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 |
The Prudential Variable Contract Account—11
(Exact name of registrant as specified in charter) |
Gateway Center 3, 100 Mulberry Street, Newark, New Jersey | 07102 | |
(Address of principal executive offices) | (Zip code) |
Deborah A. Docs
Gateway Center 3,
100 Mulberry Street,
Newark, New Jersey 07102
(Name and address of agent for service) |
Registrant’s telephone number, including area code: 973-367-7521
Date of fiscal year end: 12/31/2007
Date of reporting period: 12/31/2007
Item 1 – Reports to Stockholders
Prudential MEDLEY Program
Annual Report to Participants
December 31, 2007
Please note that inside is a Prospectus Supplement dated November 27, 2007. This is separate from and not a part of the annual report.
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.
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) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products. Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.
All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.
Pru, Prudential, Prudential Financial, Rock Solid, “The Rock”, the Rock Logo and the Rock Prudential Logo are registered service marks of The Prudential Insurance Company of America, Newark, NJ, and its affiliates.
This report includes the financial statements of VCA-10, VCA-11, 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, 2007, please call the telephone number on the inside back cover of this report. They will be available commencing April 30, 2008.
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 Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (888) 778-2888 to obtain a description of the Account’s 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 Account’s 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 Account’s website.
The Funds Statement of Additional Information contains additional information about the Account’s Trustees and is available without charge upon request by calling (888) 778-2888.
Each Account 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.
The Prudential MEDLEY Program
Glossary of Benchmark Definitions
December 31, 2007
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.
General U.S. Government Funds Average | Intermediate Investment Grade Debt Funds Average | |
Global Growth Funds Average | Large-Cap Core Funds Average | |
Mixed Asset Target Allocation Growth Funds Average | ||
S&P 500 Index Objective Funds Average |
Morgan Stanley Capital International (MSCI) World Index (GD) — 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 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 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.
S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market.
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. These returns are net of investment fees and fund expenses, but not product charges.
The Prudential MEDLEY Program
Table of Contents
December 31, 2007
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
The Prudential MEDLEY Program
Letter to Participants
December 31, 2007
n | DEAR PARTICIPANTS: |
At Prudential, it is our goal to help our clients achieve and maintain financial success. We hope you find the Prudential MEDLEY Program annual report both informative and useful.
We would also like to remind you about the benefits of diversifying your investment portfolio. In today’s volatile markets, diversification is key to protecting your investments. It helps position your investments when asset classes rotate in and out of favor, and is the best way to balance risk and return. In addition, diversification can help you meet your long-term investment goals although it does not assure against loss in declining markets.
Take the first step and contact your financial professional for help in creating a diversified investment portfolio. A comprehensive mix of assets that is evaluated periodically over time can help you maintain focus on your financial objectives.
Thank you for selecting our products. We value the opportunity to manage your investments as you plan for the future.
Sincerely,
David R. Odenath, Jr. President, The Prudential Series Fund | Judy A. Rice, President, Variable Contract Accounts 10 & 11 |
January 31, 2008
Prudential Variable Contract Account-10 (VCA-10) & Variable Contract
Account-24 (VCA-24)
Presentation of Portfolio Holdings — unaudited
December 31, 2007
Conservative Balanced | ||
Five Largest Holdings/Issues | (% of Net Assets) | |
Federal National Mortgage Association, | 2.0% | |
Exxon Mobil Corp. | 1.7% | |
Federal National Mortgage Association, | 1.4% | |
Federal Home Loan Mortgage Corp., | 1.3% | |
General Electric Co. | 1.3% |
Diversified Bond | ||
Five Largest Issues | (% of Net Assets) | |
Federal National Mortgage Association, | 5.9% | |
Federal Home Loan Mortgage Corp., | 3.9% | |
Federal National Mortgage Association, | 2.8% | |
Federal National Mortgage Association, | 2.7% | |
Federal Home Loan Mortgage Corp., | 2.0% |
Equity | ||
Five Largest Holdings | (% of Net Assets) | |
Microsoft Corp. | 2.61% | |
General Electric Co. | 2.24% | |
Cisco Systems, Inc. | 1.87% | |
QUALCOMM, Inc. | 1.81% | |
American International Group, Inc. | 1.69% |
Flexible Managed | ||
Five Largest Holdings/Issues | (% of Net Assets) | |
Exxon Mobil Corp. | 2.5% | |
Microsoft Corp. | 1.6% | |
General Electric Co. | 1.6% | |
Federal National Mortgage Association, | 1.5% | |
AT&T, Inc. | 1.4% |
Global | ||
Five Largest Holdings | (% of Net Assets) | |
Merck & Co., Inc. | 1.4% | |
McDonald's Corp. | 1.3% | |
UnitedHealth Group, Inc. | 1.2% | |
AT&T, Inc. | 1.1% | |
Goldman Sachs Group, Inc. (The) | 1.1% |
Government Income | ||
Five Largest Issues | (% of Net Assets) | |
Federal National Mortgage Association, | 6.9% | |
Federal Home Loan Mortgage Association, | 5.1% | |
Federal National Mortgage Association, | 4.3% | |
Federal National Mortgage Association, | 3.4% | |
Federal Home Loan Mortgage Association, | 3.0% |
Stock Index | ||
Five Largest Holdings | (% of Net Assets) | |
Exxon Mobil Corp. | 3.9% | |
General Electric Co. | 2.9% | |
Microsoft Corp. | 2.2% | |
AT&T Inc. | 1.9% | |
Procter & Gamble Co. | 1.8% |
VCA-10 | ||
Five Largest Holdings | (% of Net Assets) | |
Cadbury Schweppes PLC ADR (United Kingdom) | 2.7% | |
Petroleo Brasileiro SA ADR (Brazil) | 2.7% | |
Occidental Petroleum Corp. | 2.6% | |
Suncor Energy, Inc. | 2.5% | |
Comcast Corp. | 2.5% |
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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Capital Growth Acct. (VCA-10)1 | 5.80 | % | 16.50 | % | 4.53 | % | |||
S&P 500 Index2 | 5.49 | 12.82 | 5.91 |
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.
Market Review
The final quarter of 2007 capped a volatile year that saw two distinctly different environments for equity markets. Most markets advanced, led by emerging economies and those U.S. sectors directly exposed to global economic expansion, especially energy stocks. Interest rates increased as the Federal Reserve sought to contain the incipient inflation reflected in personal consumption.
By late July, the investment environment changed dramatically. The souring residential real estate market rekindled volatility, triggering a liquidity squeeze that by year-end had caused mortgage investors to incur losses of tens of billions of dollars. The credit market turmoil sparked a swift reappraisal of risk factors in the U.S. equity markets.
Employment remained healthy, but slowing economic growth, the prospect of recession in 2008, and the weak housing market pressured retail sales downward. Oil closed 2007 just shy of $100 per barrel. Many agricultural commodities hit new highs, and the US dollar slid further, fueling inflation concerns.
Performance Summary
Positions in energy, materials, and utilities boosted returns and beat the corresponding sectors of the S&P 500 Index (the Index). High spot oil prices lifted shares of Petroleo Brasileiro SA ADR (2.7%), Hess Corp. (1.2%), Occidental Petroleum Corp. (2.6%), Suncor Energy, Inc. (2.5%), and Murphy Oil Corp. (1.5%). Freeport-McMoRan Copper & Gold, Inc. (1.2%) advanced on sustained, elevated prices for copper, gold, and molybdenum. We believe the supply/demand imbalances will continue, keeping oil, copper, and gold prices above historical levels. Merchant power generation company NRG Energy (1.7%) benefited from the potential acquisition of Texas-based utility company TXU by a private equity firm.
The consumer staples, industrials, and information technology sectors helped performance, but trailed the Index. Tech stocks performed unevenly. Apple, Inc. (1.8%) and Google, Inc. (2.1%) soared, but Spansion, Inc. (0.8%), Motorola, Inc. (1.5%), and Marvell Technology Group Ltd. (1.2%) declined. Apple rocketed on the strength of its iPod and resurgent Macintosh computer sales. Spansion fell due to lower prices for its NOR flash-memory chips and liquidity concerns.
While consumer discretionary and financials ended 2007 with a negative total return, stock selection in both sectors and an underweight in financials benefited relative performance. Entangled in the credit crisis, MBIA, Inc. (1.2%), Citigroup, Inc. (1.3% as of 9/30/07), and SLM Corp. (1.3%) were hit hard. Telecom services and healthcare underperformed, lagging the corresponding sectors of the Index, weighed down mainly by Sprint Nextel Corp. (1.5%) and Omnicare, Inc. (1.3%).
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, 2007
LONG-TERM INVESTMENTS — 98.8% | Value (Note 2) | ||||
COMMON STOCKS — 97.6% | Shares | ||||
Biotechnology — 2.9% | |||||
Amgen, Inc. (a) | 83,800 | $ | 3,891,672 | ||
Genentech, Inc. (a) | 61,500 | 4,124,805 | |||
8,016,477 | |||||
Capital Markets — 2.7% | |||||
Bank of New York Mellon Corp. (The) | 78,672 | 3,836,047 | |||
UBS AG | 77,600 | 3,569,600 | |||
7,405,647 | |||||
Commercial Services & Supplies — 1.6% | |||||
Waste Management, Inc. | 137,400 | 4,488,858 | |||
Communications Equipment — 2.9% | |||||
Motorola, Inc. | 248,000 | 3,977,920 | |||
QualComm, Inc. | 97,200 | 3,824,820 | |||
7,802,740 | |||||
Computers & Peripherals — 4.8% | |||||
Apple, Inc. (a) | 25,200 | 4,991,616 | |||
Lexmark International, Inc. Class A (a) | 120,500 | 4,200,630 | |||
Seagate Technology | 156,700 | 3,995,850 | |||
13,188,096 | |||||
Consumer Finance — 1.3% | |||||
SLM Corp. | 174,100 | 3,506,374 | |||
Diversified Consumer Services — 3.0% | |||||
Career Education Corp. (a) | 123,200 | 3,097,248 | |||
H & R Block, Inc. | 278,700 | 5,175,459 | |||
8,272,707 | |||||
Electric Utilities — 3.0% | |||||
Entergy Corp. | 37,300 | 4,458,096 | |||
Progress Energy, Inc. | 79,000 | 3,825,970 | |||
8,284,066 | |||||
Food & Staples Retailing — 3.0% | |||||
Kroger Co. (The) | 166,900 | 4,457,899 | |||
Wal-Mart Stores, Inc. | 79,100 | 3,759,623 | |||
8,217,522 | |||||
Food Products — 4.5% | |||||
Cadbury Schweppes PLC ADR | 148,700 | 7,341,319 | |||
ConAgra Foods, Inc. | 204,700 | 4,869,813 | |||
12,211,132 | |||||
Health Care Providers & Services — 1.3% | |||||
Omnicare, Inc. | 157,000 | 3,581,170 | |||
Hotels, Restaurants & Leisure — 1.4% | |||||
International Game Technology | 84,700 | 3,720,871 | |||
Household Products — 1.2% | |||||
Kimberly-Clark Corp. | 49,100 | 3,404,594 | |||
Independent Power Producers & Energy Traders — 1.7% | |||||
NRG Energy, Inc. (a) | 108,500 | 4,702,390 | |||
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Industrial Conglomerates — 1.7% | |||||
General Electric Company | 128,500 | $ | 4,763,495 | ||
Insurance — 5.7% | |||||
American International Group | 108,200 | 6,308,060 | |||
Loews Corp. | 121,800 | 6,131,412 | |||
MBIA, Inc. | 174,800 | 3,256,524 | |||
15,695,996 | |||||
Internet & Catalog Retail — 1.4% | |||||
IAC/InterActiveCorp. (a) | 141,100 | 3,798,412 | |||
Internet Software & Services — 2.1% | |||||
Google, Inc. Class A (a) | 8,200 | 5,670,136 | |||
Media — 6.0% | |||||
Liberty Global, Inc. Ser. C (a) | 141,205 | 5,166,691 | |||
Comcast Corp. (a) | 369,100 | 6,739,766 | |||
XM Satellite Radio Holdings, Inc. (a) | 354,400 | 4,337,856 | |||
16,244,313 | |||||
Metals & Mining — 2.7% | |||||
Freeport-McMoRan Cooper & Gold, Inc. | 32,300 | 3,308,812 | |||
Lihir Gold Limited ADR | 126,000 | 3,929,940 | |||
7,238,752 | |||||
Multiline Retail — 1.3% | |||||
JC Penney Co., Inc. | 80,800 | 3,554,392 | |||
Multi-Utilities — 2.1% | |||||
Sempra Energy | 90,600 | 5,606,328 | |||
Office Electronics — 1.4% | |||||
Xerox Corp. | 231,300 | 3,744,747 | |||
Oil, Gas & Consumable Fuels — 16.6% | |||||
Devon Energy Corp. | 38,700 | 3,440,817 | |||
Hess Corp. | 31,900 | 3,217,434 | |||
Marathon Oil Corp. | 73,900 | 4,497,554 | |||
Murphy Oil Corp. | 47,500 | 4,029,900 | |||
Nexen, Inc. | 177,500 | 5,727,925 | |||
Occidental Petroleum Corp. | 92,300 | 7,106,177 | |||
Petroleo Brasileiro SA ADR (Brazil) | 63,000 | 7,260,120 | |||
Suncor Energy, Inc. | 62,900 | 6,839,117 | |||
Williams Cos, Inc. | 85,900 | 3,073,502 | |||
45,192,546 | |||||
Paper & Forest Products — 1.0% | |||||
Domtar Corp. (a) | 354,300 | 2,724,567 | |||
Pharmaceuticals — 4.7% | |||||
Abbott Laboratories | 55,600 | 3,121,940 | |||
Schering-Plough Corp. | 111,500 | 2,970,360 | |||
Teva Pharmaceutical Industries Ltd. ADR (Israel) | 47,100 | 2,189,208 | |||
Wyeth | 100,800 | 4,454,352 | |||
12,735,860 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2007
COMMON STOCKS | Value (Note 2) | |||||
(continued) | Shares | |||||
Semiconductors & Semiconductor Equipment — 2.0% | ||||||
Marvell Technology Group Ltd. (a) | 243,000 | $ | 3,397,140 | |||
Spansion, Inc. (a) | 522,600 | 2,053,818 | ||||
5,450,958 | ||||||
Software — 3.4% | ||||||
Adobe Systems Incorporated (a) | 113,400 | 4,845,582 | ||||
CA, Inc. | 573 | 14,296 | ||||
Symantec Corp. (a) | 269,300 | 4,346,502 | ||||
9,206,380 | ||||||
Specialty Retail — 2.1% | ||||||
Best Buy Co., Inc. | 109,600 | 5,770,440 | ||||
Thrifts & Mortgage Finance — 2.9% | ||||||
Federal National Mortgage Association | 113,400 | 4,533,732 | ||||
People’s United Financial, Inc. | 194,630 | 3,464,414 | ||||
7,998,146 | ||||||
Tobacco — 1.1% | ||||||
Altria Group, Inc. | 40,100 | 3,030,758 | ||||
Wireless Telecommunication | ||||||
NII Holdings, Inc. (a) | 86,000 | 4,155,520 | ||||
Sprint Nextel Corp. | 315,164 | 4,138,103 | ||||
Virgin Mobile USA, Inc. (a) | 317,700 | 2,824,353 | ||||
11,117,976 | ||||||
TOTAL COMMON STOCKS | 266,346,846 | |||||
CORPORATE BOND — 1.2% | ||||||
Principal Amount (000) | ||||||
Oil, Gas & Consumable Fuels | ||||||
Trident Resources Corp., Unsec’d. Note, PIK, (Canada), Private Placement, due 12.966%, due 8/12/12 (b)(c) | $ | 3,131 | 3,349,392 | |||
WARRANT | ||||||
Shares | ||||||
Oil, Gas & Consumable Fuels | ||||||
Trident Resources Corp. (Canada), Private Placement, expiring 1/01/15 (a)(b)(c) | 313,974 | 31 | ||||
TOTAL LONG-TERM INVESTMENTS | $ | 269,696,269 | ||||
SHORT-TERM INVESTMENTS — 0.9% | |||||
Shares | Value (Note 2) | ||||
Affiliated Money Market Mutual Fund | |||||
Dryden Core Investment Fund- | 2,525,541 | $ | 2,525,541 | ||
TOTAL INVESTMENTS(d)— 99.7% | $ | 272,221,810 | |||
OTHER ASSETS, LESS LIABILITIES | |||||
Receivable for Pending Capital Transactions | 19,625 | ||||
Dividends Receivable | 373,964 | ||||
Receivable for Securities Sold | 391,181 | ||||
OTHER ASSETS IN EXCESS OF | 784,770 | ||||
NET ASSETS — 100% | $ | 273,006,580 | |||
NET ASSETS, representing: | |||||
Equity of Participants — 24,945,320 | 272,699,645 | ||||
Equity of The Prudential Insurance Company of America | 306,935 | ||||
$ | 273,006,580 | ||||
(a) | Non-income producing security. |
(b) | Indicates an illiquid security. |
(c) | Indicates a security restricted to resale. The aggregate cost of such securities is $3,133,273. The aggregate value of $3,349,423 is approximately 1.2% of net assets. |
(d) | As of December 31, 2007, two securities valued at $3,349,423 and representing 1.2% of the total market value of the portfolio were fair valued in accordance with the policies adopted by the Committee Members. |
(e) | 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 | |
PIK | Payment in Kind |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2007
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2007 were as follows:
Oil, Gas & Consumable Fuels | 16.6 | % | |
Media | 6.0 | ||
Insurance | 5.7 | ||
Computers and Peripherals | 4.8 | ||
Pharmaceuticals | 4.7 | ||
Food Products | 4.5 | ||
Wireless Telecommunication Services | 4.1 | ||
Software | 3.4 | ||
Diversified Consumer Services | 3.0 | ||
Electric Utilities | 3.0 | ||
Food & Staples Retailing | 3.0 | ||
Biotechnology | 2.9 | ||
Communications Equipment | 2.9 | ||
Thrifts & Mortgage Finance | 2.9 | ||
Capital Markets | 2.7 | ||
Metals & Mining | 2.7 | ||
Internet Software & Services | 2.1 | ||
Multi-Utilities | 2.1 | ||
Specialty Retail | 2.1 | ||
Semiconductors & Semiconductor Equipment | 2.0 | ||
Independent Power Producers & Energy Traders | 1.7 | ||
Industrial Conglomerates | 1.7 | ||
Commercial Services & Supplies | 1.6 | ||
Hotels, Restaurants, & Leisure | 1.4 | ||
Internet & Catalog Retail | 1.4 | ||
Office Electronics | 1.4 | ||
Consumer Finance | 1.3 | ||
Health Care Providers & Services | 1.3 | ||
Multiline Retail | 1.3 | ||
Household Products | 1.2 | ||
Corporate Bond | 1.2 | ||
Tobacco | 1.1 | ||
Paper & Forest Products | 1.0 | ||
Affiliated Money Market Mutual Fund | 0.9 | ||
99.7 | |||
Other Assets in Excess of Liabilities | 0.3 | ||
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF OPERATIONS |
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated Dividend Income (net of $77,551 foreign withholding tax) | $ | 4,355,865 | ||
Affiliated Dividend Income | 291,665 | |||
Total Income | 4,647,530 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (728,028 | ) | ||
Fees Charged to Participants for Administrative Expenses | (2,157,203 | ) | ||
Total Expenses . | (2,885,231 | ) | ||
NET INVESTMENT INCOME | 1,762,299 | |||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS | ||||
Net Realized Gain on Investment Transactions | 49,333,395 | |||
Net Change in Unrealized Appreciation on Investments | (34,155,433 | ) | ||
NET GAIN ON INVESTMENTS | 15,177,962 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 16,940,261 |
STATEMENT OF CHANGES IN NET ASSETS |
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 1,762,299 | $ | 1,812,507 | ||||
Net Realized Gain on Investment Transactions | 49,333,395 | 51,909,218 | ||||||
Net Change In Unrealized Appreciation on Investments | (34,155,433 | ) | (14,156,960 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 16,940,261 | 39,564,765 | ||||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 10,055,096 | 14,307,187 | ||||||
Withdrawals and Transfers Out | (42,576,134 | ) | (63,679,961 | ) | ||||
Annual Account Charges Deducted from Participants’ Accounts | (37,712 | ) | (43,964 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (32,558,750 | ) | (49,416,738 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (2,017,738 | ) | (1,290 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (17,636,227 | ) | (9,853,263 | ) | ||||
NET ASSETS | ||||||||
Beginning of year | 290,642,807 | 300,496,070 | ||||||
End of year | $ | 273,006,580 | $ | 290,642,807 |
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, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Investment Income | $ | .1753 | $ | .1539 | $ | .1061 | $ | .1198 | $ | .0827 | ||||||||||
Expenses | ||||||||||||||||||||
Investment management fee | (.0274 | ) | (.0237 | ) | (.0193 | ) | (.0170 | ) | (.0142 | ) | ||||||||||
Administrative expenses | (.0821 | ) | (.0710 | ) | (.0600 | ) | (.0522 | ) | (.0424 | ) | ||||||||||
Net Investment Income | .0658 | .0592 | .0268 | .0506 | .0261 | |||||||||||||||
Capital Changes | ||||||||||||||||||||
Net realized gain (loss) on investment transactions | 1.8696 | 1.6855 | .8647 | .4174 | (.0999 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (1.3347 | ) | (.4319 | ) | .6037 | .1877 | 1.8517 | |||||||||||||
Net Increase in Accumulation Unit Value | .6007 | 1.3128 | 1.4952 | .6557 | 1.7779 | |||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||
Beginning of year | 10.3312 | 9.0184 | 7.5232 | 6.8675 | 5.0896 | |||||||||||||||
End of year | $ | 10.9319 | $ | 10.3312 | $ | 9.0184 | $ | 7.5232 | $ | 6.8675 | ||||||||||
Total Return** | 5.81 | % | 14.56 | % | 19.87 | % | 9.55 | % | 34.93 | % | ||||||||||
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*** | .60 | % | .62 | % | .32 | % | .72 | % | .45 | % | ||||||||||
Portfolio Turnover Rate | 65 | % | 60 | % | 51 | % | 62 | % | 63 | % | ||||||||||
Number of Accumulation Units Outstanding | ||||||||||||||||||||
For Participants at end of year (000’s omitted) | 24,945 | 27,921 | 33,107 | 36,252 | 39,109 |
* | 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 a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
*** | 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, 2007 and December 31, 2006, PICA has advised the Account that it has received deferred sales charges of $967 and $2,219 respectively, imposed upon certain withdrawals from the Account.
