UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-03422 | |
Exact name of registrant as specified in charter: | The Prudential Variable | |
Contract Account-11 | ||
Address of principal executive offices: | Gateway Center 3, | |
100 Mulberry Street, | ||
Newark, New Jersey 07102 | ||
Name and address of agent for service: | Deborah A. Docs | |
Gateway Center 3, | ||
100 Mulberry Street, | ||
Newark, New Jersey 07102 | ||
Registrant’s telephone number, including area code: | 973-367-7521 | |
Date of fiscal year end: | 12/31/2006 | |
Date of reporting period: | 12/31/2006 |
Item 1 – | Reports to Stockholders |
Prudential MEDLEY Program
Annual Report to Participants
December 31, 2006
Please note that inside are Prospectus Supplements dated November 16, and December 29, 2006. These documents are separate from and not a part of the annual report.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
IFS-A114833
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.
This report is not authorized for distribution to prospective investors unless preceded or accompanied by the current performance results. The performance results show historical investment performance after the deduction of investment management fees, investment-related expenses, and any product charges, including the maximum possible withdrawal charges.
The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777 and distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, Three Gateway Center, 14th Floor, Newark, NJ 07102-4077. Both are Prudential Financial companies. Each company is solely responsible for its own respective financial conditions and contractual obligations. Prudential Financial and the Rock logo are service marks of The Prudential Insurance Company of America, Newark, NJ, and its affiliates.
This report includes the financial statements of the VCA-10, Capital Growth Account; VCA-11, Money Market Account; and The Prudential Series Fund (the “Funds”).
This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements as of December 31, 2006, please call the telephone number on the inside back cover of this report.
Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
A description of the Funds’ proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (888) 778-2888 to obtain a description of the Funds’ proxy voting policies and procedures. The description is also available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Commission at www.sec.gov and on the Funds’ website.
The Funds Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888) 778-2888.
Each Fund files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling (888) 778-2888.
GLOSSARY OF BENCHMARK DEFINITIONS
Conservative Balanced Custom Blended Index consists of a blend of the S&P 500 Index (50%), the Lehman Brothers Aggregate Bond Index (40%), and the 3-Month T-Bill (10%).
Flexible Managed Custom Blended Index consists of a blend of the S&P 500 Index (60%), the Lehman Brothers Aggregate Bond Index (35%), and the 3-Month T-Bill (5%).
Lehman Brothers U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds.
Lehman Brothers U.S. Corporate High Yield Index is an unmanaged index of fixed-rate, non-investment-grade debt securities with at least one year remaining to maturity. It gives a broad look at how high yield (“junk”) bonds have performed.
Lehman Brothers U.S. Corporate High Yield 2% Issuer Capped index covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 2% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.
Lehman Brothers Government Bond Index is an unmanaged index comprised of securities issued or backed by the U.S. government, its agencies, and instrumentalities with a remaining maturity of 1 to 30 years.
The Lipper Variable Insurance Products (VIP) Funds Averages are calculated by Lipper Analytical Services, Inc., and reflect the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges.
General U.S. Government Funds Average | Large-Cap Growth Funds Average | Small-Cap Core Funds Average | ||
Global Growth Funds Average | Large-Cap Value Funds Average | |||
High Current Yield Funds Average | Money Market Funds Average | |||
International Growth Funds Average | Multi-Cap Value Funds Average | |||
Mixed Asset Allocation. Growth Fds Average | Natural Resources Funds Average | |||
Mixed Asset Allocation. Moderate Fds Average | S&P 500 Index Funds Average |
Morgan Stanley Capital International Europe, Australasia, and the Far East (MSCI EAFE) Index (GD & ND) – The Morgan Stanley Capital International Europe, Australasia, Far East Index is an unmanaged capitalization-weighted index generally accepted as a benchmark for major overseas markets. The ND and GD versions of the MSCI EAFE differ in that ND returns reflect the impact of the maximum withholding taxes on reinvested dividends while the GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses.
Morgan Stanley Capital International (MSCI) World Index (GD & ND) – The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom and United States. The ND and GD versions of the MSCI World Index differ in that ND returns reflect the impact of the maximum withholding taxes on reinvested dividends while the GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses.
Russell 1000 Growth Index is a market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell 1000 Index is a market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market.
Russell 1000 Value Index is a market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 3000 Index is a market cap-weighted index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market.
S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks.
This page may include certain benchmarks not applicable to the portfolios available in this particular report. Investors cannot invest directly in a market index or average.
The Prudential MEDLEY Program
Annual Report
December 31, 2006
Table of Contents
Letter | to Participants |
n | VCA-10 CAPITAL GROWTH ACCOUNT |
Financial Statements
n | VCA-11 MONEY MARKET ACCOUNT |
Financial Statements
n | VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Stock Index Portfolio
This | report may include financial information pertaining to certain portfolios that are not available in the Program available to you. Please refer to your Program documents or contact your Program sponsor to determine which portfolios are available to you. |
The Prudential MEDLEY Program
Letter to Participants
December 31, 2006
n | DEAR PARTICIPANTS: |
At Prudential, we are committed to helping you achieve and sustain financial success. We hope that you find the annual report for the Prudential MEDLEY program to be an informative and valuable resource.
Each year, we remind our clients about the benefits of diversification within their portfolios. A diversified portfolio helps you manage downside risk by not being overly invested in any particular asset class, and it helps better position your investments as asset classes rotate in and out of favor. Not only is diversification the best way to balance risk and return, but it can also help align your long-term goals with your risk tolerance. The result is a portfolio that may help you weather market fluctuations and more closely meet your long-term needs.
Contact your financial professional to take the first step in creating a diversified investment plan. Together you should review your reasons for investing, personal investment horizon and risk tolerance to develop a strategy that works best for you. A carefully chosen and broad mix of assets — reviewed periodically over time — can help you stay focused on meeting your long-term objectives.
Thank you for selecting our financial products. At Prudential, your financial security is our priority and we value the opportunity to help you grow and protect your wealth.
Sincerely,
David R. Odenath, Jr. President The Prudential Series Fund | Judy A. Rice, President Variable Contract Accounts 10 & 11 |
January 31, 2007
Presentation of Portfolio Holdings for the Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24) as of December 31, 2006 (Unaudited)
Conservative Balanced | Diversified Bond | Equity | ||||||||||||
Five Largest Equity Holdings (% of Net Assets) | Five Largest Issues (% of Net Assets) | Five Largest Holdings (% of Net Assets) | ||||||||||||
Exxon Mobil Corp. | 1.8% | Federal National Mortgage Association, | Microsoft Corp. | 2.6% | ||||||||||
General Electric Co. | 1.5% | 5.50%, 1/01/33 | 4.9% | General Electric Co. | 2.3% | |||||||||
Citigroup, Inc. | 1.1% | Federal National Mortgage Association, | QUALCOMM, Inc. | 2.1% | ||||||||||
Microsoft Corp. | 1.0% | 5.00%, 3/01/34 | 2.5% | Motorola, Inc. | 2.0% | |||||||||
Bank of America Corp. | 1.0% | Trains HY-1 2006, | Cisco Systems, Inc. | 1.9% | ||||||||||
7.548%, 5/01/16 | 1.6% | |||||||||||||
Government of Hungary, | ||||||||||||||
8.00%, 2/12/15 | 1.4% | |||||||||||||
Federal National Mortgage Association, | ||||||||||||||
5.00%, 1/01/20 | 1.3% |
Flexible Managed | Global | Government Income | ||||||||||||
Five Largest Equity Holdings (% of Net Assets) | Five Largest Holdings (% of Net Assets) | Five Largest Issues (% of Net Assets) | ||||||||||||
Exxon Mobil Corp. | 1.8% | UnitedHealth Group, Inc. | 1.4% | Federal National Mortgage Association, | ||||||||||
General Electric Co. | 1.5% | Comcast Corp. (Class A Stock) | 1.3% | 4.875%, 4/10/08 | 8.0% | |||||||||
Citigroup, Inc. | 1.2% | Goldman Sachs Group, Inc. | 1.3% | Federal National Mortgage Association, | ||||||||||
Federal National Mortgage Association, | HBOS PLC | 1.1% | 5.30%, 2/22/11 | 4.6% | ||||||||||
5.50%, TBA | 1.2% | Genentech, Inc. | 1.0% | Federal National Mortgage Association, | ||||||||||
International Business Machines Corp. | 1.1% | 5.00%, TBA | 2.9% | |||||||||||
Tennessee Valley Authority, Series B, 4.375%, 6/15/15 | 2.7% | |||||||||||||
United States Treasury Inflation Indexed Notes, 3.875%, 1/15/09 | 2.4% |
Stock Index | VCA-10 | |||||||
Five Largest Holdings (% of Net Assets) | Five Largest Issues (% of Net Assets) | |||||||
Exxon Mobil Corp. | 3.5% | American International Group | 2.8% | |||||
General Electric Co. | 3.0% | Honeywell International, Inc. | 2.4% | |||||
Citigroup, Inc. | 2.1% | General Electric Company | 2.3% | |||||
Microsoft Corp. | 2.0% | Loews Corp. | 2.2% | |||||
Bank of America Corp. | 1.9% | Suncor Energy, Inc. | 2.1% |
For a complete listing of holdings, refer to the Schedule of Investments section of this report.
Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential MEDLEY Program — VCA-10 Capital Growth Account
Subadvised by: Jennison Associates LLC
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Capital Growth Acct. (VCA-10)1 | 14.56 | % | 9.36 | % | 6.82 | % | |||
S&P 500 Index2 | 15.78 | 6.18 | 8.42 |
Capital Growth Account inception: 5/13/1983.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception.
For the year ended December 31, 2006, the VCA-10 Account had a total return of 14.56%, compared with 15.78% for the unmanaged S&P 500 Index.
The year saw the beginnings of a significant downturn in U.S. housing construction and home prices for the first time this decade. Although this weighed on consumer sentiment, a strong employment market and the first signs of real wage gains in recent years fostered a generally positive mood. Low interest rates also encouraged consumers to continue to spend, albeit less than they had in past years, as seen in lower domestic auto sales. Corporate profits had their fifth consecutive year of double-digit gains, driving free cash flow, strong balance sheets, more share buybacks, dividend increases, and merger and acquisition activity. Just when it appeared that the post-2000 corporate scandals were fading, questions about pricing and dating stock options touched many companies. However, the market’s resilience in the face of almost daily allegations suggested that most of these scandals might prove less than fatal. Inflation measures moderated as the year progressed and were sufficiently benign that the Federal Reserve stopped its two-year run of steady hikes in the overnight bank lending rate.
The Account’s positions in the financials, materials, energy, consumer discretionary, consumer staples, and utilities sectors beat the corresponding sectors of the S&P 500 Index. A position in mining company Phelps Dodge led the Account’s returns, benefiting from an imbalance between supply and demand for copper as well as from the announcement by Freeport-McMoRan Copper & Gold that it intends to buy Phelps Dodge for $25.7 billion in cash and stock to create the world's second largest copper producer. Energy positions Schlumberger, Suncor Energy, Weatherford International, and Occidental Petroleum benefited from supply/demand imbalances for oil. Comcast (media), Loews (insurance), Agrium (chemicals), NYSE Group (diversified financial services) and Liberty Global (media) also made notable gains.
Healthcare was the only sector with a negative return, pulled down by double-digit declines in St. Jude Medical, Amgen, WellPoint, and Genentech. The Account’s holdings in the information technology and telecommunication services sectors trailed the corresponding sectors of the benchmark, with disappointing performance from Yahoo!, Broadcom, Corning, and CA. Yahoo! tumbled after delaying the launch of its new advertising technology until the fourth quarter of 2006 rather than in the third quarter as previously planned. The new platform is seen as a way to improve the profitability of the ads adjacent to Yahoo’s Internet search results. We sold the Fund’s Yahoo! shares in October.
A benign inflation environment and the Fed’s seeming conviction that interest rates are now at an appropriate level should make investors more willing to pay for earnings growth that is both above-average and longer-lasting. Companies with this profile are well represented in our portfolio. Even if investors are not willing to pay higher multiples of these companies’ earnings, their above-average earnings growth should be rewarded. On the value side, we continue to look for attractively valued stocks with strong free cash flow and steadily rising earnings that have lower risk of margin compression. Over the past several months, we have found many companies possessing what we believe to be strong and steady free cash flow across a variety of industries.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.
1. | The Account performance results are after the deduction of all expenses and contract charges, including investment management and administrative fees but not including the effect of any sales charges. All total returns are for the periods indicated and are calculated based on changes in unit values. |
2. | The S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in an index. |
For a complete list of holdings please see the Statement of Net Assets sections of this report.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2006
LONG-TERM INVESTMENTS — 99.9% | |||||
COMMON STOCKS | Shares | Value (Note 2) | |||
Aerospace/Defense — 2.4% | |||||
Honeywell International, Inc. | 155,500 | $ | 7,034,820 | ||
Biotechnology — 1.4% | |||||
Gilead Sciences, Inc. (a) | 63,100 | 4,097,083 | |||
Capital Markets — 6.9% | |||||
Bank of New York (The) | 142,000 | 5,590,540 | |||
Charles Schwab Corp. | 180,200 | 3,485,068 | |||
Merrill Lynch & Co. | 54,700 | 5,092,570 | |||
UBS AG | 97,900 | 5,906,307 | |||
20,074,485 | |||||
Chemicals — 3.6% | |||||
Agrium, Inc. | 160,600 | 5,057,294 | |||
Dupont EI. de Nemours | 113,400 | 5,523,714 | |||
10,581,008 | |||||
Commercial Services & Supplies — 1.8% | |||||
Waste Management, Inc. | 145,000 | 5,331,650 | |||
Communications Equipment — 5.9% | |||||
Avaya, Inc. (a) | 343,900 | 4,807,722 | |||
Corning, Inc. (a) | 144,200 | 2,697,982 | |||
Motorola, Inc. | 208,400 | 4,284,704 | |||
QualComm, Inc. | 139,300 | 5,264,147 | |||
17,054,555 | |||||
Computers & Peripherals — 2.8% | |||||
Apple Computer, Inc. (a) | 58,600 | 4,971,624 | |||
International Business Machine Corp. | 31,300 | 3,040,795 | |||
8,012,419 | |||||
Consumer Finance — 1.1% | |||||
American Express Co. | 50,700 | 3,075,969 | |||
Diversified Consumer Services — 3.1% | |||||
Career Education Corp. (a) | 129,900 | 3,218,922 | |||
H&R Block, Inc. | 253,300 | 5,836,032 | |||
9,054,954 | |||||
Diversified Financial Services — 4.8% | |||||
Citigroup, Inc. | 92,100 | 5,129,970 | |||
JPMorgan Chase & Co. | 95,636 | 4,619,219 | |||
NYSE Group, Inc. (a) | 43,300 | 4,208,760 | |||
13,957,949 | |||||
Electronic Equipment & Instruments — 1.0% | |||||
Agilent Technologies, Inc. (a) | 86,200 | 3,004,070 | |||
Energy Equipment & Services — 2.8% | |||||
Baker Hughes, Inc. | 48,200 | 3,598,612 | |||
Halliburton Co. | 134,300 | 4,170,015 | |||
7,768,627 | |||||
Food & Staples Retailing — 2.8% | |||||
Kroger Co. (The) | 190,900 | 4,404,063 | |||
Wal-Mart Stores, Inc. | 83,400 | 3,851,412 | |||
8,255,475 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Food Products — 3.6% | |||||
Cadbury Schweppes Spons. ADR (United Kingdom) | 120,500 | $ | 5,173,065 | ||
ConAgra Foods, Inc. | 192,500 | 5,197,500 | |||
10,370,565 | |||||
Health Care Equipment & Supplies — 2.4% | |||||
Boston Scientific Corp. (a) | 176,600 | 3,033,988 | |||
St. Jude Medical, Inc. (a) | 106,000 | 3,875,360 | |||
6,909,348 | |||||
Health Care Providers & Services — 1.6% | |||||
Omnicare, Inc. | 120,100 | 4,639,463 | |||
Household Products — 1.2% | |||||
Kimberly-Clark Corp. | 51,800 | 3,519,810 | |||
Independent Power Producers & | |||||
Dynergy, Inc. Cl. A (a) | 12,314 | 89,153 | |||
NRG Energy, Inc. (a) | 84,500 | 4,732,845 | |||
4,821,998 | |||||
Industrial Conglomerates — 2.3% | |||||
General Electric Company | 181,000 | 6,735,010 | |||
Insurance — 5.0% | |||||
American International Group | 114,100 | 8,176,406 | |||
Loews Corp. | 151,000 | 6,261,970 | |||
14,438,376 | |||||
Internet Software & Services — 1.5% | |||||
Google, Inc. Cl. A (a) | 9,300 | 4,282,464 | |||
Media — 4.5% | |||||
Comcast Corp. Cl. A (a) | 90,600 | 3,835,098 | |||
Liberty Global, Inc. Ser. C (a) | 170,005 | 4,760,140 | |||
News Corp. Inc. Cl. A | 214,900 | 4,616,052 | |||
13,211,290 | |||||
Metals & Mining — 3.6% | |||||
Freeport-McMoRan Cooper & Gold, Inc. Cl. B | 53,900 | 3,003,847 | |||
Lihir Gold Limited ADR (Papua New Guinea) (a) | 156,400 | 3,859,952 | |||
Phelps Dodge Corp. | 29,800 | 3,567,656 | |||
10,431,455 | |||||
Multiline Retail — 1.1% | |||||
Federated Department Stores, Inc. | 83,400 | 3,180,042 | |||
Multi-Utilities — 1.5% | |||||
Sempra Energy | 77,400 | 4,337,496 | |||
Office Electronics — 2.0% | |||||
Xerox Corp. (a) | 340,400 | 5,769,780 | |||
Oil, Gas & Consumable Fuels — 9.4% | |||||
Anadarko Petroleum Corp. | 77,800 | 3,385,856 | |||
Hess Corp. | 87,900 | 4,357,203 | |||
Nexen, Inc. | 81,400 | 4,477,000 | |||
Occidental Petroleum Corp. | 111,500 | 5,444,545 |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2006
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Oil, Gas & Consumable Fuels (cont’d) | |||||
Petroleo Brasileiro SA ADR (Brazil) | 33,100 | $ | 3,408,969 | ||
Suncor Energy, Inc. | 79,000 | 6,233,890 | |||
27,307,463 | |||||
Pharmaceuticals — 4.5% | |||||
Abbott Laboratories | 58,900 | 2,869,019 | |||
Novartis AG ADR (Switzerland) | 88,000 | 5,054,720 | |||
Roche Holdings Ltd. ADR (Switzerland) | 57,200 | 5,119,274 | |||
13,043,013 | |||||
Semiconductors & Semiconductor Equipment — 2.8% | |||||
Broadcom Corp. Cl. A (a) | 101,300 | 3,273,003 | |||
Marvell Technology Group Ltd. (a) | 256,500 | 4,922,235 | |||
8,195,238 | |||||
Software — 5.2% | |||||
Adobe Systems Incorporated (a) | 150,000 | 6,168,000 | |||
CA, Inc. | 573 | 12,978 | |||
Electronic Arts, Inc. (a) | 50,400 | 2,538,144 | |||
Microsoft Corp. | 119,300 | 3,562,298 | |||
Symantec Corp. (a) | 136,600 | 2,848,110 | |||
15,129,530 | |||||
Textiles, Apparel & Luxury Goods — 1.4% | |||||
Nike, Inc. Cl. B | 42,000 | 4,159,261 | |||
Tobacco — 1.6% | |||||
Altria Group, Inc. | 55,800 | 4,788,756 | |||
Wireless Telecommunication Services — 2.6% | |||||
NII Holdings, Inc. (a) | 61,400 | 3,956,616 | |||
Sprint Nextel Corp. | 195,164 | 3,686,648 | |||
7,643,264 | |||||
TOTAL LONG-TERM INVESTMENTS | $ | 290,216,686 | |||
SHORT-TERM INVESTMENTS — 0.1% | ||||||
Shares | Value (Note 2) | |||||
Affiliated Money Market Mutual Fund | ||||||
Dryden Core Investment Fund- | 300,430 | $ | 300,430 | |||
TOTAL INVESTMENTS — 100.0% | $ | 290,517,116 | ||||
OTHER ASSETS, LESS LIABILITIES | ||||||
Cash | 47,485 | |||||
Dividends Receivable | 373,824 | |||||
Payable for Pending Capital Transactions | (60,733 | ) | ||||
Payable for Securities Purchased | (234,885 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 125,691 | |||||
NET ASSETS — 100% | $ | 290,642,807 | ||||
NET ASSETS, representing: | ||||||
Equity of Participants — | 288,457,425 | |||||
Equity of The Prudential Insurance Company of America | 2,185,382 | |||||
$ | 290,642,807 | |||||
(a) | Non-income producing security. |
(b) | The Prudential Investments LLC, the manager of the Account also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series. |
ADR—American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2006
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2006 were as follows:
Oil, Gas & Consumable Fuels | 9.4 | % | |
Capital Markets | 6.9 | ||
Communications Equipment | 5.9 | ||
Software | 5.2 | ||
Insurance | 5.0 | ||
Diversified Financial Services | 4.8 | ||
Media | 4.5 | ||
Pharmaceuticals | 4.5 | ||
Chemicals | 3.6 | ||
Food Products | 3.6 | ||
Metals & Mining | 3.6 | ||
Diversified Consumer Services | 3.1 | ||
Computers and Peripherals | 2.8 | ||
Energy Equipment and Services | 2.8 | ||
Food & Staples Retailing | 2.8 | ||
Semiconductors & Semiconductor Equipment | 2.8 | ||
Wireless Telecommunication Services | 2.6 | ||
Aerospace/Defense | 2.4 | ||
Health Care Equipment & Supplies | 2.4 | ||
Industrial Conglomerates | 2.3 | ||
Office Electronics | 2.0 | ||
Commercial Services & Supplies | 1.8 | ||
Independent Power Producers & Energy Traders | 1.7 | ||
Health Care Providers & Services | 1.6 | ||
Tobacco | 1.6 | ||
Internet Software & Services | 1.5 | ||
Multi-Utilities | 1.5 | ||
Biotechnology | 1.4 | ||
Textiles, Apparel & Luxury Goods | 1.4 | ||
Household Products | 1.2 | ||
Consumer Finance | 1.1 | ||
Multiline Retail | 1.1 | ||
Electronic Equipments & Instruments | 1.0 | ||
Affiliated Money Market Mutual Fund | 0.1 | ||
100.0 | |||
Other Assets in Excess of Liabilities | 0.0 | ||
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF OPERATIONS |
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated Dividend Income (net of $75,262 foreign withholding tax) | $ | 4,609,094 | ||
Affiliated Dividend Income | 105,363 | |||
Total Income | 4,714,457 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (729,038 | ) | ||
Fees Charged to Participants for Administrative Expenses | (2,172,912 | ) | ||
Total Expenses . | (2,901,950 | ) | ||
NET INVESTMENT INCOME | 1,812,507 | |||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS | ||||
Net Realized Gain on Investment Transactions | 51,909,218 | |||
Net Change in Unrealized Appreciation on Investments | (14,156,960 | ) | ||
NET GAIN ON INVESTMENTS | 37,752,258 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 39,564,765 |
STATEMENT OF CHANGES IN NET ASSETS |
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 1,812,507 | $ | 903,369 | ||||
Net Realized Gain on Investment Transactions | 51,909,218 | 29,752,393 | ||||||
Net Change In Unrealized Appreciation on Investments | (14,156,960 | ) | 20,215,553 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 39,564,765 | 50,871,315 | ||||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 14,307,187 | 13,725,946 | ||||||
Withdrawals and Transfers Out | (63,679,961 | ) | (38,414,300 | ) | ||||
Annual Account Charges Deducted from Participants’ Accounts | (43,964 | ) | (49,168 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (49,416,738 | ) | (24,737,522 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (1,290 | ) | (14,510 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (9,853,263 | ) | 26,119,283 | |||||
NET ASSETS | ||||||||
Beginning of year | 300,496,070 | 274,376,787 | ||||||
End of year | $ | 290,642,807 | $ | 300,496,070 |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* |
(For an Accumulation Unit outstanding throughout the year)
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Investment Income | $ | .1539 | $ | .1061 | $ | .1198 | $ | .0827 | $ | .0760 | ||||||||||
Expenses | ||||||||||||||||||||
Investment management fee | (.0237 | ) | (.0193 | ) | (.0170 | ) | (.0142 | ) | (.0143 | ) | ||||||||||
Administrative expenses | (.0710 | ) | (.0600 | ) | (.0522 | ) | (.0424 | ) | (.0429 | ) | ||||||||||
Net Investment Income | .0592 | .0268 | .0506 | .0261 | .0188 | |||||||||||||||
Capital Changes | ||||||||||||||||||||
Net realized gain (loss) on investment transactions | 1.6855 | .8647 | .4174 | (.0999 | ) | (.6619 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (.4319 | ) | .6037 | .1877 | 1.8517 | (.8691 | ) | |||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | 1.3128 | 1.4952 | .6557 | 1.7779 | (1.5122 | ) | ||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||
Beginning of year | 9.0184 | 7.5232 | 6.8675 | 5.0896 | 6.6018 | |||||||||||||||
End of year | $ | 10.3312 | $ | 9.0184 | $ | 7.5232 | $ | 6.8675 | $ | 5.0896 | ||||||||||
Total Return** | 14.56 | % | 19.87 | % | 9.55 | % | 34.93 | % | (22.91 | )% | ||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income To Average Net Assets*** | .62 | % | .32 | % | .72 | % | .45 | % | .33 | % | ||||||||||
Portfolio Turnover Rate | 60 | % | 51 | % | 62 | % | 63 | % | 70 | % | ||||||||||
Number of Accumulation Units Outstanding | ||||||||||||||||||||
For Participants at end of year (000’s omitted) | 27,921 | 33,107 | 36,252 | 39,109 | 41,632 |
* | Calculated by accumulating the actual per unit amounts daily. |
** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported. |
*** | These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-10
Note 1: | General |
The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
Note 2: | Summary of Significant Accounting Policies |
Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and ask prices, or at the last bid price on such day in the absence of an asked price. Securities traded via Nasdaq are valued at the official closing price provided by Nasdaq. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”), in consultation with the subadviser(s), to be over-the-counter, are valued by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the mean between the most recently quoted bid and asked prices on such exchange. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Securities for which market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Fund’s normal pricing time, are valued at fair value in accordance with the Accounts’ Committee Members approved fair valuation procedures. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Investments in mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.
Short-term investments which mature in more than 60 days are valued based on current market quotations. Short-term investments having maturities of 60 days or less are valued at amortized cost which approximates market value. Amortized cost is computed using the cost on the date of purchase, adjusted for constant accretion of discount or amortization of premium to maturity.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income
taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.
A daily charge, at an effective annual rate of up to 1.00% of the current value of the Participant’s equity in VCA-10, is charged to the Account. Up to three quarters of the charge (0.75%) paid to PICA, is for administrative expenses not provided by the annual account charge, and one quarter (0.25%), paid to PI, is for investment management services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by canceling Units.
A deferred sales charge is imposed upon that portion of certain withdrawals which represents a return of contributions. The charge is designed to compensate PICA for sales and other marketing expenses. The maximum deferred sales charge is 7% on contributions withdrawn from an account during the first year of participation. After the first year of participation, the maximum deferred sales charge declines by 1% in each subsequent year until it reaches 0% after seven years. No deferred sales charge is imposed upon contributions withdrawn for any reason after seven years. For the years ended December 31, 2006 and December 31, 2005, PICA has advised the Account that it has received deferred sales charges of $2,219 and $5,235 respectively, imposed upon certain withdrawals from the Account.
Note 4: | Purchases and Sales of Portfolio Securities |
For the year ended December 31, 2006, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $186,942,433 and $174,100,439, respectively.
Investment in the Core Fund: The Account invests in the Taxable Money Market Series (the “Series”), a portfolio of Dryden Core Investment Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Series is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI. During the year ended December 31, 2006, the Account earned $105,363, by investing its excess cash in the Series.
Note 5: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the years ended December 31, 2006 and December 31, 2005, respectively, are as follows:
Year Ended December 31, | ||||
2006 | 2005 | |||
Units issued | 1,502,061 | 1,680,744 | ||
Units redeemed | (6,688,165) | (4,826,080) | ||
Net decrease | (5,186,104) | (3,145,336) |
Note 6: | Net Increase (Decrease) In Net Assets Resulting from Surplus Transfers |
The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
Note 7: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Therefore, no deferred sales charge is imposed upon them. The principal portion of any loan repayment, however, will be treated as a contribution to the receiving Account for purposes of calculating any deferred sales charge imposed upon any subsequent withdrawal. If the Participant defaults on the loan, for example by failing to make required payments, the outstanding balance of the loan will be treated as a withdrawal for purposes of the deferred sales charge. The deferred sales charge will be withdrawn from the same Accumulation Accounts, and in the same proportions, as the loan amount was withdrawn. If sufficient funds do not remain in those Accumulation Accounts, the deferred sales charge will be withdrawn from the Participant’s other Accumulation Accounts as well.
Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed. No deferred sales charge is imposed upon withdrawals of any amount in excess of contributions.
For the year ended December 31, 2006, $536,915 in participant loans were withdrawn from VCA-10 and $402,543 of principal and interest was repaid to VCA-10. For the year ended December 31, 2005, $730,928 in participant loans were withdrawn from VCA-10 and $403,910 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2006, PICA has advised the Account that it received $4,986 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
Note 8: | New Accounting Pronouncements |
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006 the Securities and Exchange Commission delayed the effective date until June 30, 2007. At this time, management is evaluating the implications of FIN 48 and its impact, if any, in the financial statements has not yet been determined.
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (FAS 157). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact, if any, in the financial statements has not yet been determined.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To The Committee And Participants Of
The Prudential Variable Contract Account-10:
We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the “Account”), as of December 31, 2006, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented prior to the year ended December 31, 2004 were audited by another independent registered public accounting firm, whose report dated February 24, 2004, expressed an unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 28, 2007
The Prudential MEDLEY Program — VCA-11 Money Market Account
Subadvised by: Prudential Investment Management
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
7-Day Current Net Yield | 1-Year | 5-Year | 10-Year | |||||||||
VCA-11 Money Market Acct.1 | 4.39 | % | 4.15 | % | 1.62 | % | 3.11 | % | ||||
Citigroup 3-mos T-Bill Index2 | N/A | 4.76 | 2.35 | 3.67 |
Portfolio inception: 5/13/1983.
MONEY MARKET ACCOUNT
ONE-YEAR TOTAL RETURN FOR THE
PAST 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation.
For the year ended December 31, 2006, the VCA-11 Money Market Account’s 7-day current net yield was 4.39%. The Account returned 4.15% in 2006, while the Citigroup Three-Month Treasury Bill Index returned 4.76%.
Among the most influential developments in the money markets during 2006 was the decision by the Federal Reserve (the Fed) to leave short-term interest rates unchanged in the second half of the year after repeatedly increasing them in the first half. In this changing investment environment, the Account provided a competitive yield and ample liquidity to help shareholders meet their financial needs
Fed policymakers, hoping to slow economic growth and bring down inflation, increased the target for the federal funds rate on overnight loans between banks 17 times from June 2004 to June 2006, raising the rate from 1.00% to 5.25%. The last four rate hikes occurred in the first half of 2006. During these months, the timing of their regularly scheduled meetings, which occur roughly every six weeks, remained a focal point of the Account’s investment strategy. The Account purchased short-term debt securities that matured around the time of the next meeting and reinvested their proceeds in higher yielding money market securities that became available after the Fed tightened monetary policy.
Economic growth began to slow in the spring of 2006, particularly as higher interest rates began to take a toll on the housing sector. The economy continued to lose steam in the second half of the year, allowing the Fed to leave short-term rates unchanged from July through December. Even though the Fed continued to express concern about inflation in the second half of the year (core inflation remained above the Fed’s unofficial target of 2%), many market participants expected it to cut short-term rates in 2007 to reinvigorate the economy. Under these conditions, longer-term money market yields declined to unattractive levels, and the Account found value in the one- to- three-month sector of the yield curve.
Throughout 2006, the Account maintained a large exposure to adjustable-rate money market securities that reset periodically based on formulas tied to either the one- or three-month London interbank offered rates (LIBOR). Such securities were in great demand because their interest rates reset to higher levels as short-term rates rose. After the Fed stopped tightening monetary policy and because many market participants expected the Fed to cut rates in 2007, three-month LIBOR was often the highest yielding sector of the money market yield curve. Therefore, adjustable-rate securities based on three-month LIBOR remained a very attractive investment opportunity.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.
1. | The Account performance results are after the deduction of all expenses and contract charges, including investment management and administrative fees but not including the effect of any sales charges. All total returns are for the periods indicated and are calculated based on changes in unit values. |
2. | The Citigroup 3-Month Treasury Bill Index is an index whereby equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over and reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. |
For current yields on the Money Market Account, please call (800) 458-6333. An investment in the Account is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money by investing in the Account. |
For a complete list of holdings, refer to the Statement of Net Assets section of this report.
FINANCIAL STATEMENTS OF VCA-11
STATEMENT OF NET ASSETS |
As of December 31, 2006
SHORT-TERM INVESTMENTS — 99.7% | Principal Amount (000) | Value (Note 2) | |||
Certificates of Deposit — 11.9% | |||||
Bank Of America NA | 1,000 | $ | 1,000,000 | ||
Banco Bilbao NY 5.31%, 6/20/2007 | 1,995 | 1,994,575 | |||
Rabobank Nederland NV | 1,000 | 999,936 | |||
Uncredito Italiano NY 5.33%, 4/2/2007 | 945 | 944,857 | |||
Washington Mutual Bank Funding Agreement | 2,000 | 1,999,956 | |||
6,939,324 | |||||
Commercial Paper(a) — 51.8% | |||||
AB Spin tab Swedmortgage | 900 | 892,050 | |||
Amsterdam Funding Corp., | 1,000 | 995,179 | |||
Bank Of America Corp. | 2,000 | 1,976,600 | |||
Bryant Park Fund., 144A | |||||
5.245%, 2/26/2007 | 801 | 794,231 | |||
5.26%, 3/26/2007 | 2,000 | 1,974,869 | |||
Cafco, LLC, 144A 5.25%, 2/27/2007 | 992 | 983,465 | |||
Countrywide Financial Corp. | 1,360 | 1,359,181 | |||
Citigroup Funding, Inc. | 2,632 | 2,614,695 | |||
Daimler Chrysler Revolving Auto | 2,655 | 2,637,834 | |||
DNB NOR Bank ASA | 1,000 | 988,400 | |||
Edison Asset Securitization, LLC, 144A 5.21%, 3/28/2007 | 3,000 | 2,961,793 | |||
Falcon Asset Securities Corp., | 1,390 | 1,377,611 | |||
Hewlett-Packard Co., 144A | 792 | 787,210 | |||
Ixis, CP., 144A 5.23%, 3/26/2007 | 2,000 | 1,975,594 | |||
Nestle Capital Corp., 144A | 1,000 | 968,088 | |||
Old Line Funding Corp., 144A | 1,500 | 1,494,049 | |||
Prudential PLC, 144A | 800 | 790,388 | |||
San Paolo US 5.35%, 1/23/2007 | 1,000 | 996,433 | |||
Stadshypotek Delaware, 144A | 900 | 893,176 | |||
Toyota Motor Credit Corp. | 1,000 | 991,466 | |||
Tulip Funding Corp., 144A | 1,647 | 1,641,635 | |||
30,093,947 | |||||
SHORT-TERM INVESTMENTS (Continued) | Principal Amount (000) | Value (Note 2) | ||||
Other Corporate Obligations — 32.7% | ||||||
American Express Credit Corp., MTN 5.45%, 1/4/2008(b) | 1,000 | 1,000,000 | ||||
Branch Banking & Trust., MTN | 2,000 | 2,000,665 | ||||
Caja Madrid 5.369%, 10/19/2007 | 1,000 | 1,000,000 | ||||
General Electric Cap Corp. | 1,500 | 1,500,235 | ||||
Genworth Life Insurance Co. | 1,000 | 1,000,000 | ||||
(cost: $1,000,000, | ||||||
HSBC Finance Corp., MTN | 1,000 | 999,611 | ||||
Irish Life & Permanent PLC,MTN, 144A 5.39%, 1/22/2008 | 2,000 | 1,999,875 | ||||
Merrill Lynch & Co., MTN | ||||||
5.60%, 7/11/2007(b) | 1,000 | 1,000,000 | ||||
5.36%, 1/15/2008(b) | 500 | 500,000 | ||||
MetLife Insurance Co., | 1,000 | 1,000,000 | ||||
(cost: $1,000,000, | ||||||
Morgan Stanley, MTN | 2,000 | 2,000,000 | ||||
Paccar Financial Corp., MTN | 1,000 | 1,000,000 | ||||
Pacific Life Insurance Co. | 1,000 | 1,000,000 | ||||
(cost: $1,000,000, | ||||||
Royal Bank of Canada, MTN | 1,000 | 1,000,000 | ||||
Skandinaviska Enskilda Banken AB, 144A | 2,000 | 2,000,000 | ||||
19,000,386 | ||||||
U.S. Government Agencies — 3.3% | ||||||
Federal Home Loan Bank | ||||||
5.555%, 8/15/2007 | 1,000 | 1,000,000 | ||||
5.32%, 10/9/2007 | 945 | 944,654 | ||||
1,944,654 | ||||||
TOTAL INVESTMENTS — 99.7% | 57,978,311 | |||||
OTHER ASSETS, LESS LIABILITIES — 0.3% | ||||||
Cash | 606 | |||||
Interest Receivable | 178,066 | |||||
Payable for Pending Capital Transactions | (26,203 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 152,469 | |||||
NET ASSETS — 100% | $ | 58,130,780 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
STATEMENT OF NET ASSETS |
As of December 31, 2006
Value (Note 2) | |||||
Net Assets, representing: | |||||
Equity of Participants — | $ | 57,310,109 | |||
Equity of The Prudential Insurance Company of America | 820,671 | ||||
$ | 58,130,780 | ||||
144A | Security was purchased pursuant to Rule 144A under the Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be illiquid. |
MTN | — Medium Term Note |
PLC | — Private Placement |
(a) | Percentage quoted represents yield-to-maturity as of the purchase date. |
(b) | Variable rate instrument. The maturity date presented for these instruments is the next date on which the rate of interest is adjusted. The interest rate given is as of December 31, 2006. |
(c) | Indicates a security that has been deemed illiquid. The aggregate cost of the illiquid securities is $3,000,000. The aggregate value of $3,000,000 represents 5.2% of net assets. |
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2006 were as follows:
Foreign Banks | 25.9 | % | |
Asset Backed Securities | 25.5 | ||
Bank Holding Companies | 7.9 | ||
Life Insurance | 6.6 | ||
Security Brokers and Dealers | 6.0 | ||
National Commercial Banks | 5.2 | ||
Short Term Business Credit | 4.2 | ||
Federal Savings Institutions | 3.5 | ||
Federally Sponsored Credit | 3.4 | ||
Mortgage Bankers | 3.4 | ||
Personal Credit Institutions | 3.4 | ||
Financial Services | 1.7 | ||
Motor Vehicle Parts & Accessories | 1.7 | ||
Office Machines | 1.3 | ||
99.7 | |||
Other assets in excess of liabilities | 0.3 | ||
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
STATEMENT OF OPERATIONS |
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated Interest Income | $ | 3,088,561 | ||
Total | 3,088,561 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (149,710 | ) | ||
Fees Charged to Participants for Administrative Expenses | (450,847 | ) | ||
Total Expenses | (600,557 | ) | ||
NET INVESTMENT INCOME | 2,488,004 | |||
Realized Loss on Investment Transactions | (101 | ) | ||
NET INCREASE IN NET ASSETS FROM OPERATIONS | $ | 2,487,903 |
STATEMENT OF CHANGES IN NET ASSETS |
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
OPERATIONS |
| |||||||
Net Investment Income | $ | 2,488,004 | $ | 1,584,772 | ||||
Net Realized Loss on Investment Transactions | (101 | ) | — | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 2,487,903 | 1,584,772 | ||||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 13,559,046 | 13,683,594 | ||||||
Withdrawals and Transfers Out | (21,683,680 | ) | (24,049,386 | ) | ||||
Annual Account Charges Deducted from Participants’ Accounts | (34,215 | ) | (37,045 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (8,158,849 | ) | (10,402,837 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | 32,050 | (147 | ) | |||||
TOTAL DECREASE IN NET ASSETS | (5,638,896 | ) | (8,818,212 | ) | ||||
NET ASSETS | ||||||||
Beginning of year | 63,769,676 | 72,587,888 | ||||||
End of year | $ | 58,130,780 | $ | 63,769,676 |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-11
INCOME PER ACCUMULATION UNIT* |
(For an Accumulation Unit outstanding throughout the year)
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Investment Income | $ | .1561 | $ | .0985 | $ | .0431 | $ | .0374 | $ | .0566 | ||||||||||
Expenses | ||||||||||||||||||||
Investment management fee | (.0077 | ) | (.0071 | ) | (.0072 | ) | (.0073 | ) | (.0072 | ) | ||||||||||
Administrative expenses | (.0228 | ) | (.0223 | ) | (.0221 | ) | (.0220 | ) | (.0218 | ) | ||||||||||
Net Increase in Accumulation Unit Value | .1256 | .0691 | .0138 | .0081 | .0276 | |||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||
Beginning of year | 3.0263 | 2.9572 | 2.9434 | 2.9353 | 2.9077 | |||||||||||||||
End of year | $ | 3.1519 | $ | 3.0263 | $ | 2.9572 | $ | 2.9434 | $ | 2.9353 | ||||||||||
Total Return** | 4.15 | % | 2.33 | % | 0.47 | % | 0.28 | % | 0.95 | % | ||||||||||
Ratio Of Expenses To Average Net Assets*** | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio Of Net Investment Income To Average Net Assets*** | 4.06 | % | 2.30 | % | 0.46 | % | 0.28 | % | 0.94 | % | ||||||||||
Number of Accumulation Units Outstanding | ||||||||||||||||||||
For Participants at end of year (000’s omitted) | 18,183 | 20,822 | 24,298 | 26,594 | 30,128 |
* | Calculated by accumulating the actual per unit amounts daily. |
** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported. |
*** | These calculations exclude PICA’s equity in VCA-11. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-11
Note 1: | General |
The Prudential Variable Contract Account-11 (VCA-11 or the Account) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-11 has been designed for use by employers (Contract-holders) in making retirement arrangements on behalf of their employees (Participants). The investment objective of the Account is to realize a high level of current income as is consistent with the preservation of capital and liquidity. Its investments are primarily composed of short-term securities. The ability of the issuers of the securities held by the Account to meet their obligations may be affected by economic developments in a specific state, industry or region. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
Note 2: | Summary of Significant Accounting Policies |
Securities Valuation: Portfolio securities of VCA-11 are valued at amortized cost, which approximates market value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those amounts.
Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Account may be delayed or limited.
Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.
A daily charge, at an effective annual rate of up to 1.00% of the current value of the Participant’s equity in VCA-11, is charged to the Account. Up to three quarters of the charge (0.75%), paid to PICA, is for administrative expenses not provided by the annual account charge, and one quarter (0.25%), paid to PI, is for investment management services. PICA may impose a reduced Administrative Fee where warranted by
economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.
PICA, PI and PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by cancelling Units.
A deferred sales charge is imposed upon that portion of certain withdrawals which represents a return of contributions. The charge is designed to compensate PICA for sales and other marketing expenses. The maximum deferred sales charge is 7% on contributions withdrawn from an account during the first year of participation. After the first year of participation, the maximum deferred sales charge declines by 1% in each subsequent year until it reaches 0% after seven years. No deferred sales charge is imposed upon contributions withdrawn for any reason after seven years. For the years ended December 31, 2006 and December 31, 2005, PICA has advised the Account that it received deferred sales charges of $2,713 and $1,888, respectively, imposed upon certain withdrawals from the Account, respectively.
Note 4: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the years ended December 31, 2006 and December 31, 2005, are as follows:
Year Ended December 31, | ||||
2006 | 2005 | |||
Units issued | 4,400,902 | 4,598,548 | ||
Units redeemed | (7,040,442) | (8,074,808) | ||
Net decrease | (2,639,540) | (3,476,260) |
Note 5: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets from surplus transfers represents the net increases to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
Note 6: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Therefore, no deferred sales charge is imposed upon them. The principal portion of any loan repayment, however, will be treated as a contribution to the receiving Account for purposes of calculating any deferred sales charge imposed upon any subsequent withdrawal. If the Participant defaults on the loan, for example by failing to make required payments, the outstanding balance of the loan will be treated as a withdrawal for purposes of the deferred sales charge. The deferred sales charge will be withdrawn from the same Accumulation Accounts, and in the same proportions, as the loan amount was withdrawn. If sufficient funds do not remain in those Accumulation Accounts, the deferred sales charge will be withdrawn from the Participant’s other Accumulation Accounts as well.
Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed. No deferred sales charge is imposed upon withdrawals of any amount in excess of contributions.
For the year ended December 31, 2006, $239,610 in participant loans were withdrawn from VCA-11 and $131,998 of principal and interest was repaid to VCA-11. For the year ended December 31, 2005, $350,389 in participant loans were withdrawn from VCA-11 and $227,485 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the year ended December 31, 2006, PICA has advised the Account that it received $5,847 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
Note 7: | New Accounting Pronouncements |
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006 the Securities and Exchange Commission delayed the effective date until June 30, 2007. At this time, management is evaluating the implications of FIN 48 and its impact, if any, in the financial statements has not yet been determined.
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (FAS 157). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact, if any, in the financial statements has not yet been determined.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To The Committee And Participants Of
The Prudential Variable Contract Account-11:
We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (the “Account”), as of December 31, 2006, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented prior to the year ended December 31, 2004 were audited by another independent registered public accounting firm, whose report dated February 24, 2004, expressed an unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 28, 2007
Management of VCA-10 and VCA-11 (Unaudited)
Information pertaining to the Committee Members of VCA-10 and VCA-11 is set forth below. Committee members who are not deemed to be “interested persons” of VCA-10 and VCA-11, as defined in the 1940 Act are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of the Fund are referred to as “Interested Committee Members.” “Fund Complex” consists of VCA-10 and VCA-11 and any other investment companies managed by Prudential Investments LLC (the Manager or PI).
Independent Committee Members2
Linda W. Bynoe (Age: 54), Committee Member since 20053
Oversees 73 portfolios in Fund complex
Principal occupations (last 5 years): President and Chief Executive Officer (since March 1995) of Telemat Ltd. (management consulting); formerly Vice President at Morgan Stanley & Co;
Other Directorships held4: Director of Simon Property Group, Inc. (real estate investment trust) (since May 2003); Anixter International (communication products distributor) (since January 2006); Director of Northern Trust Corporation (since April 2006).
David E.A. Carson (Age: 72), Committee Member since 20033
Oversees 77 portfolios in Fund complex
Principal occupations (last 5 years): Formerly Director (January 2000-May 2000), Chairman (January 1999-December 1999), Chairman and Chief Executive Officer (January 1998-December 1998) and President, Chairman and Chief Executive Officer of People’s Bank (1983-1997)
Robert E. La Blanc (Age: 72), Committee Member since 20033
Oversees 75 portfolios in Fund complex
Principal occupations (last 5 years): President (since 1981) of Robert E. La Blanc Associates, Inc. (telecommunications).
Other Directorships held4: Director of CA, Inc. (since 2002) (software company); FiberNet Telecom Group, Inc. (since 2003) (telecom company).
Douglas H. McCorkindale (Age: 67), Committee Member since 20033
Oversees 72 portfolios in Fund complex
Principal occupations (last 5 years): Formerly Chairman (February 2001-June 2006), Chief Executive Officer (June 2000-July 2005), President (September 1997-July 2005) and Vice Chairman (March 1984-May 2000) of Gannett Co. Inc. (publishing and media).
Other Directorships held4: Director of Continental Airlines, Inc. (since May 1993); Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001).
Richard A. Redeker (Age: 63), Committee Member since 20033
Oversees 74 portfolios in Fund complex
Principal occupations (last 5 years): Management Consultant; Director (since 2001) and Chairman of the Board (2006) of Invesmart, Inc.; Director of Penn Tank Lines, Inc. (since 1999).
Robin B. Smith (Age: 67), Chairman and Committee Member since 20033
Oversees 75 portfolios in Fund complex
Principal occupations (last 5 years): Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing), formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House.
Other Directorships held4: Formerly Director of BellSouth Corporation (since 1992).
Stephen D. Stoneburn (Age: 63), Committee Member since 20033
Oversees 75 portfolios in Fund complex
Principal occupations (last 5 years): President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc (1975-1989).
Clay T. Whitehead (Age: 68), Committee Member since 20033
Oversees 75 portfolios in Fund complex
Principal occupations (last 5 years): President (since 1983) of YCO (new business development firm).
Interested Committee Members1
Judy A. Rice (Age: 59), President and Committee Member since 20033
Oversees 74 portfolios in Fund complex
Principal occupations (last 5 years): President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (since February 2003) of Prudential Investments LLC; Vice President (since February 1999) of Prudential Investment Management Services LLC; President, Chief Executive Officer and Officer-In-Charge (since April 2003) of Prudential Mutual Fund Services LLC; formerly Director (May 2003-March 2006) and Executive Vice President (June 2005-March 2006) of American Skandia Investment Services, Inc.; formerly Executive Vice President (September 1999-February 2003) of Prudential Investments LLC; Member of Board of Governors of the Investment Company Institute.
Robert F. Gunia (Age: 60), Vice President and Committee Member since 20033
Oversees 154 portfolios in Fund complex
Principal occupations (last 5 years): Chief Administrative Officer (since September 1999) and Executive Vice President (since December 1996) of Prudential Investments LLC; President (since April 1999) of Prudential Investment Management Services LLC; Executive Vice President (since March 1999) and Treasurer (since May 2000) of Prudential Mutual Fund Services LLC; Chief Administrative Officer, Executive Vice President and Director (since May 2003) of American Skandia Investment Services, Inc.
Other Directorships held: Vice President and Director (since May 1989) and Treasurer (since 1999) of The Asia Pacific Fund, Inc.
Information pertaining to the Officers of VCA-10 and VCA-11 is set forth below.
Officers2
Kathyrn L. Quirk (Age: 54), Chief Legal Officer since 2005
Principal occupations (last 5 years): Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of Prudential Investments LLC and Prudential Mutual Fund Services LLC; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (Age: 49), Secretary since 2005
Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of American Skandia Investment Services, Inc.
Jonathan D. Shain (Age: 48), Assistant Secretary since 2005
Principal occupations (last 5 years): Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) American Skandia Investment Services, Inc.
Claudia DiGiacomo (Age: 32), Assistant Secretary since 2005
Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Lee D. Augsburger (Age: 47), Chief Compliance Officer since 2004.3
Principal occupations (last 5 years): Senior Vice President and Chief Compliance Officer (since April 2003) of PI; Vice President (since November 2000) and Chief Compliance Officer (since October 2000) of Prudential Investment Management, Inc.; Chief Compliance Officer and Senior Vice President (since May 2003) of American Skandia Investment Services, Inc.
Grace C. Torres (Age: 47), Treasurer and Principal Financial and Accounting Officer since 19973
Principal occupations (last 5 years): Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of American Skandia Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of American Skandia Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of American Skandia Investment Services, Inc.
John P. Schwartz (Age 35), Assistant Secretary since 2006.
Principal occupations (last 5 years): Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austing Brown & Wood LLP (1997-2005).
M. Sadiq Peshimam (Age: 43), Assistant Treasurer since 2006.
Principal occupations (last 5 years): Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration.
Jack Benintende (Age: 42), Assistant Treasurer since 2006.
Principal occupations (last 5 years): Vice President (since June 2000) within Prudential Mutual Fund Administration; formerly Senior Manager within the investment management practice of PricewaterhouseCoopers LLP (May 1994-June 2000).
Andrew French (Age: 44), Assistant Secretary since 2006.
Principal occupations (last 5 years): Director and Corporate Counsel (since May 2006) of Prudential; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006).
Noreen M. Fierro (Age: 42), Anti-Money Laundering Compliance Officer since 2006.
Principal occupations (last 5 years): Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group.
1 | “Interested” Committee Members, as defined in the 1940 Act, by reason of employment with the Manager, the Subadviser (Prudential Investment Management Inc. or PIM) or the Distributor (Prudential Investment Management Services LLC or PIMS). |
2 | Unless otherwise noted, the address of the Committee Members and Officers is c/o: Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, NJ 07102. |
3 | There is no set term of office for Committee Members and Officers. The Independent Committee Members have adopted a retirement policy, which calls for the retirement of Committee Members on December 31 of the year in which they reach the age of 75. The table shows the individuals length of service as Committee Member and/or Officer. |
4 | This includes only directorships of companies requested to register, or file reports with the SEC under the Securities and Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act. |
The Prudential Series Fund
The following pages represent information on The Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.
Each Subaccount of VCA-24 will invest in the corresponding portfolio of The Prudential Series Fund (the “Fund”). Of the portfolios comprising the Fund, seven portfolios are presently available to The MEDLEY Program. The Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Stock Index Subaccount in the Stock Index Portfolio, the Equity Subaccount invests in the Equity Portfolio, and the Global Subaccount in the Global Portfolio.
There is no assurance that the investment objective of the portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.
Important Note
This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the seven portfolios of The Prudential Series Fund which are available through the Prudential Variable Contract Account-24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.
Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance
of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.
Fees and Expenses (Unaudited)
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, distribution and service (12b-1*) fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
* 12b-1 fees are paid by the fund out of fund assets to cover distribution expenses and sometimes shareholder service expenses.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2006 through December 31, 2006.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2006 | Ending Account Value December 31, 2006 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six- Month Period* | ||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,090.80 | 0.56 | % | $ | 2.95 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,022.38 | 0.56 | % | $ | 2.85 | ||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,058.30 | 0.45 | % | $ | 2.33 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,022.94 | 0.45 | % | $ | 2.29 | ||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,118.80 | 0.47 | % | $ | 2.51 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,022.84 | 0.47 | % | $ | 2.40 | ||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,116.70 | 0.87 | % | $ | 4.64 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,020.82 | 0.87 | % | $ | 4.43 | ||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,100.10 | 0.61 | % | $ | 3.23 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,022.13 | 0.61 | % | $ | 3.11 | ||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,129.90 | 0.74 | % | $ | 3.97 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,021.48 | 0.74 | % | $ | 3.77 | ||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,044.00 | 0.51 | % | $ | 2.63 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,022.63 | 0.51 | % | $ | 2.60 | ||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,125.80 | 0.36 | % | $ | 1.93 | |||||
Hypothetical | $ | 1,000.00 | $ | 1,023.39 | 0.36 | % | $ | 1.84 |
* | Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2006, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2006 (to reflect the six-month period). |
The Prudential Series Fund, Conservative Balanced Portfolio
Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates LLC
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Conservative Balanced Portfolio | 10.44 | % | 5.93 | % | 5.81 | % | |||
S&P 500 Index | 15.78 | 6.18 | 8.42 | ||||||
Conservative Balanced Custom Blend Index | 10.00 | 5.59 | 7.40 | ||||||
Lipper Mixed Asset Target Allocation Growth Funds Avg. | 11.67 | 6.37 | 7.18 |
Portfolio inception: 5/13/1983.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Conservative Balanced Portfolio had a total return that was above its Blend Index (50% stock, 40% bond, 10% cash), but trailed the average return of its peer group.
The Portfolio’s stock holdings are managed as an index fund, with performance characteristics similar to those of the S&P 500 Index, while its bond holdings are more actively managed, focusing on high-grade bonds. Allocations to these asset classes are actively managed within a fairly wide range to take advantage of different market conditions.
The Portfolio benefited from emphasizing stocks in a year when they had exceptionally high returns. In addition, the managers added a small allocation to international stocks, which substantially outperformed the domestic market. Not only did foreign markets generally have higher returns than the United States, their returns to U.S. investors were augmented by the decline of the U.S. dollar against all major currencies except the Japanese yen. The Portfolio was underweighted in cash equivalents (very short-term securities), which added to its return in the strong markets. Its bond holdings outperformed the Lehman Aggregate Bond Index, thanks to allocations to high yield (junk) and emerging market bonds, good selection among investment grade corporate bonds, and positions in securities backed by mortgages and other assets.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Diversified Bond Portfolio
Subadvised by: Prudential Investment Management, Inc.
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Diversified Bond Portfolio | 4.98 | % | 5.67 | % | 5.97 | % | |||
Lehman Brothers U.S Aggregate Bond Index | 4.33 | % | 5.06 | % | 6.24 | % | |||
Lipper VP Intermediate Investment Grade Debt Funds Avg. | 4.14 | % | 4.90 | % | 5.81 | % |
Portfolio inception: 5/13/1983.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Diversified Bond Portfolio had a total return that was above its benchmark index and the average of its peer group.
In the fixed income markets, 2006 proved to be a banner year for emerging market bonds and U.S. high yield corporate bonds, commonly called “junk” bonds because they are rated below investment grade. Money from around the world flowed into these debt securities as investors sought assets that provided attractive yields. They were also drawn to the high yield market by its historically low default rate and the healthy credit fundamentals of companies, many of which generated free cash flow and carried positive cash balances on their financial statements. Investors favored emerging market bonds as the global economic expansion continued, the ratings of many emerging market bonds improved, and prudent fiscal policies resulted in lower levels of public debt in some developing nations.
Both high yield bonds and emerging market bonds significantly outperformed U.S. Treasury and federal agency securities. Exposure to high yield bonds and emerging market bonds, and favorable security selection in both areas, were key reasons that the Portfolio performed better than the benchmark index, a gauge of U.S. investment grade bonds that excludes high yield and emerging market bonds. For example, the Portfolio held General Motors Corp. bonds that rallied as the troubled auto maker cut costs by reducing its work force and raised money by selling a controlling interest in General Motors Acceptance Corp. The Portfolio’s emerging-market exposure consisted of mostly sovereign bonds and a few positions in corporate bonds.
In other areas of the U.S. fixed income market, the Portfolio had overweight exposures to investment-grade corporate bonds, commercial mortgage-backed securities, and asset-backed securities (compared to the benchmark index). This strategy worked well because these markets also outperformed U.S. Treasury and federal agency securities in 2006. Even though economic growth slowed in the United States as repeated increases in short-term interest rates by the Federal Reserve took a toll on the housing sector, corporate earnings remained strong, supporting investment-grade corporate bonds. Among the Portfolio’s holding were bonds of airlines, which benefited from falling fuel prices and higher ticket prices as conditions improved in the travel industry.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Equity Portfolio
Subadvised by: Jennison Associates LLC, ClearBridge Advisors, LLC
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | Since Inception | ||||||||
Equity Portfolio: Class I | 12.57 | % | 7.12 | % | 7.09 | % | N/A | ||||
Equity Portfolio: Class II | 12.13 | 6.70 | N/A | 2.95 | |||||||
S&P 500 Index | 15.78 | 6.18 | 8.42 | 2.41 | |||||||
Russell 1000® Index | 15.46 | 6.82 | 8.64 | 2.97 | |||||||
Lipper Large-Cap Core Funds Avg. | 13.31 | 5.22 | 6.71 | 1.98 |
Portfolio (Class I) inception: 5/13/1983. Portfolio (Class II) inception: 5/4/1999.
$10,000 INVESTED OVER 10 YEARS1
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II).
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Equity Portfolio had a total return that was below its benchmarks and the average return of its peer group.
Approximately half of the Portfolio was managed by Jennison Associates, a unit of Prudential Investment Management, and approximately half by ClearBridge Advisors (formerly known as Salomon Brothers Asset Management).
Stock selection, particularly in the Jennison segment and particularly in the healthcare, technology, telecommunications, consumer non-cyclical, and consumer cyclical sectors, accounted for most of the Portfolio’s underperformance. Moreover, in an investment environment that strongly favored value stocks, it suffered from a tilt to the growth style, primarily in the Jennison segment. This was manifested in above-average acceleration of its holdings’ business fundamentals and their below-average exposure to value characteristics such as low price-to-earnings and price-to-book value ratios and debt levels.
The Portfolio’s sector distribution had a positive impact on its return. It was overweight compared with its benchmark in the strong basic materials sector and underweight in the relatively weak financials and transportation sectors. However, an underweight in the high-returning telecommunications sector detracted from its relative performance. Both managers’ segments contributed to the positive sector exposures.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares. |
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Flexible Managed Portfolio
Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates, LLC
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Flexible Managed Portfolio | 12.17 | % | 6.92 | % | 6.17 | % | |||
S&P 500 Index | 15.78 | 6.18 | 8.42 | ||||||
Flexible Managed Custom Blended Index | 11.13 | 5.84 | 7.74 | ||||||
Lipper Mixed Target Allocation Growth Funds Avg. | 11.67 | 6.37 | 7.18 |
Portfolio inception: 5/13/1983.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Flexible Managed Portfolio had a total return that was above both its Blend Index (60% stocks, 35% bonds, 5% cash) and the average of its peer group.
The Portfolio’s stock holdings are actively managed with risk characteristics similar to those of the S&P 500 Index, while its bond holdings are more actively managed, focusing on high-grade bonds. Allocations to these asset classes are actively managed within a fairly wide range to take advantage of different market conditions.
The Portfolio benefited from emphasizing stocks in a year when they had exceptionally high returns. In addition, the managers added a small allocation to international stocks, which substantially outperformed the domestic market. Not only did foreign markets generally have higher returns than the United States, their returns to U.S. investors were augmented by the decline of the U.S. dollar against all major currencies except the Japanese yen. The Portfolio was underweighted in cash equivalents (very short-term securities), which added to its return in the strong markets. Its bond holdings outperformed the Lehman Aggregate Bond index, thanks to allocations to high yield (junk) and emerging market bonds, good selection among investment grade corporate bonds, and positions in securities backed by mortgages and other assets.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Global Portfolio
Subadvised by: William Blair & Company LLC, LSV Asset Management, Marsico Capital Management, LLC, T. Rowe Price Associates, Inc.
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Global Portfolio | 19.65 | % | 8.84 | % | 7.46 | % | |||
MSCI World Index (GD) | 20.65 | 10.49 | 8.08 | ||||||
MSCI World Index (ND) | 20.07 | 9.97 | 7.64 | ||||||
Lipper (VIP) Global Growth Funds Avg. | 18.78 | 10.54 | 8.95 |
Portfolio inception: 9/19/1988.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Global Portfolio had a total return that was in line with the very strong return of its benchmark and above the average of its peer group.
The Portfolio is co-managed by four specialist asset managers: Marsico Capital Management manages its large-cap domestic growth stocks; T. Rowe Price manages its large-cap domestic value stocks; William Blair & Company manages its international growth stocks; and LSV Asset Management manages its international value stocks. Each firm manages approximately a quarter of the Portfolio’s assets. We expect this diversified structure to reduce style and risk exposures so that most of the Portfolio’s variance from its benchmark will be due to its co-managers’ stock selection. The major exception is that William Blair has the flexibility to invest in emerging markets stocks, which are not part of the Portfolio’s benchmark.
During 2006, the Portfolio benefited from the geographic distribution of its holdings, particularly its underexposure to the United States. Although U.S. stocks performed well over the year, international stocks performed even better, aided by the decline of the U.S. dollar against most other major currencies. In addition, William Blair’s exposure to Mexico, China, India, and Brazil improved the Portfolio’s performance. Its distribution among economic sectors had relatively little impact because the benefit of an overweight in technology compared with the benchmark was largely offset by an underweight in the strong utilities sector and an overweight in the relatively soft industrials sector. Investment style and risk factors made a modestly positive contribution to relative performance, primarily due to an emphasis compared with the benchmark on stocks of smaller companies. These outperformed those of larger firms during 2006. The Portfolio also benefited slightly from a modest emphasis on stocks with rising price momentum.
The Portfolio’s performance was enhanced by its stock selection, particularly within the financials and consumer discretionary sectors. However, its healthcare holdings did not keep up with the corresponding sector of the benchmark.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Government Income Portfolio
Subadvised by: Prudential Investment Management, Inc.
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Government Income Portfolio | 3.74 | % | 4.71 | % | 5.97 | % | |||
Lehman Brothers Govt. Bond Index | 3.48 | 4.64 | 6.01 | ||||||
Lipper (VIP) General U.S. Govt. Funds Avg. | 2.81 | 4.46 | 5.51 |
Portfolio inception: 5/1/1989.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2006, the Government Income Portfolio had a total return that was above its benchmark index and the average of its peer group.
The investment environment for U.S. fixed income securities improved in 2006. In the first half of the year, the Federal Reserve (“the Fed”) increased the target for the federal funds rate on overnight loans between banks four times. This was part of its latest effort to slow economic growth and pull down inflation. The total rate increase from 4.25% to 5.25%, along with concern that persistent inflation might lead the Fed to continue tightening monetary policy, at times put upward pressure on bond yields, causing bond prices to fall as bond prices move inversely to yields. But in the second half of the year, the Fed left short-term rates unchanged as economic growth, which had begun to slow in the spring of 2006, continued to moderate in the second half of the year. There was even speculation that the Fed would have to cut short-term rates in 2007 to reinvigorate the economy. From time to time, this expectation of lower rates put downward pressure on bond yields, which boosts bond prices.
The Portfolio performed better than its benchmark index because some of the bonds it held were not included in its benchmark index, which is composed of U.S. Treasury and federal agency securities. In the global low interest-rate environment, investors sought assets with attractive yields, enabling bonds such as mortgage-backed securities and commercial mortgage-backed securities to outperform comparable Treasury securities in 2006. While the Portfolio held Treasury and federal agency securities, the bulk of its holdings consisted of mortgage-backed securities, commercial mortgage-backed securities and sovereign bonds issued by governments of nations, such as Germany and Norway. During the year, the Portfolio began to invest in foreign government bonds because they provide diversification away from the U.S. market, incremental yield, and potential gains from currency appreciation.
The Portfolio also performed better than its benchmark Index because it had a shorter duration. Duration measures a portfolio’s sensitivity to changes in interest rates. Having a shorter duration provided the Portfolio with some degree of protection as, on net, yields rose across the Treasury yield curve for the year.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
The Prudential Series Fund, Stock Index Portfolio
Subadvised by: Quantitative Management Associates LLC
December 31, 2006
Investment Manager’s Report
Performance Summary - As of December 31, 2006
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Stock Index Portfolio | 15.54 | % | 5.88 | % | 8.15 | % | |||
S&P 500 Index | 15.78 | 6.18 | 8.42 | ||||||
Lipper (VIP) S&P 500 Index Objective Funds Avg. | 15.38 | 5.78 | 8.11 |
Portfolio inception: 10/19/1987.
$10,000 INVESTED OVER 10 YEARS
Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
In 2006, the Stock Index Portfolio was managed by QMA, a unit of Prudential Investment Management. The average index fund generally trails the S&P 500 Index (“the Index”) primarily because funds have fees and expenses that an index does not. The Portfolio’s return, although slightly below the Index, was above the average of similar funds.
The Index return for 2006 was above its historical average. All sectors, except health care and technology, made double-digit advances, most above 18%. The market benefited from exceptionally high corporate profits. In addition, substantial merger and acquisition activity helped prices in the real estate, utilities, telecommunications services, metals, and media industries. Investment bank stocks reflected high advising and trading income. Shares of ExxonMobil and Chevron, together composing almost 5% of the Index, had substantial gains. The aerospace and defense industry had high returns, in part because of demand for Boeing’s civilian aircraft. The impact of the slowing housing sector was mitigated by a pickup in nonresidential construction and by construction in the developing world. Demand for shares of companies producing construction materials continued to be strong. Metals stocks, particularly those of steel companies, and firms making construction machinery were in high demand. Negative returns for the managed health care and biotechnology industries contributed to making the healthcare sector the weakest in the Index.
Homebuilding stocks, which had fallen 45% from their January peak, recovered somewhat by year-end. Nonetheless, homebuilding and home improvement stocks had negative annual returns. After the U.S. Federal Reserve let its August 8 meeting pass without an interest-rate hike, the first break in two years, other industries rebounded significantly from steep losses earlier in the year. These included Internet & catalog retailers, human resource & employment services, Internet software & services, and wireless telecommunication services. Semiconductor and semiconductor equipment stocks recovered more modestly. Conversely, the rising price of corn drove agricultural products giant Archer-Daniels-Midland to give up some of a huge first-half gain.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.
