled
$0 or 0.00% of net assets.
Portfolio Summary (unaudited)
Sector Percent
Consumer, Non-cyclical 22.05%
Financial 16.54%
Technology 12.91%
Consumer, Cyclical 11.65%
Communications 11.53%
Industrial 11.18%
Energy 7.00%
Utilities 3.49%
Basic Materials 2.53%
Investment Companies 0.86%
Other Assets and Liabilities 0.26%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2010 Account
June 30, 2016 (unaudited)
See accompanying notes. 185
Gain.
INVESTMENT COMPANIES - 100.01% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 67.60%
Blue Chip Fund (a) 76,122 $ 1,216
Bond Market Index Fund (a) 299,551 3,397
Diversified International Fund (a) 160,398 1,745
Diversified Real Asset Fund (a) 101,288 1,114
Equity Income Fund (a) 44,275 1,179
Global Diversified Income Fund (a) 280,999 3,782
Global Multi-Strategy Fund (a) 210,582 2,253
Global Opportunities Fund (a) 121,941 1,380
Inflation Protection Fund (a) 421,874 3,649
International Emerging Markets Fund (a) 11,523 239
LargeCap Growth Fund I (a) 111,123 1,285
LargeCap S&P 500 Index Fund (a) 123,422 1,822
LargeCap Value Fund III (a) 85,947 1,279
MidCap Fund (a) 45,173 984
MidCap Growth Fund III (a),(b) 38,396 378
MidCap Value Fund III (a) 20,679 378
Origin Emerging Markets Fund (a) 28,862 243
Overseas Fund (a) 195,032 1,743
SmallCap Growth Fund I (a),(b) 38,393 416
SmallCap Value Fund II (a) 34,906 402
$ 28,884
Principal Variable Contracts Funds, Inc. Class 1 - 32.41%
Bond & Mortgage Securities Account (a) 729,930 8,518
Short-Term Income Account (a) 2,058,897 5,334
$ 13,852
TOTAL INVESTMENT COMPANIES $ 42,736
Total Investments $ 42,736
Other Assets and Liabilities - (0.01)% $ (6)
TOTAL NET ASSETS - 100.00% $ 42,730
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 48.90%
Domestic Equity Funds 21.86%
Specialty Funds 16.73%
International Equity Funds 12.52%
Other Assets and Liabilities (0.01)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2010 Account
June 30, 2016 (unaudited)
See accompanying notes. 186
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 75,668 $ 1,191 6,908 $ 105 6,454 $ 98 76,122 $ 1,196
Bond & Mortgage Securities Account 799,983 9,445 61,572 696 131,625 1,501 729,930 8,641
Bond Market Index Fund 296,841 3,303 29,204 323 26,494 293 299,551 3,334
Diversified International Fund 159,358 2,312 14,040 151 13,000 139 160,398 2,323
Diversified Real Asset Fund 163,196 1,759 11,896 122 73,804 768 101,288 1,105
Equity Income Fund 54,017 1,023 4,769 120 14,511 372 44,275 840
Global Diversified Income Fund 260,829 3,169 42,999 563 22,829 298 280,999 3,435
Global Multi-Strategy Fund 135,645 1,424 90,606 958 15,669 166 210,582 2,216
Global Opportunities Fund 68,642 734 61,463 703 8,164 91 121,941 1,345
Inflation Protection Fund 375,041 3,076 82,540 699 35,707 299 421,874 3,476
International Emerging Markets Fund 17,807 527 1,298 25 7,582 150 11,523 369
LargeCap Growth Fund I 110,456 1,282 9,305 105 8,638 98 111,123 1,288
LargeCap S&P 500 Index Fund 122,590 1,430 12,858 180 12,026 168 123,422 1,441
LargeCap Value Fund III 109,465 1,486 7,429 105 30,947 448 85,947 1,157
MidCap Fund 79,940 1,204 5,259 106 40,026 843 45,173 662
MidCap Growth Fund III —
—
38,396 375 —
—
38,396 375
MidCap Value Fund III —
—
20,679 375 —
—
20,679 375
Origin Emerging Markets Fund 41,520 406 3,214 25 15,872 124 28,862 287
Overseas Fund 193,839 1,790 16,787 152 15,594 141 195,032 1,801
Short-Term Income Account 1,773,187 4,497 455,049 1,171 169,339 434 2,058,897 5,234
SmallCap Growth Fund I 47,655 389 3,333 33 12,595 131 38,393 303
SmallCap Value Fund II 47,962 387 3,104 33 16,160 181 34,906 271
$ 40,834 $ 7,125 $ 6,743 $ 41,474
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ (2) $ —
Bond & Mortgage Securities Account — 1 —
Bond Market Index Fund — 1 —
Diversified International Fund — (1) —
Diversified Real Asset Fund — (8) —
Equity Income Fund 15 69 —
Global Diversified Income Fund 90 1 —
Global Multi-Strategy Fund — — —
Global Opportunities Fund — (1) —
Inflation Protection Fund — — —
International Emerging Markets Fund — (33) —
LargeCap Growth Fund I — (1) —
LargeCap S&P 500 Index Fund — (1) —
LargeCap Value Fund III — 14 —
MidCap Fund — 195 —
MidCap Growth Fund III — — —
MidCap Value Fund III — — —
Origin Emerging Markets Fund — (20) —
Overseas Fund — — —
Short-Term Income Account — — —
SmallCap Growth Fund I — 12 —
SmallCap Value Fund II — 32 —
$ 105 $ 258 $ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime 2020 Account
June 30, 2016 (unaudited)
See accompanying notes. 187
INVESTMENT COMPANIES - 100.00% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 77.29%
Blue Chip Fund (a) 483,326 $ 7,719
Bond Market Index Fund (a) 1,078,795 12,233
Diversified International Fund (a) 1,040,242 11,318
Diversified Real Asset Fund (a) 483,172 5,315
Equity Income Fund (a) 299,235 7,966
Global Diversified Income Fund (a) 956,736 12,878
Global Multi-Strategy Fund (a) 848,002 9,073
Global Opportunities Fund (a) 831,517 9,413
Global Real Estate Securities Fund (a) 429,013 4,028
Inflation Protection Fund (a) 867,769 7,506
International Emerging Markets Fund (a) 70,046 1,451
LargeCap Growth Fund I (a) 712,745 8,239
LargeCap S&P 500 Index Fund (a) 909,773 13,428
LargeCap Value Fund III (a) 536,899 7,989
MidCap Fund (a) 292,255 6,365
MidCap Growth Fund III (a),(b) 284,966 2,810
MidCap Value Fund III (a) 145,671 2,663
Origin Emerging Markets Fund (a) 173,979 1,467
Overseas Fund (a) 1,177,481 10,527
SmallCap Growth Fund I (a),(b) 242,001 2,623
SmallCap Value Fund II (a) 228,771 2,633
$147,644
Principal Variable Contracts Funds, Inc. Class 1 - 22.71%
Bond & Mortgage Securities Account (a) 2,985,568 34,842
Short-Term Income Account (a) 3,296,655 8,538
$ 43,380
TOTAL INVESTMENT COMPANIES $ 191,024
Total Investments $ 191,024
Other Assets and Liabilities - 0.00% $ (6)
TOTAL NET ASSETS - 100.00% $ 191,018
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 33.05%
Domestic Equity Funds 32.67%
International Equity Funds 20.01%
Specialty Funds 14.27%
Other Assets and Liabilities 0.00%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2020 Account
June 30, 2016 (unaudited)
See accompanying notes. 188
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 544,885 $ 8,575 16,471 $ 255 78,030 $ 1,217 483,326 $ 7,608
Bond & Mortgage Securities Account 3,060,893 36,099 87,226 993 162,551 1,831 2,985,568 35,249
Bond Market Index Fund 1,106,813 12,315 43,856 487 71,874 792 1,078,795 12,011
Diversified International Fund 938,018 14,473 163,720 1,825 61,496 657 1,040,242 15,665
Diversified Real Asset Fund 696,173 7,642 17,188 179 230,189 2,380 483,172 5,402
Equity Income Fund 320,017 6,504 13,596 349 34,378 866 299,235 5,952
Global Diversified Income Fund 912,854 12,820 100,081 1,318 56,199 728 956,736 13,403
Global Multi-Strategy Fund 580,575 6,135 402,514 4,258 135,087 1,428 848,002 8,963
Global Opportunities Fund 808,194 8,641 70,721 802 47,398 523 831,517 8,919
Global Real Estate Securities Fund 549,195 4,063 17,547 157 137,729 1,246 429,013 3,138
Inflation Protection Fund 891,347 7,758 28,950 244 52,528 439 867,769 7,563
International Emerging Markets Fund 121,552 3,433 2,724 53 54,230 1,067 70,046 2,226
LargeCap Growth Fund I 816,978 9,481 22,131 251 126,364 1,460 712,745 8,275
LargeCap S&P 500 Index Fund 1,005,468 12,027 30,622 434 126,317 1,794 909,773 10,622
LargeCap Value Fund III 620,935 8,170 17,627 251 101,663 1,461 536,899 7,013
MidCap Fund 264,627 4,806 45,205 953 17,577 355 292,255 5,396
MidCap Growth Fund III 291,902 2,656 9,247 88 16,183 151 284,966 2,593
MidCap Value Fund III 149,423 2,362 4,964 88 8,716 152 145,671 2,299
Origin Emerging Markets Fund 258,785 2,514 6,669 52 91,475 714 173,979 1,713
Overseas Fund 1,090,859 10,171 159,713 1,472 73,091 654 1,177,481 10,989
Short-Term Income Account 2,677,366 6,913 802,063 2,068 182,774 467 3,296,655 8,511
SmallCap Growth Fund I 267,883 2,258 7,851 81 33,733 349 242,001 1,971
SmallCap Value Fund II 261,847 2,150 7,333 81 40,409 447 228,771 1,775
$ 191,966 $ 16,739 $ 21,178 $ 187,256
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ (5) $ —
Bond & Mortgage Securities Account — (12) —
Bond Market Index Fund — 1 —
Diversified International Fund — 24 —
Diversified Real Asset Fund — (39) —
Equity Income Fund 94 (35) —
Global Diversified Income Fund 309 (7) —
Global Multi-Strategy Fund — (2) —
Global Opportunities Fund — (1) —
Global Real Estate Securities Fund 28 164 —
Inflation Protection Fund — — —
International Emerging Markets Fund — (193) —
LargeCap Growth Fund I — 3 —
LargeCap S&P 500 Index Fund — (45) —
LargeCap Value Fund III — 53 —
MidCap Fund — (8) —
MidCap Growth Fund III — — —
MidCap Value Fund III — 1 —
Origin Emerging Markets Fund — (139) —
Overseas Fund — — —
Short-Term Income Account — (3) —
SmallCap Growth Fund I — (19) —
SmallCap Value Fund II — (9) —
$ 431 $ (271) $ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime 2030 Account
June 30, 2016 (unaudited)
See accompanying notes. 189
INVESTMENT COMPANIES - 100.00% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 86.74%
Blue Chip Fund (a) 341,831 $ 5,459
Bond Market Index Fund (a) 522,605 5,926
Diversified International Fund (a) 831,710 9,049
Diversified Real Asset Fund (a) 296,798 3,265
Equity Income Fund (a) 157,456 4,191
Global Diversified Income Fund (a) 392,627 5,285