Note 4: | Purchases and Sales of Portfolio Securities |
For the year ended December 31, 2007, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $200,972,131 and $188,839,960, 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, 2007, the Account earned $291,665, 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, 2007 and December 31, 2006, respectively, are as follows:
Year Ended December 31, | ||||
2007 | 2006 | |||
Units issued | 915,756 | 1,502,061 | ||
Units redeemed | (3,891,367) | (6,688,165) | ||
Net decrease | (2,975,611) | (5,186,104) |
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, 2007, $459,273 in participant loans were withdrawn from VCA-10 and $334,585 of principal and interest was repaid to VCA-10. 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. 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, 2007, PICA has advised the Account that it received $4,112 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 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, 2007, 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 four-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 year ended December 31, 2003 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, 2007, by correspondence with the custodian. 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, 2007, 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 four-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 26, 2008
The Prudential MEDLEY Program — VCA-11 Money Market Account
Subadvised by: Prudential Investment Management
December 31, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
7-Day Current Net Yield | 1-Year | 5-Year | 10-Year | |||||||||
VCA-11 Money Market Acct.1 | 4.25 | % | 4.49 | % | 2.32 | % | 3.07 | % | ||||
Citigroup 3-mos T-Bill Index2 | N/A | 4.74 | 2.95 | 3.62 |
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.
On December 31, 2007, the VCA-11 Money Market Account’s 7-day current net yield was 4.25%. The Account returned 4.49% in 2007, while the Citigroup Three-Month U.S. Treasury Bill Index returned 4.74%.
The reporting period began with the target for the federal funds rate charged on overnight loans between banks at 5.25%, as the Federal Reserve (the Fed) held monetary policy steady after gradually increasing short-term rates to remove excess monetary stimulus from the U.S. economy. Meanwhile, the housing sector exhibited signs of weakness, raising expectations that the Fed would cut short-term rates to keep the economy growing.
Economic growth did slow during the first three months of 2007. Additionally, key data pointed to a steady decline in the housing sector. By summer, concerns about the credit quality of debt securities containing subprime mortgages (home loans made to borrowers with poor credit histories) spilled into the broader financial markets. Deepening concern about these debt securities and the financial institutions that held them severely hindered liquidity in the credit markets, and a flight to quality ensued that favored U.S. Treasury bills. Furthermore, the rates banks charge each other to borrow funds spiked higher amid fear that some banks might be overexposed to subprime mortgages and trading in some short-term debt securities came to a standstill.
During this time, the Fed aggressively added reserves to the financial system to ease the liquidity crunch. Conditions in the money markets improved somewhat when it unexpectedly cut the discount rate charged on direct Fed loans to banks by 50 basis points (a one hundredth of a percent) on August 17. It continued to ease stress in the markets by cutting its target for the federal funds rate by 50 basis points to 4.75% and the discount rate by the same amount on September 18.
Despite lower rates, credit quality concerns continued as the fourth quarter began. Additionally, many investors feared the economy was headed for a recession as consumers cut back on spending and the severe decline in the housing market continued. To avoid a recession and to further ease the liquidity crunch gripping the credit markets, the Fed reduced short-term rates in increments of 25 basis points in October and December, bringing the targeted federal funds rate to 4.25%. It also introduced a program to provide extended short-term loans to banks via auctions in December.
The Account benefited from its large holdings in variable-rate debt securities that reset periodically based on formulas tied to either the one- or three-month London interbank offered rates as these rates spiked higher during the second half of the year due to the liquidity crunch.
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, 2007
SHORT TERM INVESTMENTS — 103.1% | Principal Amount (000) | Value (Note 2) | |||
Certificates of Deposit — 21.7% | |||||
Banco Bilbao Vizcaya Argentaria | 2,000 | $ | 2,000,000 | ||
Bank Of Scotland PLC | 2,000 | 2,000,040 | |||
Barclays Bank PLC | |||||
5.20%, 4/11/2008 | 1,000 | 1,000,000 | |||
5.37%, 6/4/2008 | 1,000 | 1,000,000 | |||
Marshall & Isley Bank | 1,000 | 1,000,000 | |||
Natixis | 1,000 | 999,970 | |||
Regions Bank | 2,000 | 2,000,000 | |||
Unicredito Italiano NY | |||||
5.19%, 2/19/2008 | 1,000 | 1,000,000 | |||
5.03%, 1/25/2008 | 1,000 | 1,000,020 | |||
12,000,030 | |||||
Commercial Paper(a) — 34.0% | |||||
Barton Capital Corp., 144A | 1,000 | 998,575 | |||
Bank Of America NA | 500 | 497,369 | |||
Cafco LLC, 144A | 1,000 | 998,450 | |||
Citigroup Funding Inc. | 2,000 | 1,969,783 | |||
Falcon Asset Securities Corp., 144A | 2,000 | 1,993,292 | |||
Long Lane Master Trust, 144A | 1,000 | 995,667 | |||
Old Line Funding Corp., 144A | 2,000 | 1,998,033 | |||
PNC Funding Corp. | 1,000 | 989,405 | |||
Prudential PLC, 144A | 1,000 | 994,192 | |||
San Paolo US | 1,000 | 995,725 | |||
Swedbank Mortgage AB, 144A | |||||
5.00%, 1/17/2008 | 1,475 | 1,471,722 | |||
5.15%, 2/5/2008 | 1,000 | 994,993 | |||
Swiss Re Financial Products, 144A | 1,500 | 1,494,800 | |||
Tulip Funding Corp., 144A | |||||
5.88%, 1/10/2008 | 1,500 | 1,497,795 | |||
5.75%, 1/14/2008 | 1,000 | 997,924 | |||
18,887,725 | |||||
Other Corporate Obligations — 41.2% | |||||
American Express Credit Corp., MTN | 1,000 | 1,000,000 |
SHORT TERM INVESTMENTS (continued) | Principal Amount (000) | Value (Note 2) | |||
Caja de Ahorro y Monta de Pirdad de Madrid, SA | 1,000 | $ | 1,000,000 | ||
Fortis Bank NY | 2,000 | 1,998,754 | |||
Genworth Life Insurance Co. | 1,000 | 1,000,000 | |||
Goldman Sachs Group, MTN | 1,487 | 1,478,146 | |||
HSBC Finance Corp., MTN | 1,113 | 1,110,677 | |||
Irish Life & Permanent PLC, MTN, 144A | |||||
4.982%, 8/20/2008 | 2,000 | 1,999,936 | |||
JP Morgan Chase & Co., MTN | |||||
5.218%, 8/11/2008 | 2,000 | 2,000,000 | |||
Merrill Lynch & Co., MTN | |||||
5.036%, 8/22/2008(b) | 1,000 | 998,891 | |||
5.168%, 8/14/2008(b) | 500 | 500,000 | |||
Morgan Stanley, MTN | |||||
5.35%, 10/31/2008(b) | 2,000 | 2,000,000 | |||
National City Bank, MTN | |||||
5.254%, 4/18/2008 | 1,000 | 1,000,128 | |||
5.303%, 1/10/2008 | 1,750 | 1,750,020 | |||
Paccar Financial Corp., MTN | |||||
5.204%, 8/12/2008(b) | 1,000 | 1,000,000 | |||
Royal Bank of Canada, MTN | |||||
5.303%, 9/10/2008(b) | 1,000 | 1,000,000 | |||
Skandinaviska Enskilda Banken AB, 144A | |||||
5.016%, 8/19/2008(b) | 2,000 | 2,000,000 | |||
Wal Mart Stores | |||||
4.891%, 6/16/2008 | 1,000 | 999,790 | |||
22,836,342 | |||||
Loan Participation — 1.8% | |||||
Cargill, Inc. | |||||
4.97%, 1/22/2008 | 1,000 | 1,000,000 | |||
US Government Agency — 2.6% | |||||
Federal Home Loan Bank | |||||
4.50%, 12/11/2008 | 1,420 | 1,420,000 | |||
Repurchase Agreements(d) — 1.8% | |||||
Greenwich Capital Market, | |||||
4.75%, dated 12/31/2007, due 1/2/2008 in the amount of $997,263 (cost $997,000; the value of the collateral including accrued interest was $1,017,303) | 997 | 997,000 | |||
TOTAL INVESTMENTS — 103.1% | |||||
(Cost: $57,141,097) | $ | 57,141,097 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
STATEMENT OF NET ASSETS |
As of December 31, 2007
Value (Note 2) | ||||||
OTHER ASSETS, LESS LIABILITIES | ||||||
Cash | $ | 8,215 | ||||
Interest Receivable | 256,673 | |||||
Receivable for Pending Capital Transactions | 3,154 | |||||
Payable for Securities Purchased | (2,000,000 | ) | ||||
OTHER LIABILITIES IN EXCESS OF | (1,731,958 | ) | ||||
Net Assets — 100% | $ | 55,409,139 | ||||
Net Assets, representing: | ||||||
Equity of Participants — | ||||||
16,559,557 Accumulation Units at an Accumulation Unit Value of 3.2939 | $ | 54,545,809 | ||||
Equity of the Prudential Insurance Company of America | 863,330 | |||||
$ | 55,409,139 | |||||
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 Notes |
(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, 2007. |
(c) | Indicates a security that has been deemed illiquid. The aggregate cost of the illiquid securities is $1,000,000. The aggregate value of $1,000,000 represents 1.8% of net assets. |
(d) | Repurchase agreement is collateralized by federal agency obligations. |
The industry classification of portfolio holdings and other liabilities in excess of assets shown as a percentage on net assets as of December 31, 2007 were as follows:
Foreign Banks | 34.3 | % | |
Asset Backed Securities | 15.3 | ||
National Commercial Banks | 10.4 | ||
Security Brokers and Dealers | 8.9 | ||
Bank Holding Companies | 8.1 | ||
Personal Credit Institutions | 3.8 | ||
State Commercial Banks | 3.6 | ||
Life Insurance | 3.5 | ||
Fire Marine Casualty Insurance | 2.7 | ||
Mortgage Bankers | 2.7 | ||
Federal Credit Agencies | 2.6 | ||
Farm Products & Raw Materials | 1.8 | ||
Financial Services | 1.8 | ||
Repurchase Agreement | 1.8 | ||
Variety Stores | 1.8 | ||
103.1 | |||
Other liabilities in excess of assets | (3.1 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
STATEMENT OF OPERATIONS |
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated Interest Income | $ | 3,076,569 | ||
Total | 3,076,569 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (139,320 | ) | ||
Fees Charged to Participants for Administrative Expenses | (420,122 | ) | ||
Total Expenses | (559,442 | ) | ||
NET INVESTMENT INCOME | 2,517,127 | |||
Realized Gain on Investment Transactions | 885 | |||
NET INCREASE IN NET ASSETS FROM OPERATIONS | $ | 2,518,012 |
STATEMENT OF CHANGES IN NET ASSETS |
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
OPERATIONS |
| |||||||
Net Investment Income | $ | 2,517,127 | $ | 2,488,004 | ||||
Net Realized Gain (Loss) on Investment Transactions | 885 | (101 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 2,518,012 | 2,487,903 | ||||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 9,926,395 | 13,559,046 | ||||||
Withdrawals and Transfers Out | (15,137,395 | ) | (21,683,680 | ) | ||||
Annual Account Charges Deducted from Participants’ Accounts | (29,093 | ) | (34,215 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (5,240,093 | ) | (8,158,849 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | 440 | 32,050 | ||||||
TOTAL DECREASE IN NET ASSETS | (2,721,641 | ) | (5,638,896 | ) | ||||
NET ASSETS | ||||||||
Beginning of year | 58,130,780 | 63,769,676 | ||||||
End of year | $ | 55,409,139 | $ | 58,130,780 |
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, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Investment Income | $ | .1735 | $ | .1561 | $ | .0985 | $ | .0431 | $ | .0374 | ||||||||||
Expenses | ||||||||||||||||||||
Investment management fee | (.0080 | ) | (.0077 | ) | (.0071 | ) | (.0072 | ) | (.0073 | ) | ||||||||||
Administrative expenses | (.0235 | ) | (.0228 | ) | (.0223 | ) | (.0221 | ) | (.0220 | ) | ||||||||||
Net Increase in Accumulation Unit Value | .1420 | .1256 | .0691 | .0138 | .0081 | |||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||
Beginning of year | 3.1519 | 3.0263 | 2.9572 | 2.9434 | 2.9353 | |||||||||||||||
End of year | $ | 3.2939 | $ | 3.1519 | $ | 3.0263 | $ | 2.9572 | $ | 2.9434 | ||||||||||
Total Return** | 4.51 | % | 4.15 | % | 2.33 | % | 0.47 | % | 0.28 | % | ||||||||||
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*** | 4.39 | % | 4.06 | % | 2.30 | % | 0.46 | % | 0.28 | % | ||||||||||
Number of Accumulation Units Outstanding | ||||||||||||||||||||
For Participants at end of year (000’s omitted) | 16,560 | 18,183 | 20,822 | 24,298 | 26,594 |
* | 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 a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
*** | 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, 2007 and December 31, 2006, PICA has advised the Account that it received deferred sales charges of $2,390 and $2,713, 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, 2007 and December 31, 2006, are as follows:
Year Ended December 31, | ||||
2007 | 2006 | |||
Units issued | 3,082,337 | 4,400,902 | ||
Units redeemed | (4,705,477) | (7,040,442) | ||
Net decrease | (1,623,140) | (2,639,540) |
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, 2007, $315,056 in participant loans were withdrawn from VCA-11 and $136,553 of principal and interest was repaid to VCA-11. 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. 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, 2007, PICA has advised the Account that it received $4,985 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 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, 2007, 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 four-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 year ended December 31, 2003 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, 2007, by correspondence with the custodian. 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, 2007, 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 four-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 26, 2008
MANAGEMENT OF VCA-10, 11
(Unaudited)
Information pertaining to the Committee Members of VCA-10, 11 is set forth below. Committee Members are not deemed to be “interested persons” of VCA-10, 11 as defined in the Investment Company Act are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of VCA-10, 11 are referred to as “Interested Committee Members.” “Fund Complex” consists of VCA-10, 11 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 Committee Member | Other Directorships Held by the Committee Member**** | |||
Linda W. Bynoe. (55) | Committee Member Since 2005 | 59 | Director of Simon Property Group, Inc. (since May 2003) (real estate investment trust); Anixter International (since January 2006) (communication products distributor); Director of Northern Trust Corporation (since April 2006). | |||
Principal Occupations During Past 5 Years – President and Chief Executive Officer (since March 1995) of Telemat Ltd. (management consulting); formerly Vice President at Morgan Stanley & Co. | ||||||
David E. A. Carson (73) | Committee Member Since 2003 | 63 | — | |||
Principal Occupations During Past 5 Years – Director (since October 2007) of ICI Mutual Insurance Company; formerly Chairman and Chief Executive Officer of People’s Bank (1988-2000). | ||||||
Robert E. La Blanc (73) | Committee Member Since 2003 | 61 | Director of CA, Inc. (since 2002) (software company); FiberNet Telecom Group, Inc. (since 2003) (telecom company). | |||
Principal Occupations During Past 5 Years – President (since 1981) of Robert E. La Blanc Associates, Inc. (telecommunications). | ||||||
Douglas H. McCorkindale (68) | Committee Member Since 2003 | 59 | Director of Continental Airlines, Inc. (since May 1993); Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001). | |||
Principal Occupations During Past 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). | ||||||
Richard A. Redeker (64) | Committee Member Since 2003 | 60 | ||||
Principal Occupations During Past 5 Years – Retired Mutual Fund Executive (36 years); Management Consultant; Director of Penn Tank Lines, Inc. (since 1999). | ||||||
Robin B. Smith (68) | Committee Member Since 2003 | 61 | Formerly Director of BellSouth Corporation (1992-2006). | |||
Principal Occupations During Past 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. | ||||||
Stephen D. Stoneburn (64) | Committee Member Since 2003 | 61 | ||||
Principal Occupations During Past 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 (69) | Committee Member Since 2003 | 61 | ||||
Principal Occupations During Past 5 Years – President (since 1983) of YCO (new business development firm). |
Interested Committee Members | ||||||
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Number of Portfolios In Fund Complex Overseen by Committee Member | Other Directorships Held by the Committee Member**** | |||
Judy A. Rice (60) | President and Committee Member Since 2003 | 59 | ||||
Principal Occupations During Past 5 Years – President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (since February 2003) of Prudential Investments LLC; President, Chief Executive Officer and Officer-In-Charge (since April 2003) of Prudential Mutual Fund Services LLC; formerly Vice President (February 1999-April 2006) of Prudential Investment Management Services LLC; formerly President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (May 2003-June 2005) and Director (May 2003-March 2006) and Executive Vice President (June 2005-March 2006) of AST Investment Services, Inc.; Member of Board of Governors of the Investment Company Institute. | ||||||
*Robert F. Gunia (61) | Vice President Since 1999 and Committee Member Since 2003 | 149 | Vice President and Director (since May 1989); Treasurer (since 1999) of The Asia Pacific Fund, Inc.; Vice President (since January 2007) of The Greater China 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 AST Investment Services, Inc. Vice President and Director (since May 1999); Treasurer (since 1999) of The Asia Pacific Fund, Inc. and Vice President (since January 2007) of The Greater China Fund, 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 (48) | 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 AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. | ||
Kathryn L. Quirk (55) | 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 PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. | ||
Deborah A. Docs (50) | 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 AST Investment Services, Inc. | ||
Jonathan D. Shain (49) | Assistant Secretary Since 2005 | 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) of AST Investment Services, Inc. | ||
Claudia DiGiacomo (33) | 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 (36) | 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). |
Officers | ||||
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Principal Occupations During Past 5 Years | ||
Timothy J. Knierim (49) | Chief Compliance Officer Since 2007 | Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007). | ||
Valerie M. Simpson (49) | Deputy Chief Compliance Officer Since 2007 | Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. | ||
M. Sadiq Peshimam (44) | Assistant Treasurer Since 2006 | Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration. | ||
Peter Parrella (49) | Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | ||
Andrew R. French (45) | Assistant Secretary Since 2006 | Director and Corporate Counsel (since May 2006) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). | ||
Noreen M. Fierro (43) | Anti-Money Laundering Compliance Officer Since 2006 | 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. |
* “Interested” Committee Members, 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 Committee Members 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 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 how long they have served as Committee Member and/or Officer.
**** 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.
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.
The Prudential Series Fund, Conservative Balanced Portfolio
Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates LLC
December 31, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Conservative Balanced Portfolio | 6.12 | % | 9.24 | % | 5.11 | % | |||
S&P 500 Index | 5.49 | 12.82 | 5.91 | ||||||
Conservative Balanced Custom Blended Index | 6.10 | 8.51 | 6.02 | ||||||
Lipper Mixed Asset Target Allocation Growth Funds Avg. | 6.78 | 10.68 | 6.02 |
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, 2007, the Conservative Balanced Portfolio had a total return that was in line with its Blended Index (50% stock, 40% bond, 10% cash) but below the average return of its peer group.
Quantitative Management Associates LLC (QMA) uses its proprietary asset allocation model to construct portfolios that invest in the three major classes of assets — stocks, debt securities, and cash. The latter may also include money market funds, U.S. Treasury bills, and other cash-equivalent securities.
QMA manages the portion of the Portfolio that invests in stocks. The Portfolio performed in line with its Blend Index, helped by its exposure to the stock of a foreign corporation. Foreign stock exposure accounted for about 8% of its assets at the end of the year. Shares of foreign companies are not included in the Blend Index as its equity component, the S&P 500 Index, is composed of shares of companies based in the United States. Foreign stock markets, as measured by the Morgan Stanley Capital International Europe, Australasia, and Far East (MSCI EAFE) Index, outperformed the S&P 500 Index in 2007. Much of the rise in the MSCI EAFE Index was attributable to the decline in the value of the U.S. dollar versus the euro. The U.S. dollar weakened as the Federal Reserve repeatedly cut short-term interest rates to stimulate growth in a U.S. economy that had begun to lose steam. At the end of the year, QMA continued to favor investing in stocks over investing in cash equivalent securities.
Prudential Investment Management, Inc. manages the portion of the Portfolio that invests in debt securities and cash. In 2007, that portion of the Portfolio outperformed the Lehman Brothers U.S. Aggregate Bond Index, which is the fixed income component of the Blend Index.
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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Diversified Bond Portfolio | 5.71 | % | 5.40 | % | 5.69 | % | |||
Lehman Brothers U.S Aggregate Bond Index | 6.97 | 4.42 | 5.97 | ||||||
Lipper VP Intermediate Investment Grade Debt Funds Avg. | 6.25 | 4.39 | 5.57 |
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, 2007, the Diversified Bond Portfolio had a total return that was below its benchmark index and the average of its peer group.
The Federal Reserve (the Fed) held monetary policy steady during the first half of the year, but it repeatedly cut short-term interest rates in the second half, as a meltdown in debt securities linked to risky mortgages escalated into a full-fledged credit crisis that threatened the U.S. economic expansion. Investors seeking refuge from turmoil in the financial markets favored highly rated investment grade bonds such as U.S. Treasury securities. Consequently, Treasurys outperformed all other sectors of the U.S. bond market, including federal agency securities, investment-grade corporate bonds, high yield corporate “junk” bonds, residential mortgage-backed securities, commercial mortgage-backed securities, and asset-backed securities, which are backed by underlying pools of assets such as home equity loans and auto loans. Wall Street refers to these debt securities as “spread product” because the difference between their yield and the yield of a comparable Treasury security is called the spread.
The Portfolio underperformed its benchmark index because of its overweight exposure to spread product such as high-quality corporate bonds and asset-backed securities. Its exposure to high yield corporate bonds and emerging market bonds, which are not included in the benchmark, also hurt its relative performance.
The Portfolio’s relative performance benefited from its participation in a type of two-party contract called a credit default swap. Under this contract, the Portfolio paid a fee to the seller of the swap who agreed to pay the Portfolio an amount equal to the face value of certain BBB-rated asset-backed securities backed by home equity loans held by the Portfolio if the securities failed to pay interest and principal. As the subprime mortgage crisis worsened, the credit default swap gained in value, reflecting the growing risk associated with investing in debt securities backed by home equity loans. However, the positive impact from this strategy was partially offset by poor security selection among residential mortgage-backed securities, investment-grade corporate bonds, Treasurys, and emerging market bonds.
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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | Since Inception | |||||||||
Equity Portfolio: Class I | 9.32 | % | 14.70 | % | 5.69 | % | N/A | |||||
Equity Portfolio: Class II | 8.91 | 14.25 | N/A | 3.62 | % | |||||||
S&P 500 Index | 5.49 | 12.82 | 5.91 | 2.76 | ||||||||
Russell 1000® Index | 5.77 | 13.43 | 6.20 | 3.29 | ||||||||
Lipper Large-Cap Core Funds Avg. | 5.78 | 12.19 | 5.06 | 2.57 |
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, 2007, the Equity Portfolio had a total return that was above its benchmarks and the average return of its peer group.