CONSERVATIVE BALANCED PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | |||
Investments, at value including securities on loan of $196,798,835: | |||
Unaffiliated investments (cost $2,022,194,120) | $ | 2,469,261,024 | |
Affiliated investments (cost $546,923,952) | 546,988,257 | ||
Cash | 116,699 | ||
Foreign currency, at value (cost $26,841) | 27,060 | ||
Receivable for investments sold | 52,574,428 | ||
Dividends and interest receivable | 10,479,778 | ||
Receivable for Series shares sold | 46,474 | ||
Prepaid expenses | 42,886 | ||
Foreign tax reclaim receivable | 36,623 | ||
Total Assets | 3,079,573,229 | ||
LIABILITIES | |||
Collateral for securities on loan | 204,591,018 | ||
Payable for investments purchased | 101,997,507 | ||
Management fee payable | 1,297,142 | ||
Payable for Series shares repurchased | 608,357 | ||
Due to broker—variation margin | 246,824 | ||
Accrued expenses and other liabilities | 230,407 | ||
Unrealized depreciation on swaps | 21,669 | ||
Transfer agent fee payable | 316 | ||
Total Liabilities | 308,993,240 | ||
NET ASSETS | $ | 2,770,579,989 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 2,373,220,128 | |
Retained earnings | 397,359,861 | ||
Net assets, December 31, 2006 | $ | 2,770,579,989 | |
Net asset value and redemption price per share, $2,770,579,989 / 170,879,134 outstanding shares of beneficial interest (authorized 525,000,000 shares) | $ | 16.21 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Interest | $ | 50,753,367 | ||
Unaffiliated dividend income (net of foreign withholding taxes of $233,535) | 28,950,414 | |||
Affiliated dividend income | 16,339,321 | |||
Affiliated income from securities loaned, net | 260,395 | |||
96,303,497 | ||||
EXPENSES | ||||
Management fee | 14,950,476 | |||
Custodian’s fees and expenses | 205,000 | |||
Shareholders’ reports | 140,000 | |||
Insurance expenses | 71,000 | |||
Trustees’ fees | 40,000 | |||
Audit fee | 21,000 | |||
Legal fees and expenses | 14,000 | |||
Commitment fee on syndicated credit agreement | 2,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $1,800) (Note 4) | 2,000 | |||
Miscellaneous | 18,119 | |||
Total expenses | 15,463,595 | |||
NET INVESTMENT INCOME | 80,839,902 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investments | (108,622,883 | ) | ||
Futures transactions | 3,473,671 | |||
Foreign currency transactions | (35,133 | ) | ||
Options written | 32,695 | |||
Short sales | (41,934 | ) | ||
Swaps | (284,957 | ) | ||
(105,478,541 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 296,538,582 | |||
Futures | (1,204,348 | ) | ||
Foreign currencies | 2,278 | |||
Options written | (25,332 | ) | ||
Swaps | (21,669 | ) | ||
295,289,511 | ||||
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | 189,810,970 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 270,650,872 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 80,839,902 | $ | 68,482,581 | ||||
Net realized loss on investments, swaps and foreign currency transactions | (105,478,541 | ) | (14,618,230 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 295,289,511 | 39,591,655 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 270,650,872 | 93,456,006 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (65,771,642 | ) | |||||
Distributions from net realized capital gains | — | (28,275,553 | ) | |||||
Distributions | (75,726,414 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (75,726,414 | ) | (94,047,195 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [1,557,565 and 2,034,058 shares, respectively] | 23,668,066 | 30,062,884 | ||||||
Series shares issued in reinvestment of dividends and distributions [5,014,994 and 6,595,175 shares, respectively] | 75,726,414 | 94,047,195 | ||||||
Series shares repurchased [17,938,730 and 18,072,236 shares, respectively] | (273,531,887 | ) | (267,289,008 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (174,137,407 | ) | (143,178,929 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 20,787,051 | (143,770,118 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 2,749,792,938 | 2,893,563,056 | ||||||
End of year | $ | 2,770,579,989 | $ | 2,749,792,938 | (a) | |||
(a) Includes undistributed net investment income of: | $ | 69,851,558 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
DIVERSIFIED BOND PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | ||||
Investments, at value including securities on loan of $52,884,013: | ||||
Unaffiliated investments (cost $1,137,656,890) | $ | 1,142,714,909 | ||
Affiliated investments (cost $112,153,335) | 112,173,480 | |||
Foreign currency, at value (cost $325,802) | 325,799 | |||
Receivable for investments sold | 61,345,970 | |||
Interest receivable | 12,462,570 | |||
Unrealized appreciation on forward foreign currency contracts | 556,456 | |||
Unrealized appreciation on swaps | 480,813 | |||
Due from broker—variation margin | 152,383 | |||
Receivable for Series shares sold | 133,784 | |||
Prepaid expenses | 25,596 | |||
Total Assets | 1,330,371,760 | |||
LIABILITIES | ||||
Payable for investments purchased | 105,083,662 | |||
Collateral for securities on loan | 54,138,631 | |||
Securities sold short, at value (proceeds $19,425,000) | 19,287,500 | |||
Accrued expenses and other liabilities | 407,584 | |||
Management fee payable | 392,983 | |||
Payable for Series shares repurchased | 297,214 | |||
Unrealized depreciation on forward foreign currency contracts | 228,641 | |||
Unrealized depreciation on swaps | 127,952 | |||
Payable to custodian | 34,489 | |||
Deferred trustees’ fees | 7,588 | |||
Transfer agent fee payable | 436 | |||
Total Liabilities | 180,006,680 | |||
NET ASSETS | $ | 1,150,365,080 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,154,116,065 | ||
Retained earnings | (3,750,985 | ) | ||
Net assets, December 31, 2006 | $ | 1,150,365,080 | ||
Net asset value and redemption price per share, $1,150,365,080 / 106,044,661 outstanding shares of beneficial interest (authorized 275,000,000 shares) | $ | 10.85 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Interest (net of foreign withholding taxes of $155,816) | $ | 61,039,790 | ||
Affiliated dividend income | 4,830,425 | |||
Affiliated income from securities loaned, net | 197,570 | |||
66,067,785 | ||||
EXPENSES | ||||
Management fee | 4,689,336 | |||
Custodian’s fees and expenses | 265,000 | |||
Shareholders’ reports | 214,000 | |||
Insurance expenses | 42,000 | |||
Trustees’ fees | 23,000 | |||
Audit fee | 20,000 | |||
Legal fees and expenses | 15,000 | |||
Commitment fee on syndicated credit agreement | 4,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $2,600) (Note 4) | 2,800 | |||
Miscellaneous | 8,658 | |||
Total expenses | 5,283,794 | |||
NET INVESTMENT INCOME | 60,783,991 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investments | (6,233,676 | ) | ||
Short sales | (71,504 | ) | ||
Futures transactions | (577,814 | ) | ||
Swaps | 302,013 | |||
Options written | 68,013 | |||
Foreign currency transactions | (3,144,587 | ) | ||
(9,657,555 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 5,927,207 | |||
Securities sold short | 137,500 | |||
Futures | (773,590 | ) | ||
Swaps | (349,449 | ) | ||
Options written | (52,694 | ) | ||
Foreign currencies | (62,272 | ) | ||
4,826,702 | ||||
NET LOSS ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | (4,830,853 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 55,953,138 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 60,783,991 | $ | 58,610,798 | ||||
Net realized gain (loss) on investments, swaps and foreign currency transactions | (9,657,555 | ) | 9,146,862 | |||||
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | 4,826,702 | (28,627,041 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 55,953,138 | 39,130,619 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (64,066,702 | ) | |||||
Distributions from net realized capital gains | — | (8,967,165 | ) | |||||
Distributions | (68,284,295 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (68,284,295 | ) | (73,033,867 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [3,007,043 and 13,510,338 shares, respectively] | 32,538,204 | 149,284,047 | ||||||
Series shares issued in reinvestment of dividends and distributions [6,373,024 and 6,639,907 shares, respectively] | 68,284,295 | 73,033,867 | ||||||
Series shares repurchased [15,646,812 and 21,634,412 shares, respectively] | (168,772,245 | ) | (241,438,250 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (67,949,746 | ) | (19,120,336 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (80,280,903 | ) | (53,023,584 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 1,230,645,983 | 1,283,669,567 | ||||||
End of year | $ | 1,150,365,080 | $ | 1,230,645,983 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
EQUITY PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | |||
Investments, at value including securities on loan of $366,835,888: | |||
Unaffiliated investments (cost $3,521,170,634) | $ | 4,349,476,968 | |
Affiliated investments (cost $435,213,247) | 435,213,247 | ||
Cash | 199,179 | ||
Dividends and interest receivable | 5,717,150 | ||
Receivable for investments sold | 712,998 | ||
Prepaid expenses | 92,317 | ||
Tax reclaim receivable | 17,041 | ||
Receivable for Series shares sold | 15,108 | ||
Total Assets | 4,791,444,008 | ||
LIABILITIES | |||
Collateral for securities on loan | 379,439,451 | ||
Payable for investments purchased | 4,496,794 | ||
Management fee payable | 1,683,368 | ||
Payable for Series shares repurchased | 605,883 | ||
Accrued expenses and other liabilities | 567,957 | ||
Deferred trustees’ fees | 2,030 | ||
Transfer agent fee payable | 896 | ||
Distribution fee payable | 403 | ||
Administration fee payable | 242 | ||
Total Liabilities | 386,797,024 | ||
NET ASSETS | $ | 4,404,646,984 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 3,610,238,397 | |
Retained earnings | 794,408,587 | ||
Net assets, December 31, 2006 | $ | 4,404,646,984 | |
Class I: | |||
Net asset value and redemption price per share, $4,402,742,586 / 160,390,283 outstanding shares of beneficial interest (authorized 525,000,000 shares) | $ | 27.45 | |
Class II: | |||
Net asset value and redemption price per share, $1,904,398 / 69,196 outstanding shares of beneficial interest (authorized 50,000,000 shares) | $ | 27.52 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated dividend income (net of $1,248,781 foreign withholding tax) | $ | 62,461,919 | ||
Affiliated dividend income | 3,573,498 | |||
Affiliated income from securities lending, net | 1,129,408 | |||
Unaffiliated Interest | 1,330 | |||
67,166,155 | ||||
EXPENSES | ||||
Management fee | 19,172,602 | |||
Distribution fee—Class II | 4,627 | |||
Administration fee—Class II | 2,776 | |||
Custodian’s fees and expenses | 594,000 | |||
Insurance expenses | 126,000 | |||
Shareholders’ reports | 120,000 | |||
Trustees’ fees | 62,000 | |||
Commitment fee on syndicated credit agreement | 19,000 | |||
Audit fee | 15,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,300) (Note 4) | 9,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 9,694 | |||
Total expenses | 20,139,699 | |||
NET INVESTMENT INCOME | 47,026,456 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 333,279,341 | |||
Foreign currency transactions | (66,838 | ) | ||
333,212,503 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 125,859,938 | |||
Foreign currencies | (726 | ) | ||
125,859,212 | ||||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 459,071,715 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 506,098,171 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 47,026,456 | $ | 41,399,720 | ||||
Net realized gain on investments and foreign currencies | 333,212,503 | 423,884,584 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 125,859,212 | (16,875,093 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 506,098,171 | 448,409,211 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | ||||||||
Class I | — | (39,989,141 | ) | |||||
Class II | — | (9,415 | ) | |||||
Distributions | ||||||||
Class I | (46,000,931 | ) | — | |||||
Class II | (11,345 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (46,012,276 | ) | (39,998,556 | ) | ||||
SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
Series shares sold | 56,539,838 | 69,318,202 | ||||||
Series shares issued in reinvestment of dividends and distributions | 46,012,276 | 39,998,556 | ||||||
Net asset value of shares issued in merger | — | 28,041,417 | ||||||
Series shares repurchased | (443,931,719 | ) | (396,681,659 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (341,379,605 | ) | (259,323,484 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 118,706,290 | 149,087,171 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 4,285,940,694 | 4,136,853,523 | ||||||
End of year | $ | 4,404,646,984 | $ | 4,285,940,694 | (a) | |||
(a) Includes undistributed net investment income of | $ | 2,150,120 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
FLEXIBLE MANAGED PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | |||
Investments, at value including securities on loan of $293,454,272: | |||
Unaffiliated investments (cost $3,009,764,519) | $ | 3,420,923,312 | |
Affiliated investments (cost $702,769,257) | 702,847,821 | ||
Cash | 2,218,393 | ||
Foreign currency, at value (cost $37,131) | 37,470 | ||
Receivable for investments sold | 48,042,849 | ||
Dividends and interest receivable | 11,704,154 | ||
Prepaid expenses | 78,126 | ||
Foreign tax reclaim receivable | 57,735 | ||
Receivable for Series shares sold | 4,420 | ||
Total Assets | 4,185,914,280 | ||
LIABILITIES | |||
Collateral for securities on loan | 305,547,916 | ||
Payable for investments purchased | 153,648,249 | ||
Management fee payable | 1,896,885 | ||
Payable for Series shares repurchased | 526,943 | ||
Accrued expenses and other liabilities | 381,195 | ||
Due to broker—variation margin | 339,431 | ||
Unrealized depreciation on swaps | 22,365 | ||
Transfer agent fee payable | 306 | ||
Total Liabilities | 462,363,290 | ||
NET ASSETS | $ | 3,723,550,990 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 3,105,699,602 | |
Retained earnings | 617,851,388 | ||
Net assets, December 31, 2006 | $ | 3,723,550,990 | |
Net asset value and redemption price per share, $3,723,550,990 / 202,776,598 outstanding shares of beneficial interest (authorized 600,000,000 shares) | $ | 18.36 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Interest | $ | 45,927,732 | ||
Unaffiliated dividend income (net of foreign withholding taxes of $359,215) | 44,963,085 | |||
Affiliated dividend income | 19,505,872 | |||
Affiliated income from securities loaned, net | 398,178 | |||
110,794,867 | ||||
EXPENSES | ||||
Management fee | 21,482,143 | |||
Shareholders’ reports | 175,000 | |||
Custodian’s fees and expenses | 155,000 | |||
Insurance expenses | 67,000 | |||
Trustees’ fees | 60,000 | |||
Commitment fee on syndicated credit agreement | 30,000 | |||
Audit fee | 15,000 | |||
Legal fees and expenses | 13,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $1,800) (Note 4) | 1,900 | |||
Miscellaneous | 20,171 | |||
Total expenses | 22,019,214 | |||
NET INVESTMENT INCOME | 88,775,653 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investments | 137,675,925 | |||
Futures transactions | 5,045,557 | |||
Foreign currency transactions | (55,311 | ) | ||
Written options transactions | 25,845 | |||
Swaps | (254,091 | ) | ||
Short sales | 51,719 | |||
142,489,644 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 188,413,266 | |||
Futures | (2,129,845 | ) | ||
Foreign currencies | 3,445 | |||
Written options | (20,027 | ) | ||
Swaps | (22,365 | ) | ||
186,244,474 | ||||
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | 328,734,118 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 417,509,771 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 88,775,653 | $ | 69,761,928 | ||||
Net realized gain on investments, swaps and foreign currency transactions | 142,489,644 | 187,998,027 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 186,244,474 | (116,399,356 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 417,509,771 | 141,360,599 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (68,680,004 | ) | |||||
Distributions | (122,314,562 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (122,314,562 | ) | (68,680,004 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [1,352,364 and 2,131,903 shares, respectively] | 23,240,485 | 35,053,816 | ||||||
Series shares issued in reinvestment of dividends and distributions [7,199,209 and 4,311,362 shares, respectively] | 122,314,562 | 68,680,004 | ||||||
Series shares repurchased [15,165,926 and 31,247,534 shares, respectively] | (261,128,310 | ) | (515,965,873 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (115,573,263 | ) | (412,232,053 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 179,621,946 | (339,551,458 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,543,929,044 | 3,883,480,502 | ||||||
End of year | $ | 3,723,550,990 | $ | 3,543,929,044 | (a) | |||
(a) Includes undistributed net investment income of: | $ | 70,753,332 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
GLOBAL PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | |||
Investments, at value including securities on loan of $48,803,921: | |||
Unaffiliated investments (cost $752,362,931) | $ | 902,248,491 | |
Affiliated investments (cost $70,116,659) | 70,116,659 | ||
Cash | 1,900 | ||
Foreign currency, at value (cost $8,846,990) | 8,989,536 | ||
Receivable for investments sold | 5,928,884 | ||
Dividends receivable | 705,361 | ||
Foreign tax reclaim receivable | 265,807 | ||
Receivable for Series shares sold | 142,605 | ||
Prepaid expenses | 13,666 | ||
Total Assets | 988,412,909 | ||
LIABILITIES | |||
Collateral for securities on loan | 50,850,856 | ||
Payable for investments purchased | 3,628,829 | ||
Management fee payable | 588,366 | ||
Accrued expenses and other liabilities | 251,734 | ||
Payable for Series shares repurchased | 233,807 | ||
Transfer agent fee payable | 421 | ||
Total Liabilities | 55,554,013 | ||
NET ASSETS | $ | 932,858,896 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 791,374,063 | |
Retained earnings | 141,484,833 | ||
Net assets, December 31, 2006 | $ | 932,858,896 | |
Net asset value and redemption price per share, $932,858,896 / 41,399,689 outstanding shares of beneficial interest (authorized 125,000,000 shares) | $ | 22.53 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,103,800) | $ | 16,427,605 | ||
Affiliated dividend income | 1,280,168 | |||
Affiliated income from securities loaned, net | 222,789 | |||
Interest | 5,781 | |||
17,936,343 | ||||
EXPENSES | ||||
Management fee | 6,477,031 | |||
Custodian’s fees and expenses | 260,000 | |||
Shareholders’ reports | 200,000 | |||
Interest expense | 189,169 | |||
Insurance expenses | 20,000 | |||
Trustees’ fees | 20,000 | |||
Audit fee | 15,000 | |||
Legal fees and expenses | 10,000 | |||
Commitment fee on syndicated credit agreement | 5,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,000 ) (Note 4) | 5,000 | |||
Miscellaneous | 42,513 | |||
Total expenses | 7,243,713 | |||
NET INVESTMENT INCOME | 10,692,630 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investments | 33,063,490 | |||
Futures transactions | (172,946 | ) | ||
Foreign currency transactions | (450,808 | ) | ||
32,439,736 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 112,017,163 | |||
Futures | 159,503 | |||
Foreign currencies | 79,622 | |||
112,256,288 | ||||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 144,696,024 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 155,388,654 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 10,692,630 | $ | 5,696,521 | ||||
Net realized gain on investments and foreign currency transactions | 32,439,736 | 172,527,940 | ||||||
Net change in unrealized appreciation (depreciation) on investments, futures and foreign currencies | 112,256,288 | (64,514,700 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 155,388,654 | 113,709,761 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (4,467,100 | ) | |||||
Distributions | (5,516,655 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (5,516,655 | ) | (4,467,100 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [2,609,905 and 5,440,330 shares, respectively] | 53,367,041 | 90,659,307 | ||||||
Series shares issued in reinvestment of dividends and distributions [272,832 and 279,893 shares, respectively] | 5,516,655 | 4,467,100 | ||||||
Series shares repurchased [4,426,740 and 4,829,904 shares, respectively] | (90,036,644 | ) | (81,315,937 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (31,152,948 | ) | 13,810,470 | |||||
TOTAL INCREASE IN NET ASSETS | 118,719,051 | 123,053,131 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 814,139,845 | 691,086,714 | ||||||
End of year | $ | 932,858,896 | $ | 814,139,845 | (a) | |||
(a) Includes undistributed net investment income of: | $ | 4,677,915 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
GOVERNMENT INCOME PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | ||||
Investments, at value including securities on loan of $20,724,279: | ||||
Unaffiliated investments (cost $333,011,098) | $ | 330,285,965 | ||
Affiliated investments (cost $83,334,583) | 83,347,754 | |||
Cash | 1,790 | |||
Foreign currency (cost $17) | 17 | |||
Receivable for investments sold | 10,335,204 | |||
Interest receivable | 2,473,614 | |||
Receivable for Series shares sold | 46,254 | |||
Unrealized appreciation on forward currency contracts | 31,647 | |||
Due from broker—variation margin | 31,003 | |||
Prepaid expenses | 5,736 | |||
Unrealized appreciation on swaps | 4,555 | |||
Total Assets | 426,563,539 | |||
LIABILITIES | ||||
Payable for investments purchased | 49,902,378 | |||
Collateral for securities on loan | 21,369,617 | |||
Securities sold short, at value (proceeds $497,344) | 494,063 | |||
Payable for Series shares repurchased | 202,543 | |||
Accrued expenses and other liabilities | 132,774 | |||
Management fee payable | 121,118 | |||
Unrealized depreciation on swaps | 50,898 | |||
Unrealized depreciation on forward currency contracts | 27,873 | |||
Deferred trustees’ fees | 3,277 | |||
Transfer agent fee payable | 213 | |||
Total Liabilities | 72,304,754 | |||
NET ASSETS | $ | 354,258,785 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 363,090,300 | ||
Retained earnings | (8,831,515 | ) | ||
Net assets, December 31, 2006 | $ | 354,258,785 | ||
Net asset value and redemption price per share, ($354,258,785 / 31,451,198 outstanding shares of | $ | 11.26 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated interest income | $ | 16,477,819 | ||
Affiliated dividend income | 2,434,419 | |||
Affiliated income from securities loaned, net | 34,508 | |||
18,946,746 | ||||
EXPENSES | ||||
Management fee | 1,443,993 | |||
Shareholders’ reports | 180,000 | |||
Custodian’s fees and expenses | 125,000 | |||
Audit fee | 20,000 | |||
Trustees’ fees | 15,000 | |||
Insurance expenses | 10,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,200) (Note 4) | 1,300 | |||
Miscellaneous | 10,117 | |||
Total expenses | 1,812,410 | |||
NET INVESTMENT INCOME | 17,134,336 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (2,290,853 | ) | ||
Foreign currency transactions | (458,252 | ) | ||
Futures transactions | 80,611 | |||
Short sale transactions | (241,211 | ) | ||
Swap transactions | 21,961 | |||
Options written transactions | 22,688 | |||
(2,865,056 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (818,410 | ) | ||
Foreign currencies | 7,015 | |||
Futures | (245,148 | ) | ||
Short sales | 3,281 | |||
Swaps | (179,302 | ) | ||
Options written | (17,582 | ) | ||
(1,250,146 | ) | |||
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES | (4,115,202 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,019,134 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,134,336 | $ | 16,624,367 | ||||
Net realized gain (loss) on investments, swaps and foreign currency transactions | (2,865,056 | ) | 225,247 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (1,250,146 | ) | (6,657,947 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 13,019,134 | 10,191,667 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (18,278,784 | ) | |||||
Distributions | (17,558,195 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (17,558,195 | ) | (18,278,784 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series share sold [1,318,889 and 1,193,333 shares, respectively] | 14,867,273 | 13,825,736 | ||||||
Series share issued in reinvestment of dividends and distributions [1,568,051 and 1,593,500 shares, respectively] | 17,558,195 | 18,278,784 | ||||||
Series share repurchased [4,593,356 and 5,694,737 shares, respectively] | (51,789,971 | ) | (66,011,678 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (19,364,503 | ) | (33,907,158 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (23,903,564 | ) | (41,994,275 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 378,162,349 | 420,156,624 | ||||||
End of year | $ | 354,258,785 | $ | 378,162,349 | (a) | |||
(a) Includes undistributed net investment income of: | $ | 1,093,680 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
STOCK INDEX PORTFOLIO |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2006
ASSETS | |||
Investments, at value including securities on loan of $312,744,658: | |||
Unaffiliated investments (cost $1,850,312,530) | $ | 3,250,965,027 | |
Affiliated investments (cost $377,537,575) | 377,537,575 | ||
Dividends receivable | 4,592,791 | ||
Receivable for investments sold | 4,107,723 | ||
Prepaid expenses | 49,878 | ||
Receivable for Series shares sold | 48,699 | ||
Total Assets | 3,637,301,693 | ||
LIABILITIES | |||
Collateral for securities on loan | 324,986,258 | ||
Payable for investments purchased | 2,864,453 | ||
Payable for Series shares repurchased | 1,249,938 | ||
Management fee payable | 981,721 | ||
Accrued expenses | 553,223 | ||
Due to broker-variation margin | 226,399 | ||
Payable to custodian | 29,817 | ||
Transfer agent fee payable | 908 | ||
Total Liabilities | 330,892,717 | ||
NET ASSETS | $ | 3,306,408,976 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 1,990,761,212 | |
Retained earnings | 1,315,647,764 | ||
Net assets, December 31, 2006 | $ | 3,306,408,976 | |
Net asset value and redemption price per share, $3,306,408,976 / 92,784,961 outstanding shares of beneficial interest (authorized 275,000,000 shares) | $ | 35.64 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2006
INVESTMENT INCOME | ||||
Unaffiliated dividend income | $ | 60,380,082 | ||
Affiliated dividend income | 2,448,969 | |||
Affiliated income from securities loaned, net | 359,549 | |||
Interest | 214,996 | |||
63,403,596 | ||||
EXPENSES | ||||
Management fee | 11,168,545 | |||
Custodian’s fees and expenses | 260,000 | |||
Shareholders’ reports | 250,000 | |||
Insurance expenses | 84,000 | |||
Trustees’ fees | 49,000 | |||
Commitment fee on syndicated credit agreement | 18,000 | |||
Audit fee | 15,000 | |||
Legal fees and expenses | 10,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4) | 6,000 | |||
Miscellaneous | 10,234 | |||
Total expenses | 11,870,779 | |||
NET INVESTMENT INCOME | 51,532,817 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investments | (71,148,376 | ) | ||
Futures transactions | 4,536,149 | |||
(66,612,227 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 476,053,748 | |||
Futures | 1,059,651 | |||
477,113,399 | ||||
NET GAIN ON INVESTMENTS | 410,501,172 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 462,033,989 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2006 | 2005 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 51,532,817 | $ | 48,182,909 | ||||
Net realized loss on investments | (66,612,227 | ) | (10,086,564 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 477,113,399 | 103,847,958 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 462,033,989 | 141,944,303 | ||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||
Dividends from net investment income | — | (47,928,302 | ) | |||||
Distributions from net realized capital gains | — | (80,427,226 | ) | |||||
Distributions | (59,982,933 | ) | — | |||||
TOTAL DIVIDENDS AND DISTRIBUTIONS | (59,982,933 | ) | (128,355,528 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [2,413,005 and 10,979,065 shares, respectively] | 80,048,346 | 339,642,147 | ||||||
Series shares issued in reinvestment of dividends and distributions [1,700,891 and 4,228,580 shares, respectively] | 59,982,933 | 128,355,528 | ||||||
Series shares repurchased [13,622,829 and 11,826,004 shares, respectively] | (448,417,431 | ) | (363,515,389 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (308,386,152 | ) | 104,482,286 | |||||
TOTAL INCREASE IN NET ASSETS | 93,664,904 | 118,071,061 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 3,212,744,072 | 3,094,673,011 | ||||||
End of year | $ | 3,306,408,976 | $ | 3,212,744,072 | (a) | |||
(a) Includes undistributed net investment income of: | $ | 1,844,408 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 88.9% | Value (Note 2) | ||||
COMMON STOCKS — 56.1% | Shares | ||||
Aerospace & Defense — 1.2% | |||||
Boeing Co. | 86,300 | $ | 7,666,892 | ||
General Dynamics Corp. | 43,000 | 3,197,050 | |||
Goodrich Corp. | 14,300 | 651,365 | |||
Honeywell International, Inc. | 91,512 | 4,140,003 | |||
L-3 Communications Holdings, Inc. | 14,300 | 1,169,454 | |||
Lockheed Martin Corp. | 39,200 | 3,609,144 | |||
Northrop Grumman Corp. | 37,962 | 2,570,027 | |||
Raytheon Co. | 48,200 | 2,544,960 | |||
Rockwell Collins, Inc. | 18,100 | 1,145,549 | |||
United Technologies Corp. | 109,100 | 6,820,932 | |||
33,515,376 | |||||
Air Freight & Logistics — 0.4% | |||||
FedEx Corp. | 32,200 | 3,497,564 | |||
United Parcel Service, Inc. | 117,000 | 8,772,660 | |||
12,270,224 | |||||
Airlines — 0.1% | |||||
Air France KLM (France) | 25,467 | 1,072,065 | |||
British Airways PLC (United Kingdom)(a) | 11,347 | 117,196 | |||
Qantas Airways Ltd. (Australia) | 147,621 | 608,460 | |||
Southwest Airlines Co. | 81,200 | 1,243,983 | |||
3,041,704 | |||||
Auto Components — 0.1% | |||||
Continental AG (Germany) | 7,471 | 869,932 | |||
Goodyear Tire & Rubber Co. (The)(a)(b) | 20,500 | 430,295 | |||
Johnson Controls, Inc. | 21,300 | 1,830,096 | |||
Michelin (CDGE) “Class B” (France) | 4,090 | 391,426 | |||
Rieter Holding AG (Switzerland) | 412 | 215,552 | |||
Stanley Electric Co Ltd | 11,000 | 219,756 | |||
3,957,057 | |||||
Automobiles — 0.4% | |||||
DaimlerChrysler AG (Germany) | 7,932 | 491,385 | |||
Fiat SpA (Italy) | 18,949 | 362,196 | |||
Ford Motor Co.(b) | 192,995 | 1,449,392 | |||
General Motors Corp.(b) | 59,991 | 1,842,924 | |||
Harley-Davidson, Inc.(b) | 29,800 | 2,100,006 | |||
Honda Motor Co. Ltd. (Japan) | 31,100 | 1,227,491 | |||
Renault SA (France) | 6,703 | 805,192 | |||
Toyota Motor Corp. (Japan) | 41,900 | 2,804,241 | |||
Volkswagen AG (Germany) | 2,865 | 325,095 | |||
Yamaha Motor Co. Ltd. (Japan) | 13,400 | 421,212 | |||
11,829,134 | |||||
Beverages — 1.1% | |||||
Anheuser-Busch Cos., Inc. | 82,400 | 4,054,080 | |||
Brown-Forman Corp. “Class B” | 7,700 | 510,048 | |||
Carlsberg A/S (Denmark) | 600 | 59,588 | |||
Coca-Cola Co. (The) | 223,100 | 10,764,575 | |||
Coca-Cola Enterprises, Inc. | 33,500 | 684,070 | |||
Coca-Cola Hellenic Bottling Co. SA (Greece) | 3,180 | 124,253 | |||
Constellation Brands, Inc.(a)(b) | 19,100 | 554,282 | |||
Foster’s Group Ltd. (Australia) | 104,496 | 569,836 | |||
InBev NV (Belgium) | 588 | 38,763 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Beverages (cont’d.) | |||||
Molson Coors Brewing Co. “Class B”(a) | 6,400 | $ | 489,216 | ||
Pepsi Bottling Group, Inc. | 16,600 | 513,106 | |||
PepsiCo, Inc. | 178,230 | 11,148,287 | |||
SABMiller PLC (United Kingdom) | 26,325 | 605,640 | |||
30,115,744 | |||||
Biotechnology — 0.7% | |||||
Amgen, Inc.(a) | 127,260 | 8,693,131 | |||
Biogen Idec, Inc.(a)(b) | 36,690 | 1,804,781 | |||
Celgene Corp.(a)(b) | 39,700 | 2,283,941 | |||
Genzyme Corp.(a) | 28,700 | 1,767,346 | |||
Gilead Sciences, Inc.(a) | 46,700 | 3,032,231 | |||
MedImmune, Inc.(a) | 28,000 | 906,360 | |||
18,487,790 | |||||
Building Products — 0.2% | |||||
American Standard Cos., Inc. | 19,100 | 875,735 | |||
Cie de Saint-Gobain (France) | 14,772 | 1,241,156 | |||
Geberit AG (Switzerland) | 257 | 396,098 | |||
JS Group Corp. (Japan) | 2,000 | 42,058 | |||
Masco Corp. | 45,300 | 1,353,112 | |||
Nippon Sheet Glass Co. Ltd. (Japan) | 78,000 | 365,275 | |||
Sanwa Shutter Corp. (Japan) | 19,000 | 112,130 | |||
4,385,564 | |||||
Capital Markets — 2.2% | |||||
Ameriprise Financial, Inc. | 30,620 | 1,668,790 | |||
Bank of New York Co., Inc. (The) | 85,100 | 3,350,387 | |||
Bear Stearns Cos., Inc. (The) | 14,616 | 2,379,192 | |||
Charles Schwab Corp. (The) | 116,050 | 2,244,407 | |||
Credit Suisse Group (Switzerland) | 24,488 | 1,713,256 | |||
D Carnegie AB (Sweden) | 7,500 | 161,592 | |||
Deutsche Bank AG (Germany) | 14,435 | 1,935,591 | |||
E*TRADE Financial Corp.(a) | 48,300 | 1,082,886 | |||
Federated Investors, Inc. “Class B” | 6,700 | 226,326 | |||
Franklin Resources, Inc. | 19,700 | 2,170,349 | |||
Goldman Sachs Group, Inc. | 48,200 | 9,608,670 | |||
Janus Capital Group, Inc.(b) | 31,900 | 688,721 | |||
Legg Mason, Inc.(b) | 13,500 | 1,283,175 | |||
Lehman Brothers Holdings, Inc.(b) | 62,000 | 4,843,440 | |||
Macquarie Bank Ltd. (Australia) | 4,918 | 305,681 | |||
Man Group PLC (United Kingdom | 4,122 | 42,190 | |||
Mellon Financial Corp. | 43,400 | 1,829,310 | |||
Merrill Lynch & Co., Inc.(b) | 100,800 | 9,384,480 | |||
Morgan Stanley | 119,580 | 9,737,400 | |||
Northern Trust Corp. | 19,700 | 1,195,593 | |||
State Street Corp. | 37,800 | 2,549,232 | |||
T. Rowe Price Group, Inc. | 27,600 | 1,208,052 | |||
UBS AG (Switzerland) | 26,580 | 1,615,305 | |||
61,224,025 | |||||
Chemicals — 1.0% | |||||
Air Products and Chemicals, Inc. | 24,500 | 1,721,860 | |||
Asahi Chemical Industry Co. Ltd | 48,000 | 314,699 | |||
Ashland, Inc. | 8,100 | 560,358 | |||
BASF AG (Germany) | 14,608 | 1,428,693 | |||
Denki Kagaku Kogyo K K (Japan) | 11,000 | 45,647 | |||
Dow Chemical Co. (The) | 102,331 | 4,087,100 |
SEE NOTES TO FINANCIAL STATEMENTS.
B1
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Chemicals (cont’d.) | |||||
Du Pont E. I. de Nemours & Co. | 96,020 | $ | 4,677,135 | ||
Eastman Chemical Co. | 9,800 | 581,238 | |||
Ecolab, Inc. | 21,200 | 958,240 | |||
Hercules, Inc.(a) | 11,500 | 222,065 | |||
International Flavors & Fragrances, Inc. | 9,100 | 447,356 | |||
Koninklijke DSM NV (Netherlands) | 13,669 | 675,375 | |||
Mitsubishi Chemical Holdings Corp. (Japan) | 138,000 | 868,962 | |||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 24,000 | 251,109 | |||
Mitsui Chemicals Inc. | 63,000 | 484,355 | |||
Monsanto Co. | 59,194 | 3,109,461 | |||
Nippon Shokubai Co. Ltd. | 12,000 | 127,735 | |||
Orica Ltd. (Australia) | 8,695 | 166,228 | |||
PPG Industries, Inc. | 17,600 | 1,130,096 | |||
Praxair, Inc. | 33,100 | 1,963,823 | |||
Rohm & Haas Co. | 16,711 | 854,266 | |||
Sigma-Aldrich Corp. | 7,900 | 613,988 | |||
Sumitomo Bakelite Co. Ltd. (Japan) | 13,000 | 89,784 | |||
Sumitomo Chemical Co. Ltd. (Japan) | 50,000 | 386,923 | |||
Teijin Ltd. (Japan) | 67,000 | 412,506 | |||
Yara International ASA (Norway) | 9,000 | 204,605 | |||
26,383,607 | |||||
Commercial Banks — 3.1% | |||||
Allied Irish Banks PLC (Ireland) | 2,297 | 68,223 | |||
Alpha Bank (Greece) | 4,298 | 129,924 | |||
Australia And New Zealand Banking Group Ltd. (Australia) | 32,156 | 713,712 | |||
Banche Popolari Unite Scpa (Italy) | 16,362 | 449,682 | |||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 74,746 | 1,799,706 | |||
Banco Comercial Portugues SA (Portugal) | 127,436 | 471,019 | |||
Banco Espirito Santo SA (Portugal) | 28,843 | 518,569 | |||
Banco Popolare di Verona (Italy) | 27,020 | 775,771 | |||
Banco Popular Espanol SA (Spain) | 14,784 | 267,948 | |||
Banco Santander Central Hispano SA (Spain) | 127,293 | 2,375,979 | |||
Bank of Ireland (Ireland) | 2,712 | 62,649 | |||
Barclay’s PLC (United Kingdom) | 85,086 | 1,216,157 | |||
BB&T Corp. | 60,600 | 2,662,158 | |||
BNP Paribas (France) | 18,630 | 2,032,565 | |||
Comerica, Inc. | 20,500 | 1,202,940 | |||
Commerce Bancorp, Inc. | 16,700 | 589,009 | |||
Commerzbank AG (Germany) | 11,366 | 431,354 | |||
Compass Bancshares, Inc. | 12,800 | 763,520 | |||
Credit Agricole SA (France) | 26,812 | 1,127,622 | |||
Danske Bank A/S (Denmark) | 20,300 | 902,015 | |||
DBS Group Holdings Ltd. (Singapore) | 46,000 | 675,325 | |||
Dexia (Belgium) | 28,302 | 775,218 | |||
DNB NOR ASA (Norway) | 70,000 | 993,553 | |||
Fifth Third Bancorp | 61,521 | 2,518,055 | |||
First Horizon National Corp.(b) | 13,600 | 568,208 | |||
Gunma Bank Ltd. (The) (Japan) | 4,000 | 24,046 | |||
HSBC Holdings PLC (United Kingdom) | 192,206 | 3,503,687 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Commercial Banks (cont’d.) | |||||
Huntington Bancshares, Inc.(b) | 33,036 | $ | 784,605 | ||
KeyCorp | 46,600 | 1,772,198 | |||
Lloyds TSB Group PLC (United Kingdom) | 33,095 | 370,329 | |||
M&T Bank Corp. | 8,300 | 1,013,928 | |||
Marshall & Ilsley Corp. | 23,700 | 1,140,207 | |||
Mitsubishi Financial Group, Inc. (Japan) | 32 | 396,986 | |||
Mitsui Trust Holdings, Inc. (Japan) | 63,000 | 719,756 | |||
Mizuho Financial Group, Inc. (Japan) | 115 | 820,291 | |||
National Australia Bank Ltd. (Australia) | 6,163 | 196,210 | |||
National City Corp.(b) | 64,500 | 2,358,120 | |||
PNC Financial Services Group, Inc.(b) | 35,900 | 2,658,036 | |||
Regions Financial Corp. | 83,903 | 3,137,972 | |||
Royal Bank of Scotland Group PLC (United Kingdom) | 34,725 | 1,355,059 | |||
Sapporo Hokuyo Holdings, Inc (Japan) | 3 | 28,953 | |||
Shinsei Bank Ltd. (Japan) | 111,000 | 652,435 | |||
Skandinaviska Enskilda Banken AB “A Shares” (Sweden) | 14,600 | 463,851 | |||
Societe Generale (France) | 9,526 | 1,617,113 | |||
SunTrust Banks, Inc.(b) | 40,200 | 3,394,890 | |||
Svenska Handelbanken “A Shares” (Sweden) | 7,400 | 223,753 | |||
Synovus Financial Corp. | 35,050 | 1,080,592 | |||
U.S. Bancorp | 194,985 | 7,056,506 | |||
UniCredito Italiano SpA (Italy) | 198,310 | 1,738,207 | |||
Wachovia Corp.(e) | 203,540 | 11,591,602 | |||
Wells Fargo & Co. | 369,500 | 13,139,419 | |||
Westpac Banking Corp. (Australia) | 31,382 | 598,772 | |||
Zions Bancorporation | 13,250 | 1,092,330 | |||
87,020,734 | |||||
Commercial Services & Supplies — 0.3% | |||||
Allied Waste Industries, Inc.(a)(b) | 26,400 | 324,456 | |||
Avery Dennison Corp. | 12,300 | 835,539 | |||
Cintas Corp. | 15,100 | 599,621 | |||
Equifax, Inc. | 14,600 | 592,760 | |||
Michael Page International PLC (United Kingdom) | 26,133 | 231,407 | |||
Monster Worldwide, Inc.(a) | 13,100 | 610,984 | |||
Pitney Bowes, Inc. | 21,600 | 997,704 | |||
Randstad Holding NV (Netherlands) | 1,545 | 106,868 | |||
Robert Half International, Inc. | 21,900 | 812,928 | |||
RR Donnelley & Sons Co. | 23,000 | 817,420 | |||
SGS SA (Switzerland) | 131 | 145,998 | |||
Waste Management, Inc. | 56,942 | 2,093,757 | |||
8,169,442 | |||||
Communications Equipment — 1.4% | |||||
ADC Telecommunications, Inc.(a) | 14,771 | 214,623 | |||
Avaya, Inc.(a) | 49,570 | 692,989 | |||
Ciena Corp.(b) | 9,142 | 253,325 | |||
Cisco Systems, Inc.(a) | 658,600 | 17,999,537 | |||
Comverse Technology, Inc.(a)(b) | 18,400 | 388,424 | |||
Corning, Inc.(a) | 159,100 | 2,976,761 | |||
Foxconn International Holdings Ltd. (Hong Kong)(a) | 274,000 | 893,669 |
SEE NOTES TO FINANCIAL STATEMENTS.
B2
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Communications Equipment (cont’d.) | |||||
JDS Uniphase Corp.(a) | 11,375 | $ | 189,508 | ||
Juniper Networks, Inc.(a) | 51,600 | 977,304 | |||
Motorola, Inc. | 266,425 | 5,477,698 | |||
Nokia Corp. (Finland) | 12,850 | 262,581 | |||
QUALCOMM, Inc. | 180,800 | 6,832,431 | |||
Telent PLC (United Kingdom)(a) | 4,333 | 40,108 | |||
Tellabs, Inc.(a) | 45,800 | 469,908 | |||
37,668,866 | |||||
Computers & Peripherals — 1.9% | |||||
Apple Computer, Inc.(a) | 91,600 | 7,771,344 | |||
Dell, Inc.(a) | 244,500 | 6,134,505 | |||
EMC Corp.(a)(b) | 248,350 | 3,278,220 | |||
Hewlett-Packard Co. | 302,348 | 12,453,714 | |||
International Business Machines Corp. | 167,300 | 16,253,195 | |||
Lexmark International, Inc.(a)(b) | 12,533 | 917,416 | |||
NCR Corp.(a) | 20,900 | 893,684 | |||
Network Appliance, Inc.(a) | 41,700 | 1,637,976 | |||
QLogic Corp.(a) | 20,600 | 451,552 | |||
SanDisk Corp.(a)(b) | 19,000 | 817,570 | |||
Sun Microsystems, Inc.(a) | 369,400 | 2,002,148 | |||
Toshiba Corp. (Japan) | 10,000 | 64,982 | |||
Wincor Nixdorf AG (Germany) | 486 | 75,099 | |||
52,751,405 | |||||
Construction & Engineering — 0.1% | |||||
ACS Actividades de Construccion y Servicios SA (Spain) | 6,223 | 350,847 | |||
Chiyoda Corp. (Japan) | 5,000 | 97,745 | |||
COMSYS Holdings Corp. (Japan) | 10,000 | 110,489 | |||
Fluor Corp. | 9,700 | 792,005 | |||
Fomento de Construcciones Y Contratas SA (Spain) | 821 | 83,666 | |||
Kajima Corp. (Japan) | 31,000 | 135,728 | |||
Obayashi Corp. (Japan) | 135,000 | 875,175 | |||
2,445,655 | |||||
Construction Materials — 0.1% | |||||
Cimpor Cimentos de Portugal SGPS SA (Portugal) | 26,165 | 217,250 | |||
CRH PLC (Ireland) | 1,105 | 46,006 | |||
Fletcher Building Ltd. (New Zealand) | 8,419 | 65,521 | |||
Holcim Ltd. “B Shares” (Switzerland) | 3,487 | 319,654 | |||
Italcementi SpA (Italy) | 7,499 | 211,542 | |||
Lafarge SA (France) | 2,544 | 378,468 | |||
Taiheiyo Cement Corp. (Japan) | 12,000 | 46,996 | |||
Vulcan Materials Co. | 10,600 | 952,623 | |||
2,238,060 | |||||
Consumer Finance — 0.5% | |||||
American Express Co. | 132,400 | 8,032,708 | |||
Capital One Financial Corp. | 49,661 | 3,814,958 | |||
ORIX Corp. (Japan) | 3,080 | 893,176 | |||
SLM Corp. | 43,200 | 2,106,864 | |||
14,847,706 | |||||
Containers & Packaging — 0.1% | |||||
Ball Corp. | 12,000 | 523,200 | |||
Bemis Co. | 11,300 | 383,974 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Containers & Packaging (cont’d.) | |||||
Pactiv Corp.(a) | 15,600 | $ | 556,764 | ||
Sealed Air Corp.(a) | 9,300 | 603,756 | |||
Temple-Inland, Inc. | 13,000 | 598,390 | |||
2,666,084 | |||||
Distributors — 0.1% | |||||
Genuine Parts Co. | 18,800 | 891,684 | |||
Li & Fung Ltd. (Hong Kong) | 130,000 | 403,628 | |||
Pacific Brands Ltd. (Australia) | 116,210 | 239,057 | |||
1,534,369 | |||||
Diversified Consumer Services — 0.1% | |||||
Apollo Group, Inc.(a)(b) | 14,800 | 576,756 | |||
H&R Block, Inc. | 36,100 | 831,744 | |||
1,408,500 | |||||
Diversified Financial Services — 3.0% | |||||
Babcock & Brown Ltd. (Australia) | 11,219 | 218,600 | |||
Bank of America Corp. | 495,338 | 26,446,095 | |||
Challenger Financial Services Group Ltd. (Australia) | 62,164 | 201,413 | |||
Chicago Mercantile Exchange Holdings, Inc.(b) | 4,100 | 2,089,975 | |||
CIT Group, Inc. | 23,500 | 1,310,595 | |||
Citigroup, Inc. | 538,358 | 29,986,540 | |||
Fortis (Belgium) | 32,439 | 1,383,973 | |||
ING Groep NV (Netherlands) | 38,582 | 1,710,738 | |||
JPMorgan Chase & Co. | 383,601 | 18,527,928 | |||
Moody’s Corp. | 28,300 | 1,954,398 | |||
OKO Bank PLC (Finland) | 23,100 | 387,262 | |||
Suncorp-Metway Ltd. | 10,583 | 169,611 | |||
84,387,128 | |||||
Diversified Telecommunication Services — 1.7% | |||||
AT&T, Inc.(b) | 424,073 | 15,160,610 | |||
Belgacom SA (Belgium) | 15,659 | 689,777 | |||
BellSouth Corp. | 196,600 | 9,261,826 | |||
BT Group PLC (United Kingdom) | 126,583 | 747,259 | |||
CenturyTel, Inc. | 14,000 | 611,240 | |||
Citizens Communications Co. | 36,000 | 517,320 | |||
Embarq Corp.(a) | 15,643 | 822,196 | |||
France Telecom SA (France) | 1,419 | 39,242 | |||
Nippon Telegraph & Telephone Corp. (Japan) | 220 | 1,084,927 | |||
Qwest Communications International, Inc.(a)(b) | 171,257 | 1,433,421 | |||
Royal KPN NV (Netherlands) | 43,376 | 616,672 | |||
Swisscom AG (Switzerland) | 1,447 | 547,746 | |||
Telecom Corp. of New Zealand Ltd. (New Zealand) | 308,025 | 1,041,749 | |||
Telecom Italia SpA (Italy) | 295,654 | 750,112 | |||
Telefonica SA (Spain) | 20,281 | 431,562 | |||
Telia Sonera AB (Sweden) | 41,000 | 336,878 | |||
Verizon Communications Group Inc. | 314,676 | 11,718,534 | |||
Windstream Corp. | 47,457 | 674,839 | |||
46,485,910 | |||||
Electric Utilities — 1.2% | |||||
Allegheny Energy, Inc.(a) | 16,900 | 775,879 | |||
American Electric Power Co., Inc. | 42,660 | 1,816,463 |
SEE NOTES TO FINANCIAL STATEMENTS.
B3
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Electric Utilities (Cont’d.) | |||||
CLP Holdings Ltd. (Hong Kong) | 35,500 | $ | 262,039 | ||
Duke Energy Corp.(b) | 131,324 | 4,361,270 | |||
E.ON AG (Germany) | 14,991 | 2,043,984 | |||
Edison International | 36,500 | 1,660,020 | |||
Endesa SA (Spain) | 30,512 | 1,443,132 | |||
Enel SpA (Italy) | 27,024 | 278,784 | |||
Entergy Corp. | 21,700 | 2,003,344 | |||
Exelon Corp. | 71,774 | 4,442,093 | |||
FirstEnergy Corp. | 36,001 | 2,170,860 | |||
FPL Group, Inc.(b) | 42,800 | 2,329,176 | |||
Hokkaido Electric Power Co., Inc. (Japan) | 23,100 | 589,958 | |||
Hong Kong Electric Holdings (Hong Kong) | 7,000 | 34,229 | |||
Kansai Electric Power Co. Inc. (The) (Japan) | 18,700 | 503,405 | |||
Kyushu Electric Power Co. Inc. | 15,900 | 419,300 | |||
Pinnacle West Capital Corp. | 11,500 | 582,935 | |||
PPL Corp. | 41,500 | 1,487,360 | |||
Progress Energy, Inc. | 27,683 | 1,358,682 | |||
Southern Co. (The) | 82,100 | 3,026,206 | |||
Tokyo Electric Power Co., Inc. (The) (Japan) | 26,900 | 869,040 | |||
Union Fenosa SA (Spain) | 5,956 | 294,832 | |||
32,752,991 | |||||
Electrical Equipment — 0.3% | |||||
ABB Ltd. (Switzerland) | 36,137 | 648,004 | |||
American Power Conversion Corp. | 12,100 | 370,139 | |||
Cooper Industries Ltd. | 10,300 | 931,429 | |||
Emerson Electric Co. | 90,200 | 3,976,918 | |||
Fujikura Ltd. (Japan) | 25,000 | 219,775 | |||
Mitsubishi Electronics Corp. (Japan) | 114,000 | 1,038,818 | |||
Rockwell Automation, Inc. | 19,500 | 1,191,060 | |||
Schneider Electric SA (France) | 2,217 | 246,122 | |||
8,622,265 | |||||
Electronic Equipment & Instruments — 0.2% | |||||
Agilent Technologies, Inc.(a) | 54,614 | 1,903,299 | |||
Dainippon Screen Manufacturing Co. Ltd. (Japan) | 5,000 | 44,842 | |||
Ibiden Co. Ltd. (Japan) | 1,100 | 55,327 | |||
Jabil Circuit, Inc. | 18,600 | 456,630 | |||
Kingboard Chemical Holdings Ltd. (Hong Kong) | 36,500 | 143,329 | |||
Kyocera Corp. (Japan) | 2,000 | 189,065 | |||
Molex, Inc. | 16,700 | 528,221 | |||
Nippon Electric Glass Co., Ltd. | 8,000 | 167,749 | |||
Sanmina-SCI Corp.(a) | 54,200 | 186,990 | |||
Solectron Corp.(a)(b) | 109,300 | 351,946 | |||
Symbol Technologies, Inc. | 31,900 | 476,586 | |||
TDK Corp. (Japan) | 600 | 47,772 | |||
Tektronix, Inc. | 10,600 | 309,202 | |||
Venture Manufacturing (Singapore) Ltd. Corp. | 13,000 | 114,021 | |||
Yaskawa Electric Corp. (Japan) | 58,000 | 670,436 | |||
5,645,415 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Energy Equipment & Services — 0.9% | |||||
Baker Hughes, Inc. | 39,150 | $ | 2,922,939 | ||
Fugro NV (Netherlands) | 5,784 | 276,392 | |||
Halliburton Co.(b) | 111,000 | 3,446,550 | |||
Nabors Industries Ltd. (Bermuda)(a) | 35,300 | 1,051,234 | |||
National Oilwell Varco, Inc.(a)(b) | 18,800 | 1,150,184 | |||
Noble Corp.(b) | 14,800 | 1,127,020 | |||
Rowan Cos., Inc. | 6,700 | 222,440 | |||
Schlumberger Ltd. | 129,300 | 8,166,588 | |||
Smith International, Inc. | 17,900 | 735,153 | |||
TGS Nopec Geophysical Co. Asa(a) (Norway) | 11,522 | 238,379 | |||
Transocean, Inc.(a)(b) | 35,897 | 2,903,708 | |||
Weatherford International Ltd.(a) | 36,100 | 1,508,619 | |||
23,749,206 | |||||
Food & Staples Retailing — 1.2% | |||||
Aeon Co. Ltd. (Japan) | 15,700 | 339,565 | |||
Casino GuichardPerrachon SA (France) | 7,369 | 684,810 | |||
Costco Wholesale Corp. | 52,100 | 2,754,527 | |||
CVS Corp.(b) | 90,500 | 2,797,355 | |||
Delhaize Group (Belgium) | 2,654 | 221,240 | |||
FamilyMart Co. Ltd. (Japan) | 3,000 | 81,551 | |||
J. Sainsbury PLC (United Kingdom) | 74,197 | 594,544 | |||
Koninklijke Ahold NV (Netherlands)(a) | 51,070 | 543,362 | |||
Kroger Co. (The) | 77,146 | 1,779,758 | |||
Safeway, Inc. | 48,600 | 1,679,616 | |||
Supervalu, Inc. | 20,010 | 715,358 | |||
Sysco Corp. | 68,300 | 2,510,708 | |||
Walgreen Co.(b) | 108,600 | 4,983,654 | |||
Wal-Mart Stores, Inc. | 269,700 | 12,454,745 | |||
Whole Foods Market, Inc.(b) | 14,100 | 661,713 | |||
Woolworths Ltd. (Australia) | 10,721 | 201,945 | |||
33,004,451 | |||||
Food Products — 0.7% | |||||
Archer-Daniels-Midland Co.(b) | 72,326 | 2,311,540 | |||
Campbell Soup Co. | 20,500 | 797,245 | |||
ConAgra Foods, Inc. | 57,300 | 1,547,100 | |||
Dean Foods Co.(a) | 15,600 | 659,568 | |||
Ebro Puleva SA (Spain) | 8,051 | 204,051 | |||
General Mills, Inc. | 38,200 | 2,200,320 | |||
Groupe Danone (France) | 270 | 40,916 | |||
H.J. Heinz Co. | 35,100 | 1,579,851 | |||
Hershey Co. (The) | 18,300 | 911,340 | |||
Kellogg Co. | 27,400 | 1,371,644 | |||
McCormick & Co., Inc. | 15,000 | 578,400 | |||
Nestle SA “B Shares” (Switzerland) | 2,874 | 1,021,290 | |||
Nichirei Corp. (Japan) | 11,000 | 61,608 | |||
Nisshin Scifon Group, Inc. (Japan) | 11,500 | 118,678 | |||
Sara Lee Corp. | 86,200 | 1,467,986 | |||
Suedzucker AG (Germany) | 31,115 | 747,121 | |||
The East Asiatic Co. Ltd. (Denmark) | 8,275 | 462,912 | |||
Tyson Foods, Inc. “Class A” | 22,700 | 373,415 | |||
Unilever NV (Netherlands) | 40,896 | 1,117,480 | |||
Unilever PLC (United Kingdom) | 37,773 | 1,056,132 | |||
WM Wrigley Jr. Co. | 23,100 | 1,194,732 | |||
Yamazaki Baking Co. Ltd. | 14,000 | 135,891 | |||
19,959,220 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B4
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Gas Utilities — 0.1% | |||||
Gas Natural SDG SA (Spain) | 5,798 | $ | 229,532 | ||
Gaz De France SA (France) | 6,055 | 278,552 | |||
Nicor, Inc. | 4,600 | 215,280 | |||
Peoples Energy Corp. | 1,600 | 71,312 | |||
Questar Corp. | 9,400 | 780,670 | |||
1,575,346 | |||||
Healthcare Equipment & Supplies — 0.8% | |||||
Ansell Ltd | 8,085 | 71,706 | |||
Bard C.R., Inc. | 10,900 | 904,373 | |||
Bausch & Lomb, Inc.(b) | 6,700 | 348,802 | |||
Baxter International, Inc. | 69,000 | 3,200,910 | |||
Becton Dickinson & Co. | 27,300 | 1,915,095 | |||
Biomet, Inc. | 26,300 | 1,085,401 | |||
Boston Scientific Corp.(a) | 127,967 | 2,198,473 | |||
Cochlear Ltd. (Australia) | 3,521 | 160,689 | |||
Hospira, Inc.(a) | 16,760 | 562,801 | |||
Medtronic, Inc. | 126,100 | 6,747,611 | |||
Phonak Holding AG (Switzerland) | 1,432 | 113,996 | |||
St. Jude Medical, Inc.(a) | 39,000 | 1,425,840 | |||
Stryker Corp. | 32,600 | 1,796,586 | |||
Zimmer Holdings, Inc.(a) | 26,900 | 2,108,422 | |||
22,640,705 | |||||
Healthcare Providers & Services — 1.3% | |||||
Aetna, Inc. | 67,200 | 2,901,696 | |||
AmerisourceBergen Corp.(b) | 25,000 | 1,124,000 | |||
Cardinal Health, Inc. | 43,850 | 2,825,256 | |||
Caremark Rx, Inc. | 50,100 | 2,861,211 | |||
Cigna Corp. | 12,600 | 1,657,782 | |||
Coventry Health Care, Inc.(a) | 19,750 | 988,488 | |||
Express Scripts, Inc.(a)(b) | 17,600 | 1,260,160 | |||
Fresenius Medical Care AG (Germany) | 583 | 77,782 | |||
Health Management Associates, Inc. “Class A” | 28,600 | 603,746 | |||
Humana, Inc.(a) | 17,400 | 962,394 | |||
Laboratory Corp. of America Holdings(a)(b) | 13,100 | 962,457 | |||
Manor Care, Inc. | 7,500 | 351,900 | |||
McKesson Corp. | 32,130 | 1,628,991 | |||
Medco Health Solutions, Inc.(a) | 31,549 | 1,685,979 | |||
Patterson Cos., Inc.(a) | 10,000 | 355,100 | |||
Quest Diagnostics, Inc. | 18,300 | 969,900 | |||
Suzuken Co. Ltd. (Japan) | 8,400 | 315,821 | |||
Tenet Healthcare Corp.(a) | 44,600 | 310,862 | |||
UnitedHealth Group, Inc. | 148,300 | 7,968,158 | |||
WellPoint, Inc.(a) | 69,800 | 5,492,561 | |||
35,304,244 | |||||
Healthcare Technology | |||||
IMS Health, Inc. | 22,500 | 618,300 | |||
Hotels, Restaurants & Leisure — 0.8% | |||||
Carnival Corp.(b) | 47,800 | 2,344,590 | |||
Carnival PLC (United Kingdom) | 5,774 | 292,583 | |||
Darden Restaurants, Inc.(b) | 15,150 | 608,576 | |||
Enterprise Inns PLC (United Kingdom) | 20,592 | 545,513 | |||
Harrah’s Entertainment, Inc. | 21,500 | 1,778,480 | |||
Hilton Hotels Corp.(b) | 34,500 | 1,204,050 | |||
International Game Technology(b) | 35,900 | 1,658,580 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Hotels, Restaurants & Leisure (cont’d.) | |||||
Marriott International, Inc. “Class A” | 34,400 | $ | 1,641,568 | ||
McDonald’s Corp.(b) | 133,600 | 5,922,488 | |||
Starbucks Corp.(a)(b) | 82,300 | 2,915,066 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 23,100 | 1,443,750 | |||
Wendy’s International, Inc. | 9,600 | 317,664 | |||
Wyndham Worldwide Corp.(a) | 20,420 | 653,848 | |||
Yum! Brands, Inc. | 31,600 | 1,858,080 | |||
23,184,836 | |||||
Household Durables — 0.4% | |||||
Barratt Developments PLC (United Kingdom) | 34,949 | 845,104 | |||
Black & Decker Corp. | 8,700 | 695,739 | |||
Bovis Homes Group PLC (United Kingdom) | 7,889 | 167,440 | |||
Centex Corp.(b) | 12,300 | 692,121 | |||
D.R. Horton, Inc. | 23,700 | 627,813 | |||
Fortune Brands, Inc.(b) | 16,300 | 1,391,857 | |||
George Wimpey PLC (United Kingdom) | 62,831 | 687,078 | |||
Harman International Industries, Inc. | 8,000 | 799,280 | |||
KB Home | 9,200 | 471,776 | |||
Leggett & Platt, Inc. | 22,500 | 537,750 | |||
Lennar Corp. | 16,400 | 860,344 | |||
Makita Corp. (Japan) | 28,200 | 864,316 | |||
Matsushita Electric Industrial Co. Ltd. (Japan) | 14,000 | 280,721 | |||
Newell Rubbermaid, Inc. | 32,314 | 935,490 | |||
Pulte Homes, Inc. | 17,200 | 569,664 | |||
Sekisui House Ltd. | 8,000 | 116,186 | |||
Snap-On, Inc. | 4,900 | 233,436 | |||
Stanley Works (The) | 5,900 | 296,711 | |||
Taylor Woodrow PLC (United Kingdom) | 47,224 | 394,127 | |||
Whirlpool Corp. | 7,526 | 624,809 | |||
12,091,762 | |||||
Household Products — 1.1% | |||||
Clorox Co. | 16,500 | 1,058,475 | |||
Colgate-Palmolive Co. | 55,600 | 3,627,344 | |||
Kimberly-Clark Corp. | 49,400 | 3,356,730 | |||
Procter & Gamble Co. | 350,325 | 22,515,388 | |||
Reckitt Benckiser PLC (United Kingdom) | 22,401 | 1,023,710 | |||
31,581,647 | |||||
Independent Power Producers & Energy Traders — 0.2% | |||||
AES Corp. (The)(a) | 71,700 | 1,580,268 | |||
Constellation Energy Group, Inc. | 20,400 | 1,404,948 | |||
Dynegy, Inc. “Class A”(a) | 37,500 | 271,500 | |||
International Power PLC (United Kingdom) | 115,618 | 864,198 | |||
TXU Corp. | 49,900 | 2,705,079 | |||
6,825,993 | |||||
Industrial Conglomerates — 2.1% | |||||
3M Co. | 81,300 | 6,335,709 | |||
Cookson Group PLC (United Kingdom) | 16,043 | 197,267 | |||
General Electric Co. | 1,121,600 | 41,734,737 |
SEE NOTES TO FINANCIAL STATEMENTS.
B5
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Industrial Conglomerates (cont’d.) | |||||
Orkla ASA (Norway) | 17,600 | $ | 996,407 | ||
Siemens AG (Germany) | 1,368 | 136,520 | |||
Textron, Inc. | 13,800 | 1,294,026 | |||
Tyco International Ltd. (Bermuda) | 219,261 | 6,665,534 | |||
57,360,200 | |||||
Insurance — 2.6% | |||||
ACE Ltd. (Bermuda) | 36,000 | 2,180,520 | |||
Aegon NV (Netherlands) | 48,143 | 917,675 | |||
Aflac, Inc.(b) | 53,800 | 2,474,800 | |||
Allianz AG (Germany) | 8,137 | 1,663,920 | |||
Allstate Corp. (The) | 72,600 | 4,726,986 | |||
AMBAC Financial Group, Inc. | 11,300 | 1,006,491 | |||
American International Group, Inc. | 282,188 | 20,221,592 | |||
AON Corp. | 34,200 | 1,208,628 | |||
Aviva PLC (United Kingdom) | 85,093 | 1,369,539 | |||
AXA SA (France) | 24,363 | 986,355 | |||
Chubb Corp. | 51,800 | 2,740,738 | |||
Cincinnati Financial Corp. | 17,837 | 808,194 | |||
CNP Assurances (France) | 2,118 | 236,529 | |||
Fondiaria-Sai SpA (Italy) | 2,967 | 141,937 | |||
Genworth Financial, Inc. | 49,500 | 1,693,395 | |||
Hartford Financial Services Group, Inc. | 33,100 | 3,088,561 | |||
Lincoln National Corp. | 30,917 | 2,052,889 | |||
Loews Corp. | 45,800 | 1,899,326 | |||
Marsh & McLennan Cos., Inc. | 61,300 | 1,879,458 | |||
MBIA, Inc.(b) | 14,350 | 1,048,411 | |||
MetLife, Inc. | 81,100 | 4,785,711 | |||
Muenchener Rueckversicherungs — Gesellschaft AG (Germany) | 7,869 | 1,360,754 | |||
Principal Financial Group | 30,700 | 1,802,090 | |||
Progressive Corp. (The) | 83,400 | 2,019,948 | |||
Royal & Sun Alliance Insurance Group PLC (United Kingdom) | 266,881 | 796,886 | |||
SAFECO Corp. | 15,900 | 994,545 | |||
SCOR (France) | 24,972 | 73,840 | |||
St. Paul Travelers Cos., Inc. (The) | 79,035 | 4,243,389 | |||
Swiss Reinsurance (Switzerland) | 9,365 | 796,236 | |||
Topdanmark A/S (Denmark)(a) | 600 | 99,207 | |||
Torchmark Corp. | 11,500 | 733,240 | |||
Unipol SpA (Italy) | 29,919 | 96,959 | |||
UnumProvident Corp. | 32,210 | 669,324 | |||
XL Capital Ltd. “Class A” (Bermuda) | 18,900 | 1,361,178 | |||
Zurich Financial Services AG (Switzerland) | 4,424 | 1,190,867 | |||
73,370,118 | |||||
Internet & Catalog Retail — 0.1% | |||||
Amazon.com, Inc.(a)(b) | 29,500 | 1,164,070 | |||
Experian Group Ltd. (Ireland)(a) | 9,339 | 109,622 | |||
IAC/InterActiveCorp(a)(b) | 19,300 | 717,188 | |||
1,990,880 | |||||
Internet Software & Services — 0.7% | |||||
eBay, Inc.(a)(b) | 124,100 | 3,731,687 | |||
Google, Inc. “Class A”(a) | 22,900 | 10,544,992 | |||
Verisign, Inc.(a) | 26,500 | 637,325 | |||
Yahoo!, Inc.(a) | 130,400 | 3,330,416 | |||
18,244,420 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
IT Services — 0.6% | |||||
Affiliated Computer Services, Inc.(a) | 13,700 | $ | 669,108 | ||
Automatic Data Processing, Inc. | 61,000 | 3,004,251 | |||
Cognizant Technology SolutionsCorp.(a) | 14,900 | 1,149,684 | |||
Computer Sciences Corp.(a) | 17,400 | 928,638 | |||
Convergys Corp.(a) | 14,800 | 351,944 | |||
Electronic Data Systems Corp. | 54,100 | 1,490,455 | |||
Fidelity National Information Services, Inc. | 14,600 | 585,314 | |||
First Data Corp. | 80,610 | 2,057,167 | |||
Fiserv, Inc.(a) | 21,300 | 1,116,546 | |||
NTT Data Corp. (Japan) | 181 | 906,122 | |||
Paychex, Inc. | 36,800 | 1,455,072 | |||
Sabre Holdings Corp. | 14,526 | 463,234 | |||
Unisys Corp.(a) | 49,200 | 385,728 | |||
Western Union Co. | 80,610 | 1,807,276 | |||
16,370,539 | |||||
Leisure Equipment & Products — 0.2% | |||||
Brunswick Corp. | 7,200 | 229,680 | |||
Eastman Kodak Co. | 27,400 | 706,920 | |||
FUJIFILM Holdings Corp. (Japan) | 12,700 | 523,089 | |||
Hasbro, Inc. | 21,500 | 585,875 | |||
Mattel, Inc. | 42,651 | 966,472 | |||
Nikon Corp. (Japan) | 42,000 | 920,635 | |||
Yamaha Corporation (Japan) | 16,900 | 358,040 | |||
4,290,711 | |||||
Life Sciences, Tools & Services — 0.1% | |||||
Applera Corp. — Applied Biosystems Group | 20,300 | 744,807 | |||
Millipore Corp.(a)(b) | 4,700 | 313,020 | |||
PerkinElmer, Inc. | 12,800 | 284,544 | |||
Thermo Electron Corp.(a) | 45,100 | 2,042,579 | |||
Waters Corp.(a) | 12,500 | 612,125 | |||
3,997,075 | |||||
Machinery — 0.9% | |||||
Amada Co. Ltd. (Japan) | 30,000 | 317,629 | |||
Caterpillar, Inc. | 71,700 | 4,397,360 | |||
Cummins, Inc. | 5,400 | 638,172 | |||
Danaher Corp. | 24,800 | 1,796,512 | |||
Deere & Co. | 24,800 | 2,357,736 | |||
Dover Corp. | 22,500 | 1,102,950 | |||
Eaton Corp. | 16,400 | 1,232,296 | |||
Illinois Tool Works, Inc. | 44,300 | 2,046,217 | |||
Ingersoll-Rand Co. Ltd. “Class A” (Bermuda) | 36,800 | 1,439,984 | |||
ITT Corp. | 19,200 | 1,090,944 | |||
KCI Konecranes Oyj (Finland) | 2,250 | 66,233 | |||
Komatsu Ltd. (Japan) | 55,000 | 1,113,193 | |||
Komori Corp. (Japan) | 14,000 | 260,745 | |||
Kubota Corp. (Japan) | 59,000 | 546,398 | |||
MAN AG (Germany) | 3,277 | 297,225 | |||
Metso Oyj (Finland) | 6,300 | 318,015 | |||
Mitsubishi Heavy Industries Ltd. (Japan) | 25,000 | 113,422 | |||
NSK Ltd. (Japan) | 29,000 | 285,684 | |||
Paccar, Inc.(b) | 26,262 | 1,704,404 | |||
Pall Corp. | 10,000 | 345,500 | |||
Parker Hannifin Corp. | 13,710 | 1,054,025 | |||
Terex Corp.(a) | 7,500 | 484,350 |
SEE NOTES TO FINANCIAL STATEMENTS.