Global Multi-Strategy Fund (a) 390,481 4,178
Global Opportunities Fund (a) 684,793 7,752
Global Real Estate Securities Fund (a) 470,170 4,415
Inflation Protection Fund (a) 323,071 2,795
International Emerging Markets Fund (a) 57,966 1,200
LargeCap Growth Fund I (a) 637,803 7,373
LargeCap S&P 500 Index Fund (a) 733,443 10,826
LargeCap Value Fund (a) 398,080 4,610
LargeCap Value Fund III (a) 299,884 4,462
MidCap Fund (a) 117,193 2,552
MidCap Growth Fund III (a),(b) 375,936 3,707
MidCap Value Fund III (a) 189,580 3,466
Origin Emerging Markets Fund (a) 143,740 1,212
Overseas Fund (a) 926,950 8,287
SmallCap Growth Fund I (a),(b) 187,494 2,032
SmallCap Value Fund II (a) 176,983 2,037
$104,079
Principal Variable Contracts Funds, Inc. Class 1 - 13.26%
Bond & Mortgage Securities Account (a) 1,363,186 15,908
TOTAL INVESTMENT COMPANIES $ 119,987
Total Investments $ 119,987
Other Assets and Liabilities - 0.00% $ (5)
TOTAL NET ASSETS - 100.00% $ 119,982
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 42.27%
International Equity Funds 26.60%
Fixed Income Funds 20.53%
Specialty Funds 10.60%
Other Assets and Liabilities 0.00%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2030 Account
June 30, 2016 (unaudited)
See accompanying notes. 190
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 339,027 $ 5,338 23,071 $ 347 20,267 $ 308 341,831 $ 5,374
Bond & Mortgage Securities Account 1,353,345 15,417 84,733 955 74,892 846 1,363,186 15,525
Bond Market Index Fund 473,505 5,265 81,542 906 32,442 359 522,605 5,813
Diversified International Fund 758,577 9,220 123,148 1,350 50,015 530 831,710 10,041
Diversified Real Asset Fund 404,172 4,622 26,082 265 133,456 1,386 296,798 3,506
Equity Income Fund 154,226 4,107 13,370 333 10,140 253 157,456 4,184
Global Diversified Income Fund 323,652 4,593 91,537 1,202 22,562 294 392,627 5,500
Global Multi-Strategy Fund 326,212 3,447 85,609 904 21,340 225 390,481 4,126
Global Opportunities Fund 503,298 5,474 217,449 2,448 35,954 397 684,793 7,525
Global Real Estate Securities Fund 463,304 3,492 34,110 298 27,244 240 470,170 3,548
Inflation Protection Fund 320,587 2,814 21,504 180 19,020 159 323,071 2,835
International Emerging Markets Fund 95,193 2,087 5,809 109 43,036 847 57,966 1,486
LargeCap Growth Fund I 748,260 8,696 45,286 504 155,743 1,796 637,803 7,408
LargeCap S&P 500 Index Fund 789,503 9,885 52,820 729 108,880 1,546 733,443 9,051
LargeCap Value Fund 394,905 4,937 25,995 284 22,820 252 398,080 4,967
LargeCap Value Fund III 365,952 4,827 20,513 284 86,581 1,252 299,884 3,914
MidCap Fund 45,505 1,058 77,748 1,641 6,060 124 117,193 2,574
MidCap Growth Fund III 372,845 3,542 24,993 231 21,902 205 375,936 3,568
MidCap Value Fund III 187,959 3,089 13,427 231 11,806 205 189,580 3,114
Origin Emerging Markets Fund 218,472 2,113 14,140 107 88,872 695 143,740 1,412
Overseas Fund 853,475 8,534 133,281 1,200 59,806 531 926,950 9,204
SmallCap Growth Fund I 228,552 2,064 13,378 133 54,436 568 187,494 1,617
SmallCap Value Fund II 224,050 1,957 12,733 135 59,800 670 176,983 1,401
$ 116,578 $ 14,776 $ 13,688 $ 117,693
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ (3) $ —
Bond & Mortgage Securities Account — (1) —
Bond Market Index Fund — 1 —
Diversified International Fund — 1 —
Diversified Real Asset Fund — 5 —
Equity Income Fund 47 (3) —
Global Diversified Income Fund 120 (1) —
Global Multi-Strategy Fund — — —
Global Opportunities Fund — — —
Global Real Estate Securities Fund 28 (2) —
Inflation Protection Fund — — —
International Emerging Markets Fund — 137 —
LargeCap Growth Fund I — 4 —
LargeCap S&P 500 Index Fund — (17) —
LargeCap Value Fund — (2) —
LargeCap Value Fund III — 55 —
MidCap Fund — (1) —
MidCap Growth Fund III — — —
MidCap Value Fund III — (1) —
Origin Emerging Markets Fund — (113) —
Overseas Fund — 1 —
SmallCap Growth Fund I — (12) —
SmallCap Value Fund II — (21) —
$195$ 27$ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime 2040 Account
June 30, 2016 (unaudited)
See accompanying notes. 191
INVESTMENT COMPANIES - 100.01% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 91.35%
Bond Market Index Fund (a) 189,777 $ 2,152
Diversified International Fund (a) 391,929 4,264
Diversified Real Asset Fund (a) 113,750 1,251
Global Opportunities Fund (a) 158,289 1,792
Global Real Estate Securities Fund (a) 228,873 2,149
High Yield Fund I (a) 97,051 924
Inflation Protection Fund (a) 50,021 433
International Emerging Markets Fund (a) 27,212 564
LargeCap Growth Fund (a) 70,353 679
LargeCap Growth Fund I (a) 456,433 5,276
LargeCap S&P 500 Index Fund (a) 351,895 5,194
LargeCap Value Fund (a) 256,113 2,966
LargeCap Value Fund III (a) 210,168 3,127
MidCap Growth Fund III (a),(b) 226,783 2,236
MidCap Value Fund III (a) 124,389 2,274
Origin Emerging Markets Fund (a) 65,774 554
Overseas Fund (a) 460,233 4,115
SmallCap Growth Fund I (a),(b) 99,786 1,082
SmallCap Value Fund II (a) 91,213 1,050
$ 42,082
Principal Variable Contracts Funds, Inc. Class 1 - 8.66%
Bond & Mortgage Securities Account (a) 342,005 3,991
TOTAL INVESTMENT COMPANIES $ 46,073
Total Investments $ 46,073
Other Assets and Liabilities - (0.01)% $ (6)
TOTAL NET ASSETS - 100.00% $ 46,067
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 51.84%
International Equity Funds 29.17%
Fixed Income Funds 16.28%
Specialty Funds 2.72%
Other Assets and Liabilities (0.01)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2040 Account
June 30, 2016 (unaudited)
See accompanying notes. 192
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond & Mortgage Securities Account 297,257 $ 3,430 76,757 $ 874 32,009 $ 369 342,005 $ 3,935
Bond Market Index Fund 96,644 1,074 109,894 1,224 16,761 187 189,777 2,112
Diversified International Fund 334,323 4,137 96,278 1,030 38,672 420 391,929 4,747
Diversified Real Asset Fund 130,199 1,525 12,990 133 29,439 316 113,750 1,346
Global Multi-Strategy Fund 96,383 1,019 4,310 45 100,693 1,064 — —
Global Opportunities Fund 218,031 2,420 18,747 205 78,489 877 158,289 1,739
Global Real Estate Securities Fund 257,948 2,036 24,981 219 54,056 492 228,873 1,764
High Yield Fund I 93,409 931 12,916 119 9,274 87 97,051 963
Inflation Protection Fund 49,662 425 5,484 46 5,125 44 50,021 427
International Emerging Markets Fund 41,527 1,140 3,625 69 17,940 355 27,212 823
LargeCap Growth Fund 175,049 1,855 6,685 61 111,381 1,097 70,353 758
LargeCap Growth Fund I 414,786 4,836 47,524 534 5,877 63 456,433 5,306
LargeCap S&P 500 Index Fund 355,694 4,560 36,746 511 40,545 581 351,895 4,489
LargeCap Value Fund 253,957 3,193 27,053 297 24,897 279 256,113 3,210
LargeCap Value Fund III 228,927 3,069 21,374 298 40,133 580 210,168 2,794
MidCap Growth Fund III 174,640 1,858 74,605 718 22,462 215 226,783 2,362
MidCap Value Fund III 96,332 1,662 40,144 718 12,087 215 124,389 2,165
Origin Emerging Markets Fund 101,786 1,001 9,115 69 45,127 355 65,774 664
Overseas Fund 382,879 3,946 123,738 1,130 46,384 419 460,233 4,656
SmallCap Growth Fund I 98,917 1,129 9,426 94 8,557 89 99,786 1,134
SmallCap Value Fund II 90,372 888 8,879 95 8,038 91 91,213 892
$ 46,134 $ 8,489 $ 8,195 $ 46,286
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond & Mortgage Securities Account $ — $ — $ —
Bond Market Index Fund — 1 —
Diversified International Fund — — —
Diversified Real Asset Fund — 4 —
Global Multi-Strategy Fund — — —
Global Opportunities Fund — (9) —
Global Real Estate Securities Fund 14 1 —
High Yield Fund I 27 — —
Inflation Protection Fund — — —
International Emerging Markets Fund — (31) —
LargeCap Growth Fund — (61) —
LargeCap Growth Fund I — (1) —
LargeCap S&P 500 Index Fund — (1) —
LargeCap Value Fund — (1) —
LargeCap Value Fund III — 7 —
MidCap Growth Fund III — 1 —
MidCap Value Fund III — — —
Origin Emerging Markets Fund — (51) —
Overseas Fund — (1) —
SmallCap Growth Fund I — — —
SmallCap Value Fund II — — —
$ 41 $ (142) $ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime 2050 Account
June 30, 2016 (unaudited)
See accompanying notes. 193
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 95.35%
Bond Market Index Fund (a) 49,401 $ 560
Diversified International Fund (a) 217,345 2,365
Diversified Real Asset Fund (a) 56,051 617
Global Opportunities Fund (a) 85,771 971
Global Real Estate Securities Fund (a) 131,997 1,239
High Yield Fund I (a) 45,447 433
International Emerging Markets Fund (a) 14,818 307
LargeCap Growth Fund (a) 66,839 645
LargeCap Growth Fund I (a) 239,211 2,765
LargeCap S&P 500 Index Fund (a) 192,112 2,836
LargeCap Value Fund (a) 127,848 1,480
LargeCap Value Fund III (a) 110,753 1,648
MidCap Growth Fund III (a),(b) 125,478 1,237
MidCap Value Fund III (a) 68,014 1,243
Origin Emerging Markets Fund (a) 35,867 302
Overseas Fund (a) 247,192 2,210
SmallCap Growth Fund I (a),(b) 51,659 560
SmallCap Value Fund II (a) 50,485 581
$ 21,999
Principal Variable Contracts Funds, Inc. Class 1 - 4.67%
Bond & Mortgage Securities Account (a) 92,349 1,078
TOTAL INVESTMENT COMPANIES $ 23,077
Total Investments $ 23,077
Other Assets and Liabilities - (0.02)% $ (5)
TOTAL NET ASSETS - 100.00% $ 23,072
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 56.33%
International Equity Funds 32.05%
Fixed Income Funds 8.97%
Specialty Funds 2.67%
Other Assets and Liabilities (0.02)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2050 Account