Jennison Associates managed half the Portfolio, and ClearBridge Advisors managed the other half. Both portions contributed favorable stock selection, which was the primary reason the Portfolio outperformed its benchmarks for the year. Holdings in the energy sector, the consumer services sector (the media industry), and the technology sector (the electronic equipment and computer hardware industries) boosted the Portfolio’s performance.
The market environment generally favored growth stocks, which outperformed value stocks in 2007. Therefore, the Portfolio’s underweight exposure to stocks with value characteristics such as high dividend yields, low price-to-book ratios, and low price-to-earnings ratios had a slightly positive impact on its relative performance.
Allocation to various sectors of the stock market also had a slightly positive impact on the Portfolio’s performance due to the portion managed by Jennison. Compared to its benchmarks, the Portfolio had an underweight exposure to the financials sector, which was beset by problems as a meltdown in mortgages of less creditworthy borrowers escalated into a full-fledged financial crisis.
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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Flexible Managed Portfolio | 6.36 | % | 11.24 | % | 5.08 | % | |||
S&P 500 Index | 5.49 | 12.82 | 5.91 | ||||||
Flexible Managed Custom Blended Index | 6.08 | 9.42 | 6.13 | ||||||
Lipper Mixed Target Allocation Growth Funds Avg. | 6.78 | 10.68 | 6.02 |
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, 2007, the Flexible Managed Portfolio had a total return that was above its Blended Index (60% stocks, 35% bonds, 5% cash).
The Portfolio’s stock holdings are actively managed with risk characteristics similar to those of the S&P 500 Index. Its bond holdings are also actively managed and focus on high-grade bonds, relative to the Lehman Brothers Aggregate Bond index. Allocations to these asset classes are managed within a fairly wide range to take advantage of different market conditions. The more bullish management is on the equity market, the more their allocation will favor equities. As management becomes more bearish, allocations to debt and money markets will increase. The portfolio may also contain an allocation to the MSCI EAFE Index, when the managers believe it is warranted.
An overweight position in equities, which performed quite well during the first part of the year, drove the Portfolio’s outperformance relative to its benchmark. Stocks continued an upward trend in the third quarter, with the S&P 500 index rising to new peaks. U.S. exporters within the S&P 500 benefited from a fall in the dollar against the euro. However, a sharp acceleration in home mortgage defaults jolted financial markets. As markets moved downward in the latter part of the year, the S&P 500 index fell from its record highs. While some international markets, mostly those in Europe, were shaken by the ripple effect of the mortgage crisis and credit crunch, foreign markets were able to outpace U.S. returns. As a result, the MSCI EAFE index effectively doubled the return of the S&P 500 index.
The Portfolio’s bond holdings exceeded the returns of its benchmark. Despite underperforming in the fourth quarter, returns were ahead of the benchmark for the overall year. At year-end, the manager continued to favor equities over cash, a positioning that was consistent with its proprietary asset allocation model.
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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Global Portfolio | 10.48 | % | 17.65 | % | 7.81 | % | |||
MSCI World Index (GD) | 9.57 | 17.53 | 7.45 | ||||||
Lipper (VIP) Global Growth Funds Avg. | 12.32 | 18.70 | 8.90 |
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, 2007, the Global Portfolio outperformed its benchmark, the MSCI World Index, but was below the average of its peer group.
The Portfolio is co-managed by four specialist subadvisers. Marsico Capital Management manages large-cap domestic growth stocks. T. Rowe Price manages large-cap domestic value stocks. William Blair & Company manages international growth stocks. LSV Asset Management manages international value stocks. Each firm is responsible for 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 2007, the Portfolio benefited from an overweight allocation toward international equities, as well as an overweight position to growth stocks within the Portfolio’s domestic equity allocation. In the second half of the year, the market took a turn that favored firms with large capitalizations. This trend picked up steam when a financial crisis tied to risky mortgages sent investors fleeing to shares of companies with consistent earnings growth. As a result, international growth stocks significantly outperformed international value stocks. This was evident in the MSCI EAFE Index (the Index), as value stocks underperformed growth stocks by the widest margin since the EAFE Value and Growth indexes were created.
Accordingly, the portions of the Portfolio that outperformed mostly did so by taking positions in companies exhibiting growth attributes. Positions within specific emerging market countries also augmented performance relative to the Index. The Marsico Large-Cap Growth portion gained from strong stock selection, particularly within the financials, basic materials, telecommunications, and consumer services sectors. The T. Rowe Price Large Cap Value portion was rewarded as growth-oriented stocks outperformed “deep value” companies, as did companies with less debt on their balance sheets, due to the market turmoil related to the mortgage crisis. The William Blair International Growth portion outperformed the Index by a wide margin. The manager’s exposure to emerging markets countries Brazil and China helped to enhance the Portfolio’s value. Additionally, stock selection, particularly within financials, energy, and technology, contributed positively to relative performance.
The LSV International Value portion’s deep value approach and below-benchmark market cap exposure, however, underperformed the Index.
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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, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Government Income Portfolio | 5.70 | % | 3.50 | % | 5.58 | % | |||
Lehman Brothers Govt. Bond Index | 8.66 | 4.10 | 5.92 | ||||||
Lipper (VIP) General U.S. Govt. Funds Avg. | 7.34 | 3.72 | 5.25 |
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, 2007, the Government Income Portfolio had a total return that was below its benchmark index and the average of its peer group.
The Federal Reserve (the Fed) held monetary policy steady during the first half of the year, but it repeatedly cut short-term interest rates in the second half, as a meltdown in debt securities linked to risky mortgages escalated into a full-fledged credit crisis that threatened the U.S. economic expansion. Investors seeking refuge from turmoil in the financial markets favored highly rated investment grade bonds such as U.S. Treasury securities. Consequently, Treasurys outperformed all other sectors of the U.S. bond market, including federal agency securities, investment-grade corporate bonds, high yield corporate “junk” bonds, residential mortgage-backed securities, commercial mortgage-backed securities, and asset-backed securities. The latter pay interest based upon the cash flow of an underlying pool of assets such as home equity loans, automobile loans, or credit card receivables. Wall Street refers to these types of debt securities as “spread product” because the difference between their yield and the yield of a comparable Treasury security is called the spread.
Three key factors caused the Portfolio to underperform its benchmark index. The first was its exposure to spread product, including federal agency securities, residential mortgage-backed securities, investment-grade corporate bonds, and emerging market bonds. The second was its strategy concerning the yield curve, a graph that depicts the relationship between yields on short- and long-term bonds. The slope of the U.S. yield curve became steeper in response to the Fed’s rate cuts. Therefore, Prudential Investment Management’s strategy that anticipated a flatter yield curve detracted from the Portfolio’s relative performance. The third factor was poor security selection among Treasurys, residential mortgage-backed securities, emerging market bonds, and swap transactions. However, this was partially offset by favorable security selection among federal agency securities, investment-grade corporate bonds, AAA-rated asset-backed securities, and AAA-rated commercial mortgage-backed securities.
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: Prudential Investment Management, Inc., Quantitative Management Associates LLC
December 31, 2007
Investment Manager’s Report
Performance Summary - As of December 31, 2007
Average Annual Total Return Percentages
1-Year | 5-Year | 10-Year | |||||||
Stock Index Portfolio | 5.10 | % | 12.44 | % | 5.65 | % | |||
S&P 500 Index | 5.49 | 12.82 | 5.91 | ||||||
Lipper (VIP) S&P 500 Index Objective Funds Avg. | 5.12 | 12.39 | 5.59 |
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.
For the year ended December 31, 2007, the Stock Index Portfolio had a total return that was below the S&P 500 Index (the Index) and in line with the average return of its peer group. The average index fund based on the Index generally trails the Index primarily because funds have fees and expenses that indexes do not have.
The Index posted a total return for 2007 that was below its historical average, and sector returns varied widely. The strongest performing sectors in the Index were energy, materials, utilities, information technology, and consumer staples, all of which posted double-digit gains for the year. The industrials, healthcare, and telecommunications services sectors posted single-digit gains. The energy sector benefited as supply and demand factors coupled with political developments in oil-rich regions helped boost crude oil to nearly $100 a barrel in 2007. Industries in the materials sector benefited from the voracious appetite for raw materials in emerging market nations. Concern that the U.S. economy will soon tumble into a recession helped less cyclical sectors such as utilities and consumer staples, which tend to do relatively well during economically challenging times.
The weakest sectors in the Index were more vulnerable to economic woes in the United States, particularly the troubled housing and mortgage industries. The financials sector registered the largest decline in 2007, as some prominent banks and Wall Street firms took multibillion dollar write-downs on securities linked to risky mortgages. Consumer discretionary was the other sector that posted a loss, as shares of homebuilders, retailers, auto manufacturers, and others were hard hit by the housing industry problems and recession fears.
Although the Index finished the year in the black, it declined during the fourth quarter of 2007, which is a time of year when share prices tend to gain. The fourth-quarter decline resulted in a modest return in 2007 for the Index and the Stock Index Portfolio.
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
Fees and Expenses — unaudited
December 31, 2007
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, 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.
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, 2007 through December 31, 2007.
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, 2007 | Ending Account Value December 31, 2007 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period | ||||||
Conservative Balanced (Class I) | Actual | $1,000.00 | $1,014.30 | 0.59% | $3.00 | |||||
Hypothetical | $1,000.00 | $1,022.23 | 0.59% | $3.01 | ||||||
Diversified Bond (Class I) | Actual | $1,000.00 | $1,042.80 | 0.44% | $2.27 | |||||
Hypothetical | $1,000.00 | $1,022.99 | 0.44% | $2.24 | ||||||
Equity (Class I) | Actual | $1,000.00 | $1,014.90 | 0.46% | $2.34 | |||||
Hypothetical | $1,000.00 | $1,022.89 | 0.46% | $2.35 | ||||||
Equity (Class II) | Actual | $1,000.00 | $1,012.90 | 0.86% | $4.36 | |||||
Hypothetical | $1,000.00 | $1,020.87 | 0.86% | $4.38 | ||||||
Flexible Managed (Class I) | Actual | $1,000.00 | $1,005.00 | 0.63% | $3.18 | |||||
Hypothetical | $1,000.00 | $1,022.03 | 0.63% | $3.21 | ||||||
Global (Class I) | Actual | $1,000.00 | $1,017.20 | 0.82% | $4.17 | |||||
Hypothetical | $1,000.00 | $1,021.07 | 0.82% | $4.18 | ||||||
Government Income (Class I) | Actual | $1,000.00 | $1,049.60 | 0.55% | $2.84 | |||||
Hypothetical | $1,000.00 | $1,022.43 | 0.55% | $2.80 | ||||||
Stock Index (Class I) | Actual | $1,000.00 | $ 984.70 | 0.36% | $1.80 | |||||
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, 2007, and divided by the 365 days in each Portfolio’s fiscal year ended December 31, 2007 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest. |
CONSERVATIVE BALANCED PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 87.3% | Value (Note 2) | ||||
COMMON STOCKS — 51.4% | Shares | ||||
Aerospace & Defense — 1.3% | |||||
Boeing Co. | 73,200 | $ | 6,402,072 | ||
European Aeronautic Defence and Space Co. (Netherlands) | 19,108 | 609,862 | |||
General Dynamics Corp. | 37,400 | 3,328,226 | |||
Goodrich Corp. | 11,300 | 797,893 | |||
Honeywell International, Inc. | 70,912 | 4,366,052 | |||
L-3 Communications Holdings, Inc. | 11,600 | 1,228,904 | |||
Lockheed Martin Corp. | 33,300 | 3,505,158 | |||
Northrop Grumman Corp. | 33,362 | 2,623,588 | |||
Precision Castparts Corp. | 13,400 | 1,858,580 | |||
Raytheon Co. | 41,300 | 2,506,910 | |||
Rockwell Collins, Inc. | 15,400 | 1,108,338 | |||
United Technologies Corp. | 90,600 | 6,934,524 | |||
35,270,107 | |||||
Air Freight & Logistics — 0.4% | |||||
C.H. Robinson Worldwide, Inc. | 15,900 | 860,508 | |||
Expeditors International of Washington, Inc. | 19,600 | 875,728 | |||
FedEx Corp. | 27,500 | 2,452,175 | |||
TNT Post Group N.V. | 11,504 | 475,149 | |||
United Parcel Service, Inc. | 95,900 | 6,782,048 | |||
11,445,608 | |||||
Airlines — 0.1% | |||||
Air France KLM (France) | 13,091 | 460,310 | |||
British Airways PLC (United Kingdom)(a) | 11,347 | 69,964 | |||
Deutsche Lufthansa AG (Germany) | 16,946 | 450,674 | |||
Japan Airlines Corp. (Japan) | 27,000 | 61,229 | |||
Qantas Airways Ltd. (Australia) | 229,453 | 1,090,210 | |||
Southwest Airlines Co. | 70,800 | 863,761 | |||
2,996,148 | |||||
Auto Components — 0.2% | |||||
Aisin Seiki Co. Ltd. (Japan) | 21,100 | 873,588 | |||
Bridgestone Corp. (Japan) | 36,000 | 635,581 | |||
Denso Corp. (Japan) | 14,700 | 598,205 | |||
Goodyear Tire & Rubber Co. (The)(a)(b) | 19,500 | 550,290 | |||
Johnson Controls, Inc. | 54,600 | 1,967,783 | |||
Rieter Holding AG (Switzerland) | 239 | 105,551 | |||
Tokai Rika Co. Ltd. (Japan) | 13,100 | 403,885 | |||
Toyota Industries Corp. (Japan) | 11,300 | 458,145 | |||
5,593,028 | |||||
Automobiles — 0.4% | |||||
Daimler AG (Germany) | 11,444 | 1,107,808 | |||
Fiat SpA (Italy) | 29,473 | 762,712 | |||
Ford Motor Co.(a)(b) | 178,995 | 1,204,636 | |||
General Motors Corp.(b) | 53,791 | 1,338,858 | |||
Harley-Davidson, Inc. | 23,100 | 1,079,001 | |||
Honda Motor Co. Ltd. (Japan) | 12,800 | 422,846 | |||
Nissan Motor Co. Ltd. (Japan) | 18,200 | 198,644 | |||
Peugeot SA (France) | 15,551 | 1,178,881 | |||
Renault SA (France) | 4,890 | 693,567 | |||
Toyota Motor Corp. (Japan) | 62,400 | 3,323,343 | |||
Volkswagen AG (Germany) | 581 | 132,880 | |||
11,443,176 | |||||
Beverages — 1.1% | |||||
Anheuser-Busch Cos., Inc. | 68,500 | 3,585,290 | |||
Brown-Forman Corp. | 7,700 | 570,647 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Beverages (continued) | |||||
Carlsberg A/S (Denmark) | 4,450 | $ | 538,357 | ||
Coca-Cola Co. (The) | 181,800 | 11,157,066 | |||
Coca-Cola Enterprises, Inc.(b) | 25,400 | 661,162 | |||
Coca-Cola Hellenic Bottling Co. SA (Greece) | 11,018 | 476,823 | |||
Coca-Cola West Japan Co. Ltd. (Japan) | 33,400 | 737,379 | |||
Constellation Brands, Inc.(a)(b) | 19,100 | 451,524 | |||
Molson Coors Brewing Co. | 13,000 | 671,060 | |||
Pepsi Bottling Group, Inc. | 11,600 | 457,736 | |||
PepsiCo, Inc. | 148,530 | 11,273,428 | |||
30,580,472 | |||||
Biotechnology — 0.5% | |||||
Amgen, Inc.(a) | 100,660 | 4,674,650 | |||
Biogen Idec, Inc.(a) | 27,190 | 1,547,655 | |||
Celgene Corp.(a) | 35,000 | 1,617,350 | |||
CSL Ltd. (Australia) | 25,269 | 800,519 | |||
Genzyme Corp.(a) | 23,300 | 1,734,452 | |||