B6
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Machinery (cont’d.) | |||||
Vallourec | 3,667 | $ | 1,066,385 | ||
Volvo AB “B Shares” (Sweden) | 8,400 | 578,532 | |||
24,653,911 | |||||
Marine | |||||
Kawasaki Kisen Kaisha Ltd. (Japan) | 14,000 | 109,431 | |||
Mitsui O.S.K. Lines Ltd. (Japan) | 102,000 | 1,007,420 | |||
Nippon Yusen KK (Japan) | 6,000 | 43,878 | |||
1,160,729 | |||||
Media — 1.9% | |||||
APN News & Media Ltd. (Australia) | 15,016 | 71,582 | |||
CBS Corp. “Class B”(b) | 85,434 | 2,663,832 | |||
Clear Channel Communications, Inc. | 55,600 | 1,976,024 | |||
Comcast Corp. “Class A”(a)(b) | 231,960 | 9,818,868 | |||
DIRECTV Group, Inc. (The)(a) | 76,000 | 1,895,440 | |||
Dow Jones & Co., Inc.(b) | 6,800 | 258,400 | |||
E.W. Scripps Co. | 8,600 | 429,484 | |||
Eniro AB (Sweden) | 13,900 | 183,751 | |||
Gannett Co., Inc. | 25,200 | 1,523,592 | |||
Interpublic Group of Cos., Inc.(a)(b) | 37,200 | 455,328 | |||
ITV PLC (United Kingdom) | 110,494 | 230,408 | |||
McGraw-Hill Cos., Inc. (The) | 38,100 | 2,591,562 | |||
Meredith Corp. | 2,700 | 152,145 | |||
New York Times Co. (The) “Class A”(b) | 17,800 | 433,608 | |||
News Corp. “Class A” | 244,400 | 5,249,712 | |||
Omnicom Group, Inc. | 18,900 | 1,975,806 | |||
Reed Elsener PLC (UK) | 7,548 | 82,835 | |||
Reed Elsevier NV (New Zealand) | 5,029 | 85,769 | |||
Time Warner, Inc. | 438,800 | 9,557,064 | |||
Tokyo Broadcasting System, Inc. (Japan) | 1,300 | 43,316 | |||
Tribune Co.(b) | 24,250 | 746,415 | |||
Univision Communications, Inc.(a) | 20,300 | 719,026 | |||
Viacom, Inc. “Class B”(a) | 76,234 | 3,127,881 | |||
Vivendi (France) | 36,265 | 1,417,473 | |||
Walt Disney Co. | 233,300 | 7,995,191 | |||
53,684,512 | |||||
Metals & Mining — 0.8% | |||||
Acerinox SA (Spain) | 17,350 | 527,909 | |||
Alcoa, Inc. | 96,240 | 2,888,161 | |||
Allegheny Technologies, Inc. | 8,200 | 743,576 | |||
Anglo American PLC (United Kingdom) | 30,860 | 1,505,145 | |||
BHP Billiton Ltd. (Australia) | 31,001 | 616,582 | |||
BHP Billiton PLC (United Kingdom) | 29,379 | 537,558 | |||
Boehler-Uddeholm AG (Austria) | 1,268 | 88,880 | |||
Boliden AB (Sweden) | 1,792 | 46,070 | |||
Freeport-McMoRan Copper & Gold, Inc.(b) | 20,500 | 1,142,465 | |||
Mittal Steel Co. NV | 4,664 | 196,891 | |||
Newmont Mining Corp. (Netherlands) | 50,700 | 2,289,105 | |||
Nippon Light Metal Co. Ltd. (Japan) | 43,000 | 110,202 | |||
Nippon Steel Corp. (Japan) | 69,000 | 395,855 | |||
Nucor Corp. | 32,200 | 1,760,052 | |||
Outokumpu Oyj “Class A” (Finland) | 18,000 | 704,746 | |||
Phelps Dodge Corp. | 22,586 | 2,703,995 | |||
Rio Tinto Ltd. (Australia) | 5,753 | 334,932 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Metals & Mining (cont’d.) | |||||
Rio Tinto PLC (United Kingdom) | 25,934 | $ | 1,380,154 | ||
Salzgitter AG (Germany) | 1,193 | 157,009 | |||
Sumitomo Metal Industries Ltd. (Japan) | 106,000 | 460,222 | |||
ThyssenKrupp AG (Germany) | 16,523 | 779,747 | |||
United States Steel Corp. | 13,300 | 972,762 | |||
Xstrata PLC. (Switzerland) | 10,090 | 503,779 | |||
20,845,797 | |||||
Multiline Retail — 0.6% | |||||
Big Lots, Inc.(a) | 14,100 | 323,172 | |||
Dillard’s, Inc. | 7,800 | 272,766 | |||
Dollar General Corp. | 35,356 | 567,817 | |||
Family Dollar Stores, Inc. | 18,900 | 554,337 | |||
Federated Department Stores, Inc. | 59,074 | 2,252,492 | |||
J.C. Penney Co., Inc. | 26,800 | 2,073,248 | |||
Kohl’s Corp.(a) | 37,700 | 2,579,811 | |||
Marks & Spencer Group PLC (United Kingdom) | 66,968 | 940,146 | |||
Nordstrom, Inc. | 23,400 | 1,154,556 | |||
PPR SA (France) | 602 | 89,956 | |||
Sears Holding Corp.(a)(b) | 10,442 | 1,753,525 | |||
Target Corp. | 90,400 | 5,157,320 | |||
17,719,146 | |||||
Multi-Utilities — 0.6% | |||||
Ameren Corp.(b) | 21,400 | 1,149,822 | |||
CenterPoint Energy, Inc.(b) | 36,700 | 608,486 | |||
CMS Energy Corp.(a)(b) | 25,000 | 417,500 | |||
Consolidated Edison, Inc.(b) | 27,000 | 1,297,890 | |||
Dominion Resources, Inc.(b) | 39,516 | 3,313,020 | |||
DTE Energy Co.(b) | 20,000 | 968,200 | |||
KeySpan Corp. | 18,200 | 749,476 | |||
National Grid PLC (United Kingdom) | 93,691 | 1,351,992 | |||
NiSource, Inc. | 29,500 | 710,950 | |||
PG&E Corp. | 37,000 | 1,751,210 | |||
Public Service Enterprise Group, Inc. | 27,100 | 1,798,898 | |||
RWE AG (Germany) | 480 | 52,882 | |||
Sempra Energy | 27,819 | 1,558,977 | |||
Suez SA (France) | 3,029 | 156,858 | |||
TECO Energy, Inc. | 22,300 | 384,229 | |||
Xcel Energy, Inc. | 45,810 | 1,056,379 | |||
17,326,769 | |||||
Office Electronics — 0.1% | |||||
Canon, Inc. (Japan) | 20,550 | 1,156,968 | |||
Ricoh Co. Ltd. (Japan) | 48,000 | 977,534 | |||
Xerox Corp.(a) | 107,300 | 1,818,736 | |||
3,953,238 | |||||
Oil, Gas & Consumable Fuels — 4.6% | |||||
Anadarko Petroleum Corp. | 48,354 | 2,104,366 | |||
Apache Corp.(b) | 35,214 | 2,342,083 | |||
B.J. Services Co. | 39,000 | 1,143,480 | |||
BP PLC (United Kingdom) | 331,078 | 3,678,789 | |||
Chesapeake Energy Corp. | 45,600 | 1,324,680 | |||
Chevron Corp. | 239,122 | 17,582,640 | |||
ConocoPhillips | 178,077 | 12,812,640 | |||
CONSOL Energy, Inc.(b) | 17,300 | 555,849 | |||
Devon Energy Corp. | 48,700 | 3,266,796 | |||
El Paso Corp. | 76,136 | 1,163,358 | |||
ENI SpA (Italy) | 60,280 | 2,027,502 | |||
EOG Resources, Inc. | 27,300 | 1,704,885 |
SEE NOTES TO FINANCIAL STATEMENTS.
B7
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Oil, Gas & Consumable Fuels (cont’d.) | |||||
Exxon Mobil Corp. | 641,240 | $ | 49,138,220 | ||
Hess Corp. | 24,800 | 1,229,336 | |||
Kinder Morgan, Inc. | 10,800 | 1,142,100 | |||
Marathon Oil Corp. | 38,291 | 3,541,918 | |||
Murphy Oil Corp.(b) | 19,500 | 991,575 | |||
Neste Oil Oyj (Finland) | 24,400 | 741,775 | |||
Nippon Oil Corp. (Japan) | 88,000 | 588,495 | |||
Norsk Hydro ASA (Norway) | 12,517 | 388,446 | |||
Occidental Petroleum Corp. | 91,900 | 4,487,477 | |||
Peabody Energy Corp. | 22,800 | 921,348 | |||
Repsol YPF SA (Spain) | 2,165 | 74,877 | |||
Royal Dutch Shell (Netherlands) | 34,918 | 1,220,383 | |||
Royal Dutch Shell PLC “B Shares” (Netherlands) | 57,915 | 2,029,798 | |||
Santos Ltd. (Australia) | 104,129 | 810,372 | |||
Sunoco, Inc.(b) | 15,000 | 935,400 | |||
Total SA (France) | 17,654 | 1,273,568 | |||
Valero Energy Corp. | 65,500 | 3,350,980 | |||
Williams Cos., Inc. | 66,300 | 1,731,756 | |||
XTO Energy, Inc. | 40,233 | 1,892,963 | |||
126,197,855 | |||||
Paper & Forest Products — 0.2% | |||||
International Paper Co. | 51,373 | 1,751,819 | |||
MeadWestvaco Corp. | 20,714 | 622,663 | |||
Svenska Cellulosa AB (SCA) “B Shares” (Sweden) | 7,900 | 412,543 | |||
Weyerhaeuser Co. | 24,200 | 1,709,730 | |||
4,496,755 | |||||
Personal Products — 0.1% | |||||
Avon Products, Inc. | 48,800 | 1,612,352 | |||
Estee Lauder Cos., Inc. (The) “Class A” | 13,500 | 551,070 | |||
2,163,422 | |||||
Pharmaceuticals — 3.5% | |||||
Abbott Laboratories | 164,700 | 8,022,537 | |||
Allergan, Inc.(b) | 16,700 | 1,999,658 | |||
Altana AG (Germany) | 2,862 | 176,998 | |||
AstraZeneca PLC (United Kingdom) | 34,940 | 1,877,222 | |||
Barr Pharmaceuticals, Inc.(a) | 11,500 | 576,380 | |||
Bristol-Myers Squibb Co. | 210,500 | 5,540,360 | |||
Daiichi Sankyo Co. Ltd. (Japan) | 3,700 | 115,417 | |||
Eisai Co. Ltd. (Japan) | 1,100 | 60,429 | |||
Eli Lilly & Co. | 112,100 | 5,840,410 | |||
Forest Laboratories, Inc.(a) | 36,000 | 1,821,600 | |||
GlaxoSmithKline PLC (United Kingdom) | 84,951 | 2,235,509 | |||
Johnson & Johnson | 322,448 | 21,288,016 | |||
King Pharmaceuticals, Inc.(a) | 28,366 | 451,587 | |||
Mayne Pharma Ltd. (Australia) | 23,343 | 74,903 | |||
Merck & Co., Inc. | 235,500 | 10,267,800 | |||
Mylan Laboratories, Inc. | 20,900 | 417,164 | |||
Novartis AG (Switzerland) | 15,479 | 892,408 | |||
Pfizer, Inc. | 790,545 | 20,475,115 | |||
Roche Holding AG (Switzerland) | 11,467 | 2,056,249 | |||
Sanofi-Aventis (France) | 17,248 | 1,592,631 | |||
Santen Pharmaceutical Co. Ltd. (Japan) | 4,400 | 123,773 | |||
Schering-Plough Corp.(b) | 159,800 | 3,777,672 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Pharmaceuticals (cont’d.) | |||||
Takeda Pharmaceutical Co. Ltd. (Japan) | 5,400 | $ | 370,095 | ||
Tanabe Seiyaku CO Ltd | 16,000 | 209,230 | |||
Watson Pharmaceuticals, Inc.(a) | 12,200 | 317,566 | |||
Wyeth | 145,200 | 7,393,584 | |||
97,974,313 | |||||
Real Estate — 0.1% | |||||
CB Richard Ellis Group, Inc. | 18,800 | 624,160 | |||
City Developments Ltd. (Singapore) | 6,000 | 49,453 | |||
Immofinanz Immobilien Anlagen (Australia) | 7,831 | 111,643 | |||
Lend Lease Corp. Ltd. (Australia) | 19,977 | 290,090 | |||
Leopalace21 Corp. (Japan) | 21,700 | 693,176 | |||
Realogy Corp.(a) | 25,775 | 781,497 | |||
Sumitono Realty & Development Co. Ltd. (Japan) | 7,000 | 224,415 | |||
Swire Pacific Ltd. (Hong Kong) | 19,500 | 209,097 | |||
UOL Group Ltd. (Singapore) | 77,000 | 217,082 | |||
Wharf Holdings (Hong Kong) | 17,000 | 62,690 | |||
3,263,303 | |||||
Real Estate Investment Trust — 0.6% | |||||
Apartment Investment & Management Co. “Class A” | 9,000 | 504,180 | |||
Archstone-Smith Trust(b) | 23,300 | 1,356,293 | |||
Boston Properties, Inc.(b) | 11,800 | 1,320,184 | |||
British Land Co. PLC (United Kingdom) | 6,336 | 212,635 | |||
Equity Office Properties Trust | 40,500 | 1,950,885 | |||
Equity Residential | 32,300 | 1,639,225 | |||
Hammerson PLC (United Kingdom) | 2,513 | 77,595 | |||
Kimco Realty Corp.(b) | 21,500 | 966,425 | |||
Mirvac Group (Australia) | 102,795 | 452,157 | |||
Plum Creek Timber Co., Inc. | 17,100 | 681,435 | |||
ProLogis | 27,100 | 1,646,867 | |||
Public Storage, Inc. | 11,400 | 1,111,500 | |||
Simon Property Group, Inc.(b) | 22,100 | 2,238,509 | |||
Vornado Realty Trust | 13,000 | 1,579,500 | |||
15,737,390 | |||||
Road & Rail — 0.4% | |||||
Burlington Northern Santa Fe Corp. | 40,300 | 2,974,543 | |||
CSX Corp. | 52,600 | 1,811,018 | |||
Nippon Express Co. Ltd. (Japan) | 23,000 | 125,841 | |||
Norfolk Southern Corp. | 45,500 | 2,288,195 | |||
Ryder System, Inc. | 6,900 | 352,314 | |||
Toll Holdings Ltd. (Australia) | 7,390 | 106,444 | |||
Union Pacific Corp. | 29,800 | 2,742,196 | |||
10,400,551 | |||||
Semiconductors & Semiconductor Equipment — 1.3% | |||||
Advanced Micro Devices, Inc.(a)(b) | 51,300 | 1,043,955 | |||
Altera Corp.(a)(b) | 42,200 | 830,496 | |||
Analog Devices, Inc. | 40,100 | 1,318,087 | |||
Applied Materials, Inc. | 166,000 | 3,062,700 | |||
ASM Pacific Technology Ltd. (Hong Kong) | 17,500 | 97,296 | |||
Broadcom Corp. “Class A”(a) | 43,150 | 1,394,177 | |||
Elpida Memory, Inc. (Japan)(a) | 6,400 | 351,490 |
SEE NOTES TO FINANCIAL STATEMENTS.
B8
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Semiconductors & Semiconductor Equipment (cont’d.) | |||||
Intel Corp. | 620,500 | $ | 12,565,125 | ||
KLA-Tencor Corp. | 20,500 | 1,019,875 | |||
Linear Technology Corp. | 31,000 | 939,920 | |||
LSI Logic Corp.(a)(b) | 47,100 | 423,900 | |||
Maxim Integrated Products, Inc. | 27,500 | 842,050 | |||
Micron Technology, Inc.(a)(b) | 70,400 | 982,784 | |||
National Semiconductor Corp. | 36,500 | 828,550 | |||
Novellus Systems, Inc.(a)(b) | 16,000 | 550,720 | |||
NVIDIA Corp.(a) | 40,600 | 1,502,606 | |||
PMC — Sierra, Inc.(a)(b) | 10,000 | 67,100 | |||
Sumco Corp. (Japan) | 12,700 | 1,073,288 | |||
Teradyne, Inc.(a)(b) | 22,100 | 330,616 | |||
Texas Instruments, Inc. | 172,300 | 4,962,240 | |||
Tokyo Electron Ltd. (Japan) | 13,200 | 1,038,280 | |||
Xilinx, Inc. | 38,000 | 904,780 | |||
36,130,035 | |||||
Software — 1.7% | |||||
Adobe Systems, Inc.(a) | 62,000 | 2,549,440 | |||
Autodesk, Inc.(a)(b) | 23,300 | 942,718 | |||
BMC Software, Inc.(a) | 24,200 | 779,240 | |||
CA, Inc. | 51,664 | 1,170,190 | |||
Citrix Systems, Inc.(a) | 16,400 | 443,620 | |||
Compuware Corp.(a) | 45,900 | 382,347 | |||
Electronic Arts, Inc.(a) | 33,100 | 1,666,916 | |||
Intuit, Inc.(a) | 38,200 | 1,165,482 | |||
Microsoft Corp. | 949,600 | 28,355,056 | |||
Novell, Inc.(a) | 41,200 | 255,440 | |||
Oracle Corp.(a) | 439,000 | 7,524,460 | |||
Symantec Corp.(a) | 108,778 | 2,268,021 | |||
47,502,930 | |||||
Specialty Retail — 1.0% | |||||
Aoyama Trading Co. Ltd. (Japan) | 1,600 | 47,998 | |||
Autobacs Seven Co. Ltd. (Japan) | 1,600 | 58,441 | |||
AutoNation, Inc.(a) | 16,974 | 361,886 | |||
AutoZone, Inc.(a) | 4,800 | 554,688 | |||
Bed Bath & Beyond, Inc.(a) | 29,800 | 1,135,380 | |||
Best Buy Co., Inc. | 46,625 | 2,293,484 | |||
Circuit City Stores, Inc. | 17,200 | 326,456 | |||
Gap, Inc. (The) | 60,700 | 1,183,650 | |||
Home Depot, Inc. | 222,950 | 8,953,672 | |||
Limited Brands, Inc. | 37,506 | 1,085,424 | |||
Lowe’s Cos., Inc. | 166,000 | 5,170,900 | |||
Office Depot, Inc.(a) | 32,200 | 1,229,074 | |||
OfficeMax, Inc. | 7,500 | 372,375 | |||
RadioShack Corp.(b) | 12,700 | 213,106 | |||
Sherwin-Williams Co. (The) | 11,800 | 750,244 | |||
Staples, Inc. | 74,849 | 1,998,468 | |||
Tiffany & Co. | 15,200 | 596,448 | |||
TJX Cos., Inc. (The) | 51,700 | 1,474,484 | |||
USS Co. Ltd. (Japan) | 2,460 | 160,136 | |||
27,966,314 | |||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||
Coach, Inc.(a) | 44,500 | 1,911,720 | |||
Folli — Follie SA (Greece) | 1,260 | 49,731 | |||
Jones Apparel Group, Inc. | 12,600 | 421,218 | |||
Liz Claiborne, Inc. | 10,900 | 473,714 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Textiles, Apparel & Luxury Goods (cont’d.) | |||||
NIKE, Inc. “Class B” | 20,700 | $ | 2,049,922 | ||
Puma AG Rudolf Dassler Sport (Germany) | 856 | 334,490 | |||
Swatch Group AG (Switzerland) | 2,058 | 92,048 | |||
VF Corp. | 10,100 | 829,008 | |||
6,161,851 | |||||
Thrifts & Mortgage Finance — 0.7% | |||||
Countrywide Financial Corp. | 65,100 | 2,763,495 | |||
Fannie Mae | 104,100 | 6,182,500 | |||
Freddie Mac | 74,000 | 5,024,600 | |||
MGIC Investment Corp.(b) | 8,800 | 550,352 | |||
Sovereign Bancorp, Inc. | 38,955 | 989,067 | |||
Washington Mutual, Inc. | 102,678 | 4,670,822 | |||
20,180,836 | |||||
Tobacco — 0.9% | |||||
Altria Group, Inc. | 227,400 | 19,515,469 | |||
British American Tobacco (United Kingdom) | 21,111 | 590,676 | |||
Imperial Tobacco Group (United Kingdom) | 16,870 | 663,926 | |||
Reynolds American, Inc.(b) | 17,400 | 1,139,178 | |||
Swedish Match AB (Sweden) | 35,400 | 661,880 | |||
UST, Inc. | 16,900 | 983,580 | |||
23,554,709 | |||||
Trading Companies & Distributors — 0.1% | |||||
Itochu Corp. (Japan) | 69,000 | 565,597 | |||
Marubeni Corp. (Japan) | 97,000 | 491,447 | |||
Mitsubishi Corp. (Japan) | 20,700 | 388,927 | |||
Mitsui & Co. Ltd. (Japan) | 47,000 | 704,242 | |||
Sumitomo Corp. (Japan) | 49,000 | 733,517 | |||
W.W. Grainger, Inc. | 8,200 | 573,508 | |||
3,457,238 | |||||
Transportation Infrastructure | |||||
Hopewell Holdings (Hong Kong) | 44,000 | 154,026 | |||
Kamigumi Co. Ltd. (Japan) | 9,000 | 73,659 | |||
Macquarie Airports Management Ltd. (Australia) | 274,081 | 777,400 | |||
1,005,085 | |||||
Wireless Telecommunication Services — 0.4% | |||||
Alltel Corp. | 41,400 | 2,503,872 | |||
Mobistar SA (Belgium) | 2,237 | 190,908 | |||
NTT DoCoMo, Inc. (Japan) | 85 | 134,498 | |||
Sprint Nextel Corp. | 323,477 | 6,110,481 | |||
Vodafone Group PLC (United Kingdom) | 812,477 | 2,251,003 | |||
11,190,762 | |||||
TOTAL COMMON STOCKS | 1,556,741,859 | ||||
PREFERRED STOCK | |||||
Automobiles | |||||
Porsche AG (Germany) | 395 | 504,190 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
B9
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS — 32.8% | ||||||||||
Aerospace & Defense — 0.4% | ||||||||||
BAE Systems Holdings, Inc.(k) | ||||||||||
4.75% | 08/15/10 | Baa2 | $ | 2,000 | $ | 1,946,228 | ||||
5.20% | 08/15/15 | Baa2 | 1,170 | 1,114,472 | ||||||
Boeing Capital Corp.(b) | ||||||||||
6.10% | 03/01/11 | A2 | 975 | 1,007,285 | ||||||
Goodrich Corp. | ||||||||||
6.80% | 07/01/36 | Baa3 | 1,301 | 1,384,029 | ||||||
Lockheed Martin Corp. | ||||||||||
6.15% | 09/01/36 | Baa1 | 670 | 703,928 | ||||||
Northrop Grumman Corp. | ||||||||||
7.125% | 02/15/11 | Baa2 | 1,025 | 1,093,324 | ||||||
Raytheon Co. | ||||||||||
4.50% | 11/15/07 | Baa2 | 194 | 192,464 | ||||||
5.50% | 11/15/12 | Baa2 | 625 | 628,922 | ||||||
6.55% | 03/15/10 | Baa2 | 1,150 | 1,191,510 | ||||||
8.30% | 03/01/10 | Baa2 | 700 | 759,973 | ||||||
10,022,135 | ||||||||||
Airlines — 0.1% | ||||||||||
Continental Airlines, Inc. | ||||||||||
6.648% | 09/15/17 | Baa3 | 365 | 379,178 | ||||||
6.703% | 06/15/21 | Baa3 | 183 | 188,894 | ||||||
Southwest Airlines Co. | ||||||||||
6.50% | 03/01/12 | Baa1 | 1,290 | 1,345,052 | ||||||
1,913,124 | ||||||||||
Asset Backed Securities — 1.6% | ||||||||||
American Express Credit Account Master Trust I,(h)(k) | ||||||||||
Series 2004-4, Class C | ||||||||||
5.82% | 03/15/12 | Baa2 | 1,510 | 1,518,258 | ||||||
Series 2004-C, Class C | ||||||||||
5.85% | 02/15/12 | Baa2 | 957 | 958,416 | ||||||
Amortizing Residential Collateral Trust, | ||||||||||
Series 2002-BC9, Class M1(h) | ||||||||||
7.00% | 12/25/32 | Aa2 | 2,664 | 2,701,117 | ||||||
Bank of America Credit Card Trust, | ||||||||||
Series 2006-C5, Class C5(h) | ||||||||||
5.75% | 01/15/16 | Baa2 | 4,159 | 4,159,853 | ||||||
Bank One Issuance Trust, | ||||||||||
Series 2003-C1, Class C1 | ||||||||||
4.54% | 09/15/10 | Baa2 | 2,445 | 2,421,353 | ||||||
CDC Mortgage Capital Trust,(h) | ||||||||||
Series 2002-HE3, Class M1 | ||||||||||
7.00% | 03/25/33 | Aa2 | 1,462 | 1,462,988 | ||||||
Series 2003-HE1, Class M2 | ||||||||||
8.275% | 08/25/33 | A2 | 189 | 189,827 | ||||||
Centex Home Equity, | ||||||||||
Series 2005-A, Class M2(h) | ||||||||||
5.85% | 01/25/35 | Aa2 | 2,250 | 2,262,027 | ||||||
Chase Issuance Trust, | ||||||||||
Series 2005-A4, Class A4 | ||||||||||
4.23% | 01/15/13 | Aaa | 4,000 | 3,903,561 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||||
Series 2006-C1, Class C1(h) | ||||||||||
5.75% | 02/20/15 | Baa2 | 1,500 | 1,505,016 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Asset Backed Securities (cont’d.) | ||||||||||
Credit-Based Asset Servicing and Securitization, | ||||||||||
Series 2005-CB6, Class A3 | ||||||||||
5.12% | 07/25/35 | Aaa | $ | 1,740 | $ | 1,725,931 | ||||
Equity One ABS, Inc., | ||||||||||
Series 2004-3, Class M1 | ||||||||||
5.70% | 07/25/34 | Aa2 | 1,660 | 1,650,387 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||||
Series 2005-FFH1, Class M2(h) | ||||||||||
5.87% | 06/25/36 | Aa2 | 1,800 | 1,814,887 | ||||||
HFC Home Equity Loan Trust, | ||||||||||
Series 2005-2, Class M2(h) | ||||||||||
5.84% | 01/20/35 | Aa1 | 911 | 913,919 | ||||||
Home Equity Asset Trust, | ||||||||||
Series 2005-7, Class 2A4(h) | ||||||||||
5.73% | 01/25/36 | Aaa | 1,400 | 1,406,787 | ||||||
MBNA Master Credit Card Trust, | ||||||||||
Series 1999-J, Class A | ||||||||||
7.00% | 02/15/12 | Aaa | 2,370 | 2,486,932 | ||||||
Morgan Stanley ABS Capital I, | ||||||||||
Series 2004-NC3, Class M2(h) | ||||||||||
6.45% | 03/25/34 | A2 | 1,800 | 1,811,268 | ||||||
Morgan Stanley Dean Witter Capital I,(h) | ||||||||||
Series 2002-HE1, Class M1 | ||||||||||
6.25% | 07/25/32 | Aa2 | 1,897 | 1,916,127 | ||||||
Series 2002-NC4, Class M1 | ||||||||||
6.20% | 09/25/32 | Aaa | 1,879 | 1,920,655 | ||||||
Prestige Auto Receivables Trust, | ||||||||||
Series 2004-1, Class A2(k) | ||||||||||
3.69% | 06/15/11 | Aaa | 624 | 617,289 | ||||||
Saxon Asset Securities Trust, | ||||||||||
Series 2005-2, Class M2(h) | ||||||||||
5.79% | 10/25/35 | Aa2 | 1,480 | 1,489,024 | ||||||
Securitized Asset Backed Receivables LLC,(h) | ||||||||||
Series 2004-OP1, Class M1 | ||||||||||
5.86% | 02/25/34 | Aa2 | 1,660 | 1,664,284 | ||||||
Series 2006-FR3, Class A3 | ||||||||||
5.576% | 05/25/36 | Aaa | 1,400 | 1,404,372 | ||||||
SVO VOI Mortgage Corp., | ||||||||||
Series 2005-AA, Class A | ||||||||||
5.25% | 02/20/21 | Aaa | 948 | 943,605 | ||||||
WFS Financial Owner Trust, | ||||||||||
Series 2004-4, Class D | ||||||||||
3.58% | 05/17/12 | A2 | 717 | 707,262 | ||||||
43,555,145 | ||||||||||
Automotive — 0.2% | ||||||||||
Auburn Hills Trust, Inc. | ||||||||||
12.375% | 05/01/20 | Baa1 | 640 | 944,922 | ||||||
DaimlerChrysler NA Holding Corp. | ||||||||||
8.50% | 01/18/31 | Baa1 | 231 | 274,990 | ||||||
Equus Cayman Finance Ltd. (Cayman Islands)(k) | ||||||||||
5.50% | 09/12/08 | Baa3 | 410 | 408,831 | ||||||
Hyundai Motor Manufacturing LLC(k) | ||||||||||
5.30% | 12/19/08 | Baa3 | 650 | 645,540 |
SEE NOTES TO FINANCIAL STATEMENTS.
B10
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Automotive (cont’d.) | ||||||||||
Johnson Controls, Inc. | ||||||||||
5.50% | 01/15/16 | Baa1 | $ | 350 | $ | 343,172 | ||||
Oshkosh Truck Corp. Bank Loan(l) | ||||||||||
7.35% | 12/06/13 | Ba3 | 2,000 | 2,001,876 | ||||||
4,619,331 | ||||||||||
Banking — 0.6% | ||||||||||
Banco Bradesco (Cayman Islands) | ||||||||||
8.75% | 10/24/13 | A2 | 550 | 627,000 | ||||||
Bank of America NA | ||||||||||
6.00% | 10/15/36 | Aa2 | 1,300 | 1,338,436 | ||||||
Bank One Corp. | ||||||||||
7.875% | 08/01/10 | A1 | 2,500 | 2,711,778 | ||||||
Barclays Bank PLC(h)(k) | ||||||||||
5.926% | 12/15/49 | Aa3 | 1,830 | 1,853,038 | ||||||
Citigroup, Inc. | ||||||||||
5.625% | 08/27/12 | Aa2 | 1,900 | 1,927,491 | ||||||
6.125% | 08/25/36 | Aa2 | 725 | 754,941 | ||||||
HSBC Bank USA, Senior Notes | ||||||||||
3.875% | 09/15/09 | Aa2 | 250 | 242,396 | ||||||
ICICI Bank Ltd. (Singapore)(k) | ||||||||||
5.75% | 11/16/10 | Baa2 | 1,350 | 1,347,860 | ||||||
J.P. Morgan Chase & Co. | ||||||||||
4.60% | 01/17/11 | Aa3 | 975 | 951,488 | ||||||
6.50% | 01/15/09 | A1 | 1,100 | 1,121,019 | ||||||
J.P. Morgan Chase Capital XVIII, Series R | ||||||||||
6.95% | 08/17/36 | A2 | 690 | 746,355 | ||||||
Mizuho Finance Group Ltd. (Cayman Islands)(k) | ||||||||||
5.79% | 04/15/14 | A2 | 1,060 | 1,066,216 | ||||||
MUFG Capital Finance Group Ltd. (Cayman Islands)(g) | ||||||||||
6.346% | 07/25/49 | Baa2 | 800 | 812,556 | ||||||
Santander Central Hispano Issuances Ltd. (Cayman Islands) | ||||||||||
7.625% | 09/14/10 | A1 | 805 | 869,696 | ||||||
Washington Mutual, Inc. | ||||||||||
5.65% | 08/15/14 | A3 | 270 | 270,374 | ||||||
Wells Fargo Bank | ||||||||||
6.45% | 02/01/11 | Aa1 | 90 | 93,988 | ||||||
16,734,632 | ||||||||||
Brokerage — 0.4% | ||||||||||
Bear Stearns Companies, Inc. (The) | ||||||||||
5.30% | 10/30/15 | A1 | 550 | 542,720 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||||
6.45% | 05/01/36 | A1 | 1,770 | 1,841,531 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||||
6.625% | 01/18/12 | A1 | 1,800 | 1,901,858 | ||||||
Merrill Lynch & Co., Inc. | ||||||||||
4.25% | 02/08/10 | Aa3 | 1,470 | 1,428,412 | ||||||
4.79% | 08/04/10 | Aa3 | 375 | 369,896 | ||||||
5.45% | 07/15/14 | Aa3 | 200 | 201,068 | ||||||
5.77% | 07/25/11(b) | Aa3 | 355 | 362,838 | ||||||
Morgan Stanley Group, Inc. | ||||||||||
4.75% | 04/01/14 | A1 | 1,510 | 1,443,752 | ||||||
5.375% | 10/15/15 | Aa3 | 30 | 29,732 | ||||||
5.75% | 10/18/16 | Aa3 | 1,860 | 1,887,294 | ||||||
10,009,101 | ||||||||||
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Building Materials & Construction — 0.2% | ||||||||||
American Standard, Inc. | ||||||||||
7.625% | 02/15/10 | Baa3 | $ | 1,000 | $ | 1,048,051 | ||||
CRH America, Inc. | ||||||||||
6.00% | 09/30/16 | Baa1 | 660 | 666,201 | ||||||
Hanson PLC (United Kingdom) | ||||||||||
7.875% | 09/27/10 | Baa1 | 1,270 | 1,366,493 | ||||||
Lafarge SA | ||||||||||
6.15% | 07/15/11 | Baa2 | 1,100 | 1,125,906 | ||||||
Owens Corning Inc.(k) | ||||||||||
6.50% | 12/01/16 | Baa3 | 530 | 538,394 | ||||||
Ryland Group, Inc. | ||||||||||
5.375% | 06/01/08 | Baa3 | 575 | 571,149 | ||||||
5,316,194 | ||||||||||
Cable — 0.3% | ||||||||||
AT&T Broadband | ||||||||||
9.455% | 11/15/22 | Baa2 | 115 | 148,918 | ||||||
Comcast Corp. | ||||||||||
6.45% | 03/15/37 | Baa2 | 580 | 580,313 | ||||||
Cox Communications, Inc. | ||||||||||
6.75% | 03/15/11 | Baa3 | 1,195 | 1,249,272 | ||||||
7.875% | 08/15/09 | Baa2 | 1,160 | 1,227,584 | ||||||
CSC Holdings, Inc. | ||||||||||
7.875% | 12/15/07 | B2 | 2,135 | 2,161,688 | ||||||
Tele-Communications, Inc. | ||||||||||
9.875% | 06/15/22 | Baa2 | 1,440 | 1,894,974 | ||||||
7,262,749 | ||||||||||
Capital Goods — 0.5% | ||||||||||
Caterpillar Financial Service Corp. | ||||||||||
5.50% | 03/15/16 | A2 | 780 | 780,431 | ||||||
Caterpillar, Inc. | ||||||||||
7.25% | 09/15/09 | A2 | 1,000 | 1,049,944 | ||||||
Cooper Cameron Corp. | ||||||||||
2.65% | 04/15/07 | Baa1 | 425 | 421,546 | ||||||
Erac USA Finance Co.(k) | ||||||||||
7.35% | 06/15/08 | Baa1 | 2,450 | 2,511,326 | ||||||
FedEx Corp. | ||||||||||
2.65% | 04/01/07 | Baa2 | 2,100 | 2,085,737 | ||||||
7.25% | 02/15/11 | Baa2 | 480 | 511,419 | ||||||
Honeywell International, Inc. | ||||||||||
6.125% | 11/01/11 | A2 | 1,120 | 1,160,232 | ||||||
Stena AB, Sr. Notes (Sweden) | ||||||||||
7.50% | 11/01/13 | Ba3 | 1,120 | 1,106,000 | ||||||
Tyco International Group SA (Luxembourg) | ||||||||||
6.00% | 11/15/13 | Baa3 | 1,530 | 1,583,051 | ||||||
United Technologies Corp.(f) | ||||||||||
6.35% | 03/01/11 | A2 | 810 | 842,215 | ||||||
8.875% | 11/15/19 | A2 | 640 | 829,757 | ||||||
Waste Management, Inc. | ||||||||||
7.75% | 05/15/32 | Baa3 | 240 | 283,070 | ||||||
13,164,728 | ||||||||||
Chemicals — 0.2% | ||||||||||
Dow Chemical Co. | ||||||||||
5.97% | 01/15/09 | A3 | 430 | 434,767 | ||||||
6.125% | 02/01/11 | A3 | 690 | 709,313 |
SEE NOTES TO FINANCIAL STATEMENTS.
B11
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Chemicals (cont’d.) | ||||||||||
Huntsman International LLC | ||||||||||
9.875% | 03/01/09 | B2 | $ | 1,344 | $ | 1,384,319 | ||||
ICI Wilmington, Inc. | ||||||||||
5.625% | 12/01/13 | Baa3 | 780 | 770,162 | ||||||
Lubrizol Corp. | ||||||||||
4.625% | 10/01/09 | Baa3 | 1,090 | 1,069,226 | ||||||
Monsanto Co., Series 1 | ||||||||||
5.50% | 07/30/35 | Baa1 | 635 | 598,425 | ||||||
Union Carbide Corp. | ||||||||||
7.50% | 06/01/25 | Ba2 | 500 | 531,766 | ||||||
5,497,978 | ||||||||||
Collateralized Mortgage Obligations — 0.5% | ||||||||||
Bank of America Alternative Loan Trust, | ||||||||||
Series 2005-12, Class 3CB1 | ||||||||||
6.00% | 01/25/36 | Aaa | 4,460 | 4,462,160 | ||||||
Bank of America Mortgage Securities, Inc.,(h) | ||||||||||
Series 2005-A, Class 2A1 | ||||||||||
4.46% | 02/25/35 | Aaa | 1,462 | 1,427,678 | ||||||
Series 2005-B, Class 2A1 | ||||||||||
4.39% | 03/25/35 | Aaa | 1,411 | 1,375,813 | ||||||
Countrywide Alternative Loan Trust, Pass-Thru Certificates, | ||||||||||
Series 2004-18CB, Class 3A1 | ||||||||||
5.25% | 09/25/19 | Aaa | 2,349 | 2,276,715 | ||||||
Master Alternative Loans Trust, Pass-Thru Certificates, | ||||||||||
Series 2004-4, Class 4A1 | ||||||||||
5.00% | 04/25/19 | Aaa | 599 | 584,894 | ||||||
Structured Adjustable Rate Mortgage Loan, | ||||||||||
Series 2004-1, Class 4A3(h) | ||||||||||
4.17% | 02/25/34 | Aaa | 1,487 | 1,471,978 | ||||||
Washington Mutual Alternative Loan Trust, | ||||||||||
Mortgage Pass-Thru Certificates, | ||||||||||
Series 2005-1, Class 3A | ||||||||||
5.00% | 03/25/20 | AAA(d) | 1,301 | 1,284,232 | ||||||
Washington Mutual, Inc., | ||||||||||
Series 2002-AR15, Class A-5(h) | ||||||||||
4.38% | 12/25/32 | Aaa | 730 | 722,417 | ||||||
13,605,887 | ||||||||||
Commercial Mortgage Backed Securities — 3.8% | ||||||||||
Bank of America Commercial Mortgage, Inc., | ||||||||||
Series 2003-2, Class A3 | ||||||||||
4.873% | 03/11/41 | AAA(d) | 3,350 | 3,293,586 | ||||||
Series 2004-2, Class A4 | ||||||||||
4.153% | 11/10/38 | Aaa | 3,680 | 3,526,411 | ||||||
Series 2004-3, Class A4 | ||||||||||
5.176% | 06/10/39 | Aaa | 2,000 | 1,992,620 | ||||||
Series 2005-1, Class ASB(h) | ||||||||||
4.864% | 11/10/42 | AAA(d) | 1,100 | 1,091,526 | ||||||
Series 2006-2 A4 | ||||||||||
5.741% | 05/10/45 | AAA(d) | 4,400 | 4,549,819 | ||||||
Bear Stearns Commercial Mortgage Securities,(h) | ||||||||||
Series 2004-T16, Class A6 | ||||||||||
4.75% | 02/13/46 | AAA(d) | 3,500 | 3,377,616 | ||||||
Series 2005-T18, Class AAB | ||||||||||
4.823% | 02/13/42 | Aaa | 2,250 | 2,194,669 | ||||||
Series 2005-T20, Class AAB | ||||||||||
5.1394% | 10/12/42 | Aaa | 3,000 | 2,988,393 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Commercial Mortgage Backed Securities (cont’d.) | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C4, Class A3(h) | ||||||||||
5.72% | 03/15/49 | Aaa | $ | 2,190 | $ | 2,260,899 | ||||
Commercial Mortgage Pass-Thru Certificate, | ||||||||||
Series 2004-LB2A, Class X2, I/O(h)(k) | ||||||||||
0.98% | 03/10/39 | AAA(d) | 16,642 | 451,745 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||
Series 2004-C4, Class A4 | ||||||||||
4.283% | 10/15/39 | Aaa | 1,500 | 1,439,759 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||||
Series 2006-C1, Class A4(h) | ||||||||||
5.557% | 02/15/39 | AAA(d) | 4,330 | 4,399,573 | ||||||
Series 2006-C4, Class A3 | ||||||||||
5.467% | 09/15/39 | Aaa | 5,000 | 5,038,481 | ||||||
DLJ Commercial Mortgage Corp., | ||||||||||
Series 2000-CF1, Class A1B | ||||||||||
7.62% | 06/10/33 | AAA(d) | 3,199 | 3,402,378 | ||||||
GE Commercial Mortgage Corp., | ||||||||||
Series 2004-C2, Class X2, I/O(h)(k) | ||||||||||
0.597% | 03/10/40 | Aaa | 30,083 | 588,411 | ||||||
Greenwich Capital Commercial Funding Corp., | ||||||||||
Series 2003-C1, Class A-4 | ||||||||||
4.111% | 07/05/35 | Aaa | 5,000 | 4,698,361 | ||||||
Series 2003-C2, Class A3 | ||||||||||
4.533% | 01/05/36 | Aaa | 3,570 | 3,477,628 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||||
Series 2000-C10, Class A2 | ||||||||||
7.371% | 08/15/32 | Aaa | 6,119 | 6,428,773 | ||||||
Series 2005-CB13, Class A4(h) | ||||||||||
5.2943% | 01/12/43 | Aaa | 2,800 | 2,802,537 | ||||||
Series 2005-LDP5, Class A4(h) | ||||||||||
5.1793% | 12/15/44 | Aaa | 3,630 | 3,616,751 | ||||||
Series 2006-CB16, Class ASB | ||||||||||
5.523% | 05/12/45 | Aaa | 2,000 | 2,020,997 | ||||||
Series 2006-LDP6, Class X2 I/O(h) | ||||||||||
0.088% | 04/15/43 | Aaa | 164,744 | 949,735 | ||||||
Series 2005-LDP2, Class ASB | ||||||||||
4.659% | 07/15/42 | Aaa | 6,380 | 6,185,629 | ||||||
Series 2006-LDP8, Class ASB | ||||||||||
5.37% | 05/15/45 | Aaa | 2,000 | 2,001,016 | ||||||
Series 2006-CB17, Class A4 | ||||||||||
5.429% | 12/12/43 | Aaa | 5,100 | 5,125,865 | ||||||
Keycorp., | ||||||||||
Series 2000-C1, Class A2 | ||||||||||
7.727% | 05/17/32 | Aaa | 10,690 | 11,313,134 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2003-C8, Class A3 | ||||||||||
4.83% | 11/15/27 | Aaa | 2,720 | 2,672,250 | ||||||
Series 2004-C6, Class A5(h) | ||||||||||
4.826% | 08/15/29 | AAA(d) | 5,000 | 4,893,417 | ||||||
Series 2005-C3, Class A5 | ||||||||||
4.739% | 07/15/30 | Aaa | 695 | 668,115 | ||||||
Series 2006-C3, Class A4(h) | ||||||||||
5.661% | 03/15/39 | Aaa | 4,950 | 5,069,015 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Series 2004-Key 2, Class A3 | ||||||||||
4.615% | 08/12/39 | Aaa | 1,900 | 1,838,915 |
SEE NOTES TO FINANCIAL STATEMENTS.
B12
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Commercial Mortgage Backed Securities (cont’d.) | ||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||||
Series 2006-2, Class A4(h) | ||||||||||
5.9098% | 06/12/46 | Aaa | $ | 2,210 | $ | 2,309,570 | ||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2002-C2, Class A4 | ||||||||||
4.98% | 11/15/34 | Aaa | 1,700 | 1,676,493 | ||||||
108,344,087 | ||||||||||
Consumer — 0.1% | ||||||||||
Realogy Corp.(k) | ||||||||||
6.15% | 10/15/11 | Baa2 | 950 | 970,766 | ||||||
Western Union Telegram Co.(k) | ||||||||||
5.93% | 10/01/16 | A3 | 565 | 559,590 | ||||||
Whirlpool Corp. | ||||||||||
6.125% | 06/15/11 | Baa2 | 1,045 | 1,063,829 | ||||||
2,594,185 | ||||||||||
Electric — 0.9% | ||||||||||
Appalachian Power Co. | ||||||||||
4.40% | 06/01/10 | Baa2 | 790 | 763,213 | ||||||
Arizona Public Services Co. | ||||||||||
6.25% | 08/01/16 | Baa2 | 1,490 | 1,524,583 | ||||||
Baltimore Gas & Electric(k) | ||||||||||
6.35% | 10/01/36 | Baa2 | 530 | 541,036 | ||||||
Boston Edison Co. | ||||||||||
4.875% | 04/15/14 | A1 | 730 | 708,922 | ||||||
Carolina Power & Light Co. | ||||||||||
5.25% | 12/15/15 | A3 | 660 | 648,991 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||||
5.70% | 03/15/13 | Baa2 | 1,070 | 1,077,772 | ||||||
6.95% | 03/15/33 | Baa2 | 300 | 332,471 | ||||||
Consolidated Edison, Inc. | ||||||||||
5.375% | 12/15/15 | A1 | 820 | 814,632 | ||||||
Consumers Energy Co., First Mortgage Bonds, Series D | ||||||||||
5.375% | 04/15/13 | Baa2 | 435 | 430,790 | ||||||
Dominion Resources, Inc. | ||||||||||
5.125% | 12/15/09 | Baa2 | 1,255 | 1,246,989 | ||||||
Duke Capital LLC | ||||||||||
6.25% | 02/15/13 | Baa2 | 205 | 211,220 | ||||||
8.00% | 10/01/19 | Baa2 | 140 | 162,758 | ||||||
El Paso Electric Co. | ||||||||||
6.00% | 05/15/35 | Baa3 | 845 | 809,999 | ||||||
Empresa Nacional de Electricidad S.A. (Chile) | ||||||||||
8.50% | 04/01/09 | Baa3 | 1,350 | 1,433,336 | ||||||
8.625% | 08/01/15 | Baa3 | 310 | 364,851 | ||||||
Energy East Corp. | ||||||||||
6.75% | 09/15/33 | Baa2 | 805 | 845,516 | ||||||
Exelon Corp. | ||||||||||
4.90% | 06/15/15 | Baa2 | 195 | 183,928 | ||||||
FirstEnergy Corp. | ||||||||||
7.375% | 11/15/31 | Baa3 | 720 | 819,962 | ||||||
Florida Power & Light Co. | ||||||||||
5.95% | 10/01/33 | Aa3 | 380 | 390,538 | ||||||
Indiana Michigan Power Co. | ||||||||||
5.05% | 11/15/14 | Baa2 | 575 | 549,508 | ||||||
Nevada Power Co. | ||||||||||
6.50% | 05/15/18 | Ba1 | 1,180 | 1,223,259 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Electric (cont’d.) | ||||||||||
NiSource Finance Corp. | ||||||||||
5.45% | 09/15/20 | Baa3 | $ | 500 | $ | 465,674 | ||||
Ohio Edison Co. | ||||||||||
6.40% | 07/15/16 | Baa2 | 730 | 762,896 | ||||||
6.875% | 07/15/36 | Baa2 | 135 | 146,980 | ||||||
Oncor Electric Delivery Co. | ||||||||||
6.375% | 01/15/15 | Baa2 | 465 | 479,311 | ||||||
7.00% | 09/01/22 | Baa2 | 545 | 586,233 | ||||||
7.25% | 01/15/33 | Baa2 | 240 | 270,486 | ||||||
Pacific Gas & Electric Co. | ||||||||||
6.05% | 03/01/34 | Baa1 | 1,610 | 1,623,805 | ||||||
Pepco Holdings, Inc. | ||||||||||
5.50% | 08/15/07 | Baa3 | 735 | 734,411 | ||||||
PPL Electric Utilities Corp. | ||||||||||
6.25% | 08/15/09 | A3 | 1,900 | 1,943,762 | ||||||
Southern California Edison Co. | ||||||||||
4.65% | 04/01/15 | A2 | 610 | 576,434 | ||||||
5.625% | 02/01/36 | A2 | 340 | 329,122 | ||||||
Xcel Energy, Inc. | ||||||||||
3.40% | 07/01/08 | Baa1 | 785 | 762,018 | ||||||
6.50% | 07/01/36 | Baa1 | 445 | 470,163 | ||||||
7.00% | 12/01/10 | Baa1 | 250 | 263,683 | ||||||
24,499,252 | ||||||||||
Energy – Integrated — 0.2% | ||||||||||
Conoco, Inc. | ||||||||||
6.95% | 04/15/29 | A1 | 270 | 306,687 | ||||||
ConocoPhillips Canada Funding Co. (Canada) | ||||||||||
5.625% | 10/15/16 | A1 | 1,595 | 1,602,583 | ||||||
Phillips Petroleum Co. | ||||||||||
8.75% | 05/25/10 | A1 | 1,900 | 2,105,349 | ||||||
TNK-BP Finance(k) | ||||||||||
7.50% | 07/18/16 | Baa2 | 490 | 521,238 | ||||||
4,535,857 | ||||||||||
Energy – Other — 0.2% | ||||||||||
Anadarko Finance (Canada) | ||||||||||
7.50% | 05/01/31 | Baa2 | 5 | 5,673 | ||||||
Anadarko Petroleum Corp. | ||||||||||
5.95% | 09/15/16 | Baa2 | 870 | 871,821 | ||||||
6.45% | 09/15/36 | Baa2 | 450 | 454,723 | ||||||
Devon Energy Corp. | ||||||||||
7.875% | 09/30/31 | Baa2 | 280 | 336,875 | ||||||
Encana Corp. (Canada) | ||||||||||
6.50% | 08/15/34 | Baa2 | 255 | 262,801 | ||||||
Halliburton Co. | ||||||||||
5.50% | 10/15/10 | Baa1 | 200 | 199,645 | ||||||
Talisman Energy, Inc. (Canada) | ||||||||||
5.125% | 05/15/15 | Baa2 | 185 | 175,419 | ||||||
6.25% | 02/01/38 | Baa2 | 510 | 492,054 | ||||||
Valero Energy Corp. | ||||||||||
7.50% | 04/15/32 | Baa3 | 185 | 211,067 | ||||||
Weatherford International, Inc. | ||||||||||
6.50% | 08/01/36 | Baa1 | 575 | 577,225 | ||||||
Woodside Finance Ltd. (Australia)(k) | ||||||||||
5.00% | 11/15/13 | Baa1 | 1,660 | 1,602,667 | ||||||
XTO Energy, Inc. | ||||||||||
5.65% | 04/01/16 | Baa2 | 335 | 331,175 | ||||||
5,521,145 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B13
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Foods — 0.5% | ||||||||||
Archer-Daniels-Midland Co. | ||||||||||
8.125% | 06/01/12 | A2 | $ | 195 | $ | 219,704 | ||||
Bottling Group LLC | ||||||||||
5.50% | 04/01/16 | A3 | 415 | 413,477 | ||||||
Bunge Ltd. Finance Corp.(b) | ||||||||||
5.35% | 04/15/14 | Baa2 | 1,000 | 961,109 | ||||||
Cadbury Schweppes American Finance, Inc.(k) | ||||||||||
3.875% | 10/01/08 | Baa2 | 1,050 | 1,022,574 | ||||||
ConAgra Foods, Inc. | ||||||||||
7.125% | 10/01/26 | Baa2 | 290 | 318,165 | ||||||
7.875% | 09/15/10 | Baa2 | 585 | 633,074 | ||||||
General Mills, Inc. | ||||||||||
5.125% | 02/15/07 | Baa1 | 500 | 499,642 | ||||||
HJ Heinz Co.(k) | ||||||||||
6.428% | 12/01/08 | Baa2 | 1,620 | 1,648,900 | ||||||
Kellogg Co. | ||||||||||
6.60% | 04/01/11 | A3 | 1,285 | 1,347,581 | ||||||
Kraft Foods, Inc. | ||||||||||
5.25% | 06/01/07 | A3 | 400 | 399,687 | ||||||
5.625% | 11/01/11 | A3 | 965 | 975,257 | ||||||
Kroger Co. (The) | ||||||||||
6.75% | 04/15/12 | Baa2 | 310 | 325,288 | ||||||
6.80% | 04/01/11 | Baa2 | 575 | 601,769 | ||||||
7.00% | 05/01/18 | Baa2 | 530 | 560,092 | ||||||
Tricon Global Restaurants, Inc. | ||||||||||
8.875% | 04/15/11 | Baa2 | 235 | 263,616 | ||||||
Tyson Foods, Inc. | ||||||||||
6.85% | 04/01/16 | Ba1 | 785 | 806,056 | ||||||
Whitman Corp. | ||||||||||
6.375% | 05/01/09 | Baa1 | 1,645 | 1,673,555 | ||||||
12,669,546 | ||||||||||
Foreign Government Bonds — 0.2% | ||||||||||
Export-Import Bank of Korea (The) (South Korea)(k) | ||||||||||
4.125% | 02/10/09 | Aa3 | 1,120 | 1,093,634 | ||||||
Korea Development Bank (South Korea) | ||||||||||
4.75% | 07/20/09 | A3 | 1,530 | 1,510,411 | ||||||
Pemex Project Funding Master Trust | ||||||||||
5.75% | 12/15/15 | Baa1 | 1,610 | 1,598,730 | ||||||
8.625% | 12/01/23 | Baa1 | 350 | 430,938 | ||||||
Petrobras International Finance Co. (PIFCO) | ||||||||||
8.375% | 12/10/18 | Baa2 | 900 | 1,073,250 | ||||||
5,706,963 | ||||||||||
Gaming — 0.1% | ||||||||||
Harrah’s Operating Co., Inc. | ||||||||||
5.50% | 07/01/10 | Baa3 | 970 | 950,746 | ||||||
7.125% | 06/01/07 | Baa3 | 365 | 366,712 | ||||||
Mandalay Resort Group | ||||||||||
9.375% | 02/15/10 | B1 | 12 | 12,840 | ||||||
Station Casinos | ||||||||||
6.625% | 03/15/18 | Ba3 | 1,800 | 1,543,500 | ||||||
2,873,798 | ||||||||||
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Health Care & Pharmaceutical — 0.7% | ||||||||||
Abbott Laboratories | ||||||||||
5.875% | 05/15/16 | A1 | $ | 2,015 | $ | 2,075,512 | ||||
Amerisourceberger Corp. Series WI | ||||||||||
5.625% | 09/15/12 | Ba1 | 915 | 899,513 | ||||||
Baxter International, Inc. | ||||||||||
5.196% | 02/16/08 | Baa1 | 1,085 | 1,082,268 | ||||||
Boston Scientific | ||||||||||
6.40% | 06/15/16 | Baa3 | 2,135 | 2,160,528 | ||||||
Cardinal Health, Inc. | ||||||||||
5.85% | 12/15/17 | Baa3 | 1,475 | 1,466,709 | ||||||
Genentech, Inc. | ||||||||||
4.75% | 07/15/15 | A1 | 270 | 258,480 | ||||||
HCA, Inc. | ||||||||||
6.25% | 02/15/13 | Caa1 | 33 | 29,205 | ||||||
HCA, Inc., Bank Loan(l) | ||||||||||
8.1137% | 11/14/13 | Ba3 | 2,000 | 2,021,924 | ||||||
Laboratory Corp. of America Holdings | ||||||||||
5.625% | 12/15/15 | Baa3 | 925 | 909,365 | ||||||
Merck & Co., Inc. | ||||||||||
5.75% | 11/15/36 | Aa3 | 900 | 890,332 | ||||||
5.95% | 12/01/28 | Aa3 | 205 | 206,994 | ||||||
Schering-Plough Corp. | ||||||||||
5.55% | 12/01/13 | Baa1 | 1,860 | 1,865,388 | ||||||
Teva Pharmaceutical Finance LLC (Israel) | ||||||||||
6.15% | 02/01/36 | Baa2 | 1,400 | 1,360,276 | ||||||
Ventas Realty LP, Sr. Notes | ||||||||||
6.625% | 10/15/14 | Ba2 | 2,620 | 2,678,950 | ||||||
Wyeth | ||||||||||
5.50% | 03/15/13-02/01/14 | A3 | 1,125 | 1,131,998 | ||||||
6.45% | 02/01/24 | A3 | 60 | 64,188 | ||||||
19,101,630 | ||||||||||
Healthcare Insurance — 0.3% | ||||||||||
Aetna, Inc. | ||||||||||
5.75% | 06/15/11 | A3 | 430 | 436,546 | ||||||
6.625% | 06/15/36 | A3 | 575 | 614,884 | ||||||
Coventry Health Care, Inc. | ||||||||||
6.125% | 01/15/15 | Ba1 | 1,070 | 1,054,486 | ||||||
UnitedHealth Group, Inc. | ||||||||||
5.25% | 03/15/11 | A3 | 1,470 | 1,464,963 | ||||||
5.375% | 03/15/16 | A3 | 695 | 688,240 | ||||||
Wellpoint, Inc. | ||||||||||
3.50% | 09/01/07 | Baa1 | 1,970 | 1,943,394 | ||||||
5.00% | 12/15/14 | Baa1 | 1,085 | 1,050,443 | ||||||
5.25% | 01/15/16 | Baa1 | 335 | 328,395 | ||||||
5.95% | 12/15/34 | Baa1 | 210 | 206,620 | ||||||
7,787,971 | ||||||||||
Insurance — 0.3% | ||||||||||
Allstate Corp. (The) | ||||||||||
5.55% | 05/09/35 | A1 | 170 | 163,487 | ||||||
5.95% | 04/01/36 | A1 | 635 | 645,774 | ||||||
American International Group, Inc. | ||||||||||
4.25% | 05/15/13 | Aa2 | 1,355 | 1,270,541 | ||||||
5.05% | 10/01/15 | Aa2 | 125 | 121,547 | ||||||
5.60% | 10/18/16 | Aa2 | 800 | 807,441 |
SEE NOTES TO FINANCIAL STATEMENTS.
B14
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Insurance (cont’d.) | ||||||||||
AXA SA (France)(c) | ||||||||||
8.60% | 12/15/30 | A3 | $ | 230 | $ | 298,209 | ||||
Berkshire Hathaway, Inc. | ||||||||||
4.75% | 05/15/12 | Aaa | 945 | 926,180 | ||||||
Liberty Mutual Group(k) | ||||||||||
7.00% | 03/15/34 | Baa3 | 910 | 936,884 | ||||||
Marsh & Mclennan Cos., Inc. | ||||||||||
5.15% | 09/15/10 | Baa2 | 335 | 329,124 | ||||||
5.75% | 09/15/15 | Baa2 | 120 | 118,057 | ||||||
MetLife, Inc. | ||||||||||
5.70% | 06/15/35 | A2 | 1,185 | 1,158,024 | ||||||
6.125% | 12/01/11 | A2 | 435 | 449,681 | ||||||
6.375% | 06/15/34 | A2 | 85 | 90,768 | ||||||
St. Paul Travelers | ||||||||||
6.75% | 06/20/36 | A3 | 740 | 817,941 | ||||||
W.R. Berkley Corp. | ||||||||||
5.60% | 05/15/15 | Baa2 | 705 | 692,504 | ||||||
6.15% | 08/15/19 | Baa2 | 575 | 572,143 | ||||||
XL Capital Ltd. (Cayman Islands) | ||||||||||
5.25% | 09/15/14 | A3 | 110 | 107,802 | ||||||
9,506,107 | ||||||||||
Lodging | ||||||||||
P&O Princess (United Kingdom) | ||||||||||
7.30% | 06/01/07 | A3 | 345 | 347,421 | ||||||
Media & Entertainment — 0.3% | ||||||||||
CBS Corp. | ||||||||||
7.875% | 07/30/30 | Baa3 | 345 | 361,536 | ||||||
Chancellor Media Corp. | ||||||||||
8.00% | 11/01/08 | Baa3 | 745 | 774,546 | ||||||
Idearc, Inc. Bank Loan(l) | ||||||||||
7.3762% | 11/09/14 | Ba2 | 1,500 | 1,507,500 | ||||||
Knight Ridder, Inc. | ||||||||||
6.875% | 03/15/29 | Ba1 | 80 | 75,860 | ||||||
News America Holdings, Inc. | ||||||||||
7.625% | 11/30/28 | Baa2 | 1,360 | 1,525,046 | ||||||
Time Warner, Inc. | ||||||||||
6.50% | 11/15/36 | Baa2 | 155 | 154,275 | ||||||
6.75% | 04/15/11 | Baa2 | 725 | 758,936 | ||||||
7.25% | 10/15/17 | Baa2 | 745 | 813,826 | ||||||
9.15% | 02/01/23 | Baa2 | 625 | 773,179 | ||||||
Viacom, Inc. | ||||||||||
6.25% | 04/30/16 | Baa3 | 710 | 705,082 | ||||||
6.875% | 04/30/36 | Baa3 | 740 | 731,622 | ||||||
Walt Disney Co. (The) | ||||||||||
5.375% | 06/01/07 | A3 | 300 | 300,201 | ||||||
8,481,609 | ||||||||||
Metals — 0.2% | ||||||||||
Alcan, Inc. (Canada) | ||||||||||
4.50% | 05/15/13 | Baa1 | 255 | 240,042 | ||||||
5.00% | 06/01/15 | Baa1 | 755 | 718,105 | ||||||
Peabody Energy Corp. | ||||||||||
7.375% | 11/01/16 | Ba1 | 1,150 | 1,224,750 | ||||||
Southern Copper Corp. | ||||||||||
7.50% | 07/27/35 | Baa2 | 1,090 | 1,181,873 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Metals (cont’d.) | ||||||||||
Vale Overseas Ltd. (Cayman Islands) | ||||||||||
6.875% | 11/21/36 | Baa3 | $ | 660 | $ | 676,926 | ||||
8.25% | 01/17/34 | Baa3 | 250 | 296,136 | ||||||
4,337,832 | ||||||||||
Municipals | ||||||||||
Illinois State Taxable Pension, G.O. | ||||||||||
5.10% | 06/01/33 | Aa3 | 1,060 | 1,014,653 | ||||||
Non Captive Finance — 0.3% | ||||||||||
Capital One Bank(g) | ||||||||||
6.50% | 06/13/13 | A3 | 10 | 10,541 | ||||||
Capital One Financial Co. | ||||||||||
5.70% | 09/15/11 | A3 | 570 | 578,449 | ||||||
6.15% | 09/01/16 | Baa1 | 80 | 82,737 | ||||||
Capital One Financial Corp. | ||||||||||
5.50% | 06/01/15 | A3 | 275 | 274,811 | ||||||
CIT Group, Inc. | ||||||||||
4.25% | 02/01/10 | A2 | 480 | 464,888 | ||||||
5.50% | 11/30/07 | A2 | 1,285 | 1,287,831 | ||||||
General Electric Capital Corp., MTN | ||||||||||
6.75% | 03/15/32 | Aaa | 1,785 | 2,044,322 | ||||||
Household Finance Corp. | ||||||||||
4.75% | 05/15/09 | Aa3 | 370 | 365,997 | ||||||
HSBC Finance Corp. | ||||||||||
5.70% | 06/01/11 | Aa3 | 585 | 595,109 | ||||||
International Lease Finance Corp. | ||||||||||
3.50% | 04/01/09 | A1 | 750 | 721,442 | ||||||
Residential Capital Corp. | ||||||||||
6.00% | 02/22/11 | Baa3 | 1,540 | 1,537,086 | ||||||
6.375% | 06/30/10 | Baa3 | 610 | 617,099 | ||||||
8,580,312 | ||||||||||
Packaging — 0.1% | ||||||||||
Ball Corp. | ||||||||||
6.625% | 03/15/18 | Ba1 | 1,900 | 1,890,500 | ||||||
Paper | ||||||||||
Plum Creek Timberlands | ||||||||||
5.875% | 11/15/15 | Baa3 | 745 | 732,090 | ||||||
Weyerhaeuser Co. | ||||||||||
7.375% | 03/15/32 | Baa2 | 425 | 443,626 | ||||||
1,175,716 | ||||||||||
Pipelines & Other — 0.3% | ||||||||||
Atmos Energy Corp. | ||||||||||
4.00% | 10/15/09 | Baa3 | 1,815 | 1,746,030 | ||||||
Duke Energy Field Services Corp. | ||||||||||
7.875% | 08/16/10 | Baa2 | 1,830 | 1,968,423 | ||||||
Enterprise Products Operating LP | ||||||||||
4.00% | 10/15/07 | Baa3 | 1,000 | 987,767 | ||||||
4.625% | 10/15/09 | Baa3 | 710 | 695,150 | ||||||
6.875% | 03/01/33 | Baa3 | 140 | 146,183 | ||||||
Kinder Morgan Finance (Canada) | ||||||||||
5.70% | 01/05/16 | Baa2 | 650 | 596,387 | ||||||
Oneok, Inc. | ||||||||||
5.51% | 02/16/08 | Baa2 | 1,630 | 1,628,843 | ||||||
Oneok Partners LP | ||||||||||
6.65% | 10/01/36 | Baa2 | 580 | 593,243 |
SEE NOTES TO FINANCIAL STATEMENTS.
B15
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Pipelines & Other (cont’d.) | ||||||||||
Sempra Energy | ||||||||||
4.621% | 05/17/07 | Baa1 | $ | 790 | $ | 786,986 | ||||
6.00% | 02/01/13 | Baa1 | 80 | 81,591 | ||||||
9,230,603 | ||||||||||
Railroads — 0.2% | ||||||||||
Burlington Northern Santa Fe Corp. | ||||||||||
6.70% | 08/01/28 | Baa1 | 735 | 799,568 | ||||||
Norfolk Southern Corp. | ||||||||||
5.64% | 05/17/29 | Baa1 | 571 | 551,695 | ||||||
7.80% | 05/15/27 | Baa1 | 24 | 29,349 | ||||||
Union Pacific Corp. | ||||||||||
3.625% | 06/01/10 | Baa2 | 1,395 | 1,316,323 | ||||||
6.625% | 02/01/08 | Baa2 | 1,755 | 1,775,377 | ||||||
6.65% | 01/15/11 | Baa2 | 760 | 794,300 | ||||||
5,266,612 | ||||||||||
Real Estate Investments Trusts — 0.2% | ||||||||||
Brandywine Operating Partnership LP | ||||||||||
5.75% | 04/01/12 | Baa3 | 1,405 | 1,414,645 | ||||||
ERP Operating LP | ||||||||||
5.125% | 03/15/16 | Baa1 | 430 | 417,606 | ||||||
Mack-Cali Realty Corp. | ||||||||||
7.25% | 03/15/09 | Baa2 | 1,595 | 1,647,109 | ||||||
Post Apartment Homes LP | ||||||||||
5.45% | 06/01/12 | Baa3 | 545 | 533,835 | ||||||
6.30% | 06/01/13 | Baa3 | 650 | 666,449 | ||||||
Simon Property Group LP | ||||||||||
5.75% | 05/01/12 | A3 | 1,625 | 1,641,658 | ||||||
6,321,302 | ||||||||||
Retailers — 0.1% | ||||||||||
Federated Retail Holding, Inc. | ||||||||||
5.90% | 12/01/16 | Baa1 | 370 | 369,425 | ||||||
Gap, Inc. (The) | ||||||||||
6.90% | 09/15/07 | Baa3 | 1,550 | 1,560,732 | ||||||
Home Depot, Inc. | ||||||||||
5.40% | 03/01/16 | Aa3 | 10 | 9,780 | ||||||
5.875% | 12/16/36 | Aa3 | 680 | 667,300 | ||||||
May Department Stores Co. | ||||||||||
6.65% | 07/15/24 | Baa1 | 730 | 723,278 | ||||||
Wal-Mart Stores, Inc. | ||||||||||
5.25% | 09/01/35 | Aa2 | 235 | 215,800 | ||||||
3,546,315 | ||||||||||
Sovereign — 0.3% | ||||||||||
Republic of Malaysia (Malaysia) | ||||||||||
7.50% | 07/15/11 | A3 | 375 | 408,069 | ||||||
Republic of South Africa (South Africa) | ||||||||||
6.50% | 06/02/14 | Baa1 | 520 | 546,650 | ||||||
Russian Federation(k) | ||||||||||
11.00% | 07/24/18 | Baa2 | 735 | 1,064,831 | ||||||
United Mexican States (Mexico) | ||||||||||
5.625% | 01/15/17(b) | Baa1 | 1,242 | 1,243,242 | ||||||
6.75% | 09/27/34 | Baa1 | 1,030 | 1,112,400 | ||||||
7.50% | 01/14/12(b) | Baa1 | 1,630 | 1,786,480 | ||||||
8.125% | 12/30/19 | Baa1 | 951 | 1,155,465 | ||||||
7,317,137 | ||||||||||
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Structured Notes — 0.1% | ||||||||||
TRAINS, Series HY-1 2006(b)(k) | ||||||||||
7.548% | 05/01/16 | B1 | $ | 3,168 | $ | 3,232,881 | ||||
Technology — 0.4% | ||||||||||
Electronic Data Systems Corp. | ||||||||||
7.45% | 10/15/29 | Ba1 | 120 | 131,315 | ||||||
Equifax, Inc. | ||||||||||
4.95% | 11/01/07 | Baa1 | 475 | 471,701 | ||||||
Freescale Semiconductor, Inc.(k) | ||||||||||
8.875% | 12/15/14 | B1 | 1,100 | 1,095,875 | ||||||
International Business Machines Corp. | ||||||||||
5.875% | 11/29/32 | A1 | 575 | 586,928 | ||||||
Jabil Circuit, Inc. | ||||||||||
5.875% | 07/15/10 | Baa3 | 1,800 | 1,787,263 | ||||||
Motorola, Inc. | ||||||||||
4.608% | 11/16/07 | Baa1 | 1,220 | 1,211,833 | ||||||
8.00% | 11/01/11 | Baa1 | 128 | 141,640 | ||||||
NXP Funding LLC(k) | ||||||||||
7.875% | 10/15/14 | Ba2 | 2,000 | 2,067,501 | ||||||
Oracle Corp. | ||||||||||
5.00% | 01/15/11 | A3 | 1,080 | 1,069,129 | ||||||
Xerox Corp. | ||||||||||
6.40% | 03/15/16 | Baa3 | 1,195 | 1,220,394 | ||||||
9,783,579 | ||||||||||
Telecommunications — 1.0% | ||||||||||
ALLTEL Ohio LP(k) | ||||||||||
8.00% | 08/15/10 | A2 | 408 | 437,459 | ||||||
America Movil SA de CV (Mexico) | ||||||||||
6.375% | 03/01/35 | A3 | 630 | 614,655 | ||||||
AT&T Corp. | ||||||||||
8.00% | 11/15/31 | A2 | 570 | 707,186 | ||||||
AT&T Wireless Services, Inc. | ||||||||||
8.125% | 05/01/12 | Baa1 | 800 | 900,214 | ||||||
8.75% | 03/01/31 | Baa1 | 705 | 916,193 | ||||||
BellSouth Corp. | ||||||||||
4.20% | 09/15/09 | A2 | 1,365 | 1,326,967 | ||||||
British Telecommunications PLC (United Kingdom) | ||||||||||
7.00% | 05/23/07 | Baa1 | 1,400 | 1,406,416 | ||||||
9.125% | 12/15/30 | Baa1 | 245 | 335,129 | ||||||
Cingular Wireless LLC | ||||||||||
7.125% | 12/15/31 | Baa1 | 535 | 592,648 | ||||||
Deutsche Telekom International Finance BV (Netherlands)(c) | ||||||||||
8.25% | 06/15/30 | A3 | 345 | 424,122 | ||||||
Embarq Corp. | ||||||||||
7.082% | 06/01/16 | Baa3 | 350 | 356,307 | ||||||
7.995% | 06/01/36 | Baa3 | 1,035 | 1,077,048 | ||||||
France Telecom SA (France) | ||||||||||
8.50% | 03/01/31 | A3 | 360 | 472,582 | ||||||
Nextel Communications, Inc. | ||||||||||
5.95% | 03/15/14 | Baa3 | 1,475 | 1,436,379 | ||||||
Royal KPN NV (Netherlands) | ||||||||||
8.00% | 10/01/10 | Baa2 | 645 | 695,945 | ||||||
SBC Communications, Inc. | ||||||||||
4.125% | 09/15/09(b) | A2 | 1,335 | 1,296,624 | ||||||
5.30% | 11/15/10 | A2 | 1,180 | 1,180,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
B16
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Telecommunications (cont’d.) | ||||||||||
Sprint Capital Corp. | ||||||||||
6.875% | 11/15/28 | Baa3 | $ | 265 | $ | 265,267 | ||||
8.75% | 03/15/32 | Baa3 | 220 | 264,794 | ||||||
Sprint Nextel Corp. | ||||||||||
6.00% | 12/01/16 | Baa3 | 1,335 | 1,301,127 | ||||||
Telecom Italia Finance (Luxembourg) | ||||||||||
5.25% | 11/15/13 | Baa2 | 170 | 162,093 | ||||||
6.375% | 11/15/33 | Baa2 | 520 | 491,311 | ||||||
7.20% | 07/18/36 | Baa2 | 1,660 | 1,734,232 | ||||||
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico) | ||||||||||
6.80% | 05/15/09 | Baa1 | 2,220 | 2,266,110 | ||||||
Telefonica Emisiones Sau (Spain) | ||||||||||
6.421% | 06/20/16 | Baa1 | 630 | 649,919 | ||||||
7.045% | 06/20/36 | Baa1 | 1,375 | 1,460,480 | ||||||
TELUS Corp. (Cananda) | ||||||||||
8.00% | 06/01/11 | Baa2 | 1,500 | 1,640,306 | ||||||
US Cellular Corp. | ||||||||||
6.70% | 12/15/33 | Baa3 | 600 | 563,481 | ||||||
Verizon Global Funding Corp. | ||||||||||
5.85% | 09/15/35 | A3 | 380 | 363,944 | ||||||
7.75% | 12/01/30 | A3 | 450 | 527,840 | ||||||
Vodafone Group PLC (United Kingdom) | ||||||||||
7.75% | 02/15/10 | A3 | 950 | 1,012,399 | ||||||
26,879,340 | ||||||||||
Tobacco | ||||||||||
Altria Group, Inc. | ||||||||||
7.65% | 07/01/08 | Baa1 | 765 | 788,691 | ||||||
7.75% | 01/15/27 | Baa1 | 300 | 363,867 | ||||||
1,152,558 | ||||||||||
Mortgage Backed Securities — 11.5% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
4.50% | 02/01/19-07/01/20 | 8,654 | 8,348,158 | |||||||
5.00% | 07/01/18-05/01/34 | 15,566 | 15,234,065 | |||||||
5.00% | TBA 30 YR | 4,000 | 3,858,752 | |||||||
5.242% | 12/01/35(h) | 4,441 | 4,426,445 | |||||||
5.50% | 12/01/33-07/01/34 | 13,104 | 12,975,187 | |||||||
5.50% | TBA 30 YR | 9,000 | 8,898,750 | |||||||
6.00% | 03/01/32-12/01/33 | 3,778 | 3,819,082 | |||||||
6.00% | TBA 30 YR | 14,000 | 14,100,631 | |||||||
6.50% | 12/01/14-09/01/16 | 883 | 901,685 | |||||||
7.00% | 05/01/31-09/01/33 | 6,824 | 7,019,563 | |||||||
Federal National Mortgage Association | ||||||||||
4.00% | 06/01/19 | 2,994 | 2,821,471 | |||||||
4.50% | 11/01/18-01/01/35 | 19,196 | 18,390,936 | |||||||
4.919% | 07/01/33(h) | 1,132 | 1,128,259 | |||||||
5.00% | TBA 15 YR | 2,500 | 2,457,030 | |||||||
5.00% | TBA 30 YR | 7,000 | 6,757,184 | |||||||
5.00% | 10/01/18-03/01/34 | 46,157 | 44,729,014 | |||||||
5.50% | 03/01/16-10/01/35 | 51,023 | 50,538,383 | |||||||
5.50% | TBA 15 YR | 3,500 | 3,498,908 | |||||||
5.50% | TBA 30 YR | 18,000 | 17,786,250 | |||||||
6.00% | 04/01/13-03/01/35 | 29,678 | 29,936,729 | |||||||
6.00% | TBA 30 YR | 13,000 | 13,085,305 | |||||||
6.50% | TBA 30 YR | 5,000 | 5,093,750 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Mortgage Backed Securities (cont’d.) | ||||||||||
6.50% | 07/01/17-11/01/36 | $ | 12,321 | $ | 12,571,235 | |||||
7.00% | 08/01/11-07/01/32 | 1,804 | 1,859,757 | |||||||
7.50% | 05/01/12-05/01/32 | 1,277 | 1,325,721 | |||||||
Government National Mortgage Association | ||||||||||
5.50% | 08/15/33-07/15/35 | 7,387 | 7,358,164 | |||||||
5.50% | TBA 30 YR | 9,500 | 9,452,500 | |||||||
6.00% | 04/15/33-06/20/34 | 3,352 | 3,396,912 | |||||||
6.50% | 10/15/23-06/15/35 | 7,579 | 7,787,973 | |||||||
6.50% | TBA 30 YR | 1,000 | 1,025,625 | |||||||
7.00% | 09/15/31 | 224 | 230,980 | |||||||
8.00% | 01/15/24-04/15/25 | 217 | 229,390 | |||||||
321,043,794 | ||||||||||
U.S. Government Agency Obligations — 3.5% | ||||||||||
Federal Farm Credit Bank | ||||||||||
5.125% | 08/25/16 | 1,140 | 1,153,364 | |||||||
Federal Home Loan Bank | ||||||||||
4.375% | 10/03/08 | 7,925 | 7,828,941 | |||||||
4.75% | 06/11/08-12/16/16 | 7,530 | 7,479,670 | |||||||
4.875% | 11/18/11(b) | 3,950 | 3,934,299 | |||||||
5.00% | 10/16/09 | 10,270 | 10,227,184 | |||||||
5.125% | 08/08/08 | 5,130 | 5,133,468 | |||||||
5.375% | 08/19/11 | 6,930 | 7,048,538 | |||||||
5.60% | 01/03/08 | 18,400 | 18,400,091 | |||||||
Federal Home Loan Mortgage Corp. | ||||||||||
4.75% | 11/03/09 | 645 | 641,482 | |||||||
4.75% | 01/18/11, MTN | 180 | 178,807 | |||||||
5.00% | 12/14/18, MTN | 5,730 | 5,594,955 | |||||||
5.125% | 10/18/16 | 100 | 100,856 | |||||||
5.25% | 07/18/11, MTN(b) | 3,100 | 3,137,101 | |||||||
5.40% | 02/28/11, MTN | 6,040 | 6,036,509 | |||||||
Federal National Mortgage Association | ||||||||||
4.25% | 07/27/07 | 6,485 | 6,448,457 | |||||||
5.00% | 10/15/11, MTN(b) | 3,370 | 3,377,465 | |||||||
5.125% | 04/15/11 | 4,745 | 4,778,932 | |||||||
6.125% | 03/15/12 | 6,010 | 6,328,127 | |||||||
Tennessee Valley Authority, Series B | ||||||||||
5.88% | 04/01/36 | 1,305 | 1,434,862 | |||||||
99,263,108 | ||||||||||
U.S. Treasury Securities — 2.0% | ||||||||||
United States Treasury Bonds | ||||||||||
4.50% | 02/15/36(b) | 2,105 | 2,001,724 | |||||||
8.125% | 05/15/21-08/15/21(c) | 2,395 | 3,190,326 | |||||||
United States Treasury Inflation Index | ||||||||||
0.875% | 04/15/10 | 1,705 | 1,616,471 | |||||||
1.625% | 01/15/15 | 1,168 | 1,099,684 | |||||||
1.875% | 07/15/13-07/15/15 | 2,276 | 2,190,684 | |||||||
2.00% | 01/15/14-01/15/26 | 4,503 | 4,336,070 | |||||||
2.375% | 04/15/11-01/15/25 | 2,621 | 2,609,651 | |||||||
2.50% | 07/15/16 | 989 | 996,948 | |||||||
3.00% | 07/15/12 | 1,342 | 1,380,940 | |||||||
3.375% | 01/15/12-04/15/32 | 705 | 788,278 | |||||||
3.50% | 01/15/11 | 708 | 736,589 | |||||||
3.625% | 01/15/08-04/15/28 | 2,161 | 2,387,439 | |||||||
3.875% | 01/15/09-04/15/29 | 2,128 | 2,464,020 | |||||||
4.25% | 01/15/10 | 720 | 757,408 |
SEE NOTES TO FINANCIAL STATEMENTS.