June 30, 2016 (unaudited)
See accompanying notes. 194
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond & Mortgage Securities Account 76,513 $ 891 23,199 $ 264 7,363 $ 83 92,349 $ 1,072
Bond Market Index Fund 18,462 205 33,886 378 2,947 33 49,401 550
Diversified International Fund 184,810 2,324 52,460 562 19,925 209 217,345 2,676
Diversified Real Asset Fund 57,772 667 4,194 43 5,915 60 56,051 650
Global Multi-Strategy Fund 48,231 511 1,202 13 49,433 523 — —
Global Opportunities Fund 129,613 1,414 7,373 81 51,215 569 85,771 925
Global Real Estate Securities Fund 145,380 1,133 9,967 88 23,350 207 131,997 1,015
High Yield Fund I 45,330 441 4,813 44 4,696 42 45,447 442
International Emerging Markets Fund 24,466 648 1,347 26 10,995 215 14,818 449
LargeCap Growth Fund 101,170 1,067 2,459 23 36,790 359 66,839 709
LargeCap Growth Fund I 234,387 2,738 17,881 202 13,057 142 239,211 2,792
LargeCap S&P 500 Index Fund 203,999 2,620 13,824 193 25,711 359 192,112 2,451
LargeCap Value Fund 135,905 1,694 10,190 112 18,247 200 127,848 1,601
LargeCap Value Fund III 127,386 1,716 8,041 112 24,674 350 110,753 1,478
MidCap Growth Fund III 102,470 1,052 34,370 332 11,362 103 125,478 1,280
MidCap Value Fund III 55,632 947 18,498 332 6,116 104 68,014 1,175
Origin Emerging Markets Fund 50,571 474 3,401 26 18,105 140 35,867 340
Overseas Fund 207,511 2,071 63,571 587 23,890 209 247,192 2,448
SmallCap Growth Fund I 52,959 565 3,530 35 4,830 47 51,659 553
SmallCap Value Fund II 51,717 484 3,306 35 4,538 46 50,485 473
$ 23,662 $ 3,488 $ 4,000 $ 23,079
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond & Mortgage Securities Account $ — $ — $ —
Bond Market Index Fund — — —
Diversified International Fund — (1) —
Diversified Real Asset Fund — — —
Global Multi-Strategy Fund — (1) —
Global Opportunities Fund — (1) —
Global Real Estate Securities Fund 7 1 —
High Yield Fund I 12 (1) —
International Emerging Markets Fund — (10) —
LargeCap Growth Fund — (22) —
LargeCap Growth Fund I — (6) —
LargeCap S&P 500 Index Fund — (3) —
LargeCap Value Fund — (5) —
LargeCap Value Fund III — — —
MidCap Growth Fund III — (1) —
MidCap Value Fund III — — —
Origin Emerging Markets Fund — (20) —
Overseas Fund — (1) —
SmallCap Growth Fund I — — —
SmallCap Value Fund II — — —
$19$ (71)$ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime 2060 Account
June 30, 2016 (unaudited)
See accompanying notes. 195
INVESTMENT COMPANIES - 100.20% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 97.23%
Bond Market Index Fund (a) 3,553 $ 40
Diversified International Fund (a) 24,561 267
Diversified Real Asset Fund (a) 5,550 61
Global Opportunities Fund (a) 9,689 110
Global Real Estate Securities Fund (a) 14,201 133
High Yield Fund I (a) 5,251 50
International Emerging Markets Fund (a) 1,672 35
LargeCap Growth Fund (a) 5,534 54
LargeCap Growth Fund I (a) 27,085 313
LargeCap S&P 500 Index Fund (a) 21,097 311
LargeCap Value Fund (a) 15,460 179
LargeCap Value Fund III (a) 12,643 188
MidCap Growth Fund III (a),(b) 13,918 137
MidCap Value Fund III (a) 7,507 137
Origin Emerging Markets Fund (a) 3,885 33
Overseas Fund (a) 29,076 260
SmallCap Growth Fund I (a),(b) 4,984 54
SmallCap Value Fund II (a) 4,843 56
$2,418
Principal Variable Contracts Funds, Inc. Class 1 - 2.97%
Bond & Mortgage Securities Account (a) 6,341 74
TOTAL INVESTMENT COMPANIES $ 2,492
Total Investments $ 2,492
Other Assets and Liabilities - (0.20)% $ (5)
TOTAL NET ASSETS - 100.00% $ 2,487
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 57.46%
International Equity Funds 33.67%
Fixed Income Funds 6.61%
Specialty Funds 2.46%
Other Assets and Liabilities (0.20)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime 2060 Account
June 30, 2016 (unaudited)
See accompanying notes. 196
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond & Mortgage Securities Account 3,589 $ 41 3,183 $ 36 431 $ 5 6,341 $ 72
Bond Market Index Fund 1,162 13 2,590 29 199 2 3,553 40
Diversified International Fund 17,263 201 9,255 99 1,957 21 24,561 279
Diversified Real Asset Fund 3,741 44 2,306 24 497 4 5,550 64
Global Multi-Strategy Fund 3,924 43 460 5 4,384 46 — —
Global Opportunities Fund 12,415 149 2,765 30 5,491 62 9,689 116
Global Real Estate Securities Fund 13,122 117 3,347 29 2,268 20 14,201 126
High Yield Fund I 4,317 44 1,382 13 448 4 5,251 53
International Emerging Markets Fund 2,613 60 522 10 1,463 29 1,672 39
LargeCap Growth Fund 7,947 87 956 9 3,369 33 5,534 62
LargeCap Growth Fund I 21,600 272 6,547 74 1,062 11 27,085 335
LargeCap S&P 500 Index Fund 19,561 278 5,077 71 3,541 51 21,097 298
LargeCap Value Fund 12,183 153 4,622 51 1,345 14 15,460 190
LargeCap Value Fund III 11,436 169 2,948 41 1,741 24 12,643 186
MidCap Growth Fund III 9,798 107 5,250 50 1,130 10 13,918 147
MidCap Value Fund III 5,287 103 2,831 50 611 11 7,507 142
Origin Emerging Markets Fund 5,003 48 1,278 10 2,396 19 3,885 38
Overseas Fund 19,436 210 11,983 109 2,343 21 29,076 298
SmallCap Growth Fund I 4,152 53 1,305 13 473 5 4,984 61
SmallCap Value Fund II 4,066 53 1,218 13 441 6 4,843 60
$ 2,245 $ 766 $ 398 $ 2,606
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond & Mortgage Securities Account $ — $ — $ —
Bond Market Index Fund — — —
Diversified International Fund — — —
Diversified Real Asset Fund — — —
Global Multi-Strategy Fund — (2) —
Global Opportunities Fund — (1) —
Global Real Estate Securities Fund 1 — —
High Yield Fund I 1 — —
International Emerging Markets Fund — (2) —
LargeCap Growth Fund — (1) —
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 — (1) —
Overseas Fund — — —
SmallCap Growth Fund I — — —
SmallCap Value Fund II — — —
$2$ (7)$ —
A
mounts in thousands except shares
Schedule of Investments
Principal LifeTime Strategic Income Account
June 30, 2016 (unaudited)
See accompanying notes. 197
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)
Principal Funds, Inc. Institutional Class - 57.26%
Blue Chip Fund (a) 26,967 $ 431
Bond Market Index Fund (a) 211,319 2,396
Diversified International Fund (a) 62,065 675
Equity Income Fund (a) 32,510 865
Global Diversified Income Fund (a) 186,706 2,513
Global Multi-Strategy Fund (a) 153,606 1,644
Global Opportunities Fund (a) 36,198 410
Inflation Protection Fund (a) 346,925 3,001
LargeCap Growth Fund I (a) 37,855 438
LargeCap S&P 500 Index Fund (a) 47,934 707
MidCap Fund (a) 29,302 638
Overseas Fund (a) 77,956 697
SmallCap Growth Fund I (a),(b) 9,287 101
SmallCap Value Fund II (a) 9,049 104
$ 14,620
Principal Variable Contracts Funds, Inc. Class 1 - 42.76%
Bond & Mortgage Securities Account (a) 570,900 6,662
Short-Term Income Account (a) 1,642,859 4,255
$ 10,917
TOTAL INVESTMENT COMPANIES $ 25,537
Total Investments $ 25,537
Other Assets and Liabilities - (0.02)% $ (5)
TOTAL NET ASSETS - 100.00% $ 25,532
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 63.90%
Specialty Funds 16.28%
Domestic Equity Funds 12.86%
International Equity Funds 6.98%
Other Assets and Liabilities (0.02)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
Principal LifeTime Strategic Income Account
June 30, 2016 (unaudited)
See accompanying notes. 198
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 26,805 $ 422 1,931 $ 29 1,769 $ 27 26,967 $ 424
Bond & Mortgage Securities Account 599,697 7,116 36,453 412 65,250 731 570,900 6,788
Bond Market Index Fund 209,794 2,335 16,783 186 15,258 169 211,319 2,352
Diversified International Fund 46,255 645 19,534 209 3,724 39 62,065 815
Diversified Real Asset Fund 62,393 645 2,269 22 64,662 673 — —
Equity Income Fund 35,770 672 2,739 68 5,999 154 32,510 612
Global Diversified Income Fund 188,477 2,055 17,514 227 19,285 250 186,706 2,034
Global Multi-Strategy Fund 91,147 960 70,906 749 8,447 88 153,606 1,621
Global Opportunities Fund 18,242 195 20,154 227 2,198 24 36,198 398
Inflation Protection Fund 333,293 2,733 36,493 308 22,861 192 346,925 2,849
International Emerging Markets Fund 6,114 154 245 4 6,359 122 — —
LargeCap Growth Fund I 46,325 537 2,613 29 11,083 126 37,855 439
LargeCap S&P 500 Index Fund 38,068 456 18,284 249 8,418 121 47,934 584
MidCap Fund 25,568 378 5,599 116 1,865 38 29,302 456
Origin Emerging Markets Fund 14,740 142 557 4 15,297 119 — —
Overseas Fund 53,028 482 29,424 262 4,496 40 77,956 704
Short-Term Income Account 1,633,839 4,099 115,017 295 105,997 272 1,642,859 4,122
SmallCap Growth Fund I 9,207 75 922 9 842 9 9,287 75
SmallCap Value Fund II 8,981 71 854 9 786 8 9,049 72
$ 24,172 $ 3,414 $ 3,202 $ 24,345
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
BlueChipFund$—$—$—
Bond & Mortgage Securities Account — (9) —
Bond Market Index Fund — — —
Diversified International Fund — — —
Diversified Real Asset Fund — 6 —
Equity Income Fund 10 26 —
Global Diversified Income Fund 62 2 —
Global Multi-Strategy Fund — — —
Global Opportunities Fund — — —
Inflation Protection Fund — — —
International Emerging Markets Fund — (36) —
LargeCap Growth Fund I — (1) —
LargeCap S&P 500 Index Fund — — —
MidCap Fund — — —
Origin Emerging Markets Fund — (27) —
Overseas Fund — — —
Short-Term Income Account — — —
SmallCap Growth Fund I — — —
SmallCap Value Fund II — — —
$72$ (39)$ —
A
mounts in thousands except shares
Schedule of Investments
Real Estate Securities Account
June 30, 2016 (unaudited)
See accompanying notes. 199
Gain.
