Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.1

Shares Common Stock (99.8%) ValueCommunications Services (9.9%)

34,681 Activision Blizzard, Inc. $1,835,31813,604 Alphabet, Inc., Class Aa 16,612,38913,724 Alphabet, Inc., Class Ca 16,729,556

331,857 AT&T, Inc. 12,557,46914,862 CBS Corporation 599,97944,585 CenturyLink, Inc. 556,421

7,343 Charter Communications, Inc.a 3,026,197205,987 Comcast Corporation 9,285,894

7,074 Discovery, Inc., Class Aa,b 188,38115,757 Discovery, Inc., Class Ca 387,93710,906 DISH Network Corporationa 371,56713,498 Electronic Arts, Inc.a 1,320,374

109,259 Facebook, Inc.a 19,456,84315,895 Fox Corporation, Class A 501,249

7,315 Fox Corporation, Class B 230,71517,342 Interpublic Group of Companies, Inc. 373,89317,360 News Corporation, Class A 241,651

5,576 News Corporation 79,7099,879 Omnicom Group, Inc. 773,5265,098 Take-Two Interactive Software, Inc.a 638,983

14,284 T-Mobile US, Inc.a 1,125,15135,108 Twitter, Inc.a 1,446,450

187,842 Verizon Communications, Inc. 11,338,14315,933 Viacom, Inc. 382,87081,812 Walt Disney Company 10,661,740

Total 110,722,405

Consumer Discretionary (10.6%) 3,237 Advance Auto Parts, Inc. 535,400

18,871 Amazon.com, Inc.a 32,758,35811,715 Aptiv plc 1,024,125

1,111 AutoZone, Inc.a 1,205,01310,548 Best Buy Company, Inc. 727,707

1,931 Booking Holdings, Inc.a 3,789,8009,358 BorgWarner, Inc. 343,2516,876 Capri Holdings, Ltd.a 228,0087,524 CarMax, Inc.a 662,112

18,040 Carnival Corporation 788,5281,158 Chipotle Mexican Grill, Inc.a 973,264

15,310 D.R. Horton, Inc. 806,9905,564 Darden Restaurants, Inc. 657,776

11,696 Dollar General Corporation 1,858,96210,721 Dollar Tree, Inc.a 1,223,90935,808 eBay, Inc. 1,395,796

6,351 Expedia Group, Inc. 853,638177,419 Ford Motor Company 1,625,158

9,623 Gap, Inc. 167,0556,562 Garmin, Ltd. 555,736

57,061 General Motors Company 2,138,6466,575 Genuine Parts Company 654,8049,260 H&R Block, Inc. 218,721

16,283 Hanesbrands, Inc. 249,4567,276 Harley-Davidson, Inc. 261,7185,330 Hasbro, Inc. 632,618

13,028 Hilton Worldwide Holdings, Inc. 1,213,03749,738 Home Depot, Inc. 11,540,211

7,440 Kohl's Corporation 369,47010,606 L Brands, Inc. 207,772

5,905 Leggett & Platt, Inc. 241,75112,936 Lennar Corporation 722,47614,182 LKQ Corporationa 446,02435,052 Lowe's Companies, Inc. 3,854,31813,854 Macy's, Inc. 215,29112,415 Marriott International, Inc. 1,544,05434,491 McDonald's Corporation 7,405,56323,681 MGM Resorts International 656,437

Shares Common Stock (99.8%) ValueConsumer Discretionary (10.6%) - continued

2,772 Mohawk Industries, Inc.a $343,92219,885 Netflix, Inc.a 5,321,62417,525 Newell Brands, Inc. 328,06856,898 NIKE, Inc. 5,343,860

4,828 Nordstrom, Inc.b 162,5599,806 Norwegian Cruise Line Holdings,

Ltd.a 507,657156 NVR, Inc.a 579,907

3,475 O'Reilly Automotive, Inc.a 1,384,82211,487 PulteGroup, Inc. 419,850

3,412 PVH Corporation 301,0412,433 Ralph Lauren Corporation 232,278

16,563 Ross Stores, Inc. 1,819,4467,728 Royal Caribbean Cruises, Ltd. 837,174

54,363 Starbucks Corporation 4,806,77613,064 Tapestry, Inc. 340,31723,196 Target Corporation 2,479,884

4,888 Tiffany & Company 452,77554,904 TJX Companies, Inc. 3,060,349

5,464 Tractor Supply Company 494,1644,684 TripAdvisor, Inc.a 181,1772,673 Ulta Beauty, Inc.a 669,9878,460 Under Armour, Inc., Class Aa,b 168,6928,674 Under Armour, Inc., Class Ca 157,260