Gilead Sciences, Inc.(a) | 85,800 | 3,947,658 | |||
14,322,284 | |||||
Building Products — 0.2% | |||||
Asahi Glass Co. Ltd. (Japan) | 54,000 | 714,171 | |||
Cie de Saint-Gobain (France) | 11,886 | 1,120,704 | |||
Masco Corp. | 34,800 | 752,028 | |||
Nippon Sheet Glass Co. Ltd. (Japan) | 163,000 | 822,831 | |||
Sanwa Shutter Corp. (Japan) | 29,000 | 142,374 | |||
Trane, Inc. | 16,300 | 761,373 | |||
4,313,481 | |||||
Capital Markets — 1.7% | |||||
3i Group PLC | 9,786 | 195,385 | |||
American Capital Strategies Ltd.(b) | 16,000 | 527,360 | |||
Ameriprise Financial, Inc. | 22,620 | 1,246,588 | |||
Bank of New York Mellon Corp. (The) | 105,758 | 5,156,760 | |||
Bear Stearns Cos., Inc. (The)(b) | 10,616 | 936,862 | |||
Charles Schwab Corp. (The) | 88,550 | 2,262,453 | |||
Credit Suisse Group (Switzerland) | 33,126 | 1,992,563 | |||
Deutsche Bank AG (Germany) | 15,824 | 2,070,166 | |||
E*Trade Financial Corp.(a)(b) | 41,500 | 147,325 | |||
Federated Investors, Inc. | 9,000 | 370,440 | |||
Franklin Resources, Inc. | 15,200 | 1,739,336 | |||
Goldman Sachs Group, Inc.(b) | 37,800 | 8,128,890 | |||
Investec PLC (United Kingdom) | 29,721 | 266,380 | |||
Janus Capital Group, Inc.(b) | 19,800 | 650,430 | |||
Legg Mason, Inc. | 11,900 | 870,485 | |||
Lehman Brothers Holdings, Inc.(b) | 48,600 | 3,180,384 | |||
Macquarie Group Ltd. (Australia) | 4,941 | 330,589 | |||
Merrill Lynch & Co., Inc.(b) | 82,300 | 4,417,864 | |||
Morgan Stanley | 96,780 | 5,139,986 | |||
Northern Trust Corp.(b) | 17,300 | 1,324,834 | |||
State Street Corp. | 35,500 | 2,882,600 | |||
T. Rowe Price Group, Inc. | 24,600 | 1,497,648 | |||
UBS AG (Switzerland) | 15,427 | 714,017 | |||
46,049,345 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Chemicals — 1.0% | |||||
Air Products and Chemicals, Inc. | 20,100 | $ | 1,982,463 | ||
Altana AG (Germany) | 10,180 | 247,069 | |||
Ashland, Inc. | 4,500 | 213,435 | |||
BASF AG (Germany) | 8,845 | 1,309,480 | |||
Daicel Chemical Industries Ltd. (Japan) | 12,000 | 71,757 | |||
Dainippon Ink & Chemicals, Inc. (Japan) | 91,000 | 453,683 | |||
Dow Chemical Co. (The) | 87,431 | 3,446,530 | |||
E. I. Du Pont de Nemours & Co. | 84,620 | 3,730,896 | |||
Eastman Chemical Co. | 7,400 | 452,066 | |||
Ecolab, Inc. | 16,100 | 824,481 | |||
Hercules, Inc. | 11,500 | 222,525 | |||
International Flavors & Fragrances, Inc. | 8,300 | 399,479 | |||
Koninklijke DSM NV (Netherlands) | 23,520 | 1,111,747 | |||
Kuraray Co. Ltd. (Japan) | 53,000 | 639,409 | |||
Mitsubishi Chemical Holdings Corp. (Japan) | 131,000 | 999,488 | |||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 31,000 | 301,573 | |||
Mitsui Chemicals, Inc. (Japan) | 8,000 | 51,935 | |||
Monsanto Co. | 50,494 | 5,639,674 | |||
Nippon Shokubai Co. Ltd. (Japan) | 24,000 | 229,967 | |||
PPG Industries, Inc. | 15,500 | 1,088,565 | |||
Praxair, Inc. | 28,300 | 2,510,493 | |||
Rohm & Haas Co.(b) | 11,611 | 616,196 | |||
Shin-Etsu Chemical Co. Ltd. (Japan) | 2,200 | 136,821 | |||
Sigma-Aldrich Corp. | 12,000 | 655,200 | |||
Zeon Corp. (Japan) | 23,000 | 137,195 | |||
27,472,127 | |||||
Commercial Banks — 2.5% | |||||
Allied Irish Banks PLC (Ireland) | 8,599 | 197,019 | |||
Alpha Bank AE (Greece) | 27,684 | 1,007,839 | |||
Australia & New Zealand Banking Group Ltd. (Australia) | 4,867 | 116,474 | |||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 93,717 | 2,296,441 | |||
Banco BPI SA (Portugal) | 29,904 | 234,346 | |||
Banco Espirito Santo SA (Portugal) | 46,470 | 1,019,124 | |||
Banco Popolare Scarl (Italy)(a) | 5,772 | 127,935 | |||
Banco Santander Central Hispano SA (Spain) | 151,989 | 3,286,573 | |||
Barclay’s PLC (United Kingdom) | 85,086 | 853,638 | |||
BB&T Corp.(b) | 53,100 | 1,628,577 | |||
BNP Paribas (France) | 21,683 | 2,352,899 | |||
Chiba Bank Ltd. (The) (Japan) | 24,000 | 193,113 | |||
Comerica, Inc. | 15,200 | 661,656 | |||
Commerce Bancorp, Inc. | 16,700 | 636,938 | |||
Commerzbank AG (Germany) | 35,915 | 1,380,478 | |||
Commonwealth Bank of Australia (Australia) | 6,069 | 312,910 | |||
Credit Agricole SA (France) | 4,328 | 145,981 | |||
Danske Bank A/S (Denmark) | 31,080 | 1,217,288 | |||
Dexia (Belgium) | 42,152 | 1,061,858 | |||
DNB NOR ASA (Norway) | 81,400 | 1,244,270 | |||
EFG Eurobank Ergasias (Greece) | 1,964 | 69,145 | |||
Fifth Third Bancorp | 55,221 | 1,387,704 | |||
First Horizon National Corp.(b) | 13,600 | 246,840 | |||
Hachijuni Bank Ltd. (The) (Japan) | 12,000 | 80,628 | |||
HBOS PLC (United Kingdom) | 81,542 | 1,193,036 | |||
HSBC Holdings PLC (United Kingdom) | 120,067 | 2,012,430 | |||
Huntington Bancshares, Inc. | 41,936 | 618,975 | |||
Hypo Real Estate Holding AG (Germany) | 17,708 | 939,549 | |||
Intesa Sanpaolo SpA (Italy) | 44,757 | 354,015 | |||
Jyske Bank A/S (Denmark)(a) | 1,475 | 116,264 | |||
KeyCorp | 37,100 | 869,995 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Commercial Banks (continued) | |||||
Lloyds TSB Group PLC (United Kingdom) | 60,232 | $ | 565,919 | ||
M&T Bank Corp. | 8,300 | 677,031 | |||
Marshall & Ilsley Corp.(b) | 24,900 | 659,352 | |||
Mitsubishi Financial Group, Inc. (Japan) | 17,900 | 168,796 | |||
National Australia Bank Ltd. (Australia) | 9,565 | 315,066 | |||
National Bank of Greece SA (Greece) | 2,435 | 167,253 | |||
National City Corp.(b) | 59,900 | 985,954 | |||
Nishi-Nippon City Bank Ltd. (The) (Japan) | 16,000 | 39,629 | |||
PNC Financial Services Group, Inc. | 32,000 | 2,100,800 | |||
Regions Financial Corp.(b) | 70,203 | 1,660,301 | |||
Royal Bank of Scotland Group PLC | 221,819 | 1,960,499 | |||
Skandinaviska Enskilda Banken AB | 23,400 | 599,192 | |||
Societe Generale (France) | 6,767 | 978,785 | |||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 99 | 732,628 | |||
SunTrust Banks, Inc. | 33,000 | 2,062,170 | |||
Svenska Handelbanken | 27,900 | 893,567 | |||
Swedbank AB | 1,900 | 53,797 | |||
Sydbank A/S (Denmark) | 3,072 | 132,065 | |||
Synovus Financial Corp.(b) | 29,750 | 716,380 | |||
U.S. Bancorp | 159,085 | 5,049,357 | |||
UniCredito Italiano SpA (Italy) | 193,178 | 1,604,239 | |||
Wachovia Corp.(b) | 181,640 | 6,907,768 | |||
Wells Fargo & Co. | 308,500 | 9,313,614 | |||
Westpac Banking Corp. (Australia) | 28,463 | 692,134 | |||
Zions Bancorporation | 11,350 | 529,932 | |||
67,430,166 | |||||
Commercial Services & Supplies — 0.2% | |||||
Allied Waste Industries, Inc.(a)(b) | 26,400 | 290,928 | |||
Avery Dennison Corp. | 9,100 | 483,574 | |||
Cintas Corp.(b) | 11,200 | 376,544 | |||
Downer EDI Ltd. | 114,678 | 538,535 | |||
Equifax, Inc. | 13,700 | 498,132 | |||
Michael Page International PLC | 27,692 | 158,757 | |||
Monster Worldwide, Inc.(a) | 13,100 | 424,440 | |||
Pitney Bowes, Inc. | 21,600 | 821,664 | |||
Robert Half International, Inc. | 15,500 | 419,120 | |||
RR Donnelley & Sons Co. | 19,500 | 735,930 | |||
Waste Management, Inc. | 48,542 | 1,585,867 | |||
6,333,491 | |||||
Communications Equipment — 1.3% | |||||
Ciena Corp.(a)(b) | 9,142 | 311,834 | |||
Cisco Systems, Inc.(a) | 560,200 | 15,164,613 | |||
Corning, Inc. | 141,900 | 3,404,181 | |||
JDS Uniphase Corp.(a)(b) | 14,075 | 187,198 | |||
Juniper Networks, Inc.(a) | 51,500 | 1,709,800 | |||
Motorola, Inc.(b) | 207,225 | 3,323,889 | |||
Nokia Corp. (Finland) | 91,855 | 3,561,552 | |||
QUALCOMM, Inc. | 152,900 | 6,016,615 | |||
Tellabs, Inc.(a)(b) | 45,800 | 299,532 | |||
33,979,214 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Computers & Peripherals — 2.0% | |||||
Apple, Inc.(a) | 80,300 | $ | 15,905,823 | ||
Dell, Inc.(a) | 206,600 | 5,063,766 | |||
EMC Corp.(a) | 191,550 | 3,549,422 | |||
Hewlett-Packard Co. | 239,548 | 12,092,383 | |||
International Business Machines Corp.(b) | 126,800 | 13,707,080 | |||
Lexmark International, Inc.(a)(b) | 9,833 | 342,778 | |||
Network Appliance, Inc.(a) | 38,800 | 968,448 | |||
QLogic Corp.(a) | 16,600 | 235,720 | |||
SanDisk Corp.(a)(b) | 19,500 | 646,815 | |||
Sun Microsystems, Inc.(a)(b) | 81,575 | 1,478,955 | |||
Teradata Corp.(a) | 17,600 | 482,416 | |||
Toshiba Corp. (Japan) | 12,000 | 88,560 | |||
Wincor Nixdorf AG (Germany) | 2,194 | 207,477 | |||
54,769,643 | |||||
Construction & Engineering — 0.1% | |||||
ACS Actividades de Construccion y Servicios SA (Spain) | 12,580 | 747,660 | |||
COMSYS Holdings Corp. (Japan) | 34,000 | 276,741 | |||
Fluor Corp. | 8,100 | 1,180,332 | |||
Jacobs Engineering Group, Inc.(a)(b) | 10,000 | 956,100 | |||
JGC Corp. (Japan) | 6,000 | 102,877 | |||
YIT OYJ (Finland) | 5,508 | 120,714 | |||
3,384,424 | |||||
Construction Materials — 0.1% | |||||
Cimpor Cimentos de Portugal SGPS SA (Portugal) | 14,789 | 129,734 | |||
Holcim Ltd. (Switzerland) | 7,861 | 842,238 | |||
Italcementi SpA (Italy) | 5,480 | 117,216 | |||
Lafarge SA (France) | 9,406 | 1,712,132 | |||
Vulcan Materials Co. | 9,100 | 719,719 | |||
3,521,039 | |||||
Consumer Finance — 0.4% | |||||
American Express Co. | 108,800 | 5,659,776 | |||
Capital One Financial Corp.(b) | 38,761 | 1,831,845 | |||
Discover Financial Services | 42,740 | 644,519 | |||
SLM Corp.(b) | 41,900 | 843,866 | |||
Takefuji Corp. (Japan) | 17,860 | 428,972 | |||
9,408,978 | |||||
Containers & Packaging | |||||
Ball Corp. | 10,000 | 450,000 | |||
Bemis Co. | 11,300 | 309,394 | |||
Pactiv Corp.(a) | 10,900 | 290,267 | |||
Sealed Air Corp. | 13,200 | 305,448 | |||
1,355,109 | |||||
Distributors — 0.1% | |||||
Genuine Parts Co. | 15,200 | 703,760 | |||
Li & Fung Ltd. (Hong Kong) | 62,000 | 247,177 | |||
Pacific Brands Ltd. (Australia) | 220,957 | 627,502 | |||
1,578,439 | |||||
Diversified Consumer Services — 0.1% | |||||
Apollo Group, Inc.(a)(b) | 13,000 | 911,950 | |||
H&R Block, Inc.(b) | 29,100 | 540,387 | |||
1,452,337 | |||||
Diversified Financial Services — 2.1% | |||||
Babcock & Brown Ltd. (Australia) | 5,925 | 139,370 | |||
Bank of America Corp. | 408,238 | 16,843,899 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Diversified Financial Services (continued) | |||||
Challenger Financial Services Group Ltd. (Australia) | 52,584 | $ | 227,769 | ||
CIT Group, Inc.(b) | 19,000 | 456,570 | |||
Citigroup, Inc.(b) | 463,258 | 13,638,316 | |||
CME Group, Inc. | 4,990 | 3,423,140 | |||
Fortis (Belgium) | 34,966 | 920,709 | |||
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) | 34,000 | 953,149 | |||
ING Groep NV (Netherlands) | 51,545 | 2,015,920 | |||
IntercontinentalExchange, Inc.(a) | 6,100 | 1,174,250 | |||
JPMorgan Chase & Co. | 313,201 | 13,671,224 | |||
Leucadia National Corp.(b) | 14,600 | 687,660 | |||
Moody’s Corp.(b) | 21,100 | 753,270 | |||
NYSE Euronext | 23,800 | 2,088,926 | |||
OKO Bank PLC (Finland) | 22,256 | 425,290 | |||
Singapore Exchange Ltd. (Singapore) | 71,000 | 650,398 | |||
58,069,860 | |||||
Diversified Telecommunication Services — 1.7% | |||||
AT&T, Inc. | 562,168 | 23,363,702 | |||
Belgacom SA (Belgium) | 22,824 | 1,125,900 | |||
BT Group PLC (United Kingdom) | 126,583 | 687,266 | |||
CenturyTel, Inc. | 10,400 | 431,184 | |||
Citizens Communications Co. | 31,000 | 394,630 | |||
Embarq Corp. | 14,343 | 710,409 | |||
France Telecom SA (France) | 42,304 | 1,522,763 | |||
Nippon Telegraph & Telephone Corp. (Japan) | 88 | 437,442 | |||
Qwest Communications International, Inc.(a)(b) | 151,257 | 1,060,312 | |||
Swisscom AG (Switzerland) | 1,076 | 420,079 | |||
Tele2 AB (Class B Stock) (Sweden) | 33,600 | 673,227 | |||
Telecom Corp. of New Zealand Ltd. (New Zealand) | 99,674 | 332,965 | |||
Telecom Italia SpA (Italy) | 38,827 | 120,630 | |||
Telecom Italia SpA (Italy) | 534,665 | 1,271,058 | |||
Telefonica SA (Spain) | 37,323 | 1,212,505 | |||
Verizon Communications Group, Inc.(b) | 265,176 | 11,585,539 | |||
Windstream Corp. | 45,857 | 597,058 | |||
45,946,669 | |||||
Electric Utilities — 1.2% | |||||
Allegheny Energy, Inc. | 14,900 | 947,789 | |||
American Electric Power Co., Inc. | 36,160 | 1,683,610 | |||
CLP Holdings Ltd. (Hong Kong) | 71,500 | 485,772 | |||
Duke Energy Corp. | 112,824 | 2,275,660 | |||
E.ON AG (Germany) | 16,525 | 3,517,998 | |||
Edison International | 29,800 | 1,590,426 | |||
Enel SpA (Italy) | 94,789 | 1,127,401 | |||
Entergy Corp. | 18,200 | 2,175,264 | |||
Exelon Corp. | 62,474 | 5,100,378 | |||
FirstEnergy Corp. | 27,401 | 1,982,188 | |||
FPL Group, Inc. | 38,000 | 2,575,640 | |||
Hong Kong Electric Holdings (Hong Kong) | 20,000 | 114,457 | |||
Pepco Holdings, Inc. | 15,800 | 463,414 | |||
Pinnacle West Capital Corp. | 9,700 | 411,377 | |||
PPL Corp. | 36,000 | 1,875,240 | |||
Progress Energy, Inc. | 24,583 | 1,190,555 | |||
Public Power Corp. SA (Greece) | 6,658 | 350,436 | |||
Scottish & Southern Energy PLC (United Kingdom) | 6,522 | 212,657 | |||
Southern Co. (The) | 69,500 | 2,693,125 | |||
Union Fenosa SA (Spain) | 13,943 | 941,601 | |||
31,714,988 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Electrical Equipment — 0.4% | |||||
ABB Ltd. (Switzerland) | 48,358 | $ | 1,393,312 | ||
Alstom (France) | 2,486 | 534,295 | |||
Cooper Industries Ltd. | 17,400 | 920,112 | |||
Emerson Electric Co. | 72,200 | 4,090,852 | |||
Hitachi Cable Ltd. (Japan) | 48,000 | 283,252 | |||
Rockwell Automation, Inc. | 16,200 | 1,117,152 | |||
Schneider Electric SA (France) | 8,148 | 1,104,079 | |||
Sumitomo Electric Industries Ltd. (Japan) | 13,700 | 216,070 | |||
Vestas Wind Systems A/S (Denmark)(a) | 5,042 | 545,717 | |||
10,204,841 | |||||
Electronic Equipment & Instruments — 0.2% | |||||
Agilent Technologies, Inc.(a) | 35,314 | 1,297,436 | |||
FUJIFILM Holdings Corp. (Japan) | 2,400 | 100,453 | |||
Hitachi Ltd. (Japan) | 46,000 | 341,750 | |||
Jabil Circuit, Inc. | 21,600 | 329,832 | |||
Kyocera Corp. (Japan) | 2,500 | 220,936 | |||
Molex, Inc. | 11,700 | 319,410 | |||
Omron Corp. (Japan) | 28,800 | 678,050 | |||
Tyco Electronics Ltd. (Bermuda) | 46,315 | 1,719,677 | |||
Venture Manufacturing Ltd. Corp. (Singapore) | 13,000 | 114,018 | |||
5,121,562 | |||||
Energy Equipment & Services — 1.2% | |||||
B.J. Services Co. | 26,500 | 642,890 | |||
Baker Hughes, Inc.(b) | 29,150 | 2,364,065 | |||
ENSCO International, Inc. | 13,500 | 804,870 | |||
Halliburton Co. | 85,500 | 3,241,305 | |||
Nabors Industries Ltd. (Bermuda)(a) | 24,500 | 671,055 | |||
National Oilwell Varco, Inc.(a)(b) | 33,600 | 2,468,256 | |||
Noble Corp. | 25,200 | 1,424,052 | |||
Rowan Cos., Inc.(b) | 8,200 | 323,572 | |||
Schlumberger Ltd. | 109,000 | 10,722,330 | |||
Smith International, Inc. | 17,900 | 1,321,915 | |||
Transocean, Inc. | 28,247 | 4,043,558 | |||
Weatherford International Ltd.(a) | 30,500 | 2,092,300 | |||
WorleyParsons Ltd. (Australia) | 37,735 | 1,699,939 | |||
31,820,107 | |||||
Exchange Traded Fund | |||||
Ishares Msci Eafe Index Fund | 4,400 | 345,400 | |||
Food & Staples Retailing — 1.2% | |||||
Casino GuichardPerrachon SA (France) | 7,748 | 842,689 | |||
Circle K Sunkus Co. Ltd. (Japan) | 5,100 | 75,383 | |||
Costco Wholesale Corp. | 40,000 | 2,790,400 | |||
CVS Corp. | 135,248 | 5,376,108 | |||
FamilyMart Co. Ltd. (Japan) | 5,100 | 159,704 | |||
Koninklijke Ahold NV (Netherlands) | 4,470 | 62,282 | |||
Kroger Co. (The) | 65,846 | 1,758,747 | |||
Matsumotokiyoshi Holdings Co. Ltd. (Japan) | 4,300 | 104,695 | |||
Safeway, Inc. | 40,100 | 1,371,821 | |||
Supervalu, Inc. | 20,010 | 750,775 | |||
Sysco Corp. | 56,100 | 1,750,881 | |||
UNY Co. Ltd. | 42,000 | 354,764 | |||
Walgreen Co.(b) | 93,100 | 3,545,248 | |||
Wal-Mart Stores, Inc.(b) | 220,800 | 10,494,624 | |||
Wesfarmers Ltd. (Australia)(a) | 2,092 | 74,761 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Food & Staples Retailing (continued) | |||||
Whole Foods Market, Inc.(b) | 14,100 | $ | 575,280 | ||
Woolworths Ltd. (Australia) | 52,604 | 1,560,025 | |||
31,648,187 | |||||
Food Products — 0.9% | |||||
Archer-Daniels-Midland Co. | 57,126 | 2,652,360 | |||
Campbell Soup Co. | 20,700 | 739,611 | |||
ConAgra Foods, Inc. | 47,300 | 1,125,267 | |||
Danisco A/S (Denmark) | 3,150 | 223,277 | |||
Dean Foods Co. | 12,000 | 310,320 | |||
East Asiatic Co. Ltd. A/S (Denmark) | 8,500 | 662,494 | |||
Futuris Corp. Ltd. (Australia) | 100,391 | 188,315 | |||
General Mills, Inc. | 29,400 | 1,675,800 | |||
Goodman Fielder Ltd. | 505,016 | 834,865 | |||
H.J. Heinz Co. | 28,000 | 1,307,040 | |||
Hershey Co. (The)(b) | 15,300 | 602,820 | |||
Kellogg Co.(b) | 24,400 | 1,279,292 | |||
Kraft Foods, Inc. | 144,053 | 4,700,449 | |||
McCormick & Co., Inc. | 11,000 | 417,010 | |||
Nestle SA (Class B Stock) (Switzerland) | 4,773 | 2,192,254 | |||
Sara Lee Corp. | 68,000 | 1,092,080 | |||
Tyson Foods, Inc. (Class A Stock)(b) | 22,700 | 347,991 | |||
Unilever NV (Netherlands) | 19,389 | 712,946 | |||
Unilever PLC (United Kingdom) | 37,773 | 1,421,112 | |||
Wilmar International Ltd. (Singapore) | 228,000 | 847,230 | |||