COMMON STOCKS - 98.90% Shares Held Value (000's)
Lodging - 0.98%
Hilton Worldwide Holdings Inc 76,148 $ 1,715
Real Estate - 0.65%
CBRE Group Inc (a) 43,080 1,141
REITS - 96.09%
Alexandria Real Estate Equities Inc 31,680 3,279
American Campus Communities Inc 43,697 2,310
American Tower Corp 25,149 2,857
Apartment Investment & Management Co 90,842 4,012
AvalonBay Communities Inc 44,310 7,993
Boston Properties Inc 56,382 7,437
Crown Castle International Corp 24,670 2,502
CubeSmart 119,389 3,687
DDR Corp 85,996 1,560
Duke Realty Corp 151,440 4,037
Education Realty Trust Inc 50,148 2,314
EPR Properties 44,147 3,562
Equinix Inc 25,170 9,759
Equity One Inc 112,199 3,610
Equity Residential 104,297 7,184
Essex Property Trust Inc 35,904 8,189
Extra Space Storage Inc 48,180 4,459
Federal Realty Investment Trust 9,953 1,648
First Industrial Realty Trust Inc 58,002 1,614
General Growth Properties Inc 204,617 6,102
Kilroy Realty Corp 27,026 1,791
PebblebrookHotel Trust 68,610 1,801
Physicians Realty Trust 116,161 2,440
Prologis Inc 155,824 7,642
Public Storage 22,872 5,846
Regency Centers Corp 26,640 2,231
Saul Centers Inc 32,164 1,985
Senior Housing Properties Trust 92,570 1,928
Simon Property Group Inc 94,600 20,519
SL Green Realty Corp 55,605 5,920
Spirit Realty Capital Inc 283,780 3,624
STORE Capital Corp 137,489 4,049
Sun Communities Inc 43,922 3,366
Sunstone Hotel Investors Inc 205,792 2,484
Tanger Factory Outlet Centers Inc 21,715 872
Terreno Realty Corp 26,230 679
Ventas Inc 19,351 1,409
Vornado Realty Trust 20,793 2,082
Welltower Inc 124,785 9,505
$168,288
Software - 1.18%
InterXion Holding NV (a) 55,959 2,064
TOTAL COMMON STOCKS $ 173,208
INVESTMENT COMPANIES - 0.72% Shares Held Value (000's)
Money Market Funds - 0.72%
BlackRockLiquidity Funds FedFund Portfolio 1,256,852 1,257
TOTAL INVESTMENT COMPANIES $ 1,257
Total Investments $ 174,465
Other Assets and Liabilities - 0.38% $ 663
TOTAL NET ASSETS - 100.00% $ 175,128
(a)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Sector Percent
Financial 96.74%
Technology 1.18%
Consumer, Cyclical 0.98%
Investment Companies 0.72%
Other Assets and Liabilities 0.38%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Balanced Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 200
INVESTMENT COMPANIES - 100.28% Shares Held Value (000's)
Money Market Funds - 0.26%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
2,116,929 $ 2,117
Principal Exchange-Traded Funds - 1.00%
Principal EDGE Active Income ETF (a) 205,400 7,978
Principal Funds, Inc. Institutional Class - 63.93%
Blue Chip Fund (a) 2,339,328 37,359
Diversified International Fund (a) 8,103,986 88,171
EDGE MidCap Fund (a) 1,429,225 16,851
Global Diversified Income Fund (a) 1,177,119 15,844
Global Multi-Strategy Fund (a) 5,531,923 59,192
Global Real Estate Securities Fund (a) 2,294,249 21,543
High Yield Fund (a) 2,350,018 16,380
Inflation Protection Fund (a) 1,679,237 14,525
International Emerging Markets Fund (a) 964,676 19,978
International Small Company Fund (a) 893,904 8,430
LargeCap Growth Fund (a) 4,446,396 42,908
LargeCap Value Fund (a) 4,558,849 52,791
Preferred Securities Fund (a) 1,574,246 15,900
Principal Capital Appreciation Fund (a) 482,755 27,961
Real Estate Debt Income Fund (a) 823,405 8,028
Short-Term Income Fund (a) 2,563,535 31,378
Small-MidCap Dividend Income Fund (a) 2,432,606 34,032
$511,271
Principal Variable Contracts Funds, Inc. Class 1 - 35.09%
Equity Income Account (a) 3,757,992 87,636
Government & High Quality Bond Account (a) 3,948,082 41,494
Income Account (a) 9,438,421 102,596
MidCap Account (a) 848,369 48,866
$280,592
TOTAL INVESTMENT COMPANIES $ 801,958
Total Investments $ 801,958
Other Assets and Liabilities - (0.28)% $ (2,223)
TOTAL NET ASSETS - 100.00% $ 799,735
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 43.58%
Fixed Income Funds 29.80%
International Equity Funds 17.26%
Specialty Funds 9.38%
Investment Companies 0.26%
Other Assets and Liabilities (0.28)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Balanced Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 201
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 2,440,914 $ 33,609 4,806 $ 74 106,392 $ 1,672 2,339,328 $ 32,014
Diversified International Fund 6,588,088 79,090 1,585,370 17,889 69,472 750 8,103,986 96,133
EDGE MidCap Fund 1,131,594 11,323 297,631 3,416 —
—
1,429,225 14,739
Equity Income Account 4,025,769 44,250 13,552 309 281,329 6,273 3,757,992 41,039
Global Diversified Income Fund 1,256,285 16,854 32,153 421 111,319 1,450 1,177,119 15,707
Global Multi-Strategy Fund 5,995,036 63,524 1,687 18 464,800 4,904 5,531,923 58,357
Global Real Estate Securities Fund 1,883,207 16,452 454,239 4,173 43,197 391 2,294,249 20,209
Government & High Quality Bond
Account
6,027,135 59,077 7,346 76 2,086,399 21,751 3,948,082 38,452
High Yield Fund 2,999,235 20,587 97,865 665 747,082 5,173 2,350,018 15,724
Income Account 11,505,107 111,522 11,681 122 2,078,367 22,035 9,438,421 90,288
Inflation Protection Fund 1,824,644 15,601 1,393 12 146,800 1,226 1,679,237 14,349
International Emerging Markets Fund 734,130 17,239 230,547 4,504 —
—
964,677 21,743
International Small Company Fund —
—
893,904 8,802 —
—
893,904 8,802
LargeCap Growth Fund 7,549,511 80,561 18,617 180 3,121,732 30,376 4,446,396 47,276
LargeCap Value Fund 4,231,177 53,947 517,350 5,779 189,678 2,126 4,558,849 57,251
MidCap Account 934,285 41,596 — — 85,916 4,699 848,369 36,510
MidCap Value Fund I 1,262,939 18,620 — — 1,262,939 16,265 — —
Preferred Securities Fund 349,401 1,926 1,258,352 12,745 33,507 335 1,574,246 14,449
Principal Capital Appreciation Fund 511,378 26,010 1,037 58 29,660 1,677 482,755 24,403
Principal EDGE Active Income ETF —
—
205,400 7,958 —
—
205,400 7,958
Real Estate Debt Income Fund —
—
823,405 7,955 —
—
823,405 7,955
Short-Term Income Fund 3,041,351 37,097 28,516 347 506,332 6,159 2,563,535 31,267
SmallCap Growth Fund I 80,537 821 — — 80,537 864 — —
SmallCap Value Fund II 522,130 5,225 — — 522,130 5,998 — —
Small-MidCap Dividend Income Fund 1,969,184 21,334 511,506 7,097 48,084 639 2,432,606 27,755
$ 776,265 $ 82,600 $ 134,763 $ 722,380
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ 3 $ —
Diversified International Fund — (96) —
EDGE MidCap Fund — — —
Equity Income Account — 2,753 —
Global Diversified Income Fund 404 (118) —
Global Multi-Strategy Fund — (281) —
Global Real Estate Securities Fund 125 (25) —
Government & High Quality Bond Account — 1,050 —
High Yield Fund 629 (355) —
Income Account — 679 —
Inflation Protection Fund — (38) —
International Emerging Markets Fund — — —
International Small Company Fund — — —
LargeCap Growth Fund — (3,089) —
LargeCap Value Fund — (349) —
MidCap Account — (387) —
MidCap Value Fund I — (2,355) —
Preferred Securities Fund 130 113 —
Principal Capital Appreciation Fund — 12 —
Principal EDGE Active Income ETF — — —
Real Estate Debt Income Fund 27 — —
Short-Term Income Fund 314 (18) —
SmallCap Growth Fund I — 43 —
SmallCap Value Fund II — 773 —
Small-MidCap Dividend Income Fund 315 (37) —
$ 1,944 $ (1,722) $ —
A
mounts in thousands except shares
Schedule of Investments
SAM Conservative Balanced Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 202
INVESTMENT COMPANIES - 100.73% Shares Held Value (000's)
Money Market Funds - 0.73%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
1,522,261 $ 1,522
Principal Exchange-Traded Funds - 2.33%
Principal EDGE Active Income ETF (a) 125,400 4,871
Principal Funds, Inc. Institutional Class - 56.86%
Blue Chip Fund (a) 255,874 4,086
Diversified International Fund (a) 1,506,883 16,395
EDGE MidCap Fund (a) 309,637 3,651
Global Diversified Income Fund (a) 515,449 6,938
Global Multi-Strategy Fund (a) 1,009,128 10,798
Global Real Estate Securities Fund (a) 461,137 4,330
High Yield Fund (a) 1,480,391 10,318
Inflation Protection Fund (a) 597,566 5,169
International Emerging Markets Fund (a) 170,448 3,530
International Small Company Fund (a) 163,174 1,539
LargeCap Growth Fund (a) 938,282 9,054
LargeCap Value Fund (a) 1,030,171 11,929
Preferred Securities Fund (a) 300,027 3,030
Principal Capital Appreciation Fund (a) 94,505 5,474
Real Estate Debt Income Fund (a) 215,809 2,104
Short-Term Income Fund (a) 1,148,260 14,055
Small-MidCap Dividend Income Fund (a) 450,990 6,309
$118,709
Principal Variable Contracts Funds, Inc. Class 1 - 40.81%