14,745 VF Corporation 1,312,1582,866 Whirlpool Corporation 453,8604,364 Wynn Resorts, Ltd. 474,454

13,805 Yum! Brands, Inc. 1,565,901Total 118,952,915

Consumer Staples (7.6%) 84,706 Altria Group, Inc. 3,464,47525,234 Archer-Daniels-Midland Company 1,036,360

8,266 Brown-Forman Corporation 518,9397,659 Campbell Soup Company 359,360

11,079 Church & Dwight Company, Inc. 833,5845,774 Clorox Company 876,897

174,781 Coca-Cola Company 9,515,07838,821 Colgate-Palmolive Company 2,853,73221,878 Conagra Brands, Inc. 671,217

7,570 Constellation Brands, Inc. 1,569,11019,974 Costco Wholesale Corporation 5,754,70913,539 Coty, Inc. 142,29510,047 Estee Lauder Companies, Inc. 1,998,85127,408 General Mills, Inc. 1,510,729

6,765 Hershey Company 1,048,50712,610 Hormel Foods Corporationb 551,435

5,125 J.M. Smucker Company 563,85311,310 Kellogg Company 727,79815,632 Kimberly-Clark Corporation 2,220,52628,019 Kraft Heinz Company 782,71136,523 Kroger Company 941,563

6,600 Lamb Weston Holdings, Inc. 479,9525,524 McCormick & Company, Inc. 863,4018,455 Molson Coors Brewing Company 486,163

65,497 Mondelez International, Inc. 3,623,29417,619 Monster Beverage Corporationa 1,022,95963,468 PepsiCo, Inc. 8,701,46370,660 Philip Morris International, Inc. 5,365,214

113,565 Procter & Gamble Company 14,125,21523,307 Sysco Corporation 1,850,57613,302 Tyson Foods, Inc. 1,145,83434,455 Walgreens Boots Alliance, Inc. 1,905,70664,588 Wal-Mart Stores, Inc. 7,665,304

Total 85,176,810

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.2

Shares Common Stock (99.8%) ValueEnergy (4.5%)

16,913 Apache Corporation $432,97329,469 Baker Hughes, Inc. 683,68119,074 Cabot Oil & Gas Corporation 335,13086,245 Chevron Corporation 10,228,657

4,571 Cimarex Energy Company 219,1349,037 Concho Resources, Inc. 613,612

50,419 ConocoPhillips 2,872,87518,708 Devon Energy Corporation 450,114

7,405 Diamondback Energy, Inc. 665,78426,274 EOG Resources, Inc. 1,950,056

192,161 Exxon Mobil Corporation 13,568,48839,311 Halliburton Company 741,012

4,929 Helmerich & Payne, Inc. 197,50511,754 Hess Corporation 710,882

7,078 HollyFrontier Corporation 379,66488,420 Kinder Morgan, Inc. 1,822,33637,297 Marathon Oil Corporation 457,63430,000 Marathon Petroleum Corporation 1,822,50017,275 National Oilwell Varco, Inc. 366,23021,787 Noble Energy, Inc. 489,33640,514 Occidental Petroleum Corporation 1,801,65818,755 ONEOK, Inc. 1,382,05620,371 Phillips 66 2,085,9907,586 Pioneer Natural Resources Company 954,091

62,811 Schlumberger, Ltd. 2,146,25219,169 TechnipFMC plc 462,74018,836 Valero Energy Corporation 1,605,58155,046 Williams Companies, Inc. 1,324,407

Total 50,770,378

Financials (12.9%) 2,374 Affiliated Managers Group, Inc. 197,873

33,841 Aflac, Inc. 1,770,56114,951 Allstate Corporation 1,624,87530,898 American Express Company 3,654,61539,508 American International Group, Inc. 2,200,596

5,944 Ameriprise Financial, Inc. 874,36210,711 Aon plc 2,073,328

8,451 Arthur J. Gallagher & Company 756,9562,780 Assurant, Inc. 349,780

380,473 Bank of America Corporation 11,098,39738,959 Bank of New York Mellon Corporation 1,761,33634,677 BB&T Corporation 1,850,71289,055 Berkshire Hathaway, Inc.a 18,525,221

5,335 BlackRock, Inc. 2,377,48921,261 Capital One Financial Corporation 1,934,326