B17
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
United States Treasury Notes | ||||||||||
3.375% | 09/15/09 | $ | 420 | $ | 405,612 | |||||
4.50% | 11/30/11 | 1,340 | 1,328,066 | |||||||
4.625% | 09/30/08-11/15/16(b) | 12,377 | 12,320,948 | |||||||
4.875% | 05/15/09 | 820 | 821,794 | |||||||
5.00% | 07/31/08 | 120 | 120,197 | |||||||
United States Treasury Strips | ||||||||||
Zero | 02/15/19-11/15/26(b) | 27,630 | 13,882,963 | |||||||
55,435,812 | ||||||||||
TOTAL LONG-TERM BONDS | 909,142,629 | |||||||||
TOTAL LONG-TERM INVESTMENTS | 2,466,388,678 | |||||||||
SHORT-TERM INVESTMENTS — 12.5% | Shares | Value (Note 2) | |||||
Affiliated Mutual Funds — 12.4% | |||||||
Dryden Core Investment Fund —Dryden Short Term Bond Series(j) | 7,845,674 | $ | 78,535,192 | ||||
Dryden Core Investment Fund —Taxable Money Market Series | 468,453,065 | 468,453,065 | |||||
TOTAL AFFILIATED | 546,988,257 | ||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||
U.S. Government Agency Obligations — 0.1% |
| |||||||
United States Treasury Bills (c)(g) |
| |||||||
4.80% | 03/15/07 | $2,900 | 2,872,346 | |||||
TOTAL SHORT-TERM INVESTMENTS | 549,860,603 | |||||||
TOTAL INVESTMENTS — 101.4% | 3,016,249,281 | |||||||
LIABILITIES IN EXCESS OF | (245,669,292 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 2,770,579,989 | ||||||
The following abbreviations are used in portfolio descriptions:
G.O. | General Obligation | |
I/O | Interest Only | |
TBA | Securities purchased on a forward commitment basis | |
MTN | Medium Term Note |
(a) | Non-income producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $196,798,835; cash collateral of $204,591,018 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(c) | Security segregated as collateral for futures contracts. |
(d) | Standard & Poor’s rating. |
(e) | Indicates an affiliated security. |
(f) | Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating. |
(g) | Rate quoted represents yield-to-maturity as of purchase date. |
(h) | Indicates variable rate security. |
(i) | Represents security, or a portion thereof, purchased with cash collateral for securities on loan. |
(j) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and Dryden Core Investment Fund — Short-Term Bond Series. |
(k) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(l) | Indicates a security that has been deemed illiquid. |
SEE NOTES TO FINANCIAL STATEMENTS.
B18
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
(m) | Liabilities in excess of other assets include unrealized appreciation (depreciation) on financial futures, interest rate swaps and credit default swaps as follows: |
Open future contracts outstanding at December 31, 2006:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2006 | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
55 | U.S. Treasury 2 Yr. Notes | Mar. 2007 | $ | 11,257,916 | $ | 11,221,719 | $ | (36,197 | ) | |||||
600 | U.S. Treasury 5 Yr. Notes | Mar. 2007 | 63,600,000 | 63,037,500 | (562,500 | ) | ||||||||
3 | U.S. Treasury 5 Yr. Notes | Mar. 2007 | 319,409 | 315,187 | (4,222 | ) | ||||||||
390 | U.S. Treasury 20 Yr. Bonds | Mar. 2007 | 43,913,121 | 43,460,625 | (452,496 | ) | ||||||||
58 | S&P 500 Index | Mar. 2007 | 20,619,000 | 20,711,800 | 92,800 | |||||||||
86 | S&P 500 Index | Mar. 2007 | 30,668,587 | 30,710,600 | 42,013 | |||||||||
(920,602 | ) | |||||||||||||
Short Positions: | ||||||||||||||
52 | U.S. Treasury 10 Yr. Notes | Mar. 2007 | 5,652,871 | 5,588,375 | 64,496 | |||||||||
$ | (856,106 | ) | ||||||||||||
Interest rate swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional (000) | Fixed Rate | Floating Rate | Unrealized Depreciation | |||||||||
Merrill Lynch Capital Services, Inc.(a) | 11/2/2016 | $ | 5,050 | 5.151 | % | 3 month LIBOR | $ | (16,744 | ) | |||||
(a) | Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Underlying Bond | Unrealized Depreciation | |||||||||
Deutsche Bank AG(a) | 12/25/2009 | $ | 1,000 | 2.75 | % | Fieldstone Mortgage Investment Corp., | (809 | ) | ||||||
7.65%, due 05/25/36 | ||||||||||||||
Deutsche Bank AG(a) | 06/25/2036 | 1,000 | 2.52 | % | Residential Asset Securities Corp., | (4,116 | ) | |||||||
7.32%, 06/25/36 | ||||||||||||||
$ | (4,925 | ) | ||||||||||||
(a) | The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults. |
SEE NOTES TO FINANCIAL STATEMENTS.
B19
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:
Affiliated Mutual Funds (including 7.4% of collateral received for securities on loan) | 12.4 | % | |
Mortgage Backed Securities | 11.5 | ||
Oil, Gas & Consumable Fuels | 4.6 | ||
Pharmaceuticals | 4.2 | ||
Commercial Mortgage Backed Securities | 3.8 | ||
Commercial Banks | 3.7 | ||
U.S. Government Agency Obligations | 3.6 | ||
Diversified Financial Services | 3.0 | ||
Insurance | 2.9 | ||
Capital Markets | 2.2 | ||
Electric Utilities | 2.1 | ||
Industrial Conglomerates | 2.1 | ||
U.S. Treasury Securities | 2.0 | ||
Computers & Peripherals | 1.9 | ||
Media | 1.9 | ||
Diversified Telecommunication Services | 1.7 | ||
Software | 1.7 | ||
Aerospace & Defense | 1.6 | ||
Asset Backed Securities | 1.6 | ||
Communications Equipment | 1.4 | ||
Wireless Telecommunication Services | 1.4 | ||
Healthcare Providers & Services | 1.3 | ||
Semiconductor & Semiconductor Equipment | 1.3 | ||
Chemicals | 1.2 | ||
Food & Staples Retailing | 1.2 | ||
Food Products | 1.2 | ||
Beverages | 1.1 | ||
Household Products | 1.1 | ||
Metals & Mining | 1.0 | ||
Specialty Retail | 1.0 | ||
Energy Equipment & Services | 0.9 | ||
Machinery | 0.9 | ||
Tobacco | 0.9 | ||
Healthcare Equipment & Supplies | 0.8 | ||
Hotels, Restaurants & Leisure | 0.8 | ||
Real Estate Investment Trust | 0.8 | ||
Biotechnology | 0.7 | ||
Internet Software & Services | 0.7 | ||
Thrifts & Mortgage Finance | 0.7 | ||
Automobiles | 0.6 | ||
Road & Rail | 0.6 | ||
IT Services | 0.6 | ||
Multiline Retail | 0.6 |
Multi-Utilities | 0.6 | % | |
Capital Goods | 0.5 | ||
Collateralized Mortgage Obligations | 0.5 | ||
Consumer Finance | 0.5 | ||
Air Freight & Logistics | 0.4 | ||
Brokerage | 0.4 | ||
Household Durables | 0.4 | ||
Technology | 0.4 | ||
Construction Materials | 0.3 | ||
Cable | 0.3 | ||
Commercial Services & Supplies | 0.3 | ||
Electrical Equipment | 0.3 | ||
Healthcare Insurance | 0.3 | ||
Media & Entertainment | 0.3 | ||
Non Captive Finance | 0.3 | ||
Pipelines & Other | 0.3 | ||
Sovereign | 0.3 | ||
Airlines | 0.2 | ||
Building Products | 0.2 | ||
Containers & Packaging | 0.2 | ||
Electronic Equipment & Instruments | 0.2 | ||
Energy — Integrated | 0.2 | ||
Energy — Other | 0.2 | ||
Foreign Government Bonds | 0.2 | ||
Independent Power Producers & Energy Traders | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Paper & Forest Products | 0.2 | ||
Textiles, Apparel & Luxury Goods | 0.2 | ||
Auto Components | 0.1 | ||
Construction & Engineering | 0.1 | ||
Consumer | 0.1 | ||
Distributors | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gaming | 0.1 | ||
Gas Utilities | 0.1 | ||
Internet & Catalog Retail | 0.1 | ||
Life Sciences Tools & Services | 0.1 | ||
Office Electronics | 0.1 | ||
Personal Products | 0.1 | ||
Real Estate | 0.1 | ||
Retailers | 0.1 | ||
Structures Notes | 0.1 | ||
Trading Companies & Distributors | 0.1 | ||
101.4 | |||
Liabilities in excess of other assets | (1.4 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B20
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 99.3% LONG-TERM BONDS | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Aerospace/Defense — 0.8% | ||||||||||||
BAE Systems Holdings, Inc., 144A(h) | Baa2 | 5.20% | 08/15/15 | $ | 6,850 | $ | 6,524,899 | |||||
DRS Technologies, Inc. | B1 | 6.625% | 02/01/16 | 1,580 | 1,591,850 | |||||||
Raytheon Co. | Baa2 | 4.50% | 11/15/07 | 335 | 332,347 | |||||||
Raytheon Co. | Baa2 | 8.30% | 03/01/10 | 725 | 787,115 | |||||||
9,236,211 | ||||||||||||
Airlines — 0.8% | ||||||||||||
Continental Airlines, Inc., Series 2000-1, Class A-1 | Baa3 | 7.487% | 10/02/10 | 7,954 | 8,407,378 | |||||||
Continental Airlines, Inc., Series 2000-1, Class A-1 | Baa3 | 6.703% | 06/15/21 | 3 | 3,564 | |||||||
Continental Airlines, Inc., Pass-Through Certificates, | Ba1 | 7.373% | 12/15/15 | 1,247 | 1,265,927 | |||||||
9,676,869 | ||||||||||||
Asset-Backed Securities — 4.1% | ||||||||||||
American Express Credit Account Master Trust, Series 2004-C, Class C, 144A(g)(h) | Baa2 | 5.85% | 02/15/12 | 1,208 | 1,210,371 | |||||||
AmeriQuest Mortgage Securities, Inc., Series 2001-2, Class M3(g) | Baa2 | 8.275% | 10/25/31 | 725 | 726,125 | |||||||
AmeriQuest Mortgage Securities, Inc., Series 2003-AR3, Class M6(g) | Baa3 | 8.3233% | 10/25/33 | 1,600 | 1,599,123 | |||||||
Amortizing Residential Collateral Trust, Series 2002-BC7, Class M2(g) | AA+(f) | 6.70% | 10/25/32 | 189 | 188,961 | |||||||
Bank of America Credit Card Trust, Series 2006-C5, Class C5(g) | Baa2 | 5.75% | 01/15/16 | 5,750 | 5,751,179 | |||||||
Bank One Issuance Trust, Series 2003-C1, Class C1 | Baa2 | 4.54% | 09/15/10 | 2,980 | 2,951,179 | |||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2(g) | A2 | 8.725% | 03/25/33 | 501 | 500,373 | |||||||
Centex Home Equity, Series 2005-A, Class M4(g) | A1 | 6.15% | 01/25/35 | 2,400 | 2,420,116 | |||||||
Citibank Credit Card Issuance Trust, Series 2003-C4, Class C-4 | Baa2 | 5.00% | 06/10/15 | 6,500 | 6,321,122 | |||||||
Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2(g) | A2 | 6.47% | 05/25/32 | 2,472 | 2,474,491 | |||||||
Countrywide Asset-Backed Certificates, Series 2004-12, Class MV3(g) | Aa3 | 6.01% | 03/25/35 | 2,670 | 2,697,810 | |||||||
CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2(g) | A2 | 7.60% | 08/25/32 | 250 | 249,973 | |||||||
Equity One ABS, Inc., Series 2004-3, Class M1 | Aa2 | 5.70% | 07/25/34 | 2,100 | 2,087,839 | |||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF6, Class M2(g) | Aa2 | 5.79% | 05/25/36 | 2,575 | 2,593,821 | |||||||
Ford Credit Auto Owner Trust, Series 2006-B, Class C | Baa2 | 5.68% | 06/15/12 | 2,100 | 2,112,847 | |||||||
Fremont Home Loan Trust, Series 2003-B, Class M2(g) | Aa2 | 6.05% | 12/25/33 | 500 | 502,790 | |||||||
Home Equity Asset Trust, Series 2005-7, Class 2A4(g) | Aaa | 5.73% | 01/25/36 | 1,500 | 1,507,271 | |||||||
IXIS Real Estate Capital Trust, Series 2006-HE1, Class A4(g) | Aaa | 5.65% | 03/25/36 | 3,200 | 3,212,935 | |||||||
Morgan Stanley ABS Capital I, Series 2002-NC6, Class M2(g) | A2 | 7.45% | 11/25/32 | 478 | 479,430 | |||||||
Morgan Stanley ABS Capital I, Series 2003-HE1, Class M1(g) | Aa2 | 6.15% | 05/25/33 | 2,187 | 2,194,588 | |||||||
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2(g) | Aa3 | 6.15% | 12/25/34 | 2,100 | 2,122,152 | |||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1(g) | Aaa | 6.10% | 12/25/32 | 1,930 | 1,932,681 | |||||||
Structured Asset Securities Corp., Series 2002-HF2, Class M3(g) | BBB(f) | 7.35% | 07/25/32 | 1,345 | 1,243,941 | |||||||
47,081,118 | ||||||||||||
Automotive — 1.5% | ||||||||||||
Auburn Hills Trust, Inc. | Baa1 | 12.375% | 05/01/20 | 640 | 944,922 | |||||||
Equus Cayman Finance, Ltd. (Cayman Islands), 144A(h) | Baa3 | 5.50% | 09/12/08 | 830 | 827,634 | |||||||
Ford Motor Co., Bank Loan(i) | Ba3 | 8.36% | 12/12/13 | 3,900 | 3,902,437 | |||||||
Ford Motor Credit Co. | B1 | 6.625% | 06/16/08 | 3,500 | 3,497,613 | |||||||
General Motors Acceptance Corp.(a) | Caa1 | 7.20% | 01/15/11 | 2,175 | 2,109,750 | |||||||
Hyundai Motor Manufacturing LLC, 144A(h) | Baa3 | 5.30% | 12/19/08 | 1,820 | 1,807,513 | |||||||
Johnson Controls Inc. | Baa1 | 5.50% | 01/15/16 | 300 | 294,148 | |||||||
Oshkosh Truck Corp., Bank Loan(i) | Ba3 | 7.35% | 12/06/13 | 3,675 | 3,678,447 | |||||||
17,062,464 | ||||||||||||
Banking — 2.9% | ||||||||||||
Barclays Bank PLC, 144A(g)(h) | Aa3 | 5.926% | 12/15/49 | 900 | 911,330 | |||||||
Chuo Mitsui Trust & Banking Co., Ltd., (Japan), 144A(g)(h) | Baa1 | 5.506% | 12/31/49 | 3,050 | 2,913,174 | |||||||
Dresdner Kleinwort Wasserstein for CJSC (The) (Ukraine) | Ba2 | 7.75% | 09/23/09 | 1,400 | 1,433,180 | |||||||
ICICI Bank, Ltd. (Singapore), 144A(a)(g)(h) | Baa2 | 7.25% | 12/31/49 | 2,380 | 2,459,973 | |||||||
ICICI Bank, Ltd. (Singapore), 144A(h) | Baa2 | 5.75% | 11/16/10 | 2,500 | 2,496,038 |
SEE NOTES TO FINANCIAL STATEMENTS.
B21
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Banking (cont’d.) | ||||||||||||
Kazkommerts International BV, (Netherlands) 144A(h) | Baa1 | 7.875% | 04/07/14 | $ | 4,150 | $ | 4,310,813 | |||||
KBC Bank Funding Trust III, 144A(g)(h) | A2 | 9.86% | 12/31/49 | 5,000 | 5,562,960 | |||||||
Mizuho Finance Group (Cayman Islands), MTN, 144A(h) | A2 | 5.79% | 04/15/14 | 1,880 | 1,891,024 | |||||||
Resona Bank Ltd., 144A(g)(h) | Baa1 | 5.85% | 09/29/49 | 2,900 | 2,831,725 | |||||||
Russian Standard Finance Bank, SA, 144A(h) | Ba2 | 7.50% | 10/07/10 | 3,000 | 2,891,250 | |||||||
Sumitomo Mitsui Banking Corp. (Japan), 144A(g)(h) | A2 | 5.625% | 07/15/49 | 6,380 | 6,236,698 | |||||||
33,938,165 | ||||||||||||
Brokerage — 0.5% | ||||||||||||
Goldman Sachs Group, Inc. | A1 | 6.45% | 05/01/36 | 5,575 | 5,800,302 | |||||||
Building Materials & Construction — 1.0% | ||||||||||||
American Standard, Inc. | Baa3 | 7.625% | 02/15/10 | 3,800 | 3,982,594 | |||||||
CRH America, Inc. | Baa1 | 6.00% | 09/30/16 | 805 | 812,563 | |||||||
RPM International, Inc. | Baa3 | 4.45% | 10/15/09 | 5,150 | 4,973,056 | |||||||
Ryland Group, Inc. | Baa3 | 5.375% | 06/01/08 | 1,900 | 1,887,274 | |||||||
11,655,487 | ||||||||||||
Cable — 1.3% | ||||||||||||
AT&T Broadband | Baa2 | 9.455% | 11/15/22 | 1,065 | 1,379,107 | |||||||
Charter Communications Operating Charter, Sr. Notes, 144A(h) | B3 | 8.375% | 04/30/14 | 1,875 | 1,957,031 | |||||||
Comcast Corp. | Baa2 | 5.875% | 02/15/18 | 3,500 | 3,462,393 | |||||||
CSC Holdings, Inc. | B2 | 7.875% | 12/15/07 | 3,800 | 3,847,499 | |||||||
Mediacom Broadband LLC, 144A(a)(h) | B3 | 8.50% | 10/15/15 | 2,925 | 2,961,563 | |||||||
TCI Communications, Inc. | Baa2 | 7.875% | 02/15/26 | 750 | 856,479 | |||||||
14,464,072 | ||||||||||||
Capital Goods — 1.2% | ||||||||||||
Caterpillar, Inc. | A2 | 6.05% | 08/15/36 | 260 | 267,627 | |||||||
Clarendon Alumina Production Ltd. (Jamaica), 144A(h) | Ba2 | 8.50% | 11/16/21 | 1,875 | 1,954,688 | |||||||
FedEx Corp. | Baa2 | 7.25% | 02/15/11 | 1,750 | 1,864,550 | |||||||
Rockwell Automation, Inc. | A3 | 5.20% | 01/15/98 | 6,500 | 5,293,307 | |||||||
Tyco International Group SA (Luxembourg) | Baa3 | 6.00% | 11/15/13 | 200 | 206,935 | |||||||
Tyco International Group SA (Luxembourg) | Baa3 | 6.75% | 02/15/11 | 805 | 848,794 | |||||||
Waste Management, Inc. | Baa3 | 7.125% | 10/01/07 | 1,550 | 1,564,400 | |||||||
Waste Management, Inc. | Baa3 | 7.65% | 03/15/11 | 2,100 | 2,262,041 | |||||||
14,262,342 | ||||||||||||
Chemicals — 2.2% | ||||||||||||
Dow Chemical Co. | A3 | 5.97% | 01/15/09 | 490 | 495,432 | |||||||
Dow Chemical Co. | A3 | 7.375% | 11/01/29 | 845 | 976,700 | |||||||
Huntsman International LLC | B2 | 9.875% | 03/01/09 | 1,478 | 1,522,340 | |||||||
Huntsman International LLC | Ba3 | 11.625% | 10/15/10 | 2,100 | 2,294,250 | |||||||
ICI Wilmington, Inc. | Baa3 | 4.375% | 12/01/08 | 2,040 | 2,001,624 | |||||||
Lubrizol Corp. | Baa3 | 4.625% | 10/01/09 | 5,600 | 5,493,274 | |||||||
Lubrizol Corp. | Baa3 | 5.875% | 12/01/08 | 550 | 553,226 | |||||||
Lubrizol Corp. | Baa3 | 6.50% | 10/01/34 | 1,380 | 1,388,682 | |||||||
Monsanto Co. | Baa1 | 5.50% | 08/15/25 | 4,560 | 4,360,226 | |||||||
Nalco Co., Sr. Notes | B1 | 7.75% | 11/15/11 | 2,800 | 2,863,000 | |||||||
Union Carbide Chemical & Plastics Co. | Ba2 | 7.875% | 04/01/23 | 3,058 | 3,306,909 | |||||||
25,255,663 | ||||||||||||
Collateralized Mortgage Obligations — 1.0% | ||||||||||||
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 | Aaa | 5.25% | 09/25/19 | 2,905 | 2,815,937 | |||||||
Master Alternative Loan Trust, Series 2004-4, Class 4A1 | Aaa | 5.00% | 04/25/19 | 599 | 584,894 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3(g) | Aaa | 4.17% | 02/25/34 | 4,164 | 4,121,537 | |||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | AAA(f) | 5.00% | 03/25/20 | 1,996 | 1,970,129 | |||||||
Washington Mutual, Series 2002-AR15, Class A5(g) | Aaa | 4.38% | 12/25/32 | 1,577 | 1,560,421 | |||||||
11,052,918 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B22
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Commercial Mortgage-Backed Securities — 8.7% | ||||||||||||
Banc of America Commercial Mortgage, Inc., Series 2005-1, Class ASB(g) | AAA(f) | 4.8645% | 11/10/42 | $ | 5,950 | $ | 5,904,162 | |||||
Banc of America Commercial Mortgage, Inc., Series 2006, Class A4(g) | AAA(f) | 5.7405% | 05/10/45 | 9,400 | 9,720,066 | |||||||
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T18, Class AAB(g) | Aaa | 4.823% | 02/13/42 | 2,475 | 2,414,136 | |||||||
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T20, Class AAB(g) | Aaa | 5.1394% | 10/12/42 | 3,400 | 3,386,846 | |||||||
Citigroup Commercial Mortgage Trust, 2006-C4, Class A3(g) | Aaa | 5.72% | 03/15/49 | 2,310 | 2,384,784 | |||||||
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2 | Aaa | 4.93% | 07/10/39 | 8,500 | 8,364,434 | |||||||
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4 | Aaa | 4.111% | 07/05/35 | 12,700 | 11,933,836 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2 | Aaa | 4.767% | 03/12/39 | 4,969 | 4,834,230 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A4(g) | Aaa | 5.2943% | 01/12/43 | 3,275 | 3,277,967 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class ASB | Aaa | 4.659% | 07/15/42 | 9,300 | 9,016,671 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A4(g) | Aaa | 4.918% | 10/15/42 | 3,700 | 3,591,999 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2003-C8, Class A3 | Aaa | 4.83% | 11/15/27 | 3,375 | 3,315,751 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6(g) | Aaa | 4.799% | 12/15/29 | 4,200 | 4,064,459 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4(g) | Aaa | 5.8996% | 06/15/38 | 6,130 | 6,411,982 | |||||||
Merrill Lynch/Countrywide Commercial Mortgage, Series 2006-2, Class A4(g) | Aaa | 5.9098% | 06/12/46 | 2,325 | 2,429,751 | |||||||
Morgan Stanley Dean Witter Capital I, Series 2000-PRIN, Class A3 | Aaa | 7.36% | 02/23/34 | 522 | 527,659 | |||||||
PNC Mortgage Acceptance Corp., Series 2001-C1, Class A1 | Aaa | 5.91% | 03/12/34 | 3,042 | 3,062,585 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4 | Aaa | 4.98% | 11/15/34 | 2,500 | 2,465,432 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C3, Class A2 | AAA(f) | 4.867% | 02/15/35 | 7,330 | 7,179,528 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A3 | AAA(f) | 4.608% | 12/15/35 | 4,750 | 4,636,576 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class APB | Aaa | 4.807% | 04/15/42 | 1,500 | 1,462,680 | |||||||
100,385,534 | ||||||||||||
Consumer — 0.6% | ||||||||||||
Playtex Products, Inc. | Ba3 | 8.00% | 03/01/11 | 1,850 | 1,933,250 | |||||||
Realogy Corp., 144A(h) | Baa2 | 6.15% | 10/15/11 | 3,000 | 3,065,577 | |||||||
Western Union (The) Co., 144A(h) | A3 | 6.20% | 11/17/36 | 2,450 | 2,301,444 | |||||||
7,300,271 | ||||||||||||
Electric — 3.8% | ||||||||||||
Arizona Public Services | Baa2 | 6.25% | 08/01/16 | 1,750 | 1,790,618 | |||||||
CenterPoint Energy Houston Electric LLC | Baa2 | 5.70% | 03/15/13 | 2,950 | 2,971,428 | |||||||
CMS Energy Corp. | Ba3 | 8.90% | 07/15/08 | 2,570 | 2,685,650 | |||||||
Consumers Energy Co. | Baa2 | 5.00% | 02/15/12 | 1,000 | 975,581 | |||||||
Consumers Energy Co. | Baa2 | 5.375% | 04/15/13 | 1,000 | 990,322 | |||||||
Dominion Resources Inc | Baa2 | 5.15% | 07/15/15 | 875 | 847,536 | |||||||
Edison Mission Energy(a) | B1 | 7.73% | 06/15/09 | 2,420 | 2,504,700 | |||||||
Edison Mission Energy(a) | B1 | 7.75% | 06/15/16 | 2,200 | 2,332,000 | |||||||
El Paso Electric Co. | Baa3 | 6.00% | 05/15/35 | 2,325 | 2,228,696 | |||||||
Empresa Nacional de Electricidad SA (Chile) | Baa3 | 8.35% | 08/01/13 | 625 | 708,911 | |||||||
Energy East Corp. | Baa2 | 6.75% | 06/15/12 | 750 | 786,599 | |||||||
Energy East Corp. | Baa2 | 6.75% | 09/15/33 | 1,150 | 1,207,880 | |||||||
Enersis SA (Chile)(a) | Baa3 | 7.375% | 01/15/14 | 3,700 | 3,982,017 | |||||||
Exelon Corp. | Baa2 | 4.90% | 06/15/15 | 500 | 471,610 | |||||||
FirstEnergy Corp. | Baa3 | 7.375% | 11/15/31 | 945 | 1,076,200 | |||||||
Korea East-West Power Co., Ltd. (South Korea), 144A(h) | A1 | 4.875% | 04/21/11 | 1,700 | 1,665,808 | |||||||
NiSource Finance Corp. | Baa3 | 5.45% | 09/15/20 | 1,345 | 1,252,663 | |||||||
Northern States Power Co. | A2 | 8.00% | 08/28/12 | 2,800 | 3,153,863 | |||||||
NRG Energy, Inc. | B1 | 7.25% | 02/01/14 | 1,840 | 1,853,800 |
SEE NOTES TO FINANCIAL STATEMENTS.
B23
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Electric (cont’d.) | ||||||||||||
NRG Energy, Inc. | B1 | 7.375% | 01/15/17 | $ | 1,735 | $ | 1,739,338 | |||||
Ohio Edison Co. | Baa2 | 6.875% | 07/15/36 | 175 | 190,529 | |||||||
Oncor Electric Delivery Co. | Baa2 | 7.00% | 09/01/22 | 300 | 322,697 | |||||||
Orion Power Holdings, Inc., Sr. Notes | B2 | 12.00% | 05/01/10 | 1,920 | 2,179,200 | |||||||
Southern California Edison Co. | A3 | 7.625% | 01/15/10 | 1,100 | 1,166,209 | |||||||
Teco Energy, Inc. | Ba2 | 7.50% | 06/15/10 | 955 | 1,017,075 | |||||||
Xcel Energy, Inc. | Baa1 | 3.40% | 07/01/08 | 1,330 | 1,291,062 | |||||||
Xcel Energy, Inc. | Baa1 | 7.00% | 12/01/10 | 1,850 | 1,951,256 | |||||||
43,343,248 | ||||||||||||
Emerging Markets — 0.3% | ||||||||||||
Alfa Diversified Payment Rights Finance Co., 144A(g)(h) | Baa3 | 6.96% | 03/15/11 | 3,243 | 3,230,428 | |||||||
Energy – Integrated — 0.4% | ||||||||||||
Conocophilips Canada Funding Co. (Canada) | A1 | 5.625% | 10/15/16 | 4,700 | 4,722,344 | |||||||
Energy – Other — 1.2% | ||||||||||||
Anadarko Petroleum Corp. | Baa2 | 5.95% | 09/15/16 | 1,635 | 1,638,422 | |||||||
Anadarko Petroleum Corp. | Baa2 | 6.45% | 09/15/36 | 575 | 581,035 | |||||||
GS Caltex Corp., 144A(h) | Baa1 | 7.75% | 07/25/11 | 3,250 | 3,543,176 | |||||||
Halliburton Co. | Baa1 | 5.50% | 10/15/10 | 625 | 623,889 | |||||||
Newfield Exploration Co. | Ba3 | 6.625% | 04/15/16 | 1,685 | 1,676,575 | |||||||
Occidental Petroleum Corp., MTN | A3 | 4.25% | 03/15/10 | 3,250 | 3,158,360 | |||||||
Talisman Energy, Inc. (Canada) | Baa2 | 6.25% | 02/01/38 | 1,600 | 1,543,698 | |||||||
Talisman Energy, Inc., (Canada) | Baa2 | 5.125% | 05/15/15 | 1,190 | 1,128,373 | |||||||
13,893,528 | ||||||||||||
Foods — 1.5% | ||||||||||||
Cadbury Schweppes US Finance LLC, 144A(h) | Baa2 | 3.875% | 10/01/08 | 2,600 | 2,532,088 | |||||||
HJ Heinz Co., 144A(h) | Baa2 | 6.428% | 12/01/08 | 3,550 | 3,613,331 | |||||||
Kraft Foods, Inc. | A3 | 5.625% | 11/01/11 | 860 | 869,141 | |||||||
Supervalu, Inc., Bank Loan(i) | Ba3 | 6.85% | 06/02/11 | 3,000 | 2,927,754 | |||||||
The Kroger Co. | Baa2 | 6.75% | 04/15/12 | 1,375 | 1,442,811 | |||||||
Tricon Global Restaurants, Inc. | Baa2 | 8.875% | 04/15/11 | 1,705 | 1,912,620 | |||||||
Tyson Foods, Inc. | Ba1 | 6.85% | 04/01/16 | 1,000 | 1,026,823 | |||||||
Tyson Foods, Inc. | Ba2 | 8.25% | 10/01/11 | 2,550 | 2,755,584 | |||||||
17,080,152 | ||||||||||||
Gaming — 0.6% | ||||||||||||
Harrah’s Operating Co., Inc. | Baa3 | 5.625% | 06/01/15 | 2,500 | 2,144,120 | |||||||
Mandalay Resorts Group | B1 | 9.375% | 02/15/10 | 33 | 35,310 | |||||||
MGM Mirage, Inc. | Ba2 | 6.875% | 04/01/16 | 3,000 | 2,880,000 | |||||||
Station Casinos, Inc. | Ba3 | 6.875% | 03/01/16 | 2,210 | 1,983,475 | |||||||
7,042,905 | ||||||||||||
Health Care & Pharmaceutical — 2.0% | ||||||||||||
Accellent, Inc. | Caa1 | 10.50% | 12/01/13 | 1,570 | 1,628,875 | |||||||
Alliance Imaging, Inc., Sr. Sub. Notes(a) | B3 | 7.25% | 12/15/12 | 1,500 | 1,425,000 | |||||||
AmerisourceBergen Corp. | Ba1 | 5.875% | 09/15/15 | 2,325 | 2,273,332 | |||||||
Boston Scientific Corp. | Baa3 | 6.40% | 06/15/16 | 1,675 | 1,695,028 | |||||||
Cardinal Health, Inc. | Baa2 | 5.85% | 12/15/17 | 3,130 | 3,112,405 | |||||||
HCA, Inc. | Caa1 | 6.25% | 02/15/13 | 194 | 171,690 | |||||||
HCA, Inc. | Caa1 | 7.69% | 06/15/25 | 1,100 | 910,472 | |||||||
HCA, Inc., 144A(h) | B2 | 9.625% | 11/15/16 | 2,200 | 2,365,000 | |||||||
HCA, Inc., Bank Loan(i) | Ba3 | 8.086% | 11/14/13 | 2,500 | 2,527,405 | |||||||
Merck & Co., Inc. | Aa3 | 5.75% | 11/15/36 | 2,805 | 2,774,869 | |||||||
Merck & Co., Inc. | Aa3 | 5.95% | 12/01/28 | 255 | 257,480 | |||||||
Teva Pharmaceutical Finance LLC | Baa2 | 6.15% | 02/01/36 | 750 | 728,720 | |||||||
Ventas Realty LP, Sr. Notes(a) | Ba2 | 6.625% | 10/15/14 | 2,100 | 2,147,250 | |||||||
Wyeth(b) | A3 | 5.50% | 03/15/13 | 1,250 | 1,258,088 | |||||||
Wyeth(b) | A3 | 6.45% | 02/01/24 | 95 | 101,630 | |||||||
23,377,244 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B24
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Health Care Insurance — 1.0% | ||||||||||||
Aetna, Inc. | A3 | 6.625% | 06/15/36 | $ | 2,000 | $ | 2,138,728 | |||||
Coventry Health Care, Inc. | Ba1 | 6.125% | 01/15/15 | 4,025 | 3,966,641 | |||||||
United Healthcare Corp. | A3 | 5.80% | 03/15/36 | 310 | 304,829 | |||||||
Wellpoint, Inc. | Baa1 | 5.00% | 12/15/14 | 1,310 | 1,268,277 | |||||||
Wellpoint, Inc. | Baa1 | 5.85% | 01/15/36 | 3,500 | 3,400,061 | |||||||
11,078,536 | ||||||||||||
Insurance — 1.4% | ||||||||||||
Allied World Insurance Holdings, Ltd. (Bermuda) | Baa1 | 7.50% | 08/01/16 | 1,700 | 1,824,486 | |||||||
Allstate Corp. | A1 | 5.55% | 05/09/35 | 995 | 956,878 | |||||||
Allstate Corp. | A1 | 5.95% | 04/01/36 | 3,730 | 3,793,286 | |||||||
American International Group, Inc. | Aa2 | 4.25% | 05/15/13 | 1,820 | 1,706,556 | |||||||
American International Group, Inc. | Aa2 | 5.05% | 10/01/15 | 315 | 306,298 | |||||||
Axis Capital Holdings | Baa1 | 5.75% | 12/01/14 | 3,350 | 3,329,243 | |||||||
Berkshire Hathaway Finance Corp. | Aaa | 4.75% | 05/15/12 | 3,400 | 3,332,289 | |||||||
Marsh & Mclennan Cos., Inc. | Baa2 | 5.75% | 09/15/15 | 500 | 491,906 | |||||||
XL Capital, Ltd., Class A (Cayman Islands) | A3 | 5.25% | 09/15/14 | 140 | 137,203 | |||||||
15,878,145 | ||||||||||||
Lodging — 0.5% | ||||||||||||
Carnival PLC (United Kingdom) | A3 | 7.30% | 06/01/07 | 825 | 830,790 | |||||||
Felcor Lodging LP, 144A(g)(h) | Ba3 | 7.275% | 12/01/11 | 1,800 | 1,809,000 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | Baa3 | 7.375% | 05/01/07 | 3,000 | 3,012,255 | |||||||
5,652,045 | ||||||||||||
Media & Entertainment — 2.2% | ||||||||||||
Clear Channel Communications, Inc. | Baa3 | 8.00% | 11/01/08 | 4,720 | 4,907,191 | |||||||
Idearc, Inc., Bank Loan(i) | Ba2 | 7.3762% | 11/09/14 | 1,750 | 1,758,750 | |||||||
Intelsat Bermuda Ltd. (Bermuda), 144A(h) | B2 | 9.25% | 06/15/16 | 2,300 | 2,472,500 | |||||||
Quebecor World Capital Corp. (Canada), 144A(h) | B2 | 8.75% | 03/15/16 | 1,900 | 1,819,250 | |||||||
RH Donnelley Corp. | B3 | 6.875% | 01/15/13 | 1,300 | 1,246,375 | |||||||
Thomson Corp. (Canada) | A3 | 5.75% | 02/01/08 | 2,750 | 2,758,236 | |||||||
Time Warner, Inc.(a) | Baa2 | 5.875% | 11/15/16 | 4,615 | 4,603,347 | |||||||
Viacom, Inc. | Baa3 | 5.75% | 04/30/11 | 1,300 | 1,300,664 | |||||||
Viacom, Inc. | Baa3 | 6.25% | 04/30/16 | 4,100 | 4,071,599 | |||||||
Viacom, Inc. | Baa3 | 7.875% | 07/30/30 | 425 | 445,370 | |||||||
25,383,282 | ||||||||||||
Metals — 0.6% | ||||||||||||
Arch Western Finance LLC, Sr. Notes | B1 | 6.75% | 07/01/13 | 3,000 | 2,977,500 | |||||||
Russel Metals, Inc., Sr. Notes (Canada) | Ba2 | 6.375% | 03/01/14 | 1,800 | 1,716,750 | |||||||
Southern Copper Corp. | Baa2 | 7.50% | 07/27/35 | 1,600 | 1,734,859 | |||||||
6,429,109 | ||||||||||||
Non-Captive Finance — 1.8% | ||||||||||||
Capital One Financial Corp. | Baa1 | 6.15% | 09/01/16 | 700 | 723,948 | |||||||
General Electric Capital Australia Funding | Aaa | 6.00% | 04/15/15 | AUD 4,440 | 3,350,900 | |||||||
General Motors Acceptance Corp. | Ba1 | 6.15% | 04/05/07 | 3,710 | 3,710,115 | |||||||
General Motors Acceptance Corp. MTN | Ba1 | 6.125% | 03/15/07 | EUR 3,260 | 4,314,574 | |||||||
Preferred Term Securities X, Class A-1, 144A(g)(h)(i) | Aaa | 6.0906% | 07/03/33 | 3,900 | 3,929,250 | |||||||
Residential Capital Corp. | Baa3 | 6.50% | 04/17/13 | 3,500 | 3,547,023 | |||||||
Residential Capital Corp. | Baa3 | 6.875% | 06/30/15 | 1,550 | 1,606,863 | |||||||
21,182,673 | ||||||||||||
Non-Corporate Foreign Agency — 2.0% | ||||||||||||
Credit Suisse First Boston International for CJSC (The) (Ukraine) | Ba2 | 6.80% | 10/04/12 | 1,400 | 1,363,964 | |||||||
Gazprom International SA (Chile), 144A(h) | BBB+(f) | 7.201% | 02/01/20 | 2,400 | 2,538,000 | |||||||
Gazprom OAO (Russia) | BB-(f) | 10.50% | 10/21/09 | 1,685 | 1,904,050 | |||||||
National Power Corp. (Philippines), 144A(g)(h) | BB-(f) | 9.62% | 08/23/11 | 1,530 | 1,723,892 | |||||||
National Power Corp. (Philippines) | B1 | 9.625% | 05/15/28 | 2,095 | 2,540,655 | |||||||
Pemex Project Funding Master Trust (Mexico) | Baa1 | 8.85% | 09/15/07 | 4,450 | 4,547,900 | |||||||
Petronas Capital, Ltd. (Malaysia), 144A(h) | A1 | 7.00% | 05/22/12 | 7,300 | 7,872,393 | |||||||
22,490,854 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B25
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||
Non-Corporate Sovereign — 7.7% | |||||||||||
Deutsche Bundesrepublik (Denmark) | Aaa | 4.00% | 01/04/37 | EUR 595 | $ | 774,195 | |||||
Federal Republic of Argentina (Argentina)(g) | B3 | 3.00% | 04/30/13 | 2,468 | 1,902,443 | ||||||
Federal Republic of Argentina (Argentina)(g) | B3 | 5.589% | 08/03/12 | 2,400 | 2,266,043 | ||||||
Federal Republic of Brazil (Brazil)(a) | Ba2 | 9.25% | 10/22/10 | 5,325 | 6,017,250 | ||||||
Federal Republic of Brazil (Brazil) | Ba2 | 10.25% | 06/17/13 | 2,425 | 2,994,875 | ||||||
Federal Republic of Brazil (Brazil)(a) | Ba2 | 12.50% | 01/05/16 | BRL 4,750 | 2,523,403 | ||||||
Government of Hungary (Hungary) | A2 | 8.00% | 02/12/15 | HUF 2,893,570 | 16,164,121 | ||||||
Government of Japan (Japan) | A2 | 2.20% | 09/20/26 | JPY 168,250 | 1,442,311 | ||||||
Jamaica Government Bond (Jamaica) | B1 | 11.00% | 07/27/12 | EUR 995 | 1,592,552 | ||||||
Norway Government Bond (Norway) | Aaa | 5.00% | 05/15/15 | NOK 30,470 | 5,089,627 | ||||||
Peru Government International Bond (Peru), 144A(h) | Ba3 | Zero | 05/31/18 | 1,837 | 1,217,013 | ||||||
Republic of Colombia (Colombia)(g) | Ba2 | 7.175% | 11/16/15 | 2,500 | 2,587,500 | ||||||
Republic of Peru (Peru)(g) | Ba3 | 5.00% | 03/07/17 | 2,267 | 2,249,601 | ||||||
Republic of Panama (Panama) | Ba1 | 9.375% | 07/23/12 | 1,295 | 1,518,388 | ||||||
Republic of Panama (Panama) | Ba1 | 7.25% | 03/15/15 | 2,375 | 2,570,938 | ||||||
Republic of Poland (Poland) | A2 | 6.25% | 10/24/15 | PLN 36,085 | 13,337,951 | ||||||
Republic of Turkey (Turkey) | Ba3 | 9.875% | 03/19/08 | 1,845 | 1,937,250 | ||||||
Republic of Uruguay (Uruguay) | B1 | 7.25% | 02/15/11 | 660 | 689,700 | ||||||
Republic of Venezuela (Venezuela) | B2 | 10.75% | 09/19/13 | 2,385 | 2,963,363 | ||||||
Russian Government International Bond (Russia), 144A(h) | Baa2 | 8.25% | 03/31/10 | 4,037 | 4,218,383 | ||||||
United Mexican States (Mexico)(g) | Baa1 | 6.0734% | 01/13/09 | 2,090 | 2,108,810 | ||||||
United Mexican States (Mexico)(a) | Baa1 | 7.50% | 01/14/12 | 4,250 | 4,658,000 | ||||||
United Mexican States (Mexico) | Baa1 | 9.00% | 12/20/12 | MXP 77,200 | 7,709,994 | ||||||
88,533,711 | |||||||||||
Paper — 1.4% | |||||||||||
Catalyst Paper Corp. | B2 | 8.625% | 06/15/11 | 2,100 | 2,126,250 | ||||||
Domtar, Inc. (Canada) | B2 | 7.875% | 10/15/11 | 675 | 700,313 | ||||||
Domtar, Inc. (Canada) | B2 | 5.375% | 12/01/13 | 1,000 | 905,000 | ||||||
Graphic Packaging International, Inc. | B2 | 8.50% | 08/15/11 | 2,970 | 3,073,950 | ||||||
International Paper Co. | Baa3 | 4.00% | 04/01/10 | 2,815 | 2,701,857 | ||||||
Norampac, Inc., Sr. Notes (Canada) | Ba3 | 6.75% | 06/01/13 | 1,900 | 1,847,750 | ||||||
Stora Enso Oyj (Finland), 144A(a)(h) | Baa3 | 7.25% | 04/15/36 | 1,560 | 1,635,126 | ||||||
Weyerhaeuser Co. | Baa2 | 7.375% | 03/15/32 | 3,495 | 3,648,168 | ||||||
16,638,414 | |||||||||||
Pipelines & Other — 1.3% | |||||||||||
Atmos Energy Corp.(e) | Baa3 | 4.00% | 10/15/09 | 5,300 | 5,098,600 | ||||||
Enterprise Products Operating LP | Baa3 | 4.00% | 10/15/07 | 4,000 | 3,951,068 | ||||||
Oneok, Inc. | Baa2 | 5.51% | 02/16/08 | 6,000 | 5,995,740 | ||||||
15,045,408 | |||||||||||
Real Estate Investment Trusts — 0.4% | |||||||||||
Equity One, Inc. | Baa3 | 3.875% | 04/15/09 | 1,450 | 1,394,933 | ||||||
Post Apartment Homes LP | Baa3 | 5.45% | 06/01/12 | 2,300 | 2,252,883 | ||||||
Spieker Properties LP | Baa2 | 7.65% | 12/15/10 | 1,000 | 1,095,380 | ||||||
4,743,196 | |||||||||||
Retailers — 1.5% | |||||||||||
GSC Holdings Corp.(g) | B1 | 9.2466% | 10/01/11 | 3,000 | 3,112,500 | ||||||
Home Depot, Inc. | Aa3 | 5.875% | 12/16/36 | 4,600 | 4,514,090 | ||||||
May Department Stores Co. | Baa1 | 6.65% | 07/15/24 | 900 | 891,713 | ||||||
The Gap, Inc. | Baa3 | 6.90% | 09/15/07 | 8,875 | 8,936,442 | ||||||
17,454,745 | |||||||||||
Structured Notes — 3.3% | |||||||||||
Dow Jones CDX HY, 144A(h) | B3 | 8.25% | 12/29/10 | 8,500 | 8,786,875 | ||||||
Dow Jones CDX HY, 144A(h) | B3 | 8.625% | 06/29/11 | 10,230 | 10,632,039 | ||||||
Trains HY-1 2006, 144A(a)(h) | B1 | 7.548% | 05/01/16 | 18,576 | 18,956,436 | ||||||
38,375,350 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B26
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Technology — 2.0% | ||||||||||||
Advanced Micro Devices, Inc., Bank Loan(i) | Ba3 | 7.62% | 10/24/13 | $ | 2,666 | $ | 2,671,782 | |||||
Certegy, Inc. | Ba2 | 4.75% | 09/15/08 | 1,900 | 1,835,007 | |||||||
Equifax, Inc. | Baa1 | 4.95% | 11/01/07 | 1,340 | 1,330,692 | |||||||
Freescale Semiconductor, Inc., 144A(h) | B1 | 9.125% | 12/15/14 | 2,600 | 2,583,750 | |||||||
Freescale Semiconductor, Inc., 144A(h) | B2 | 10.125% | 12/15/16 | 1,500 | 1,501,875 | |||||||
Jabil Circuit, Inc. | Baa3 | 5.875% | 07/15/10 | 2,000 | 1,985,848 | |||||||
Motorola, Inc. | Baa1 | 8.00% | 11/01/11 | 121 | 133,894 | |||||||
NXP BV/NXP Funding LLC, 144A(a)(h) | B2 | 9.50% | 10/15/15 | 1,970 | 2,019,250 | |||||||
Sensata Technologies BV (Netherlands), 144A(h) | Caa1 | 8.25% | 05/01/14 | 3,590 | 3,446,400 | |||||||
SunGard Data Systems, Inc. | B3 | 3.75% | 01/15/09 | 720 | 680,400 | |||||||
Xerox Corp. | Baa3 | 6.40% | 03/15/16 | 4,450 | 4,544,563 | |||||||
22,733,461 | ||||||||||||
Telecommunications — 4.8% | ||||||||||||
ALLTEL LP, 144A(h) | A2 | 8.00% | 08/15/10 | 735 | 788,070 | |||||||
AT&T Corp.(a) | A2 | 4.125% | 09/15/09 | 4,150 | 4,030,704 | |||||||
AT&T Corp. | A2 | 8.00% | 11/15/31 | 2,475 | 3,070,678 | |||||||
AT&T Wireless Services, Inc. | Baa1 | 8.75% | 03/01/31 | 2,375 | 3,086,467 | |||||||
BellSouth Corp. | A2 | 4.20% | 09/15/09 | 2,750 | 2,673,377 | |||||||
Citizens Communications Co. | Ba2 | 7.625% | 08/15/08 | 903 | 934,605 | |||||||
Embarq Corp. | Baa3 | 7.082% | 06/01/16 | 5,600 | 5,700,912 | |||||||
LCI International, Inc. | NR | 7.25% | 06/15/07 | 6,675 | 6,691,687 | |||||||
Level 3 Financing, Inc., 144A(h) | B2 | 9.25% | 11/01/14 | 1,650 | 1,683,000 | |||||||
New Cingular Wireless Services, Inc. | Baa1 | 8.125% | 05/01/12 | 1,810 | 2,036,735 | |||||||
Sprint Nextel Corp. | Baa3 | 6.00% | 12/01/16 | 3,625 | 3,533,023 | |||||||
Telecom de Puerto Rico (Puerto Rico) | Baa1 | 6.80% | 05/15/09 | 4,365 | 4,455,661 | |||||||
Telecom Italia Capital (Luxemburg) | Baa2 | 7.20% | 07/18/36 | 2,400 | 2,507,323 | |||||||
Telecom Italia Capital (Luxemburg) | Baa2 | 4.95% | 09/30/14 | 605 | 560,497 | |||||||
Telecom Italia Capital (Luxemburg) | Baa2 | 5.25% | 10/01/15 | 1,355 | 1,265,718 | |||||||
Telefonica Emisiones SAU | Baa1 | 6.421% | 06/20/16 | 5,500 | 5,673,899 | |||||||
TELUS Corp. (Canada) | Baa2 | 7.50% | 06/01/07 | 6,250 | 6,296,256 | |||||||
TELUS Corp. (Canada) | Baa2 | 8.00% | 06/01/11 | 150 | 164,031 | |||||||
55,152,643 | ||||||||||||
Tobacco — 0.6% | ||||||||||||
Altria Group, Inc. | Baa1 | 7.65% | 07/01/08 | 1,100 | 1,134,066 | |||||||
Altria Group, Inc. | Baa1 | 7.75% | 01/15/27 | 315 | 382,060 | |||||||
Reynolds American, Inc. | BB(f) | 6.50% | 07/15/10 | 4,000 | 4,057,456 | |||||||
Reynolds American, Inc. | Ba3 | 7.625% | 06/01/16 | 1,020 | 1,080,725 | |||||||
6,654,307 | ||||||||||||
U.S. Government Agency Obligations — 0.2% | ||||||||||||
Federal Home Loan Bank | Aaa | 4.75% | 12/16/16 | 105 | 102,803 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.50% | 07/18/16 | 120 | 124,487 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.125% | 10/18/16 | 115 | 115,985 | |||||||
Federal National Mortgage Association | Aaa | 4.875% | 12/15/16 | 20 | 19,776 | |||||||
Federal National Mortgage Association | Aaa | 6.625% | 11/15/30 | 170 | 202,861 | |||||||
Tennessee Valley Authority | Aaa | 5.88% | 04/01/36 | 1,315 | 1,445,857 | |||||||
2,011,769 | ||||||||||||
U.S. Government Mortgage-Backed Securities — 29.9% | ||||||||||||
Federal Home Loan Mortgage Corp. | Aaa | 4.50% | 02/01/19-07/01/19 | 17,368 | 16,760,176 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.00% | 07/01/19-05/01/34 | 8,642 | 8,443,933 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.00% | TBA 30 YR | 8,500 | 8,199,848 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.50% | 10/01/33-06/01/34 | 6,212 | 6,158,259 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.00% | 11/01/33-06/01/34 | 7,104 | 7,164,221 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.00% | TBA 30 YR | 2,500 | 2,517,970 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.50% | 07/01/32-09/01/32 | 3,382 | 3,458,430 |
SEE NOTES TO FINANCIAL STATEMENTS.
B27
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM BONDS (Continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||
U.S. Government Mortgage-Backed Securities (cont’d.) | |||||||||||||
Federal Home Loan Mortgage Corp. | Aaa | 7.00% | 10/01/32-11/01/33 | $ | 6,882 | $ | 7,078,887 | ||||||
Federal National Mortgage Association | Aaa | 4.00% | 05/01/19-06/01/19 | 8,263 | 7,787,500 | ||||||||
Federal National Mortgage Association | Aaa | 4.50% | 06/01/18-02/01/35 | 33,720 | 32,395,534 | ||||||||
Federal National Mortgage Association | Aaa | 5.00% | 01/01/19-03/01/34 | 48,578 | 47,111,438 | ||||||||
Federal National Mortgage Association | Aaa | 5.00% | TBA 15 YR | 15,000 | 14,742,180 | ||||||||
Federal National Mortgage Association | Aaa | 5.00% | TBA 30 YR | 3,000 | 2,895,936 | ||||||||
Federal National Mortgage Association(g) | Aaa | 5.279% | 01/01/36 | 4,016 | 4,009,212 | ||||||||
Federal National Mortgage Association | Aaa | 5.50% | TBA 30 YR | 56,500 | 55,829,063 | ||||||||
Federal National Mortgage Association | Aaa | 5.50% | 12/01/16-09/01/34 | 39,111 | 38,839,179 | ||||||||
Federal National Mortgage Association | Aaa | 6.00% | TBA 15 YR | 7,500 | 7,603,125 | ||||||||
Federal National Mortgage Association | Aaa | 6.00% | TBA 30 YR | 5,500 | 5,536,091 | ||||||||
Federal National Mortgage Association | Aaa | 6.00% | 09/01/17-02/01/35 | 21,421 | 21,623,049 | ||||||||
Federal National Mortgage Association | Aaa | 6.50% | 11/01/09-11/01/33 | 7,856 | 8,039,769 | ||||||||
Federal National Mortgage Association | Aaa | 7.00% | 05/01/32-06/01/32 | 689 | 708,360 | ||||||||
Federal National Mortgage Association | Aaa | 9.00% | 10/01/16-05/01/17 | 19 | 19,797 | ||||||||
Government National Mortgage Association | Aaa | 5.50% | TBA 30 YR | 250 | 248,750 | ||||||||
Government National Mortgage Association | Aaa | 5.50% | 01/15/33-07/15/35 | 18,397 | 18,303,823 | ||||||||
Government National Mortgage Association | Aaa | 6.00% | 12/15/32-11/15/34 | 11,430 | 11,587,771 | ||||||||
Government National Mortgage Association | Aaa | 6.50% | 09/15/32-11/15/33 | 6,099 | 6,264,218 | ||||||||
Government National Mortgage Association | Aaa | 7.50% | 10/15/25-02/15/26 | 200 | 208,667 | ||||||||
343,535,186 | |||||||||||||
U.S. Government Treasury Securities — 0.3% | |||||||||||||
United States Treasury Bonds(a) | Aaa | 4.50% | 02/15/36 | 200 | 190,188 | ||||||||
United States Treasury Notes(a) | Aaa | 4.625% | 11/15/16 | 1,285 | 1,276,568 | ||||||||
United States Treasury Notes(a) | Aaa | 4.625% | 11/15/16 | 2,430 | 2,414,054 | ||||||||
3,880,810 | |||||||||||||
TOTAL LONG-TERM BONDS | 1,142,714,909 | ||||||||||||
SHORT-TERM INVESTMENTS — 9.8% | Shares | ||||||||||||
Affiliated Money Market Mutual Funds | |||||||||||||
Dryden Core Investment Fund- Dryden Short-Term Bond Series(d) | 3,345,946 | 33,492,916 | |||||||||||
Dryden Core Investment Fund-Taxable Money Market Fund Series (includes $54,138,631 of cash collateral received for securities on loan) (Note 4)(c)(d) | 78,680,564 | 78,680,564 | |||||||||||
TOTAL AFFILIATED MONEY MARKET MUTUAL FUNDS | 112,173,480 | ||||||||||||
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 109.1% | 1,254,888,389 | ||||||||||||
SECURITY SOLD SHORT — (1.7)% | Moody’s Rating | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||||
U.S. Government Mortgage-Backed Securities | |||||||||||||
Federal National Mortgage Association (proceeds $19,425,000) | Aaa | 4.50% | TBA | $ | 20,000 | (19,287,500 | ) | ||||||
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.4% | 1,235,600,889 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (7.4%) | (85,235,809 | ) | |||||||||||
TOTAL NET ASSETS — 100.0% | $ | 1,150,365,080 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B28
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The following abbreviations are used in portfolio descriptions:
AUD | Australian Dollar | |
BRL | Brazilian Real | |
EUR | Euro Dollar | |
HUF | Hungarian Forint | |
JPY | Japanese Yen | |
MTN | Medium Term Note | |
MXP | Mexican Peso | |
NOK | Norwegian Krone | |
NR | Not Rated by Moody’s or Standard & Poor’s | |
PLN | Polish Zloty | |
TBA | Securities purchased on a forward commitment basis |
# | Principal amount shown in U.S. dollars unless otherwise stated. |
(a) | All or portion of security is on loan. The aggregate market value of such securities is $52,884,013; cash collateral of $54,138,631 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Dryden Short-Term Bond Series. |
(e) | Security segregated as collateral for future contracts. |
(f) | Standard & Poor’s rating. |
(g) | Indicates a variable rate security. The maturity date presented for these instruments is the latter of the next date on which the security can be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at December 31, 2006. |
(h) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(i) | Indicates a security that has been deemed illiquid. |
(j) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures, interest rate swaps, credit default swaps and foreign currency contracts as follows: |
Open future contracts outstanding at December 31, 2006:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2006 | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
34 | Canadian 10 Yr Bond | Mar. 2007 | $ | 3,352,107 | $ | 3,318,510 | $ | (33,597 | ) | |||||
80 | Eurodollar | Mar. 2007 | 12,487,910 | 12,253,185 | (234,725 | ) | ||||||||
41 | U.K. 10 Yr Bond | Mar. 2007 | 8,801,662 | 8,680,379 | (121,283 | ) | ||||||||
839 | U.S. Treasury 10 Yr. Bond | Mar. 2007 | 94,836,138 | 93,496,063 | (1,340,075 | ) | ||||||||
(1,729,680 | ) | |||||||||||||
Short Positions: | ||||||||||||||
169 | U.S. Treasury 5 Yr. Notes | Mar. 2007 | 17,946,770 | 17,755,563 | 191,207 | |||||||||
110 | U.S. Treasury 2 Yr. Notes | Mar. 2007 | 22,592,833 | 22,443,438 | 149,395 | |||||||||
1358 | U.S. Treasury 10 Yr. Notes | Mar. 2007 | 147,560,657 | 145,942,563 | 1,618,094 | |||||||||
1,958,696 | ||||||||||||||
$ | 229,016 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B29
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Forward Foreign currency exchange contracts outstanding at December 31, 2006:
Foreign Currency Contract | Value at Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | |||||||
Purchased: | ||||||||||
Brazilian Real expiring 10/23/08 | $ | 2,775,000 | $ | 3,092,791 | $ | 317,791 | ||||
Japanese Yen expiring 01/24/07 | 2,217,281 | 2,204,654 | (12,627 | ) | ||||||
Norwegian Krone expiring 01/22/07 | 3,398,888 | 3,401,740 | 2,852 | |||||||
8,391,169 | 8,699,185 | 308,016 | ||||||||
Sold: | ||||||||||
Australian Dollar expiring 01/19/07 | 3,285,773 | 3,298,715 | (12,942 | ) | ||||||
Euro expiring 01/24/07 | 6,690,847 | 6,739,742 | (48,895 | ) | ||||||
Hungarian Forint expiring 01/22/07 | 16,480,840 | 16,612,076 | (131,236 | ) | ||||||
Japanese Yen expiring 01/24/07 | 3,511,312 | 3,468,046 | 43,266 | |||||||
Mexican Nuevo Peso expiring 01/18/07 | 6,075,507 | 6,098,448 | (22,941 | ) | ||||||
Norwegian Krone expiring 01/22/07 | 8,748,426 | 8,692,160 | 56,266 | |||||||
Polish Zloty expiring 01/22/07 | 13,593,679 | 13,457,398 | 136,281 | |||||||
58,386,384 | 58,366,585 | 19,799 | ||||||||
$ | 327,815 | |||||||||
Interest rate swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional (000) | Fixed Rate | Floating Rate | Unrealized (Depreciation) | |||||||||
Merrill Lynch Capital Services, Inc.(a) | 11/02/2016 | $ | 12,030 | 5.151 | % | 3 month LIBOR | $ | (39,888 | ) | |||||
Morgan Stanley Capital Services(a) | 12/22/2016 | 9,490 | 6.808 | % | 3 month NZD-BBR-FRA | 14,752 | ||||||||
Morgan Stanley Capital Services(a) | 01/04/2017 | 4,735 | 6.88 | % | 3 month NZD-BBR-FRA | — | ||||||||
$ | (25,136 | ) | ||||||||||||
(a) | Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Underlying Bond | Unrealized Appreciation/ (Depreciation) | |||||||||
Morgan Stanley Capital Services, Inc.(a) | 06/20/2009 | $ | 4,000 | 0.82 | % | Tyco International Group SA, 6.00%, due 11/15/13 | $ | 61,130 | ||||||
Morgan Stanley Capital Services, Inc.(b) | 12/20/2009 | 3,295 | 0.60 | % | RPM International, Inc., 6.25%, due 12/15/13 | (32,058 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 12/20/2009 | 1,855 | 0.75 | % | RPM International, Inc., 6.25%, due 12/15/13 | (25,925 | ) | |||||||
Merrill Lynch Capital Services, Inc.(a) | 12/20/2009 | 4,000 | 4.55 | % | General Motors Corp., 7.125%, 07/15/13 | 181,411 | ||||||||
Deutsche Bank AG(b) | 05/25/2036 | 1,000 | 2.74 | % | Fieldstone Mortgage Investment Corp., Ser. 2006-1, Class M9, 7.62%, due 05/25/36 | (809 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 06/25/2036 | 1,000 | 4.25 | % | Morgan Stanley ABS Capital I, Ser. 2006-HE4, Class B3, 7.19%, 06/25/36 | (15,852 | ) | |||||||
Morgan Stanley Capital Services, Inc.(a) | 12/20/2014 | 5,500 | 1.17 | % | Nextel Communications, Inc., 7.375%, due 8/1/15 | 136,586 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 09/20/2015 | 4,000 | 0.57 | % | Dow Chemical Co., 6.00%, due 10/01/12 | 86,934 |
SEE NOTES TO FINANCIAL STATEMENTS.
B30
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Underlying Bond | Unrealized Appreciation/ (Depreciation) | |||||||||
Deutsche Bank AG(b) | 11/25/2035 | $ | 1,000 | 1.98 | % | Residential Asset Mortgage Products, Inc., Ser. 2005-EFC6, Class M9, 7.57%, 11/25/35 | $ | (4,311 | ) | |||||
Merrill Lynch Capital Services, Inc.(b) | 12/25/2035 | 800 | 2.04 | % | Accredited Mortgage Loan Trust, Ser. 2005-4, Class M9, 7.82%, 12/25/35 | (3,458 | ) | |||||||
Deutsche Bank AG(b) | 04/25/2036 | 550 | 3.05 | % | First Franklin Mortgage Loan Asset Backed Certificates, | (2,268 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 04/25/2036 | 235 | 3.15 | % | First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2006-FF5, Class M9, 7.27%, 04/25/36 | (973 | ) | |||||||
Citibank, NA(b) | 05/25/2036 | 1,000 | 4.55 | % | Structured Asset Securities Corp., Ser. 2006-NC1, Class M9, 7.22%, 05/25/36 | (2,410 | ) | |||||||
$ | 377,997 | |||||||||||||
(a) | The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults. |
(b) | The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults. |
SEE NOTES TO FINANCIAL STATEMENTS.