Equity Income Account (a) 630,617 14,706
Government & High Quality Bond Account (a) 2,039,107 21,431
Income Account (a) 3,909,027 42,491
MidCap Account (a) 114,389 6,589
$ 85,217
TOTAL INVESTMENT COMPANIES $ 210,319
Total Investments $ 210,319
Other Assets and Liabilities - (0.73)% $ (1,521)
TOTAL NET ASSETS - 100.00% $ 208,798
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 49.55%
Domestic Equity Funds 29.60%
International Equity Funds 12.36%
Specialty Funds 8.49%
Investment Companies 0.73%
Other Assets and Liabilities (0.73)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Conservative Balanced Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 203
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 381,066 $ 5,182 6,976 $ 104 132,168 $ 2,098 255,874 $ 3,237
Bond & Mortgage Securities Account 361,536 4,188 3,215 37 364,751 4,206 — —
Diversified International Fund 1,135,539 13,602 388,450 4,330 17,106 186 1,506,883 17,725
EDGE MidCap Fund 200,025 2,004 109,612 1,256 —
—
309,637 3,260
Equity Income Account 647,180 7,385 15,636 339 32,199 708 630,617 7,065
Global Diversified Income Fund 527,156 7,128 28,977 378 40,684 536 515,449 6,932
Global Multi-Strategy Fund 1,057,639 11,233 14,403 153 62,914 665 1,009,128 10,686
Global Real Estate Securities Fund 336,575 2,793 132,579 1,220 8,017 73 461,137 3,937
Government & High Quality Bond
Account
2,583,126 25,967 29,707 307 573,726 5,967 2,039,107 20,405
High Yield Fund 1,493,780 10,355 78,534 531 91,923 627 1,480,391 10,196
Income Account 4,371,893 43,482 57,083 600 519,949 5,490 3,909,027 38,598
Inflation Protection Fund 640,200 5,483 13,729 116 56,363 472 597,566 5,113
International Emerging Markets Fund 131,490 3,058 38,958 763 —
—
170,448 3,821
International Small Company Fund —
—
163,174 1,605 —
—
163,174 1,605
LargeCap Growth Fund 1,414,555 15,174 29,411 284 505,684 4,945 938,282 9,956
LargeCap Value Fund 745,921 9,462 315,903 3,619 31,653 357 1,030,171 12,671
MidCap Account 142,866 6,086 — — 28,477 1,594 114,389 4,401
MidCap Value Fund I 323,163 4,827 — — 323,163 4,164 — —
Preferred Securities Fund 105,822 584 204,011 2,063 9,806 98 300,027 2,578
Principal Capital Appreciation Fund 96,117 4,887 4,169 237 5,781 324 94,505 4,802
Principal EDGE Active Income ETF —
—
125,400 4,860 —
—
125,400 4,860
Real Estate Debt Income Fund —
—
215,809 2,084 —
—
215,809 2,084
Short-Term Income Fund 1,317,268 16,067 29,608 360 198,616 2,416 1,148,260 14,004
SmallCap Growth Fund I 22,814 233 — — 22,814 243 — —
SmallCap Value Fund II 78,572 781 — — 78,572 896 — —
Small-MidCap Dividend Income Fund 338,795 3,658 120,265 1,667 8,070 105 450,990 5,210
$ 203,619 $ 26,913 $ 36,170 $ 193,146
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ 49 $ —
Bond & Mortgage Securities Account — (19) —
Diversified International Fund — (21) —
EDGE MidCap Fund — — —
Equity Income Account — 49 —
Global Diversified Income Fund 176 (38) —
Global Multi-Strategy Fund — (35) —
Global Real Estate Securities Fund 24 (3) —
Government & High Quality Bond Account — 98 —
High Yield Fund 326 (63) —
Income Account — 6 —
Inflation Protection Fund — (14) —
International Emerging Markets Fund — — —
International Small Company Fund — — —
LargeCap Growth Fund — (557) —
LargeCap Value Fund — (53) —
MidCap Account — (91) —
MidCap Value Fund I — (663) —
Preferred Securities Fund 34 29 —
Principal Capital Appreciation Fund — 2 —
Principal EDGE Active Income ETF — — —
Real Estate Debt Income Fund 8 — —
Short-Term Income Fund 138 (7) —
SmallCap Growth Fund I — 10 —
SmallCap Value Fund II — 115 —
Small-MidCap Dividend Income Fund 54 (10) —
$ 760 $ (1,216) $ —
A
mounts in thousands except shares
Schedule of Investments
SAM Conservative Growth Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 204
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)
Money Market Funds - 0.00%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
1,000 $ 1
Principal Funds, Inc. Institutional Class - 70.73%
Blue Chip Fund (a) 1,091,303 17,428
Diversified International Fund (a) 4,027,301 43,817
Diversified Real Asset Fund (a) 663,401 7,297
EDGE MidCap Fund (a) 661,958 7,804
Global Multi-Strategy Fund (a) 1,104,441 11,818
Global Real Estate Securities Fund (a) 672,459 6,314
High Yield Fund (a) 636,422 4,436
International Small Company Fund (a) 438,873 4,139
LargeCap Growth Fund (a) 2,406,268 23,221
LargeCap Value Fund (a) 2,834,939 32,829
Origin Emerging Markets Fund (a) 1,291,447 10,887
Preferred Securities Fund (a) 427,745 4,320
Principal Capital Appreciation Fund (a) 256,838 14,876
Short-Term Income Fund (a) 355,428 4,350
Small-MidCap Dividend Income Fund (a) 1,115,092 15,600
$209,136
Principal Funds, Inc. Class R-6 - 1.56%
Multi-Manager Equity Long/Short Fund (a),(b) 467,668 4,616
Principal Variable Contracts Funds, Inc. Class 1 - 27.74%
Equity Income Account (a) 1,450,450 33,825
Government & High Quality Bond Account (a) 665,371 6,993
Income Account (a) 1,430,080 15,545
MidCap Account (a) 445,286 25,648
$ 82,011
TOTAL INVESTMENT COMPANIES $ 295,764
Total Investments $ 295,764
Other Assets and Liabilities - (0.03)% $ (82)
TOTAL NET ASSETS - 100.00% $ 295,682
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 57.90%
International Equity Funds 22.04%
Fixed Income Funds 12.06%
Specialty Funds 8.03%
Investment Companies 0.00%
Other Assets and Liabilities (0.03)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Conservative Growth Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 205
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Blue Chip Fund 1,111,025 $ 15,518 16,705 $ 254 36,427 $ 565 1,091,303 $ 15,199
Diversified International Fund 3,025,803 36,301 1,030,936 11,571 29,438 317 4,027,301 47,513
Diversified Real Asset Fund 920,741 10,746 19,484 198 276,824 3,010 663,401 7,592
EDGE MidCap Fund 537,208 5,383 132,025 1,507 7,275 85 661,958 6,803
Equity Income Account 1,513,545 16,638 13,944 293 77,039 1,714 1,450,450 15,883
Global Multi-Strategy Fund 2,773,301 29,772 15,359 161 1,684,219 17,937 1,104,441 11,399
Global Real Estate Securities Fund 854,024 7,335 12,319 110 193,884 1,778 672,459 5,639
Government & High Quality Bond
Account
714,463 6,897 13,213 138 62,305 647 665,371 6,394
High Yield Fund 261,726 1,777 374,696 2,616 —
—
636,422 4,393
Income Account 1,518,855 14,875 16,199 172 104,974 1,102 1,430,080 13,908
International Small Company Fund —
—
438,873 4,317 —
—
438,873 4,317
LargeCap Growth Fund 3,610,714 38,819 40,221 384 1,244,667 12,062 2,406,268 25,573
LargeCap Value Fund 2,359,440 30,134 538,184 6,023 62,685 698 2,834,939 35,338
MidCap Account 466,280 23,255 3,628 194 24,622 1,360 445,286 21,980
MidCap Value Fund I 610,988 9,008 299 4 611,287 7,879 — —
Origin Emerging Markets Fund 714,892 6,983 576,554 4,580 —
—
1,291,446 11,563
Preferred Securities Fund 31,551 191 404,589 4,097 8,395 85 427,745 4,203
Principal Capital Appreciation Fund 267,670 13,618 2,565 141 13,397 752 256,838 12,995
Multi-Manager Equity Long/Short
Fund
—
—
467,668 4,593 —
—
467,668 4,593
Short-Term Income Fund 377,762 4,608 10,242 125 32,576 396 355,428 4,335
SmallCap Growth Fund I 54,690 557 — — 54,690 583 — —
SmallCap Value Fund II 135,728 1,349 — — 135,728 1,555 — —
Small-MidCap Dividend Income Fund 943,024 10,819 209,303 2,903 37,235 483 1,115,092 13,197
$ 284,583 $ 44,381 $ 53,008 $ 272,817
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Blue Chip Fund $ — $ (8) $ —
Diversified International Fund — (42) —
Diversified Real Asset Fund — (342) —
EDGE MidCap Fund — (2) —
Equity Income Account — 666 —
Global Multi-Strategy Fund — (597) —
Global Real Estate Securities Fund 45 (28) —
Government & High Quality Bond Account — 6 —
High Yield Fund 65 — —
Income Account — (37) —
International Small Company Fund — — —
LargeCap Growth Fund — (1,568) —
LargeCap Value Fund — (121) —
MidCap Account — (109) —
MidCap Value Fund I — (1,133) —
Origin Emerging Markets Fund — — —
Preferred Securities Fund 24 — —
Principal Capital Appreciation Fund — (12) —
Multi-Manager Equity Long/Short Fund — — —
Short-Term Income Fund 40 (2) —
SmallCap Growth Fund I — 26 —
SmallCap Value Fund II — 206 —
Small-MidCap Dividend Income Fund 145 (42) —
$ 319 $ (3,139) $ —
A
mounts in thousands except shares
Schedule of Investments
SAM Flexible Income Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 206