WM Wrigley Jr. Co. | 20,000 | 1,171,000 | |||
24,503,533 | |||||
Gas Utilities — 0.1% | |||||
Gas Natural SDG SA (Spain) | 7,157 | 418,766 | |||
Nicor, Inc. | 4,600 | 194,810 | |||
Questar Corp. | 15,200 | 822,320 | |||
1,435,896 | |||||
Healthcare Equipment & Supplies — 0.8% | |||||
Baxter International, Inc. | 58,900 | 3,419,145 | |||
Becton Dickinson & Co. | 22,400 | 1,872,192 | |||
Boston Scientific Corp.(a)(b) | 114,967 | 1,337,066 | |||
C.R. Bard, Inc. | 9,100 | 862,680 | |||
Covidien Ltd. (Bermuda) | 46,315 | 2,051,291 | |||
Hospira, Inc.(a) | 12,560 | 535,558 | |||
Medtronic, Inc. | 103,600 | 5,207,973 | |||
Olympus Corp. (Japan) | 15,000 | 611,325 | |||
St. Jude Medical, Inc.(a) | 31,200 | 1,267,968 | |||
Stryker Corp. | 21,700 | 1,621,424 | |||
Varian Medical Systems, Inc.(a) | 11,600 | 605,056 | |||
Zimmer Holdings, Inc.(a) | 22,500 | 1,488,375 | |||
20,880,053 | |||||
Healthcare Providers & Services — 1.1% | |||||
Aetna, Inc. | 46,500 | 2,684,445 | |||
AmerisourceBergen Corp. | 18,600 | 834,582 | |||
Cardinal Health, Inc. | 34,250 | 1,977,938 | |||
Cigna Corp. | 28,400 | 1,525,932 | |||
Coventry Health Care, Inc.(a) | 13,950 | 826,538 | |||
Express Scripts, Inc.(a) | 26,300 | 1,919,900 | |||
Humana, Inc.(a)(b) | 15,900 | 1,197,429 | |||
Laboratory Corp. of America Holdings(a)(b) | 11,200 | 845,936 | |||
McKesson Corp. | 26,930 | 1,764,184 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Healthcare Providers & Services (continued) | |||||
Medco Health Solutions, Inc.(a)(b) | 24,749 | $ | 2,509,549 | ||
Parkway Holdings Ltd. (Singapore) | 78,000 | 211,969 | |||
Patterson Cos., Inc.(a)(b) | 10,000 | 339,500 | |||
Quest Diagnostics, Inc.(b) | 15,100 | 798,790 | |||
Suzuken Co. Ltd. (Japan) | 10,900 | 387,979 | |||
Tenet Healthcare Corp.(a)(b) | 44,600 | 226,568 | |||
UnitedHealth Group, Inc. | 121,700 | 7,082,939 | |||
WellPoint, Inc.(a) | 54,600 | 4,790,058 | |||
29,924,236 | |||||
Healthcare Technology | |||||
IMS Health, Inc. | 17,200 | 396,288 | |||
Hotels, Restaurants & Leisure — 0.6% | |||||
Carnival Corp. | 41,400 | 1,841,886 | |||
Darden Restaurants, Inc.(b) | 13,050 | 361,616 | |||
Enterprise Inns PLC (United Kingdom) | 29,615 | 287,095 | |||
Harrah’s Entertainment, Inc. | 17,500 | 1,553,125 | |||
International Game Technology | 29,300 | 1,287,149 | |||
Marriott International, Inc. (Class A Stock) | 30,300 | 1,035,654 | |||
McDonald’s Corp.(b) | 108,900 | 6,415,299 | |||
OPAP SA (Greece) | 2,290 | 91,805 | |||
Starbucks Corp.(a) | 67,300 | 1,377,631 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 18,000 | 792,540 | |||
Wendy’s International, Inc. | 9,600 | 248,064 | |||
Wyndham Worldwide Corp. | 16,420 | 386,855 | |||
Yum! Brands, Inc. | 48,200 | 1,844,614 | |||
17,523,333 | |||||
Household Durables — 0.3% | |||||
Barratt Developments PLC (United Kingdom) | 34,117 | 309,346 | |||
Bellway PLC (United Kingdom) | 7,664 | 127,159 | |||
Black & Decker Corp. | 6,900 | 480,585 | |||
Bovis Homes Group PLC (United Kingdom) | 7,894 | 96,797 | |||
Centex Corp. | 8,700 | 219,762 | |||
D.R. Horton, Inc.(b) | 23,700 | 312,129 | |||
Fortune Brands, Inc. | 14,000 | 1,013,040 | |||
Harman International Industries, Inc. | 6,400 | 471,744 | |||
KB Home(b) | 5,700 | 123,120 | |||
Leggett & Platt, Inc. | 14,800 | 258,112 | |||
Lennar Corp.(b) | 13,300 | 237,937 | |||
Matsushita Electric Industrial Co. Ltd. (Japan) | 25,000 | 512,272 | |||
Newell Rubbermaid, Inc. | 26,414 | 683,594 | |||
Pulte Homes, Inc. | 16,100 | 169,694 | |||
Sekisui Chemical Co. Ltd. (Japan) | 108,000 | 721,391 | |||
Sekisui House Ltd. (Japan) | 90,000 | 961,953 | |||
Snap-On, Inc. | 4,900 | 236,376 | |||
Stanley Works (The) | 7,900 | 382,992 | |||
Taylor Wimpey PLC (United Kingdom) | 161,898 | 655,024 | |||
TomTom NV (Netherlands)(a) | 993 | 74,769 | |||
Whirlpool Corp. | 7,526 | 614,347 | |||
8,662,143 | |||||
Household Products — 1.1% | |||||
Clorox Co. | 13,800 | 899,346 | |||
Colgate-Palmolive Co. | 45,700 | 3,562,772 | |||
Kimberly-Clark Corp. | 41,600 | 2,884,544 | |||
Procter & Gamble Co. | 287,025 | 21,073,375 | |||
Reckitt Benckiser Group PLC (United Kingdom) | 28,625 | 1,660,428 | |||
30,080,465 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Independent Power Producers & Energy Traders — 0.1% | |||||
AES Corp. (The)(a) | 61,100 | $ | 1,306,929 | ||
Constellation Energy Group, Inc. | 17,100 | 1,753,263 | |||
Dynegy, Inc. (Class A Stock)(a) | 37,500 | 267,750 | |||
3,327,942 | |||||
Industrial Conglomerates — 1.7% | |||||
3M Co. | 65,400 | 5,514,528 | |||
Cookson Group PLC (United Kingdom) | 9,396 | 130,365 | |||
General Electric Co. | 939,000 | 34,808,729 | |||
Keppel Corp. Ltd. (Singapore) | 80,000 | 712,854 | |||
Koninklijke (Royal) Philips Electronics NV (Netherlands) | 1,202 | 51,878 | |||
Rheinmetall AG (Germany) | 626 | 50,174 | |||
SembCorp Industries Ltd. (Singapore) | 77,000 | 306,041 | |||
Siemens AG (Germany) | 4,593 | 728,063 | |||
Textron, Inc. | 21,700 | 1,547,210 | |||
Tyco International Ltd. (Bermuda) | 46,315 | 1,836,390 | |||
Wendel (France) | 3,596 | 520,181 | |||
46,206,413 | |||||
Insurance — 2.2% | |||||
ACE Ltd. (Bermuda) | 31,000 | 1,915,180 | |||
Aegon NV (Netherlands) | 23,250 | 410,972 | |||
Aflac, Inc. | 44,600 | 2,793,298 | |||
Allianz AG (Germany) | 11,366 | 2,460,747 | |||
Allstate Corp. (The) | 56,200 | 2,935,326 | |||
AMBAC Financial Group, Inc.(b) | 13,400 | 345,318 | |||
American International Group, Inc. | 236,888 | 13,810,569 | |||
AON Corp.(b) | 26,400 | 1,259,016 | |||
Assurant, Inc.(b) | 10,300 | 689,070 | |||
Aviva PLC (United Kingdom) | 71,913 | 963,402 | |||
AXA SA (France) | 32,807 | 1,313,777 | |||
Chubb Corp. | 36,700 | 2,003,086 | |||
Cincinnati Financial Corp. | 17,837 | 705,275 | |||
CNP Assurances (France) | 2,969 | 386,291 | |||
Genworth Financial, Inc. | 42,900 | 1,091,805 | |||
Hartford Financial Services Group, Inc. | 30,000 | 2,615,700 | |||
Legal & General Group PLC (United Kingdom) | 85,000 | 220,977 | |||
Lincoln National Corp. | 26,117 | 1,520,532 | |||
Loews Corp. | 41,400 | 2,084,076 | |||
Marsh & McLennan Cos., Inc. | 50,600 | 1,339,382 | |||
MBIA, Inc.(b) | 12,250 | 228,218 | |||
MetLife, Inc. | 68,500 | 4,220,969 | |||
Muenchener Rueckversicherungs-Gesellschaft AG (Germany) | 9,036 | 1,755,095 | |||
Old Mutual PLC (United Kingdom) | 64,863 | 216,399 | |||
Principal Financial Group | 25,400 | 1,748,536 | |||
Progressive Corp. (The) | 70,100 | 1,343,116 | |||
Royal & Sun Alliance Insurance Group PLC (United Kingdom) | 277,795 | 819,516 | |||
SAFECO Corp. | 11,000 | 612,480 | |||
SCOR (France) | 17,548 | 448,982 | |||
Suncorp-Metway Ltd. (Australia) | 17,009 | 251,053 | |||
Swiss Life Holding (Switzerland) | 1,397 | 349,204 | |||
Swiss Reinsurance (Switzerland) | 15,947 | 1,133,186 | |||
Torchmark Corp. | 9,000 | 544,770 | |||
Travelers Cos., Inc. (The) | 60,235 | 3,240,643 | |||
UnumProvident Corp. | 32,210 | 766,276 | |||
XL Capital Ltd. (Class A Stock) (Bermuda) | 18,300 | 920,673 | |||
Zurich Financial Services AG (Switzerland) | 4,088 | 1,200,601 | |||
60,663,516 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Internet & Catalog Retail — 0.2% | |||||
Amazon.com, Inc.(a)(b) | 27,300 | $ | 2,529,072 | ||
Expedia, Inc.(a)(b) | 16,300 | 515,406 | |||
Home Retail Group PLC (United Kingdom) | 162,348 | 1,060,000 | |||
IAC/InterActive Corp.(a)(b) | 16,900 | 454,948 | |||
4,559,426 | |||||
Internet Software & Services — 0.8% | |||||
Akamai Technologies, Inc.(a)(b) | 12,200 | 422,120 | |||
eBay, Inc.(a) | 107,700 | 3,574,563 | |||
Google, Inc. (Class A Stock)(a) | 21,250 | 14,693,950 | |||
Tencent Holdings Ltd. (China) | 57,000 | 425,726 | |||
Verisign, Inc.(a)(b) | 19,500 | 733,395 | |||
Yahoo!, Inc.(a) | 123,100 | 2,863,306 | |||
22,713,060 | |||||
IT Services — 0.4% | |||||
Affiliated Computer Services, Inc.(a) | 10,400 | 469,040 | |||
Automatic Data Processing, Inc. | 51,500 | 2,293,295 | |||
Cognizant Technology Solutions Corp.(a) | 27,200 | 923,168 | |||
Computer Sciences Corp.(a) | 14,300 | 707,421 | |||
Convergys Corp.(a) | 14,800 | 243,608 | |||
Electronic Data Systems Corp. | 47,700 | 988,821 | |||
Fidelity National Information Services, Inc. | 14,600 | 607,214 | |||
Fiserv, Inc.(a)(b) | 15,700 | 871,193 | |||
Paychex, Inc.(b) | 32,100 | 1,162,662 | |||
Unisys Corp.(a)(b) | 31,500 | 148,995 | |||
Western Union Co. | 72,110 | 1,750,831 | |||
10,166,248 | |||||
Leisure Equipment & Products — 0.1% | |||||
Brunswick Corp.(b) | 7,200 | 122,760 | |||
Eastman Kodak Co.(b) | 22,400 | 489,888 | |||
Hasbro, Inc. | 15,800 | 404,164 | |||
Mattel, Inc. | 36,451 | 694,027 | |||
Nikon Corp. (Japan) | 24,000 | 816,439 | |||
Sankyo Co. Ltd. (Japan) | 2,400 | 110,887 | |||
Yamaha Corp. (Japan) | 5,100 | 116,364 | |||
2,754,529 | |||||
Life Sciences, Tools & Services — 0.2% | |||||
Applera Corp. – Applied Biosystems Group | 17,300 | 586,816 | |||
Millipore Corp.(a)(b) | 4,700 | 343,946 | |||
PerkinElmer, Inc. | 12,800 | 333,056 | |||
Thermo Electron Corp.(a) | 39,900 | 2,301,432 | |||
Waters Corp.(a) | 9,200 | 727,444 | |||
4,292,694 | |||||
Machinery — 1.0% | |||||
Caterpillar, Inc.(b) | 58,000 | 4,208,480 | |||
Charter PLC (United Kingdom)(a) | 34,331 | 542,273 | |||
Cummins, Inc. | 9,600 | 1,222,752 | |||
Danaher Corp. | 22,300 | 1,956,602 | |||
Deere & Co. | 40,600 | 3,780,672 | |||
Dover Corp. | 19,300 | 889,537 | |||
Eaton Corp. | 12,900 | 1,250,655 | |||
Illinois Tool Works, Inc. | 38,400 | 2,055,936 | |||
Ingersoll-Rand Co. Ltd. (Class A Stock) (Bermuda) | 29,200 | 1,356,924 | |||
ITT Corp. | 16,500 | 1,089,660 | |||
Komatsu Ltd. (Japan) | 50,700 | 1,359,732 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Machinery (continued) | |||||
Komori Corp. (Japan) | 23,000 | $ | 506,837 | ||
Konecranes OYJ (Finland) | 11,581 | 399,257 | |||
Kubota Corp. (Japan) | 33,000 | 222,074 | |||
MAN AG (Germany) | 5,531 | 923,168 | |||
Manitowoc Co., Inc. (The)(b) | 10,600 | 517,598 | |||
NSK Ltd. (Japan) | 15,000 | 153,756 | |||
Paccar, Inc. | 33,843 | 1,843,767 | |||
Pall Corp. | 10,000 | 403,200 | |||
Parker Hannifin Corp. | 16,065 | 1,209,855 | |||
Sandvik AB (Sweden) | 27,499 | 473,336 | |||
Sumitomo Heavy Industries Ltd. (Japan) | 10,000 | 91,176 | |||
Terex Corp.(a) | 9,400 | 616,358 | |||
Trelleborg AB (Class B Stock) (Sweden) | 13,200 | 276,736 | |||
27,350,341 | |||||
Marine — 0.1% | |||||
Cosco Corp. (Singapore) Ltd. (Singapore) | 43,000 | 169,761 | |||
Kawasaki Kisen Kaisha Ltd. (Japan) | 35,000 | 339,777 | |||
Mitsui O.S.K. Lines Ltd. (Japan) | 96,000 | 1,213,661 | |||
Neptune Orient Lines Ltd. | 19,000 | 51,075 | |||
Nippon Yusen KK (Japan) | 55,000 | 433,290 | |||
Orient Overseas International Ltd. (Hong Kong) | 12,000 | 87,915 | |||
2,295,479 | |||||
Media — 1.3% | |||||
CBS Corp. (Class B Stock)(b) | 62,534 | 1,704,052 | |||
Clear Channel Communications, Inc. | 45,700 | 1,577,564 | |||
Comcast Corp. (Class A Stock)(a)(b) | 282,290 | 5,154,615 | |||
Daily Mail & General Trust PLC | 18,954 | 187,423 | |||
DIRECTV Group, Inc. (The)(a) | 69,200 | 1,599,904 | |||
E.W. Scripps Co. | 8,600 | 387,086 | |||
Gannett Co., Inc.(b) | 22,100 | 861,900 | |||
Gestevision Telecinco SA (Spain) | 20,419 | 522,737 | |||
Interpublic Group of Cos., Inc.(a)(b) | 37,200 | 301,692 | |||
Lagardere SCA (France) | 4,545 | 340,824 | |||
McGraw-Hill Cos., Inc. (The) | 32,500 | 1,423,825 | |||
Meredith Corp. | 2,700 | 148,446 | |||
New York Times Co. (The) (Class A Stock)(b) | 10,700 | 187,571 | |||
News Corp. (Class A Stock) | 209,500 | 4,292,655 | |||
Omnicom Group, Inc. | 31,400 | 1,492,442 | |||
Time Warner, Inc. | 340,700 | 5,624,957 | |||
Viacom, Inc. (Class B Stock)(a) | 63,734 | 2,799,197 | |||
Vivendi (France) | 43,117 | 1,978,174 | |||
Walt Disney Co. (The) | 177,300 | 5,723,244 | |||
Washington Post Co. (The) (Class B Stock) | 200 | 158,286 | |||
36,466,594 | |||||
Metals & Mining — 0.9% | |||||
Acerinox SA (Spain) | 11,138 | 274,065 | |||
Alcoa, Inc. | 81,140 | 2,965,667 | |||
Allegheny Technologies, Inc.(b) | 8,600 | 743,040 | |||
Anglo American PLC (United Kingdom) | 4,919 | 301,587 | |||
ArcelorMittal (France) | 7,301 | 587,094 | |||
BHP Billiton Ltd. (Australia) | 67,974 | 2,376,237 | |||
BHP Billiton PLC (United Kingdom) | 65,732 | 2,022,885 | |||
Boliden AB (Sweden) | 4,350 | 54,685 | |||
Freeport-McMoRan Copper & Gold, Inc.(b) | 34,694 | 3,554,053 | |||
Kobe Steel Ltd. (Japan) | 142,000 | 457,788 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Metals & Mining (continued) | |||||
Mitsubishi Materials Corp. (Japan) | 79,000 | $ | 333,582 | ||
Newmont Mining Corp. (Netherlands) | 42,500 | 2,075,275 | |||
Nippon Steel Corp. (Japan) | 25,000 | 153,024 | |||
Nisshin Steel Co. Ltd. (Japan) | 80,000 | 276,412 | |||
Nucor Corp. | 27,400 | 1,622,628 | |||
Outokumpu OYJ (Class A Stock) (Finland) | 12,357 | 383,192 | |||
Rio Tinto Group PLC (United Kingdom) | 25,934 | 2,744,866 | |||
Salzgitter AG (Germany) | 6,516 | 964,582 | |||
Sumitomo Metal Mining Co. Ltd. | 13,000 | 219,785 | |||
ThyssenKrupp AG (Germany) | 25,213 | 1,414,054 | |||
Titanium Metals Corp.(b) | 4,000 | 105,800 | |||
United States Steel Corp. | 11,400 | 1,378,374 | |||
Voestalpine AG (Australia) | 4,504 | 325,632 | |||
Xstrata PLC (Switzerland) | 1,622 | 114,621 | |||
Yamato Kogyo Co. Ltd. (Japan) | 4,000 | 161,949 | |||
25,610,877 | |||||
Multiline Retail — 0.4% | |||||
Big Lots, Inc.(a)(b) | 9,200 | 147,108 | |||
Dillard’s, Inc. | 3,000 | 56,340 | |||
Family Dollar Stores, Inc.(b) | 13,700 | 263,451 | |||
J.C. Penney Co., Inc. | 21,100 | 928,189 | |||
Kohl’s Corp.(a) | 28,400 | 1,300,720 | |||
Macy’s, Inc. | 39,974 | 1,034,127 | |||
Marks & Spencer Group PLC (United Kingdom) | 66,968 | 746,518 | |||
Next PLC (United Kingdom) | 4,240 | 137,068 | |||
Nordstrom, Inc. | 16,900 | 620,737 | |||
Ryohin Keikaku Co. Ltd. (Japan) | 1,100 | 66,031 | |||
Sears Holding Corp.(a)(b) | 6,342 | 647,201 | |||
Target Corp. | 75,400 | 3,770,001 | |||
9,717,491 | |||||
Multi-Utilities — 0.6% | |||||
AGL Energy Ltd. (Australia) | 5,626 | 65,493 | |||
Ameren Corp.(b) | 18,100 | 981,201 | |||
CenterPoint Energy, Inc. | 27,800 | 476,214 | |||
Centrica PLC (United Kingdom) | 156,299 | 1,116,177 | |||
CMS Energy Corp.(b) | 22,000 | 382,360 | |||
Consolidated Edison, Inc.(b) | 25,000 | 1,221,250 | |||
Dominion Resources, Inc. | 51,832 | 2,459,428 | |||
DTE Energy Co.(b) | 16,800 | 738,528 | |||
Integrys Energy Group, Inc. | 7,020 | 362,864 | |||
National Grid PLC (United Kingdom) | 93,691 | 1,555,424 | |||
NiSource, Inc. | 26,900 | 508,141 | |||
PG&E Corp. | 33,400 | 1,439,206 | |||
Public Service Enterprise Group, Inc. | 23,100 | 2,269,344 | |||
RWE AG (Germany) | 2,040 | 287,671 | |||
Sempra Energy | 24,219 | 1,498,672 | |||
Suez SA (France) | 9,814 | 668,213 | |||
TECO Energy, Inc. | 15,500 | 266,755 | |||
Xcel Energy, Inc. | 39,110 | 882,713 | |||
17,179,654 | |||||
Office Electronics — 0.1% | |||||
Canon, Inc. (Japan) | 13,600 | 622,426 | |||
Konica Minolta Holdings, Inc. (Japan) | 15,000 | 262,965 | |||
Ricoh Co. Ltd. (Japan) | 64,000 | 1,168,406 | |||
Xerox Corp. | 90,900 | 1,471,670 | |||
3,525,467 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Oil, Gas & Consumable Fuels — 5.1% | |||||
Anadarko Petroleum Corp.(b) | 42,254 | $ | 2,775,665 | ||
Apache Corp. | 31,014 | 3,335,246 | |||
BP PLC (United Kingdom) | 317,921 | 3,892,058 | |||
Chesapeake Energy Corp. | 40,800 | 1,599,360 | |||
Chevron Corp. | 196,722 | 18,360,064 | |||
ConocoPhillips | 149,577 | 13,207,649 | |||
CONSOL Energy, Inc.(b) | 17,300 | 1,237,296 | |||
Devon Energy Corp. | 41,600 | 3,698,656 | |||
El Paso Corp. | 64,336 | 1,109,153 | |||
ENI SpA (Italy) | 31,149 | 1,140,814 | |||
EOG Resources, Inc. | 22,800 | 2,034,900 | |||
Exxon Mobil Corp. | 507,440 | 47,542,053 | |||
Hess Corp.(b) | 25,800 | 2,602,188 | |||
Idemitsu Kosan Co. Ltd. (Japan) | 2,300 | 242,247 | |||
Marathon Oil Corp. | 65,782 | 4,003,493 | |||
Murphy Oil Corp. | 16,900 | 1,433,796 | |||
Nippon Oil Corp. (Japan) | 157,000 | 1,269,247 | |||
Noble Energy | 14,500 | 1,153,040 | |||
Occidental Petroleum Corp. | 76,300 | 5,874,337 | |||
OMV AG (Austria) | 17,321 | 1,403,468 | |||
Peabody Energy Corp.(b) | 22,800 | 1,405,392 | |||
Range Resources Corp. | 10,800 | 554,688 | |||
Repsol YPF SA (Spain) | 30,682 | 1,093,655 | |||
Royal Dutch Shell PLC (Netherlands) | 34,918 | 1,467,312 | |||
Royal Dutch Shell PLC (Class B Stock) (Netherlands) | 57,915 | 2,409,474 | |||
Singapore Petroleum Co. Ltd. (Singapore) | 151,000 | 788,307 | |||
Spectra Energy Corp. | 58,762 | 1,517,235 | |||
Sunoco, Inc. | 11,000 | 796,840 | |||
Tesoro Corp. | 12,600 | 601,020 | |||
Total SA (France) | 32,825 | 2,727,378 | |||