5,055 Cboe Global Markets, Inc. 580,87052,837 Charles Schwab Corporation 2,210,17220,730 Chubb, Ltd. 3,346,651

6,827 Cincinnati Financial Corporation 796,506102,598 Citigroup, Inc. 7,087,470

20,305 Citizens Financial Group, Inc. 718,18816,263 CME Group, Inc. 3,437,022

6,783 Comerica, Inc. 447,61014,453 Discover Financial Services 1,171,99411,097 E*TRADE Financial Corporation 484,828

1,833 Everest Re Group, Ltd. 487,74332,922 Fifth Third Bancorp 901,404

7,640 First Republic Bank 738,78812,810 Franklin Resources, Inc. 369,69714,697 Goldman Sachs Group, Inc. 3,045,65916,422 Hartford Financial Services Group,

Inc. 995,33747,162 Huntington Bancshares, Inc. 673,00225,452 Intercontinental Exchange, Inc. 2,348,45617,955 Invesco, Ltd. 304,158

Shares Common Stock (99.8%) ValueFinancials (12.9%) - continued

145,218 J.P. Morgan Chase & Company $17,090,70645,449 KeyCorp 810,810

9,204 Lincoln National Corporation 555,18511,810 Loews Corporation 607,979

6,071 M&T Bank Corporation 959,0361,706 MarketAxess Holdings, Inc. 558,715

22,995 Marsh & McLennan Companies, Inc. 2,300,65036,150 MetLife, Inc. 1,704,834

7,390 Moody's Corporation 1,513,69457,048 Morgan Stanley 2,434,238

3,799 MSCI, Inc. 827,2325,217 Nasdaq, Inc. 518,3099,840 Northern Trust Corporation 918,269

17,715 People's United Financial, Inc. 276,97420,222 PNC Financial Services Group, Inc. 2,834,31611,661 Principal Financial Group, Inc. 666,31026,553 Progressive Corporation 2,051,21918,257 Prudential Financial, Inc. 1,642,217

5,719 Raymond James Financial, Inc. 471,58945,851 Regions Financial Corporation 725,36311,186 S&P Global, Inc. 2,740,34617,060 State Street Corporation 1,009,78120,162 SunTrust Banks, Inc. 1,387,146

2,371 SVB Financial Groupa 495,42127,720 Synchrony Financial 944,97510,644 T. Rowe Price Group, Inc. 1,216,077

4,616 Torchmark Corporation 442,02811,867 Travelers Companies, Inc. 1,764,50465,127 U.S. Bancorp 3,604,128

9,670 Unum Group 287,392182,099 Wells Fargo & Company 9,185,074

5,816 Willis Towers Watson plc 1,122,3148,037 Zions Bancorporations NA 357,807

Total 145,220,620

Health Care (13.6%) 80,269 Abbott Laboratories 6,716,10767,147 AbbVie, Inc. 5,084,3712,031 ABIOMED, Inc.a 361,295

14,055 Agilent Technologies, Inc. 1,077,03510,184 Alexion Pharmaceuticals, Inc.a 997,421

3,279 Align Technology, Inc.a 593,23714,898 Allergan plc 2,507,184

6,907 AmerisourceBergen Corporation 568,65327,236 Amgen, Inc. 5,270,43811,645 Anthem, Inc. 2,795,96523,188 Baxter International, Inc. 2,028,25412,260 Becton, Dickinson and Company 3,101,290

8,377 Biogen, Inc.a 1,950,33363,264 Boston Scientific Corporationa 2,574,21274,290 Bristol-Myers Squibb Company 3,767,24613,581 Cardinal Health, Inc. 640,88732,188 Celgene Corporationa 3,196,26818,615 Centene Corporationa 805,28514,613 Cerner Corporation 996,16817,123 Cigna Holding Company 2,599,1002,223 Cooper Companies, Inc. 660,231

59,064 CVS Health Corporation 3,725,16728,996 Danaher Corporation 4,187,892

4,398 DaVita, Inc.a 250,99410,182 Dentsply Sirona, Inc. 542,802

9,440 Edwards Lifesciences Corporationa 2,075,95038,585 Eli Lilly and Company 4,314,96157,466 Gilead Sciences, Inc. 3,642,19512,032 HCA Healthcare, Inc. 1,448,893