B31
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:
U.S Government Mortgage-Backed Securities | 29.9 | % | |
Affiliated Money Market Mutual Funds (including 4.7% of collateral received for securities on loan) | 9.8 | ||
Commercial Mortgage-Backed Securities | 8.7 | ||
Non-Corporate Sovereign | 7.7 | ||
Telecommunications | 4.8 | ||
Asset-Backed Securities | 4.1 | ||
Electric | 3.8 | ||
Structured Notes | 3.3 | ||
Banking | 2.9 | ||
Chemicals | 2.2 | ||
Media & Entertainment | 2.2 | ||
Health Care & Pharmaceutical | 2.0 | ||
Non-Corporate Foreign Agency | 2.0 | ||
Technology | 2.0 | ||
Non-Captive Finance | 1.8 | ||
Automotive | 1.5 | ||
Foods | 1.5 | ||
Retailers | 1.5 | ||
Insurance | 1.4 | ||
Paper | 1.4 | ||
Cable | 1.3 | ||
Pipelines & Other | 1.3 | ||
Capital Goods | 1.2 | ||
Energy-Other | 1.2 | ||
Building Materials & Construction | 1.0 | ||
Collateralized Mortgage Obligations | 1.0 | ||
Health Care Insurance | 1.0 | ||
Aerospace/Defense | 0.8 | ||
Airlines | 0.8 | ||
Consumer | 0.6 | ||
Gaming | 0.6 | ||
Metals | 0.6 | ||
Tobacco | 0.6 | ||
Brokerage | 0.5 | ||
Lodging | 0.5 | ||
Energy-Integrated | 0.4 | ||
Real Estate Investment Trusts | 0.4 | ||
Emerging Markets | 0.3 | ||
U.S. Government Treasury Securities | 0.3 | ||
U.S. Government Agency Obligations | 0.2 | ||
109.1 | |||
Securities Sold Short | (1.7 | ) | |
Liabilities in excess of other assets | (7.4 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B32
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 98.7% | Value (Note 2) | ||||
COMMON STOCKS | Shares | ||||
Aerospace & Defense — 3.0% | |||||
Boeing Co. (The) | 600,559 | $ | 53,353,661 | ||
Honeywell International, Inc. | 1,490,800 | 67,443,792 | |||
Lockheed Martin Corp. | 1,326 | 122,085 | |||
Orbital Sciences Corp.*(a) | 681,900 | 12,574,236 | |||
Raytheon Co. | 2,400 | 126,720 | |||
133,620,494 | |||||
Air Freight & Logistics | |||||
United Parcel Service, Inc. | 1,735 | 130,090 | |||
Beverages — 1.7% | |||||
PepsiCo, Inc. | 1,221,423 | 76,400,009 | |||
Biotechnology — 1.4% | |||||
Amgen, Inc.* | 2,315 | 158,138 | |||
Genentech, Inc.*(a) | 325,313 | 26,392,644 | |||
Gilead Sciences, Inc.*(a) | 560,752 | 36,409,627 | |||
62,960,409 | |||||
Building Materials — 0.9% | |||||
Masco Corp. | 1,360,862 | 40,648,948 | |||
Building Products — 0.7% | |||||
American Standard Cos., Inc.(a) | 656,200 | 30,086,770 | |||
Capital Markets — 6.1% | |||||
Bank of New York Co., Inc. (The) | 961,900 | 37,870,003 | |||
Goldman Sachs Group, Inc. | 336,712 | 67,123,537 | |||
Lazard Ltd. (Class A Stock)(a) | 193,400 | 9,155,556 | |||
Mellon Financial Corp.(a) | 16,538 | 697,077 | |||
Merrill Lynch & Co., Inc.(a) | 740,859 | 68,973,973 | |||
Schwab, (Charles) Corp. | 1,131,700 | 21,887,078 | |||
UBS AG | 1,017,600 | 61,391,808 | |||
267,099,032 | |||||
Chemicals — 1.8% | |||||
Air Products & Chemicals, Inc. | 900 | 63,252 | |||
Arkema, ADR (France)* | 70 | 3,593 | |||
E.I. Du Pont de Nemours & Co.(a) | 1,297,914 | 63,221,391 | |||
Ecolab, Inc.(a) | 329,528 | 14,894,666 | |||
78,182,902 | |||||
Clothing & Apparel | |||||
Cintas Corp. | 844 | 33,515 | |||
Hanesbrands, Inc.* | 500 | 11,810 | |||
45,325 | |||||
Commercial Banks — 2.5% | |||||
Bank of America Corp. | 751,448 | 40,119,809 | |||
Royal Bank of Scotland Group PLC (United Kingdom) | 525,055 | 20,488,998 | |||
Wachovia Corp. | 1,401 | 79,786 | |||
Wells Fargo & Co. | 1,436,614 | 51,085,994 | |||
111,774,587 | |||||
Commercial Services & Supplies — 0.7% | |||||
Waste Management, Inc. | 883,600 | 32,489,972 | |||
Communication Equipment — 7.4% | |||||
Avaya, Inc.* | 2,016,800 | 28,194,864 | |||
Cisco Systems, Inc.* | 3,132,689 | 85,616,390 | |||
Corning, Inc.* | 614,975 | 11,506,182 | |||
Motorola, Inc. | 4,189,564 | 86,137,436 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Communication Equipment (cont’d.) | |||||
Nokia Corp., ADR (Finland) | 7,542 | $ | 153,254 | ||
QUALCOMM, Inc. | 2,459,460 | 92,942,993 | |||
Research in Motion Ltd. (Canada)* | 151,800 | 19,397,004 | |||
323,948,123 | |||||
Computers & Peripherals — 1.4% | |||||
Apple Computer, Inc.* | 481,700 | 40,867,428 | |||
Dell, Inc.*(a) | 10,365 | 260,058 | |||
EMC Corp.* | 8,140 | 107,448 | |||
Hewlett-Packard Co. | 450,100 | 18,539,619 | |||
Sun Microsystems, Inc.*(a) | 5,400 | 29,268 | |||
59,803,821 | |||||
Conglomerates | |||||
Cooper Industries Ltd. (Bermuda) (Class A Stock) | 410 | 37,076 | |||
Construction — 1.0% | |||||
Toll Brothers, Inc.*(a) | 1,319,100 | 42,514,593 | |||
Consumer Finance — 1.3% | |||||
American Express Co. | 946,646 | 57,433,013 | |||
Consumer Products & Services — 0.5% | |||||
Fortune Brands, Inc.(a) | 242,700 | 20,724,153 | |||
Diversified Consumer Services — 1.0% | |||||
Career Education Corp.*(a) | 679,400 | 16,835,532 | |||
H&R Block, Inc. | 1,220,900 | 28,129,536 | |||
44,965,068 | |||||
Diversified Financial Services — 5.8% | |||||
Capital One Financial Corp. | 438,575 | 33,691,331 | |||
Citigroup, Inc. | 753,304 | 41,959,033 | |||
Freddie Mac(a) | 612,790 | 41,608,441 | |||
IntercontinentalExchange, Inc.*(a) | 216,100 | 23,317,190 | |||
JPMorgan Chase & Co. | 1,043,247 | 50,388,830 | |||
KKR Private Equity Investors LP(c) | 1,295,700 | 29,606,745 | |||
KKR Private Equity Investors LP, RDU (cost $7,567,532; purchased 7/18/06-8/3/06)(c)(e) | 334,700 | 7,647,895 | |||
NYSE Group, Inc.*(a) | 267,500 | 26,001,000 | |||
254,220,465 | |||||
Electronic Components — 1.0% | |||||
Dolby Laboratories, Inc. (Class A Stock)*(a) | 684,158 | 21,222,581 | |||
Parker Hannifin Corp. | 286,900 | 22,056,872 | |||
43,279,453 | |||||
Energy Equipment & Services — 1.7% | |||||
Baker Hughes, Inc. | 362,700 | 27,079,182 | |||
BJ Services Co. | 5,010 | 146,893 | |||
Cameron International Corp.* | 6,490 | 344,295 | |||
GlobalSantaFe Corp. (Cayman Islands) | 2,000 | 117,560 | |||
Halliburton Co. | 855,500 | 26,563,275 | |||
Transocean, Inc.* | 272,000 | 22,002,080 | |||
76,253,285 | |||||
Financial – Bank & Trust — 0.4% | |||||
Hudson City Bancorp, Inc. | 1,363,500 | 18,925,380 | |||
PNC Financial Services Group, Inc.(a) | 1,986 | 147,043 | |||
19,072,423 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B33
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Financial – Brokerage | |||||
Ameriprise Financial, Inc. | 177 | $ | 9,647 | ||
Food & Staples Retailing — 1.7% | |||||
Kroger Co. (The) | 1,251,500 | 28,872,105 | |||
Wal-Mart Stores, Inc. | 1,023,192 | 47,251,007 | |||
76,123,112 | |||||
Food Products — 2.3% | |||||
Cadbury Schweppes PLC, ADR (United Kingdom) | 686,800 | 29,484,324 | |||
ConAgra Foods, Inc. | 1,128,200 | 30,461,400 | |||
General Mills, Inc. | 792 | 45,619 | |||
Kellogg Co. | 395,315 | 19,789,469 | |||
McCormick & Co., Inc. | 587,523 | 22,654,887 | |||
Sara Lee Corp. | 4,000 | 68,120 | |||
102,503,819 | |||||
Healthcare Equipment & Supplies — 0.8% | |||||
Alcon, Inc.(a) | 265,300 | 29,652,581 | |||
Baxter International, Inc. | 88,800 | 4,119,432 | |||
Medtronic, Inc. | 1,486 | 79,516 | |||
St. Jude Medical, Inc.*(a) | 833 | 30,454 | |||
33,881,983 | |||||
Healthcare Providers & Services — 2.1% | |||||
Coventry Health Care, Inc.* | 357,523 | 17,894,026 | |||
Omnicare, Inc.(a) | 611,500 | 23,622,245 | |||
Tenet Healthcare Corp.*(a) | 2,352 | 16,394 | |||
UnitedHealth Group, Inc. | 497,147 | 26,711,708 | |||
WellPoint, Inc.* | 292,800 | 23,040,432 | |||
91,284,805 | |||||
Hotels, Restaurants & Leisure — 2.2% | |||||
Marriott International, Inc. (Class A Stock) | 539,600 | 25,749,712 | |||
McDonald’s Corp. | 968,661 | 42,940,742 | |||
OSI Restaurant Partners, Inc. | 560 | 21,952 | |||
Station Casinos, Inc.(a) | 320,878 | 26,206,106 | |||
94,918,512 | |||||
Household Durables | |||||
Newell Rubbermaid, Inc. | 2,500 | 72,375 | |||
Household Products — 1.0% | |||||
Kimberly-Clark Corp. | 388,900 | 26,425,755 | |||
Procter & Gamble Co. | 302,878 | 19,465,969 | |||
45,891,724 | |||||
Independent Power Producers & Energy Traders — 0.7% | |||||
NRG Energy, Inc.*(a) | 525,500 | 29,433,255 | |||
Industrial Conglomerates — 2.9% | |||||
General Electric Co. | 2,741,463 | 102,009,838 | |||
Textron, Inc. | 265,485 | 24,894,529 | |||
Tyco International Ltd. | 16,708 | 507,923 | |||
127,412,290 | |||||
Insurance — 5.5% | |||||
AFLAC, Inc.(a) | 668,670 | 30,758,820 | |||
Allstate Corp. (The) | 2,922 | 190,251 | |||
American International Group, Inc. | 1,157,110 | 82,918,503 | |||
Axis Capital Holdings Ltd. | 644,600 | 21,510,302 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Insurance (cont’d.) | |||||
Berkshire Hathaway, Inc. (Class A Stock)* | 207 | $ | 22,767,930 | ||
Chubb Corp. | 486,664 | 25,749,392 | |||
Conseco, Inc.* | 2,165 | 43,257 | |||
Hartford Financial Services Group, Inc. | 614 | 57,292 | |||
Loews Corp. | 943,200 | 39,114,504 | |||
Marsh & McLennan Cos., Inc. | 687,900 | 21,091,014 | |||
244,201,265 | |||||
Internet Software & Services — 1.2% | |||||
Google, Inc. (Class A Stock)* | 109,900 | 50,606,752 | |||
Oracle Corp.* | 10,373 | 177,793 | |||
Yahoo!, Inc.*(a) | 1,140 | 29,116 | |||
50,813,661 | |||||
IT Services — 0.8% | |||||
Accenture Ltd. (Class A Stock) | 2,802 | 103,478 | |||
Infosys Technologies Ltd., ADR (India)(a) | 244,700 | 13,350,832 | |||
Paychex, Inc. | 521,110 | 20,604,689 | |||
34,058,999 | |||||
Leisure Equipment & Products | |||||
Mattel, Inc. | 2,812 | 63,720 | |||
Life Science Tools & Services | |||||
Thermo Fisher Scientific, Inc.* | 550 | 24,910 | |||
Media — 4.9% | |||||
CBS Corp. (Class B Stock) | 3,523 | 109,847 | |||
Comcast Corp. (Class A Stock)*(a) | 655,200 | 27,734,616 | |||
Comcast Corp. (Special Class A Stock)* | 1,045 | 43,764 | |||
EchoStar Communications Corp. (Class A Stock)*(a) | 551,926 | 20,989,746 | |||
Liberty Global, Inc. (Class C Stock)* | 1,022,450 | 28,628,600 | |||
News Corp. (Class A Stock) | 1,540,026 | 33,079,758 | |||
News Corp. (Class B Stock) | 1,313,938 | 29,248,260 | |||
Time Warner, Inc. | 1,541,906 | 33,582,713 | |||
Univision Communications, Inc. (Class A Stock)* | 1,102 | 39,033 | |||
Viacom, Inc. (Class B Stock)* | 3,523 | 144,549 | |||
Walt Disney Co. (The) | 1,248,600 | 42,789,522 | |||
216,390,408 | |||||
Metals & Mining — 1.8% | |||||
Barrick Gold Corp. (Canada)(a) | 1,448,138 | 44,457,837 | |||
Freeport-McMoRan Copper & Gold, Inc. (Class B Stock) | 297,100 | 16,557,383 | |||
Phelps Dodge Corp. | 171,000 | 20,472,120 | |||
81,487,340 | |||||
Multi – Line Retail — 0.7% | |||||
J.C. Penney Co., Inc. | 1,300 | 100,568 | |||
Kohl’s Corp.*(a) | 530 | 36,268 | |||
Staples, Inc. | 534,841 | 14,280,255 | |||
Target Corp. | 322,013 | 18,370,841 | |||
32,787,932 | |||||
Multi – Utilities — 1.8% | |||||
Sempra Energy | 1,394,046 | 78,058,502 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
B34
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Office Electronics — 0.6% | |||||
Xerox Corp.* | 1,616,100 | $ | 27,392,895 | ||
Oil, Gas & Consumable Fuels — 7.5% | |||||
Anadarko Petroleum Corp. | 515,900 | 22,451,968 | |||
ConocoPhillips | 286,986 | 20,648,643 | |||
Exxon Mobil Corp. | 759,928 | 58,233,282 | |||
Hess Corp. | 565,400 | 28,026,878 | |||
Nexen, Inc. | 599,300 | 32,961,500 | |||
Occidental Petroleum Corp. | 612,400 | 29,903,492 | |||
Petroleo Brasileiro SA, ADR (Brazil) | 276,100 | 28,435,539 | |||
Suncor Energy, Inc. (Canada) | 796,620 | 62,752,676 | |||
Total SA, ADR (France) | 644,726 | 46,368,694 | |||
329,782,672 | |||||
Pharmaceuticals — 6.6% | |||||
Abbott Laboratories | 830,655 | 40,461,205 | |||
Elan Corp. PLC, ADR (Ireland)*(a) | 1,489,000 | 21,962,750 | |||
Eli Lilly & Co. | 1,697 | 88,414 | |||
Johnson & Johnson | 2,172 | 143,395 | |||
MedImmune, Inc.*(a) | 1,986 | 64,287 | |||
Merck & Co., Inc. | 4,000 | 174,400 | |||
Novartis AG, ADR (Switzerland) | 748,000 | 42,965,120 | |||
Pfizer, Inc. | 1,800 | 46,620 | |||
Roche Holdings Ltd., ADR (Switzerland) | 476,700 | 42,663,601 | |||
Sanofi-Aventis, ADR (France) | 698,922 | 32,269,229 | |||
Schering-Plough Corp. | 1,956,100 | 46,242,204 | |||
Sepracor, Inc.*(a) | 1,200 | 73,896 | |||
Wyeth | 1,234,809 | 62,876,474 | |||
290,031,595 | |||||
Retail & Merchandising — 0.6% | |||||
Best Buy Co., Inc. | 536,100 | 26,370,759 | |||
CVS Corp.(a) | 1,060 | 32,764 | |||
TJX Cos., Inc. | 1,310 | 37,309 | |||
26,440,832 | |||||
Semiconductors & Semiconductor Equipment — 1.8% | |||||
Analog Devices, Inc. | 1,080 | 35,500 | |||
ASML Holding NV (Netherlands)* | 1,061,916 | 26,154,991 | |||
Broadcom Corp. (Class A Stock)*(a) | 647,150 | 20,909,416 | |||
Intel Corp. | 4,300 | 87,075 | |||
KLA-Tencor Corp. | 552 | 27,462 | |||
Marvell Technology Group Ltd.* | 1,102,310 | 21,153,329 | |||
Maxim Integrated Products, Inc.(a) | 2,600 | 79,612 | |||
Texas Instruments, Inc. | 443,955 | 12,785,904 | |||
Xilinx, Inc.(a) | 1,070 | 25,477 | |||
81,258,766 | |||||
Software — 5.4% | |||||
Adobe Systems, Inc.* | 1,622,213 | 66,705,399 | |||
Electronic Arts, Inc.* | 675,352 | 34,010,727 | |||
Microsoft Corp. | 3,802,995 | 113,557,431 | |||
SAP AG, ADR (Germany)(a) | 426,600 | 22,652,460 | |||
Symantec Corp.* | 13,210 | 275,428 | |||
237,201,445 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | ||||
Specialty Retail — 0.6% | ||||||
Bed Bath & Beyond, Inc.* | 770 | $ | 29,337 | |||
Home Depot, Inc. (The) | 1,445 | 58,031 | ||||
Lowe’s Cos., Inc.(a) | 697,384 | 21,723,512 | ||||
Williams-Sonoma, Inc.(a) | 78,200 | 2,458,608 | ||||
24,269,488 | ||||||
Telecommunications — 0.9% | ||||||
Alltel Corp. | 267,948 | 16,205,495 | ||||
Comverse Technology, Inc.* | 24,403 | 515,148 | ||||
Embarq Corp. | 661 | 34,742 | ||||
Juniper Networks, Inc.*(a) | 1,102,500 | 20,881,350 | ||||
Nortel Networks Corp. (Canada)* | 1,926 | 51,482 | ||||
37,688,217 | ||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||
Coach, Inc.* | 827,200 | 35,536,512 | ||||
NIKE, Inc. (Class B Stock) | 242,000 | 23,965,260 | ||||
59,501,772 | ||||||
Tobacco — 1.6% | ||||||
Altria Group, Inc. | 830,400 | 71,264,928 | ||||
Transportation | ||||||
Expeditors International Washington, Inc. | 566 | 22,923 | ||||
FedEx Corp. | 250 | 27,155 | ||||
50,078 | ||||||
Wireless Telecommunication Services — 1.1% | ||||||
NII Holdings, Inc.*(a) | 442,900 | 28,540,476 | ||||
Sprint Nextel Corp. | 1,108,816 | 20,945,534 | ||||
49,486,010 | ||||||
TOTAL LONG-TERM INVESTMENTS | 4,349,476,968 | |||||
SHORT-TERM INVESTMENT — 9.9% | ||||||
AFFILIATED MONEY MARKET MUTUAL FUND | ||||||
Dryden Core Investment Fund —Taxable Money Market Series (cost $435,213,247 includes $379,439,451 of cash collateral for securities on loan)(b)(w) (Note 4) | 435,213,247 | $ | 435,213,247 | |||
TOTAL INVESTMENTS(d) — 108.6% (cost $3,956,383,881) | 4,784,690,215 | |||||
LIABILITIES IN EXCESS OF OTHER | (380,043,231 | ) | ||||
NET ASSETS — 100.0% | $ | 4,404,646,984 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
B35
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The following abbreviations are used in portfolio descriptions:
ADR | American Depositary Receipt | |
RDU | Restricted Depositary Receipt |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities is $366,835,888; cash collateral of $379,439,451 (included with liabilities) was received with which the portfolio purchased highly liquid short-term investments. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(d) | As of December 31, 2006, 1 security representing $7,647,895 and 0.17% of the net assets was fair valued in accordance with the policies adopted by the Board of Trustees. |
(e) | Indicates a security illiquid and restricted as to resale. The aggregate cost of such security was $7,567,532. The aggregate value of $7,647,895 is approximately .17% of the net assets. |
(w) | Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series. |
The industry classification of long-term portfolio holdings, short-term investment and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:
Industry | |||
Affiliated Money Market Mutual Fund (including 8.6% of collateral received for securities on loan) | 9.9 | % | |
Oil, Gas & Consumable Fuels | 7.5 | ||
Communication Equipment | 7.4 | ||
Pharmaceuticals | 6.6 | ||
Capital Markets | 6.1 | ||
Diversified Financial Services | 5.8 | ||
Insurance | 5.5 | ||
Software | 5.4 | ||
Media | 4.9 | ||
Aerospace & Defense | 3.0 | ||
Industrial Conglomerates | 2.9 | ||
Commercial Banks | 2.5 | ||
Food Products | 2.3 | ||
Hotels, Restaurants & Leisure | 2.2 | ||
Healthcare Providers & Services | 2.1 | ||
Metals & Mining | 1.8 | ||
Semiconductors & Semiconductor Equipment | 1.8 | ||
Chemicals | 1.8 | ||
Multi-Utilities | 1.8 | ||
Beverages | 1.7 | ||
Energy Equipment & Services | 1.7 | ||
Food & Staples Retailing | 1.7 | ||
Tobacco | 1.6 | ||
Biotechnology | 1.4 | ||
Computers & Peripherals | 1.4 | ||
Textiles, Apparel & Luxury Goods | 1.3 | ||
Consumer Finance | 1.3 | ||
Internet Software & Services | 1.2 | ||
Wireless Telecommunication Services | 1.1 | ||
Household Products | 1.0 | ||
Diversified Consumer Services | 1.0 | ||
Electronic Components | 1.0 | ||
Construction | 1.0 | ||
Building Materials | 0.9 | ||
Telecommunications | 0.9 | ||
IT Services | 0.8 | ||
Healthcare Equipment & Supplies | 0.8 | ||
Multi-Line Retail | 0.7 | ||
Commercial Services & Supplies | 0.7 |
Building Products | 0.7 | % | |
Independent Power Producers & Energy Traders | 0.7 | ||
Office Electronics | 0.6 | ||
Retail & Merchandising | 0.6 | ||
Specialty Retail | 0.6 | ||
Consumer Products & Services | 0.5 | ||
Financial — Bank & Trust | 0.4 | ||
108.6 | |||
Liabilities in excess of other assets | (8.6 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B36
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 91.7% | Value (Note 2) | ||||
COMMON STOCKS — 66.8% | Shares | ||||
Aerospace & Defense — 1.9% | |||||
Boeing Co. | 101,900 | $ | 9,052,796 | ||
Ceradyne, Inc.(a)(b) | 51,900 | 2,932,350 | |||
Honeywell International, Inc. | 200,200 | 9,057,048 | |||
L-3 Communications Holdings, Inc. | 122,900 | 10,050,762 | |||
Lockheed Martin Corp. | 190,600 | 17,548,542 | |||
Northrop Grumman Corp. | 268,400 | 18,170,680 | |||
Raytheon Co. | 54,400 | 2,872,320 | |||
United Technologies Corp. | 13,400 | 837,768 | |||
70,522,266 | |||||
Air Freight & Logistics — 0.4% | |||||
FedEx Corp. | 89,400 | 9,710,628 | |||
HUB Group, Inc.(a) | 21,200 | 584,060 | |||
United Parcel Service, Inc. (Class “B” Stock)(b) | 43,800 | 3,284,124 | |||
13,578,812 | |||||
Airlines — 0.1% | |||||
Air France KLM (France) | 36,941 | 1,555,077 | |||
British Airways PLC (United Kingdom)(a) | 35,460 | 366,243 | |||
Qantas Airways Ltd. (Australia) | 222,933 | 918,879 | |||
2,840,199 | |||||
Auto Components — 0.1% | |||||
Bridgestone Corp. (Japan) | 4,000 | 89,265 | |||
Compagnie Generale des Etablissements Michelin (France) | 6,546 | 626,474 | |||
Continental AG (Germany) | 12,157 | 1,415,575 | |||
Rieter Holding AG (Switzerland) | 775 | 405,468 | |||
Stanley Electric Co. Ltd. (Japan) | 18,500 | 369,589 | |||
2,906,371 | |||||
Automobiles — 0.6% | |||||
DaimlerChrysler AG (Germany) | 13,601 | 842,578 | |||
Fiat S.p.A. (Italy) | 34,999 | 668,980 | |||
General Motors Corp.(b) | 423,500 | 13,009,920 | |||
Harley-Davidson, Inc.(b) | 6,000 | 422,820 | |||
Honda Motor Co. Ltd. (Japan) | 51,100 | 2,016,875 | |||
Renault SA (France) | 10,333 | 1,241,242 | |||
Toyota Motor Corp. (Japan) | 66,000 | 4,417,182 | |||
Volkswagen AG (Germany) | 4,477 | 508,010 | |||
Yamaha Motor Co. Ltd. (Japan) | 18,000 | 565,807 | |||
23,693,414 | |||||
Beverages — 1.2% | |||||
Anheuser-Busch Cos., Inc.(b) | 39,400 | 1,938,480 | |||
Carlsberg A/S (Denmark) | 800 | 79,451 | |||
Coca-Cola Co. (The)(b) | 349,800 | 16,877,850 | |||
Coca-Cola Enterprises, Inc. | 227,300 | 4,641,466 | |||
Coca-Cola Hellenic Bottling Co. SA (Greece) | 5,730 | 223,890 | |||
Foster’s Group Ltd. (Australia) | 174,143 | 949,634 | |||
InBev NV (Belgium) | 1,030 | 67,901 | |||
Molson Coors Brewing Co. | 9,300 | 710,892 | |||
Pepsi Bottling Group, Inc. | 87,000 | 2,689,170 | |||
PepsiAmericas, Inc. | 10,600 | 222,388 | |||
PepsiCo, Inc. | 226,020 | 14,137,551 | |||
SABMiller PLC (United Kingdom) | 39,487 | 908,449 | |||
43,447,122 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Biotechnology — 0.6% | |||||
Amgen, Inc.(a) | 185,608 | $ | 12,678,882 | ||
Biogen Idec, Inc.(a)(b) | 161,400 | 7,939,266 | |||
ImClone Systems, Inc.(a) | 40,100 | 1,073,076 | |||
PDL BioPharma, Inc.(a)(b) | 53,700 | 1,081,518 | |||
United Therapeutics Corp.(a) | 24,300 | 1,321,191 | |||
24,093,933 | |||||
Building Products — 0.1% | |||||
Cie de Saint-Gobain (France) | 23,439 | 1,969,365 | |||
Geberit AG (Switzerland) | 412 | 634,991 | |||
JS Group Corp. (Japan) | 8,000 | 168,233 | |||
NCI Buildings Systems, Inc.(a) | 9,800 | 507,150 | |||
Nippon Sheet Glass Co. Ltd. (Japan) | 93,000 | 435,521 | |||
Sanwa Shutter Corp. (Japan) | 25,000 | 147,539 | |||
3,862,799 | |||||
Capital Markets — 3.0% | |||||
3i Group PLC (United Kingdom) | 8,809 | 174,117 | |||
Bear Stearns Cos., Inc. (The) | 42,900 | 6,983,262 | |||
Credit Suisse Group (Switzerland) | 42,315 | 2,960,487 | |||
D. Carnegie & Co. AB (Sweden) | 10,100 | 217,610 | |||
Deutsche Bank AG (Germany) | 22,896 | 3,070,128 | |||
Franklin Resources, Inc. | 8,900 | 980,513 | |||
Goldman Sachs Group, Inc. | 136,700 | 27,251,145 | |||
Janus Capital Group, Inc.(b) | 121,100 | 2,614,549 | |||
Lehman Brothers Holdings, Inc. | 303,000 | 23,670,360 | |||
Macquarie Bank Ltd. (Australia) | 10,777 | 669,850 | |||
Merrill Lynch & Co.(b) | 245,500 | 22,856,050 | |||
Morgan Stanley | 217,290 | 17,693,925 | |||
UBS AG (Switzerland) | 43,907 | 2,668,292 | |||
111,810,288 | |||||
Chemicals — 0.7% | |||||
Asahi Kasei Corp. (Japan) | 70,000 | 458,936 | |||
Ashland, Inc. | 11,200 | 774,816 | |||
BASF AG (Germany) | 22,717 | 2,221,771 | |||
Ciba Specialty Chemicals AG (Switzerland) | 2,068 | 137,556 | |||
Denki Kagaku Kogyo K K (Japan) | 21,000 | 87,143 | |||
Dow Chemical Co. (The) | 445,500 | 17,793,270 | |||
Koninklijke DSM NV (Netherlands) | 20,779 | 1,026,675 | |||
Mitsubishi Chemical Holdings Corp. (Japan) | 219,000 | 1,379,005 | |||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 46,000 | 481,293 | |||
Mitsui Chemicals, Inc. (Japan) | 107,000 | 822,634 | |||
Nippon Shokubai Co. Ltd. (Japan) | 17,000 | 180,957 | |||
Orica Ltd. (Australia) | 11,759 | 224,805 | |||
Sumitomo Bakelite Co. Ltd. (Japan) | 19,000 | 131,223 | |||
Sumitomo Chemical Co. Ltd. (Japan) | 94,000 | 727,415 | |||
Teijin Ltd. (Japan) | 89,000 | 547,956 | |||
Yara International ASA (Norway) | 11,800 | 268,259 | |||
27,263,714 | |||||
Commercial Banks — 3.6% | |||||
Allied Irish Banks PLC (Ireland) | 4,181 | 124,180 | |||
Alpha Credit Bank (Greece) | 6,594 | 199,330 | |||
Australia and New Zealand Banking Group Ltd. (Australia) | 54,366 | 1,206,670 |
SEE NOTES TO FINANCIAL STATEMENTS.
B37
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Commercial Banks (cont’d.) | |||||
Banche Popolari Unite Scpa (Italy) | 27,471 | $ | 754,995 | ||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 117,790 | 2,836,103 | |||
Banco Comercial Portugues SA (Portugal) | 176,183 | 651,195 | |||
Banco Espirito Santo SA (Portugal) | 43,906 | 789,386 | |||
Banco Popolare di Verona e Novara Scrl (Italy) | 43,796 | 1,257,426 | |||
Banco Popular Espanol SA (Spain) | 18,614 | 337,364 | |||
Banco Santander Central Hispano SA (Spain) | 202,008 | 3,770,567 | |||
Barclays PLC (United Kingdom) | 136,015 | 1,944,099 | |||
BB&T Corp. | 189,000 | 8,302,770 | |||
BNP Paribas (France) | 29,560 | 3,225,047 | |||
Comerica, Inc. | 105,800 | 6,208,344 | |||
Comerzbank AG (Germany) | 18,415 | 698,873 | |||
Credit Agricole SA (France) | 42,549 | 1,789,468 | |||
Danske Bank A/S (Denmark) | 31,100 | 1,381,904 | |||
DBS Group Holdings Ltd. (Singapore) | 73,000 | 1,071,712 | |||
Dexia (Belgium) | 51,666 | 1,415,180 | |||
DNB NOR ASA (Norway) | 109,600 | 1,555,620 | |||
Gunma Bank Ltd. (The) (Japan) | 22,000 | 132,255 | |||
HSBC Holdings PLC (United Kingdom) | 305,300 | 5,565,256 | |||
Joyo Bank Ltd. (The) (Japan) | 17,000 | 93,814 | |||
KeyCorp | 268,200 | 10,199,646 | |||
Lloyds TSB Group PLC (United Kingdom) | 53,801 | 602,026 | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 50 | 620,290 | |||
Mitsui Trust Holdings, Inc. (Japan) | 88,000 | 1,005,373 | |||
Mizuho Financial Group, Inc. (Japan) | 162 | 1,155,541 | |||
National City Corp.(b) | 321,000 | 11,735,760 | |||
Regions Financial Corp. | 220,000 | 8,228,000 | |||
Royal Bank of Scotland Group PLC (United Kingdom) | 52,087 | 2,032,569 | |||
Sapporo Hokuyo Holdings, Inc. (Japan) | 7 | 67,557 | |||
Shinsei Bank Ltd. (Japan) | 153,000 | 899,302 | |||
Skandinaviska Enskilda Banken AB (Class “A” Stock) (Sweden) | 23,000 | 730,724 | |||
Societe Generale (France) | 15,117 | 2,566,228 | |||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 8 | 81,908 | |||
SunTrust Banks, Inc.(b) | 48,900 | 4,129,605 | |||
Svenska Handelbanken (Class “A” Stock) (Sweden) | 11,200 | 338,653 | |||
Sydbank A/S (Denmark) | 1,756 | 83,933 | |||
U.S. Bancorp | 371,032 | 13,427,648 | |||
UniCredito Italiano S.p.A (Italy) | 308,917 | 2,707,688 | |||
United Overseas Bank Ltd. (Singapore) | 11,000 | 138,741 | |||
Wachovia Corp. | 210,600 | 11,993,670 | |||
Wells Fargo & Co. | 418,900 | 14,896,084 | |||
Westpac Banking Corp. (Australia) | 47,410 | 904,588 | |||
Zions Bancorporation | 21,100 | 1,739,484 | |||
135,596,576 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Commercial Services & Supplies — 0.4% | |||||
Corporate Executive Board Co. | 13,000 | $ | 1,140,100 | ||
Hays PLC (United Kingdom) | 18,051 | 56,285 | |||
Herman Miller, Inc. | 84,300 | 3,065,148 | |||
John H. Harland Co.(b) | 29,700 | 1,490,940 | |||
Michael Page International PLC (United Kingdom) | 41,077 | 363,736 | |||
R. R. Donnelley & Sons Co. | 74,100 | 2,633,514 | |||
Randstad Holdings NV (Netherlands) | 2,745 | 189,873 | |||
Robert Half International, Inc. | 34,500 | 1,280,640 | |||
Societe Generale Surveilla (Switzerland) | 172 | 191,691 | |||
Waste Management, Inc. | 145,600 | 5,353,712 | |||
15,765,639 | |||||
Communications Equipment — 1.2% | |||||
Andrew Corp.(a) | 96,100 | 983,103 | |||
Cisco Systems, Inc.(a) | 592,400 | 16,190,292 | |||
Foxconn International Holdings Ltd. (Cayman Islands)(a) | 427,000 | 1,392,689 | |||
Harris Corp. | 47,400 | 2,173,764 | |||
Motorola, Inc. | 957,600 | 19,688,256 | |||
Nokia Corp. OYJ (Finland) | 20,400 | 416,860 | |||
QUALCOMM, Inc. | 115,000 | 4,345,850 | |||
Telent PLC (United Kingdom) | 4,705 | 43,551 | |||
Uniden Corp. (Japan) | 6,000 | 41,096 | |||
45,275,461 | |||||
Computers & Peripherals — 2.7% | |||||
Dell, Inc.(a) | 327,200 | 8,209,448 | |||
Hewlett-Packard Co. | 754,765 | 31,088,770 | |||
International Business Machines Corp. | 438,400 | 42,590,560 | |||
Network Appliance, Inc.(a) | 297,200 | 11,674,016 | |||
QLogic Corp.(a) | 235,400 | 5,159,968 | |||
Western Digital Corp.(a) | 116,300 | 2,379,498 | |||
Wincor Nixdorf AG (Germany) | 639 | 98,741 | |||
101,201,001 | |||||
Construction & Engineering — 0.1% | |||||
ACS Actividades de Construccion y Servicios SA (Spain) | 13,655 | 769,857 | |||
Chiyoda Corp. (Japan) | 11,000 | 215,038 | |||
COMSYS Holdings Corp. (Japan) | 13,000 | 143,635 | |||
Fomento de Construcciones y Contratas SA (Spain) | 1,398 | 142,467 | |||
Kajima Corp. (Japan) | 57,000 | 249,564 | |||
Obayashi Corp. (Japan) | 225,000 | 1,458,627 | |||
2,979,188 | |||||
Construction Materials — 0.3% | |||||
Cimpor Cimentos de Portugal SGPS SA (Portugal) | 31,783 | 263,897 | |||
CRH PLC (Ireland) | 3,297 | 137,268 | |||
Eagle Materials, Inc. | 34,000 | 1,469,820 | |||
Holcim Ltd. (Switzerland) | 5,589 | 512,344 | |||
Italcementi S.p.A (Italy) | 13,516 | 381,278 | |||
Lafarge SA (France) | 4,154 | 617,987 | |||
Taiheiyo Cement Corp. (Japan) | 28,000 | 109,658 | |||
Vulcan Materials Co. | 84,000 | 7,549,080 | |||
11,041,332 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B38
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Consumer Finance — 0.4% | |||||
American Express Co. | 22,500 | $ | 1,365,075 | ||
AmeriCredit Corp.(a)(b) | 127,800 | 3,216,726 | |||
First Cash Financial Services, Inc.(a) | 53,700 | 1,389,219 | |||
ORIX Corp. (Japan) | 4,600 | 1,333,964 | |||
SLM Corp. | 121,900 | 5,945,063 | |||
13,250,047 | |||||
Containers & Packaging — 0.1% | |||||
Temple-Inland, Inc. | 109,900 | 5,058,697 | |||
Distributors | |||||
Li & Fung Ltd. (Bermuda) | 224,000 | 695,482 | |||
Pacific Brands Ltd. (Australia) | 125,751 | 258,684 | |||
6,012,863 | |||||
Diversified Consumer Services — 0.1% | |||||
Bright Horizons Family Solutions, Inc.(a) | 12,600 | 487,116 | |||
ITT Educational Services, Inc.(a)(b) | 16,900 | 1,121,653 | |||
Jackson Hewitt Tax Service, Inc. | 12,700 | 431,419 | |||
2,040,188 | |||||
Diversified Financial Services — 4.0% | |||||
Babcock & Brown Ltd. (Australia) | 20,314 | 395,814 | |||
Bank of America Corp. | 734,082 | 39,192,638 | |||
Challenger Financial Services Group Ltd. (Australia) | 103,013 | 333,764 | |||
Chicago Mercantile Exchange Holdings, Inc.(b) | 12,100 | 6,167,975 | |||
CIT Group, Inc. | 3,900 | 217,503 | |||
Citigroup, Inc. | 817,762 | 45,549,343 | |||
Fortis (Belgium) | 51,172 | 2,183,195 | |||
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) | 8,000 | 87,577 | |||
ING Groep NV (Netherlands) | 55,378 | 2,455,478 | |||
JPMorgan Chase & Co. | 830,894 | 40,132,180 | |||
Moody’s Corp. | 161,500 | 11,153,190 | |||
OKO Bank PLC (Finland) | 36,900 | 618,613 | |||
Suncorp-Metway Ltd. (Australia) | 24,715 | 396,101 | |||
148,883,371 | |||||
Diversified Telecommunication Services — 1.8% | |||||
AT&T, Inc.(b) | 746,912 | 26,702,104 | |||
Belgacom SA (Belgium) | 21,326 | 939,408 | |||
BellSouth Corp. | 27,800 | 1,309,658 | |||
BT Group PLC (United Kingdom) | 214,484 | 1,266,167 | |||
CenturyTel, Inc. | 149,300 | 6,518,438 | |||
France Telecom SA (France) | 3,424 | 94,691 | |||
Koninklijke (Royal) KPN NV (Netherlands) | 77,107 | 1,096,221 | |||
Nippon Telegraph & Telephone Corp. (Japan) | 347 | 1,711,226 | |||
Swisscom AG (Switzerland) | 2,707 | 1,024,706 | |||
Telecom Corp. of New Zealand Ltd. (New Zealand) | 488,759 | 1,652,996 | |||
Telecom Italia S.p.A (Italy) | 497,882 | 1,263,189 | |||
Telefonica SA (Spain) | 25,305 | 538,468 | |||
TeliaSonera AB (Sweden) | 54,500 | 447,801 | |||
Verizon Communications, Inc. | 619,588 | 23,073,457 | |||
67,638,530 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Electric Utilities — 1.1% | |||||
Allegheny Energy, Inc.(a) | 103,300 | $ | 4,742,503 | ||
American Electric Power Co., Inc. | 261,900 | 11,151,702 | |||
CLP Holdings Ltd. (Hong Kong) | 54,500 | 402,285 | |||
E.On AG (Germany) | 23,795 | 3,244,387 | |||
Endesa SA (Spain) | 52,997 | 2,506,610 | |||
Enel S.p.A (Italy) | 15,300 | 157,837 | |||
Exelon Corp. | 73,200 | 4,530,348 | |||
FirstEnergy Corp. | 131,000 | 7,899,300 | |||
Hokkaido Electric Power Co., Inc. (Japan) | 28,400 | 725,316 | |||
Hong Kong Electric Holdings Ltd. (Hong Kong) | 13,500 | 66,014 | |||
Kansai Electric Power Co., Inc. (The) (Japan) | 33,700 | 907,205 | |||
Kyushu Electric Power Co., Inc. (Japan) | 24,500 | 646,091 | |||
Pinnacle West Capital Corp. | 32,200 | 1,632,218 | |||
Tokyo Electric Power Co., Inc. (The) (Japan) | 52,100 | 1,683,160 | |||
Union Fenosa, SA (Spain) | 7,205 | 356,660 | |||
40,651,636 | |||||
Electrical Equipment — 0.8% | |||||
ABB Ltd. (Switzerland) | 57,979 | 1,039,673 | |||
Acuity Brands, Inc.(b) | 59,700 | 3,106,788 | |||
Cooper Industries Ltd. (Class “A” Stock) (Bermuda) | 10,500 | 949,515 | |||
Emerson Electric Co. | 359,200 | 15,837,128 | |||
Fujikura Ltd. (Japan) | 39,000 | 342,848 | |||
Genlyte Group, Inc.(a) | 10,000 | 781,100 | |||
Mitsubishi Electric Corp. (Japan) | 168,000 | 1,530,889 | |||
Rockwell Automation, Inc. | 46,200 | 2,821,896 | |||
Schneider Electric SA (France) | 3,945 | 437,957 | |||
Thomas & Betts Corp.(a) | 44,400 | 2,099,232 | |||
28,947,026 | |||||
Electronic Equipment & Instruments — 0.6% | |||||
Agilent Technologies, Inc.(a) | 433,700 | 15,114,445 | |||
Dainippon Screen Manufacturing Co. Ltd. (Japan) | 10,000 | 89,684 | |||
Ibiden Co. Ltd. (Japan) | 2,300 | 115,685 | |||
Itron, Inc.(a)(b) | 67,100 | 3,478,464 | |||
Kingboard Chemical Holdings Ltd. (Hong Kong) | 45,000 | 176,706 | |||
Kyocera Corp. (Japan) | 3,400 | 321,411 | |||
Nippon Electric Glass Co. Ltd. (Japan) | 13,000 | 272,592 | |||
TDK Corp. (Japan) | 2,100 | 167,203 | |||
Venture Co. Ltd. (Singapore) | 15,000 | 131,563 | |||
Yaskawa Electric Corp. (Japan) | 87,000 | 1,005,655 | |||
20,873,408 | |||||
Energy Equipment & Services — 1.5% | |||||
B.J. Services Co. | 239,100 | 7,010,412 | |||
Baker Hughes, Inc. | 140,100 | 10,459,866 | |||
Fugro NV-CVA (Netherlands) | 9,541 | 455,923 | |||
Halliburton Co.(b) | 465,000 | 14,438,250 | |||
Nabors Industries Ltd. (Bermunda)(a)(b) | 25,300 | 753,434 |
SEE NOTES TO FINANCIAL STATEMENTS.
B39
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Energy Equipment & Services (cont’d.) | |||||
Schlumberger Ltd. (Netherlands Antilles) | 182,400 | $ | 11,520,384 | ||
TGS Nopec Geophysical Co. ASA (Norway)(a) | 18,851 | 390,008 | |||
Tidewater, Inc.(b) | 61,500 | 2,974,140 | |||
Transocean, Inc. (Cayman Islands)(a)(b) | 85,500 | 6,916,095 | |||
54,918,512 | |||||
Food & Staples Retailing — 1.2% | |||||
Aeon Co. Ltd. (Japan) | 20,500 | 443,381 | |||
Casino Guichard-Perrachon SA (France) | 12,552 | 1,166,472 | |||
CVS Corp. | 11,100 | 343,101 | |||
Delhaize Group (Belgium) | 5,838 | 486,661 | |||
FamilyMart Co. Ltd. (Japan) | 4,000 | 108,734 | |||
J. Sainsbury PLC (United Kingdom) | 94,968 | 760,982 | |||
Jeronimo Martins SGPS SA (Portugal) | 3,067 | 68,826 | |||
Koninklijke Ahold NV (Netherlands)(a) | 102,977 | 1,095,630 | |||
Kroger Co. (The) | 251,600 | 5,804,412 | |||
Safeway, Inc. | 454,800 | 15,717,888 | |||
SUPERVALU, Inc. | 60,500 | 2,162,875 | |||
Wal-Mart Stores, Inc. | 321,200 | 14,833,016 | |||
Woolworths Ltd. (Australia) | 22,071 | 415,737 | |||
43,407,715 | |||||
Food Products — 0.8% | |||||
Archer-Daniels-Midland Co. | 449,300 | 14,359,628 | |||
Chiquita Brands International, Inc.(b) | 35,100 | 560,547 | |||
ConAgra Foods, Inc. | 101,300 | 2,735,100 | |||
Dean Foods Co.(a) | 33,300 | 1,407,924 | |||
East Asiatic Co. Ltd. A/S (Denmark) | 8,750 | 489,484 | |||
Ebro Puleva SA (Spain) | 11,618 | 294,457 | |||
H.J. Heinz Co. | 87,000 | 3,915,870 | |||
Nestle SA (Class “B” Stock) (Switzerland) | 3,982 | 1,415,023 | |||
Nichirei Corp. (Japan) | 19,000 | 106,413 | |||
Nisshin Seifun Group, Inc. (Japan) | 24,000 | 247,675 | |||
Smithfield Foods, Inc.(a) | 10,400 | 266,864 | |||
Suedzucker AG (Germany) | 48,464 | 1,163,699 | |||
Toyo Suisan Kaisha Ltd. (Japan) | 4,000 | 64,077 | |||
Unilever NV (Netherlands) | 64,290 | 1,756,720 | |||
Unilever PLC (United Kingdom) | 62,819 | 1,756,418 | |||
Yamazaki Baking Co. Ltd. (Japan) | 20,000 | 194,129 | |||
30,734,028 | |||||
Gas Utilities | |||||
Gas Natural SDG SA (Spain) | 6,002 | 237,608 | |||
Gaz de France (France) | 9,751 | 448,581 | |||
686,189 | |||||
Healthcare Equipment & Supplies — 0.5% | |||||
Baxter International, Inc. | 53,300 | 2,472,587 | |||
Becton, Dickinson & Co. | 219,100 | 15,369,865 | |||
Cochlear Ltd. (Australia) | 5,175 | 236,173 | |||
Mentor Corp. | 19,800 | 967,626 | |||
Phonak Holding AG (Switzerland) | 6,481 | 515,927 | |||
19,562,178 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Healthcare Providers & Services — 2.0% | |||||
Aetna, Inc. | 177,300 | $ | 7,655,814 | ||
Caremark Rx, Inc.(a) | 293,100 | 16,738,941 | |||
Express Scripts, Inc. (Class “A” Stock)(a)(b) | 167,500 | 11,993,000 | |||
Fresenius Medical Care AG & Co. KGaA (Germany) | 484 | 64,574 | |||
Medco Health Solutions, Inc.(a) | 145,900 | 7,796,896 | |||
Suzuken Co. Ltd. (Japan) | 14,100 | 530,128 | |||
UnitedHealth Group, Inc. | 215,000 | 11,551,950 | |||
WellPoint, Inc.(a) | 211,000 | 16,603,590 | |||
72,934,893 | |||||
Healthcare Technology | |||||
IMS Health, Inc. | 28,800 | 791,424 | |||
Hotels, Restaurants & Leisure — 1.2% | |||||
Brinker International, Inc. (Australia) | 226,650 | 6,835,764 | |||
Carnival PLC (United Kingdom) | 8,895 | 450,732 | |||
Darden Restaurants, Inc.(b) | 145,500 | 5,844,735 | |||
Dover Downs Gaming & Entertainment, Inc. | 1,400 | 18,718 | |||
Enterprise Inns PLC (United Kingdom) | 27,948 | 740,384 | |||
McDonald’s Corp. | 384,500 | 17,044,885 | |||
Yum! Brands, Inc. | 237,300 | 13,953,240 | |||
44,888,458 | |||||
Household Durables — 0.2% | |||||
Barratt Developments PLC (United Kingdom) | 46,780 | 1,131,191 | |||
Bellway PLC (United Kingdom) | 3,967 | 119,927 | |||
Bovis Homes Group PLC (United Kingdom) | 10,253 | 217,615 | |||
George Wimpey PLC (United Kingdom) | 98,078 | 1,072,515 | |||
Harman International Industries, Inc. | 29,100 | 2,907,381 | |||
Makita Corp. (Japan) | 39,500 | 1,210,656 | |||
Matsushita Electric Industrial Co. Ltd. (Japan) | 20,000 | 401,030 | |||
Sekisui House Ltd. (Japan) | 17,000 | 246,896 | |||
Taylor Woodrow PLC (United Kingdom) | 80,614 | 672,796 | |||
7,980,007 | |||||
Household Products — 1.3% | |||||
Kimberly-Clark Corp. | 245,400 | 16,674,930 | |||
Procter & Gamble Co.(b) | 464,405 | 29,847,309 | |||
Reckitt Benckiser PLC (United Kingdom) | 36,636 | 1,674,239 | |||
48,196,478 | |||||
Independent Power Producers & Energy Traders — 0.6% | |||||
International Power PLC (United Kingdom) | 167,025 | 1,248,444 | |||
NRG Energy, Inc.(a) | 97,600 | 5,466,576 | |||
TXU Corp. | 263,200 | 14,268,072 | |||
20,983,092 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B40
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Industrial Conglomerates — 2.0% | |||||
3M Co. | 69,300 | $ | 5,400,549 | ||
Cookson Group PLC (United Kingdom) | 19,042 | 234,143 | |||
General Electric Co. | 1,498,200 | 55,748,022 | |||
Orkla ASA (Class “A” Stock) (Norway) | 29,000 | 1,641,808 | |||
Siemens AG (Germany) | 2,011 | 200,689 | |||
Textron, Inc. | 19,900 | 1,866,023 | |||
Tyco International Ltd. (Bermuda) | 339,900 | 10,332,960 | |||
75,424,194 | |||||
Insurance — 2.9% | |||||
ACE Ltd. (Cayman Islands) | 67,600 | 4,094,532 | |||
Aegon NV (Netherlands) | 97,879 | 1,865,715 | |||
Allianz AG (Germany) | 12,284 | 2,511,932 | |||
Allstate Corp. (The) | 281,600 | 18,334,976 | |||
American International Group, Inc. | 289,235 | 20,726,580 | |||
Aviva PLC (United Kingdom) | 133,120 | 2,142,514 | |||
AXA SA (France) | 36,544 | 1,479,512 | |||
Chubb Corp. (The) | 182,200 | 9,640,202 | |||
CNP Assurances (France) | 2,207 | 246,468 | |||
Compagnia Assicuratrice unipol S.p.A. (Italy) | 24,175 | 78,344 | |||
Fondiaria – SAI S.p.A. (Italy) | 3,016 | 144,281 | |||
Genworth Financial, Inc. (Class “A” Stock) | 22,000 | 752,620 | |||
Hartford Financial Services Group, Inc. | 71,200 | 6,643,672 | |||
MetLife, Inc. | 54,200 | 3,198,342 | |||
Muenchener Rueckversicherungs – Gesellschaft AG (Germany) | 12,487 | 2,159,325 | |||
QBE Insurance Group Ltd. (Australia) | 3,606 | 81,816 | |||
Royal & Sun Alliance Insurance Group PLC (United Kingdom) | 456,213 | 1,362,216 | |||
SAFECO Corp. | 146,300 | 9,151,065 | |||
SCOR (France) | 65,782 | 194,511 | |||
St. Paul Travelers Cos., Inc. (The) | 364,600 | 19,575,374 | |||
Swiss Reinsurance (Switzerland) | 12,986 | 1,104,103 | |||
Topdanmark A/S (Denmark)(a) | 1,100 | 181,879 | |||
Zurich Financial Services AG (Switzerland) | 7,136 | 1,920,893 | |||
107,590,872 | |||||
Internet & Catalog Retail — 0.2% | |||||
Experian Group Ltd.(a) | 20,266 | 237,884 | |||
IAC/Interactive Corp.(a)(b) | 120,800 | 4,488,928 | |||
Priceline.com, Inc.(a)(b) | 46,500 | 2,027,865 | |||
6,754,677 | |||||
Internet Software & Services — 0.4% | |||||
Ariba, Inc.(a) | 133,600 | 1,034,064 | |||
Dealertrack Holdings, Inc.(a) | 11,300 | 332,446 | |||
Digital Insight Corp.(a) | 28,700 | 1,104,663 | |||
eBay, Inc.(a) | 68,900 | 2,071,823 | |||
Google, Inc. (Class “A” Stock)(a) | 3,400 | 1,565,632 | |||
RealNetworks, Inc.(a)(b) | 151,100 | 1,653,034 | |||
SonicWALL, Inc.(a) | 135,800 | 1,143,436 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Internet Software & Services (cont’d.) | |||||
Travelzoo, Inc.(a)(b) | 73,500 | $ | 2,201,325 | ||
Valueclick, Inc.(a) | 20,000 | 472,600 | |||
Websense, Inc.(a) | 121,000 | 2,762,430 | |||
14,341,453 | |||||
IT Services — 0.7% | |||||
Automatic Data Processing, Inc. | 159,000 | 7,830,750 | |||
Fiserv, Inc.(a) | 295,600 | 15,495,352 | |||
NTT Data Corp. (Japan) | 287 | 1,436,779 | |||
24,762,881 | |||||
Leisure Equipment & Products — 0.2% | |||||
FUJIFILM Holdings Corp. (Japan) | 21,400 | 881,426 | |||
Nikon Corp. (Japan) | 56,000 | 1,227,514 | |||
Pool Corp.(b) | 81,300 | 3,184,521 | |||
Sankyo Co. Ltd. (Japan) | 2,100 | 115,929 | |||
Yamaha Corp. (Japan) | 24,200 | 512,696 | |||
5,922,086 | |||||
Life Sciences, Tools & Services — 0.2% | |||||
Charles River Laboratories International, Inc.(a) | 31,200 | 1,349,400 | |||
Thermo Electron Corp.(a) | 96,200 | 4,356,898 | |||
Waters Corp.(a) | 71,100 | 3,481,767 | |||
9,188,065 | |||||
Machinery — 1.1% | |||||
Amada Co. Ltd. (Japan) | 51,000 | 539,969 | |||
Caterpillar, Inc. | 176,400 | 10,818,612 | |||
Dover Corp. | 47,300 | 2,318,646 | |||
Eaton Corp. | 63,400 | 4,763,876 | |||
Gardner Denver, Inc.(a) | 71,100 | 2,652,741 | |||
Ingersoll-Rand Co. (Class “A” Stock) (Bermuda) | 263,500 | 10,310,755 | |||
Komatsu Ltd. (Japan) | 88,000 | 1,781,109 | |||
Komori Corp. (Japan) | 19,000 | 353,868 | |||
Kubota Corp. (Japan) | 86,000 | 796,444 | |||
MAN AG (Germany) | 5,446 | 493,954 | |||
Metso Oyj (Finland) | 11,400 | 575,455 | |||
Mitsubishi Heavy Industries Ltd. (Japan) | 35,000 | 158,791 | |||
NSK Ltd. (Japan) | 47,000 | 463,005 | |||
PACCAR, Inc.(b) | 33,750 | 2,190,375 | |||
Parker Hannifin Corp. | 5,700 | 438,216 | |||
Sandvik AB (Sweden) | 7,266 | 105,605 | |||
Vallourec SA (France) | 5,820 | 1,692,490 | |||
Volvo AB (Class “B” Stock) (Sweden) | 13,300 | 916,009 | |||
41,369,920 | |||||
Marine | |||||
AP Moller – Maersk A/S (Denmark) | 6 | 56,508 | |||
Kawasaki Kisen Kaisha Ltd. (Japan) | 17,000 | 132,880 | |||
Mitsui OSK Lines Ltd. (Japan) | 137,000 | 1,353,104 | |||
1,542,492 | |||||
Media — 1.9% | |||||
APN News & Media Ltd. (Australia) | 32,325 | 154,095 | |||
CBS Corp. (Class “B” Stock)(b) | 384,419 | 11,986,184 | |||
Comcast Corp. (Class “A” Stock)(a)(b) | 446,582 | 18,903,816 |
SEE NOTES TO FINANCIAL STATEMENTS.
B41
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Media (cont’d.) | |||||
DIRECTV Group, Inc. (The)(a) | 577,900 | $ | 14,412,826 | ||
Emap PLC (Class “B” Stock) (United Kingdom) | 2,615 | 41,345 | |||
Eniro AB (Sweden) | 14,900 | 196,970 | |||
ITV PLC (United Kingdom) | 173,353 | 361,484 | |||
McGraw-Hill Cos., Inc. (The) | 30,700 | 2,088,214 | |||
Omnicom Group, Inc. | 2,500 | 261,350 | |||
Reed Elsevier NV (United Kingdom) | 8,370 | 142,750 | |||
Reed Elsevier PLC (United Kingdom) | 15,443 | 169,479 | |||
Time Warner, Inc. | 250,750 | 5,461,335 | |||
Viacom, Inc. (Class “B” Stock)(a) | 219,700 | 9,014,291 | |||
Vivendi Universal SA (France) | 57,540 | 2,249,039 | |||
Walt Disney Co. | 139,000 | 4,763,530 | |||
70,206,708 | |||||
Metals & Mining — 0.8% | |||||
Acerinox SA (Spain) | 27,766 | 844,837 | |||
Alcoa, Inc. | 180,600 | 5,419,806 | |||
Anglo American PLC (United Kingdom) | 48,896 | 2,384,820 | |||
BHP Billiton Ltd. (Australia) | 41,980 | 834,945 | |||
BHP Billiton PLC (United Kingdom) | 38,506 | 704,557 | |||
Boehler-Uddeholm AG (Austria) | 1,057 | 74,090 | |||
Newmont Mining Corp. | 108,900 | 4,916,835 | |||
Nippon Light Metal Co. Ltd. (Japan) | 61,000 | 156,332 | |||
Nippon Steel Corp. (Japan) | 169,000 | 969,558 | |||
OneSteel Ltd. (Australia) | 17,774 | 65,543 | |||
Outokumpu OYJ (Finland) | 34,000 | 1,331,186 | |||
Phelps Dodge Corp. | 43,600 | 5,219,792 | |||
Quanex Corp. | 31,150 | 1,077,479 | |||
Rio Tinto Ltd. (Australia) | 10,942 | 637,028 | |||
Rio Tinto PLC (United Kingdom) | 39,715 | 2,113,551 | |||
Salzgitter AG (Germany) | 2,686 | 353,500 | |||
Sumitomo Metal Industries Ltd. (Japan) | 176,000 | 764,143 | |||
Thyssenkrupp AG (Germany) | 27,577 | 1,301,403 | |||
Wheeling-Pittsburgh Corp.(a)(b) | 13,000 | 243,490 | |||
Xstrata PLC (United Kingdom) | 15,625 | 780,133 | |||
30,193,028 | |||||
Multiline Retail — 1.1% | |||||
Family Dollar Stores, Inc. | 104,500 | 3,064,985 | |||
Federated Department Stores, Inc. | 151,000 | 5,757,630 | |||
J.C. Penney Co., Inc. | 199,300 | 15,417,848 | |||
Kohl’s Corp.(a) | 215,700 | 14,760,351 | |||
Marks & Spencer Group PLC | 113,014 | 1,586,573 | |||
Nordstrom, Inc. | 11,000 | 542,740 | |||
Pinault Printemps Redoute SA (France) | 471 | 70,381 | |||
41,200,508 | |||||
Multi-Utilities — 0.5% | |||||
Ameren Corp.(b) | 52,600 | 2,826,198 | |||
CMS Energy Corp.(a)(b) | 10,200 | 170,340 | |||
National Grid PLC (United Kingdom) | 150,205 | 2,167,507 | |||
Public Service Enterprise Group, Inc. | 114,100 | 7,573,958 | |||
RWE AG (Germany) | 751 | 82,738 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Multi-Utilities (cont’d.) | |||||
Sempra Energy | 97,273 | $ | 5,451,179 | ||
Suez SA (France) | 4,383 | 226,975 | |||
18,498,895 | |||||
Office Electronics — 0.4% | |||||
Canon, Inc. (Japan) | 34,150 | 1,922,650 | |||
Ricoh Co. Ltd. (Japan) | 73,000 | 1,486,667 | |||
Xerox Corp.(a) | 720,600 | 12,214,170 | |||
15,623,487 | |||||
Oil, Gas & Consumable Fuels — 5.2% | |||||
Anadarko Petroleum Corp. | 201,600 | 8,773,632 | |||
BG Group PLC (United Kingdom) | 2,761 | 37,463 | |||
BP PLC (United Kingdom) | 525,868 | 5,843,207 | |||
Chesapeake Energy Corp. | 382,700 | 11,117,435 | |||
Chevron Corp. | 564,156 | 41,482,391 | |||
ConocoPhillips (Class “B” Stock) | 167,434 | 12,046,876 | |||
ENI S.p.A (Italy) | 95,750 | 3,220,527 | |||
Exxon Mobil Corp. | 879,716 | 67,412,636 | |||
Marathon Oil Corp. | 128,000 | 11,840,000 | |||
Neste Oil OYJ (Finland) | 33,700 | 1,024,501 | |||
Nippon Oil Corp. (Japan) | 162,000 | 1,083,365 | |||
Norsk Hydro ASA (Norway) | 20,173 | 626,039 | |||
Occidental Petroleum Corp. | 63,600 | 3,105,588 | |||
Repsol YPF SA (Spain) | 5,692 | 196,859 | |||
Royal Dutch Shell PLC (Class “B” Stock) (United Kingdom) | 90,079 | 3,157,077 | |||
Royal Dutch Shell PLC (United Kingdom) | 55,023 | 1,923,052 | |||
Santos Ltd. (Australia) | 136,743 | 1,064,186 | |||
Singapore Petroleum Co. Ltd. (Singapore) | 69,000 | 195,898 | |||
Sunoco, Inc.(b) | 88,300 | 5,506,388 | |||
Total SA (France) | 27,472 | 1,981,843 | |||
Valero Energy Corp. | 218,700 | 11,188,692 | |||
192,827,655 | |||||
Paper & Forest Products | |||||
Svenska Cellulosa AB (Sca) | 12,400 | 647,536 | |||
Personal Products — 0.1% | |||||
Avon Products, Inc. | 75,700 | 2,501,128 | |||
Chattem, Inc.(a)(b) | 9,600 | 480,768 | |||
USANA Health Sciences, Inc.(a)(b) | 12,900 | 666,414 | |||
3,648,310 | |||||
Pharmaceuticals — 4.6% | |||||
Abbott Laboratories | 65,500 | 3,190,505 | |||
Altana AG (Germany) | 4,760 | 294,378 | |||
AstraZeneca PLC (United Kingdom) | 55,439 | 2,978,572 | |||
Daiichi Sankyo Co. Ltd. (Japan) | 5,900 | 184,044 | |||
Eli Lilly & Co. | 279,400 | 14,556,740 | |||
Forest Laboratories, Inc.(a) | 56,400 | 2,853,840 | |||
GlaxoSmithKline PLC (United Kingdom) | 136,998 | 3,605,140 | |||
Johnson & Johnson | 625,398 | 41,288,776 | |||
King Pharmaceuticals, Inc.(a) | 388,700 | 6,188,104 | |||
Mayne Pharma Ltd. (Australia) | 67,052 | 215,157 |
SEE NOTES TO FINANCIAL STATEMENTS.