Valero Energy Corp. | 51,000 | 3,571,530 | |||
Williams Cos., Inc. | 55,500 | 1,985,790 | |||
XTO Energy, Inc. | 44,541 | 2,287,626 | |||
139,120,977 | |||||
Paper & Forest Products — 0.1% | |||||
International Paper Co. | 39,473 | 1,278,136 | |||
MeadWestvaco Corp.(b) | 16,314 | 510,628 | |||
Mondi Ltd. (South Africa) | 3,086 | 29,125 | |||
Mondi PLC (United Kingdom) | 39,537 | 334,486 | |||
Sonae Industria-SGPS SA (Portugal)(a) | 31,903 | 310,182 | |||
Weyerhaeuser Co.(b) | 19,100 | 1,408,433 | |||
3,870,990 | |||||
Personal Products — 0.1% | |||||
Avon Products, Inc. | 40,500 | 1,600,965 | |||
Estee Lauder Cos., Inc. (The) (Class A Stock)(b) | 10,400 | 453,544 | |||
Oriflame Cosmetics SA (Luxembourg) | 2,300 | 146,971 | |||
2,201,480 | |||||
Pharmaceuticals — 3.1% | |||||
Abbott Laboratories | 141,200 | 7,928,380 | |||
Allergan, Inc.(b) | 26,900 | 1,728,056 | |||
Astellas Pharma, Inc. (Japan) | 10,200 | 442,380 | |||
AstraZeneca PLC (United Kingdom) | 40,585 | 1,748,267 | |||
Barr Pharmaceuticals, Inc.(a)(b) | 8,400 | 446,040 | |||
Bristol-Myers Squibb Co. | 183,000 | 4,853,160 | |||
Eli Lilly & Co. | 90,100 | 4,810,439 | |||
Forest Laboratories, Inc.(a) | 29,500 | 1,075,275 | |||
GlaxoSmithKline PLC (United Kingdom) | 96,025 | 2,444,780 | |||
H Lundbeck A/S (Denmark) | 4,600 | 124,469 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Pharmaceuticals (continued) | |||||
Johnson & Johnson | 265,948 | $ | 17,738,733 | ||
King Pharmaceuticals, Inc.(a) | 23,566 | 241,316 | |||
Kyowa Hakko Kogyo Co. Ltd. (Japan) | 33,000 | 352,442 | |||
Merck & Co., Inc. | 199,300 | 11,581,323 | |||
Mylan Laboratories, Inc.(b) | 20,900 | 293,854 | |||
Novartis AG (Switzerland) | 15,158 | 831,437 | |||
Pfizer, Inc. | 638,745 | 14,518,675 | |||
Roche Holding AG (Switzerland) | 6,631 | 1,145,629 | |||
Sanofi-Aventis (France) | 20,404 | 1,878,802 | |||
Schering-Plough Corp. | 146,800 | 3,910,752 | |||
Shire PLC (United Kingdom) | 14,574 | 333,337 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) | 7,600 | 443,998 | |||
Watson Pharmaceuticals, Inc.(a) | 12,200 | 331,108 | |||
Wyeth | 122,800 | 5,426,532 | |||
84,629,184 | |||||
Real Estate Investment Trusts — 0.5% | |||||
Apartment Investment & Management Co. (Class A Stock)(b) | 10,800 | 375,084 | |||
AvalonBay Communities, Inc. | 7,400 | 696,636 | |||
Boston Properties, Inc.(b) | 11,800 | 1,083,358 | |||
Developers Diversified Realty Corp. | 11,300 | 432,677 | |||
Equity Residential(b) | 27,100 | 988,337 | |||
General Growth Properties, Inc.(b) | 24,000 | 988,320 | |||
Host Hotels & Resorts, Inc.(b) | 52,500 | 894,600 | |||
ING Industrial Fund (Australia) | 304,765 | 675,227 | |||
Kimco Realty Corp.(b) | 23,500 | 855,400 | |||
Mirvac Group (Australia) | 76,695 | 400,814 | |||
Plum Creek Timber Co., Inc.(b) | 15,100 | 695,204 | |||
ProLogis(b) | 24,400 | 1,546,472 | |||
Public Storage, Inc. | 10,900 | 800,169 | |||
Simon Property Group, Inc.(b) | 20,600 | 1,789,316 | |||
Vornado Realty Trust | 13,000 | 1,143,350 | |||
Westfield Group (Australia) | 2,690 | 49,180 | |||
13,414,144 | |||||
Real Estate Management & Development — 0.1% | |||||
CB Richard Ellis Group, Inc.(a)(b) | 18,800 | 405,140 | |||
Cheung Kong Holdings Ltd. (Hong Kong) | 35,000 | 639,431 | |||
City Developments Ltd. (Singapore) | 11,000 | 107,127 | |||
Forestar Real Estate Group, Inc.(a) | 3,233 | 76,274 | |||
K.K. DaVinci Advisors (Japan)(a) | 332 | 287,629 | |||
Leopalace21 Corp. (Japan) | 11,400 | 306,292 | |||
Swire Pacific Ltd. (Hong Kong) | 28,000 | 383,687 | |||
Wharf (Holdings) Ltd. (The) (Hong Kong) | 139,000 | 719,051 | |||
Wihlborgs Fastigheter AB (Sweden) | 2,924 | 52,366 | |||
2,976,997 | |||||
Road & Rail — 0.3% | |||||
Burlington Northern Santa Fe Corp. | 27,500 | 2,288,825 | |||
CSX Corp. | 40,600 | 1,785,588 | |||
Norfolk Southern Corp. | 34,800 | 1,755,312 | |||
Ryder System, Inc. | 6,900 | 324,369 | |||
Seino Transportation Co. Ltd. (Japan) | 27,000 | 181,676 | |||
Union Pacific Corp. | 24,600 | 3,090,252 | |||
9,426,022 | |||||
Semiconductors & Semiconductor Equipment — 1.2% | |||||
Advanced Micro Devices, Inc.(a)(b) | 45,100 | 338,250 | |||
Altera Corp. | 33,500 | 647,220 |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Semiconductors & Semiconductor Equipment (continued) | |||||
Analog Devices, Inc. | 27,400 | $ | 868,580 | ||
Applied Materials, Inc.(b) | 124,900 | 2,218,224 | |||
ASML Holding N.V. (Netherlands)(a) | 4,934 | 156,250 | |||
Broadcom Corp. (Class A Stock)(a)(b) | 43,950 | 1,148,853 | |||
Intel Corp. | 540,700 | 14,415,062 | |||
KLA-Tencor Corp. | 17,600 | 847,616 | |||
Linear Technology Corp.(b) | 20,300 | 646,149 | |||
LSI Logic Corp.(a) | 58,800 | 312,228 | |||
MEMC Electronic Materials, Inc.(a) | 19,700 | 1,743,253 | |||
Microchip Technology, Inc.(b) | 17,800 | 559,276 | |||
Micron Technology, Inc.(a)(b) | 58,400 | 423,400 | |||
National Semiconductor Corp.(b) | 23,900 | 541,096 | |||
Novellus Systems, Inc.(a) | 10,400 | 286,728 | |||
NVIDIA Corp.(a)(b) | 51,450 | 1,750,329 | |||
Teradyne, Inc.(a)(b) | 19,300 | 199,562 | |||
Texas Instruments, Inc.(b) | 130,100 | 4,345,340 | |||
Xilinx, Inc. | 25,400 | 555,498 | |||
32,002,914 | |||||
Software — 1.7% | |||||
Adobe Systems, Inc.(a) | 54,700 | 2,337,331 | |||
Autodesk, Inc.(a)(b) | 21,800 | 1,084,768 | |||
BMC Software, Inc.(a) | 18,500 | 659,340 | |||
CA, Inc. | 35,664 | 889,817 | |||
Citrix Systems, Inc.(a)(b) | 16,400 | 623,364 | |||
Compuware Corp.(a) | 34,000 | 301,920 | |||
Electronic Arts, Inc.(a)(b) | 27,500 | 1,606,275 | |||
Intuit, Inc.(a) | 31,100 | 983,071 | |||
Microsoft Corp. | 746,500 | 26,575,400 | |||
Nintendo Co. Ltd. (Japan) | 3,500 | 2,055,032 | |||
Novell, Inc.(a) | 24,200 | 166,254 | |||
Oracle Corp.(a) | 362,500 | 8,185,250 | |||
Symantec Corp.(a)(b) | 85,078 | 1,373,159 | |||
46,840,981 | |||||
Specialty Retail — 0.7% | |||||
Abercrombie & Fitch Co. | 8,700 | 695,739 | |||
AutoNation, Inc.(a)(b) | 16,974 | 265,813 | |||
AutoZone, Inc.(a) | 4,800 | 575,568 | |||
Bed Bath & Beyond, Inc.(a) | 26,700 | 784,713 | |||
Belle International Holdings Ltd. (China) | 32,000 | 47,873 | |||
Best Buy Co., Inc.(b) | 35,225 | 1,854,596 | |||
Circuit City Stores, Inc. | 10,000 | 42,000 | |||
Esprit Holdings Ltd. (Hong Kong) | 38,800 | 571,340 | |||
GameStop Corp. (Class A Stock)(a) | 12,500 | 776,375 | |||
Gap, Inc. (The)(b) | 43,200 | 919,296 | |||
Hennes & Mauritz AB (Class B Stock) (Sweden) | 1,550 | 94,369 | |||
Hikari Tsushin, Inc. (Japan) | 3,800 | 128,941 | |||
Home Depot, Inc. | 154,250 | 4,155,496 | |||
Limited Brands, Inc.(b) | 31,106 | 588,837 | |||
Lowe’s Cos., Inc. | 135,100 | 3,055,962 | |||
Office Depot, Inc.(a) | 27,800 | 386,698 | |||
OfficeMax, Inc. | 7,500 | 154,950 | |||
RadioShack Corp.(b) | 11,200 | 188,832 | |||
Sherwin-Williams Co. (The)(b) | 9,500 | 551,380 | |||
Shimachu Co. Ltd. (Japan) | 2,700 | 76,070 | |||
Staples, Inc. | 67,549 | 1,558,355 | |||
Tiffany & Co. | 11,600 | 533,948 | |||
TJX Cos., Inc. (The) | 40,600 | 1,166,438 | |||
19,173,589 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Textiles, Apparel & Luxury Goods — 0.2% | |||||
Coach, Inc.(a) | 34,000 | $ | 1,039,720 | ||
Jones Apparel Group, Inc. | 12,600 | 201,474 | |||
Liz Claiborne, Inc.(b) | 10,900 | 221,815 | |||
NIKE, Inc. (Class B Stock) | 35,000 | 2,248,400 | |||
Nisshinbo Industries, Inc. (Japan) | 15,000 | 182,902 | |||
Polo Ralph Lauren Corp. | 5,300 | 327,487 | |||
Swatch Group AG (Switzerland) | 6,606 | 390,064 | |||
VF Corp. | 8,100 | 556,146 | |||
5,168,008 | |||||
Thrifts & Mortgage Finance — 0.3% | |||||
Countrywide Financial Corp.(b) | 56,200 | 502,428 | |||
Fannie Mae | 88,800 | 3,550,224 | |||
Freddie Mac | 60,100 | 2,047,607 | |||
Guaranty Financial Group, Inc.(a) | 3,233 | 51,733 | |||
Hudson City Bancorp, Inc. | 59,500 | 893,690 | |||
MGIC Investment Corp.(b) | 8,800 | 197,384 | |||
Sovereign Bancorp, Inc.(b) | 38,955 | 444,087 | |||
Washington Mutual, Inc.(b) | 81,178 | 1,104,833 | |||
8,791,986 | |||||
Tobacco — 0.7% | |||||
Altria Group, Inc. | 193,500 | 14,624,730 | |||
British American Tobacco (United Kingdom) | 15,561 | 608,674 | |||
Imperial Tobacco Group (United Kingdom) | 34,579 | 1,866,754 | |||
Reynolds American, Inc.(b) | 17,700 | 1,167,492 | |||
UST, Inc. | 15,100 | 827,480 | |||
19,095,130 | |||||
Trading Companies & Distributors — 0.2% | |||||
Itochu Corp. (Japan) | 67,000 | 646,526 | |||
Marubeni Corp. (Japan) | 86,000 | 602,603 | |||
Mitsubishi Corp. (Japan) | 24,000 | 649,553 | |||
Mitsui & Co. Ltd. (Japan) | 61,000 | 1,273,840 | |||
Sumitomo Corp. (Japan) | 39,200 | 548,461 | |||
W.W. Grainger, Inc. | 6,900 | 603,888 | |||
4,324,871 | |||||
Transportation Infrastructure | |||||
Hopewell Holdings (Hong Kong) | 77,000 | 353,036 | |||
Kamigumi Co. Ltd. (Japan) | 13,000 | 93,813 | |||
446,849 | |||||
Wireless Telecommunication Services — 0.4% | |||||
American Tower Corp. (Class A Stock)(a) | 34,800 | 1,482,480 | |||
KDDI Corp. (Japan) | 97 | 717,710 | |||
Sprint Nextel Corp. | 260,077 | 3,414,811 | |||
Vodafone Group PLC (United Kingdom) | 1,132,143 | 4,232,353 | |||
9,847,354 | |||||
TOTAL COMMON STOCKS | 1,399,137,384 | ||||
PREFERRED STOCKS | |||||
Automobiles | |||||
Porsche AG (Germany) | 372 | 751,158 | |||
Diversified Financial Services | |||||
Istituto Finanziario Industriale SpA (Italy)(a) | 1,432 | 48,782 | |||
TOTAL PREFERRED STOCKS | 799,940 | ||||
RIGHTS | |||||
Real Estate Management & Development | |||||
Wharf (Holdings) Ltd. (The) (Hong Kong), expiring 1/8/08 (a) | 17,375 | 23,843 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS — 35.9% | ||||||||||
Aerospace/Defense — 0.2% | ||||||||||
BAE Systems Holdings, Inc., 144A | ||||||||||
4.75% | 08/15/10 | Baa2 | $ | 2,000 | $ | 2,014,174 | ||||
Boeing Capital Corp.(b) | ||||||||||
6.10% | 03/01/11 | A2 | 975 | 1,021,960 | ||||||
Goodrich Corp. | ||||||||||
6.80% | 07/01/36 | Baa2 | 811 | 866,613 | ||||||
Northrop Grumman Corp. | ||||||||||
7.125% | 02/15/11 | Baa1 | 1,025 | 1,092,390 | ||||||
Raytheon Co. | ||||||||||
5.50% | 11/15/12 | Baa1 | 625 | 650,746 | ||||||
5,645,883 | ||||||||||
Airlines — 0.2% | ||||||||||
American Airlines, Inc.(b) | ||||||||||
6.817% | 05/23/11 | Ba1 | 2,420 | 2,344,375 | ||||||
Continental Airlines, Inc. | ||||||||||
6.648% | 09/15/17 | Baa2 | 326 | 327,384 | ||||||
6.703% | 06/15/21 | Baa2 | 168 | 168,493 | ||||||
Delta Air Lines, Inc., 144A(b) | ||||||||||
6.821% | 08/10/22 | Baa1 | 500 | 472,550 | ||||||
Southwest Airlines Co. | ||||||||||
6.50% | 03/01/12 | Baa1 | 965 | 999,259 | ||||||
4,312,061 | ||||||||||
Asset Backed Securities — 1.2% | ||||||||||
American Express Credit Account Master Trust I, 144A(g), | ||||||||||
Series 2004-4, Class C | ||||||||||
5.4975% | 03/15/12 | Baa1 | 1,510 | 1,486,166 | ||||||
Series 2004-C, Class C | ||||||||||
5.5275% | 02/15/12 | Baa1 | 502 | 502,240 | ||||||
Amortizing Residential Collateral Trust(g), | ||||||||||
Series 2002-BC9, Class M1 | ||||||||||
6.515% | 12/25/32 | Aa2 | 2,664 | 2,398,609 | ||||||
Bank of America Credit Card Trust(g), | ||||||||||
Series 2006-C5, Class C5 | ||||||||||
5.4275% | 01/15/16 | Baa2 | 4,159 | 3,851,582 | ||||||
Bank One Issuance Trust, | ||||||||||
Series 2003-C1, Class C1 | ||||||||||
4.54% | 09/15/10 | Baa2 | 2,445 | 2,444,828 | ||||||
CDC Mortgage Capital Trust(g), | ||||||||||
Series 2002-HE3, Class M1 | ||||||||||
6.515% | 03/25/33 | A1 | 1,003 | 796,552 | ||||||
Series 2003-HE1, Class M2 | ||||||||||
7.79% | 08/25/33 | Baa2 | 81 | 39,560 | ||||||
Centex Home Equity(g), | ||||||||||
Series 2005-A, Class M2 | ||||||||||
5.365% | 01/25/35 | Aa2 | 2,250 | 2,054,964 | ||||||
Citibank Credit Card Issuance Trust(g), | ||||||||||
Series 2006-C1, Class C1 | ||||||||||
5.3488% | 02/20/15 | Baa2 | 1,500 | 1,378,934 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||||
Series 2005-CB6, Class A3 | ||||||||||
5.12% | 07/25/35 | Aaa | 1,740 | 1,730,541 | ||||||
Equity One ABS, Inc., | ||||||||||
Series 2004-3, Class M1 | ||||||||||
5.70% | 07/25/34 | Aa2 | 1,660 | 1,525,603 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Asset Backed Securities (continued) | ||||||||||
First Franklin Mortgage Loan Trust(g), | ||||||||||
Series 2005-FFH1, Class M2 | ||||||||||
5.385% | 06/25/36 | Aa2 | $ | 1,800 | $ | 1,611,268 | ||||
HFC Home Equity Loan Trust(g), | ||||||||||
Series 2005-2, Class M2 | ||||||||||
5.4388% | 01/20/35 | Aa1 | 662 | 579,260 | ||||||
MBNA Master Credit Card Trust, | ||||||||||
Series 1999-J, Class A | ||||||||||
7.00% | 02/15/12 | Aaa | 2,370 | 2,481,649 | ||||||
Morgan Stanley ABS Capital I(g), | ||||||||||
Series 2004-NC3, Class M2 | ||||||||||
5.965% | 03/25/34 | A2 | 1,183 | 1,090,030 | ||||||
Morgan Stanley Dean Witter Capital I(g), | ||||||||||
Series 2002-HE1, Class M1 | ||||||||||
5.765% | 07/25/32 | Aa2 | 1,721 | 1,643,423 | ||||||
Series 2002-NC4, Class M1 | ||||||||||
6.14% | 09/25/32 | Aaa | 1,548 | 1,500,912 | ||||||
Saxon Asset Securities Trust(g), | ||||||||||
Series 2005-2, Class M2 | ||||||||||
5.305% | 10/25/35 | Aa2 | 1,480 | 1,427,023 | ||||||
Securitized Asset Backed Receivables LLC(g), | ||||||||||
Series 2004-OP1, Class M1 | ||||||||||
5.375% | 02/25/34 | Aa2 | 1,660 | 1,618,409 | ||||||
Series 2006-FR3, Class A3 | ||||||||||
5.115% | 05/25/36 | Aaa | 1,400 | 1,092,000 | ||||||
SVO VOI Mortgage Corp., | ||||||||||
Series 2005-AA, Class A, 144A | ||||||||||
5.25% | 02/20/21 | Aaa | 771 | 764,559 | ||||||
WFS Financial Owner Trust, | ||||||||||
Series 2004-4, Class D | ||||||||||
3.58% | 05/17/12 | A2 | 296 | 294,207 | ||||||
32,312,319 | ||||||||||
Automotive — 0.1% | ||||||||||
Johnson Controls, Inc. | ||||||||||
5.50% | 01/15/16 | Baa1 | 235 | 231,554 | ||||||
Oshkosh Truck Corp., Bank Loan(j) | ||||||||||
6.90% | 12/06/13 | Ba3 | 1,975 | 1,893,307 | ||||||
2,124,861 | ||||||||||
Banking — 0.7% | ||||||||||
Banco Bradesco (Cayman Islands) | ||||||||||
8.75% | 10/24/13 | A2 | 1,690 | 1,913,925 | ||||||
Bank of America NA | ||||||||||
5.30% | 03/15/17 | Aa1 | 850 | 826,520 | ||||||
6.00%(b) | 10/15/36 | Aa1 | 1,300 | 1,243,353 | ||||||
Bank One Corp. | ||||||||||
7.875% | 08/01/10 | Aa3 | 2,500 | 2,696,662 | ||||||
Citigroup, Inc. | ||||||||||
5.625%(b) | 08/27/12 | A1 | 1,900 | 1,924,664 | ||||||
6.125% | 08/25/36 | A1 | 725 | 686,205 | ||||||
DEPFA ACS Bank (Ireland), 144A | ||||||||||
5.125% | 03/16/37 | Aaa | 1,325 | 1,309,660 | ||||||
HSBC Bank USA, Senior Notes | ||||||||||
3.875% | 09/15/09 | Aa2 | 250 | 247,662 | ||||||
ICICI Bank Ltd. (India), 144A(g) | ||||||||||
5.7875% | 01/12/10 | Baa2 | 1,880 | 1,855,748 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Banking (continued) | ||||||||||
ICICI Bank Ltd. (Singapore), 144A | ||||||||||
5.75% | 11/16/10 | Baa2 | $ | 1,670 | $ | 1,656,638 | ||||
J.P. Morgan Chase & Co. | ||||||||||
4.60% | 01/17/11 | Aa2 | 975 | 972,166 | ||||||
6.50% | 01/15/09 | Aa3 | 1,100 | 1,109,854 | ||||||
MUFG Capital Finance Group Ltd. (Cayman Islands)(g) | ||||||||||
6.346% | 07/29/49 | A2 | 800 | 757,707 | ||||||
Santander Central Hispano Issuances Ltd. (Cayman Islands) | ||||||||||
7.625% | 09/14/10 | Aa2 | 805 | 861,879 | ||||||
Wells Fargo Bank | ||||||||||
6.45% | 02/01/11 | Aa1 | 90 | 95,216 | ||||||
18,157,859 | ||||||||||
Brokerage — 0.6% | ||||||||||
Bear Stearns Companies, Inc. (The) | ||||||||||
5.30% | 10/30/15 | A2 | 550 | 503,884 | ||||||
6.40%(c) | 10/02/17 | A2 | 270 | 260,863 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||||
5.45%(b) | 11/01/12 | Aa3 | 580 | 591,287 | ||||||
5.625% | 01/15/17 | A1 | 765 | 747,081 | ||||||
6.45% | 05/01/36 | A1 | 1,770 | 1,662,902 | ||||||
6.75% | 10/01/37 | A1 | 678 | 664,289 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||||
5.25%(b) | 02/06/12 | A1 | 1,850 | 1,830,552 | ||||||
6.50% | 07/19/17 | A2 | 514 | 520,095 | ||||||
Merrill Lynch & Co., Inc. | ||||||||||
4.25% | 02/08/10 | A1 | 1,470 | 1,441,038 | ||||||
4.79% | 08/04/10 | A1 | 375 | 371,579 | ||||||
5.00% | 01/15/15 | A1 | 190 | 179,175 | ||||||
5.77% | 07/25/11 | A1 | 355 | 356,074 | ||||||
6.40%(b) | 08/28/17 | A1 | 1,285 | 1,305,506 | ||||||
Morgan Stanley Group, Inc. | ||||||||||
4.75% | 04/01/14 | A1 | 1,510 | 1,414,650 | ||||||
5.25%, M.T.N.(b) | 11/02/12 | Aa3 | 870 | 869,710 | ||||||
5.45%, M.T.N. | 01/09/17 | Aa3 | 670 | 649,948 | ||||||
5.75%, M.T.N. | 10/18/16 | Aa3 | 1,860 | 1,835,386 | ||||||
5.95%, M.T.N. | 12/28/17 | Aa3 | 600 | 599,572 | ||||||
15,803,591 | ||||||||||
Building Materials & Construction — 0.2% | ||||||||||
American Standard, Inc. | ||||||||||
7.625% | 02/15/10 | Baa3 | 1,000 | 1,050,066 | ||||||
Centex Corp.(b) | ||||||||||
6.50% | 05/01/16 | Ba1 | 315 | 279,964 | ||||||