6,821 Henry Schein, Inc.a 433,134

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.3

Shares Common Stock (99.8%) ValueHealth Care (13.6%) - continued

12,065 Hologic, Inc.a $609,1626,108 Humana, Inc. 1,561,6323,875 IDEXX Laboratories, Inc.a 1,053,7296,655 Illumina, Inc.a 2,024,5848,004 Incyte Corporationa 594,1375,227 Intuitive Surgical, Inc.a 2,822,2148,274 IQVIA Holding, Inc.a 1,235,970

119,861 Johnson & Johnson 15,507,6164,472 Laboratory Corporation of America

Holdingsa 751,2968,398 McKesson Corporation 1,147,671

60,934 Medtronic plc 6,618,651116,283 Merck & Company, Inc. 9,788,703

1,117 Mettler-Toledo International, Inc.a 786,81523,231 Mylan NVa 459,509

7,844 Nektar Therapeuticsa,b 142,8784,992 PerkinElmer, Inc. 425,1696,179 Perrigo Company plc 345,344

251,359 Pfizer, Inc. 9,031,3296,049 Quest Diagnostics, Inc. 647,4243,629 Regeneron Pharmaceuticals, Inc.a 1,006,6856,456 ResMed, Inc. 872,270

14,573 Stryker Corporation 3,152,1402,073 Teleflex, Inc. 704,302

18,188 Thermo Fisher Scientific, Inc. 5,297,61943,027 UnitedHealth Group, Inc. 9,350,628

3,689 Universal Health Services, Inc. 548,7394,090 Varian Medical Systems, Inc.a 487,078

11,674 Vertex Pharmaceuticals, Inc.a 1,977,8093,032 Waters Corporationa 676,8332,252 Wellcare Health Plans, Inc.a 583,6519,325 Zimmer Biomet Holdings, Inc. 1,280,043

21,671 Zoetis, Inc. 2,699,990Total 153,104,588

Industrials (9.8%) 26,098 3M Company 4,290,511

6,389 A.O. Smith Corporation 304,8195,547 Alaska Air Group, Inc. 360,0564,256 Allegion plc 441,134

18,215 American Airlines Group, Inc. 491,25910,371 AMETEK, Inc. 952,26517,593 Arconic, Inc. 457,41824,278 Boeing Company 9,237,051

6,166 C.H. Robinson Worldwide, Inc. 522,75425,551 Caterpillar, Inc. 3,227,347

3,815 Cintas Corporation 1,022,8029,048 Copart, Inc.a 726,826

33,861 Corteva, Inc. 948,10836,250 CSX Corporation 2,511,038

7,166 Cummins, Inc. 1,165,69314,349 Deere & Company 2,420,38926,281 Delta Air Lines, Inc. 1,513,786

6,530 Dover Corporation 650,12719,116 Eaton Corporation plc 1,589,49527,936 Emerson Electric Company 1,867,801

5,438 Equifax, Inc. 764,9637,734 Expeditors International of

Washington, Inc. 574,55925,785 Fastenal Company 842,39610,900 FedEx Corporation 1,586,713

5,901 Flowserve Corporation 275,63613,267 Fortive Corporation 909,586

6,379 Fortune Brands Home and Security, Inc. 348,931

10,626 General Dynamics Corporation 1,941,689

Shares Common Stock (99.8%) ValueIndustrials (9.8%) - continued

396,351 General Electric Company $3,543,37832,677 Honeywell International, Inc. 5,528,948

1,871 Huntington Ingalls Industries, Inc. 396,2593,426 IDEX Corporation 561,453

18,216 IHS Markit, Ltd.a 1,218,28613,369 Illinois Tool Works, Inc. 2,092,11510,910 Ingersoll-Rand plc 1,344,221

6,154 Jacobs Engineering Group, Inc. 563,0913,919 JB Hunt Transport Services, Inc. 433,637

36,029 Johnson Controls International plc 1,581,3134,548 Kansas City Southern 604,929

10,141 L3Harris Technologies, Inc. 2,115,81824,574 Linde Public Limited Company 4,760,47511,286 Lockheed Martin Corporation 4,402,21713,268 Masco Corporation 553,01016,014 Nielsen Holdings plc 340,29811,963 Norfolk Southern Corporation 2,149,273

7,146 Northrop Grumman Corporation 2,678,24915,621 PACCAR, Inc. 1,093,626

5,828 Parker Hannifin Corporation 1,052,5957,632 Pentair, Ltd. 288,4906,541 Quanta Services, Inc. 247,250