B42
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Pharmaceuticals (cont’d.) | |||||
Merck & Co., Inc. | 570,400 | $ | 24,869,440 | ||
Novartis AG (Switzerland) | 20,548 | 1,184,651 | |||
Novo Nordisk A/S-B (Denmark) | 3,600 | 299,851 | |||
Pfizer, Inc. | 1,484,665 | 38,452,824 | |||
Roche Holding AG-Genusshein (Switzerland) | 16,692 | 2,993,190 | |||
Sanofi-Aventis (France) | 25,739 | 2,376,666 | |||
Santen Pharmaceutical Co., Ltd. (Japan) | 7,600 | 213,789 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) | 9,900 | 678,507 | |||
Tanabe Seiyaku Co., Ltd. (Japan) | 27,000 | 353,076 | |||
Wyeth | 476,600 | 24,268,472 | |||
171,045,722 | |||||
Real Estate Investment Trusts — 0.3% | |||||
American Home Mortgage Investment Corp.(b) | 86,400 | 3,034,368 | |||
Ashford Hospitality Trust, Inc. | 49,600 | 617,520 | |||
British Land Co. PLC | 9,755 | 327,376 | |||
Corio NV (Netherlands) | 1,109 | 90,617 | |||
FelCor Lodging Trust, Inc. | 50,600 | 1,105,104 | |||
Hospitality Properties Trust | 6,900 | 327,957 | |||
KKR Financial Corp. | 69,300 | 1,856,547 | |||
Land Securities Group PLC (United Kingdom) | 2,350 | 106,887 | |||
Luminent Mortgage Capital, Inc. | 26,200 | 254,402 | |||
Mirvac Group (Australia) | 153,720 | 676,158 | |||
Newcastle Investment Corp. | 30,600 | 958,392 | |||
Thornburg Mortgage, Inc.(b) | 30,300 | 761,439 | |||
10,116,767 | |||||
Real Estate Management & Development — 0.2% | |||||
City Developments Ltd. | 15,000 | 123,633 | |||
Immofinanz Immobilien Anlagen AG (Austria)(a) | 20,519 | 292,529 | |||
Jones Lang Lasalle, Inc. | 32,800 | 3,023,176 | |||
Lend Lease Corp. Ltd. (Australia) | 33,660 | 488,784 | |||
Leopalace21 Corp. (Japan) | 32,700 | 1,044,555 | |||
Sumitomo Realty & Development Co. Ltd. (Japan) | 11,000 | 352,653 | |||
Swire Pacific Ltd. (Hong Kong) | 29,000 | 310,964 | |||
UOL Group Ltd. (Singapore) | 96,000 | 270,647 | |||
Wharf Holdings Ltd. (Hong Kong) | 28,000 | 103,254 | |||
6,010,195 | |||||
Road & Rail — 0.7% | |||||
Burlington Northern Santa Fe Corp. | 11,800 | 870,958 | |||
CSX Corp. | 389,400 | 13,407,042 | |||
JB Hunt Transport Services, Inc. | 32,700 | 679,179 | |||
Nippon Express Co. Ltd. (Japan) | 51,000 | 279,039 | |||
Norfolk Southern Corp. | 165,500 | 8,322,995 | |||
Ryder System, Inc. | 19,500 | 995,670 | |||
Toll Holdings Ltd. (Australia) | 18,893 | 272,130 | |||
24,827,013 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Semiconductors & Semiconductor Equipment — 1.5% | |||||
Analog Devices, Inc. | 127,200 | $ | 4,181,064 | ||
Applied Materials, Inc. | 857,600 | 15,822,720 | |||
ASM Pacific Technology Ltd. (Hong Kong) | 10,500 | 58,377 | |||
ATMI, Inc.(a)(b) | 82,800 | 2,527,884 | |||
Elpida Memory, Inc. (Japan)(a) | 12,200 | 670,029 | |||
Intel Corp. | 437,200 | 8,853,300 | |||
Lam Research Corp.(a)(b) | 12,500 | 632,750 | |||
MEMC Electronic Materials, Inc.(a) | 49,800 | 1,949,172 | |||
Novellus Systems, Inc.(b) | 275,800 | 9,493,036 | |||
Sirf Technology Holdings, Inc.(a)(b) | 17,200 | 438,944 | |||
Sumco Corp. (Japan) | 20,100 | 1,698,669 | |||
Texas Instruments, Inc. | 65,100 | 1,874,880 | |||
Tokyo Electron Ltd. (Japan) | 20,900 | 1,643,943 | |||
Xilinx, Inc. | 226,000 | 5,381,060 | |||
55,225,828 | |||||
Software — 2.3% | |||||
BMC Software, Inc.(a) | 50,200 | 1,616,440 | |||
Cadence Design Systems, Inc.(a)(b) | 290,000 | 5,193,900 | |||
Fair Isaac Corp. | 19,000 | 772,350 | |||
Intuit, Inc.(a) | 33,200 | 1,012,932 | |||
Microsoft Corp. | 1,221,700 | 36,479,962 | |||
MicroStrategy, Inc. | 85,500 | 9,747,855 | |||
Oracle Corp.(a) | 1,015,400 | 17,403,956 | |||
Symantec Corp.(a)(b) | 586,600 | 12,230,610 | |||
Synopsys, Inc.(a) | 80,500 | 2,151,765 | |||
86,609,770 | |||||
Specialty Retail — 1.2% | |||||
Aeropostale, Inc.(a) | 113,800 | 3,513,006 | |||
AnnTaylor Stores Corp.(a) | 18,700 | 614,108 | |||
Aoyama Trading Co. Ltd. (Japan) | 2,200 | 65,998 | |||
Autobacs Seven Co. Ltd. (Japan) | 1,900 | 69,399 | |||
Best Buy Co., Inc. | 91,400 | 4,495,966 | |||
Esprit Holdings Ltd. (Hong Kong) | 7,000 | 77,969 | |||
Group 1 Automotive, Inc. | 13,700 | 708,564 | |||
Gymboree Corp.(a) | 105,600 | 4,029,696 | |||
Home Depot, Inc. | 282,050 | 11,327,128 | |||
Lowe’s Cos., Inc. | 238,300 | 7,423,045 | |||
Nobia AB (Sweden) | 2,622 | 100,921 | |||
Office Depot, Inc.(a) | 142,300 | 5,431,591 | |||
Rent-A-Center, Inc.(a) | 18,400 | 542,984 | |||
TJX Cos., Inc. | 228,400 | 6,513,968 | |||
USS Co. Ltd. (Japan) | 3,190 | 207,656 | |||
45,121,999 | |||||
Textiles, Apparel & Luxury Goods — 0.7% | |||||
Coach, Inc.(a) | 394,500 | 16,947,720 | |||
Folli – Follie SA (Greece) | 1,750 | 69,071 | |||
Fossil, Inc.(a)(b) | 13,100 | 295,798 | |||
Gunze Ltd. (Japan) | 18,000 | 90,371 | |||
Jones Apparel Group, Inc. | 140,200 | 4,686,886 | |||
Liz Claiborne, Inc. | 66,100 | 2,872,706 | |||
Puma AG Rudolf Dassler Sport (Germany)(a) | 1,471 | 574,808 | |||
Swatch Group AG (Switzerland) | 4,940 | 220,952 | |||
25,758,312 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B43
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Thrifts & Mortgage Finance — 0.7% | |||||
Countrywide Financial Corp. | 107,000 | $ | 4,542,150 | ||
Fannie Mae | 49,400 | 2,933,866 | |||
MGIC Investment Corp.(b) | 175,800 | 10,994,532 | |||
PMI Group, Inc. (The) | 68,700 | 3,240,579 | |||
Radian Group, Inc.(b) | 56,900 | 3,067,479 | |||
Washington Mutual, Inc. | 41,300 | 1,878,737 | |||
26,657,343 | |||||
Tobacco — 1.0% | |||||
Altria Group, Inc. | 254,600 | 21,849,772 | |||
British American Tobacco PLC (United Kingdom) | 32,134 | 899,095 | |||
Imperial Tobacco Group PLC (United Kingdom) | 28,488 | 1,121,158 | |||
Reynolds American, Inc.(b) | 196,200 | 12,845,214 | |||
Swedish Match AB (Sweden) | 61,000 | 1,140,528 | |||
37,855,767 | |||||
Trading Companies & Distributors — 0.1% | |||||
Itochu Corp. (Japan) | 115,000 | 942,661 | |||
Marubeni Corp. (Japan) | 163,000 | 825,834 | |||
Mitsubishi Corp. (Japan) | 26,100 | 490,387 | |||
Mitsui & Co. Ltd. (Japan) | 75,000 | 1,123,791 | |||
MSC Industrial Direct Co. | 12,900 | 505,035 | |||
Sumitomo Corp. (Japan) | 80,000 | 1,197,579 | |||
5,085,287 | |||||
Transportation Infrastructure | |||||
Hopewell Holdings (Hong Kong) | 57,000 | 199,533 | |||
Kamigumi Co. Ltd. (Japan) | 18,000 | 147,319 | |||
Macquarie Airports Management Ltd. (Australia) | 443,638 | 1,258,330 | |||
1,605,182 | |||||
Wireless Telecommunication Services — 0.6% | |||||
Alltel Corp. | 134,200 | 8,116,416 | |||
KDDI Corp. (Japan) | 15 | 101,829 | |||
Mobistar SA (Belgium) | 1,853 | 158,137 | |||
NTT DoCoMo, Inc. (Japan) | 150 | 237,350 | |||
Sprint Nextel Corp. | 631,300 | 11,925,257 | |||
Vodafone Group PLC (United Kingdom) | 1,336,762 | 3,703,558 | |||
24,242,547 | |||||
TOTAL COMMON STOCKS | 2,489,162,657 | ||||
PREFERRED STOCK | |||||
Automobiles | |||||
Porsche AG (Germany) | 588 | 750,541 | |||
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS — 24.9% | ||||||||||
Aerospace & Defense — 0.3% | ||||||||||
BAE Systems Holdings, Inc.,(h) | ||||||||||
Notes, 144A | ||||||||||
4.75% | 08/15/10 | Baa2 | $ | 2,150 | $ | 2,092,195 | ||||
5.20% | 08/15/15 | Baa2 | 1,060 | 1,009,692 | ||||||
Boeing Capital Corp., | ||||||||||
Sr. Notes | ||||||||||
6.10% | 03/01/11 | A2 | 925 | 955,630 | ||||||
Goodrich Corp., | ||||||||||
Notes | ||||||||||
6.80% | 07/01/36 | Baa3 | 1,018 | 1,082,968 | ||||||
Lockheed Martin Corp., | ||||||||||
Notes, Ser. B | ||||||||||
6.15% | 09/01/36 | Baa1 | 120 | 126,077 | ||||||
Northrop Grumman Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.125% | 02/15/11 | Baa2 | 3,500 | 3,733,302 | ||||||
Raytheon Co., | ||||||||||
Notes, | ||||||||||
4.50% | 11/15/07 | Baa2 | 177 | 175,598 | ||||||
Sr. Notes | ||||||||||
5.50% | 11/15/12 | Baa2 | 595 | 598,734 | ||||||
6.55% | 03/15/10 | Baa2 | 870 | 901,404 | ||||||
Sr. Unsec. Notes | ||||||||||
8.30% | 03/01/10 | Baa2 | 530 | 575,408 | ||||||
11,251,008 | ||||||||||
Airlines | ||||||||||
Continental Airlines, Inc., | ||||||||||
Pass-thru Certs. | ||||||||||
6.648% | 09/15/17 | Baa3 | 400 | 415,483 | ||||||
Southwest Airlines Co., | ||||||||||
Notes | ||||||||||
6.50% | 03/01/12 | Baa1 | 1,005 | 1,047,889 | ||||||
1,463,372 | ||||||||||
Asset Backed Securities — 1.0% | ||||||||||
American Express Credit Account Master Trust,(g)(h) | ||||||||||
Ser. 2004-4, Class C, 144A | ||||||||||
5.82% | 03/15/12 | Baa2 | 1,170 | 1,176,398 | ||||||
Ser. 2004-C, Class C, 144A | ||||||||||
5.85% | 02/15/12 | Baa2 | 735 | 736,103 | ||||||
Amortizing Residential Collateral Trust,(g) | ||||||||||
2002-BC7 M2 | ||||||||||
6.70% | 10/25/32 | AA+(f) | 151 | 150,621 | ||||||
2002-BC9 M1 | ||||||||||
7.00% | 12/25/32 | Aa2 | 2,498 | 2,532,297 | ||||||
Bank of America Credit Card Trust,(g) | ||||||||||
Series 2006-C5, Class C5 | ||||||||||
5.75% | 01/15/16 | Baa2 | 3,209 | 3,209,657 | ||||||
Bank One Issuance Trust, | ||||||||||
Ser. 2003-C1, Class C1 | ||||||||||
4.54% | 09/15/10 | Baa2 | 1,820 | 1,802,398 | ||||||
CDC Mortgage Capital Trust,(g) | ||||||||||
Ser. 2002-HE3, Class M1 | ||||||||||
7.00% | 03/25/33 | Aa2 | 1,160 | 1,161,247 |
SEE NOTES TO FINANCIAL STATEMENTS.
B44
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Asset Backed Securities (cont’d.) | ||||||||||
Centex Home Equity,(g) | ||||||||||
Ser. 2005-A, Class M2 | ||||||||||
5.85% | 01/25/35 | Aa2 | $ | 1,790 | $ | 1,799,568 | ||||
Chase Issuance Trust, | ||||||||||
Ser. 2005-A4, Class A4 | ||||||||||
4.23% | 01/15/13 | Aaa | 3,200 | 3,122,849 | ||||||
Citibank Credit Card Insurance Trust,(g) | ||||||||||
Ser. 2006-C1, Class C1 | ||||||||||
5.75% | 02/20/15 | Baa2 | 1,350 | 1,354,515 | ||||||
Credit-Based Asset Servicing and Securitization, | ||||||||||
Ser. 2005-CB6, Class A3 | ||||||||||
5.12% | 07/25/35 | Aaa | 1,400 | 1,388,680 | ||||||
Equity One ABS, Inc., | ||||||||||
Ser. 2004-3, Class M1 | ||||||||||
5.70% | 07/25/34 | Aa2 | 1,280 | 1,272,588 | ||||||
First Franklin Mortgage Loan Trust,(g) | ||||||||||
Ser. 2005-FFH1, Class M2 | ||||||||||
5.87% | 06/25/36 | Aa2 | 1,450 | 1,461,992 | ||||||
Home Equity Asset Trust,(g) | ||||||||||
Ser. 2005-7, Class 2A4 | ||||||||||
5.73% | 01/25/36 | Aaa | 1,100 | 1,105,332 | ||||||
Household Home Equity Loan Trust,(g) | ||||||||||
Ser. 2005-2, Class M2 | ||||||||||
5.84% | 01/20/35 | Aa1 | 736 | 738,165 | ||||||
MBNA Master Credit Card Trust, | ||||||||||
Ser. 1999-J, Class A | ||||||||||
7.00% | 02/15/12 | Aaa | 1,830 | 1,920,289 | ||||||
Morgan Stanley ABS Capital I,(g) | ||||||||||
Ser. 2004-NC3, Class M2 | ||||||||||
6.45% | 03/25/34 | A2 | 1,460 | 1,469,140 | ||||||
Morgan Stanley Dean Witter Capital I,(g) | ||||||||||
Ser. 2002-HE1, Class M1 | ||||||||||
6.25% | 07/25/32 | Aa2 | 1,747 | 1,764,854 | ||||||
Ser. 2002-NC2, Class M2 | ||||||||||
7.675% | 04/25/32 | A(f) | 456 | 456,223 | ||||||
Ser. 2002-NC4, Class M1 | ||||||||||
6.20% | 09/25/32 | Aaa | 1,432 | 1,463,356 | ||||||
Prestige Auto Receivables Trust,(g)(h) | ||||||||||
Ser. 2004-1, Class A2, 144A | ||||||||||
3.69% | 06/15/11 | Aaa | 490 | 485,414 | ||||||
Saxon Asset Securities Trust,(g) | ||||||||||
Ser. 2005-2, Class M2 | ||||||||||
5.79% | 10/25/35 | Aa2 | 1,170 | 1,177,133 | ||||||
Securitized Asset Backed Receivables LLC,(g) | ||||||||||
Ser. 2004-OP1, Class M1 | ||||||||||
5.86% | 02/25/34 | Aa2 | 1,325 | 1,327,634 | ||||||
Ser. 2006-FR3, Class A3 | ||||||||||
5.57% | 05/25/36 | Aaa | 1,100 | 1,103,436 | ||||||
SVO VOI Mortgage Corp., | ||||||||||
Ser. 2005-AA, Class A | ||||||||||
5.25% | 02/20/21 | Aaa | 759 | 754,884 | ||||||
WFS Financial Owner Trust, | ||||||||||
Ser. 2004-4, Class D | ||||||||||
3.58% | 05/17/12 | A2 | 571 | 562,684 | ||||||
35,497,457 | ||||||||||
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Automotive — 0.1% | ||||||||||
Auburn Hills Trust, | ||||||||||
Debs. | ||||||||||
12.375% | 05/01/20 | Baa1 | $ | 510 | $ | 752,984 | ||||
DaimlerChrysler NA Holding Corp., | ||||||||||
Gtd. Notes | ||||||||||
8.50% | 01/18/31 | Baa1 | 279 | 332,131 | ||||||
Equus Cayman Finance Ltd. (Cayman Islands),(h) | ||||||||||
Notes, 144A | ||||||||||
5.50% | 09/12/08 | Baa3 | 315 | 314,102 | ||||||
Hyundai Motor Manufacturing LLC,(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
5.30% | 12/19/08 | Baa3 | 500 | 496,570 | ||||||
Johnson Controls, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.50% | 01/15/16 | Baa1 | 310 | 303,953 | ||||||
Oshkosh Truck Corp.,(i) | ||||||||||
Bank Loan | ||||||||||
7.37% | 12/06/13 | Ba3 | 2,000 | 2,001,875 | ||||||
4,201,615 | ||||||||||
Banking — 0.6% | ||||||||||
Banco Bradesco (Cayman Islands), | ||||||||||
Notes | ||||||||||
8.75% | 10/24/13 | A2 | 550 | 627,000 | ||||||
Bank of America Corp.,(b) | ||||||||||
Sub. Notes | ||||||||||
5.75% | 08/15/16 | Aa3 | 1,775 | 1,811,611 | ||||||
Bank of America NA, | ||||||||||
Sub. Notes | ||||||||||
6.00% | 10/15/36 | Aa2 | 410 | 422,122 | ||||||
Bank One Corp., | ||||||||||
Sub. Notes | ||||||||||
7.875% | 08/01/10 | A1 | 2,250 | 2,440,600 | ||||||
Barclays Bank PLC (United Kingdom),(g)(h) | ||||||||||
Notes, 144A | ||||||||||
5.926% | 12/15/49 | Aa3 | 1,900 | 1,923,919 | ||||||
Citigroup, Inc., | ||||||||||
Sub. Notes | ||||||||||
5.00% | 09/15/14 | Aa2 | 454 | 443,284 | ||||||
5.625% | 08/27/12 | Aa2 | 2,800 | 2,840,513 | ||||||
6.125% | 08/25/36 | Aa2 | 570 | 593,540 | ||||||
First Union National Bank, | ||||||||||
Sub. Notes | ||||||||||
7.80% | 08/18/10 | Aa3 | 2,100 | 2,258,869 | ||||||
HSBC Bank USA, | ||||||||||
Sr. Notes | ||||||||||
3.875% | 09/15/09 | Aa2 | 250 | 242,396 | ||||||
Icici Bank Ltd. (Singapore),(h) | ||||||||||
Notes, 144A | ||||||||||
5.75% | 11/16/10 | Baa2 | 1,070 | 1,068,304 | ||||||
J.P. Morgan Chase & Co., | ||||||||||
Sr. Notes | ||||||||||
5.25% | 05/30/07 | Aa3 | 210 | 209,920 | ||||||
Sub. Notes | ||||||||||
4.60% | 01/17/11 | Aa3 | 720 | 702,637 | ||||||
6.50% | 01/15/09 | A1 | 1,100 | 1,121,019 |
SEE NOTES TO FINANCIAL STATEMENTS.
B45
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Banking (cont’d.) | ||||||||||
Capital XVIII, Series R | ||||||||||
6.95% | 08/17/36 | A2 | $ | 690 | $ | 746,355 | ||||
Mizuho Finance Ltd. (Cayman Islands),(h) | ||||||||||
Bank Gtd. Notes, 144A | ||||||||||
5.79% | 04/15/14 | A2 | 815 | 819,779 | ||||||
MUFG Capital Finance 1 Ltd. | ||||||||||
Gtd. Notes | ||||||||||
6.346% | 07/25/49 | Baa2 | 800 | 812,556 | ||||||
Santander Central Hispano Issuances (Cayman Islands), | ||||||||||
Bank Gtd. Notes | ||||||||||
7.625% | 09/14/10 | A1 | 695 | 750,856 | ||||||
Washington Mutual Bank, | ||||||||||
Sub. Notes | ||||||||||
5.65% | 08/15/14 | A3 | 290 | 290,401 | ||||||
Wells Fargo Bank, | ||||||||||
Sub. Notes | ||||||||||
4.75% | 02/09/15 | Aa1 | 585 | 560,082 | ||||||
6.45% | 02/01/11 | Aa1 | 65 | 67,881 | ||||||
20,753,644 | ||||||||||
Brokerage — 0.3% | ||||||||||
Bear Stearns Co., Inc. (The), | ||||||||||
Unsec. Notes | ||||||||||
5.30% | 10/30/15 | A1 | 515 | 508,183 | ||||||
Goldman Sachs Group Inc. (The), | ||||||||||
Sub. Notes | ||||||||||
6.45% | 05/01/36 | A1 | 1,615 | 1,680,267 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||||
Notes | ||||||||||
6.625% | 01/18/12 | A1 | 1,670 | 1,764,501 | ||||||
Merrill Lynch & Co., | ||||||||||
Notes | ||||||||||
4.79% | 08/04/10 | Aa3 | 295 | 290,985 | ||||||
5.45% | 07/15/14 | Aa3 | 160 | 160,854 | ||||||
Notes, Ser. M.T.N. | ||||||||||
4.25% | 02/08/10 | Aa3 | 1,170 | 1,136,900 | ||||||
5.00% | 01/15/15 | Aa3 | 460 | 448,129 | ||||||
5.77%(b) | 07/25/11 | Aa3 | 520 | 531,482 | ||||||
Morgan Stanley, | ||||||||||
Notes | ||||||||||
5.30% | 03/01/13 | Aa3 | 845 | 842,472 | ||||||
5.375% | 10/15/15 | Aa3 | 395 | 391,467 | ||||||
Sub. Notes | ||||||||||
4.75% | 04/01/14 | A1 | 1,170 | 1,118,669 | ||||||
Sr. Unsec. Notes, M.T.N. | ||||||||||
5.75% | 10/18/16 | Aa3 | 1,300 | 1,319,076 | ||||||
10,192,985 | ||||||||||
Building Materials & Construction — 0.1% | ||||||||||
American Standard, Inc., | ||||||||||
Gtd. Notes | ||||||||||
7.625% | 02/15/10 | Baa3 | 770 | 806,999 | ||||||
CRH America, Inc., | ||||||||||
Gtd. Notes | ||||||||||
6.00% | 09/30/16 | Baa1 | 720 | 726,764 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Building Materials & Construction (cont’d.) | ||||||||||
Hanson PLC (United Kingdom), | ||||||||||
Sr. Unsub. Notes | ||||||||||
7.875% | 09/27/10 | Baa1 | $ | 1,000 | $ | 1,075,980 | ||||
Lafarge SA (France), | ||||||||||
Notes | ||||||||||
6.15% | 07/15/11 | Baa2 | 910 | 931,431 | ||||||
Owens Corning, Inc.,(h) | ||||||||||
Sr. Unsec. Notes, 144A | ||||||||||
6.50% | 12/01/16 | Baa3 | 550 | 558,711 | ||||||
Ryland Group, Inc. (The), | ||||||||||
Sr. Notes | ||||||||||
5.375% | 06/01/08 | Baa3 | 440 | 437,053 | ||||||
4,536,938 | ||||||||||
Cable — 0.2% | ||||||||||
AT&T Broadband LLC | ||||||||||
9.455% | 11/15/22 | Baa2 | 255 | 330,209 | ||||||
Comcast Corp., | ||||||||||
Gtd. Notes | ||||||||||
6.45% | 03/15/37 | Baa2 | 1,315 | 1,315,710 | ||||||
Sr. Unsec. Notes | ||||||||||
6.50% | 11/15/35 | Baa2 | 450 | 453,178 | ||||||
Cox Communications, Inc., | ||||||||||
Notes, Class A | ||||||||||
6.75% | 03/15/11 | Baa3 | 950 | 993,145 | ||||||
7.875% | 08/15/09 | Baa3 | 1,275 | 1,349,284 | ||||||
CSC Holdings, Inc., | ||||||||||
Sr. Notes | ||||||||||
7.875% | 12/15/07 | B2 | 1,970 | 1,994,625 | ||||||
6,436,151 | ||||||||||
Capital Goods — 0.3% | ||||||||||
Cameron International Corp., | ||||||||||
Sr. Notes | ||||||||||
2.65% | 04/15/07 | Baa1 | 330 | 327,318 | ||||||
Caterpillar Financial Services Corp., M.T.N. | ||||||||||
5.50% | 03/15/16 | A2 | 825 | 825,456 | ||||||
Caterpillar, Inc., | ||||||||||
Debs. | ||||||||||
7.25% | 09/15/09 | A2 | 700 | 734,961 | ||||||
ERAC USA Finance Co.,(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
7.35% | 06/15/08 | Baa1 | 1,950 | 1,998,809 | ||||||
Fedex Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.25% | 02/15/11 | Baa2 | 400 | 426,183 | ||||||
Notes | ||||||||||
2.65% | 04/01/07 | Baa2 | 1,600 | 1,589,132 | ||||||
Honeywell International, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.70% | 03/15/36 | A2 | 140 | 139,198 | ||||||
Sr. Unsub. Notes | ||||||||||
6.125% | 11/01/11 | A2 | 1,095 | 1,134,334 | ||||||
Stena AB (Sweden), | ||||||||||
Sr. Notes | ||||||||||
7.50% | 11/01/13 | Ba3 | 1,160 | 1,145,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
B46
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Capital Goods (cont’d.) | ||||||||||
Tyco International Group SA (Bermuda), | ||||||||||
Gtd. Notes | ||||||||||
6.00% | 11/15/13 | Baa3 | $ | 1,265 | $ | 1,308,863 | ||||
United Technologies Corp., | ||||||||||
Debs. | ||||||||||
8.875% | 11/15/19 | A2 | 460 | 596,388 | ||||||
Notes | ||||||||||
6.35% | 03/01/11 | A2 | 825 | 857,812 | ||||||
Waste Management, Inc., | ||||||||||
Gtd. Notes | ||||||||||
7.75% | 05/15/32 | Baa3 | 220 | 259,481 | ||||||
11,343,435 | ||||||||||
Chemicals — 0.1% | ||||||||||
Dow Chemical Co. (The), | ||||||||||
Debs. | ||||||||||
5.97% | 01/15/09 | A3 | 390 | 394,323 | ||||||
Gtd. Notes | ||||||||||
5.625% | 12/01/13 | Baa3 | 720 | 710,919 | ||||||
9.875% | 03/01/09 | B2 | 1,083 | 1,115,490 | ||||||
Sr. Notes | ||||||||||
6.125% | 02/01/11 | A3 | 685 | 704,173 | ||||||
Lubrizol Corp., | ||||||||||
Sr. Notes | ||||||||||
4.625% | 10/01/09 | Baa3 | 860 | 843,610 | ||||||
Monsanto Co., | ||||||||||
Sr. Unsec. Notes, Ser. 1 | ||||||||||
5.50% | 07/30/35 | Baa1 | 500 | 471,201 | ||||||
Union Carbide Corp., | ||||||||||
Debs. | ||||||||||
7.50% | 06/01/25 | Ba2 | 460 | 489,224 | ||||||
4,728,940 | ||||||||||
Collateralized Mortgage Obligations — 0.3% | ||||||||||
Banc of America Mortgage Securities,(g) | ||||||||||
Ser. 2005-A, Class 2A1 | ||||||||||
4.46% | 02/25/35 | Aaa | 1,208 | 1,180,214 | ||||||
Ser. 2005-B, Class 2A1 | ||||||||||
4.39% | 03/25/35 | Aaa | 1,166 | 1,137,339 | ||||||
Bank of America Alternative Loan Trust, | ||||||||||
Ser. 2005-12, Class 3CB1 | ||||||||||
6.00% | 01/25/36 | Aaa | 4,460 | 4,462,158 | ||||||
Countrywide Alternative Loan Trust, | ||||||||||
Ser. 2004-18CB, Class 3A1 | ||||||||||
5.25% | 09/25/19 | Aaa | 1,854 | 1,797,407 | ||||||
Master Alternative Loan Trust, | ||||||||||
Ser. 2004-4, Class 4A1 | ||||||||||
5.00% | 04/25/19 | Aaa | 599 | 584,894 | ||||||
Structured Adjustable Rate Mortgage Loan,(g) | ||||||||||
Ser. 2004-1, Class 4A3 | ||||||||||
4.17% | 02/25/34 | Aaa | 1,190 | 1,177,582 | ||||||
Washington Mutual Mortgage, | ||||||||||
Pass-Through Certificates, Ser. 2005-1, Class 3A | ||||||||||
5.00% | 03/25/20 | AAA(f) | 665 | 656,710 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Collateralized Mortgage Obligations (cont’d.) | ||||||||||
Washington Mutual, Inc.,(g) | ||||||||||
Ser. 2002-AR15, Class A5 | ||||||||||
4.38% | 12/25/32 | Aaa | $ | 584 | $ | 577,934 | ||||
11,574,238 | ||||||||||
Commercial Mortgage Backed Securities — 3.0% | ||||||||||
Banc of America Commercial Mortgage, Inc.,(g) | ||||||||||
Ser. 2003-2, Class A3 | ||||||||||
4.873% | 03/11/41 | AAA(f) | 2,500 | 2,457,900 | ||||||
Ser. 2004-2, Class A4 | ||||||||||
4.153% | 11/10/38 | Aaa | 2,800 | 2,683,139 | ||||||
Ser. 2005-1 , Class ASB | ||||||||||
4.8645% | 11/10/42 | AAA(f) | 900 | 893,066 | ||||||
Ser. 2006-2, Class A4 | ||||||||||
5.7405% | 05/10/45 | AAA(f) | 2,300 | 2,378,314 | ||||||
Bear Stearns Commercial Mortgage Securities,(g) | ||||||||||
Ser. 2004-T16, Class A-6 | ||||||||||
4.75% | 02/13/46 | AAA(f) | 4,500 | 4,342,649 | ||||||
Ser. 2005-T18, Class AAB | ||||||||||
4.823% | 02/13/42 | Aaa | 1,775 | 1,731,350 | ||||||
Ser. 2005-T20, Class AAB | ||||||||||
5.1394% | 10/12/42 | Aaa | 2,400 | 2,390,715 | ||||||
Citigroup Commercial Mortgage Trust,(g) | ||||||||||
Ser. 2006-C4 A3 | ||||||||||
5.72% | 03/15/49 | Aaa | 1,775 | 1,832,464 | ||||||
Commercial Mortgage Pass-Through | ||||||||||
Ser. 2004-LB2A, Class X2, 144A | ||||||||||
0.978% | 03/10/39 | AAA(f) | 12,788 | 347,115 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||||
Ser. 2004-C3, Class A4 | ||||||||||
4.835% | 07/15/36 | Aaa | 880 | 862,996 | ||||||
Ser. 2004-C4, Class A4 | ||||||||||
4.283% | 10/15/39 | Aaa | 1,400 | 1,343,775 | ||||||
CS Mortgage Capital Certificate Corp., | ||||||||||
Ser. 2006-C1, Class A4(g) | ||||||||||
5.557% | 02/15/39 | AAA(f) | 2,700 | 2,743,383 | ||||||
Ser. 2006-C4, Class A3 | ||||||||||
5.467% | 09/15/39 | Aaa | 4,100 | 4,131,554 | ||||||
DLJ Commercial Mortgage Corp., | ||||||||||
Ser. 2000-CF1, Class A1B | ||||||||||
7.62% | 06/10/33 | AAA(f) | 2,709 | 2,881,389 | ||||||
General Electric Capital Commercial Mortgage Corp., I/O,(g) | ||||||||||
Ser. 2004-C2, Class X2 | ||||||||||
0.597% | 03/10/40 | Aaa | 23,404 | 457,759 | ||||||
Greenwich Capital Commercial Funding Corp., | ||||||||||
Ser. 2003-C1, Class A4 | ||||||||||
4.111% | 07/05/35 | Aaa | 7,700 | 7,235,476 | ||||||
Ser. 2003-C2, Class A3 | ||||||||||
4.533% | 01/05/36 | Aaa | 2,750 | 2,678,845 | ||||||
GS Mortgage Securities Corp. II, | ||||||||||
Ser. 2006-GG6, Class AAB(g) | ||||||||||
5.587% | 04/10/38 | AAA(f) | 6,650 | 6,736,145 | ||||||
J.P. Morgan Chase Commercial Mortgage Securites Corp., | ||||||||||
Ser. 2005-LDP2, Class ASB | ||||||||||
4.659% | 07/15/42 | Aaa | 6,350 | 6,156,544 |
SEE NOTES TO FINANCIAL STATEMENTS.
B47
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Commercial Mortgage Backed Securities (cont’d.) | ||||||||||
Ser. 2005-LDP4, Class A4(g) | ||||||||||
4.918% | 10/15/42 | Aaa | $ | 2,500 | $ | 2,427,027 | ||||
Ser. 2006-CB16, Class ASB | ||||||||||
5.523% | 05/12/45 | Aaa | 3,900 | 3,940,943 | ||||||
Ser. 2006-CB17, Class A4 | ||||||||||
5.429% | 12/12/43 | Aaa | 4,750 | 4,774,091 | ||||||
Ser. 2006-LDP6, Class X2, I/O,(g) | ||||||||||
0.881% | 04/15/43 | Aaa | 149,768 | 863,395 | ||||||
Ser. 2006-LDP8, Class ASB | ||||||||||
5.37% | 05/15/45 | Aaa | 3,700 | 3,701,879 | ||||||
J.P. Morgan Commercial Mortgage Finance Corp., | ||||||||||
Ser. 2000-C10, Class A2 | ||||||||||
7.371% | 08/15/32 | Aaa | 7,766 | 8,159,598 | ||||||
Ser. 2003-CB6, Class A2 | ||||||||||
5.255% | 07/12/37 | Aaa | 2,100 | 2,097,686 | ||||||
J.P. Morgan Chase & Co.,(g) | ||||||||||
Ser. 2005-CB13, Class A4 | ||||||||||
5.294% | 01/12/43 | Aaa | 2,340 | 2,342,120 | ||||||
Ser. 2005-LDP5, Class A4 | ||||||||||
5.1793% | 12/15/44 | Aaa | 5,000 | 4,981,750 | ||||||
KeyCorp., | ||||||||||
Ser. 2000-C1, Class A2 | ||||||||||
7.727% | 05/17/32 | Aaa | 8,605 | 9,107,176 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Ser. 2003-C8, Class A3 | ||||||||||
4.83% | 11/15/27 | Aaa | 1,460 | 1,434,369 | ||||||
Ser. 2004-C6, Class A5(g) | ||||||||||
4.826% | 08/15/29 | AAA(f) | 3,910 | 3,826,652 | ||||||
Ser. 2006-C3 A4(g) | ||||||||||
5.661% | 03/15/39 | Aaa | 4,580 | 4,690,120 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Ser. 2004-KEY2, Class A3 | ||||||||||
4.615% | 08/12/39 | Aaa | 2,000 | 1,935,700 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage,(g) | ||||||||||
Ser. 2006-2, Class A4 | ||||||||||
5.910% | 06/12/46 | Aaa | 1,795 | 1,875,872 | ||||||
110,442,956 | ||||||||||
Consumer — 0.1% | ||||||||||
Realogy Corp.,(h) | ||||||||||
Notes, 144A | ||||||||||
6.15% | 10/15/11 | Baa2 | 975 | 996,313 | ||||||
Western Union Co.,(h) | ||||||||||
Notes, 144A | ||||||||||
5.93% | 10/01/16 | A3 | 585 | 579,399 | ||||||
Whirlpool Corp., | ||||||||||
Notes | ||||||||||
6.125% | 06/15/11 | Baa2 | 965 | 982,387 | ||||||
2,558,099 | ||||||||||
Electric — 0.6% | ||||||||||
Appalachian Power Co., | ||||||||||
Sr. Notes, Ser. J | ||||||||||
4.40% | 06/01/10 | Baa2 | 620 | 598,977 | ||||||
Arizona Public Service Co., | ||||||||||
Unsec. Notes | ||||||||||
6.25% | 08/01/16 | Baa2 | 1,490 | 1,524,583 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Electric (cont’d.) | ||||||||||
Baltimore Gas & Electric Co.,(h) | ||||||||||
Sr. Unsec., 144A | ||||||||||
6.35% | 10/01/36 | Baa2 | $ | 550 | $ | 561,453 | ||||
Boston Edison Co., | ||||||||||
Debs. | ||||||||||
4.875% | 04/15/14 | A1 | 565 | 548,686 | ||||||
Carolina Power & Light Co., | ||||||||||
First Mtge. | ||||||||||
5.25% | 12/15/15 | A3 | 525 | 516,243 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||||
Mtge. Bonds, Ser. J2 | ||||||||||
5.70% | 03/15/13 | Baa2 | 740 | 745,375 | ||||||
Mtge. Bonds, Ser. K2 | ||||||||||
6.95% | 03/15/33 | Baa2 | 590 | 653,860 | ||||||
Con Edison Co. of New York, | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.375% | 12/15/15 | A1 | 730 | 725,221 | ||||||
Consumers Energy Co., | ||||||||||
First Mtge. Bonds, Ser. B | ||||||||||
5.375% | 04/15/13 | Baa2 | 325 | 321,855 | ||||||
Dominion Resources, Inc., | ||||||||||
Sr. Notes, Ser. D | ||||||||||
5.125% | 12/15/09 | Baa2 | 970 | 963,809 | ||||||
Duke Capital LLC, | ||||||||||
6.25% | 02/15/13 | Baa2 | 235 | 242,130 | ||||||
8.00% | 10/01/19 | Baa2 | 107 | 124,393 | ||||||
El Paso Electric Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 05/15/35 | Baa3 | 670 | 642,248 | ||||||
Empresa Nacional de Electricidad S.A. (Chile), | ||||||||||
Bonds, Ser. B | ||||||||||
8.50% | 04/01/09 | Baa3 | 1,070 | 1,136,051 | ||||||
Notes | ||||||||||
8.625% | 08/01/15 | Baa3 | 360 | 423,698 | ||||||
Energy East Corp., | ||||||||||
Notes | ||||||||||
6.75% | 09/15/33 | Baa2 | 630 | 661,708 | ||||||
Exelon Corp., | ||||||||||
Notes | ||||||||||
4.90% | 06/15/15 | Baa2 | 155 | 146,199 | ||||||
FirstEnergy Corp., | ||||||||||
Notes, Ser. C | ||||||||||
7.375% | 11/15/31 | Baa3 | 615 | 700,384 | ||||||
Florida Power & Light Co., | ||||||||||
First Mtge. | ||||||||||
5.95% | 10/01/33 | Aa3 | 295 | 303,181 | ||||||
Indiana Michigan Power Co., | ||||||||||
Sr. Notes | ||||||||||
5.05% | 11/15/14 | Baa2 | 460 | 439,606 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||
Notes, Ser. C, M.T.N. | ||||||||||
7.25% | 03/01/12 | A2 | 185 | 201,036 | ||||||
Nevada Power Co., | ||||||||||
Mtge. Bonds, Ser. O | ||||||||||
6.50% | 05/15/18 | Ba1 | 1,080 | 1,119,593 |
SEE NOTES TO FINANCIAL STATEMENTS.
B48
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Electric (cont’d.) | ||||||||||
NiSource Finance Corp., | ||||||||||
Gtd. Notes | ||||||||||
5.25% | 09/15/17 | Baa3 | $ | 245 | $ | 229,627 | ||||
5.45% | 09/15/20 | Baa3 | 350 | 325,972 | ||||||
Ohio Edison Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.40% | 07/15/16 | Baa2 | 775 | 809,924 | ||||||
6.875% | 07/15/36 | Baa2 | 115 | 125,205 | ||||||
Oncor Electric Delivery Co., | ||||||||||
Debs. | ||||||||||
7.00% | 09/01/22 | Baa2 | 475 | 510,937 | ||||||
Sec. Notes | ||||||||||
6.375% | 01/15/15 | Baa2 | 345 | 355,618 | ||||||
7.25% | 01/15/33 | Baa2 | 250 | 281,757 | ||||||
Pacific Gas & Electric Co., | ||||||||||
Unsec. Notes | ||||||||||
6.05% | 03/01/34 | Baa1 | 1,550 | 1,563,292 | ||||||
Pepco Holdings, Inc., | ||||||||||
Notes | ||||||||||
5.50% | 08/15/07 | Baa3 | 565 | 564,547 | ||||||
PPL Electric Utilities Corp., | ||||||||||
Sec. Notes | ||||||||||
6.25% | 08/15/09 | A3 | 1,500 | 1,534,551 | ||||||
Southern California Edison Co., | ||||||||||
First Mtge. | ||||||||||
4.65% | 04/01/15 | A2 | 470 | 444,137 | ||||||
5.625% | 02/01/36 | A2 | 355 | 343,642 | ||||||
Xcel Energy, Inc., | ||||||||||
Sr. Notes | ||||||||||
3.40% | 07/01/08 | Baa1 | 605 | 587,287 | ||||||
6.50% | 07/01/36 | Baa1 | 445 | 470,163 | ||||||
7.00% | 12/01/10 | Baa1 | 190 | 200,399 | ||||||
21,647,347 | ||||||||||
Energy - Integrated — 0.1% | ||||||||||
ConocoPhilips Canada Funding Co. (Canada), | ||||||||||
Gtd. Notes | ||||||||||
5.625% | 10/15/16 | A1 | 1,695 | 1,703,057 | ||||||
ConocoPhillips Co., | ||||||||||
Notes | ||||||||||
8.75% | 05/25/10 | A1 | 1,505 | 1,667,658 | ||||||
ConocoPhillips Holding Co., | ||||||||||
Sr. Notes | ||||||||||
6.95% | 04/15/29 | A1 | 375 | 425,954 | ||||||
Marathon Oil Corp., | ||||||||||
Notes | ||||||||||
6.125% | 03/15/12 | Baa1 | 310 | 319,249 | ||||||
TNK-BP Finance SA,(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
7.50% | 07/18/16 | Baa2 | 450 | 478,688 | ||||||
4,594,606 | ||||||||||
Energy - Other — 0.2% | ||||||||||
Anadarko Finance Co. (Canada), | ||||||||||
Gtd. Notes, Ser. B | ||||||||||
7.50% | 05/01/31 | Baa2 | 5 | 5,673 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Energy - Other (cont’d.) | ||||||||||
Anadarko Petroleum Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.95% | 09/15/16 | Baa2 | $ | 905 | $ | 906,894 | ||||
6.45% | 09/15/36 | Baa2 | 460 | 464,828 | ||||||
Devon Financing Corp. ULC, | ||||||||||
Gtd. Notes | ||||||||||
7.875% | 09/30/31 | Baa2 | 225 | 270,703 | ||||||
Encana Corp. (Canada), | ||||||||||
Bonds | ||||||||||
6.50% | 08/15/34 | Baa2 | 290 | 298,872 | ||||||
Halliburton Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.50% | 10/15/10 | Baa1 | 150 | 149,733 | ||||||
Occidental Petroleum Corp.,(b) | ||||||||||
Sr. Notes | ||||||||||
6.75% | 01/15/12 | A3 | 735 | 779,784 | ||||||
Talisman Energy, Inc. (Canada), | ||||||||||
Notes | ||||||||||
5.125% | 05/15/15 | Baa2 | 170 | 161,196 | ||||||
Sr. Unsec. | ||||||||||
6.25% | 02/01/38 | Baa2 | 545 | 525,822 | ||||||
Valero Energy Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
7.50% | 04/15/32 | Baa3 | 145 | 165,431 | ||||||
Weatherford International Ltd. (Bermuda), | ||||||||||
Gtd. Notes | ||||||||||
6.50% | 08/01/36 | Baa1 | 575 | 577,225 | ||||||
Woodside Finance Ltd. (Austrailia),(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
5.00% | 11/15/13 | Baa1 | 1,315 | 1,269,583 | ||||||
XTO Energy Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.65% | 04/01/16 | Baa2 | 325 | 321,289 | ||||||
5,897,033 | ||||||||||
Foods — 0.4% | ||||||||||
Archer-Daniels-Midland Co., | ||||||||||
Debs. | ||||||||||
8.125% | 06/01/12 | A2 | 300 | 338,006 | ||||||
Bottling Group LLC, | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.50% | 04/01/16 | A3 | 385 | 383,587 | ||||||
Bunge Ltd. Finance Corp.,(b) | ||||||||||
Notes | ||||||||||
5.35% | 04/15/14 | Baa2 | 1,040 | 999,553 | ||||||
Cadbury Schweppes US Finance,(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
3.875% | 10/01/08 | Baa2 | 810 | 788,843 | ||||||
Cargill, Inc.,(h) | ||||||||||
Notes, 144A | ||||||||||
3.625% | 03/04/09 | A2 | 1,875 | 1,810,959 | ||||||
ConAgra Foods, Inc., | ||||||||||
Notes | ||||||||||
7.875% | 09/15/10 | Baa2 | 430 | 465,336 | ||||||
Sr. Notes | ||||||||||
7.125% | 10/01/26 | Baa2 | 355 | 389,478 |
SEE NOTES TO FINANCIAL STATEMENTS.
B49
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Foods (cont’d.) | ||||||||||
General Mills, Inc., | ||||||||||
Notes | ||||||||||
5.125% | 02/15/07 | Baa1 | $ | 350 | $ | 349,750 | ||||
Heinz Co.,(h) | ||||||||||
Notes 144A | ||||||||||
6.428% | 12/01/08 | Baa2 | 1,290 | 1,313,014 | ||||||
Kellogg Co., | ||||||||||
Notes, Ser. B | ||||||||||
6.60% | 04/01/11 | A3 | 1,875 | 1,966,313 | ||||||
Kraft Foods, Inc., | ||||||||||
Notes | ||||||||||
5.25% | 06/01/07 | A3 | 300 | 299,765 | ||||||
Sr. Unsec. Notes | ||||||||||
5.625% | 11/01/11 | A3 | 850 | 859,035 | ||||||
Kroger Co., (The) | ||||||||||
Gtd. Notes | ||||||||||
6.75% | 04/15/12 | Baa2 | 45 | 47,219 | ||||||
6.80% | 04/01/11 | Baa2 | 670 | 701,191 | ||||||
Sr. Notes | ||||||||||
7.00% | 05/01/18 | Baa2 | 565 | 597,080 | ||||||
Tricon Global Restaurants, | ||||||||||
Sr. Notes | ||||||||||
8.875% | 04/15/11 | Baa2 | 180 | 201,919 | ||||||
Tyson Foods, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.85% | 04/01/16 | Ba1 | 735 | 754,715 | ||||||
Whitman Corp., | ||||||||||
Notes | ||||||||||
6.375% | 05/01/09 | Baa1 | 1,530 | 1,556,559 | ||||||
13,822,322 | ||||||||||
Gaming — 0.1% | ||||||||||
Harrah’s Operating Co., Inc., | ||||||||||
Gtd. Notes | ||||||||||
5.50% | 07/01/10 | Baa3 | 625 | 612,594 | ||||||
Mandalay Resorts Group, | ||||||||||
Sr. Sub. Notes | ||||||||||
9.375% | 02/15/10 | B1 | 10 | 10,700 | ||||||
Station Casinos Inc., | ||||||||||
6.625% | 03/15/18 | Ba3 | 1,500 | 1,286,250 | ||||||
1,909,544 | ||||||||||
Healthcare & Pharmaceutical — 0.5% | ||||||||||
Abbott Laboratories, | ||||||||||
Notes | ||||||||||
5.875% | 05/15/16 | A1 | 1,965 | 2,024,011 | ||||||
Amerisourcebergen Corp., | ||||||||||
Gtd. Notes | ||||||||||
5.625% | 09/15/12 | Ba1 | 915 | 899,513 | ||||||
Baxter International, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.196% | 02/16/08 | Baa1 | 860 | 857,835 | ||||||
Boston Scientific Corp., | ||||||||||
Sr. Notes | ||||||||||
6.40% | 06/15/16 | Baa3 | 2,075 | 2,099,810 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Healthcare & Pharmaceutical (cont’d.) | ||||||||||
Cardinal Health, Inc., | ||||||||||
Unsub. Notes | ||||||||||
5.85% | 12/15/17 | Baa2 | $ | 1,305 | $ | 1,297,665 | ||||
Genentech, Inc., | ||||||||||
Sr. Notes | ||||||||||
4.75% | 07/15/15 | A1 | 280 | 268,053 | ||||||
HCA, Inc., | ||||||||||
Bank Loan(i) | ||||||||||
8.125% | 11/14/13 | Ba3 | 2,000 | 2,021,924 | ||||||
Sr. Unsec. | ||||||||||
6.25% | 02/15/13 | Caa1 | 30 | 26,550 | ||||||
Laboratory Corp. of America Holdings, | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.625% | 12/15/15 | Baa3 | 730 | 717,661 | ||||||
Merck & Co., Inc., | ||||||||||
Bonds | ||||||||||
5.75% | 11/15/36 | Aa3 | 980 | 969,473 | ||||||
Debs. | ||||||||||
5.95% | 12/01/28 | Aa3 | 165 | 166,605 | ||||||
Pharmacia Corp., | ||||||||||
Debs. | ||||||||||
6.60% | 12/01/28 | Aa1 | 185 | 209,439 | ||||||
Schering-Plough Corp., | ||||||||||
Sr. Notes | ||||||||||
5.55% | 12/01/13 | Baa1 | 1,580 | 1,584,577 | ||||||
Teva Pharmaceutical Finance LLC, | ||||||||||
Gtd. Notes | ||||||||||
6.15% | 02/01/36 | Baa2 | 1,295 | 1,258,256 | ||||||
Ventas Realty LP, | ||||||||||
Sr. Notes | ||||||||||
6.625% | 10/15/14 | Ba2 | 2,410 | 2,464,224 | ||||||
Wyeth, | ||||||||||
Unsub. Notes | ||||||||||
5.50% | 03/15/13 | A3 | 910 | 915,888 | ||||||
5.50% | 02/01/14 | A3 | 255 | 256,308 | ||||||
6.45% | 02/01/24 | A3 | 60 | 64,188 | ||||||
18,101,980 | ||||||||||
Healthcare Insurance — 0.2% | ||||||||||
Aetna, Inc., | ||||||||||
Sr. Unsub. Notes | ||||||||||
5.75% | 06/15/11 | A3 | 390 | 395,937 | ||||||
6.625% | 06/15/36 | A3 | 615 | 657,659 | ||||||
Anthem, Inc., | ||||||||||
Notes | ||||||||||
3.50% | 09/01/07 | Baa1 | 1,560 | 1,538,931 | ||||||
Coventry Health Care, Inc., | ||||||||||
Sr. Notes | ||||||||||
6.125% | 01/15/15 | Ba1 | 990 | 975,646 | ||||||
United Health Group, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.25% | 03/15/11 | A3 | 1,350 | 1,345,374 | ||||||
5.375% | 03/15/16 | A3 | 770 | 762,511 | ||||||
Wellpoint, Inc., | ||||||||||
Notes | ||||||||||
5.00% | 12/15/14 | Baa1 | 860 | 832,609 | ||||||
5.95% | 12/15/34 | Baa1 | 635 | 624,780 | ||||||
7,133,447 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B50
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Insurance — 0.2% | ||||||||||
Allstate Corp. (The), | ||||||||||
Sr. Notes | ||||||||||
5.55% | 05/09/35 | A1 | $ | 145 | $ | 139,444 | ||||
5.95% | 04/01/36 | A1 | 540 | 549,162 | ||||||
American International Group, Inc., | ||||||||||
Notes | ||||||||||
4.25% | 05/15/13 | Aa2 | 1,080 | 1,012,681 | ||||||
5.60% | 10/18/16 | Aa2 | 1,040 | 1,049,673 | ||||||
Sr. Notes | ||||||||||
5.05% | 10/01/15 | Aa2 | 180 | 175,028 | ||||||
AXA SA (France), | ||||||||||
Sub. Notes | ||||||||||
8.60% | 12/15/30 | A3 | 155 | 200,967 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||||
Gtd. Notes | ||||||||||
4.75% | 05/15/12 | Aaa | 830 | 813,471 | ||||||
Liberty Mutual Group, Inc.,(h) | ||||||||||
Bonds, 144A | ||||||||||
7.00% | 03/15/34 | Baa3 | 850 | 875,112 | ||||||
Marsh & Mclennan Cos., Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.15% | 09/15/10 | Baa2 | 265 | 260,352 | ||||||
5.75% | 09/15/15 | Baa2 | 160 | 157,410 | ||||||
MetLife, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.70% | 06/15/35 | A2 | 1,020 | 996,780 | ||||||
6.125% | 12/01/11 | A2 | 335 | 346,306 | ||||||
6.375% | 06/15/34 | A2 | 400 | 427,145 | ||||||
St. Paul Travelers Cos., Inc. (The), | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.75% | 06/20/36 | A3 | 685 | 757,148 | ||||||
W.R. Berkley Corp., | ||||||||||
Sr. Notes | ||||||||||
5.60% | 05/15/15 | Baa2 | 555 | 545,163 | ||||||
6.15% | 08/15/19 | Baa2 | 460 | 457,714 | ||||||
XL Capital Ltd. (Cayman Islands), | ||||||||||
Sr. Notes | ||||||||||
5.25% | 09/15/14 | A3 | 85 | 83,302 | ||||||
8,846,858 | ||||||||||
Lodging — 0.1% | ||||||||||
Carnival Corp. (Panama), | ||||||||||
Gtd. Notes | ||||||||||
3.75% | 11/15/07 | A3 | 2,205 | 2,175,126 | ||||||
P&O Princess (United Kingdom), | ||||||||||
Notes | ||||||||||
7.30% | 06/01/07 | A3 | 260 | 261,825 | ||||||
2,436,951 | ||||||||||
Media & Entertainment — 0.2% | ||||||||||
CBS Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.875% | 07/30/30 | Baa3 | 320 | 335,337 | ||||||
Chancellor Media Corp., | ||||||||||
Gtd. Notes | ||||||||||
8.00% | 11/01/08 | Baa3 | 575 | 597,804 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Media & Entertainment (cont’d.) | ||||||||||
Idearc, Inc.,(i) | ||||||||||
Bank Loan | ||||||||||
7.3762% | 11/09/14 | Ba2 | $ | 1,500 | $ | 1,507,501 | ||||
Knight Ridder, Inc., | ||||||||||
Debs. | ||||||||||
6.875% | 03/15/29 | Ba1 | 70 | 66,377 | ||||||
News America, Inc., | ||||||||||
Gtd. Notes | ||||||||||
7.625% | 11/30/28 | Baa2 | 1,050 | 1,177,425 | ||||||
Time Warner, Inc., | ||||||||||
Debs. | ||||||||||
9.15% | 02/01/23 | Baa2 | 505 | 624,729 | ||||||
Gtd. Notes | ||||||||||
6.50% | 11/15/36 | Baa2 | 315 | 313,527 | ||||||
6.75% | 04/15/11 | Baa2 | 640 | 669,957 | ||||||
7.25% | 10/15/17 | Baa2 | 790 | 862,983 | ||||||
Viacom, Inc., | ||||||||||
Sr. Notes, | ||||||||||
6.25% | 04/30/16 | Baa3 | 650 | 645,497 | ||||||
6.875% | 04/30/36 | Baa3 | 680 | 672,302 | ||||||
Walt Disney Co., | ||||||||||
Notes | ||||||||||
5.375% | 06/01/07 | A3 | 225 | 225,151 | ||||||
7,698,590 | ||||||||||
Metals — 0.1% | ||||||||||
Alcan, Inc. (Canada), | ||||||||||
Notes | ||||||||||
4.50% | 05/15/13 | Baa1 | 115 | 108,254 | ||||||
5.00% | 06/01/15 | Baa1 | 600 | 570,680 | ||||||
Peabody Energy Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.375% | 11/01/16 | Ba1 | 1,200 | 1,278,000 | ||||||
Southern Copper Corp., | ||||||||||
Sr. Notes | ||||||||||
7.50% | 07/27/35 | Baa2 | 955 | 1,035,494 | ||||||
Vale Overseas Ltd. (Cayman Islands), | ||||||||||
Gtd. Notes | ||||||||||
6.875% | 11/21/36 | Baa3 | 710 | 728,209 | ||||||
8.25% | 01/17/34 | Baa3 | 240 | 284,290 | ||||||
4,004,927 | ||||||||||
Municipals | ||||||||||
Illinois St., Taxable Pension, G.O., | ||||||||||
5.10% | 06/01/33 | Aa3 | 975 | 933,290 | ||||||
Non Captive Finance — 0.3% | ||||||||||
Capital One Bank Corp., | ||||||||||
Sub. Notes | ||||||||||
6.50% | 06/13/13 | A3 | 20 | 21,083 | ||||||
Capital One Financial Corp., | ||||||||||
Notes | ||||||||||
5.50% | 06/01/15 | A3 | 265 | 264,817 | ||||||
Sr. Notes, M.T.N. | ||||||||||
5.70% | 09/15/11 | A3 | 600 | 608,893 | ||||||
Sub. Notes | ||||||||||
6.15% | 09/01/16 | Baa1 | 80 | 82,737 |
SEE NOTES TO FINANCIAL STATEMENTS.
B51
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Non Captive Finance (cont’d.) | ||||||||||
CIT Group Funding Co. (Canada), | ||||||||||
Gtd. Notes | ||||||||||
5.20% | 06/01/15 | A2 | $ | 680 | $ | 658,636 | ||||
CIT Group, Inc., | ||||||||||
Sr. Notes | ||||||||||
4.25% | 02/01/10 | A2 | 400 | 387,407 | ||||||
5.50% | 11/30/07 | A2 | 990 | 992,181 | ||||||
General Electric Capital Corp., | ||||||||||
Notes | ||||||||||
5.50% | 04/28/11 | Aaa | 2,895 | 2,929,204 | ||||||
Notes, M.T.N. | ||||||||||
4.875% | 10/21/10 | Aaa | 1,070 | 1,058,744 | ||||||
Notes, Ser. A, M.T.N. | ||||||||||
6.125% | 02/22/11 | Aaa | 5 | 5,169 | ||||||
6.75% | 03/15/32 | Aaa | 850 | 973,486 | ||||||
Household Finance Corp., | ||||||||||
Notes | ||||||||||
4.75% | 05/15/09 | Aa3 | 370 | 365,997 | ||||||
4.75% | 07/15/13 | Aa3 | 150 | 145,449 | ||||||
HSBC Finance Corp., | ||||||||||
Sr. Notes | ||||||||||
5.70% | 06/01/11 | Aa3 | 440 | 447,604 | ||||||
International Lease Finance Corp., | ||||||||||
Unsub. Notes | ||||||||||
3.50% | 04/01/09 | A1 | 580 | 557,915 | ||||||
Residential Capital Corp., | ||||||||||
Gtd. Notes | ||||||||||
6.00% | 02/22/11 | Baa3 | 1,630 | 1,626,916 | ||||||
Sr. Unsec. Notes | ||||||||||
6.375% | 06/30/10 | Baa3 | 480 | 485,586 | ||||||
11,611,824 | ||||||||||
Packaging | ||||||||||
Ball Corp., | ||||||||||
Gtd. Notes | ||||||||||
6.625% | 03/15/18 | Ba1 | 1,900 | 1,890,500 | ||||||
Paper | ||||||||||
Plum Creek Timberlands LP, | ||||||||||
Gtd. Notes | ||||||||||
5.875% | 11/15/15 | Baa3 | 690 | 678,043 | ||||||
Weyerhaeuser Co., | ||||||||||
Debs. | ||||||||||
7.375% | 03/15/32 | Baa2 | 390 | 407,092 | ||||||
2,975,635 | ||||||||||
Pipelines & Other — 0.2% | ||||||||||
Atmos Energy Corp., | ||||||||||
Notes | ||||||||||
4.00% | 10/15/09 | Baa3 | 1,680 | 1,616,160 | ||||||
Duke Energy Field Services LLC, | ||||||||||
Notes | ||||||||||
7.875% | 08/16/10 | Baa2 | 1,760 | 1,893,129 | ||||||
Enterprise Products Operating LP, | ||||||||||
Gtd. Notes, Ser. B | ||||||||||
6.875% | 03/01/33 | Baa3 | 140 | 146,183 | ||||||
Sr. Notes | ||||||||||
4.625% | 10/15/09 | Baa3 | 740 | 724,522 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Pipelines & Other(cont’d.) | ||||||||||
Sr. Notes, Ser. B | ||||||||||
4.00% | 10/15/07 | Baa3 | $ | 780 | $ | 770,458 | ||||
Kinder Morgan Finance Co. ULC (Canada), | ||||||||||
Gtd. Notes | ||||||||||
5.70% | 01/05/16 | Baa2 | 735 | 674,376 | ||||||
Oneok Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.51% | 02/16/08 | Baa2 | 1,290 | 1,289,084 | ||||||
Oneok Partners LP, | ||||||||||
Notes | ||||||||||
6.65% | 10/01/36 | Baa2 | 605 | 618,813 | ||||||
Sempra Energy, | ||||||||||
Sr. Notes | ||||||||||
4.621% | 05/17/07 | Baa1 | 630 | 627,597 | ||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 02/01/13 | Baa1 | 90 | 91,790 | ||||||
8,452,112 | ||||||||||
Railroads — 0.1% | ||||||||||
Burlington Northern Santa Fe Corp., | ||||||||||
6.70% | 08/01/28 | Baa1 | 670 | 728,857 | ||||||
Norfolk Southern Corp., | ||||||||||
7.80% | 05/15/27 | Baa1 | 18 | 22,011 | ||||||
Sr. Unsec. Notes | ||||||||||
5.64% | 05/17/29 | Baa1 | 477 | 460,873 | ||||||
Union Pacific Corp., | ||||||||||
3.625% | 06/01/10 | Baa2 | 1,375 | 1,297,452 | ||||||
6.625% | 02/01/08 | Baa2 | 1,390 | 1,406,140 | ||||||
6.65% | 01/15/11 | Baa2 | 750 | 783,848 | ||||||
4,699,181 | ||||||||||
Real Estate Investment Trusts — 0.1% | ||||||||||
Brandywine Operating Partners LP, | ||||||||||
Gtd. Notes | ||||||||||
5.75% | 04/01/12 | Baa3 | 1,295 | 1,303,890 | ||||||
ERP Operating LP, | ||||||||||
Notes | ||||||||||
5.125% | 03/15/16 | Baa1 | 345 | 335,056 | ||||||
Mack-Cali Realty LP, | ||||||||||
Notes | ||||||||||
7.25% | 03/15/09 | Baa2 | 1,270 | 1,311,491 | ||||||
Post Apartment Homes LP, | ||||||||||
Notes | ||||||||||
6.30% | 06/01/13 | Baa3 | 660 | 676,702 | ||||||
Sr. Notes | ||||||||||
5.45% | 06/01/12 | Baa3 | 435 | 426,089 | ||||||
Simon Property Group LP, | ||||||||||
Unsec. Notes | ||||||||||
5.75% | 05/01/12 | A3 | 1,500 | 1,515,376 | ||||||
5,568,604 | ||||||||||
Retailers — 0.1% | ||||||||||
Federated Retail Holdings, Inc., | ||||||||||
Gtd. Notes | ||||||||||
5.90% | 12/01/16 | Baa1 | 290 | 289,549 | ||||||
Gap, Inc., | ||||||||||
Notes | ||||||||||
6.90% | 09/15/07 | Baa3 | 1,230 | 1,238,516 |
SEE NOTES TO FINANCIAL STATEMENTS.
B52
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Retailers (cont’d.) | ||||||||||
Home Depot, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.40% | 03/01/16 | Aa3 | $ | 295 | $ | 288,524 | ||||
5.875% | 12/16/36 | Aa3 | 560 | 549,541 | ||||||
May Department Stores Co. (The), | ||||||||||
Notes | ||||||||||
6.65% | 07/15/24 | Baa1 | 830 | 822,357 | ||||||
Wal-Mart Stores, Inc., | ||||||||||
Bonds | ||||||||||
5.25% | 09/01/35 | Aa2 | 245 | 224,983 | ||||||
3,413,470 | ||||||||||
Structured Notes — 0.1% | ||||||||||
Trains HY-1 2006,(b)(h) | ||||||||||
Sec. Notes, 144A | ||||||||||
7.548% | 05/01/16 | B1 | 2,880 | 2,938,982 | ||||||
Technology — 0.3% | ||||||||||
Electronic Data Systems Corp., | ||||||||||
Notes | ||||||||||
7.45% | 10/15/29 | Ba1 | 120 | 131,315 | ||||||
Equifax, Inc., | ||||||||||
Notes | ||||||||||
4.95% | 11/01/07 | Baa1 | 320 | 317,777 | ||||||
Freescale Semiconductor, Inc.,(h) | ||||||||||
Sr. Notes, 144A | ||||||||||
8.875% | 12/15/14 | B1 | 1,100 | 1,095,875 | ||||||
International Business Machines Corp., | ||||||||||
Debs. | ||||||||||
5.875% | 11/29/32 | A1 | 1,150 | 1,173,857 | ||||||
Jabil Circuit, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.875% | 07/15/10 | Baa3 | 1,875 | 1,861,733 | ||||||
Motorola, Inc., | ||||||||||
Notes | ||||||||||
4.608% | 11/16/07 | Baa1 | 950 | 943,641 | ||||||
Sr. Notes | ||||||||||
8.00% | 11/01/11 | Baa1 | 99 | 109,550 | ||||||
NXP Funding LLC,(h) | ||||||||||
Secd. Notes, 144A | ||||||||||
7.875% | 10/15/14 | Ba2 | 2,000 | 2,067,499 | ||||||
Oracle Corp. and Ozark Holding, Inc., | ||||||||||
Notes | ||||||||||
5.00% | 01/15/11 | A3 | 980 | 970,135 | ||||||
Xerox Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.40% | 03/15/16 | Baa3 | 1,239 | 1,265,329 | ||||||
9,936,711 | ||||||||||
Telecommunications — 0.7% | ||||||||||
ALLTEL Ohio LP,(h) | ||||||||||
Gtd. Notes, 144A | ||||||||||
8.00% | 08/15/10 | A2 | 323 | 346,322 | ||||||
America Movil SA de CV (Mexico), | ||||||||||
Unsec. Notes | ||||||||||
6.375% | 03/01/35 | A3 | 580 | 565,873 | ||||||
AT&T Corp., | ||||||||||
Sr. Notes | ||||||||||
8.00% | 11/15/31 | A2 | 615 | 763,017 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Telecommunications (cont’d.) | ||||||||||
AT&T Wireless Services, Inc., | ||||||||||
Notes | ||||||||||
8.125% | 05/01/12 | Baa1 | $ | 640 | $ | 720,172 | ||||
Sr. Notes | ||||||||||
8.75% | 03/01/31 | Baa1 | 879 | 1,142,318 | ||||||
AT&T, Inc., | ||||||||||
Notes | ||||||||||
4.125%(b) | 09/15/09 | A2 | 1,070 | 1,039,242 | ||||||
5.30% | 11/15/10 | A2 | 1,260 | 1,260,174 | ||||||
BellSouth Corp., | ||||||||||
Notes | ||||||||||
4.20% | 09/15/09 | A2 | 1,175 | 1,142,261 | ||||||
British Telecom PLC (United Kingdom), | ||||||||||
Bonds | ||||||||||
7.00% | 05/23/07 | Baa1 | 1,265 | 1,270,798 | ||||||
9.125% | 12/15/30 | Baa1 | 210 | 287,254 | ||||||
Cingular Wireless LLC, | ||||||||||
Sr. Notes | ||||||||||
7.125% | 12/15/31 | Baa1 | 505 | 559,415 | ||||||
Deutsche Telekom International Finance BV (Netherlands), | ||||||||||
Gtd. Notes | ||||||||||
8.25% | 06/15/30 | A3 | 295 | 362,655 | ||||||
Embarq Corp., | ||||||||||
Notes | ||||||||||
7.082% | 06/01/16 | Baa3 | 350 | 356,307 | ||||||
7.995% | 06/01/36 | Baa3 | 1,100 | 1,144,689 | ||||||
France Telecom SA (France), | ||||||||||
Notes | ||||||||||
8.50% | 03/01/31 | A3 | 375 | 492,273 | ||||||
Koninklijke (Royal) KPN NV (Netherlands), | ||||||||||
Sr. Unsub. Notes | ||||||||||
8.00% | 10/01/10 | Baa2 | 530 | 571,862 | ||||||
Nextel Communications, Inc., | ||||||||||
Sr. Notes, Ser. F | ||||||||||
5.95% | 03/15/14 | Baa3 | 1,160 | 1,129,627 | ||||||
Sprint Capital Corp., | ||||||||||
Gtd. Notes | ||||||||||
6.875% | 11/15/28 | Baa3 | 295 | 295,297 | ||||||
8.75% | 03/15/32 | Baa3 | 230 | 276,831 | ||||||
Sprint Nextel Corp. | ||||||||||
Usec. Notes | ||||||||||
6.00% | 12/01/16 | Baa3 | 1,580 | 1,539,911 | ||||||
Telecom Italia Capital SA, | ||||||||||
Gtd. Notes | ||||||||||
5.25% | 11/15/13 | Baa2 | 320 | 305,116 | ||||||
6.375% | 11/15/33 | Baa2 | 395 | 373,207 | ||||||
7.20% | 07/18/36 | Baa2 | 1,630 | 1,702,889 | ||||||
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico), | ||||||||||
Gtd. Notes | ||||||||||
6.80% | 05/15/09 | Baa1 | 3,065 | 3,128,659 | ||||||
Telefonica Emisiones SAU (Spain), | ||||||||||
Gtd. Notes | ||||||||||
6.421% | 06/20/16 | Baa1 | 580 | 598,338 | ||||||
7.045% | 06/20/36 | Baa1 | 1,420 | 1,508,277 |
SEE NOTES TO FINANCIAL STATEMENTS.
B53
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Telecommunications (cont’d.) | ||||||||||
TELUS Corp. (Canada), | ||||||||||
Notes | ||||||||||
8.00% | 06/01/11 | Baa2 | $ | 1,255 | $ | 1,372,389 | ||||
US Cellular Corp., | ||||||||||
Sr. Notes | ||||||||||
6.70% | 12/15/33 | Baa3 | 470 | 441,393 | ||||||
Verizon Global Funding Corp., | ||||||||||
Notes | ||||||||||
7.75% | 12/01/30 | A3 | 105 | 123,163 | ||||||
Sr. Notes | ||||||||||
5.85% | 09/15/35 | A3 | 625 | 598,592 | ||||||
Vodafone Group PLC (United Kingdom), | ||||||||||
Sr. Notes | ||||||||||
7.75% | 02/15/10 | A3 | 800 | 852,546 | ||||||
26,270,867 | ||||||||||
Tobacco | ||||||||||
Altria Group, Inc., | ||||||||||
Debs. | ||||||||||
7.75% | 01/15/27 | Baa1 | 292 | 354,164 | ||||||
Notes | ||||||||||
7.65% | 07/01/08 | Baa1 | 590 | 608,271 | ||||||
962,435 | ||||||||||
Foreign Government Bonds — 0.4% | ||||||||||
Korea Development Bank (Korea), | ||||||||||
Notes | ||||||||||
4.75% | 07/20/09 | A3 | 1,180 | 1,164,892 | ||||||
Pemex Project Funding Master Trust, | ||||||||||
Gtd. Notes | ||||||||||
5.75% | 12/15/15 | Baa1 | 1,480 | 1,469,640 | ||||||
8.625% | 12/01/23 | Baa1 | 350 | 430,938 | ||||||
Petrobras International Finance Co. | ||||||||||
Bonds | ||||||||||
8.375% | 12/10/18 | Baa2 | 935 | 1,114,988 | ||||||
Quebec Province (Canada), | ||||||||||
Notes(b) | ||||||||||
4.60% | 05/26/15 | Aa2 | 735 | 706,827 | ||||||
Sr. Unsec. Notes | ||||||||||
5.75% | 02/15/09 | Aa2 | 500 | 506,855 | ||||||
Republic of Italy (Italy), | ||||||||||
Notes | ||||||||||
5.375% | 06/15/33 | A+(f) | 800 | 788,862 | ||||||
Republic of Malaysia (Malaysia), | ||||||||||
Bonds | ||||||||||
7.50% | 07/15/11 | A3 | 300 | 326,455 | ||||||
Republic of South Africa (South Africa), | ||||||||||
Notes | ||||||||||
6.50% | 06/02/14 | Baa1 | 475 | 499,344 | ||||||
Russian Government International Bond (Russia),(h) | ||||||||||
Unsub. Notes, 144A | ||||||||||
11.00% | 07/24/18 | Baa2 | 735 | 1,064,831 | ||||||
The Export-Import Bank of Korea (Korea),(h) | ||||||||||
Notes, 144A | ||||||||||
4.125% | 02/10/09 | Aa3 | 860 | 839,755 |
Interest | Maturity | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
Foreign Government Bonds (cont’d.) | ||||||||||
United Mexican States Global Bond (Mexico), | ||||||||||
Notes | ||||||||||
5.625%(b) | 01/15/17 | Baa1 | $ | 1,644 | $ | 1,645,644 | ||||
7.50%(b) | 01/14/12 | Baa1 | 1,290 | 1,413,840 | ||||||
8.125% | 12/30/19 | Baa1 | 816 | 991,440 | ||||||
Notes, M.T.N. | ||||||||||
6.75% | 09/27/34 | Baa1 | 1,070 | 1,155,600 | ||||||
14,119,911 | ||||||||||
Mortgage Backed Securities — 9.2% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
4.50% | 02/01/19-07/01/20(e) | 7,367 | 7,105,395 | |||||||
5.00% | TBA 30 YR | 6,000 | 5,788,128 | |||||||
5.00% | 07/01/18-05/01/34(e) | 12,511 | 12,242,066 | |||||||
5.252%(g) | 12/01/35(e) | 4,125 | 4,111,678 | |||||||
5.50% | TBA 30 YR | 8,000 | 7,910,000 | |||||||
5.50% | 12/01/33-06/01/34(e) | 10,835 | 10,727,327 | |||||||
6.00% | TBA 30 YR | 15,000 | 15,107,820 | |||||||
6.00% | 03/01/32-12/01/33(e) | 3,778 | 3,819,081 | |||||||
6.50% | 12/01/14(e) | 493 | 503,946 | |||||||
7.00% | 01/01/31-11/01/33(e) | 5,110 | 5,256,972 | |||||||
Federal National Mortgage Assn., | ||||||||||
4.00% | 06/01/19(e) | 2,245 | 2,116,103 | |||||||
4.50% | 11/01/18-01/01/35(e) | 15,583 | 14,937,562 | |||||||
4.932%(g) | 07/01/33(e) | 851 | 847,915 | |||||||
5.00% | TBA 15 YR | 7,500 | 7,371,090 | |||||||
5.00% | TBA 30 YR | 13,000 | 12,549,056 | |||||||
5.00% | 10/01/18-07/01/35(e) | 39,832 | 38,582,669 | |||||||
5.50% | TBA 15 YR | 7,500 | 7,497,660 | |||||||
5.50% | TBA 30 YR | 44,000 | 43,477,500 | |||||||
5.50% | 03/01/16-10/01/35(e) | 38,460 | 38,101,678 | |||||||
6.00% | TBA 30 YR | 27,500 | 27,680,455 | |||||||
6.00% | 04/01/13-02/01/35(e) | 21,211 | 21,401,687 | |||||||
6.50% | TBA 30 YR | 12,000 | 12,225,000 | |||||||
6.50% | 07/01/17-11/01/36(e) | 12,857 | 13,112,473 | |||||||
7.00% | 08/01/11-07/01/32(e) | 1,625 | 1,675,713 | |||||||
7.50% | 06/01/12-05/01/32(e) | 1,180 | 1,217,376 | |||||||
Government National Mortgage Assn., | ||||||||||
5.50% | TBA 30 YR | 5,500 | 5,472,500 | |||||||
5.50% | 02/15/33-07/15/35(e) | 9,953 | 9,914,809 | |||||||
6.00% | 02/15/33-06/20/34(e) | 2,927 | 2,967,807 | |||||||
6.50% | 10/15/23-07/15/35(e) | 7,468 | 7,673,424 | |||||||
8.00% | 01/15/24-04/15/25(e) | 263 | 278,246 | |||||||
341,673,136 | ||||||||||
U.S. Government Agency Obligations — 2.7% | ||||||||||
Federal Farm Credit Bank, | ||||||||||
5.125% | 08/25/16 | 1,020 | 1,031,957 | |||||||
Federal Home Loan Bank, | ||||||||||
4.375% | 10/03/08 | 8,140 | 8,041,335 | |||||||
4.50% | 05/13/11 | 160 | 157,106 | |||||||
4.75% | 06/11/08-12/16/16 | 9,320 | 9,256,029 | |||||||
4.875% | 11/18/11(b) | 4,420 | 4,402,431 | |||||||
5.00% | 10/16/09 | 14,165 | 14,105,946 | |||||||
5.125% | 08/08/08 | 6,280 | 6,284,245 | |||||||
5.375% | 08/19/11(b) | 6,755 | 6,870,544 | |||||||
5.60% | 01/03/08 | 11,400 | 11,400,057 |
SEE NOTES TO FINANCIAL STATEMENTS.