Hanson PLC (United Kingdom) | ||||||||||
7.875% | 09/27/10 | Baa3 | 1,270 | 1,377,896 | ||||||
Lafarge SA (France) | ||||||||||
6.15% | 07/15/11 | Baa2 | 1,100 | 1,131,539 | ||||||
Ryland Group, Inc. | ||||||||||
5.375% | 06/01/08 | Ba1 | 201 | 199,807 | ||||||
4,039,272 | ||||||||||
Cable — 0.3% | ||||||||||
AT&T Broadband | ||||||||||
9.455% | 11/15/22 | Baa2 | 115 | 146,239 | ||||||
Cox Communications, Inc. | ||||||||||
6.75% | 03/15/11 | Baa3 | 1,195 | 1,253,620 | ||||||
7.875% | 08/15/09 | Baa3 | 1,160 | 1,213,612 |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31,��2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Cable (continued) | ||||||||||
Insight Midwest Holdings LLC, Bank Loan(j) | ||||||||||
6.753% | 10/06/13 | Ba2 | $ | 1,800 | $ | 1,724,999 | ||||
Tele-Communications, Inc. | ||||||||||
9.875% | 06/15/22 | Baa2 | 1,440 | 1,951,921 | ||||||
Time Warner Cable, Inc. | ||||||||||
5.40% | 07/02/12 | Baa2 | 2,410 | 2,414,844 | ||||||
8,705,235 | ||||||||||
Capital Goods — 0.4% | ||||||||||
Caterpillar Financial Service Corp. | ||||||||||
5.50% | 03/15/16 | A2 | 780 | 784,778 | ||||||
Caterpillar, Inc. | ||||||||||
7.25% | 09/15/09 | A2 | 1,000 | 1,046,765 | ||||||
Erac USA Finance Co., 144A | ||||||||||
5.80% | 10/15/12 | Baa2 | 460 | 456,352 | ||||||
6.375% | 10/15/17 | Baa2 | 1,198 | 1,157,403 | ||||||
7.00% | 10/15/37 | Baa2 | 470 | 426,868 | ||||||
7.35% | 06/15/08 | Baa2 | 2,450 | 2,470,910 | ||||||
FedEx Corp. | ||||||||||
7.25% | 02/15/11 | Baa2 | 480 | 510,990 | ||||||
General Electric Co. | ||||||||||
5.25% | 12/06/17 | Aaa | 115 | 114,755 | ||||||
Honeywell International, Inc. | ||||||||||
6.125% | 11/01/11 | A2 | 1,120 | 1,172,616 | ||||||
Sensata Technologies, Bank Loan(j) | ||||||||||
6.93% | 04/27/13 | Ba3 | 1,393 | 1,320,298 | ||||||
United Technologies Corp.(e) | ||||||||||
6.35% | 03/01/11 | A2 | 810 | 862,478 | ||||||
8.875% | 11/15/19 | A2 | 375 | 486,244 | ||||||
10,810,457 | ||||||||||
Chemicals — 0.1% | ||||||||||
Dow Chemical Co. | ||||||||||
5.97% | 01/15/09 | A3 | 430 | 435,593 | ||||||
6.125% | 02/01/11 | A3 | 690 | 715,876 | ||||||
ICI Wilmington, Inc. | ||||||||||
5.625% | 12/01/13 | Baa2 | 780 | 802,147 | ||||||
Lubrizol Corp. | ||||||||||
4.625% | 10/01/09 | Baa3 | 1,090 | 1,094,637 | ||||||
Union Carbide Corp. | ||||||||||
7.50% | 06/01/25 | Ba2 | 500 | 518,133 | ||||||
3,566,386 | ||||||||||
Collateralized Mortgage Obligations — 0.7% | ||||||||||
Bank of America Alternative Loan Trust, | ||||||||||
Series 2005-12, Class 3CB1 | ||||||||||
6.00% | 01/25/36 | Aaa | 3,930 | 3,762,568 | ||||||
Bank of America Mortgage Securities, Inc.(g), | ||||||||||
Series 2005-A, Class 2A1(g) | ||||||||||
4.4612% | 02/25/35 | Aaa | 1,272 | 1,258,769 | ||||||
Series 2005-B, Class 2A1 | ||||||||||
4.3819% | 03/25/35 | Aaa | 1,191 | 1,181,409 | ||||||
Chase Mortgage Finance Corp.(g), | ||||||||||
Series 2007-A1, Class 1A5 | ||||||||||
4.356% | 02/25/37 | Aaa | 4,222 | 4,169,715 | ||||||
Countrywide Alternative Loan Trust, | ||||||||||
Pass-Thru Certificates, Series 2004-18CB, Class 3A1 | ||||||||||
5.25% | 09/25/19 | Aaa | 1,902 | 1,859,805 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | |||||||
LONG-TERM BONDS (continued) | |||||||||||
Collateralized Mortgage Obligations (continued) | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp.(g), | |||||||||||
Series 2007-A1, Class 4A1 | |||||||||||
4.071% | 07/25/35 | Aaa | $ | 2,632 | $ | 2,613,069 | |||||
Master Alternative Loans Trust, | |||||||||||
Pass-Thru Certificates, Series 2004-4, Class 4A1 | |||||||||||
5.00% | 04/25/19 | Aaa | 496 | 492,867 | |||||||
Structured Adjustable Rate Mortgage Loan(g), | |||||||||||
Series 2004-1, Class 4A3 | |||||||||||
4.17% | 02/25/34 | Aaa | 1,146 | 1,167,378 | |||||||
Washington Mutual Alternative Loan Trust, | |||||||||||
Mortgage Pass-Thru Certificates, Series 2005-1, Class 3A | |||||||||||
5.00% | 03/25/20 | AAA | (d) | 1,118 | 1,091,784 | ||||||
17,597,364 | |||||||||||
Commercial Mortgage Backed Securities — 4.6% | |||||||||||
Bank of America Commercial Mortgage, Inc., | |||||||||||
Series 2003-2, Class A3(g) | |||||||||||
4.873% | 03/11/41 | AAA | (d) | 3,350 | 3,355,720 | ||||||
Series 2004-2, Class A4 | |||||||||||
4.153% | 11/10/38 | Aaa | 3,680 | 3,618,124 | |||||||
Series 2004-3, Class A4 | |||||||||||
5.176% | 06/10/39 | Aaa | 2,000 | 2,025,422 | |||||||
Series 2005-1, Class ASB(g) | |||||||||||
4.85% | 11/10/42 | AAA | (d) | 1,100 | 1,101,273 | ||||||
Series 2006-2 A4(g) | |||||||||||
5.7401% | 05/10/45 | AAA | (d) | 4,400 | 4,547,625 | ||||||
Series 2007-1, Class A4 | |||||||||||
5.451% | 01/15/49 | Aaa | 3,500 | 3,517,117 | |||||||
Bear Stearns Commercial Mortgage Securities(g), | |||||||||||
Series 2004-T16, Class A6 | |||||||||||
4.75% | 02/13/46 | AAA | (d) | 3,500 | 3,444,704 | ||||||
Series 2005-T18, Class AAB | |||||||||||
4.823% | 02/13/42 | Aaa | 2,250 | 2,208,650 | |||||||
Series 2005-T20, Class AAB | |||||||||||
5.1387% | 10/12/42 | Aaa | 3,000 | 3,000,968 | |||||||
Commercial Mortgage Acceptance Corp.(g), | |||||||||||
Series 1998-C2, Class F, 144A | |||||||||||
5.44% | 09/15/30 | A- | (d) | 890 | 925,291 | ||||||
Commercial Mortgage Pass-Thru Certificate, | |||||||||||
Series 2004-LB2A, Class X2, I/O, 144A(g) | |||||||||||
0.935% | 03/10/39 | AAA | (d) | 15,294 | 309,065 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | |||||||||||
Series 2004-C4, Class A4 | |||||||||||
4.283% | 10/15/39 | Aaa | 1,500 | 1,476,743 | |||||||
Credit Suisse Mortgage Capital Certificates, | |||||||||||
Series 2006-C1, Class A4(g) | |||||||||||
5.5546% | 02/15/39 | AAA | (d) | 4,330 | 4,395,627 | ||||||
Series 2006-C5, Class A3 | |||||||||||
5.311% | 12/15/39 | Aaa | 2,205 | 2,197,332 | |||||||
DLJ Commercial Mortgage Corp., | |||||||||||
Series 2000-CF1, Class A1B | |||||||||||
7.62% | 06/10/33 | AAA | (d) | 3,114 | 3,290,767 | ||||||
GE Commercial Mortgage Corp., | |||||||||||
Series 2004-C2, Class X2, I/O, 144A(g) | |||||||||||
0.574% | 03/10/40 | Aaa | 27,771 | 422,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | |||||||
LONG-TERM BONDS (continued) | |||||||||||
Commercial Mortgage Backed Securities (continued) | |||||||||||
GMAC Commercial Mortgage Securities, Inc., | |||||||||||
Series 2005-C1, Class A5 | |||||||||||
4.697% | 05/10/43 | AAA | (d) | $ | 2,610 | $ | 2,490,726 | ||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
Series 2005-GG5, Class A5(g) | |||||||||||
5.224% | 04/10/37 | Aaa | 10,330 | 10,248,461 | |||||||
Series 2003-C1, Class A4 | |||||||||||
4.111% | 07/05/35 | Aaa | 5,000 | 4,818,519 | |||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | |||||||||||
Series 2000-C10, Class A2(g) | |||||||||||
7.371% | 08/15/32 | Aaa | 5,978 | 6,242,450 | |||||||
Series 2005-CB13, Class A4(g) | |||||||||||
5.2948% | 01/12/43 | Aaa | 2,800 | 2,799,294 | |||||||
Series 2005-LDP1, Class ASB(g) | |||||||||||
4.853% | 03/15/46 | Aaa | 4,000 | 3,955,742 | |||||||
Series 2005-LDP2, Class ASB | |||||||||||
4.659% | 07/15/42 | Aaa | 6,380 | 6,245,589 | |||||||
Series 2005-LDP5, Class A4(g) | |||||||||||
5.1793% | 12/15/44 | Aaa | 3,630 | 3,614,869 | |||||||
Series 2006-CB16, Class ASB | |||||||||||
5.523% | 05/12/45 | Aaa | 2,000 | 2,023,250 | |||||||
Series 2006-LDP6, Class X2, I/O(g) | |||||||||||
0.0772% | 04/15/43 | Aaa | 156,383 | 730,105 | |||||||
Series 2006-LDP8, Class ASB | |||||||||||
5.37% | 05/15/45 | Aaa | 2,000 | 2,006,315 | |||||||
Keycorp.(g), | |||||||||||
Series 2000-C1, Class A2 | |||||||||||
7.727% | 05/17/32 | Aaa | 10,027 | 10,519,384 | |||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
Series 2003-C8, Class A3 | |||||||||||
4.83% | 11/15/27 | Aaa | 2,720 | 2,725,225 | |||||||
Series 2004-C6, Class A5(g) | |||||||||||
4.826% | 08/15/29 | AAA | (d) | 5,000 | 4,992,277 | ||||||
Series 2005-C3, Class A5 | |||||||||||
4.739% | 07/15/30 | Aaa | 695 | 666,435 | |||||||
Ser 2006-C6, AAB | |||||||||||
5.341% | 09/15/39 | Aaa | 2,380 | 2,388,398 | |||||||
Merrill Lynch Mortgage Trust, | |||||||||||
Series 2004-Key 2, Class A3 | |||||||||||
4.615% | 08/12/39 | Aaa | 1,900 | 1,882,012 | |||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust(g), | |||||||||||
Series 2006-2, Class A4 | |||||||||||
5.9095% | 06/12/46 | Aaa | 2,210 | 2,306,585 | |||||||
Merrill Lynch/Countrywide Commerical Mortgage Trust, | |||||||||||
Series 2007-5, Class A4 | |||||||||||
5.378% | 08/12/48 | Aaa | 3,400 | 3,400,633 | |||||||
Morgan Stanley Capital I, | |||||||||||
Series 2006-IQ11, Class A4(g) | |||||||||||
5.773% | 10/15/42 | AAA | (d) | 2,600 | 2,678,148 | ||||||
Series 2007-HQ11, Class AAB | |||||||||||
5.444% | 02/12/44 | Aaa | 4,400 | 4,418,695 | |||||||
Series 2007-T27, Class AAB(g) | |||||||||||
5.651% | 06/11/42 | AAA | (d) | 1,040 | 1,060,487 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Commercial Mortgage Backed Securities (continued) | ||||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2002-C2, Class A4 | ||||||||||
4.98% | 11/15/34 | Aaa | $ | 1,700 | $ | 1,706,316 | ||||
123,756,943 | ||||||||||
Consumer | ||||||||||
Whirlpool Corp. | ||||||||||
6.125% | 06/15/11 | Baa2 | 1,045 | 1,088,287 | ||||||
Electric — 1.0% | ||||||||||
Appalachian Power Co. | ||||||||||
4.40% | 06/01/10 | Baa2 | 790 | 784,137 | ||||||
Arizona Public Service Co. | ||||||||||
6.25% | 08/01/16 | Baa2 | 170 | 172,989 | ||||||
6.375% | 10/15/11 | Baa2 | 1,250 | 1,293,248 | ||||||
Baltimore Gas & Electric Co. | ||||||||||
6.35% | 10/01/36 | Baa2 | 530 | 525,644 | ||||||
Carolina Power & Light Co. | ||||||||||
5.25% | 12/15/15 | A2 | 660 | 656,425 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||||
5.70% | 03/15/13 | Baa2 | 1,070 | 1,080,231 | ||||||
6.95% | 03/15/33 | Baa2 | 300 | 327,973 | ||||||
Consolidated Edison, Inc. | ||||||||||
5.375% | 12/15/15 | A1 | 820 | 816,883 | ||||||
Consumers Energy Co., First Mortgage Bonds, Series D | ||||||||||
5.375% | 04/15/13 | Baa1 | 435 | 433,797 | ||||||
Dominion Resources, Inc. | ||||||||||
5.125% | 12/15/09 | Baa2 | 1,255 | 1,266,759 | ||||||
Duke Energy Carolinas LLC | ||||||||||
6.10% | 06/01/37 | A3 | 920 | 924,709 | ||||||
El Paso Electric Co. | ||||||||||
6.00% | 05/15/35 | Baa2 | 845 | 789,986 | ||||||
Empresa Nacional de Electricidad S.A. (Chile) | ||||||||||
8.50% | 04/01/09 | Baa3 | 1,350 | 1,411,263 | ||||||
8.625% | 08/01/15 | Baa3 | 1,160 | 1,338,218 | ||||||
Energy East Corp. | ||||||||||
6.75% | 09/15/33 | Baa2 | 140 | 141,488 | ||||||
Exelon Corp. | ||||||||||
4.90% | 06/15/15 | Baa1 | 195 | 183,557 | ||||||
Florida Power & Light Co. | ||||||||||
5.95% | 10/01/33 | Aa3 | 380 | 384,375 | ||||||
Georgia Power Co., Series B | ||||||||||
5.70% | 06/01/17 | A2 | 470 | 482,570 | ||||||
Indiana Michigan Power Co. | ||||||||||
5.05% | 11/15/14 | Baa2 | 575 | 551,327 | ||||||
Midamerican Energy Holdings Co. | ||||||||||
5.95% | 05/15/37 | Baa1 | 450 | 436,490 | ||||||
Nevada Power Co. | ||||||||||
6.50% | 05/15/18 | Baa3 | 1,210 | 1,238,821 | ||||||
NiSource Finance Corp. | ||||||||||
5.45% | 09/15/20 | Baa3 | 500 | 447,423 | ||||||
NRG Energy, Bank Loan(j) | ||||||||||
6.48% | 02/01/13 | Ba1 | 439 | 418,563 | ||||||
6.58% | 02/01/13 | Ba1 | 951 | 906,577 | ||||||
NSTAR Electric Co. | ||||||||||
4.875% | 04/15/14 | A1 | 730 | 712,258 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Electric (continued) | ||||||||||
Oncor Electric Delivery Co. | ||||||||||
6.375% | 01/15/15 | Ba1 | $ | 465 | $ | 476,101 | ||||
7.00% | 09/01/22 | Ba1 | 545 | 564,589 | ||||||
Pacific Gas & Electric Co. | ||||||||||
6.05% | 03/01/34 | A3 | 1,610 | 1,607,324 | ||||||
PPL Electric Utilities Corp. | ||||||||||
6.25% | 08/15/09 | A3 | 1,900 | 1,946,179 | ||||||
Public Service Electric & Gas Co., M.T.N. | ||||||||||
5.80% | 05/01/37 | A3 | 515 | 503,455 | ||||||
Southern California Edison Co. | ||||||||||
4.65% | 04/01/15 | A2 | 610 | 586,222 | ||||||
Texas Competitive Electric Holdings Co. LLC, Bank Loan(j) | ||||||||||
8.60% | 10/10/14 | Ba3 | 1,000 | 981,251 | ||||||
Virginia Electric and Power Co. | ||||||||||
6.00% | 05/15/37 | Baa1 | 715 | 699,301 | ||||||
Xcel Energy, Inc. | ||||||||||
3.40% | 07/01/08 | Baa1 | 785 | 777,978 | ||||||
5.613% | 04/01/17 | Baa1 | 263 | 259,789 | ||||||
6.50% | 07/01/36 | Baa1 | 445 | 441,460 | ||||||
26,569,360 | ||||||||||
Energy – Integrated — 0.1% | ||||||||||
Lukoil International Finance BV (Netherlands), 144A | ||||||||||
6.356% | 06/07/17 | Baa2 | 530 | 501,751 | ||||||
Phillips Petroleum Co. | ||||||||||
8.75% | 05/25/10 | A1 | 1,900 | 2,081,562 | ||||||
TNK-BP Finance SA (Luxembourg), 144A | ||||||||||
7.50% | 07/18/16 | Baa2 | 1,365 | 1,322,344 | ||||||
3,905,657 | ||||||||||
Energy – Other — 0.2% | ||||||||||
Devon Energy Corp. | ||||||||||
7.875% | 09/30/31 | Baa1 | 280 | 338,647 | ||||||
Halliburton Co. | ||||||||||
5.50% | 10/15/10 | A2 | 200 | 205,590 | ||||||
Nexen, Inc. (Canada) | ||||||||||
6.40% | 05/15/37 | Baa2 | 195 | 194,673 | ||||||
Pioneer Natural Resources Co. | ||||||||||
6.875% | 05/01/18 | Ba1 | 1,450 | 1,402,187 | ||||||
Talisman Energy, Inc. (Canada) | ||||||||||
6.25% | 02/01/38 | Baa2 | 160 | 155,929 | ||||||
Valero Energy Corp. | ||||||||||
6.125% | 06/15/17 | Baa3 | 820 | 833,337 | ||||||
6.625% | 06/15/37 | Baa3 | 250 | 251,768 | ||||||
Weatherford International, Inc., 144A | ||||||||||
6.35% | 06/15/17 | Baa1 | 895 | 925,122 | ||||||
Weatherford International, Inc. (Bermuda) | ||||||||||
6.50% | 08/01/36 | Baa1 | 25 | 24,966 | ||||||
Woodside Finance Ltd. (Australia), 144A | ||||||||||
5.00% | 11/15/13 | Baa1 | 1,660 | 1,653,942 | ||||||
XTO Energy, Inc. | ||||||||||
6.25% | 08/01/17 | Baa2 | 565 | 592,752 | ||||||
6,578,913 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Foods — 0.6% | ||||||||||
Aramark Corp., Bank Loan(j) | ||||||||||
7.036% | 01/26/14 | Ba3 | $ | 1,658 | $ | 1,574,688 | ||||
7.036% | 01/26/14 | Ba3 | 119 | 112,544 | ||||||
Bunge Ltd. Finance Corp. | ||||||||||
5.35% | 04/15/14 | Baa2 | 1,000 | 968,230 | ||||||
Cadbury Schweppes American Finance, Inc., 144A | ||||||||||
3.875% | 10/01/08 | Baa2 | 1,050 | 1,043,639 | ||||||
Cargill, Inc., 144A | ||||||||||
6.00% | 11/27/17 | A2 | 650 | 648,515 | ||||||
Coca-Cola Co. (The) | ||||||||||
5.35% | 11/15/17 | Aa3 | 1,430 | 1,465,095 | ||||||
ConAgra Foods, Inc. | ||||||||||
7.875% | 09/15/10 | Baa2 | 585 | 627,911 | ||||||
Delhaize Group (Belgium) | ||||||||||
6.50% | 06/15/17 | Baa3 | 460 | 470,592 | ||||||
Diageo Capital PLC (United Kingdom)(b) | ||||||||||
5.75% | 10/23/17 | A3 | 970 | 975,509 | ||||||
HJ Heinz Co., 144A | ||||||||||
6.428% | 12/01/08 | Baa2 | 1,620 | 1,649,242 | ||||||
Kellogg Co. | ||||||||||
6.60% | 04/01/11 | A3 | 1,285 | 1,361,664 | ||||||
Kraft Foods, Inc. | ||||||||||
5.625% | 11/01/11 | Baa2 | 965 | 986,880 | ||||||
6.125% | 02/01/18 | Baa2 | 940 | 947,186 | ||||||
Kroger Co. (The) | ||||||||||
6.75% | 04/15/12 | Baa2 | 215 | 228,212 | ||||||
6.80%(b) | 04/01/11 | Baa2 | 575 | 605,124 | ||||||
McDonald’s Corp. | ||||||||||
5.80% | 10/15/17 | A3 | 690 | 714,411 | ||||||
Tricon Global Restaurants, Inc. | ||||||||||
8.875% | 04/15/11 | Baa2 | 235 | 259,211 | ||||||
Tyson Foods, Inc. | ||||||||||
6.85% | 04/01/16 | Ba1 | 785 | 805,532 | ||||||
Whitman Corp. | ||||||||||
6.375% | 05/01/09 | Baa1 | 1,645 | 1,695,246 | ||||||
17,139,431 | ||||||||||
Foreign Government Bonds — 0.2% | ||||||||||
DP World Ltd., 144A | ||||||||||
6.85% | 07/02/37 | A1 | 1,610 | 1,530,537 | ||||||
Gaz Capital for Gazprom (Luxembourg), 144A | ||||||||||
7.288% | 08/16/37 | A3 | 1,200 | 1,211,160 | ||||||
Pemex Project Funding Master Trust | ||||||||||
8.625% | 12/01/23 | Baa1 | 350 | 435,313 | ||||||
Petrobras International Finance Co. (PIFCO) | ||||||||||
(Cayman Islands) | ||||||||||
8.375% | 12/10/18 | Baa1 | 1,140 | 1,356,600 | ||||||
RSHB Capital SA for OJSC Russian | ||||||||||
Agricultural Bank (Luxembourg), 144A | ||||||||||
6.299% | 05/15/17 | A3 | 2,100 | 1,989,749 | ||||||
6,523,359 | ||||||||||
Gaming | ||||||||||
Harrah’s Operating Co., Inc. | ||||||||||
5.50% | 07/01/10 | Baa3 | 970 | 902,100 | ||||||
Mandalay Resort Group | ||||||||||
9.375% | 02/15/10 | B1 | 12 | 12,420 | ||||||
914,520 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Healthcare & Pharmaceutical — 0.7% | ||||||||||
Abbott Laboratories | ||||||||||
5.875% | 05/15/16 | A1 | $ | 1,100 | $ | 1,149,004 | ||||
AmerisourceBergen Corp., Series WI | ||||||||||
5.625% | 09/15/12 | Ba1 | 915 | 927,940 | ||||||
AstraZeneca PLC (United Kingdom) | ||||||||||
6.45% | 09/15/37 | A1 | 480 | 525,924 | ||||||
Baxter International, Inc. | ||||||||||
5.196% | 02/16/08 | Baa1 | 1,085 | 1,084,768 | ||||||