INVESTMENT COMPANIES - 100.52% Shares Held Value (000's)
Money Market Funds - 0.51%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
1,110,041 $ 1,110
Principal Exchange-Traded Funds - 2.65%
Principal EDGE Active Income ETF (a) 148,400 5,764
Principal Funds, Inc. Institutional Class - 47.13%
Diversified International Fund (a) 558,173 6,073
Global Diversified Income Fund (a) 1,053,196 14,176
Global Real Estate Securities Fund (a) 591,673 5,556
High Yield Fund (a) 2,270,300 15,824
Inflation Protection Fund (a) 1,080,065 9,343
International Emerging Markets Fund (a) 97,950 2,029
LargeCap Growth Fund (a) 667,463 6,441
LargeCap Value Fund (a) 565,658 6,550
Preferred Securities Fund (a) 322,198 3,254
Real Estate Debt Income Fund (a) 456,466 4,450
Short-Term Income Fund (a) 1,632,990 19,988
Small-MidCap Dividend Income Fund (a) 633,987 8,869
$102,553
Principal Variable Contracts Funds, Inc. Class 1 - 50.23%
Equity Income Account (a) 821,722 19,163
Government & High Quality Bond Account (a) 2,132,654 22,414
Income Account (a) 6,230,478 67,725
$109,302
TOTAL INVESTMENT COMPANIES $ 218,729
Total Investments $ 218,729
Other Assets and Liabilities - (0.52)% $ (1,124)
TOTAL NET ASSETS - 100.00% $ 217,605
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
Portfolio Summary (unaudited)
Fund Type Percent
Fixed Income Funds 68.37%
Domestic Equity Funds 18.86%
Specialty Funds 6.51%
International Equity Funds 6.27%
Investment Companies 0.51%
Other Assets and Liabilities (0.52)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Flexible Income Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 207
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Bond & Mortgage Securities Account 442,110 $ 5,077 4,629 $ 53 446,739 $ 5,138 — $ —
Diversified International Fund 496,988 5,992 67,646 750 6,461 70 558,173 6,664
Equity Income Account 1,017,304 13,672 8,756 185 204,338 4,665 821,722 9,528
Global Diversified Income Fund 1,102,223 14,944 42,197 553 91,224 1,189 1,053,196 14,189
Global Real Estate Securities Fund 254,366 1,870 344,118 3,165 6,811 62 591,673 4,973
Government & High Quality Bond
Account
2,323,031 22,935 59,728 622 250,105 2,590 2,132,654 21,030
High Yield Fund 2,574,650 18,178 101,704 690 406,054 2,806 2,270,300 15,727
Income Account 6,746,577 67,504 76,343 806 592,442 6,197 6,230,478 61,904
Inflation Protection Fund 1,164,057 10,008 27,461 232 111,453 927 1,080,065 9,279
International Emerging Markets Fund 127,707 2,996 310 6 30,067 587 97,950 2,287
LargeCap Growth Fund 899,351 9,596 16,585 162 248,473 2,407 667,463 7,095
LargeCap Value Fund 774,738 9,910 8,980 99 218,060 2,496 565,658 7,161
Preferred Securities Fund 112,433 581 209,765 2,124 —
—
322,198 2,705
Principal EDGE Active Income ETF —
—
148,400 5,743 —
—
148,400 5,743
Real Estate Debt Income Fund —
—
456,466 4,398 —
—
456,466 4,398
Short-Term Income Fund 1,766,666 21,548 55,901 680 189,577 2,296 1,632,990 19,916
SmallCap Growth Fund I 21,899 223 — — 21,899 234 — —
Small-MidCap Dividend Income Fund 788,795 8,326 14,297 188 169,105 2,321 633,987 6,396
$ 213,360 $ 20,456 $ 33,985 $ 198,995
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Bond & Mortgage Securities Account $ — $ 8 $ —
Diversified International Fund — (8) —
Equity Income Account — 336 —
Global Diversified Income Fund 359 (119) —
Global Real Estate Securities Fund 26 — —
Government & High Quality Bond Account — 63 —
High Yield Fund 546 (335) —
Income Account — (209) —
Inflation Protection Fund — (34) —
International Emerging Markets Fund — (128) —
LargeCap Growth Fund — (256) —
LargeCap Value Fund — (352) —
Preferred Securities Fund 37 — —
Principal EDGE Active Income ETF — — —
Real Estate Debt Income Fund 16 — —
Short-Term Income Fund 183 (16) —
SmallCap Growth Fund I — 11 —
Small-MidCap Dividend Income Fund 100 203 —
$ 1,267 $ (836) $ —
A
mounts in thousands except shares
Schedule of Investments
SAM Strategic Growth Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 208
INVESTMENT COMPANIES - 100.46% Shares Held Value (000's)
Money Market Funds - 0.45%
Cash Account Trust - Government & Agency
Portfolio - Government Cash Managed
1,061,948 $ 1,062
Principal Exchange-Traded Funds - 3.88%
Principal EDGE Active Income ETF (a) 238,200 9,252
Principal Funds, Inc. Institutional Class - 81.38%
Diversified International Fund (a) 4,172,670 45,399
EDGE MidCap Fund (a) 440,521 5,194
Global Multi-Strategy Fund (a) 661,654 7,080
Global Real Estate Securities Fund (a) 1,032,917 9,699
International Small Company Fund (a) 469,394 4,426
LargeCap Growth Fund (a) 2,973,478 28,694
LargeCap Value Fund (a) 2,283,765 26,446
Origin Emerging Markets Fund (a) 2,081,796 17,549
Principal Capital Appreciation Fund (a) 626,845 36,307
Real Estate Debt Income Fund (a) 246,421 2,403
Small-MidCap Dividend Income Fund (a) 762,502 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%
Equity Income Account (a) 1,383,050 32,253
TOTAL INVESTMENT COMPANIES $ 239,322
Total Investments $ 239,322
Other Assets and Liabilities - (0.46)% $ (1,097)
TOTAL NET ASSETS - 100.00% $ 238,225
(a)
A
ffiliated Security. Please see Affiliated Sub-Schedule for transactional
information.
(b)
N
on-Income Producing Security
Portfolio Summary (unaudited)
Fund Type Percent
Domestic Equity Funds 58.58%
International Equity Funds 32.36%
Fixed Income Funds 4.89%
Specialty Funds 4.18%
Investment Companies 0.45%
Other Assets and Liabilities (0.46)%
TOTAL NET ASSETS 100.00%
Schedule of Investments
SAM Strategic Growth Portfolio
June 30, 2016 (unaudited)
See accompanying notes. 209
Affiliated Securities
December 31,
2015
December 31,
2015 Purchases Purchases Sales Sales June 30, 2016 June 30, 2016
Shares Cost Shares Cost Shares Proceeds Shares Cost
Diversified International Fund 3,917,353 $ 47,239 315,614 $ 3,436 60,297 $ 633 4,172,670 $ 49,941
EDGE MidCap Fund —
—
442,364 5,100 1,843 21 440,521 5,078
Equity Income Account 1,422,410 17,012 28,257 609 67,617 1,508 1,383,050 16,130
Global Multi-Strategy Fund 1,787,200 19,700 21,417 224 1,146,963 12,173 661,654 7,231
Global Real Estate Securities Fund 1,079,728 9,045 14,041 130 60,852 534 1,032,917 8,611
International Small Company Fund —
—
469,394 4,619 —
—
469,394 4,619
LargeCap Growth Fund 2,965,787 31,636 115,228 1,119 107,537 1,027 2,973,478 31,581
LargeCap Value Fund 2,306,645 29,451 74,517 838 97,397 1,074 2,283,765 29,017
MidCap Value Fund I 1,123,475 16,971 21,701 256 1,145,176 14,743 — —
Origin Emerging Markets Fund 1,500,832 14,639 580,964 4,604 —
—
2,081,796 19,243
Principal Capital Appreciation Fund 645,685 34,836 11,490 634 30,330 1,678 626,845 33,617
Principal EDGE Active Income ETF —
—
238,200 9,275 —
—
238,200 9,275
Multi-Manager Equity Long/Short
Fund
—
—
292,923 2,877 —
—
292,923 2,877
Real Estate Debt Income Fund —
—
246,421 2,366 —
—
246,421 2,366
SmallCap Growth Fund I 169,691 1,694 3,248 32 172,939 1,856 — —
SmallCap Value Fund II 371,230 3,551 1,952 20 373,182 4,293 — —
Small-MidCap Dividend Income Fund 758,383 8,776 40,632 551 36,513 478 762,502 8,811
$ 234,550 $ 36,690 $ 40,018 $ 228,397
Income
Realized Gain/Loss
on Investments
Realized Gain from
Capital Gain Distributions
Diversified International Fund $ — $ (101) $ —
EDGE MidCap Fund — (1) —
Equity Income Account — 17 —
Global Multi-Strategy Fund — (520) —
Global Real Estate Securities Fund 62 (30) —
International Small Company Fund — — —
LargeCap Growth Fund — (147) —
LargeCap Value Fund — (198) —
MidCap Value Fund I — (2,484) —
Origin Emerging Markets Fund — — —
Principal Capital Appreciation Fund — (175) —
Principal EDGE Active Income ETF — — —
Multi-Manager Equity Long/Short Fund — — —
Real Estate Debt Income Fund 9 — —
SmallCap Growth Fund I — 130 —
SmallCap Value Fund II — 722 —
Small-MidCap Dividend Income Fund 108 (38) —
$ 179 $ (2,825) $ —
A
mounts in thousands except shares
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
See accompanying notes. 210
INVESTMENT COMPANIES - 1.67% Shares Held Value (000's)
Money Market Funds - 1.67%
BlackRockLiquidity Funds FedFund Portfolio 2,812,280 $ 2,812
TOTAL INVESTMENT COMPANIES $ 2,812
BONDS - 97.61%
Principal
Amount (000's) Value (000's)
Aerospace & Defense - 0.61%
Lockheed Martin Corp
1.85%, 11/23/2018 $ 500$ 507
2.50%, 11/23/2020 500 516
$1,023
Agriculture - 0.85%
Cargill Inc
6.00%, 11/27/2017(a) 1,347 1,437
Airlines - 1.14%