12,611 Raytheon Company 2,474,1529,614 Republic Services, Inc. 832,0925,401 Robert Half International, Inc. 300,6205,314 Rockwell Automation, Inc. 875,7476,640 Rollins, Inc. 226,2254,701 Roper Industries, Inc. 1,676,3772,506 Snap-On, Inc. 392,289

22,129 Southwest Airlines Company 1,195,1876,819 Stanley Black & Decker, Inc. 984,732

10,573 Textron, Inc. 517,6542,254 TransDigm Group, Inc. 1,173,590

32,047 Union Pacific Corporation 5,190,97310,094 United Airlines Holdings, Inc.a 892,41131,716 United Parcel Service, Inc. 3,800,2113,560 United Rentals, Inc.a 443,718

36,839 United Technologies Corporation 5,029,2607,367 Verisk Analytics, Inc. 1,165,0172,032 W.W. Grainger, Inc. 603,8098,271 Wabtec Corporation 594,354

17,689 Waste Management, Inc. 2,034,2358,089 Xylem, Inc. 644,046

Total 110,540,782

Information Technology (21.9%) 28,878 Accenture plc 5,554,68322,047 Adobe, Inc.a 6,090,48449,301 Advanced Micro Devices, Inc.a 1,429,236

7,459 Akamai Technologies, Inc.a 681,6031,791 Alliance Data Systems Corporation 229,481

13,430 Amphenol Corporation 1,295,99516,741 Analog Devices, Inc. 1,870,472

3,774 ANSYS, Inc.a 835,413192,930 Apple, Inc. 43,210,532

41,953 Applied Materials, Inc. 2,093,4552,471 Arista Networks, Inc.a 590,3719,943 Autodesk, Inc.a 1,468,581

19,705 Automatic Data Processing, Inc. 3,180,78118,079 Broadcom, Ltd. 4,991,070

5,212 Broadridge Financial Solutions, Inc. 648,52912,632 Cadence Design Systems, Inc.a 834,723

6,572 CDW Corporation 809,933192,805 Cisco Systems, Inc. 9,526,495

5,638 Citrix Systems, Inc. 544,180

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.4

Shares Common Stock (99.8%) ValueInformation Technology (21.9%) - continued

25,083 Cognizant Technology Solutions Corporation $1,511,627

35,446 Corning, Inc. 1,010,92012,086 DXC Technology Company 356,537

2,678 F5 Networks, Inc.a 376,04527,860 Fidelity National Information

Services, Inc. 3,698,69425,924 Fiserv, Inc.a 2,685,467

3,932 FleetCor Technologies, Inc.a 1,127,6196,103 FLIR Systems, Inc. 320,9576,534 Fortinet, Inc.a 501,5504,042 Gartner, Inc.a 577,966

13,627 Global Payments, Inc. 2,166,69359,296 Hewlett Packard Enterprise Company 899,52067,303 HP, Inc. 1,273,373

201,194 Intel Corporation 10,367,52740,233 International Business Machines

Corporation 5,850,68311,812 Intuit, Inc. 3,141,283

1,642 IPG Photonics Corporationa 222,6553,477 Jack Henry & Associates, Inc. 507,538

15,675 Juniper Networks, Inc. 387,9568,459 Keysight Technologies, Inc.a 822,6387,233 KLA-Tencor Corporation 1,153,3026,564 Lam Research Corporation 1,517,0066,139 Leidos Holdings, Inc. 527,217

40,546 MasterCard, Inc. 11,011,07712,317 Maxim Integrated Products, Inc. 713,27710,811 Microchip Technology, Inc. 1,004,45050,105 Micron Technology, Inc.a 2,146,999

346,772 Microsoft Corporation 48,211,7117,461 Motorola Solutions, Inc. 1,271,429

10,805 NetApp, Inc. 567,37127,659 NVIDIA Corporation 4,814,60299,990 Oracle Corporation 5,502,45014,398 Paychex, Inc. 1,191,72253,440 PayPal Holdings, Inc.a 5,535,850

5,349 Qorvo, Inc.a 396,57555,211 QUALCOMM, Inc. 4,211,49539,830 Salesforce.com, Inc.a 5,912,36510,752 Seagate Technology plc 578,350

7,798 Skyworks Solutions, Inc. 617,99125,823 Symantec Corporation 610,197

6,743 Synopsys, Inc.a 925,47715,305 TE Connectivity, Ltd. 1,426,12042,477 Texas Instruments, Inc. 5,489,727

4,746 VeriSign, Inc.a 895,23878,433 Visa, Inc. 13,491,26013,443 Western Digital Corporation 801,74119,638 Western Union Company 455,012