B54
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (Continued) | ||||||||||
U.S. Government Agency Obligations (cont’d.) | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
4.75% | 11/03/09-01/18/11 | $ | 1,285 | $ | 1,277,608 | |||||
5.00% | 12/14/18, M.T.N. | 4,420 | 4,315,829 | |||||||
5.125% | 10/18/16 | 250 | 252,141 | |||||||
5.25% | 07/18/11, M.T.N.(b) | 4,300 | 4,351,462 | |||||||
5.40% | 02/28/11, M.T.N. | 8,150 | 8,145,289 | |||||||
Federal National Mortgage Assn., | ||||||||||
4.25% | 07/27/07 | 4,021 | 3,998,342 | |||||||
4.875% | 12/15/16 | 25 | 24,720 | |||||||
5.00% | 10/15/11, M.T.N.(b) | 3,510 | 3,517,775 | |||||||
5.125% | 04/15/11(b) | 5,305 | 5,342,936 | |||||||
6.125% | 03/15/12 | 6,260 | 6,591,361 | |||||||
Tennessee Valley Authority, | ||||||||||
5.88% | 04/01/36 | 990 | 1,088,516 | |||||||
100,455,629 | ||||||||||
U.S. Government Treasury Obligations — 1.6% | ||||||||||
United States Treasury Bonds, | ||||||||||
4.50% | 02/15/36(b) | 2,140 | 2,035,007 | |||||||
6.00% | 02/15/26 | 115 | 130,426 | |||||||
6.875% | 08/15/25 | 545 | 674,693 | |||||||
8.125% | 08/15/21 | 3,665 | 4,891,343 | |||||||
8.75% | 08/15/20 | 1,270 | 1,755,775 | |||||||
9.00% | 11/15/18 | 987 | 1,357,202 | |||||||
9.125% | 05/15/18 | 730 | 1,004,035 | |||||||
United States Treasury Inflation Index Bonds, | ||||||||||
0.875% | 04/15/10 | 1,950 | 1,848,780 | |||||||
1.625% | 01/15/15 | 1,390 | 1,308,581 | |||||||
1.875% | 07/15/13-07/15/15 | 2,693 | 2,593,023 | |||||||
2.00% | 01/15/14-01/15/26 | 5,349 | 5,151,474 | |||||||
2.375% | 04/15/11-01/15/25 | 3,083 | 3,069,626 | |||||||
2.50% | 07/15/16 | 1,174 | 1,183,223 | |||||||
3.00% | 07/15/12 | 1,589 | 1,635,083 | |||||||
3.375% | 01/15/12-04/15/32 | 824 | 922,227 | |||||||
3.50% | 01/15/11 | 818 | 851,277 | |||||||
3.625% | 01/15/08-04/15/28 | 2,635 | 2,905,027 | |||||||
3.875% | 01/15/09-04/15/29 | 2,527 | 2,924,239 | |||||||
4.25% | 01/15/10 | 792 | 833,149 |
Interest | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | |||||||
United States Treasury Notes, | |||||||||||
4.00% | 06/15/09(j) | $ | 680 | $ | 668,286 | ||||||
4.50% | 11/30/11(b) | 2,840 | 2,814,707 | ||||||||
4.625% | 09/30/08-11/15/16(b) | 10,035 | 9,985,916 | ||||||||
4.875% | 05/15/09 | 475 | 476,039 | ||||||||
5.00% | 07/31/08 | 25 | 25,041 | ||||||||
United States Treasury Strips, I/O, | |||||||||||
Zero | 02/15/19-05/15/19(b) | 18,593 | 10,323,571 | ||||||||
61,367,750 | |||||||||||
TOTAL LONG-TERM BONDS (cost $934,320,145) | 926,453,980 | ||||||||||
TOTAL LONG-TERM INVESTMENTS (cost $3,005,209,293) | 3,416,367,178 | ||||||||||
SHORT-TERM INVESTMENTS — 19.0% | |||||||||||
U.S. Government Obligations — 0.1% | |||||||||||
United States Treasury Bill(j) | |||||||||||
4.80% | 03/15/07 | 4,600 | 4,556,134 | ||||||||
Shares | |||||||||||
Affiliated Money Market Mutual Funds — 18.9% | |||||||||||
Dryden Core Investment Fund —Dryden Short-Term Bond Series(d) | 13,906,281 | 139,201,877 | |||||||||
Dryden Core Investment Fund —Taxable Money Market Series (cost $563,645,944; includes $305,547,916 of cash collateral for securities on loan) | 563,645,944 | 563,645,944 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (cost $707,324,483) | 707,403,955 | ||||||||||
TOTAL INVESTMENTS — 110.7% (cost $3,712,533,776) | 4,123,771,133 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (10.7)% | (400,220,143 | ) | |||||||||
TOTAL NET ASSETS — 100.0% | $ | 3,723,550,990 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B55
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The following abbreviations are used in portfolio descriptions:
G.O. | General Obligation | |
I/O | Interest Only | |
M.T.N. | Medium Term Note | |
TBA | To Be Announced Security |
(a) | Non income-producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $293,454,272; cash collateral of $305,547,916 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(c) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan. |
(d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Dryden Short-Term Bond Series. |
(e) | Securities segregated as collateral for TBAs. |
(f) | Standard & Poor’s rating. |
(g) | Indicates a variable rate security. |
(h) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(i) | Indicates a security that has been deemed illiquid. |
(j) | Security segregated as collateral for futures contracts. |
(k) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on futures contracts and interest rate swap and credit default swap agreements as follows: |
Open futures contracts outstanding at December 31, 2006:
Number of Contracts | Type | Expiration Date | Value at December 31, 2006 | Value at Trade Date | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
93 | 2-Yr. U.S. T-Notes | Mar. 07 | $ | 18,974,906 | $ | 19,036,112 | $ | (61,206 | ) | |||||
1,173 | 5-Yr. U.S. T-Notes | Mar. 07 | 123,238,313 | 124,338,000 | (1,099,687 | ) | ||||||||
527 | U.S. Long Bond | Mar. 07 | 58,727,562 | 59,447,798 | (720,236 | ) | ||||||||
183 | S&P 500 Index | Mar. 07 | 65,349,300 | 65,056,225 | 293,075 | |||||||||
(1,588,054 | ) | |||||||||||||
Short Positions: | ||||||||||||||
150 | 10-Yr. U.S. T-Notes | Mar. 07 | 16,120,313 | 16,302,148 | 181,835 | |||||||||
$ | (1,406,219 | ) | ||||||||||||
Interest rate swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized (Depreciation) | ||||||||
Merrill Lynch Capital Services, Inc.(a) | 11/02/2016 | $ | 5,260 | 5.151 | 3 month LIBOR | $ | (17,440 | ) | |||||
(a) | The Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at December 31, 2006:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Underlying Bond | Unrealized (Depreciation) | |||||||||
Deutsche Bank AG(a) | 05/25/2036 | $ | 1,000 | 2.74 | % | Fieldstone Mortgage Investment Corp., Ser. 2006-1, Class M9 7.62%, due 05/25/36 | $ | (809 | ) | |||||
Deutsche Bank AG(a) | 06/25/2036 | 1,000 | 2.52 | % | Residential Asset Securities Corp., Ser. 2006-EMX4, Class M9 7.32%, 06/25/36 | (4,116 | ) | |||||||
$ | (4,925 | ) | ||||||||||||
(a) | The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults. |
SEE NOTES TO FINANCIAL STATEMENTS.
B56
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:
Affiliated Money Market Mutual Funds (including 8.2% of collateral received for securities on loan) | 18.9 | % | |
Mortgage Backed Securities | 9.2 | ||
Oil, Gas & Consumable Fuels | 5.2 | ||
Healthcare & Pharmaceutical | 5.1 | ||
Diversified Financial Services | 4.0 | ||
Commercial Banks | 3.6 | ||
Insurance | 3.1 | ||
Telecommunications | 3.1 | ||
Capital Markets | 3.0 | ||
Commercial Mortgage Backed Securities | 3.0 | ||
Computers & Peripherals | 2.7 | ||
U.S. Government Agency Obligations | 2.7 | ||
Food & Staples Retailing | 2.4 | ||
Software | 2.3 | ||
Aerospace & Defense | 2.2 | ||
Media & Entertainment | 2.1 | ||
Healthcare Providers & Services | 2.0 | ||
Industrial Conglomerates | 2.0 | ||
Energy Equipment & Services | 1.8 | ||
Electric | 1.7 | ||
U.S. Government Treasury Obligations | 1.6 | ||
Semiconductors & Semiconductor Equipment | 1.5 | ||
Electronic Equipment & Instruments | 1.4 | ||
Household Products | 1.3 | ||
Retailers | 1.2 | ||
Beverages | 1.2 | ||
Communications Equipment | 1.2 | ||
Hotels, Restaurants & Leisure | 1.2 | ||
Specialty Retail | 1.2 | ||
Internet Software & Services | 1.1 | ||
Machinery | 1.1 | ||
Asset Backed Securities | 1.0 | ||
Tobacco | 1.0 | ||
Metals & Mining | 0.9 | ||
Chemicals | 0.8 | ||
Automobiles | 0.7 | ||
Healthcare Equipment & Supplies | 0.7 | ||
Road & Rail | 0.7 | ||
Textiles, Apparel & Luxury Goods | 0.7 | ||
Thrifts & Mortgage Finance | 0.7 | ||
Banking | 0.6 | ||
Biotechnology | 0.6 | ||
Independent Power Producers & Energy Traders | 0.6 | ||
Multi-Utilities | 0.5 | ||
Air Freight & Logistics | 0.4 | ||
Commercial Services & Supplies | 0.4 | ||
Construction & Engineering | 0.4 | ||
Consumer Finance | 0.4 | ||
Foreign Government Bonds | 0.4 | ||
Office Electronics | 0.4 | ||
Real Estate Investment Trusts | 0.4 | ||
Brokerage | 0.3 | ||
Capital Goods | 0.3 | ||
Collateralized Mortgage Obligations | 0.3 | ||
Non Captive Finance | 0.3 | ||
Technology | 0.3 | ||
Building Materials & Construction | 0.2 |
Cable | 0.2 | % | |
Household Durables | 0.2 | ||
Internet & Capital Retail | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Life Sciences, Tools & Services | 0.2 | ||
Pipelines & Other | 0.2 | ||
Real Estate Management & Development | 0.2 | ||
Airlines | 0.1 | ||
Auto Components | 0.1 | ||
Consumer | 0.1 | ||
Containers & Packaging | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gaming | 0.1 | ||
Lodging | 0.1 | ||
Personal Products | 0.1 | ||
Railroads | 0.1 | ||
Structured Notes | 0.1 | ||
Trading Companies & Distributors | 0.1 | ||
U.S. Government Obligations | 0.1 | ||
110.7 | |||
Liabilities in excess of other assets | (10.7 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B57
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 96.7% | Value (Note 2) | ||||
COMMON STOCKS | Shares | ||||
Australia — 1.8% | |||||
Allco Finance Group Ltd. | 104,171 | $ | 1,057,289 | ||
AWB Ltd. | 271,500 | 659,873 | |||
BlueScope Steel Ltd. | 251,400 | 1,704,796 | |||
Commonwealth Bank of Australia | 61,000 | 2,375,467 | |||
CSR Ltd. | 173,200 | 512,074 | |||
Macquarie Bank Ltd. | 71,300 | 4,431,689 | |||
Quantas Airways Ltd. | 515,500 | 2,124,773 | |||
Santos Ltd. | 82,000 | 638,155 | |||
Smorgon Steel Group Ltd. | 936,900 | 1,374,401 | |||
Telstra Corp. Ltd. | 445,700 | 1,456,475 | |||
Zinifex Ltd. | 30,000 | 442,177 | |||
16,777,169 | |||||
Austria — 0.7% | |||||
Boehler-Uddeholm AG | 23,200 | 1,626,190 | |||
Erste Bank der Oesterreichischen Sparkassen AG | 28,352 | 2,174,445 | |||
Raiffeisen International Bank-Holding AG | 11,400 | 1,738,254 | |||
Voestalpine AG | 9,500 | 536,354 | |||
6,075,243 | |||||
Belgium — 0.4% | |||||
Fortis | 74,100 | 3,161,392 | |||
InBev NV | 14,600 | 962,476 | |||
4,123,868 | |||||
Bermuda — 0.4% | |||||
Tyco International Ltd. | 132,900 | 4,040,160 | |||
Brazil — 0.7% | |||||
Banco Itau Holding Financeira, ADR | 44,600 | 1,612,290 | |||
Cia de Concessoes Rodoviarias | 74,500 | 1,006,003 | |||
Gol Linhas Aereas Inteligentes SA, ADR(b) | 19,800 | 567,666 | |||
Localiza Rent A Car SA | 15,300 | 460,110 | |||
Natura Cosmeticos SA | 82,400 | 1,162,818 | |||
Petroleo Brasilerio SA, ADR | 20,000 | 1,869,599 | |||
6,678,486 | |||||
Canada — 0.8% | |||||
Manulife Financial Corp. | 102,500 | 3,458,710 | |||
Shoppers Drug Mart Corp. | 50,100 | 2,151,961 | |||
Suncor Energy, Inc. | 25,400 | 1,999,285 | |||
7,609,956 | |||||
Chile — 0.1% | |||||
Cencosud SA, ADR, 144A | 26,600 | 1,248,162 | |||
China — 0.9% | |||||
China Merchants Bank Co. Ltd.(a) | 217,500 | 460,820 | |||
Focus Media Holding Ltd., ADR(a) | 15,800 | 1,048,962 | |||
Foxconn International Holdings Ltd.(a) | 215,000 | 701,237 | |||
Industrial & Commercial Bank of China(a) | 9,354,000 | 5,808,444 | |||
8,019,463 | |||||
Colombia — 0.1% | |||||
BanColombia SA, ADR | 32,400 | 1,009,260 | |||
Denmark — 0.2% | |||||
Danske Bank A/S | 36,600 | 1,626,292 | |||
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
Finland — 0.4% | |||||
Perlos Oyj | 73,300 | $ | 339,625 | ||
Rautaruukki Oyj | 39,900 | 1,587,994 | |||
Stora Enso Oyj (Class R Stock) | 88,600 | 1,403,472 | |||
3,331,091 | |||||
France — 6.8% | |||||
Arkema(a) | 530 | 27,236 | |||
BNP Paribas SA | 79,260 | 8,647,401 | |||
Capgemini SA | 29,100 | 1,826,553 | |||
Cie Generale D’Optique Essilor International SA | 21,500 | 2,311,630 | |||
Ciments Francais | 5,200 | 998,746 | |||
CNP Assurances | 10,300 | 1,150,261 | |||
Compagnie Generale des Etablissements Michelin (Class B Stock) | 24,600 | 2,354,300 | |||
Credit Agricole SA | 58,900 | 2,477,136 | |||
Eurazeo | 13,945 | 1,991,748 | |||
Groupe Danone | 39,000 | 5,910,105 | |||
Iliad SA | 9,000 | 781,731 | |||
L’Oreal SA | 63,400 | 6,352,135 | |||
LVMH Moet Hennessy Louis Vuitton SA | 37,700 | 3,978,767 | |||
Natixis | 57,000 | 1,601,162 | |||
Peugeot SA | 26,000 | 1,722,923 | |||
Rallye SA | 13,400 | 725,763 | |||
Renault SA | 11,800 | 1,417,464 | |||
Schneider Electric SA | 8,900 | 988,040 | |||
Societe Generale | 5,300 | 899,716 | |||
Total SA | 21,200 | 1,529,378 | |||
Total SA, ADR | 85,000 | 6,113,200 | |||
Valeo SA | 30,700 | 1,277,765 | |||
Veolia Environnement | 53,900 | 4,155,184 | |||
Vinci SA | 21,600 | 2,760,055 | |||
Vivendi Universal SA | 31,700 | 1,239,043 | |||
63,237,442 | |||||
Germany — 2.5% | |||||
BASF AG | 39,300 | 3,843,624 | |||
Bayer AG | 21,600 | 1,164,185 | |||
Bijou Brigitte AG | 1,900 | 374,708 | |||
DaimlerChrysler AG | 24,800 | 1,536,353 | |||
Deutsche Bank AG | 21,900 | 2,936,574 | |||
Deutsche Telekom AG | 57,400 | 1,052,453 | |||
E.ON AG | 29,600 | 4,035,883 | |||
MAN AG | 18,200 | 1,650,745 | |||
SAP AG | 35,800 | 1,906,372 | |||
ThyssenKrupp AG | 60,200 | 2,840,935 | |||
TUI AG | 45,600 | 914,348 | |||
Volkswagen AG | 10,200 | 1,157,405 | |||
23,413,585 | |||||
Greece — 0.3% | |||||
Motor Oil Hellas Corinth Refineries SA | 31,000 | 798,786 | |||
National Bank of Greece SA, ADR(b) | 248,200 | 2,308,260 | |||
3,107,046 | |||||
Hong Kong — 1.3% | |||||
Chaoda Modern Agriculture | 1,203,600 | 773,585 | |||
China Mobile Ltd. | 407,500 | 3,512,630 |
SEE NOTES TO FINANCIAL STATEMENTS.
B58
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
Hong Kong (cont’d.) | |||||
CITIC International Financial Holdings Ltd. | 1,095,000 | $ | 980,895 | ||
Citic Pacific Ltd. | 324,500 | 1,115,995 | |||
Esprit Holdings Ltd. | 227,500 | 2,534,000 | |||
Hopson Devolpment Holdings Ltd. | 198,000 | 559,683 | |||
Li & Fung Ltd. | 981,600 | 3,047,702 | |||
12,524,490 | |||||
India — 0.6% | |||||
HDFC Bank Ltd., ADR | 10,200 | 769,896 | |||
Infosys Technologies Ltd., ADR | 95,500 | 5,210,480 | |||
5,980,376 | |||||
Ireland — 0.6% | |||||
Anglo Irish Bank Corp. PLC (Irish Stock Exchange) | 108,100 | 2,241,768 | |||
Anglo Irish Bank Corp. PLC (London Exchange) | 21,100 | 435,899 | |||
IAWS Group, PLC | 29,300 | 750,340 | |||
Irish Life & Permanent PLC | 86,900 | 2,408,949 | |||
5,836,956 | |||||
Italy — 1.6% | |||||
Banche Popolari Unite Scpa | 33,200 | 912,447 | |||
Benetton Group SpA | 46,500 | 887,585 | |||
ENI SpA | 121,400 | 4,083,258 | |||
Luxottica Group SpA | 127,600 | 3,921,230 | |||
Saipem SpA | 147,800 | 3,851,326 | |||
Sanpaolo IMI SpA | 53,700 | 1,247,601 | |||
14,903,447 | |||||
Japan — 10.6% | |||||
Aeon Mall Co. Ltd. | 28,000 | 1,581,073 | |||
Alpine Electronics, Inc. | 41,600 | 621,259 | |||
Alps Electric Co. Ltd. | 49,700 | 538,684 | |||
Asahi Breweries Ltd. | 89,400 | 1,428,614 | |||
Asahi Kasei Corp. | 226,100 | 1,482,363 | |||
Canon, Inc. | 83,700 | 4,712,323 | |||
Capcom Co. Ltd. | 55,200 | 991,149 | |||
Cosmo Oil Co. Ltd. | 303,300 | 1,231,566 | |||
Daiwa Securities Group, Inc. | 89,400 | 1,000,583 | |||
Denki Kagaku Kogyo K K | 224,900 | 933,264 | |||
Denso Corp. | 130,800 | 5,186,322 | |||
Fanuc Ltd. | 24,100 | 2,365,216 | |||
Fuji Heavy Industries Ltd. | 233,000 | 1,196,081 | |||
Hitachi Ltd. | 202,900 | 1,263,842 | |||
Hokkaido Electric Power Co., Inc. | 53,200 | 1,358,691 | |||
Hokuetsu Paper Mills Ltd. | 68,900 | 387,301 | |||
Honda Motor Co. Ltd. | 95,400 | 3,765,360 | |||
Honeys Co. Ltd. | 14,300 | 531,180 | |||
Hosiden Corp. | 51,900 | 556,946 | |||
Hoya Corp. | 52,700 | 2,054,080 | |||
Jupiter Telecommunications Co.(a) | 1,529 | 1,232,443 | |||
Kaken Pharmaceutical Co. Ltd. | 129,500 | 1,009,971 | |||
Kansai Electric Power Co., Inc. (The) | 126,000 | 3,391,924 | |||
Keyence Corp. | 10,550 | 2,604,152 | |||
KK Davinci Advisors(a) | 598 | 592,678 | |||
Komatsu Ltd. | 113,000 | 2,287,105 | |||
Kurabo Industries Ltd. | 173,100 | 447,569 |
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
Japan (cont’d.) | |||||
Kyowa Hakko Kogyo Co. Ltd. | 118,000 | $ | 1,008,496 | ||
Kyushu Electric Power Co., Inc. | 30,700 | 809,592 | |||
Marubeni Corp. | 191,700 | 971,241 | |||
Mori Seiki Co. Ltd. | 17,400 | 388,498 | |||
Nippon Oil Corp. | 284,200 | 1,900,570 | |||
Nippon Paper Group, Inc. | 300 | 1,129,735 | |||
Nippon Telegraph and Telephone Corp. | 500 | 2,465,744 | |||
Nissan Motor Co. Ltd. | 200,100 | 2,414,547 | |||
Nomura Holdings, Inc. | 109,900 | 2,073,236 | |||
NSK Ltd. | 110,400 | 1,087,570 | |||
NTT DoCoMo, Inc. | 1,600 | 2,531,728 | |||
Oji Paper Co., Ltd. | 185,000 | 980,106 | |||
Okasan Holdings, Inc. | 63,100 | 403,564 | |||
ORIX Corp. | 21,700 | 6,292,829 | |||
Osaka Gas Co. Ltd. | 439,300 | 1,632,816 | |||
Promise Co., Ltd. | 5,100 | 157,919 | |||
Rengo Co. Ltd. | 118,900 | 759,115 | |||
Ricoh Co. Ltd. | 95,600 | 1,946,923 | |||
Santen Pharmaceutical Co. Ltd. | 26,700 | 751,074 | |||
Sharp Corp. | 120,000 | 2,063,289 | |||
Sumitomo Corp. | 83,000 | 1,242,488 | |||
Suruga Bank Ltd. | 119,000 | 1,473,756 | |||
Takefuji Corp. | 19,000 | 751,566 | |||
Tanabe Seiyaku Co. Ltd. | 143,600 | 1,877,842 | |||
Tohoku Electric Power Co., Inc. | 38,900 | 972,318 | |||
Toppan Printing Co. Ltd. | 85,000 | 936,447 | |||
Toyota Motor Corp. | 35,000 | 2,342,445 | |||
Toyota Motor Corp., ADR | 59,828 | 8,035,500 | |||
Yamada Denki Co. Ltd. | 11,500 | 976,135 | |||
Yamaha Motor Co. Ltd. | 82,500 | 2,593,284 | |||
Yokohama Rubber Co. Ltd. (The) | 174,300 | 1,050,506 | |||
98,772,618 | |||||
Mexico — 1.2% | |||||
America Movil — Ser. L, ADR | 80,618 | 3,645,546 | |||
America Movil SA de CV | 1,490,500 | 3,360,972 | |||
Wal-Mart de Mexico SA de CV | 926,900 | 4,078,085 | |||
11,084,603 | |||||
Netherlands — 1.9% | |||||
ABN AMRO Holding NV | 22,700 | 729,648 | |||
Aegon NV | 108,800 | 2,073,886 | |||
Heineken NV, ADR | 132,745 | 3,153,424 | |||
ING Groep NV | 81,100 | 3,595,999 | |||
Royal Dutch Shell PLC, ADR | 31,500 | 2,229,885 | |||
Royal KPN NV | 172,200 | 2,448,147 | |||
Royal Numico NV | 31,400 | 1,689,063 | |||
TomTom NV(a) | 30,900 | 1,334,629 | |||
17,254,681 | |||||
New Zealand — 0.1% | |||||
Fisher & Paykel Appliances Holdings Ltd. | 319,700 | 864,477 | |||
Norway — 0.2% | |||||
Norsk Hydro ASA | 70,500 | 2,187,861 | |||
Portugal — 0.1% | |||||
Energias de Portugal SA | 231,100 | 1,171,440 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
B59
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
Russia — 0.1% | |||||
CTC Media, Inc.(a) | 18,800 | $ | 451,388 | ||
Singapore — 0.8% | |||||
CapitaLand Ltd. | 1,121,000 | 4,511,035 | |||
MobileOne Ltd. | 433,700 | 606,351 | |||
Neptune Orient Lines Ltd. | 432,800 | 587,414 | |||
Singapore Airlines Ltd. | 152,000 | 1,730,852 | |||
7,435,652 | |||||
South Africa — 0.2% | |||||
Naspers Ltd. | 32,200 | 762,157 | |||
Sasol Ltd. | 21,500 | 793,354 | |||
1,555,511 | |||||
South Korea — 0.2% | |||||
Samsung Electronics Co. Ltd., GDR | 5,300 | 1,743,700 | |||
Spain — 1.5% | |||||
Banco Bilbao Vizcaya Argentaria SA | 83,800 | 2,017,704 | |||
Banco Santander Central Hispano SA | 146,800 | 2,740,086 | |||
Inditex SA | 80,700 | 4,347,393 | |||
Repsol YPF SA | 93,200 | 3,223,338 | |||
Telefonica SA | 55,700 | 1,185,247 | |||
13,513,768 | |||||
Sweden — 1.0% | |||||
Electrolux AB, Ser. B(a) | 68,800 | 1,376,814 | |||
Husqvarna AB (Class B Stock) | 68,800 | 1,075,322 | |||
Modern Times Group | 12,200 | 801,934 | |||
Nordea Bank AB | 244,700 | 3,770,967 | |||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 665,000 | 2,685,858 | |||
9,710,895 | |||||
Switzerland — 4.7% | |||||
ABB Ltd. | 394,900 | 7,081,300 | |||
Baloise Holding AG | 21,900 | 2,189,101 | |||
Credit Suisse Group | 68,700 | 4,806,463 | |||
EFG International(a) | 35,100 | 1,323,632 | |||
Georg Fischer AG | 2,500 | 1,619,819 | |||
Kuehne & Nagel International AG | 24,500 | 1,782,458 | |||
Nestle SA | 11,010 | 3,912,458 | |||
Nobel Biocare Holding AG | 4,150 | 1,226,949 | |||
Rieter Holding AG | 2,200 | 1,151,005 | |||
Roche Holdings AG | 22,050 | 3,953,980 | |||
SGS SA | 1,560 | 1,738,597 | |||
Swiss Reinsurance | 8,000 | 680,181 | |||
Swisscom AG | 2,900 | 1,097,764 | |||
Syngenta AG | 8,200 | 1,525,597 | |||
UBS AG | 19,400 | 1,178,966 | |||
UBS AG — New | 110,336 | 6,656,571 | |||
Verwalt & Privat-Bank AG | 2,578 | 687,608 | |||
Zurich Financial Services AG | 5,900 | 1,588,182 | |||
44,200,631 | |||||
Taiwan — 0.4% | |||||
High Tech Computer Corp. GDR | 5,300 | 419,641 | |||
HON HAI Precision Industry Co. Ltd., GDR | 200,740 | 2,830,434 | |||
3,250,075 | |||||
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
United Kingdom — 10.6% | |||||
Acergy SA(a) | 55,600 | $ | 1,070,054 | ||
Alliance & Leicester PLC | 76,000 | 1,693,419 | |||
AstraZeneca PLC | 31,100 | 1,670,910 | |||
Aviva PLC | 60,000 | 965,677 | |||
Barclays PLC | 299,200 | 4,276,545 | |||
BG Group PLC | 389,700 | 5,287,767 | |||
BP PLC | 317,700 | 3,530,138 | |||
Bradford & Bingley PLC | 178,100 | 1,639,840 | |||
BT Group PLC | 756,400 | 4,465,267 | |||
Cairn Energy PLC(a) | 38,300 | 1,349,083 | |||
Capita Group PLC | 207,000 | 2,460,184 | |||
Carphone Warehouse Group PLC | 170,400 | 1,047,630 | |||
Davis Service Group PLC | 900 | 8,881 | |||
DSG International PLC | 566,000 | 2,122,237 | |||
GKN PLC | 263,300 | 1,433,192 | |||
GlaxoSmithKline PLC | 37,400 | 984,191 | |||
Hanson PLC | 70,700 | 1,066,598 | |||
HBOS PLC | 468,800 | 10,390,648 | |||
Imperial Chemical Industries PLC | 123,100 | 1,089,445 | |||
Interserve PLC | 174,800 | 1,372,443 | |||
Legal & General Group PLC | 359,600 | 1,108,942 | |||
Lloyds TSB Group PLC | 346,200 | 3,873,931 | |||
Man Group PLC | 258,500 | 2,645,838 | |||
Northern Foods PLC | 211,500 | 475,195 | |||
Northern Rock PLC | 127,900 | 2,950,017 | |||
Northumbrian Water Group PLC | 73,500 | 440,370 | |||
Old Mutual PLC | 319,100 | 1,088,700 | |||
Reckitt Benckiser PLC | 118,500 | 5,415,366 | |||
Rolls-Royce Group PLC, B Share entitlement(a) | 19,021,610 | 0 | |||
Rolls-Royce Group PLC | 516,600 | 4,528,961 | |||
Rotork PLC | 48,800 | 797,838 | |||
Royal & Sun Alliance Insurance Group PLC | 300,200 | 896,374 | |||
Royal Bank of Scotland Group PLC (The) | 57,300 | 2,235,994 | |||
Royal Dutch Shell PLC | 195,600 | 6,855,363 | |||
Standard Chartered PLC | 98,000 | 2,862,883 | |||
Tate & Lyle PLC | 71,300 | 1,072,857 | |||
Taylor Woodrow PLC | 148,300 | 1,237,697 | |||
Tesco PLC | 776,100 | 6,146,740 | |||
Tomkins PLC | 113,100 | 544,208 | |||
Tullow Oil PLC | 81,300 | 633,552 | |||
Vedanta Resources PLC | 55,500 | 1,326,836 | |||
Vodafone Group PLC | 1,437,175 | 3,981,757 | |||
99,043,568 | |||||
United States — 42.9% | |||||
Alltel Corp. | 24,100 | 1,457,568 | |||
Altria Group, Inc. | 23,600 | 2,025,352 | |||
American Express Co. | 36,900 | 2,238,723 | |||
American International Group, Inc. | 47,100 | 3,375,186 | |||
Ameriprise Financial, Inc. | 40,200 | 2,190,900 | |||
Amylin Pharmaceuticals, Inc.(a)(b) | 69,351 | 2,501,491 | |||
Anheuser-Busch Cos., Inc.(b) | 69,900 | 3,439,080 | |||
AT&T, Inc.(b) | 95,200 | 3,403,400 | |||
Avon Products, Inc. | 72,300 | 2,388,792 |
SEE NOTES TO FINANCIAL STATEMENTS.
B60
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
United States (cont’d.) | |||||
Baker Hughes, Inc. | 69,600 | $ | 5,196,336 | ||
Bank of America Corp. | 114,800 | 6,129,172 | |||
Boeing Co. | 48,208 | 4,282,799 | |||
Boston Scientific Corp.(a) | 75,300 | 1,293,654 | |||
Bowater, Inc. | 34,100 | 767,250 | |||
Bristol-Myers Squibb Co. | 44,800 | 1,179,136 | |||
Burlington Northern Santa Fe Corp. | 104,640 | 7,723,478 | |||
Campbell Soup Co. | 38,100 | 1,481,709 | |||
CB Richard Ellis Group, Inc.(a) | 19,527 | 648,296 | |||
CBS Corp. (Class B Stock) | 35,500 | 1,106,890 | |||
ChevronTexaco Corp. | 79,700 | 5,860,341 | |||
Cisco Systems, Inc.(a) | 259,467 | 7,091,233 | |||
Citigroup, Inc. | 151,144 | 8,418,721 | |||
Coca-Cola Co. (The) | 77,000 | 3,715,250 | |||
Comcast Corp. (Class A Stock)(a)(b) | 277,261 | 11,736,458 | |||
Dow Chemical Co. (The) | 28,900 | 1,154,266 | |||
Dow Jones & Co., Inc.(b) | 36,900 | 1,402,200 | |||
Duke Energy Corp.(b) | 94,700 | 3,144,987 | |||
E.I. du Pont de Nemours & Co. | 59,100 | 2,878,761 | |||
Entergy Corp. | 33,700 | 3,111,184 | |||
Exxon Mobil Corp. | 78,300 | 6,000,129 | |||
Fannie Mae | 33,800 | 2,007,382 | |||
Federated Department Stores, Inc. | 87,364 | 3,331,189 | |||
FedEx Corp. | 72,454 | 7,869,953 | |||
Fifth Third Bancorp | 70,900 | 2,901,937 | |||
Genentech, Inc.(a) | 115,170 | 9,343,742 | |||
General Dynamics Corp. | 85,774 | 6,377,297 | |||
General Electric Co. | 194,500 | 7,237,345 | |||
General Mills, Inc. | 31,300 | 1,802,880 | |||
General Motors Corp.(b) | 48,900 | 1,502,208 | |||
Genworth Financial, Inc. | 41,200 | 1,409,452 | |||
Genzyme Corp.(a) | 53,839 | 3,315,406 | |||
Goldman Sachs Group, Inc. | 60,328 | 12,026,387 | |||
H&R Block, Inc. | 75,400 | 1,737,216 | |||
Hartford Financial Services Group, Inc. | 27,700 | 2,584,687 | |||
Home Depot, Inc. (The) | 76,100 | 3,056,176 | |||
Honeywell International, Inc. | 77,600 | 3,510,624 | |||
Idearc, Inc.(a) | 3,430 | 98,270 | |||
Illinois Tool Works, Inc. | 41,200 | 1,903,028 | |||
Intel Corp. | 241,099 | 4,882,255 | |||
International Business Machines Corp. | 40,000 | 3,886,000 | |||
International Paper Co. | 96,800 | 3,300,880 | |||
Johnson & Johnson | 53,100 | 3,505,662 | |||
JPMorgan Chase & Co. | 146,800 | 7,090,440 | |||
KB Home | 46,405 | 2,379,648 | |||
Las Vegas Sands Corp.(a) | 69,310 | 6,201,859 | |||
Lehman Brothers Holdings, Inc. | 92,040 | 7,190,165 | |||
Lennar Corp. (Class A Stock) | 66,220 | 3,473,901 | |||
Liberty Media Holdings Corp. — Capital (Class A Stock)(a) | 19,780 | 1,938,044 | |||
Liberty Media Holdings Corp. — Interactive (Class A Stock)(a) | 92,000 | 1,984,440 |
COMMON STOCKS | Value (Note 2) | ||||
(Continued) | Shares | ||||
United States (cont’d.) | |||||
Lincoln National Corp. | 27,100 | $ | 1,799,440 | ||
Lockheed Martin Corp. | 72,935 | 6,715,125 | |||
Lowe’s Cos., Inc.(b) | 177,308 | 5,523,144 | |||
Marsh & McLennan Cos., Inc. | 154,800 | 4,746,168 | |||
Mellon Financial Corp.(b) | 74,200 | 3,127,530 | |||
Merck & Co., Inc. | 99,600 | 4,342,560 | |||
Merrill Lynch & Co., Inc. | 33,500 | 3,118,850 | |||
Microsoft Corp. | 161,700 | 4,828,362 | |||
Monsanto Co. | 108,571 | 5,703,235 | |||
Morgan Stanley | 44,100 | 3,591,063 | |||
Murphy Oil Corp.(b) | 51,600 | 2,623,860 | |||
New York Times Co. (The) | 67,700 | 1,649,172 | |||
Newell Rubbermaid, Inc. | 86,500 | 2,504,175 | |||
NiSource, Inc. | 112,400 | 2,708,840 | |||
Nordstrom, Inc. | 106,497 | 5,254,562 | |||
NRG Energy, Inc.(a)(b) | 19,264 | 1,078,977 | |||
Nucor Corp. | 20,700 | 1,131,462 | |||
PepsiCo, Inc. | 14,897 | 931,807 | |||
Pfizer, Inc. | 144,500 | 3,742,550 | |||
Praxair, Inc. | 91,780 | 5,445,307 | |||
Procter & Gamble Co. (The) | 136,019 | 8,741,941 | |||
Qwest Communications International, Inc.(a)(b) | 171,400 | 1,434,618 | |||
RadioShack Corp.(b) | 67,800 | 1,137,684 | |||
Raytheon Co. | 49,100 | 2,592,480 | |||
Schering-Plough Corp.(b) | 96,500 | 2,281,260 | |||
Schlumberger Ltd. | 76,167 | 4,810,708 | |||
Sprint Nextel Corp. | 145,000 | 2,739,050 | |||
St. Joe Co. (The)(b) | 49,051 | 2,627,662 | |||
St. Paul Travelers Cos., Inc. (The) | 39,700 | 2,131,493 | |||
Starbucks Corp.(a)(b) | 83,311 | 2,950,876 | |||
State Street Corp. | 41,000 | 2,765,040 | |||
Station Casinos, Inc. | 43,314 | 3,537,454 | |||
Target Corp. | 90,204 | 5,146,138 | |||
Time Warner Cos., Inc. | 191,500 | 4,170,870 | |||
U.S. Bancorp | 111,600 | 4,038,804 | |||
Union Pacific Corp. | 97,444 | 8,966,797 | |||
United Technologies Corp. | 81,039 | 5,066,558 | |||
UnitedHealth Group, Inc. | 247,272 | 13,285,925 | |||
Verizon Communications, Inc. | 68,600 | 2,554,664 | |||
Viacom, Inc. (Class B Stock)(a) | 39,200 | 1,608,376 | |||
Wal-Mart Stores, Inc. | 56,400 | 2,604,552 | |||
Walt Disney Co. | 65,100 | 2,230,977 | |||
Waste Management, Inc. | 82,600 | 3,037,202 | |||
Wells Fargo & Co. | 125,405 | 4,459,402 | |||
Wyeth | 48,100 | 2,449,252 | |||
Wynn Resorts Ltd.(b) | 78,188 | 7,337,944 | |||
400,465,131 | |||||
TOTAL LONG-TERM INVESTMENTS | 902,248,491 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
B61
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
SHORT-TERM INVESTMENT — 7.5% | Shares | Value (Note 2) | ||||
Affiliated Money Market Mutual Fund | ||||||
Dryden Core Investment Fund — Taxable Money Market Series (cost $70,116,659 includes $50,850,856 of cash collateral received for securities on loan) (Note 4)(c)(d) | 70,116,659 | $ | 70,116,659 | |||
TOTAL INVESTMENTS(e) — 104.2% | 972,365,150 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.2)% | (39,506,254 | ) | ||||
TOTAL NET ASSETS — 100.0% | $ | 932,858,896 | ||||
The following abbreviations are used in portfolio descriptions:
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
144A | Security was purchased pursuant to rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(a) | Non-income producing security. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities is $48,803,921; cash collateral of $50,850,856 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(c) | Represents security, or a portion thereof, purchased with cash collateral for securities on loan. |
(d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series. |
(e) | As of December 31, 2006, 80 securities representing $128,063,028 and 13.7% of the net assets were fair valued in accordance with policies adopted by the Board of Trustees. |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:
Commercial Banks | 9.3 | % | |
Affiliated Money Market Mutual Fund (including 5.5% of collateral received for securities on loan) | 7.5 | ||
Oil, Gas & Consumable Fuels | 7.0 | ||
Capital Markets | 6.8 | ||
Telecommunications | 4.7 | ||
Automobiles | 4.3 | ||
Food & Staples Retailing | 3.8 | ||
Aerospace & Defense | 3.6 | ||
Insurance | 3.6 | ||
Media | 3.4 | ||
Diversified Financial Services | 3.3 | ||
Household Durables | 3.3 | ||
Pharmaceuticals | 3.1 | ||
Utilities | 2.9 | ||
Chemicals | 2.7 | ||
Specialty Retail | 2.3 | ||
Hotels, Restaurants & Leisure | 2.2 | ||
Electric Equipment & Instruments | 2.1 | ||
Road & Rail | 1.8 | ||
Biotechnology | 1.6 | ||
Beverages | 1.5 | ||
Multiline Retail | 1.5 | ||
Health Care Providers & Services | 1.4 | ||
Industrial Conglomerates | 1.4 | ||
Metals & Mining | 1.4 | ||
Software | 1.4 | ||
Machinery | 1.2 | ||
Communications Equipment | 1.1 | ||
Energy Equipment & Services | 1.1 | ||
Personal Products | 1.1 | ||
Real Estate Management & Development | 1.1 | ||
Consumer Finance | 1.0 | ||
Textiles, Apparel & Luxury Goods | 1.0 | ||
Commercial Services & Supplies | 0.9 | ||
Paper & Forest Products | 0.9 | ||
Air Freight & Logistics | 0.8 | ||
Office Electronics | 0.7 | ||
Semiconductors & Semiconductor Equipment | 0.7 | ||
Thrifts & Mortgage Finance | 0.7 | ||
Airlines | 0.5 | ||
Computers & Peripherals | 0.5 | ||
Distributors | 0.5 | ||
Health Care Equipment & Supplies | 0.5 | ||
Construction & Engineering | 0.4 | ||
Marine | 0.3 | ||
Construction Materials | 0.2 | ||
Diversified Consumer Services | 0.2 | ||
Internet & Catalog Retail | 0.2 | ||
IT Services | 0.2 | ||
Tobacco | 0.2 | ||
Containers & Packaging | 0.1 | ||
Independent Power Producers & Energy Traders | 0.1 | ||
Transportation Infrastructure | 0.1 | ||
104.2 | |||
Liabilities in excess of other assets | (4.2 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B62
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 93.2% | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
Asset Backed Securities — 3.8% | ||||||||||
Small Business Administration Participation Certificates, | ||||||||||
Series 1996-20J, Class 1 | 7.20% | 10/01/16 | $ | 4,437 | $ | 4,607,951 | ||||
Series 1997-20A, Class 1 | 7.15% | 01/01/17 | 4,311 | 4,471,480 | ||||||
Series 1997-20G, Class 1 | 6.85% | 07/01/17 | 1,376 | 1,422,139 | ||||||
Series 1998-20I, Class 1 | 6.00% | 09/01/18 | 2,863 | 2,921,201 | ||||||
13,422,771 | ||||||||||
Collateralized Mortgage Obligations — 6.6% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2496, Class PM | 5.50% | 09/15/17 | 2,819 | 2,789,991 | ||||||
Series 2501, Class MC | 5.50% | 09/15/17 | 2,000 | 2,005,337 | ||||||
Series 2513, Class HC | 5.00% | 10/15/17 | 2,339 | 2,267,501 | ||||||
Series 2518, Class PV | 5.50% | 06/15/19 | 1,920 | 1,896,040 | ||||||
Federal National Mortgage Association, | ||||||||||
Series 1993-29, Class PH | 6.50% | 01/25/23 | 178 | 177,297 | ||||||
Series 2002-18, Class PC | 5.50% | 04/25/17 | 5,000 | 5,027,849 | ||||||
Series 2002-57, Class ND | 5.50% | 09/25/17 | 2,600 | 2,603,574 | ||||||
Series 2002-94, Class HQ | 4.50% | 01/25/18 | 6,419 | 6,063,051 | ||||||
Structured Adjustable Rate Mortgage Loan, Series 2004-1, Class 4A-3(a) | 4.17% | 02/25/34 | 684 | 677,110 | ||||||
23,507,750 | ||||||||||
Commercial Mortgage Backed Securities — 5.8% | ||||||||||
Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5(a) | 4.857% | 07/10/43 | 1,750 | 1,695,191 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc., | ||||||||||
Series 2000-WF1, Class A1(b) | 7.64% | 02/15/32 | 683 | 695,331 | ||||||
Series 2004-T16, Class A5 | 4.60% | 02/13/46 | 4,200 | 4,045,327 | ||||||
Series 2005-PWR8, Class A4 | 4.674% | 06/11/41 | 1,750 | 1,675,310 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A4 | 4.686% | 07/15/37 | 1,750 | 1,674,679 | ||||||
First Union National Bank Commercial Mortgage Trust, | ||||||||||
Series 2000-C1, Class A1 | 7.739% | 05/17/32 | 386 | 390,016 | ||||||
Series 2000-C2, Class A1 | 6.94% | 10/15/32 | 266 | 265,296 | ||||||
GS Mortgage Securities Corp. II, Series 2003-C1, Class A3 | 4.608% | 01/10/40 | 6,800 | 6,572,978 | ||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class ASB | 5.66% | 05/12/39 | 1,500 | 1,535,100 | ||||||
Morgan Stanley Capital I, Series 2005-T19, Class AAB | 4.852% | 06/12/47 | 1,375 | 1,346,279 | ||||||
Morgan Stanley Dean Witter I, Series 2001-TOP1, Class A2 | 6.32% | 02/15/33 | 612 | 614,196 | ||||||
20,509,703 | ||||||||||
Foreign Government Bonds — 1.6% | ||||||||||
Australian Government Bond, Series 415 | 6.25% | 04/15/15 | AUD 1,045 | 842,381 | ||||||
Deutsche Bundesrepublik, Series 06 | 4.00% | 07/04/16 | EUR 2,080 | 2,753,655 | ||||||
Japanese Government Bond, Series 90 | 2.20% | 09/20/26 | JPY 51,950 | 445,338 | ||||||
Norwegian Government Bonds | 5.00% | 05/15/15 | NOK 9,400 | 1,570,151 | ||||||
5,611,525 | ||||||||||
Mortgage Backed Securities — 43.9% | ||||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 06/01/33-5/01/34 | 11,362 | 10,978,044 | ||||||
Federal Home Loan Mortgage Corp. | 5.00% | TBA 30 YR | 5,500 | 5,305,784 | ||||||
Federal Home Loan Mortgage Corp. | 6.00% | TBA 30 YR | 3,000 | 3,021,564 | ||||||
Federal Home Loan Mortgage Corp. | 6.00% | 09/01/34 | 731 | 736,882 | ||||||
Federal Home Loan Mortgage Corp. | 6.50% | 06/01/08-9/01/32 | 1,112 | 1,133,997 | ||||||
Federal Home Loan Mortgage Corp. | 7.00% | 08/01/11-10/01/32 | 1,272 | 1,294,381 | ||||||
Federal National Mortgage Association(a) | 4.249% | 04/01/34 | 2,333 | 2,313,991 | ||||||
Federal National Mortgage Association(a) | 4.439% | 06/01/34 | 2,297 | 2,268,233 | ||||||
Federal National Mortgage Association | 4.50% | TBA 15 YR | 5,000 | 4,821,875 | ||||||
Federal National Mortgage Association(a) | 4.032% | 08/01/33 | 3,684 | 3,576,331 | ||||||
Federal National Mortgage Association(a) | 4.876% | 10/01/34 | 3,043 | 3,006,202 | ||||||
Federal National Mortgage Association(a) | 4.976% | 06/01/36 | 4,742 | 4,699,684 | ||||||
Federal National Mortgage Association | 5.00% | 07/01/18-03/01/34 | 15,056 | 14,736,302 | ||||||
Federal National Mortgage Association | 5.00% | TBA 15 YR | 10,500 | 10,319,526 |
SEE NOTES TO FINANCIAL STATEMENTS.
B63
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS (Continued) | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
Mortgage Backed Securities (cont’d.) | ||||||||||
Federal National Mortgage Association | 5.00% | TBA 30 YR | $ | 4,000 | $ | 3,861,248 | ||||
Federal National Mortgage Association | 5.50% | 01/01/17-11/01/35 | 43,647 | 43,180,308 | ||||||
Federal National Mortgage Association | 6.00% | TBA 30 YR | 500 | 503,281 | ||||||
Federal National Mortgage Association | 6.00% | 11/01/14-01/01/36 | 9,275 | 9,349,293 | ||||||
Federal National Mortgage Association(a) | 6.276% | 03/01/11 | 1,269 | 1,311,230 | ||||||
Federal National Mortgage Association | 6.50% | 11/01/09-10/01/32 | 5,035 | 5,148,094 | ||||||
Federal National Mortgage Association | 6.50% | TBA 30 YR | 2,500 | 2,546,875 | ||||||
Federal National Mortgage Association | 7.00% | TBA 30 YR | 2,000 | 2,052,500 | ||||||
Federal National Mortgage Association | 7.00% | 02/01/12-01/01/36 | 2,297 | 2,362,271 | ||||||
Federal National Mortgage Association | 7.50% | 03/01/07-10/01/12 | 336 | 344,982 | ||||||
Federal National Mortgage Association | 8.00% | 03/01/22-05/01/26 | 68 | 71,547 | ||||||
Federal National Mortgage Association | 9.00% | 02/01/25-04/01/25 | 270 | 293,484 | ||||||
Government National Mortgage Association | 5.00% | TBA 30 YR | 3,000 | 2,916,564 | ||||||
Government National Mortgage Association | 5.00% | 07/15/33-04/15/34 | 4,571 | 4,450,351 | ||||||
Government National Mortgage Association | 5.50% | TBA 30 YR | 4,500 | 4,477,500 | ||||||
Government National Mortgage Association | 6.50% | 07/15/32-08/15/32 | 1,036 | 1,064,653 | ||||||
Government National Mortgage Association | 7.00% | 03/15/23-08/15/28 | 2,297 | 2,374,603 | ||||||
Government National Mortgage Association | 7.50% | 12/15/25-02/15/26 | 468 | 489,417 | ||||||
Government National Mortgage Association | 8.50% | 09/15/24-04/15/25 | 556 | 600,414 | ||||||
155,611,411 | ||||||||||
U.S. Government Agency Obligations — 23.4% | ||||||||||
Federal Home Loan Bank | 4.75% | 06/11/08-08/13/10 | 1,920 | 1,908,111 | ||||||
Federal Home Loan Bank(c) | 4.875% | 11/18/11 | 7,490 | 7,460,227 | ||||||
Federal Home Loan Bank | 5.125% | 08/08/08 | 450 | 450,304 | ||||||
Federal Home Loan Bank | 5.375% | 08/19/11 | 3,580 | 3,641,236 | ||||||
Federal Home Loan Bank(a) | 9.148% | 02/20/07 | 2,000 | 1,995,980 | ||||||
Federal Home Loan Mortgage Corp. | 4.75% | 01/18/11 | 645 | 640,724 | ||||||
Federal Home Loan Mortgage Corp., M.T.N. | 5.00% | 12/14/18 | 2,475 | 2,416,669 | ||||||
Federal National Mortgage Association | 4.875% | 04/10/08 | 28,535 | 28,436,926 | ||||||
Federal National Mortgage Association(c) | 5.125% | 04/15/11 | 6,920 | 6,969,485 | ||||||
Federal National Mortgage Association | 5.30% | 02/22/11 | 16,310 | 16,231,973 | ||||||
FICO Strip Principal | Zero | 05/11/18 | 4,000 | 2,244,916 | ||||||
Tennessee Valley Authority, Series B | 4.375% | 06/15/15 | 9,850 | 9,444,298 | ||||||
Tennessee Valley Authority, Series B | 5.88% | 04/01/36 | 1,090 | 1,198,467 | ||||||
83,039,316 | ||||||||||
U.S. Government Treasury Securities — 8.1% | ||||||||||
United States Treasury Bonds(c) | 4.50% | 02/15/36 | 1,025 | 974,712 | ||||||
United States Treasury Bonds(c) | 4.625% | 11/15/16 | 4,165 | 4,137,669 | ||||||
United States Treasury Bonds | 8.125% | 05/15/21 | 840 | 1,118,447 | ||||||
United States Treasury Inflation Index Notes | 2.375% | 04/15/11 | 3,040 | 3,028,328 | ||||||
United States Treasury Inflation Index Notes | 3.875% | 01/15/09 | 8,270 | 8,497,737 | ||||||
United States Treasury Notes | 3.375% | 09/15/09 | 1,860 | 1,796,280 | ||||||
United States Treasury Notes | 4.875% | 04/30/08 | 8 | 7,993 | ||||||
United States Treasury Notes | 5.00% | 07/31/08 | 15 | 15,025 | ||||||
United States Treasury Strip(c) | Zero | 02/15/12-05/15/21 | 15,230 | 9,007,298 | ||||||
28,583,489 | ||||||||||
TOTAL LONG-TERM INVESTMENTS | 330,285,965 | |||||||||
SHORT-TERM INVESTMENTS — 23.5% | Shares | |||||||||
Affiliated Money Market Mutual Funds | ||||||||||
Dryden Core Investment Fund — Short Term Bond Series | 3,653,066 | 36,567,195 | ||||||||
Dryden Core Investment Fund — Taxable Money Market Series | 46,780,559 | 46,780,559 | ||||||||
TOTAL SHORT-TERM INVESTMENTS | 83,347,754 | |||||||||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT — 116.7% | 413,633,719 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B64
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
SECURITIES SOLD SHORT — (0.1)% | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | |||||||
Mortgage Backed Securities | |||||||||||
Federal National Mortgage Association (proceeds received $497,344) | 5.50% | TBA 30 YR | $ | 500 | $ | (494,063 | ) | ||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT — 116.6% | 413,139,656 | ||||||||||
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (16.6%) | (58,880,871 | ) | |||||||||
TOTAL NET ASSETS — 100.0% | $ | 354,258,785 | |||||||||
The following abbreviations are used in portfolio descriptions:
AUD | Australian Dollar | |
EUR | Euro | |
FICO | Financing Corporation | |
JPY | Japanese Yen | |
M.T.N. | Medium Term Note | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
TBA | To be announced security |
(a) | Indicates a variable rate security. The maturity date presented for these instruments is the later of the next date on which the security can be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at December 31, 2006. |
(b) | Security segregated as collateral for futures contracts. |
(c) | All or portion of security is on loan. The aggregate market value of such securities is $20,724,279; cash collateral of $21,369,617 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(d) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(e) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Short-Term Bond Series. |
(f) | Other liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures contracts, forward foreign currency contracts and interest rate swap agreements as follows: |
Open futures contracts outstanding at December 31, 2006:
Number of Contracts | Type | Expiration Date | Value at December 31, 2006 | Value at Trade Date | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
10 | Canadian 10 Yr. Bond | Mar. 07 | $ | 976,032 | $ | 985,914 | $ | (9,882 | ) | |||||
9 | 10 Yr. Euro-Bund | Mar. 07 | 1,378,483 | 1,394,757 | (16,274 | ) | ||||||||
13 | Long-Term U.K. Gilt | Mar. 07 | 2,752,315 | 2,790,771 | (38,456 | ) | ||||||||
249 | U.S. 30 Yr. Bond | Mar. 07 | 27,747,937 | 28,142,827 | (394,890 | ) | ||||||||
(459,502 | ) | |||||||||||||
Short Positions: | ||||||||||||||
114 | U.S. Treasury 2 Yr. Notes | Mar. 07 | 23,259,562 | 23,398,622 | 139,060 | |||||||||
106 | U.S. Treasury 5 Yr. Notes | Mar. 07 | 11,136,625 | 11,192,473 | 55,848 | |||||||||
202 | U.S. Treasury 10 Yr. Notes | Mar. 07 | 21,708,687 | 21,961,044 | 252,357 | |||||||||
447,265 | ||||||||||||||
$ | (12,237 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
B65
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Open forward foreign currency exchange contracts outstanding at December 31, 2006:
Purchase Contracts: | Contracts to Deliver | Payable at Statement Date | Value at December 31, 2006 | Unrealized Appreciation (Depreciation) | ||||||||
Japanese Yen expiring 01/24/07 | JPY 80,446,708 | $ | 682,139 | $ | 678,254 | $ | (3,885 | ) | ||||
Norwegian Krone expiring 01/22/07 | NOK 6,603,277 | 1,059,281 | 1,060,170 | 889 | ||||||||
(2,996 | ) | |||||||||||
Sales Contracts: | Contracts to Deliver | Receivable at Statement Date | Value at December 31, 2006 | Unrealized Appreciation (Depreciation) | ||||||||
Australian Dollar expiring 01/19/07 | AUD 1,097,963 | $ | 862,813 | $ | 866,211 | $ | (3,398 | ) | ||||
Euros expiring 01/24/07 | EUR 2,147,334 | 2,817,495 | 2,838,085 | (20,590 | ) | |||||||
Japanese Yen expiring 01/24/07 | JPY 126,734,619 | 1,081,842 | 1,068,512 | 13,330 | ||||||||
Norwegian Krone expiring 01/22/07 | NOK 16,768,796 | 2,709,693 | 2,692,265 | 17,428 | ||||||||
6,770 | ||||||||||||
$ | 3,774 | |||||||||||
Interest rate swap agreements outstanding at December 31, 2006:
Counterparty (1) | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized Appreciation (Depreciation) | |||||||||
Merrill Lynch Capital Services | 11/02/16 | $ | 4,660 | 5.151 | % | 3 month LIBOR | $ | (15,451 | ) | |||||
Merrill Lynch Capital Services | 08/15/22 | 3,150 | 5.185 | % | 3 month LIBOR | (35,447 | ) | |||||||
Morgan Stanley Capital Services | 01/04/17 | NZD 1,460 | 6.880 | % | 3 month NZD-BBR-FRA | — | ||||||||
Morgan Stanley Capital Services | 12/22/16 | NZD 2,930 | 6.808 | % | 3 month NZD-BBR-FRA | 4,555 | ||||||||
$ | (46,343 | ) | ||||||||||||
(1) | The Portfolio pays the floating rate and receives the fixed rate. |
The industry classification of portfolio holdings and other liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:
Mortgage Backed Securities | 43.9 | % | |
Affiliated Money Market Mutual Funds | 23.5 | ||
U.S. Government Agency Obligations | 23.4 | ||
U.S. Government Treasury Securities | 8.1 | ||
Collateralized Mortgage Obligations | 6.6 | ||
Commercial Mortgage Backed Securities | 5.8 | ||
Asset Backed Securities | 3.8 | ||
Foreign Government Bonds | 1.6 | ||
116.7 | |||
Securities Sold Short | (0.1 | ) | |
Other liabilities in excess of other assets | (16.6 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
B66
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
LONG-TERM INVESTMENTS — 98.2% | Value (Note 2) | ||||
COMMON STOCKS | Shares | ||||
Aerospace/Defense — 2.4% | |||||
Boeing Co. | 204,136 | $ | 18,135,442 | ||
General Dynamics Corp. | 104,600 | 7,777,010 | |||
Goodrich Corp. | 31,800 | 1,448,490 | |||
Honeywell International, Inc. | 215,150 | 9,733,386 | |||
L-3 Communications Holdings, Inc. | 32,900 | 2,690,562 | |||
Lockheed Martin Corp. | 93,698 | 8,626,775 | |||
Northrop Grumman Corp. | 97,226 | 6,582,200 | |||
Raytheon Co. | 115,818 | 6,115,190 | |||
Rockwell Collins, Inc. | 45,100 | 2,854,379 | |||
United Technologies Corp. | 260,000 | 16,255,200 | |||
80,218,634 | |||||
Air Freight & Logistics — 0.9% | |||||
FedEx Corp. | 80,740 | 8,769,979 | |||
United Parcel Service, Inc. | 274,800 | 20,604,504 | |||
29,374,483 | |||||
Airlines — 0.1% | |||||
Southwest Airlines Co. | 176,637 | 2,706,079 | |||
Auto Components — 0.1% | |||||
Goodyear Tire & Rubber Co. (The)(a)(b) | 49,200 | 1,032,708 | |||
Johnson Controls, Inc. | 46,100 | 3,960,912 | |||
4,993,620 | |||||
Automobiles — 0.4% | |||||
Ford Motor Co.(b) | 462,045 | 3,469,958 | |||
General Motors Corp. | 139,100 | 4,273,152 | |||
Harley-Davidson, Inc.(b) | 69,700 | 4,911,759 | |||
12,654,869 | |||||
Beverages — 2.1% | |||||
Anheuser-Busch Cos., Inc.(b) | 204,500 | 10,061,400 | |||
Brown-Forman Corp. | 16,200 | 1,073,088 | |||
Coca-Cola Co. (The) (Class B Stock) | 522,700 | 25,220,275 | |||
Coca-Cola Enterprises, Inc. | 84,700 | 1,729,574 | |||
Constellation Brands, Inc. | 38,200 | 1,108,564 | |||
Molson Coors Brewing Co. | 16,000 | 1,223,040 | |||
Pepsi Bottling Group, Inc. | 33,600 | 1,038,576 | |||
PepsiCo, Inc. | 429,640 | 26,873,982 | |||
68,328,499 | |||||
Biotechnology — 1.3% | |||||
Amgen, Inc.(a) | 303,164 | 20,709,133 | |||
Biogen Idec, Inc.(a)(b) | 90,825 | 4,467,682 | |||
Celgene Corp.(a)(b) | 87,200 | 5,016,616 | |||
Genzyme Corp.(a) | 58,800 | 3,620,904 | |||
Gilead Sciences, Inc.(a) | 109,200 | 7,090,356 | |||
MedImmune, Inc.(a) | 61,200 | 1,981,044 | |||
42,885,735 | |||||
Building Products — 0.1% | |||||
American Standard Cos., Inc. | 38,900 | 1,783,565 | |||
Masco Corp. | 103,400 | 3,088,558 | |||
4,872,123 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Capital Markets — 3.8% | |||||
Ameriprise Financial, Inc. | 62,300 | $ | 3,395,350 | ||
Bank of New York Co., Inc. | 199,200 | 7,842,504 | |||
Bear Stearns & Co., Inc. | 32,110 | 5,226,866 | |||
Charles Schwab Corp. | 275,400 | 5,326,236 | |||
E*Trade Financial Corp.(a) | 106,800 | 2,394,456 | |||
Federated Investors, Inc. | 22,600 | 763,428 | |||
Franklin Resources, Inc. | 40,400 | 4,450,868 | |||
Goldman Sachs Group, Inc. | 113,100 | 22,546,485 | |||
Janus Capital Group, Inc. | 55,000 | 1,187,450 | |||
Legg Mason, Inc.(b) | 30,800 | 2,927,540 | |||
Lehman Brothers Holdings, Inc. | 141,100 | 11,022,732 | |||
Mellon Financial Corp.(b) | 105,700 | 4,455,255 | |||
Merrill Lynch & Co., Inc.(b) | 234,100 | 21,794,710 | |||
Morgan Stanley | 277,710 | 22,613,925 | |||
Northern Trust Corp. | 48,800 | 2,961,672 | |||
State Street Corp. | 85,600 | 5,772,864 | |||
T. Rowe Price Group, Inc. | 59,600 | 2,608,692 | |||
127,291,033 | |||||
Chemicals — 1.5% | |||||
Air Products & Chemicals, Inc. | 55,700 | 3,914,596 | |||
Ashland, Inc. | 18,600 | 1,286,748 | |||
Dow Chemical Co. | 259,761 | 10,374,854 | |||
Du Pont (E.I.) de Nemours & Co. | 234,391 | 11,417,186 | |||
Eastman Chemical Co. | 22,400 | 1,328,544 | |||
Ecolab, Inc. | 48,800 | 2,205,760 | |||
Hercules, Inc.(a) | 27,900 | 538,749 | |||
International Flavors & Fragrances, Inc. | 18,700 | 919,292 | |||
Monsanto Co. | 131,396 | 6,902,232 | |||
PPG Industries, Inc. | 42,600 | 2,735,346 | |||
Praxair, Inc. | 79,000 | 4,687,070 | |||
Rohm and Haas Co. | 38,800 | 1,983,456 | |||
Sigma-Aldrich Corp. | 12,800 | 994,816 | |||
49,288,649 | |||||
Commercial Banks — 4.1% | |||||
BB&T Corp. | 140,900 | 6,189,737 | |||
Comerica, Inc. | 44,750 | 2,625,930 | |||
Commerce Bancorp, Inc. | 33,300 | 1,174,491 | |||
Compass Bancshares, Inc. | 33,800 | 2,016,170 | |||
Fifth Third Bancorp | 143,249 | 5,863,182 | |||
First Horizon National Corp.(b) | 35,900 | 1,499,902 | |||
Huntington Bancshares, Inc.(b) | 60,875 | 1,445,781 | |||
KeyCorp | 106,900 | 4,065,407 | |||
M&T Bank Corp. | 20,100 | 2,455,416 | |||
Marshall & Ilsley Corp. | 58,700 | 2,824,057 | |||
National City Corp.(b) | 151,500 | 5,538,840 | |||
PNC Financial Services Group, Inc.(b) | 77,900 | 5,767,716 | |||
Regions Financial Corp. | 196,812 | 7,360,769 | |||
SunTrust Banks, Inc. | 90,700 | 7,659,615 | |||
Synovus Financial Corp. | 85,100 | 2,623,633 | |||
US Bancorp | 455,381 | 16,480,238 | |||
Wachovia Corp. | 491,855 | 28,011,142 | |||
Wells Fargo & Co. | 873,620 | 31,065,927 | |||
Zions Bancorporation | 27,700 | 2,283,588 | |||
136,951,541 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B67
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Commercial Services & Supplies — 0.5% | |||||
Allied Waste Industries, Inc.(a)(b) | 71,800 | $ | 882,422 | ||
Avery Dennison Corp. | 25,000 | 1,698,250 | |||
Cintas Corp. | 35,800 | 1,421,618 | |||
Donnelley (R.R.) & Sons Co. | 57,500 | 2,043,550 | |||
Equifax, Inc. | 31,100 | 1,262,660 | |||
Monster Worldwide, Inc.(a) | 22,900 | 1,068,056 | |||
Pitney Bowes, Inc. | 58,300 | 2,692,877 | |||
Robert Half International, Inc. | 45,800 | 1,700,096 | |||
Waste Management, Inc. | 145,030 | 5,332,753 | |||
18,102,282 | |||||
Communications Equipment — 2.6% | |||||
ADC Telecommunications, Inc.(a) | 27,200 | 395,216 | |||
Avaya, Inc.(a) | 110,908 | 1,550,494 | |||
Ciena Corp.(a)(b) | 21,657 | 600,115 | |||
Cisco Systems, Inc.(a) | 1,577,600 | 43,115,808 | |||
Comverse Technology, Inc.(a)(b) | 37,000 | 781,070 | |||
Corning, Inc.(a) | 371,400 | 6,948,894 | |||
JDS Uniphase Corp.(a) | 24,887 | 414,617 | |||
Juniper Networks, Inc.(a) | 115,000 | 2,178,100 | |||
Motorola, Inc. | 652,695 | 13,419,409 | |||
QUALCOMM, Inc. | 427,200 | 16,143,888 | |||
Tellabs, Inc.(a) | 116,000 | 1,190,160 | |||
86,737,771 | |||||
Computers & Peripherals — 3.7% | |||||
Apple Computer, Inc.(a) | 213,600 | 18,121,824 | |||
Dell, Inc.(a) | 596,100 | 14,956,149 | |||
EMC Corp.(a) | 588,274 | 7,765,217 | |||
Hewlett-Packard Co. | 720,616 | 29,682,173 | |||
International Business Machines Corp. | 392,100 | 38,092,515 | |||
Lexmark International, Inc.(a)(b) | 29,014 | 2,123,825 | |||
NCR Corp.(a) | 46,300 | 1,979,788 | |||
Network Appliance, Inc.(a) | 96,800 | 3,802,304 | |||
QLogic Corp.(a) | 51,800 | 1,135,456 | |||
SanDisk Corp.(a)(b) | 47,700 | 2,052,531 | |||
Sun Microsystems, Inc.(a) | 808,600 | 4,382,612 | |||
124,094,394 | |||||
Construction & Engineering — 0.1% | |||||
Fluor Corp. | 23,500 | 1,918,775 | |||
Construction Materials — 0.1% | |||||
Vulcan Materials Co. | 27,000 | 2,426,490 | |||
Consumer Finance — 1.0% | |||||
American Express Co. | 310,800 | 18,856,236 | |||
Capital One Financial Corp. | 113,569 | 8,724,371 | |||
SLM Corp. | 109,000 | 5,315,930 | |||
32,896,537 | |||||
Containers & Packaging — 0.2% | |||||
Ball Corp. | 23,400 | 1,020,240 | |||
Bemis Co. | 25,900 | 880,082 | |||
Pactiv Corp.(a) | 33,000 | 1,177,770 | |||
Sealed Air Corp. | 19,910 | 1,292,557 | |||
Temple-Inland, Inc. | 29,600 | 1,362,488 | |||
5,733,137 | |||||
Distributors — 0.1% | |||||
Genuine Parts Co. | 46,225 | 2,192,452 | |||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Diversified Consumer Services — 0.1% | |||||
Apollo Group, Inc. (Class A Stock)(a)(b) | 29,800 | $ | 1,161,306 | ||
H&R Block, Inc. | 87,900 | 2,025,216 | |||
3,186,522 | |||||
Diversified Financial Services — 5.7% | |||||
Bank of America Corp. | 1,164,207 | 62,157,011 | |||
Chicago Mercantile Exchange Holdings, Inc.(b) | 8,200 | 4,179,950 | |||
CIT Group, Inc. | 53,800 | 3,000,426 | |||
Citigroup, Inc. | 1,260,476 | 70,208,512 | |||
JPMorgan Chase & Co. | 903,385 | 43,633,496 | |||
Moody’s Corp. | 65,320 | 4,510,999 | |||
187,690,394 | |||||
Diversified Telecommunication Services — 2.0% | |||||
AT&T, Inc.(b) | 993,409 | 35,514,372 | |||
BellSouth Corp. | 467,700 | 22,033,347 | |||
CenturyTel, Inc. | 30,000 | 1,309,800 | |||
Citizens Communications Co. | 90,300 | 1,297,611 | |||
Embarq Corp. | 39,376 | 2,069,603 | |||
Qwest Communications International, Inc.(a)(b) | 411,647 | 3,445,485 | |||
Windstream Corp. | 102,565 | 1,458,474 | |||
67,128,692 | |||||
Electric Utilities — 1.8% | |||||
Allegheny Energy, Inc.(a) | 36,200 | 1,661,942 | |||
American Electric Power Co., Inc. | 109,940 | 4,681,245 | |||
Duke Energy Corp.(b) | 308,482 | 10,244,687 | |||
Edison International | 85,100 | 3,870,348 | |||
Entergy Corp. | 52,100 | 4,809,872 | |||
Exelon Corp. | 171,550 | 10,617,230 | |||
FirstEnergy Corp. | 87,436 | 5,272,391 | |||
FPL Group, Inc.(b) | 99,700 | 5,425,674 | |||
Pinnacle West Capital Corp. | 26,000 | 1,317,940 | |||
PPL Corp. | 95,100 | 3,408,384 | |||
Progress Energy, Inc. | 56,714 | 2,783,523 | |||
Southern Co. | 179,100 | 6,601,626 | |||
60,694,862 | |||||
Electrical Equipment — 0.5% | |||||
American Power Conversion Corp. | 31,500 | 963,585 | |||
Cooper Industries Ltd. | 25,000 | 2,260,750 | |||
Emerson Electric Co. | 210,000 | 9,258,900 | |||
Rockwell Automation, Inc. | 45,800 | 2,797,464 | |||
15,280,699 | |||||
Electronic Equipment & Instruments — 0.3% | |||||
Agilent Technologies, Inc.(a) | 113,682 | 3,961,818 | |||
Jabil Circuit, Inc. | 30,900 | 758,595 | |||
Molex, Inc. | 32,600 | 1,031,138 | |||
Sanmina Corp.(a) | 150,600 | 519,570 | |||
Solectron Corp.(a)(b) | 261,700 | 842,674 | |||
Symbol Technologies, Inc. | 67,400 | 1,006,956 | |||
Tektronix, Inc. | 18,300 | 533,811 | |||
8,654,562 | |||||
Energy Equipment & Services — 1.7% | |||||
Baker Hughes, Inc. | 84,630 | 6,318,476 |
SEE NOTES TO FINANCIAL STATEMENTS.