Delta Air Lines 2009-1 Class A Pass Through
Trust
7.75%, 06/17/2021 753 849
Delta Air Lines 2012-1 Class A Pass Through
Trust
4.75%, 11/07/2021 411 436
UAL 2009-1 Pass Through Trust
10.40%, 05/01/2018 42 43
UAL 2009-2A Pass Through Trust
9.75%, 01/15/2017 567 586
$1,914
Automobile Asset Backed Securities - 10.51%
AmeriCredit Automobile Receivables 2015-4
1.26%, 04/08/2019 454 454
AmeriCredit Automobile Receivables 2016-1
1.52%, 06/10/2019 500 501
AmeriCredit Automobile Receivables Trust
2013-1
1.57%, 01/08/2019 375 375
AmeriCredit Automobile Receivables Trust
2013-5
2.86%, 12/09/2019(b) 1,202 1,221
AmeriCredit Automobile Receivables Trust
2014-1
2.15%, 03/09/2020(b) 100 101
2.54%, 06/08/2020(b) 875 883
AmeriCredit Automobile Receivables Trust
2014-2
2.57%, 07/08/2020(b) 395 399
AmeriCredit Automobile Receivables Trust
2014-3
0.64%, 04/09/2018 22 22
2.58%, 09/08/2020(b) 100 101
AmeriCredit Automobile Receivables Trust
2015-1
0.77%, 04/09/2018 87 87
AmeriCredit Automobile Receivables Trust
2015-2
0.83%, 09/10/2018(b) 184 184
Capital Auto Receivables Asset Trust 2013-1
1.29%, 04/20/2018 404 404
1.74%, 10/22/2018 663 664
Capital Auto Receivables Asset Trust 2013-3
2.32%, 07/20/2018 305 307
Capital Auto Receivables Asset Trust 2014-1
2.22%, 01/22/2019 498 502
2.84%, 04/22/2019 345 350
Capital Auto Receivables Asset Trust 2014-2
2.03%, 12/20/2018 545 548
2.41%, 05/20/2019 90 91
CPS Auto Receivables Trust 2013-A
1.31%, 06/15/2020(a),(b) 416 412
CPS Auto Receivables Trust 2013-B
1.82%, 09/15/2020(a),(b) 237 236
CPS Auto Receivables Trust 2013-C
1.64%, 04/16/2018(a) 46 46
BONDS (continued)
Principal
Amount (000's) Value (000's)
Automobile Asset Backed Securities (continued)
CPS Auto Receivables Trust 2013-
C (continued)
4.30%, 08/15/2019(a) $ 250$ 254
CPS Auto Receivables Trust 2013-D
1.54%, 07/16/2018(a),(b) 77 77
CPS Auto Receivables Trust 2014-B
1.11%, 11/15/2018(a) 73 73
CPS Auto Receivables Trust 2014-C
1.31%, 02/15/2019(a),(b) 273 273
3.77%, 08/17/2020(a) 200 195
CPS Auto Receivables Trust 2014-D
1.49%, 04/15/2019(a) 260 259
CPS Auto Receivables Trust 2015-C
1.77%, 06/17/2019(a) 496 495
CPS Auto Receivables Trust 2016-B
2.07%, 11/15/2019(a) 232 232
CPS Auto Trust
1.48%, 03/16/2020(a) 78 78
Ford Credit Auto Owner Trust 2015-REV2
2.44%, 01/15/2027(a),(b) 673 691
Ford Credit Auto Owner Trust 2016-REV2
2.03%, 12/15/2027(a) 750 754
Ford Credit Auto Owner Trust/Ford Credit
2014-REV1
2.26%, 11/15/2025(a),(b) 673 686
Santander Drive Auto Receivables Trust 2013-
1
1.76%, 01/15/2019 640 641
Santander Drive Auto Receivables Trust 2013-
5
1.55%, 10/15/2018 329 329
2.25%, 06/17/2019(b) 45 45
Santander Drive Auto Receivables Trust 2014-
1
1.59%, 10/15/2018 121 121
2.36%, 04/15/2020 997 1,003
2.91%, 04/15/2020 355 360
Santander Drive Auto Receivables Trust 2014-
2
1.62%, 02/15/2019 249 249
Santander Drive Auto Receivables Trust 2014-
3
2.13%, 08/17/2020(b) 273 275
2.65%, 08/17/2020 115 116
Santander Drive Auto Receivables Trust 2014-
5
2.46%, 06/15/2020 165 167
Westlake Automobile Receivables Trust 2014-
2
0.97%, 10/16/2017(a),(b) 88
Westlake Automobile Receivables Trust 2015-
1
1.17%, 03/15/2018(a),(b) 130 130
Westlake Automobile Receivables Trust 2015-
2
1.28%, 07/16/2018(a),(b) 470 470
Westlake Automobile Receivables Trust 2015-
3
1.42%, 05/17/2021(a),(b) 802 802
Westlake Automobile Receivables Trust 2016-
1
1.82%, 01/15/2019(a) 500 501
Westlake Automobile Receivables Trust 2016-
2
1.57%, 06/17/2019(a) 500 500
$ 17,672
Automobile Floor Plan Asset Backed Securities - 0.90%
CNH Wholesale Master Note Trust
1.04%, 08/15/2019(a),(b) 841 841
Volkswagen Credit Auto Master Trust
0.80%, 07/22/2019(a),(b) 673 665
$1,506
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
See accompanying notes. 211
BONDS (continued)
Principal
Amount (000's) Value (000's)
Automobile Manufacturers - 1.83%
Daimler Finance North America LLC
1.11%, 03/02/2018(a),(b) $ 505$ 503
1.38%, 08/01/2017(a) 336 337
Ford Motor Credit Co LLC
2.02%, 05/03/2019 400 403
PACCAR Financial Corp
1.45%, 03/09/2018 336 338
2.20%, 09/15/2019 673 691
Toyota Motor Credit Corp
1.20%, 04/06/2018 400 402
2.10%, 01/17/2019 400 409
$3,083
Banks - 16.60%
Bankof America Corp
2.05%, 04/19/2021(b) 500 507
2.60%, 01/15/2019 500 512
2.63%, 10/19/2020 750 762
Bankof America NA
0.95%, 06/15/2017(b) 750 747
5.30%, 03/15/2017 2,126 2,183
Bankof New YorkMellon Corp/The
2.05%, 05/03/2021 500 508
2.20%, 05/15/2019 673 688
2.50%, 04/15/2021 300 311
BB&T Corp
1.30%, 02/01/2019(b) 336 337
2.05%, 05/10/2021 500 507
Branch Banking & Trust Co
0.95%, 05/23/2017(b) 450 449
0.98%, 09/13/2016(b) 875 875
Capital One Financial Corp
6.15%, 09/01/2016 386 389
Capital One NA/Mclean VA
1.31%, 02/05/2018(b) 673 672
1.65%, 02/05/2018 673 674
Citigroup Inc
1.70%, 04/27/2018 1,010 1,012
2.70%, 03/30/2021 900 916
FifthThirdBank/Cincinnati OH
2.25%, 06/14/2021 300 305
2.30%, 03/15/2019 400 408
Goldman Sachs Group Inc/The
1.73%, 11/15/2018(b) 841 843
1.80%, 04/23/2020(b) 1,010 1,007
2.60%, 04/23/2020 400 407
JP Morgan Chase & Co
4.25%, 10/15/2020 500 545
JPMorgan Chase BankNA
6.00%, 10/01/2017 2,020 2,133
KeyBankNA/Cleveland OH
1.70%, 06/01/2018 500 502
2.35%, 03/08/2019 650 664
Morgan Stanley
1.88%, 01/05/2018 336 338
2.03%, 04/21/2021(b) 1,500 1,506
2.13%, 04/25/2018 250 253
5.50%, 07/24/2020 500 561
N
ational City Bank/Cleveland OH
1.05%, 06/07/2017(b) 500 499
PNC BankNA
4.88%, 09/21/2017 1,145 1,190
6.88%, 04/01/2018 250 273
PNC Funding Corp
5.63%, 02/01/2017 269 276
SunTrust Bank/Atlanta GA
7.25%, 03/15/2018 510 556
SunTrust BanksInc
2.90%, 03/03/2021 500 518
US BankNA/Cincinnati OH
1.11%, 10/28/2019(b) 841 840
Wells Fargo & Co
2.60%, 07/22/2020 673 692
BONDS (continued)
Principal
Amount (000's) Value (000's)
Banks (continued)
Wells Fargo BankNA
1.65%, 01/22/2018 $ 750$ 756
6.00%, 11/15/2017 750 798
$ 27,919
Beverages - 1.13%
Anheuser-Busch InBev Finance Inc
2.15%, 02/01/2019 586 598
PepsiCo Inc
1.00%, 10/13/2017 250 250
2.15%, 10/14/2020 500 514
SABMiller Holdings Inc
2.45%, 01/15/2017(a) 535 539
$1,901
Biotechnology - 1.34%
Amgen Inc
2.20%, 05/22/2019 673 690
Biogen Inc
2.90%, 09/15/2020 1,000 1,042
Gilead Sciences Inc
1.85%, 09/04/2018 250 255
2.55%, 09/01/2020 250 260
$2,247
Chemicals - 0.88%
Airgas Inc
1.65%, 02/15/2018 808 811
Chevron Phillips Chemical Co LLC / Chevron
Phillips Chemical Co LP
1.70%, 05/01/2018(a) 505 504
2.45%, 05/01/2020(a) 168 168
$1,483
Commercial Mortgage Backed Securities - 2.44%
Ginnie Mae
0.60%, 07/16/2054(b),(c) 2,860 136
0.69%, 03/16/2049(b),(c) 4,155 153
0.77%, 09/16/2055(b),(c) 5,082 272
0.83%, 01/16/2054(b),(c) 3,324 181
0.83%, 06/16/2055(b),(c) 5,733 295
0.86%, 10/16/2054(b),(c) 4,017 190
0.88%, 03/16/2052(b),(c) 3,081 207
0.89%, 10/16/2054(b),(c) 3,372 187
0.92%, 01/16/2055(b),(c) 6,056 297
0.94%, 02/16/2055(b),(c) 6,127 257
0.95%, 10/16/2054(b),(c) 4,059 216
1.12%, 06/16/2045(b),(c) 7,619 489
1.15%, 08/16/2042(b),(c) 9,667 609
1.17%, 02/16/2046(b),(c) 5,985 388
1.19%, 07/16/2056(b),(c) 616 48
1.41%, 12/16/2036(b),(c) 2,756 185
$4,110
Commercial Services - 0.12%
Equifax Inc
2.30%, 06/01/2021 200 203
Computers - 1.96%
Apple Inc
1.00%, 05/03/2018 336 337
1.70%, 02/22/2019 200 203
1.78%, 02/23/2021(b) 250 257
Diamond 1 Finance Corp / Diamond 2 Finance
Corp
3.48%, 06/01/2019(a) 600 615
Hewlett Packard Enterprise Co
2.45%, 10/05/2017(a) 500 506
2.85%, 10/05/2018(a) 350 358
International Business Machines Corp
1.95%, 02/12/2019 500 512
2.25%, 02/19/2021 500 516
$3,304
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
See accompanying notes. 212
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) $ 262$ 261
0.89%, 07/15/2022(b) 505 500
0.92%, 06/15/2020(a),(b) 336 336
0.97%, 02/18/2020(a),(b) 478 478
1.09%, 08/16/2021(a),(b) 505 503
$2,078
Diversified Financial Services - 1.13%
Murray Street Investment Trust I
4.65%, 03/09/2017(b) 1,852 1,894
Electric - 4.02%
BlackHills Corp
2.50%, 01/11/2019 100 102
Dominion Resources Inc/VA
1.40%, 09/15/2017 673 672
2.96%, 07/01/2019(b) 100 102
Emera US Finance LP
2.70%, 06/15/2021(a) 300 306
Indiantown Cogeneration LP
9.77%, 12/15/2020 199 219
N
extEra Energy Capital Holdings Inc
1.59%, 06/01/2017 336 337
7.30%, 09/01/2067(b) 673 643
Public Service Co of New Mexico
7.95%, 05/15/2018 1,515 1,687
San Diego Gas & Electric Co
1.91%, 02/01/2022 173 173
Southern California Edison Co
1.85%, 02/01/2022 355 352
Southern Co/The