9,004 Xerox Holdings Corporation 269,31011,406 Xilinx, Inc. 1,093,835

Total 246,036,421

Materials (2.2%) 9,967 Air Products and Chemicals, Inc. 2,211,2794,842 Albemarle Corporationb 336,616

73,125 Amcor plc 712,9693,847 Avery Dennison Corporation 436,904

15,063 Ball Corporation 1,096,7375,620 Celanese Corporation 687,2709,916 CF Industries Holdings, Inc. 487,867

33,861 Dow, Inc. 1,613,47733,861 DuPont de Nemours, Inc. 2,414,628

6,297 Eastman Chemical Company 464,90811,370 Ecolab, Inc. 2,251,715

Shares Common Stock (99.8%) ValueMaterials (2.2%) - continued

5,924 FMC Corporation $519,41665,284 Freeport-McMoRan, Inc. 624,768

4,849 International Flavors & Fragrances, Inc.b 594,924

18,101 International Paper Company 756,98411,724 LyondellBasell Industries NV 1,048,946

2,813 Martin Marietta Materials, Inc. 771,04315,977 Mosaic Company 327,52837,237 Newmont Mining Corporation 1,412,02713,906 Nucor Corporation 707,954

4,257 Packaging Corporation of America 451,66810,732 PPG Industries, Inc. 1,271,849

7,045 Sealed Air Corporation 292,4383,729 Sherwin-Williams Company 2,050,4655,939 Vulcan Materials Company 898,214

11,505 WestRock Company 419,357Total 24,861,951

Real Estate (3.2%) 5,079 Alexandria Real Estate Equities, Inc. 782,369

20,105 American Tower Corporation 4,445,8196,738 Apartment Investment &

Management Company 351,3196,311 AvalonBay Communities, Inc. 1,358,9486,529 Boston Properties, Inc. 846,550

15,275 CBRE Group, Inc.a 809,72818,823 Crown Castle International

Corporation 2,616,5859,462 Digital Realty Trust, Inc. 1,228,262

16,185 Duke Realty Corporation 549,8043,852 Equinix, Inc. 2,221,834

15,832 Equity Residential 1,365,6682,960 Essex Property Trust, Inc. 966,8845,837 Extra Space Storage, Inc. 681,8783,166 Federal Realty Investment Trust 431,019

22,304 HCP, Inc. 794,69233,361 Host Hotels & Resorts, Inc. 576,81212,902 Iron Mountain, Inc. 417,89618,985 Kimco Realty Corporation 396,407

4,770 Macerich Company 150,6845,131 Mid-America Apartment

Communities, Inc. 667,08128,559 Prologis, Inc. 2,433,798

6,819 Public Storage, Inc. 1,672,49614,453 Realty Income Corporation 1,108,256

7,547 Regency Centers Corporation 524,4415,127 SBA Communications Corporation 1,236,376

13,989 Simon Property Group, Inc. 2,177,3883,865 SL Green Realty Corporation 315,964

13,300 UDR, Inc. 644,78416,921 Ventas, Inc. 1,235,741

7,193 Vornado Realty Trust 457,97818,334 Welltower, Inc. 1,661,97733,633 Weyerhaeuser Company 931,634

Total 36,061,072

Utilities (3.6%) 29,839 AES Corporation 487,56910,636 Alliant Energy Corporation 573,59911,022 Ameren Corporation 882,31122,426 American Electric Power Company,

Inc. 2,101,0928,143 American Water Works Company, Inc. 1,011,6055,368 Atmos Energy Corporation 611,362

22,580 CenterPoint Energy, Inc. 681,46412,768 CMS Energy Corporation 816,514

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.5

Shares Common Stock (99.8%) ValueUtilities (3.6%) - continued

15,085 Consolidated Edison, Inc. $1,425,08037,328 Dominion Energy, Inc. 3,025,061

8,295 DTE Energy Company 1,102,90333,090 Duke Energy Corporation 3,172,00716,263 Edison International, Inc. 1,226,555

9,030 Entergy Corporation 1,059,76110,694 Evergy, Inc. 711,79314,697 Eversource Energy 1,256,15343,960 Exelon Corporation 2,123,70824,524 FirstEnergy Corporation 1,182,79322,197 NextEra Energy, Inc. 5,171,67916,782 NiSource, Inc. 502,11711,448 NRG Energy, Inc. 453,341