B68
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Energy Equipment & Services (cont’d.) | |||||
BJ Services Co. | 87,400 | $ | 2,562,568 | ||
Halliburton Co. | 264,200 | 8,203,410 | |||
Nabors Industries Ltd.(a)(b) | 86,800 | 2,584,904 | |||
National-Oilwell Varco, Inc.(a) | 43,200 | 2,642,976 | |||
Noble Corp.(b) | 32,800 | 2,497,720 | |||
Rowan Cos., Inc. | 12,700 | 421,640 | |||
Schlumberger Ltd. | 308,800 | 19,503,808 | |||
Smith International Inc. | 37,900 | 1,556,553 | |||
Transocean, Inc.(a) | 83,133 | 6,724,628 | |||
Weatherford International Ltd.(a) | 85,500 | 3,573,045 | |||
56,589,728 | |||||
Food & Staples Retailing — 2.2% | |||||
Costco Wholesale Corp. | 123,332 | 6,520,563 | |||
CVS Corp.(b) | 206,600 | 6,386,006 | |||
Kroger Co. | 186,300 | 4,297,941 | |||
Safeway, Inc. | 117,300 | 4,053,888 | |||
SUPERVALU, Inc. | 57,208 | 2,045,186 | |||
Sysco Corp. | 153,700 | 5,650,012 | |||
Walgreen Co.(b) | 257,900 | 11,835,031 | |||
Wal-Mart Stores, Inc. | 629,900 | 29,088,782 | |||
Whole Foods Market, Inc.(b) | 31,300 | 1,468,909 | |||
71,346,318 | |||||
Food Products — 1.0% | |||||
Archer-Daniels-Midland Co. | 168,138 | 5,373,690 | |||
Campbell Soup Co. | 48,800 | 1,897,832 | |||
ConAgra Foods, Inc. | 135,800 | 3,666,600 | |||
Dean Foods Co.(a) | 27,200 | 1,150,016 | |||
General Mills, Inc. | 94,300 | 5,431,680 | |||
Heinz (H.J.) & Co. | 80,350 | 3,616,554 | |||
Hershey Foods Corp. | 46,100 | 2,295,780 | |||
Kellogg Co. | 66,000 | 3,303,960 | |||
McCormick & Co., Inc. | 31,300 | 1,206,928 | |||
Sara Lee Corp. | 185,900 | 3,165,877 | |||
Tyson Foods, Inc. (Class A Stock) | 51,800 | 852,110 | |||
Wrigley (William) Jr. Co. | 49,100 | 2,539,452 | |||
34,500,479 | |||||
Gas Utilities — 0.1% | |||||
Nicor, Inc. | 12,200 | 570,960 | |||
Peoples Energy Corp. | 6,000 | 267,420 | |||
Questar Corp. | 21,900 | 1,818,795 | |||
2,657,175 | |||||
Healthcare Equipment & Supplies — 1.5% | |||||
Bausch & Lomb, Inc.(b) | 12,100 | 629,926 | |||
Baxter International, Inc. | 164,700 | 7,640,433 | |||
Becton Dickinson & Co. | 68,800 | 4,826,320 | |||
Biomet, Inc. | 46,625 | 1,924,214 | |||
Boston Scientific Corp.(a) | 289,199 | 4,968,439 | |||
C.R. Bard, Inc. | 26,600 | 2,207,002 | |||
Hospira, Inc.(a) | 42,820 | 1,437,896 | |||
Medtronic, Inc. | 294,800 | 15,774,748 | |||
St. Jude Medical, Inc.(a) | 84,600 | 3,092,976 | |||
Stryker Corp. | 69,500 | 3,830,145 | |||
Zimmer Holdings, Inc.(a) | 59,286 | 4,646,837 | |||
50,978,936 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Healthcare Providers & Services — 2.5% | |||||
Aetna, Inc. | 150,348 | $ | 6,492,027 | ||
AmerisourceBergen Corp.(b) | 58,400 | 2,625,664 | |||
Cardinal Health, Inc. | 103,475 | 6,666,894 | |||
Caremark Rx, Inc. | 111,400 | 6,362,054 | |||
CIGNA Corp. | 31,200 | 4,104,984 | |||
Coventry Health Care, Inc.(a) | 39,750 | 1,989,488 | |||
Express Scripts, Inc.(a) | 34,700 | 2,484,520 | |||
Health Management Associates, Inc. | 66,300 | 1,399,593 | |||
Humana, Inc.(a) | 41,900 | 2,317,489 | |||
Laboratory Corp. of America Holdings(a)(b) | 33,800 | 2,483,286 | |||
Manor Care, Inc. | 12,750 | 598,230 | |||
McKesson Corp. | 72,107 | 3,655,825 | |||
Medco Health Solutions, Inc.(a) | 74,396 | 3,975,722 | |||
Patterson Cos., Inc.(a) | 21,400 | 759,914 | |||
Quest Diagnostics, Inc. | 44,300 | 2,347,900 | |||
Tenet Healthcare Corp.(a) | 111,100 | 774,367 | |||
UnitedHealth Group, Inc. | 349,500 | 18,778,635 | |||
Wellpoint, Inc.(a) | 168,200 | 13,235,658 | |||
81,052,250 | |||||
Healthcare Technology | |||||
IMS Health, Inc. | 51,320 | 1,410,274 | |||
Hotels, Restaurants & Leisure — 1.6% | |||||
Carnival Corp.(b) | 106,800 | 5,238,540 | |||
Darden Restaurants, Inc. | 38,650 | 1,552,571 | |||
Harrah’s Entertainment, Inc. | 41,450 | 3,428,744 | |||
Hilton Hotels Corp. | 84,000 | 2,931,600 | |||
International Game Technology(b) | 79,000 | 3,649,800 | |||
Marriott International, Inc. (Class A Stock) | 77,900 | 3,717,388 | |||
McDonald’s Corp.(b) | 330,500 | 14,651,065 | |||
Starbucks Corp.(a)(b) | 200,100 | 7,087,542 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 47,300 | 2,956,250 | |||
Wendy’s International, Inc. | 21,700 | 718,053 | |||
Wyndham Worldwide Corp.(a) | 42,663 | 1,366,069 | |||
Yum! Brands, Inc. | 72,500 | 4,263,000 | |||
51,560,622 | |||||
Household Durables — 0.6% | |||||
Black & Decker Corp. | 16,500 | 1,319,505 | |||
Centex Corp.(b) | 32,000 | 1,800,640 | |||
D.R. Horton, Inc. | 52,200 | 1,382,778 | |||
Fortune Brands, Inc.(b) | 33,000 | 2,817,870 | |||
Harman International Industries, Inc. | 16,700 | 1,668,497 | |||
KB Home | 21,932 | 1,124,673 | |||
Leggett & Platt, Inc. | 50,900 | 1,216,510 | |||
Lennar Corp. (Class A Stock) | 29,000 | 1,521,340 | |||
Newell Rubbermaid, Inc. | 58,249 | 1,686,309 | |||
Pulte Homes, Inc. | 39,800 | 1,318,176 | |||
Snap-On, Inc. | 12,300 | 585,972 | |||
Stanley Works | 12,200 | 613,538 | |||
Whirlpool Corp.(b) | 16,507 | 1,370,411 | |||
18,426,219 | |||||
Household Products — 2.2% | |||||
Clorox Co. | 37,900 | 2,431,285 |
SEE NOTES TO FINANCIAL STATEMENTS.
B69
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Household Products (cont’d.) | |||||
Colgate-Palmolive Co. | 130,400 | $ | 8,507,296 | ||
Kimberly-Clark Corp. | 124,788 | 8,479,345 | |||
Procter & Gamble Co. | 814,681 | 52,359,547 | |||
71,777,473 | |||||
Independent Power Producers & Energy Traders — 0.4% | |||||
AES Corp.(a) | 159,700 | 3,519,788 | |||
Constellation Energy Group, Inc.(b) | 48,350 | 3,329,865 | |||
Dynegy, Inc.(a) | 87,800 | 635,672 | |||
TXU Corp. | 125,512 | 6,804,006 | |||
14,289,331 | |||||
Industrial Conglomerates — 4.0% | |||||
3M Co. | 190,000 | 14,806,700 | |||
General Electric Co. | 2,633,800 | 98,003,697 | |||
Textron, Inc. | 32,100 | 3,010,017 | |||
Tyco International Ltd. | 510,543 | 15,520,507 | |||
131,340,921 | |||||
Insurance — 4.5% | |||||
ACE Ltd. | 87,200 | 5,281,704 | |||
AFLAC, Inc.(b) | 121,400 | 5,584,400 | |||
Allstate Corp. | 164,888 | 10,735,858 | |||
Ambac Financial Group, Inc. | 28,800 | 2,565,216 | |||
American International Group, Inc. | 667,487 | 47,832,118 | |||
Aon Corp. | 74,725 | 2,640,782 | |||
Chubb Corp. | 113,000 | 5,978,830 | |||
Cincinnati Financial Corp. | 45,628 | 2,067,405 | |||
Genworth Financial, Inc. (Class A Stock) | 106,800 | 3,653,628 | |||
Hartford Financial Services Group, Inc. | 82,500 | 7,698,075 | |||
Lincoln National Corp. | 71,363 | 4,738,503 | |||
Loews Corp. | 104,300 | 4,325,321 | |||
Marsh & McLennan Cos., Inc. | 121,800 | 3,734,388 | |||
MBIA, Inc.(b) | 36,850 | 2,692,261 | |||
MetLife, Inc. | 198,800 | 11,731,188 | |||
Principal Financial Group, Inc. | 66,300 | 3,891,810 | |||
Progressive Corp. | 195,800 | 4,742,276 | |||
SAFECO Corp. | 35,800 | 2,239,290 | |||
St. Paul Travelers Cos., Inc. | 181,898 | 9,766,104 | |||
Torchmark Corp. | 24,100 | 1,536,616 | |||
UnumProvident Corp. | 86,456 | 1,796,556 | |||
XL Capital Ltd. (Class A Stock) | 45,300 | 3,262,506 | |||
148,494,835 | |||||
Internet & Catalog Retail — 0.1% | |||||
Amazon.Com, Inc.(a)(b) | 67,000 | 2,643,820 | |||
IAC/InterActiveCorp(a)(b) | 45,200 | 1,679,632 | |||
4,323,452 | |||||
Internet Software & Services — 1.3% | |||||
eBay, Inc.(a)(b) | 285,300 | 8,578,971 | |||
Google, Inc. (Class A Stock)(a) | 53,950 | 24,842,896 | |||
VeriSign, Inc.(a) | 50,500 | 1,214,525 | |||
Yahoo!, Inc.(a)(b) | 301,300 | 7,695,202 | |||
42,331,594 | |||||
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
IT Services — 1.1% | |||||
Affiliated Computer Services, Inc. (Class A Stock)(a) | 25,300 | $ | 1,235,652 | ||
Automatic Data Processing, Inc. | 147,100 | 7,244,675 | |||
Cognizant Technology Solutions(a) | 31,300 | 2,415,108 | |||
Computer Sciences Corp.(a) | 47,400 | 2,529,738 | |||
Convergys Corp.(a) | 37,600 | 894,128 | |||
Electronic Data Systems Corp. | 123,300 | 3,396,915 | |||
Fidelity Information Services, Inc. | 31,500 | 1,262,835 | |||
First Data Corp. | 187,004 | 4,772,342 | |||
Fiserv, Inc.(a) | 54,900 | 2,877,858 | |||
Paychex, Inc. | 89,350 | 3,532,899 | |||
Sabre Holdings Corp. | 39,619 | 1,263,450 | |||
Unisys Corp.(a) | 67,000 | 525,280 | |||
Western Union Co. | 192,004 | 4,304,730 | |||
36,255,610 | |||||
Leisure Equipment & Products — 0.2% | |||||
Brunswick Corp. | 26,400 | 842,160 | |||
Eastman Kodak Co. | 53,000 | 1,367,400 | |||
Hasbro, Inc. | 42,650 | 1,162,213 | |||
Mattel, Inc. | 98,281 | 2,227,047 | |||
5,598,820 | |||||
Life Sciences, Tools & Services — 0.3% | |||||
Applera Corp.-Applied Biosystems Group | 49,100 | 1,801,479 | |||
Millipore Corp.(a) | 10,800 | 719,280 | |||
PerkinElmer, Inc. | 31,000 | 689,130 | |||
Thermo Electron Corp.(a) | 104,800 | 4,746,392 | |||
Waters Corp.(a) | 27,600 | 1,351,572 | |||
9,307,853 | |||||
Machinery — 1.4% | |||||
Caterpillar, Inc. | 167,300 | 10,260,509 | |||
Cummins, Inc. | 12,400 | 1,465,432 | |||
Danaher Corp. | 61,500 | 4,455,060 | |||
Deere & Co. | 57,600 | 5,476,032 | |||
Dover Corp. | 55,100 | 2,701,002 | |||
Eaton Corp. | 40,200 | 3,020,628 | |||
Illinois Tool Works, Inc. | 106,600 | 4,923,854 | |||
Ingersoll-Rand Co. (Class A Stock) | 81,800 | 3,200,834 | |||
ITT Corp. | 50,000 | 2,841,000 | |||
PACCAR, Inc.(b) | 60,952 | 3,955,785 | |||
Pall Corp. | 17,600 | 608,080 | |||
Parker Hannifin Corp. | 32,325 | 2,485,146 | |||
Terex Corp.(a) | 17,000 | 1,097,860 | |||
46,491,222 | |||||
Media — 3.6% | |||||
CBS Corp. (Class B Stock) | 212,768 | 6,634,106 | |||
Clear Channel Communications, Inc. | 123,100 | 4,374,974 | |||
Comcast Corp. (Class A Stock)(a)(b) | 536,430 | 22,707,082 | |||
DIRECTV Group, Inc. (The)(a) | 176,600 | 4,404,404 | |||
Dow Jones & Co., Inc.(b) | 17,400 | 661,200 | |||
E.W. Scripps Co. (Class A Stock) | 16,700 | 833,998 | |||
Gannett Co., Inc. | 59,100 | 3,573,186 | |||
Interpublic Group of Cos., Inc.(a)(b) | 69,800 | 854,352 | |||
McGraw-Hill Cos., Inc. | 89,800 | 6,108,196 | |||
Meredith Corp. | 11,000 | 619,850 |
SEE NOTES TO FINANCIAL STATEMENTS.
B70
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Media (cont’d.) | |||||
New York Times Co.(b) | 41,900 | $ | 1,020,684 | ||
News Corp. (Class A Stock) | 573,100 | 12,310,188 | |||
Omnicom Group, Inc. | 44,600 | 4,662,484 | |||
Time Warner, Inc. | 1,037,720 | 22,601,542 | |||
Tribune Co. | 49,000 | 1,508,220 | |||
Univision Communications, Inc. (Class A Stock)(a) | 49,400 | 1,749,748 | |||
Viacom, Inc. (Class B Stock)(a) | 174,468 | 7,158,422 | |||
Walt Disney Co. | 540,301 | 18,516,115 | |||
120,298,751 | |||||
Metals & Mining — 0.9% | |||||
Alcoa, Inc. | 228,376 | 6,853,564 | |||
Allegheny Technologies, Inc. | 20,040 | 1,817,227 | |||
Freeport-McMoran Copper & Gold, Inc. | 41,100 | 2,290,503 | |||
Newmont Mining Corp. | 119,503 | 5,395,560 | |||
Nucor Corp. | 78,600 | 4,296,276 | |||
Phelps Dodge Corp. | 50,756 | 6,076,508 | |||
United States Steel Corp. | 27,740 | 2,028,904 | |||
28,758,542 | |||||
Multiline Retail — 1.2% | |||||
Big Lots, Inc.(a) | 26,200 | 600,504 | |||
Dillard’s, Inc. | 20,750 | 725,628 | |||
Dollar General Corp. | 78,203 | 1,255,940 | |||
Family Dollar Stores, Inc. | 45,600 | 1,337,448 | |||
Federated Department Stores, Inc. | 139,820 | 5,331,337 | |||
J.C. Penney Co., Inc. | 61,900 | 4,788,584 | |||
Kohl’s Corp.(a) | 84,700 | 5,796,021 | |||
Nordstrom, Inc. | 56,000 | 2,763,040 | |||
Sears Holdings Corp.(a)(b) | 20,412 | 3,427,787 | |||
Target Corp. | 223,568 | 12,754,554 | |||
38,780,843 | |||||
Multi-Utilities — 1.1% | |||||
Ameren Corp.(b) | 48,300 | 2,595,159 | |||
CenterPoint Energy, Inc.(b) | 86,610 | 1,435,994 | |||
CMS Energy Corp.(a)(b) | 53,000 | 885,100 | |||
Consolidated Edison, Inc.(b) | 62,800 | 3,018,796 | |||
Dominion Resources, Inc.(b) | 88,842 | 7,448,513 | |||
DTE Energy Co.(b) | 37,000 | 1,791,170 | |||
KeySpan Corp. | 33,800 | 1,391,884 | |||
NiSource, Inc. | 73,000 | 1,759,300 | |||
PG&E Corp. | 78,500 | 3,715,405 | |||
Public Service Enterprise Group, Inc. | 60,300 | 4,002,714 | |||
Sempra Energy | 70,054 | 3,925,826 | |||
TECO Energy, Inc. | 37,900 | 653,017 | |||
Xcel Energy, Inc. | 109,495 | 2,524,955 | |||
35,147,833 | |||||
Office Electronics — 0.1% | |||||
Xerox Corp.(a) | 246,892 | 4,184,819 | |||
Oil, Gas & Consumable Fuels — 8.0% | |||||
Anadarko Petroleum Corp. | 122,526 | 5,332,332 | |||
Apache Corp. | 85,250 | 5,669,978 | |||
Chesapeake Energy Corp. | 104,700 | 3,041,535 | |||
Chevron Corp. | 561,592 | 41,293,860 | |||
ConocoPhillips | 421,779 | 30,346,999 | |||
Consol Energy, Inc.(b) | 28,800 | 925,344 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Oil, Gas & Consumable Fuels (cont’d.) | |||||
Devon Energy Corp. | 114,800 | $ | 7,700,784 | ||
El Paso Corp. | 176,311 | 2,694,032 | |||
EOG Resources, Inc. | 59,700 | 3,728,265 | |||
Exxon Mobil Corp.(b) | 1,491,970 | 114,329,660 | |||
Hess Corp. | 66,000 | 3,271,620 | |||
Kinder Morgan, Inc. | 22,600 | 2,389,950 | |||
Marathon Oil Corp. | 92,997 | 8,602,223 | |||
Murphy Oil Corp.(b) | 43,100 | 2,191,635 | |||
Occidental Petroleum Corp. | 223,500 | 10,913,505 | |||
Peabody Energy Corp. | 53,500 | 2,161,935 | |||
Sunoco, Inc.(b) | 37,000 | 2,307,320 | |||
Valero Energy Corp. | 161,700 | 8,272,572 | |||
Williams Cos., Inc. | 150,000 | 3,918,000 | |||
XTO Energy, Inc. | 98,200 | 4,620,310 | |||
263,711,859 | |||||
Paper & Forest Products — 0.3% | |||||
International Paper Co. | 123,267 | 4,203,405 | |||
MeadWestvaco Corp. | 48,289 | 1,451,567 | |||
Weyerhaeuser Co. | 61,200 | 4,323,780 | |||
9,978,752 | |||||
Personal Products — 0.1% | |||||
Avon Products, Inc. | 104,100 | 3,439,464 | |||
Estee Lauder Cos., Inc. (The) | 25,500 | 1,040,910 | |||
4,480,374 | |||||
Pharmaceuticals — 6.3% | |||||
Abbott Laboratories | 396,700 | 19,323,257 | |||
Allergan, Inc.(b) | 36,300 | 4,346,562 | |||
Barr Pharmaceuticals, Inc.(a) | 20,800 | 1,042,496 | |||
Bristol-Myers Squibb Co. | 501,860 | 13,208,955 | |||
Forest Laboratories, Inc.(a) | 89,700 | 4,538,820 | |||
Johnson & Johnson | 752,371 | 49,671,533 | |||
King Pharmaceuticals, Inc.(a) | 71,033 | 1,130,845 | |||
Lilly (Eli) & Co. | 262,600 | 13,681,460 | |||
Merck & Co., Inc. | 573,400 | 25,000,240 | |||
Mylan Laboratories, Inc. | 40,900 | 816,364 | |||
Pfizer, Inc. | 1,873,508 | 48,523,857 | |||
Schering-Plough Corp.(b) | 381,400 | 9,016,296 | |||
Watson Pharmaceuticals, Inc.(a) | 27,900 | 726,237 | |||
Wyeth | 356,600 | 18,158,072 | |||
209,184,994 | |||||
Real Estate Investment Trust — 1.0% | |||||
Apartment Investment & Management Co. (Class A Stock) | 24,700 | 1,383,694 | |||
Archstone-Smith Trust(b) | 57,100 | 3,323,791 | |||
Boston Properties, Inc.(b) | 25,700 | 2,875,316 | |||
Equity Office Properties Trust | 79,100 | 3,810,247 | |||
Equity Residential Properties Trust | 66,700 | 3,385,025 | |||
Kimco Realty Corp.(b) | 47,700 | 2,144,115 | |||
Plum Creek Timber Co., Inc. | 46,200 | 1,841,070 | |||
ProLogis | 65,600 | 3,986,512 | |||
Public Storage, Inc. | 25,500 | 2,486,250 | |||
Simon Property Group, Inc.(b) | 56,400 | 5,712,756 | |||
Vornado Realty Trust | 29,800 | 3,620,700 | |||
34,569,476 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
B71
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | |||
Real Estate Management & Development — 0.1% | |||||
CB Richard Ellis Group Inc.(a) | 48,500 | $ | 1,610,200 | ||
Realogy Corp.(a) | 56,254 | 1,705,621 | |||
3,315,821 | |||||
Road & Rail — 0.7% | |||||
Burlington Northern Santa Fe Corp. | 94,726 | 6,991,726 | |||
CSX Corp. | 117,824 | 4,056,680 | |||
Norfolk Southern Corp. | 98,900 | 4,973,681 | |||
Ryder System, Inc. | 17,600 | 898,656 | |||
Union Pacific Corp. | 69,400 | 6,386,188 | |||
23,306,931 | |||||
Semiconductors & Semiconductor Equipment — 2.3% | |||||
Advanced Micro Devices, Inc.(a)(b) | 112,900 | 2,297,515 | |||
Altera Corp.(a)(b) | 95,200 | 1,873,536 | |||
Analog Devices, Inc. | 98,900 | 3,250,843 | |||
Applied Materials, Inc. | 389,600 | 7,188,120 | |||
Broadcom Corp.(a)(b) | 102,550 | 3,313,391 | |||
Intel Corp. | 1,487,700 | 30,125,925 | |||
KLA-Tencor Corp. | 43,700 | 2,174,075 | |||
Linear Technology Corp. | 64,900 | 1,967,768 | |||
LSI Logic Corp.(a)(b) | 110,800 | 997,200 | |||
Maxim Integrated Products, Inc. | 64,000 | 1,959,680 | |||
Micron Technology, Inc.(a) | 151,900 | 2,120,524 | |||
National Semiconductor Corp. | 86,000 | 1,952,200 | |||
Novellus Systems, Inc.(a)(b) | 40,000 | 1,376,800 | |||
NVIDIA Corp.(a) | 80,400 | 2,975,604 | |||
PMC-Sierra, Inc.(a)(b) | 20,000 | 134,200 | |||
Teradyne, Inc.(a)(b) | 30,800 | 460,768 | |||
Texas Instruments, Inc. | 397,700 | 11,453,760 | |||
Xilinx, Inc. | 92,200 | 2,195,282 | |||
77,817,191 | |||||
Software — 3.3% | |||||
Adobe Systems, Inc.(a) | 141,700 | 5,826,704 | |||
Autodesk, Inc.(a)(b) | 46,700 | 1,889,482 | |||
BMC Software, Inc.(a) | 57,900 | 1,864,380 | |||
CA, Inc. | 121,673 | 2,755,893 | |||
Citrix Systems, Inc.(a) | 27,500 | 743,875 | |||
Compuware Corp.(a) | 108,600 | 904,638 | |||
Electronic Arts, Inc.(a) | 74,200 | 3,736,712 | |||
Intuit, Inc.(a)(b) | 91,600 | 2,794,716 | |||
Microsoft Corp. | 2,226,600 | 66,486,275 | |||
Novell, Inc.(a) | 89,100 | 552,420 | |||
Oracle Corp.(a) | 1,019,020 | 17,466,003 | |||
Symantec Corp.(a)(b) | 273,011 | 5,692,279 | |||
110,713,377 | |||||
Specialty Retail — 2.0% | |||||
AutoNation, Inc.(a) | 40,589 | 865,357 | |||
AutoZone, Inc.(a) | 13,600 | 1,571,616 | |||
Bed Bath & Beyond, Inc.(a) | 57,800 | 2,202,180 | |||
Best Buy Co., Inc. | 104,225 | 5,126,828 | |||
Circuit City Stores, Inc. | 37,000 | 702,260 | |||
Gap, Inc. | 133,787 | 2,608,847 | |||
Home Depot, Inc. | 526,819 | 21,157,051 | |||
Limited Brands, Inc. | 89,796 | 2,598,696 | |||
Lowe’s Cos., Inc.(b) | 386,900 | 12,051,935 | |||
Office Depot, Inc.(a) | 77,000 | 2,939,090 |
COMMON STOCKS (Continued) | Shares | Value (Note 2) | ||||
Specialty Retail (cont’d.) | ||||||
OfficeMax, Inc. | 16,786 | $ | 833,425 | |||
Radioshack Corp.(b) | 31,760 | 532,933 | ||||
Sherwin-Williams Co. | 31,400 | 1,996,412 | ||||
Staples, Inc. | 180,000 | 4,806,000 | ||||
Tiffany & Co. | 30,300 | 1,188,972 | ||||
TJX Cos., Inc. | 122,000 | 3,479,440 | ||||
64,661,042 | ||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||
Coach, Inc.(a) | 106,400 | 4,570,944 | ||||
Jones Apparel Group, Inc. | 28,000 | 936,040 | ||||
Liz Claiborne, Inc. | 26,400 | 1,147,344 | ||||
NIKE, Inc. (Class B Stock) | 47,100 | 4,664,313 | ||||
V.F. Corp. | 24,536 | 2,013,915 | ||||
13,332,556 | ||||||
Thrifts & Mortgage Finance — 1.5% | ||||||
Countrywide Financial Corp. | 159,498 | 6,770,690 | ||||
Fannie Mae | 250,900 | 14,900,951 | ||||
Freddie Mac | 176,900 | 12,011,510 | ||||
MGIC Investment Corp.(b) | 23,600 | 1,475,944 | ||||
Sovereign Bancorp, Inc. | 87,405 | 2,219,213 | ||||
Washington Mutual, Inc. | 246,326 | 11,205,370 | ||||
48,583,678 | ||||||
Tobacco — 1.6% | ||||||
Altria Group, Inc. | 536,700 | 46,059,594 | ||||
Reynolds American, Inc. | 44,400 | 2,906,868 | ||||
UST, Inc. | 42,200 | 2,456,040 | ||||
51,422,502 | ||||||
Trading Companies & Distributors | ||||||
Grainger (W.W.), Inc. | 20,300 | 1,419,782 | ||||
Wireless Telecommunication Services — 1.5% | ||||||
Alltel Corp. | 99,200 | 5,999,616 | ||||
Sprint Nextel Corp. | 763,522 | 14,422,931 | ||||
Verizon Communications, Inc. | 748,538 | 27,875,555 | ||||
48,298,102 | ||||||
TOTAL LONG-TERM INVESTMENTS | 3,247,003,171 | |||||
SHORT-TERM INVESTMENTS — 11.5% | ||||||
Affiliated Money Market Mutual Fund — 11.4% | ||||||
Dryden Core Investment Fund —Taxable Money Market Series (includes $324,986,258 of cash collateral received for securities on loan)(Note 4)(c)(f) | 377,537,575 | 377,537,575 | ||||
Principal (000) | ||||||
U. S. Government Obligation — 0.1% | ||||||
United States Treasury Bills(d)(e) 4.8%, 03/15/07 (cost $3,961,026) | $ | 4,000 | 3,961,856 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
B72
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
Value (Note 2) | ||||||
TOTAL SHORT-TERM INVESTMENTS (cost $381,498,601) | $ | 381,499,431 | ||||
TOTAL INVESTMENTS — 109.7% (cost $2,227,850,105) | 3,628,502,602 | |||||
LIABILITIES IN EXCESS OF | (322,093,626 | ) | ||||
NET ASSETS — 100.0% | $ | 3,306,408,976 | ||||
(a) | Non income-producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $312,744,658; cash collateral of $324,986,258 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(c) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan. |
(d) | Security segregated as collateral for futures contracts. |
(e) | Rate quoted represents yield-to-maturity at purchase date. |
(f) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series. |
(g) | Liabilities in excess of other assets include net unrealized appreciation on futures contracts as follows: |
Open futures contract outstanding at December 31, 2006:
Number of Contracts | Type | Expiration Date | Value at December 31, 2006 | Value at Trade Date | Unrealized Appreciation | ||||||||
Long Position: | |||||||||||||
167 | S&P 500 Index | Mar. 2007 | $ | 59,635,700 | $ | 59,530,462 | $ | 105,238 |
SEE NOTES TO FINANCIAL STATEMENTS.
B73
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2006 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:
Affiliated Money Market Mutual Fund (including 9.8% of collateral received for securities on loan) | 11.4 | % | |
Oil, Gas & Consumable Fuels | 8.0 | ||
Pharmaceuticals | 6.3 | ||
Diversified Financial Services | 5.7 | ||
Insurance | 4.5 | ||
Commercial Banks | 4.1 | ||
Industrial Conglomerates | 4.0 | ||
Capital Markets | 3.8 | ||
Computers & Peripherals | 3.7 | ||
Media | 3.6 | ||
Software | 3.3 | ||
Communications Equipment | 2.6 | ||
Healthcare Providers & Services | 2.5 | ||
Aerospace/Defense | 2.4 | ||
Semiconductors & Semiconductor Equipment | 2.3 | ||
Food & Staples Retailing | 2.2 | ||
Household Products | 2.2 | ||
Beverages | 2.1 | ||
Diversified Telecommunication Services | 2.0 | ||
Specialty Retail | 2.0 | ||
Electric Utilities | 1.8 | ||
Energy Equipment & Services | 1.7 | ||
Hotels, Restaurants & Leisure | 1.6 | ||
Tobacco | 1.6 | ||
Chemicals | 1.5 | ||
Healthcare Equipment & Supplies | 1.5 | ||
Thrifts & Mortgage Finance | 1.5 | ||
Wireless Telecommunication Services | 1.5 | ||
Machinery | 1.4 | ||
Biotechnology | 1.3 | ||
Internet Software & Services | 1.3 | ||
Multiline Retail | 1.2 | ||
IT Services | 1.1 |
Multi-Utilities | 1.1 | % | |
Consumer Finance | 1.0 | ||
Food Products | 1.0 | ||
Real Estate Investment Trust | 1.0 | ||
Air Freight & Logistics | 0.9 | ||
Metals & Mining | 0.9 | ||
Road & Rail | 0.7 | ||
Household Durables | 0.6 | ||
Commercial Services & Supplies | 0.5 | ||
Electrical Equipment | 0.5 | ||
Automobiles | 0.4 | ||
Independent Power Producers & Energy Traders | 0.4 | ||
Textiles, Apparel & Luxury Goods | 0.4 | ||
Electronic Equipment & Instruments | 0.3 | ||
Life Sciences, Tools & Services | 0.3 | ||
Paper & Forest Products | 0.3 | ||
Containers & Packaging | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Airlines | 0.1 | ||
Auto Components | 0.1 | ||
Building Products | 0.1 | ||
Construction & Engineering | 0.1 | ||
Construction Materials | 0.1 | ||
Distributors | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gas Utilities | 0.1 | ||
Internet & Catalog Retail | 0.1 | ||
Office Electronics | 0.1 | ||
Personal Products | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
U. S. Government Obligation | 0.1 | ||
Healthcare Technology | 0.0 | ||
Trading Companies & Distributors | 0.0 | ||
109.7 | |||
Liabilities in excess of other assets | (9.7 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
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NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1: | General |
The Prudential Series Fund, Inc. (“Series Fund”), was a Maryland corporation, organized on November 15, 1982, and continues to be a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. On January 2, 2006, each Portfolio of the Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of thirty-two Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to seven Portfolios: Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, and Stock Index Portfolio.
The Portfolios of the Series Fund presented herein have the following as investment objectives:
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio by investing in a mix of equity-related securities, debt obligations and money market instruments.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital by investing in intermediate and long-term debt obligations that are rated investment grade and high quality money market instruments. The types of debt obligations in which the Portfolio can invest include U.S. government securities, mortgage-related securities and corporate bonds.
Equity Portfolio: Capital appreciation by investing primarily in stocks of major, established corporations as well as small companies.
Flexible Managed Portfolio: High total return consistent with an aggressively managed diversified portfolio by investing in a mix of equity and equity-related securities, debt obligations and money market instruments.
Global Portfolio: Long-term growth of capital by investing primarily in equity and equity-related securities of foreign and U.S. companies.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital by investing primarily in intermediate and long-term U.S. government securities, including U.S. Treasuries and agencies and mortgage-related securities.
Stock Index Portfolio: Investment results that generally correspond to the price and yield performance of the S&P 500 Index by investing primarily in stocks in the S&P 500 Index.
The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country.
Note 2: | Accounting Policies |
The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.
Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the official closing price provided by NASDAQ. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadvisor, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange, or at the last bid price in the absence of an asked price. Futures contracts and
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options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment advisor regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values. As of December 31, 2006, Conservative Balanced and Global, held foreign securities whose value required adjustment in accordance with such procedures.
Investments in mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.
The Conservative Balanced and Flexible Managed Portfolios use amortized cost to value short-term securities. Short-term securities that are held in the other Portfolios which mature in more than 60 days are valued at current market quotations and those short-term securities which mature in 60 days or less are valued at amortized cost which approximates market value. The amortized cost method values a security at its cost at the time of purchase and there after assumes a constant amortization to maturity of any discount or premium.
The Diversified Bond Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Certain issues of restricted securities held by the portfolio at December 31, 2006 may include registration rights, under which the portfolios may demand registration by the issuer, of which the portfolios may bear the cost of such registration. Restricted securities, including private placements, are valued pursuant to the valuation procedures noted above.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may by delayed or limited.
Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities – at the current daily rates of exchange.
(ii) purchases and sales of investment securities, income and expenses – at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not 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 held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
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Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios of the Series Fund may enter into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and renegotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
Short Sales: Certain portfolios of the Series Fund may sell a security it does not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Options: The Series Fund may either purchase or write options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates or foreign currency exchange rates or currencies with respect to securities which the Series Fund currently owns or intends to purchase. The Series Fund’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Series Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Series Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Series Fund realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase in determining whether the Series Fund has realized a gain (loss). The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gains (losses) on purchased options are included in net realized gains (losses) on investment transactions. Gains (losses) on written options are presented separately as net realized gains (losses) on written option transactions.
The Series Fund, as writer of an option, may have no control over whether the contract may be exercised. As a result, the Series Fund bears the market risk of an unfavorable change in the price of the security underlying the written option. The Series Fund, as purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Series Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, are made or received by the Series Fund each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain
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(loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on financial futures contracts.
The Series Fund invests in financial futures contracts in order to hedge its existing portfolio securities, or securities the Series Fund intends to purchase, against fluctuations in value caused by changes in prevailing rates or market conditions. Under a variety of circumstances, the Series Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts and the underlying hedged assets.
Swap Agreements: The Portfolios may enter into interest rate swap agreements, forward swap spread lock agreements, credit default swap agreements and total return swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by the Portfolio with another party of their respective commitments to pay or receive interest. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap. The swap spread is the difference between the benchmark swap rate (market rate) and the specific Treasury rate. In a credit default swap agreement, one party (the protection buyer) makes a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging country, on its obligation. The maximum amount of the payment may equal the notional, at par, of the underlying index or security as a result of a default (or “credit event”). In addition to bearing the risk that the credit event will occur, the Portfolios could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities, or that the counterparty may default on it’s obligation to perform. Total return swap agreements are contracts in which one party agrees to make periodic payments based on the change in market value of the underlying assets, which may include a specified security, basket of securities or securities indices during the specified period, in return for periodic payments based on a fixed or variable interest rate or the total return from other underlying assets. Total return swap agreements may be used to obtain exposure to a security or market without owning or taking physical custody of such security or market. The swaps are valued daily at current market value and any change in value is included in net unrealized appreciation or depreciation on investments. Payments received or paid by the Portfolio are recorded as realized gains or losses. Risk of loss may exceed amounts recognized on the statements of assets and liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.
Securities Lending: The Series Fund may lend its portfolio securities to broker-dealers. The loans are secured by collateral at least equal at all times to the market value of the securities loaned. Loans are subject to termination at the option of the borrower or the Series Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. Should the borrower of the securities fail financially, the Series has the right to repurchase the securities using the collateral in the open market. The Series Fund recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Series Fund also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are
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recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.
For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios are the responsibility of their partners. The Portfolios are not subject to tax. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and regulations.
Dividends and Distributions: Dividends and distributions of each Portfolio are declared in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond Portfolio will declare and distribute dividends from net investment income, if any, quarterly and distributions from net capital gains, if any, at least annually. All other Portfolios will declare and distribute dividends from net investment income and distributions from net capital gains, if any, at least annually. Dividends and distributions are recorded on the ex-dividend date.
Dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
Note 3: | Agreements |
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), LSV Asset Management (“LSV”), Marsico Capital Management, LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), ClearBridge Advisors LLC (“ClearBridge”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Company, L.L.C. (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Series Fund bears all other costs and expenses.
The management fee paid to PI is computed daily and payable monthly, at the annual rates specified below, of the value of each of the Portfolio’s average daily net assets.
Portfolio | Management Fee | Effective Management Fee | |||
Conservative Balanced Portfolio | 0.55% | 0.55 | % | ||
Diversified Bond Portfolio | 0.40 | 0.40 | |||
Equity Portfolio | 0.45 | 0.45 | |||
Flexible Managed Portfolio | 0.60 | 0.60 | |||
Global Portfolio | 0.75 | 0.75 | |||
Government Income Portfolio | 0.40 | 0.40 | |||
Stock Index Portfolio | 0.35% up to $4 billion 0.30% over $4 billion | 0.35 |
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At December 31, 2006 the Subadvisors that provide investment advisory services to the Portfolios are as follows. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:
Portfolio | Subadvisor(s) | |
Conservative Balanced Portfolio | PIM, QMA | |
Diversified Bond Portfolio | PIM | |
Equity Portfolio | Jennison, ClearBridge (Formerly Salomon) | |
Flexible Managed Portfolio | PIM, QMA | |
Global Portfolio | LSV, Marsico, T. Rowe & William Blair | |
Government Income Portfolio | PIM | |
Stock Index Portfolio | QMA |
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PI has agreed to reimburse each Portfolio (other than Global Portfolio) the portion of the management fee for that Portfolio equal to the amount that the aggregate annual ordinary operating expenses (excluding interest, taxes, and brokerage commissions) exceeded the percentage stated below, of the Portfolio’s average daily net assets.
Portfolio | Class I Expense Limit | Class II Expense Limit | ||||
Conservative Balanced Portfolio | 0.75 | % | N/A | |||
Diversified Bond Portfolio | 0.75 | N/A | ||||
Equity Portfolio | 0.75 | 1.15 | % | |||
Flexible Managed Portfolio | 0.75 | N/A | ||||
Government Income Portfolio | 0.75 | N/A | ||||
Stock Index Portfolio | 0.75 | N/A |
N/A – Not applicable – There are no Class II shares outstanding for this portfolio.
PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PIM is the Series Fund’s security lending agent. For the year ended December 31, 2006, PIM was compensated as follows for these services by the Series Fund Portfolios:
Portfolio | PIM | ||
Conservative Balanced Portfolio | $ | 111,599 | |
Diversified Bond Portfolio | 84,483 | ||
Equity Portfolio | 480,394 | ||
Flexible Managed Portfolio | 165,775 | ||
Global Portfolio | 95,240 | ||
Government Income Portfolio | 14,817 | ||
Stock Index Portfolio | 154,048 |
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For the year ended December 31, 2006, Prudential Equity Group, LLC, an indirect, wholly-owned subsidiary of Prudential, and Wachovia Securities, LLC, an affiliate of PI, earned brokerage commissions from transactions executed on behalf of the Series Fund Portfolios as follows:
Portfolio | Prudential Equity Group | Wachovia | ||||
Equity Portfolio | $ | 77,388 | $ | 48,044 |
Certain Portfolios invest in the Taxable Money Market Series and Short-Term Bond Series (the “Portfolios”), portfolios of Dryden Core Investment Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Portfolios are a money market mutual fund and a short term bond fund, respectively, registered under the Investment Company Act of 1940, as amended, and managed by PI.
Note 5: | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2006 were as follows:
Cost of Purchases:
Portfolio | |||
Conservative Balanced Portfolio | $ | 581,674,096 | |
Diversified Bond Portfolio | 820,395,985 | ||
Equity Portfolio | 2,525,011,169 | ||
Flexible Managed Portfolio | 2,372,555,167 | ||
Global Portfolio | 415,180,971 | ||
Government Income Portfolio | 1,800,381,464 | ||
Stock Index Portfolio | 109,010,698 |
Proceeds from Sales:
Portfolio | |||
Conservative Balanced Portfolio | $ | 787,873,804 | |
Diversified Bond Portfolio | 746,009,763 | ||
Equity Portfolio | 2,817,139,158 | ||
Flexible Managed Portfolio | 2,620,007,714 | ||
Global Portfolio | 427,602,371 | ||
Government Income Portfolio | 1,821,928,491 | ||
Stock Index Portfolio | 413,875,700 |
The Conservative Balanced, Diversified Bond, Flexible Managed and Government Income Portfolios’ written options activity for the year ended December 31, 2006 were as follows:
Conservative Balanced Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2005 | 62 | $ | 32,695 | ||||
Options written | — | — | |||||
Options terminated in closing purchase transactions | — | — | |||||
Options expired | (62 | ) | (32,695 | ) | |||
Balance as of December 31, 2006 | — | $ | — | ||||
Diversified Bond Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2005 | 129 | $ | 68,013 | ||||
Options written | — | — | |||||
Options terminated in closing purchase transactions | — | — | |||||
Options expired | (129 | ) | (68,013 | ) | |||
Balance as of December 31, 2006 | — | $ | — | ||||
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Flexible Managed Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2005 | 49 | $ | 25,846 | ||||
Options written | — | — | |||||
Options terminated in closing purchase transactions | — | — | |||||
Options expired | (49 | ) | (25,846 | ) | |||
Balance as of December 31, 2006 | — | $ | — | ||||
Government Income Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2005 | 43 | $ | 22,688 | ||||
Options written | — | — | |||||
Options terminated in closing purchase transactions | — | — | |||||
Options expired | (43 | ) | (22,688 | ) | |||
Balance as of December 31, 2006 | — | $ | — | ||||
Note 6: | Tax Information |
As of January 2, 2006 all portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid by the partnership are generally classified as return of capital non taxable distributions. Later in 2007 each partner will receive information regarding their distributive allocable share of the partnerships’s income, gains, losses and deductions.
Prior to January 2, 2006 each Portfolio qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders. Accordingly, no provision for federal income or excise tax has been made.
Income and capital gains of the Portfolios were determined in accordance with both tax regulations and accounting principles generally accepted in the United States of America. Prior to being structured as partnerships for tax purposes such determinations may have resulted in temporary and permanent differences between tax basis earnings and earnings reported for financial statement purposes.
The tax character of distributions paid during the year ended December 31, 2005 were as follows:
Portfolio | Ordinary Income | Long-Term Capital Gains | Total Distributions | ||||||
Conservative Balanced Portfolio | $ | 75,600,623 | $ | 18,446,572 | $ | 94,047,195 | |||
Diversified Bond Portfolio | 66,587,402 | 6,446,465 | 73,033,867 | ||||||
Equity Portfolio | 39,998,556 | — | 39,998,556 | ||||||
Flexible Managed Portfolio | 68,680,004 | — | 68,680,004 | ||||||
Global Portfolio | 4,467,100 | — | 4,467,100 | ||||||
Government Income Portfolio | 18,278,784 | — | 18,278,784 | ||||||
Stock Index Portfolio | 51,121,948 | 77,233,580 | 128,355,528 |
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. See Note 10 below regarding “Change in Federal Income Tax Status and Related Reorganization.”
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2006, the Equity Portfolio had Class II shares outstanding.
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Transactions in shares of beneficial interest of the Equity Portfolio were as follows:
Equity Portfolio: | |||||||
Class I | Shares | Amount | |||||
Year ended December 31, 2006: | |||||||
Series shares sold | 2,168,346 | $ | 55,202,137 | ||||
Series shares issued in reinvestment of dividends and distributions | 1,669,920 | 46,000,931 | |||||
Series shares repurchased | (17,323,133 | ) | (442,264,123 | ) | |||
Net increase (decrease) in shares outstanding | (13,484,867 | ) | $ | (341,061,055 | ) | ||
Year ended December 31, 2005: | |||||||
Series shares sold | 2,989,262 | $ | 68,173,944 | ||||
Series shares issued in reinvestment of dividends and distributions | 1,608,530 | 39,989,141 | |||||
Series shares issued in connection with the merger | 1,320,590 | 28,041,417 | |||||
Series shares repurchased | (17,406,826 | ) | (396,297,859 | ) | |||
Net increase (decrease) in shares outstanding | (11,488,444 | ) | $ | (260,093,357 | ) | ||
Class II | Shares | Amount | |||||
Year ended December 31, 2006: | |||||||
Series shares sold | 50,883 | $ | 1,337,701 | ||||
Series shares issued in reinvestment of dividends and distributions | 409 | 11,345 | |||||
Series shares repurchased | (65,345 | ) | (1,667,596 | ) | |||
Net increase (decrease) in shares outstanding | (14,053 | ) | $ | (318,550 | ) | ||
Year ended December 31, 2005: | |||||||
Series shares sold | 48,657 | $ | 1,144,258 | ||||
Series shares issued in reinvestment of dividends and distributions | 377 | 9,415 | |||||
Series shares repurchased | (16,483 | ) | (383,800 | ) | |||
Net increase (decrease) in shares outstanding | 32,551 | $ | 769,873 | ||||
Note 8: | Borrowings |
The Series Fund (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with two banks. The SCA provides for a commitment of $500 million. Interest on any borrowings under the SCA is incurred at contracted market rates and a commitment fee for the unused amount is accrued daily and paid quarterly. Effective October 27, 2006, the Funds renewed SCA with the banks. The commitment under the renewed SCA continues to be $500 million. The Series Fund pays a commitment fee of .07 of 1% of the unused portion of the renewed SCA. The expiration date of the renewed SCA will be October 26, 2007. For the period from October 29, 2005 through October 26, 2006, the Funds paid a commitment fee of .0725 of 1% of the unused portion of the agreement. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The Portfolios presented herein did not utilize the line of credit during the year ended December 31, 2006.
Note 9: | Ownership and Affiliates |
As of December 31, 2006, all of Class I shares of each Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
Note 10: | Change in Federal Income Tax Status and Related Reorganization |
On January 2, 2006, each portfolio of the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership as a result of that conversion. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” Subsequent to January 2, 2006, each Portfolio’s income, gains, losses and credits will be allocated directly to its partners and will retain the same character for federal income tax purposes. Furthermore, subsequent to January 2, 2006 each Portfolio will not
C9
be able to realize any future benefit from any unused capital loss carryforward and other losses (if any) deferred from each Portfolio.
The investment objectives, policies, restrictions, net asset values per share, service providers, fiscal years, and investment portfolios of the Portfolios have not changed. In addition, the Series Fund obtained opinions of counsel that the change in the tax status and the related reorganization had no adverse federal income tax consequences for the Portfolios or contract owners.
Note 11: | New Accounting Pronouncements |
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Portfolios’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006 the Securities and Exchange Commission delayed the effective date until June 30, 2007. At this time, management is evaluating the implications of FIN 48 and its impact, if any, in the financial statements has not yet been determined.
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (FAS 157). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact, if any, in the financial statements has not yet been determined.
C10
Financial Highlights
Conservative Balanced Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 15.09 | $ | 15.10 | $ | 14.34 | $ | 12.43 | $ | 13.69 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .48 | .38 | .34 | .28 | .34 | |||||||||||||||
Net realized and unrealized gains (losses) on investments | 1.06 | .11 | .78 | 1.99 | (1.57 | ) | ||||||||||||||
Total from investment operations | 1.54 | .49 | 1.12 | 2.27 | (1.23 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.35 | ) | (.28 | ) | (.36 | ) | — | ||||||||||||
Distributions from net realized gains | — | (.15 | ) | (.08 | ) | — | (.03 | ) | ||||||||||||
Distributions | (.42 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.42 | ) | (.50 | ) | (.36 | ) | (.36 | ) | (.03 | ) | ||||||||||
Net Asset Value, end of year | $ | 16.21 | $ | 15.09 | $ | 15.10 | $ | 14.34 | $ | 12.43 | ||||||||||
Total Investment Return(a) | 10.44 | % | 3.43 | % | 8.04 | % | 18.77 | % | (8.98 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2,770.6 | $ | 2,749.8 | $ | 2,893.6 | $ | 2,895.0 | $ | 2,660.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .57 | % | .58 | % | .59 | % | .58 | % | .58 | % | ||||||||||
Net investment income | 2.97 | % | 2.45 | % | 2.27 | % | 2.02 | % | 2.49 | % | ||||||||||
Portfolio turnover rate | 114 | % | 110 | % | 153 | % | 248 | % | 260 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
Diversified Bond Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 10.96 | $ | 11.28 | $ | 11.17 | $ | 10.82 | $ | 11.36 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .57 | .55 | .52 | .45 | .57 | |||||||||||||||
Net realized and unrealized gains (losses) on investments | (.05 | ) | (.20 | ) | .09 | .35 | .17 | |||||||||||||
Total from investment operations | .52 | .35 | .61 | .80 | .74 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.59 | ) | (.50 | ) | (.45 | ) | (1.27 | ) | |||||||||||
Distributions from net realized gains | — | (.08 | ) | — | — | — | ||||||||||||||
Distributions | (.63 | ) | — | — | — | — | ||||||||||||||
Tax return of capital distributions | — | — | — | — | (.01 | ) | ||||||||||||||
Total dividends and distributions | (.63 | ) | (.67 | ) | (.50 | ) | (.45 | ) | (1.28 | ) | ||||||||||
Net Asset Value, end of year | $ | 10.85 | $ | 10.96 | $ | 11.28 | $ | 11.17 | $ | 10.82 | ||||||||||
Total Investment Return(a) | 4.98 | % | 3.28 | % | 5.59 | % | 7.49 | % | 7.07 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,150.4 | $ | 1,230.6 | $ | 1,283.7 | $ | 1,418.0 | $ | 1,370.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .45 | % | .45 | % | .45 | % | .44 | % | .44 | % | ||||||||||
Net investment income | 5.18 | % | 4.81 | % | 4.57 | % | 4.02 | % | 5.25 | % | ||||||||||
Portfolio turnover rate | 393 | % | 278 | % | 382 | % | 706 | % | 595 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
SEE NOTES TO FINANCIAL STATEMENTS.
D1
Financial Highlights
Equity Portfolio Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 24.64 | $ | 22.31 | $ | 20.55 | $ | 15.75 | $ | 20.49 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .30 | .24 | .28 | .17 | .17 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.80 | 2.32 | 1.75 | 4.81 | (4.75 | ) | ||||||||||||||
Total from investment operations | 3.10 | 2.56 | 2.03 | 4.98 | (4.58 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.23 | ) | (.27 | ) | (.18 | ) | (.16 | ) | |||||||||||
Distributions | (.29 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.29 | ) | (.23 | ) | (.27 | ) | (.18 | ) | (.16 | ) | ||||||||||
Net Asset Value, end of year | $ | 27.45 | $ | 24.64 | $ | 22.31 | $ | 20.55 | $ | 15.75 | ||||||||||
Total Investment Return(a) | 12.57 | % | 11.47 | % | 9.93 | % | 31.65 | % | (22.34 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 4,402.7 | $ | 4,283.9 | $ | 4,135.7 | $ | 4,012.3 | $ | 3,273.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .47 | % | .47 | % | .48 | % | .49 | % | .48 | % | ||||||||||
Net investment income | 1.10 | % | 1.01 | % | 1.29 | % | .96 | % | .88 | % | ||||||||||
Portfolio turnover rate | 60 | % | 77 | % | 50 | % | 54 | % | 54 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
Equity Portfolio Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 24.69 | $ | 22.34 | $ | 20.58 | $ | 15.76 | $ | 20.49 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .19 | .12 | .20 | .08 | .09 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.80 | 2.35 | 1.74 | 4.83 | (4.72 | ) | ||||||||||||||
Total from investment operations | 2.99 | 2.47 | 1.94 | 4.91 | (4.63 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.12 | ) | (.18 | ) | (.09 | ) | (.10 | ) | |||||||||||
Distributions | (.16 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.16 | ) | (.12 | ) | (.18 | ) | (.09 | ) | (.10 | ) | ||||||||||
Net Asset Value, end of year | $ | 27.52 | $ | 24.69 | $ | 22.34 | $ | 20.58 | $ | 15.76 | ||||||||||
Total Investment Return(a) | 12.13 | % | 11.04 | % | 9.51 | % | 31.11 | % | (22.62 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1.9 | $ | 2.1 | $ | 1.1 | $ | 0.8 | $ | 0.4 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .87 | % | .87 | % | .88 | % | .89 | % | .88 | % | ||||||||||
Net investment income | .71 | % | .64 | % | .91 | % | .54 | % | .46 | % | ||||||||||
Portfolio turnover rate | 60 | % | 77 | % | 50 | % | 54 | % | 54 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
SEE NOTES TO FINANCIAL STATEMENTS.
D2
Financial Highlights
Flexible Managed Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 16.92 | $ | 16.58 | $ | 15.19 | $ | 12.55 | $ | 14.79 | ||||||||||
Income (loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .44 | .32 | .29 | .22 | .27 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.59 | .34 | 1.32 | 2.70 | (2.10 | ) | ||||||||||||||
Total from investment operations | 2.03 | .66 | 1.61 | 2.92 | (1.83 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.32 | ) | (.22 | ) | (.28 | ) | (.41 | ) | |||||||||||
Distributions | (.59 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.59 | ) | (.32 | ) | (.22 | ) | (.28 | ) | (.41 | ) | ||||||||||
Net Asset Value, end of year | $ | 18.36 | $ | 16.92 | $ | 16.58 | $ | 15.19 | $ | 12.55 | ||||||||||
Total Investment Return(a) | 12.17 | % | 4.16 | % | 10.74 | % | 23.76 | % | (12.74 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000,000) | $ | 3,723.6 | $ | 3,543.9 | $ | 3,883.5 | $ | 3,693.6 | $ | 3,181.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .62 | % | .63 | % | .62 | % | .62 | % | .63 | % | ||||||||||
Net investment income | 2.48 | % | 1.95 | % | 1.83 | % | 1.55 | % | 1.92 | % | ||||||||||
Portfolio turnover rate | 153 | % | 126 | % | 150 | % | 204 | % | 238 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
(b) | Calculated based upon average shares outstanding during the year. |
Global Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 18.96 | $ | 16.43 | $ | 15.14 | $ | 11.35 | $ | 15.29 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .26 | .13 | .11 | .10 | .07 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.44 | 2.50 | 1.33 | 3.74 | (3.87 | ) | ||||||||||||||
Total from investment operations | 3.70 | 2.63 | 1.44 | 3.84 | (3.80 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.10 | ) | (.15 | ) | (.05 | ) | (.14 | ) | |||||||||||
Distributions | (.13 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.13 | ) | (.10 | ) | (.15 | ) | (.05 | ) | (.14 | ) | ||||||||||
Net Asset Value, end of year | $ | 22.53 | $ | 18.96 | $ | 16.43 | $ | 15.14 | $ | 11.35 | ||||||||||
Total Investment Return(a) | 19.65 | % | 16.06 | % | 9.59 | % | 34.07 | % | (25.14 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 932.9 | $ | 814.1 | $ | 691.1 | $ | 665.6 | $ | 514.9 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .84 | % | .82 | % | .84 | % | .87 | % | .82 | % | ||||||||||
Net investment income | 1.24 | % | .77 | % | .67 | % | .78 | % | .47 | % | ||||||||||
Portfolio turnover rate | 50 | % | 155 | % | 128 | % | 88 | % | 75 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
SEE NOTES TO FINANCIAL STATEMENTS.
D3
Financial Highlights
Government Income Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.40 | $ | 11.65 | $ | 11.92 | $ | 12.50 | $ | 12.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .54 | .49 | .49 | .46 | .38 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.13 | ) | (.20 | ) | (.13 | ) | (.15 | ) | 1.00 | |||||||||||
Total from investment operations | .41 | .29 | .36 | .31 | 1.38 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.54 | ) | (.44 | ) | (.46 | ) | (1.06 | ) | |||||||||||
Distributions from net realized gains | — | — | (.19 | ) | (.43 | ) | (.08 | ) | ||||||||||||
Distributions | (.55 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.55 | ) | (.54 | ) | (.63 | ) | (.89 | ) | (1.14 | ) | ||||||||||
Net Asset Value, end of year | $ | 11.26 | $ | 11.40 | $ | 11.65 | $ | 11.92 | $ | 12.50 | ||||||||||
Total Investment Return(a) | 3.74 | % | 2.51 | % | 3.12 | % | 2.46 | % | 12.05 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 354.3 | $ | 378.2 | $ | 420.2 | $ | 461.5 | $ | 484.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .50 | % | .47 | % | .47 | % | .46 | % | .44 | % | ||||||||||
Net investment income | 4.75 | % | 4.16 | % | 4.07 | % | 3.76 | % | 4.29 | % | ||||||||||
Portfolio turnover rate | 734 | % | 507 | % | 617 | % | 695 | % | 508 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and /or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
Stock Index Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 31.41 | $ | 31.29 | $ | 29.29 | $ | 24.09 | $ | 31.64 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .56 | .48 | .50 | .36 | .37 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.31 | .88 | 2.50 | 6.14 | (7.34 | ) | ||||||||||||||
Total from investment operations | 4.87 | 1.36 | 3.00 | 6.50 | (6.97 | ) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (.47 | ) | (.49 | ) | (.37 | ) | (.36 | ) | |||||||||||
Distributions from net realized gains | — | (.77 | ) | (.51 | ) | (.93 | ) | (.22 | ) | |||||||||||
Distributions | (.64 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (.64 | ) | (1.24 | ) | (1.00 | ) | (1.30 | ) | (.58 | ) | ||||||||||
Net Asset Value, end of year | $ | 35.64 | $ | 31.41 | $ | 31.29 | $ | 29.29 | $ | 24.09 | ||||||||||
Total Investment Return(a) | 15.54 | % | 4.54 | % | 10.45 | % | 28.18 | % | (22.19 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,306.4 | $ | 3,212.7 | $ | 3,094.7 | $ | 2,940.9 | $ | 2,352.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | .37 | % | .38 | % | .38 | % | .37 | % | .37 | % | ||||||||||
Net investment income | 1.61 | % | 1.52 | % | 1.64 | % | 1.42 | % | 1.25 | % | ||||||||||
Portfolio turnover rate | 3 | % | 7 | % | 3 | % | 2 | % | 4 | % |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. |
SEE NOTES TO FINANCIAL STATEMENTS.
D4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS OF THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio (each a portfolio of The Prudential Series Fund, hereafter referred to as the “Funds”), including the portfolios of investments, as of December 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years presented prior to the year ended December 31, 2004, were audited by another independent registered public accounting firm whose report dated February 13, 2004, expressed an unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio as of December 31, 2006, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 19, 2007
MANAGEMENT OF THE FUND
(Unaudited)
Information pertaining to the Trustees of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund as defined in the Investment Company Act are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” “Fund Complex” consists of the Fund and any other investment companies managed by PI.
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Number of Portfolios In Fund Complex Overseen by Trustee | Other Directorships Held by the Trustee**** | |||
Saul K. Fenster, Ph.D. (73) | Trustee, Since 1983 | 77 | Member (since 2006), Board of The Ridgefield Foundation and The Leir Foundation. | |||
Principal Occupations During Past 5 Years – Currently President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering. | ||||||
Delayne Dedrick Gold (68) | Trustee, Since 2001 | 76 | — | |||
Principal Occupations During Past 5 Years – Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | ||||||
W. Scott McDonald, Jr. (69) | Vice Chairman and Trustee, Since 1983 | 77 | — | |||
Principal Occupations During Past 5 Years – Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); Formerly principal (1995-1997), Scott McDonald & Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd. | ||||||
Thomas T. Mooney (65) | Chairman and Trustee, Since 2001 | 76 | — | |||
Principal Occupations During Past 5 Years – Chief Executive Officer, Excell Partners, Inc.; formerly President of the Greater Rochester Metro Chamber of Commerce, Rochester City Manager; formerly Deputy Monroe County Executive. | ||||||
Thomas M. O’Brien (56) | Trustee, Since 2003 | 76 | Formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; Formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | |||
Principal Occupations During Past 5 Years – President and COO (since November 2006) of State Bancorp, Inc. and State Bank; Vice Chairman (January 1997-April 2000) of North Fork Bank; President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | ||||||
John A. Pileski (67) | Trustee, Since 2003 | 76 | Director (since April 2001) of New York Community Bank. Director (since May 1980) of Surf Club of Quogue, Inc. | |||
Principal Occupations During Past 5 Years – Retired since June 2000; Tax Partner (July 1974-June 2000) of KPMG, LLP. | ||||||
F. Don Schwartz (71) | Trustee, Since 2003 | 76 | — | |||
Principal Occupations During Past 5 Years – Management Consultant (since April 1985). |
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Interested Trustees | ||||||
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Number of Portfolios In Fund Complex Overseen by Trustee | Other Directorships Held by the Trustee**** | |||
*David R. Odenath (49) | President and Trustee Since 1999 | 76 | — | |||
Principal Occupations During Past 5 Years – President of Prudential Annuities (since August 2002); Senior Vice President (since June 1999) of Prudential; Executive Vice President (since May 2003) of Prudential Investment Management Services LLC; President, Chief Executive Officer, Chief Operating Officer, Officer in Charge and Director (since June 2005) of American Skandia Investment Services, Inc; Formerly President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (September 1999-February 2003) of Prudential Investments LLC. | ||||||
*Robert F. Gunia (60) | Vice President and Trustee since 2001 | 154 | Vice President and Director (since May 1989) and Treasurer (since 1999) of The Asia Pacific Fund, Inc.; | |||
Principal Occupations During Past 5 Years – Chief Administrative Officer (since September 1999) and Executive Vice President (since December 1996) of Prudential Investments LLC; President (since April 1999) of Prudential Investment Management Services LLC; Executive Vice President (since March 1999) and Treasurer (since May 2000) of Prudential Mutual Fund Services LLC; Chief Administrative Officer, Executive Vice President and Director (since May 2003) of American Skandia Investment Services, Inc. |
Officers | ||||
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Principal Occupations During Past 5 Years | ||
Grace C. Torres (47) | Treasurer and Principal Financial and Accounting Officer Since 1997 | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of American Skandia Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of American Skandia Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of American Skandia Investment Services, Inc. | ||
Kathryn L. Quirk (54) | Chief Legal Officer Since 2005 | Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of Prudential Investments LLC and Prudential Mutual Fund Services LLC; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. | ||
Deborah A. Docs (49) | Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of American Skandia Investment Services, Inc. | ||
Jonathan D. Shain (48) | Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential Insurance; Vice President and Assistant Secretary (since May 2003) of American Skandia Investment Services, Inc. and American Skandia Fund Services, Inc.; formerly Attorney with Fleet Bank, N.A. (January 1997-July 1998). | ||
Claudia DiGiacomo (32) | Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | ||
John P. Schwartz (35) | Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1997-2005). | ||
Lee D. Augsburger (47) | Chief Compliance Officer Since 2004 | Senior Vice President and Chief Compliance Officer (since April 2003) of PI; Vice President (since November 2000) and Chief Compliance Officer (since October 2000) of Prudential Investment Management, Inc.; Chief Compliance Officer and Senior Vice President (since May 2003) of American Skandia Investment Services, Inc. | ||
Valerie M. Simpson (48) | Deputy Chief Compliance Officer | Vice President and Senior Compliance Officer (since March 2006) of PI; Vice President – Financial Reporting (since March 2006) for Prudential Life and Annuities Finance. |
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Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Principal Occupations During Past 5 Years | ||
M. Sadiq Peshimam (43) | Assistant Treasurer Since 2006 | Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration. | ||
Jack Benintende (42) | Assistant Treasurer Since 2006 | Vice President (since June 2000) within Prudential Mutual Fund Administration; formerly Senior Manager within the investment management practice of PricewaterhouseCoopers LLP (May 1994-June 2000). | ||
Alan Fu (50) | Assistant Treasurer Since 2006 | Vice President – Tax, The Prudential Insurance Company of America (1999-October 2003); Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). | ||
Andrew French (44) | Assistant Secretary Since 2006 | Director and Corporate Counsel (since May 2006) of Prudential; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). | ||
Noreen M. Fierro (42) | Anti-Money Laundering Compliance Officer Since 2006 | Vice President, Corporate Compliance Officer (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group. |
* “Interested” Trustee, as defined in the Investment Company Act, by reason of employment with the Manager (as defined below), and/or the Distributor (as defined below).
** Unless otherwise noted, the address of the Trustees and Officers is c/o: Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
*** There is no set term of office for Trustees and Officers.
**** This column includes only directorships of companies required to register, or file reports with the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Investment Company Act.
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The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. The phone lines are open each business day during the hours shown. Please be sure to have your contract number available when you call.
In the past, participants who held several variable contracts at the same address received multiple copies of annual and semiannual reports. In an effort to lessen waste and reduce expenses of postage and printing, we will attempt to mail only one copy of this report, based on our current records for participants with the same last name and same address. No action on your part is necessary. Upon request, we will furnish you with additional reports. The toll-free number listed on the inside back cover should be used to request additional copies. Proxy material and tax information will continue to be sent for each account of record.
The Prudential Insurance Company of America
751 Broad Street
Newark NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
IFS-A114833 MD.RS.011 Ed. 02/2007
Item 2 – | Code of Ethics – – See Exhibit (a) |
As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3 – | Audit Committee Financial Expert – |
The registrant’s Board has determined that Mr. David E. A. Carson, member of the Board's Audit Committee is an "audit committee financial expert," and that he is "independent," for purposes of this Item.
Item 4 – | Principal Accountant Fees and Services – |
(a) Audit Fees
For the fiscal years ended December 31, 2006 and December 31, 2005, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $13,400 and $13,400, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
(b) Audit-Related Fees
None.
(c) Tax Fees
None.
(d) All Other Fees
None.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PRUDENTIAL MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent Accountants
The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
• | a review of the nature of the professional services expected to be provided, |
• | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
• | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
• | Annual Fund financial statement audits |
• | Seed audits (related to new product filings, as required) |
• | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
• | Accounting consultations |
• | Fund merger support services |
• | Agreed Upon Procedure Reports |
• | Attestation Reports |
• | Other Internal Control Reports |
Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
• | Tax compliance services related to the filing or amendment of the following: |
• | Federal, state and local income tax compliance; and, |
• | Sales and use tax compliance |
• | Timely RIC qualification reviews |
• | Tax distribution analysis and planning |
• | Tax authority examination services |
• | Tax appeals support services |
• | Accounting methods studies |
• | Fund merger support services |
• | Tax consulting services and related projects |
Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Other Non-audit Services
Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Proscribed Services
The Fund’s independent accountants will not render services in the following categories of non-audit services:
• | Bookkeeping or other services related to the accounting records or financial statements of the Fund |
• | Financial information systems design and implementation |
• | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
• | Actuarial services |
• | Internal audit outsourcing services |
• | Management functions or human resources |
• | Broker or dealer, investment adviser, or investment banking services |
• | Legal services and expert services unrelated to the audit |
• | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex
Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.
(e) (2) Percentage of services referred to in 4(b)- (4)(d) that were approved by the audit committee –
Not applicable.
(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.
Not applicable.
(g) Non-Audit Fees
Not applicable to Registrant for the fiscal years 2006 and 2005. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2006 and 2005 was $317,300 and $51,000, respectively.
(h) Principal Accountant’s Independence
Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
Item 5 – | Audit Committee of Listed Registrants – Not applicable. |
Item 6 – | Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable. |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not applicable. |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable. |
Item 10 – | Submission of Matters to a Vote of Security Holders – Not applicable. |
Item 11 – | Controls and Procedures |
(a) | It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There has been no significant change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant's internal control over financial reporting. |
Item 12 – | Exhibits |
(a)(1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | The Prudential Variable Account Contract-11 |
By (Signature and Title)* | /s/ Deborah A. Docs | |
Deborah A. Docs | ||
Secretary |
Date | February 23, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Judy A. Rice | |
Judy A. Rice | ||
President and Principal Executive Officer |
Date | February 23, 2007 |
By (Signature and Title)* | /s/ Grace C. Torres | |
Grace C. Torres | ||
Treasurer and Principal Financial Officer |
Date | February 23, 2007 |
* | Print the name and title of each signing officer under his or her signature. |