1.55%, 07/01/2018 200 201
Talen Energy Supply LLC
6.50%, 05/01/2018 168 169
Texas-New Mexico Power Co
9.50%, 04/01/2019(a) 202 239
TransAlta Corp
6.90%, 05/15/2018(b) 1,515 1,557
$6,759
Electronics - 0.24%
Fortive Corp
1.80%, 06/15/2019(a) 100 101
2.35%, 06/15/2021(a) 300 304
$405
Engineering & Construction - 0.24%
SBA Tower Trust
2.88%, 07/15/2021(a),(d),(e) 400 400
Finance - Mortgage Loan/Banker - 11.50%
Fannie Mae
1.38%, 02/26/2021 3,250 3,284
1.50%, 11/30/2020 1,500 1,525
1.63%, 01/21/2020 6,214 6,361
1.75%, 09/12/2019 1,183 1,216
1.88%, 12/28/2020 2,500 2,583
Freddie Mac
0.75%, 01/12/2018 1,000 1,002
1.38%, 05/01/2020 1,800 1,827
1.75%, 05/30/2019 1,500 1,541
$ 19,339
Food - 0.36%
Kraft Heinz Foods Co
1.60%, 06/30/2017(a) 336 337
2.00%, 07/02/2018(a) 269 273
$610
BONDS (continued)
Principal
Amount (000's) Value (000's)
Gas - 0.76%
Spire Inc
1.38%, 08/15/2017(b) $ 1,279$ 1,275
Healthcare - Products - 1.38%
Abbott Laboratories
2.00%, 03/15/2020 847 859
Becton Dickinson and Co
1.80%, 12/15/2017 336 339
2.68%, 12/15/2019 336 345
Medtronic Inc
1.45%, 03/15/2020(b) 250 252
2.50%, 03/15/2020 505 524
$2,319
Healthcare - Services - 1.15%
Aetna Inc
1.90%, 06/07/2019 200 203
2.40%, 06/15/2021 200 204
Anthem Inc
5.88%, 06/15/2017 336 350
Roche Holdings Inc
0.97%, 09/30/2019(a),(b) 673 673
UnitedHealth Group Inc
1.70%, 02/15/2019 500 505
$1,935
Home Equity Asset Backed Securities - 1.34%
ACE Securities Corp Home Equity Loan Trust
Series 2005-HE2
1.17%, 04/25/2035(b) 97 97
Asset Backed Securities Corp Home Equity
Loan Trust Series OOMC 2005-HE6
1.22%, 07/25/2035(b) 184 183
Bayview Financial Acquisition Trust
1.08%, 08/28/2044(b) 51 51
5.66%, 12/28/2036(b) 11
Centex Home Equity Loan Trust 2005-D
0.88%, 10/25/2035(b) 211 211
Home Equity Asset Trust 2005-4
1.16%, 10/25/2035(b) 375 369
JP Morgan Mortgage Acquisition Corp 2005-
OPT1
0.90%, 06/25/2035(b) 83 82
N
ew Century Home Equity Loan Trust 2005-
3
0.93%, 07/25/2035(b) 49 49
RASC Series 2003-KS10 Trust
4.47%, 03/25/2032 16 16
RASC Series 2005-AHL2 Trust
0.80%, 10/25/2035(b) 157 155
RASC Series 2005-EMX2 Trust
0.96%, 07/25/2035(b) 153 152
Structured Asset Securities Corp Mortgage
Loan Trust Series 2005-GEL4
1.07%, 08/25/2035(b) 150 146
Terwin Mortgage Trust Series TMTS 2005-
14HE
4.85%, 08/25/2036(b) 99 101
Wells Fargo Home Equity Asset-Backed
Securities 2004-2 Trust
1.29%, 10/25/2034(b) 35 35
5.00%, 10/25/2034 613 611
$2,259
Home Furnishings - 0.60%
Samsung Electronics America Inc
1.75%, 04/10/2017(a) 1,010 1,013
Housewares - 0.25%
N
ewell Brands Inc
2.60%, 03/29/2019 200 205
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
See accompanying notes. 213
BONDS (continued)
Principal
Amount (000's) Value (000's)
Housewares (continued)
N
ewell Brands Inc (continued)
3.85%, 04/01/2023 $ 200$ 212
$417
Insurance - 6.23%
Berkshire Hathaway Finance Corp
1.60%, 05/15/2017 510 514
1.70%, 03/15/2019 500 508
Berkshire Hathaway Inc
2.20%, 03/15/2021 400 413
2.75%, 03/15/2023 500 517
Hartford Financial Services Group Inc/The
8.13%, 06/15/2068(b) 1,028 1,100
Lincoln National Corp
2.99%, 05/17/2066(b) 336 232
MassMutual Global Funding II
2.00%, 04/05/2017(a) 370 373
2.10%, 08/02/2018(a) 505 515
2.35%, 04/09/2019(a) 495 508
Metropolitan Life Global Funding I
2.30%, 04/10/2019(a) 1,173 1,200
N
ew YorkLife Global Funding
1.45%, 12/15/2017(a) 250 252
1.95%, 02/11/2020(a) 808 818
2.00%, 04/13/2021(a) 400 405
2.15%, 06/18/2019(a) 774 793
2.45%, 07/14/2016(a) 673 673
Prudential Financial Inc
8.88%, 06/15/2068(b) 1,500 1,650
$ 10,471
Internet - 0.42%
Amazon.com Inc
2.60%, 12/05/2019 673 702
Machinery - Diversified - 0.53%
John Deere Capital Corp
1.35%, 01/16/2018 173 174
2.05%, 03/10/2020 700 715
$889
Manufactured Housing Asset Backed Securities - 0.03%
Conseco Financial Corp
7.70%, 09/15/2026 34 37
Mid-State Trust IV
8.33%, 04/01/2030 7 7
$44
Media - 0.66%
Time Warner Cable Inc
8.25%, 04/01/2019 505 587
Walt Disney Co/The
2.30%, 02/12/2021 500 520
$1,107
Mining - 0.50%
Glencore Finance Canada Ltd
2.70%, 10/25/2017(a),(b) 841 838
Miscellaneous Manufacturers - 0.50%
General Electric Co
5.55%, 05/04/2020 101 116
5.63%, 09/15/2017 168 178
Ingersoll-Rand Global Holding Co Ltd
6.88%, 08/15/2018 490 544
$838
Mortgage Backed Securities - 3.41%
Adjustable Rate Mortgage Trust 2004-2
1.59%, 02/25/2035(b) 12 12
Alternative Loan Trust 2004-J8
6.00%, 02/25/2017 7 7
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Banc of America Alternative Loan Trust 2003-
10
5.00%, 12/25/2018 $ 64$ 64
Banc of America Funding 2004-1 Trust
5.25%, 02/25/2019 11 12
Banc of America Funding 2004-3 Trust
4.75%, 09/25/2019 58 58
Banc of America Mortgage Trust 2005-7
5.00%, 08/25/2020 2 2
BCAP LLC 2011-RR11 Trust
3.13%, 03/26/2035(a),(b) 203 203
CHL Mortgage Pass-Through Trust 2003-46
2.69%, 01/19/2034(b) 73 72
CHL Mortgage Pass-Through Trust 2004-J1
4.50%, 01/25/2019(b) 11 10
CHL Mortgage Pass-Through Trust 2004-J7
5.00%, 09/25/2019 53 54
Citigroup Mortgage Loan Trust 2009-6
2.92%, 07/25/2036(a),(b) 12 12
Credit Suisse First Boston Mortgage Securities
Corp
5.00%, 09/25/2019 11 11
Credit Suisse Mortgage Capital Certificates
2.43%, 07/27/2037(a),(b) 44 44
CSFB Mortgage-Backed Trust Series 2004-7
5.00%, 10/25/2019 50 50
CSFB Mortgage-Backed Trust Series 2004-
AR4
1.41%, 05/25/2034(b) 75 70
Freddie Mac REMICS
0.89%, 06/15/2023(b) 11
Ginnie Mae
4.50%, 08/20/2032 8 8
GSMSC Pass-Through Trust 2009-4R
0.90%, 12/26/2036(a),(b) 216 211
JP Morgan Mortgage Trust 2004-A3
2.73%, 07/25/2034(b) 44 44
JP Morgan Mortgage Trust 2004-S1
5.00%, 09/25/2034 154 158
JP Morgan Resecuritization Trust Series 2010-
4
2.46%, 10/26/2036(a),(b) 49 49
MASTR Alternative Loan Trust 2003-9
6.50%, 01/25/2019 60 61
MASTR Asset Securitization Trust 2004-11
5.00%, 12/25/2019 13 13
MASTR Asset Securitization Trust 2004-9
5.00%, 09/25/2019 32 32
PHH Mortgage Trust Series 2008-CIM1
5.22%, 06/25/2038 198 197
Prime Mortgage Trust 2005-2
5.25%, 07/25/2020(b) 102 103
Provident Funding Mortgage Loan Trust 2005-
1
1.03%, 05/25/2035(b) 269 258
RALI Series 2003-QS23 Trust
5.00%, 12/26/2018 135 135
RALI Series 2004-QS3 Trust
5.00%, 03/25/2019 59 59
RBSSP Resecuritization Trust 2009-7
0.85%, 06/26/2037(a),(b) 47 45
5.00%, 09/26/2036(a),(b) 20 20
Sequoia Mortgage Trust 2013-4
1.55%, 04/25/2043(b) 72 70
Sequoia Mortgage Trust 2013-8
2.25%, 06/25/2043(b) 593 592
Springleaf Mortgage Loan Trust 2013-1
1.27%, 06/25/2058(a),(b) 906 904
2.31%, 06/25/2058(a),(b) 377 377
3.14%, 06/25/2058(a) 217 217
4.44%, 06/25/2058(a) 516 515
Schedule of Investments
Short-Term Income Account
June 30, 2016 (unaudited)
See accompanying notes. 214
BONDS (continued)
Principal
Amount (000's) Value (000's)
Mortgage Backed Securities (continued)
Springleaf Mortgage Loan Trust 2013-2
1.78%, 12/25/2065(a) $ 285$ 284
3.52%, 12/25/2065(a),(b) 688 688
WaMu Mortgage Pass-Through Certificates
Series 2003-S8 Trust
5.00%, 09/25/2018 13 13
$5,735
Oil & Gas - 2.50%
BP Capital Markets PLC
4.75%, 03/10/2019 673 731
Chevron Corp
1.72%, 06/24/2018 875 885
Phillips 66
2.95%, 05/01/2017 1,010 1,025
Shell International Finance BV
2.13%, 05/11/2020 505 515
Total Capital International SA
1.20%, 08/10/2018(b) 370 369
1.55%, 06/28/2017 673 677
$4,202
Other Asset Backed Securities - 4.69%
Ameriquest Mortgage Securities Inc Asset-
Backed Pass-Through Ctfs Ser 2004-R11
1.06%, 11/25/2034(b) 13 13
Ameriquest Mortgage Securities Inc Asset-
Backed Pass-Through Ctfs Ser 2005-R1
1.13%, 03/25/2035(b) 154 154
Citigroup Mortgage Loan Trust Inc
0.88%, 07/25/2035(b) 23 23
Drug Royalty II LP 2
3.48%, 07/15/2023(a),(b) 687 678
Drug Royalty III LP 1
3.98%, 04/15/2027(a),(b) 250 250
Fieldstone Mortgage Investment Trust Series
2005-1
1.53%, 03/25/2035(b) 30 30
First Franklin Mortgage Loan Trust 2005-
FF4
1.10%, 05/25/2035(b) 43 43
JP Morgan Mortgage Acquisition Corp 2005-
OPT2
0.74%, 12/25/2035(b) 93 93
MVW Owner Trust 2015-1
2.52%, 12/20/2032(a),(b) 705 705
OneMain Financial Issuance Trust 2014-1
2.43%, 06/18/2024(a),(b) 894 895
OneMain Financial Issuance Trust 2014-2
2.47%, 09/18/2024(a) 1,347 1,350
OneMain Financial Issuance Trust 2015-2
2.57%, 07/18/2025(a) 740 740
PFS Financing Corp
1.04%, 02/15/2019(a),(b) 505 503
1.04%, 10/15/2019(a),(b) 336 334
1.06%, 04/15/2020(a),(b) 536 531
1.39%, 02/15/2019(a),(b) 260 259
PFS Tax Lien Trust 2014-1
1.44%, 05/15/2029(a),(b) 333 331
RAAC Series 2006-RP2 Trust
0.70%