5,053 Pinnacle West Capital Corporation 490,49532,480 PPL Corporation 1,022,79522,964 Public Service Enterprise Group, Inc. 1,425,60512,469 Sempra Energy 1,840,54947,471 Southern Company 2,932,28414,212 WEC Energy Group, Inc. 1,351,56123,815 Xcel Energy, Inc. 1,545,355

Total 40,187,111

Total Common Stock (cost $639,788,321) 1,121,635,053

SharesCollateral Held for Securities Loaned (0.2%) Value

1,992,495 Thrivent Cash Management Trust 1,992,495Total Collateral Held for Securities Loaned (cost $1,992,495) 1,992,495

Shares or Principal Amount Short-Term Investments (0.1%) Value

Federal Home Loan Bank Discount Notes

300,000 1.940%, 11/19/2019c,d 299,233Thrivent Core Short-Term Reserve

Fund141,759 2.230% 1,417,585

Total Short-Term Investments (cost $1,716,793) 1,716,818Total Investments (cost $643,497,609) 100.1% $1,125,344,366Other Assets and Liabilities, Net (0.1%) (1,261,606)Total Net Assets 100.0% $1,124,082,760

a Non-income producing security.b All or a portion of the security is on loan. c The interest rate shown reflects the yield, coupon rate or the

discount rate at the date of purchase.d All or a portion of the security is held on deposit with the

counterparty and pledged as the initial margin deposit for open futures contracts.

The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Index Portfolio as of September 30, 2019:

Securities Lending TransactionsCommon Stock $1,971,922Total lending $1,971,922Gross amount payable upon return of collateral for securities loaned $1,992,495Net amounts due to counterparty $20,573

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.6

Fair Valuation Measurements The following table is a summary of the inputs used, as of September 30, 2019, in valuing Large Cap Index Portfolio's assets carried at fair value.

Investments in Securities Total Level 1 Level 2 Level 3Common Stock

Communications Services 110,722,405 110,722,405 – –Consumer Discretionary 118,952,915 118,952,915 – –Consumer Staples 85,176,810 85,176,810 – –Energy 50,770,378 50,770,378 – –Financials 145,220,620 145,220,620 – –Health Care 153,104,588 153,104,588 – –Industrials 110,540,782 110,540,782 – –Information Technology 246,036,421 246,036,421 – –Materials 24,861,951 24,861,951 – –Real Estate 36,061,072 36,061,072 – –Utilities 40,187,111 40,187,111 – –

Short-Term Investments 299,233 – 299,233 –Subtotal Investments in Securities $1,121,934,286 $1,121,635,053 $299,233 $–Other Investments * TotalAffiliated Short-Term Investments 1,417,585 Collateral Held for Securities Loaned 1,992,495 Subtotal Other Investments $3,410,080

Total Investments at Value $1,125,344,366

* Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.

Other Financial Instruments Total Level 1 Level 2 Level 3Liability Derivatives

Futures Contracts 16,614 16,614 – –Total Liability Derivatives $16,614 $16,614 $– $–

There were no significant transfers between Levels during the period ended September 30, 2019. Transfers between Levels are identified as of the end of the period.

The following table presents Large Cap Index Portfolio's futures contracts held as of September 30, 2019. Investments and/or cash totaling $299,233 were pledged as the initial margin deposit for these contracts.

Futures Contracts Description

Number of Contracts

Long/(Short)Expiration

DateNotional Principal

AmountValue and Unrealized

CME E-mini S&P 500 Index 16 December 2019 $2,399,414 ($16,614)Total Futures Long Contracts $2,399,414 ($16,614)Total Futures Contracts $2,399,414 ($16,614)

Reference Description:CME - Chicago Mercantile ExchangeS&P - Standard & Poor's

Large Cap Index portfoLIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.7

Investment in Affiliates Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio. The Portfolio owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Portfolio. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.

A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Large Cap Index Portfolio, is as follows:

PortfolioValue

12/31/2018Gross

PurchasesGross Sales

Value 9/30/2019

Shares Held at 9/30/2019

% of Net Assets 9/30/2019

Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% $635 $42,412 $41,629 $1,418 142 0.1%

Total Affiliated Short-Term Investments 635 1,418 0.1Collateral held for Securities Loaned

Cash Management Trust- Collateral Investment 431 25,472 23,911 1,992 1,992 0.2Total Collateral Held for Securities Loaned 431 1,992 0.2Total Value $1,066 $3,410

PortfolioNet Realized Gain/(Loss)

Change in Unrealized

Appreciation/(Depreciation)

Distributions of Realized Capital

Gains

Income Earned 1/1/2019

- 9/30/2019Affiliated Short-Term Investments

Core Short-Term Reserve, 2.230% $– $– – $79Total Income from Affiliated Investments $79Collateral Held for Securities Loaned

Cash Management Trust- Collateral Investment – – – 39Total Affiliated Income from Securities Loaned, Net $39Total Value $– $– $–

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

8

SIGNIFICANT ACCOUNTING POLICIES

Valuation of Investments — Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the last sale price on the principal exchange as of the close of regular trading on such exchange or the official closing price of the national market system. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Fund's Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations from dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the primary exchange settle price. Exchange cleared swap agreements are valued using a vendor provided settlement or clearing price used by the clearinghouse. Swap agreements not cleared on exchanges will be valued using the mid-price from the primary approved pricing service. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day.

Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Adviser follow procedures designed to help maintain a constant net asset value of $1.00 per share.

The Board has delegated responsibility for daily valuation of the Portfolios' securities to the Adviser. The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.

The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-

specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.

In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith pursuant to procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments. Investments measured using net asset value per share as a practical expedient for fair value and that are not publicly available-for-sale are not categorized within the fair value hierarchy.

Valuation of International Securities — The Portfolios value certain foreign securities traded on foreign exchanges that close prior to the close of the New York Stock Exchange using a fair value pricing service. The fair value pricing service uses a multi-factor model that may take into account the local close, relevant general and sector indices, currency fluctuation, prices of other securities (including ADRs, New York registered shares, and ETFs), and futures, as applicable, to determine price adjustments for each security in order to reflect the effects of post-closing events. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.

Foreign Currency Translation — The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.

Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

9

currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.

For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.

Foreign Denominated Investments — Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.

Derivative Financial Instruments — Each of the Portfolios, with the exception of the Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter ("OTC").

A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers

are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all of the broker’s customers, potentially resulting in losses to the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.

In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivatives' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to a Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

10

counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Options — All Portfolios, with the exception of the Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.

Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, and Opportunity Income Plus used treasury options to manage the duration of the Portfolio versus the benchmark. Options on mortgage backed securities were used to generate income and/or to manage the duration of the Portfolio.

Futures Contracts — All Portfolios, with the exception of the Money Market Portfolio, may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. A futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, International Allocation, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Multidimensional Income, and Opportunity Income Plus used treasury futures to manage the duration and yield curve exposure of the respective Portfolio versus its benchmark.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Large Cap Index, Low Volatility Equity, Mid Cap Index, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Opportunity Income Plus, and Small Cap Index used equity futures to manage exposure to the equities market.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Moderate Allocation, Moderately Aggressive Allocation, and Moderately Conservative Allocation used foreign exchange futures to hedge currency risk.

Foreign Currency Forward Contracts — In connection with purchases and sales of securities denominated in foreign currencies, all Portfolios, with the exception of the Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the realized and change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

11

that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and a Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio.

During the period ended September 30, 2019, Partner Healthcare used foreign currency forward contracts in order to hedge unwanted currency exposure.

During the period ended September 30, 2019, International Allocation used foreign currency forward contracts in order to gain active currency exposure and to hedge unwanted currency exposure.

Swap Agreements — All Portfolios, with the exception of the Money Market Portfolio, may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at the clearinghouse end of day prices as furnished by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of

cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. Certain swap agreements are over-the-counter. In these types of transactions, the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.

Credit Default Swaps — A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.

Certain Portfolios enter into credit default derivative contracts directly through credit default swaps ("CDS") or through credit default swap indices ("CDX Indices"). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.

During the period ended September 30, 2019, High Yield, Income, Moderate Allocation, Moderately Aggressive

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

12

Allocation, and Moderately Conservative Allocation used CDX indices (comprised of credit default swaps) to help manage credit risk exposure within the fund.

Total Return Swaps— A total return swap is a swap agreement between two parties to exchange the total return of a particular reference asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities, or index underlying the transactions exceeds or falls short of the offsetting interest obligation, the Portfolios will receive a payment from or make a payment to the counterparty. The Portfolios may take a "long" or "short" position with respect to the underlying referenced asset.

During the period ended September 30, 2019, International Allocation used total return swaps to achieve exposure to foreign equity markets where liquidity and/or access is limited.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

Additional information for the Portfolio's policy regarding valuation of investments and other significant accounting policies can be obtained by referring to the Portfolio's most recent annual or semiannual shareholder report.