Bristol-Myers Squibb Co. | ||||||||||
5.875% | 11/15/36 | A2 | 265 | 263,337 | ||||||
Community Health Systems, Inc., Bank Loans(j) | ||||||||||
7.493% | 07/25/14 | Ba3 | 81 | 78,051 | ||||||
7.493% | 07/25/14 | Ba3 | 1,615 | 1,551,920 | ||||||
Covidien International Finance SA (Luxembourg), 144A | ||||||||||
6.00% | 10/15/17 | Baa1 | 1,100 | 1,138,207 | ||||||
Genentech, Inc. | ||||||||||
4.75% | 07/15/15 | A1 | 270 | 265,694 | ||||||
HCA, Inc. | ||||||||||
9.25% | 11/15/16 | B2 | 1,925 | 2,021,251 | ||||||
HCA, Inc., Bank Loan(j) | ||||||||||
7.08% | 11/17/13 | Ba3 | 1,980 | 1,905,256 | ||||||
Health Management Associate Term B, Bank Loan(j) | ||||||||||
6.62% | 02/28/14 | Ba3 | 1,201 | 1,118,194 | ||||||
Laboratory Corp. of America Holdings | ||||||||||
5.625% | 12/15/15 | Baa3 | 560 | 551,140 | ||||||
Merck & Co., Inc. | ||||||||||
5.75% | 11/15/36 | Aa3 | 65 | 64,632 | ||||||
5.95% | 12/01/28 | Aa3 | 205 | 209,787 | ||||||
Schering-Plough Corp. | ||||||||||
5.55% | 12/01/13 | Baa1 | 695 | 703,186 | ||||||
6.00% | 09/15/17 | Baa1 | 1,050 | 1,087,833 | ||||||
6.55%(b) | 09/15/37 | Baa1 | 330 | 349,653 | ||||||
Teva Pharmaceutical Finance LLC (Israel) | ||||||||||
6.15% | 02/01/36 | Baa2 | 115 | 114,202 | ||||||
Wyeth | ||||||||||
5.50% | 03/15/13 | A3 | 915 | 941,098 | ||||||
5.50% | 02/01/14 | A3 | 210 | 213,290 | ||||||
5.95% | 04/01/37 | A3 | 1,645 | 1,649,364 | ||||||
6.45% | 02/01/24 | A3 | 60 | 63,650 | ||||||
17,977,381 | ||||||||||
Healthcare Insurance — 0.3% | ||||||||||
Aetna, Inc. | ||||||||||
5.75% | 06/15/11 | A3 | 430 | 441,958 | ||||||
6.625% | 06/15/36 | A3 | 480 | 475,203 | ||||||
Cigna Corp. | ||||||||||
6.15% | 11/15/36 | Baa2 | 640 | 593,802 | ||||||
Coventry Health Care, Inc. | ||||||||||
6.125% | 01/15/15 | Ba1 | 2,200 | 2,207,662 | ||||||
UnitedHealth Group, Inc. | ||||||||||
5.25% | 03/15/11 | A3 | 1,470 | 1,486,445 | ||||||
6.00%, 144A | 06/15/17 | A3 | 115 | 116,151 | ||||||
6.50%, 144A | 06/15/37 | A3 | 400 | 401,551 | ||||||
6.625%, 144A | 11/15/37 | A3 | 410 | 416,138 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Healthcare Insurance (continued) | ||||||||||
WellPoint, Inc. | ||||||||||
5.00% | 12/15/14 | Baa1 | $ | 1,085 | $ | 1,039,333 | ||||
5.25% | 01/15/16 | Baa1 | 335 | 324,340 | ||||||
5.95% | 12/15/34 | Baa1 | 210 | 197,673 | ||||||
7,700,256 | ||||||||||
Insurance — 0.3% | ||||||||||
American International Group, Inc. | ||||||||||
4.25%(c) | 05/15/13 | Aa2 | 1,355 | 1,288,970 | ||||||
5.05% | 10/01/15 | Aa2 | 125 | 120,716 | ||||||
5.85%, M.T.N. | 01/16/18 | Aa2 | 1,620 | 1,630,607 | ||||||
6.25% | 03/15/37 | Aa3 | 260 | 232,549 | ||||||
AXA SA (France)(c) | ||||||||||
8.60% | 12/15/30 | A3 | 230 | 282,020 | ||||||
Berkshire Hathaway, Inc.(b) | ||||||||||
4.75% | 05/15/12 | Aaa | 425 | 430,328 | ||||||
Liberty Mutual Group, 144A | ||||||||||
7.00% | 03/15/34 | Baa2 | 910 | 887,505 | ||||||
Lincoln National Corp. | ||||||||||
6.30% | 10/09/37 | A3 | 476 | 462,867 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||||
5.15% | 09/15/10 | Baa2 | 335 | 334,626 | ||||||
MetLife, Inc. | ||||||||||
5.70% | 06/15/35 | A2 | 1,185 | 1,082,084 | ||||||
6.125% | 12/01/11 | A2 | 435 | 451,079 | ||||||
6.375% | 06/15/34 | A2 | 85 | 83,941 | ||||||
St. Paul Travelers Cos., Inc. | ||||||||||
6.75% | 06/20/36 | A3 | 740 | 772,238 | ||||||
W.R. Berkley Corp. | ||||||||||
5.60% | 05/15/15 | Baa2 | 705 | 682,853 | ||||||
6.15% | 08/15/19 | Baa2 | 575 | 556,457 | ||||||
XL Capital Ltd. (Cayman Islands) | ||||||||||
5.25% | 09/15/14 | A3 | 110 | 106,967 | ||||||
9,405,807 | ||||||||||
Lodging | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||||
6.25% | 02/15/13 | Baa3 | 370 | 370,225 | ||||||
Media & Entertainment — 0.3% | ||||||||||
Chancellor Media Corp. | ||||||||||
8.00% | 11/01/08 | Baa3 | 745 | 770,023 | ||||||
Idearc, Inc. Bank Loan(j) | ||||||||||
6.83% | 11/17/14 | Ba2 | 1,485 | 1,412,776 | ||||||
News America Holdings, Inc. | ||||||||||
7.625% | 11/30/28 | Baa2 | 1,360 | 1,507,087 | ||||||
Time Warner, Inc. | ||||||||||
6.75% | 04/15/11 | Baa2 | 725 | 755,114 | ||||||
7.25% | 10/15/17 | Baa2 | 745 | 796,892 | ||||||
9.15% | 02/01/23 | Baa2 | 625 | 764,664 | ||||||
Viacom, Inc. | ||||||||||
6.875% | 04/30/36 | Baa3 | 865 | 867,358 | ||||||
6,873,914 | ||||||||||
Metals — 0.1% | ||||||||||
Alcan, Inc. (Canada) | ||||||||||
4.50% | 05/15/13 | A3 | 255 | 248,968 | ||||||
5.00% | 06/01/15 | A3 | 755 | 731,387 |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Metals (continued) | ||||||||||
Alcoa, Inc. | ||||||||||
5.90% | 02/01/27 | Baa1 | $ | 110 | $ | 103,868 | ||||
Peabody Energy Corp. | ||||||||||
7.375% | 11/01/16 | Ba1 | 1,150 | 1,178,750 | ||||||
Southern Copper Corp. | ||||||||||
7.50% | 07/27/35 | �� | Baa2 | 120 | 127,093 | |||||
United States Steel Corp. | ||||||||||
5.65% | 06/01/13 | Baa3 | 540 | 523,083 | ||||||
2,913,149 | ||||||||||
Non Captive Finance — 0.3% | ||||||||||
Capital One Bank | ||||||||||
6.50% | 06/13/13 | A3 | 10 | 9,809 | ||||||
Capital One Financial Corp., M.T.N. | ||||||||||
5.70% | 09/15/11 | A3 | 570 | 550,655 | ||||||
CIT Group, Inc. | ||||||||||
4.25% | 02/01/10 | A2 | 480 | 461,835 | ||||||
Countrywide Financial Corp., M.T.N. | ||||||||||
5.80% | 06/07/12 | Baa3 | 1,160 | 847,379 | ||||||
General Electric Capital Corp., M.T.N. | ||||||||||
5.55% | 05/04/20 | Aaa | 1,875 | 1,928,204 | ||||||
5.625% | 09/15/17 | Aaa | 205 | 210,325 | ||||||
GMAC LLC(g) | ||||||||||
6.1188% | 05/15/09 | Ba3 | 640 | 596,086 | ||||||
Household Finance Corp. | ||||||||||
4.75% | 05/15/09 | Aa3 | 370 | 368,771 | ||||||
HSBC Finance Corp. | ||||||||||
5.70% | 06/01/11 | Aa3 | 585 | 588,257 | ||||||
International Lease Finance Corp. | ||||||||||
3.50% | 04/01/09 | A1 | 750 | 737,172 | ||||||
Residential Capital LLC | ||||||||||
7.50% | 02/22/11 | Ba3 | 240 | 149,400 | ||||||
7.875% | 06/30/10 | Ba3 | 610 | 390,400 | ||||||
8.00% | 04/17/13 | Ba3 | 910 | 559,650 | ||||||
7,397,943 | ||||||||||
Paper | ||||||||||
Plum Creek Timberlands LP | ||||||||||
5.875% | 11/15/15 | Baa3 | 515 | 507,771 | ||||||
Pipelines & Other — 0.3% | ||||||||||
Atmos Energy Corp. | ||||||||||
4.00% | 10/15/09 | Baa3 | 1,815 | 1,788,421 | ||||||
Duke Energy Field Services Corp. | ||||||||||
7.875% | 08/16/10 | Baa2 | 1,830 | 1,963,058 | ||||||
Enterprise GP Holdings LP, Bank Loan(j) | ||||||||||
7.161% | 11/08/14 | Ba2 | 1,000 | 994,375 | ||||||
Enterprise Products Operating LP | ||||||||||
4.625% | 10/15/09 | Baa3 | 710 | 708,883 | ||||||
6.875% | 03/01/33 | Baa3 | 140 | 146,266 | ||||||
Kinder Morgan, Inc., Bank Loan(j) | ||||||||||
6.35% | 05/30/14 | Ba2 | 1,161 | 1,152,295 | ||||||
Oneok, Inc. | ||||||||||
5.51% | 02/16/08 | Baa2 | 1,630 | 1,628,995 | ||||||
Oneok Partners LP | ||||||||||
6.65% | 10/01/36 | Baa2 | 455 | 460,087 | ||||||
Sempra Energy | ||||||||||
6.00% | 02/01/13 | Baa1 | 80 | 82,643 |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Pipelines & Other (continued) | ||||||||||
Spectra Energy Capital LLC | ||||||||||
6.25% | 02/15/13 | Baa1 | $ | 205 | $ | 212,518 | ||||
9,137,541 | ||||||||||
Railroads — 0.2% | ||||||||||
Burlington Northern Santa Fe Corp. | ||||||||||
6.70% | 08/01/28 | Baa1 | 735 | 765,131 | ||||||
CSX Corp. | ||||||||||
6.15% | 05/01/37 | Baa3 | 690 | 644,820 | ||||||
6.25% | 03/15/18 | Baa3 | 375 | 376,915 | ||||||
Norfolk Southern Corp. | ||||||||||
5.59% | 05/17/25 | Baa1 | 630 | 583,748 | ||||||
7.80% | 05/15/27 | Baa1 | 24 | 28,604 | ||||||
Union Pacific Corp. | ||||||||||
3.625% | 06/01/10 | Baa2 | 1,395 | 1,354,751 | ||||||
6.625% | 02/01/08 | Baa2 | 1,755 | 1,756,407 | ||||||
6.65% | 01/15/11 | Baa2 | 760 | 790,084 | ||||||
6,300,460 | ||||||||||
Real Estate Investments Trusts — 0.2% | ||||||||||
Brandywine Operating Partnership LP | ||||||||||
5.75% | 04/01/12 | Baa3 | 1,405 | 1,390,826 | ||||||
Mack-Cali Realty Corp. | ||||||||||
7.25% | 03/15/09 | Baa2 | 1,595 | 1,637,920 | ||||||
Post Apartment Homes LP | ||||||||||
5.45% | 06/01/12 | Baa3 | 545 | 553,452 | ||||||
6.30% | 06/01/13 | Baa3 | 650 | 682,166 | ||||||
Simon Property Group LP | ||||||||||
5.75% | 05/01/12 | A3 | 1,625 | 1,634,721 | ||||||
5,899,085 | ||||||||||
Retailers — 0.2% | ||||||||||
CVS Caremark Corp. | ||||||||||
5.75% | 08/15/11 | Baa2 | 1,240 | 1,270,179 | ||||||
5.75% | 06/01/17 | Baa2 | 1,580 | 1,590,169 | ||||||
Federated Retail Holdings, Inc. | ||||||||||
5.35% | 03/15/12 | Baa2 | 815 | 794,051 | ||||||
5.90% | 12/01/16 | Baa2 | 100 | 94,180 | ||||||
Home Depot, Inc. | ||||||||||
5.875% | 12/16/36 | Baa1 | 315 | 265,829 | ||||||
May Department Stores Co. | ||||||||||
6.65% | 07/15/24 | Baa2 | 60 | 55,424 | ||||||
Wal-Mart Stores, Inc. | ||||||||||
5.25% | 09/01/35 | Aa2 | 235 | 208,448 | ||||||
4,278,280 | ||||||||||
Sovereign — 0.2% | ||||||||||
United Mexican States (Mexico) | ||||||||||
5.875%, M.T.N. | 01/15/14 | Baa1 | 4,050 | 4,212,000 | ||||||
7.50% | 01/14/12 | Baa1 | 1,630 | 1,789,740 | ||||||
6,001,740 | ||||||||||
Structured Notes — 0.1% | ||||||||||
CDX North America High Yield, | ||||||||||
Series 9-T1, 144A(b) | ||||||||||
8.75% | 12/29/12 | B3 | 2,200 | 2,169,750 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Technology — 0.3% | ||||||||||
Electronic Data Systems Corp. | ||||||||||
7.45% | 10/15/29 | Ba1 | $ | 120 | $ | 123,121 | ||||
First Data Corp., Bank Loans(j) | ||||||||||
7.981% | 09/24/14 | Ba3 | 1,497 | 1,424,072 | ||||||
7.981% | 09/24/14 | Ba3 | 1,096 | 1,039,314 | ||||||
Fiserv, Inc. | ||||||||||
6.125% | 11/20/12 | Baa2 | 960 | 977,087 | ||||||
Flextronics International Ltd. (Singapore), Bank Loans(j) | ||||||||||
7.234% | 10/01/14 | Ba1 | 223 | 217,090 | ||||||
7.474% | 10/01/14 | Ba1 | 777 | 755,588 | ||||||
Freescale Semiconductor, Inc. | ||||||||||
8.875% | 12/15/14 | B2 | 550 | 490,875 | ||||||
International Business Machines Corp. | ||||||||||
5.70% | 09/14/17 | A1 | 500 | 516,881 | ||||||
Intuit, Inc. | ||||||||||
5.40% | 03/15/12 | Baa2 | 575 | 584,000 | ||||||
Jabil Circuit, Inc. | ||||||||||
5.875% | 07/15/10 | Ba1 | 1,800 | 1,821,493 | ||||||
Metavante Corp., Bank Loan(j) | ||||||||||
6.644% | 11/01/14 | Ba2 | 1,000 | 971,875 | ||||||
Motorola, Inc. | ||||||||||
8.00% | 11/01/11 | Baa1 | 128 | 137,979 | ||||||
9,059,375 | ||||||||||
Telecommunications — 0.9% | ||||||||||
America Movil SA de CV (Mexico) | ||||||||||
6.375% | 03/01/35 | A3 | 630 | 622,957 | ||||||
AT&T Corp. | ||||||||||
8.00% | 11/15/31 | A2 | 1,930 | 2,370,181 | ||||||
AT&T Wireless Services, Inc. | ||||||||||
8.125% | 05/01/12 | A2 | 800 | 889,535 | ||||||
8.75% | 03/01/31 | A3 | 1,235 | 1,600,539 | ||||||
BellSouth Corp. | ||||||||||
4.20% | 09/15/09 | A2 | 1,365 | 1,356,874 | ||||||
British Telecommunications PLC (United Kingdom) | ||||||||||
9.125% | 12/15/30 | Baa1 | 1,415 | 1,872,929 | ||||||
Cingular Wireless LLC | ||||||||||
7.125% | 12/15/31 | A3 | 535 | 590,443 | ||||||
Deutsche Telekom International Finance BV (Netherlands)(c) | ||||||||||
8.25% | 06/15/30 | A3 | 345 | 430,474 | ||||||
Embarq Corp. | ||||||||||
7.082% | 06/01/16 | Baa3 | 350 | 360,633 | ||||||
7.995% | 06/01/36 | Baa3 | 1,645 | 1,733,560 | ||||||
France Telecom SA (France) | ||||||||||
8.50% | 03/01/31 | A3 | 360 | 466,797 | ||||||
Nextel Communications, Inc.(b) | ||||||||||
5.95% | 03/15/14 | Baa3 | 1,475 | 1,386,454 | ||||||
PCCW HKT Capital Ltd., 144A | ||||||||||
8.00% | 11/15/11 | Baa2 | 2,275 | 2,500,261 | ||||||
Qwest Corp. | ||||||||||
8.875% | 03/15/12 | Ba1 | 2,000 | 2,140,000 | ||||||
Royal KPN NV (Netherlands) | ||||||||||
8.00% | 10/01/10 | Baa2 | 645 | 691,741 | ||||||
SBC Communications, Inc. | ||||||||||
4.125% | 09/15/09 | A2 | 1,335 | 1,326,511 | ||||||
5.30% | 11/15/10 | A2 | 1,180 | 1,200,971 |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Moody’s Rating (Unaudited) | Principal Amount (000) | Value (Note 2) | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Telecommunications (continued) | ||||||||||
Telecom Italia Finance (Luxembourg) | ||||||||||
5.25% | 11/15/13 | Baa2 | $ | 170 | $ | 168,016 | ||||
Telefonica Emisiones SAU (Spain) | ||||||||||
7.045% | 06/20/36 | Baa1 | 210 | 234,735 | ||||||
TELUS Corp. (Cananda) | ||||||||||
8.00% | 06/01/11 | Baa1 | 1,500 | 1,625,204 | ||||||
US Cellular Corp. | ||||||||||
6.70% | 12/15/33 | Baa3 | 600 | 551,050 | ||||||
Verizon Communications, Inc. | ||||||||||
6.25% | 04/01/37 | A3 | 105 | 107,676 | ||||||
Vodafone Group PLC (United Kingdom) | ||||||||||
6.15%(b) | 02/27/37 | Baa1 | 435 | 429,615 | ||||||
7.75% | 02/15/10 | Baa1 | 950 | 1,002,145 | ||||||
25,659,301 | ||||||||||
Tobacco — 0.1% | ||||||||||
Altria Group, Inc. | ||||||||||
7.65% | 07/01/08 | Baa1 | 765 | 777,294 | ||||||
Reynolds American, Inc. | ||||||||||
6.75% | 06/15/17 | Ba1 | 910 | 926,856 | ||||||
7.25% | 06/15/37 | Ba1 | 410 | 414,379 | ||||||
2,118,529 | ||||||||||
Mortgage Backed Securities — 15.2% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
4.50% | 02/01/19-07/01/20 | 7,511 | 7,382,884 | |||||||
5.00% | 07/01/18-05/01/34 | 13,494 | 13,414,484 | |||||||
5.238%(g) | 12/01/35 | 3,684 | 3,690,578 | |||||||
5.50% | 12/01/33-07/01/34 | 11,169 | 11,160,929 | |||||||
5.50% | TBA 30 YR | 36,500 | 36,420,138 | |||||||
6.00% | 03/01/32-12/01/33 | 3,338 | 3,403,360 | |||||||
6.00% | TBA 30 YR | 21,000 | 21,308,448 | |||||||
6.50% | 12/01/14-09/01/16 | 602 | 620,866 | |||||||
7.00% | 05/01/31-09/01/33 | 5,514 | 5,786,366 | |||||||
Federal National Mortgage Association | ||||||||||
4.00% | 06/01/19 | 2,614 | 2,507,239 | |||||||
4.366%(g) | 11/01/35 | 4,193 | 4,181,711 | |||||||
4.50% | 11/01/18-01/01/35 | 17,001 | 16,519,238 | |||||||
4.96%(g) | 07/01/33 | 1,287 | 1,293,772 | |||||||
5.00% | 10/01/18-02/01/36 | 8,059 | 7,965,996 | |||||||
5.00% | TBA 30 YR | 55,500 | 54,147,187 | |||||||
5.50% | 03/01/16-04/01/37 | 63,903 | 63,981,858 | |||||||
5.50% | TBA 15 YR | 9,500 | 9,621,714 | |||||||
5.50% | TBA 30 YR | 38,000 | 37,952,500 | |||||||
5.914%(g) | 06/01/37 | 6,999 | 7,126,217 | |||||||
5.977%(g) | 07/01/37 | 5,353 | 5,440,929 | |||||||
6.00% | 04/01/13-09/01/36 | 32,754 | 33,346,862 | |||||||
6.00% | TBA 30 YR | 11,500 | 11,676,088 | |||||||
6.50% | 07/01/17-01/01/37 | 12,560 | 12,938,031 | |||||||
7.00% | 08/01/11-07/01/32 | 1,252 | 1,316,796 | |||||||
7.50% | 05/01/12-05/01/32 | 973 | 1,024,927 | |||||||
Government National Mortgage Association | ||||||||||
5.50% | 08/15/33-04/15/36 | 15,862 | 15,982,633 | |||||||
6.00% | 11/15/23-07/15/37 | 6,679 | 6,838,139 | |||||||
6.00% | TBA 30 YR | 8,000 | 8,190,000 | |||||||
6.50% | 10/15/23-09/15/36 | 7,102 | 7,364,536 | |||||||
7.00% | 09/15/31 | 166 | 176,128 | |||||||
8.00% | 01/15/24-04/15/25 | 195 | 210,384 | |||||||
412,990,938 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Principal Amount (000) | Value (Note 2) | |||||
LONG-TERM BONDS (continued) | ||||||||
U.S. Government Agency Obligations — 1.9% | ||||||||
Federal Farm Credit Bank | ||||||||
4.75% | 05/07/10 | $ | 280 | $ | 287,206 | |||
4.875% | 01/17/17 | 845 | 866,862 | |||||
Federal Home Loan Bank | ||||||||
3.625% | 12/17/10 | 215 | 215,028 | |||||
4.375% | 10/03/08 | 7,925 | 7,921,743 | |||||
4.50% | 10/09/09 | 4,715 | 4,787,785 | |||||
4.75% | 06/11/08-04/24/09 | 11,175 | 11,227,467 | |||||
5.00% | 10/16/09 | 10,270 | 10,332,493 | |||||
Federal Home Loan Mortgage Corp. | ||||||||
4.75% | 01/18/11 | 180 | 185,774 | |||||
5.125%(b) | 11/17/17 | 8,210 | 8,566,651 | |||||
5.25% | 07/18/11 | 3,100 | 3,257,709 | |||||
Federal National Mortgage Association | ||||||||
5.00% | 03/15/16 | 2,485 | 2,596,835 | |||||
6.125% | 03/15/12 | 1,220 | 1,325,454 | |||||
Tennessee Valley Authority, | ||||||||
Series B 5.88% | 04/01/36 | 85 | 97,632 | |||||
51,668,639 | ||||||||
U.S. Treasury Securities — 2.9% | ||||||||
United States Treasury Bonds | ||||||||
4.75%(b) | 02/15/37 | 10,616 | 11,110,303 | |||||
6.625% | 02/15/27 | 1,015 | 1,288,178 | |||||
7.875%(b) | 02/15/21 | 1,900 | 2,555,500 | |||||
8.125%(b)(c) | 05/15/21-08/15/21 | 2,395 | 3,292,105 | |||||
8.875%(b) | 08/15/17 | 3,350 | 4,609,392 | |||||
United States Treasury Inflation Index | ||||||||
0.875%(b) | 04/15/10 | 1,764 | 1,758,569 | |||||
1.625% | 01/15/15 | 1,209 | 1,213,841 | |||||
1.875% | 07/15/13-07/15/15 | 2,355 | 2,415,065 | |||||
2.00%(b) | 01/15/14-01/15/26 | 5,691 | 5,795,365 | |||||
2.375% | 04/15/11-01/15/27 | 3,473 | 3,646,670 | |||||
2.50% | 07/15/16 | 1,024 | 1,092,176 | |||||
2.625% | 07/15/17 | 454 | 489,442 | |||||
3.00% | 07/15/12 | 1,389 | 1,503,869 | |||||
3.375% | 01/15/12-04/15/32 | 730 | 858,493 | |||||
3.50% | 01/15/11 | 732 | 787,499 | |||||
3.625% | 04/15/28 | 1,072 | 1,358,241 | |||||
3.875% | 01/15/09-04/15/29 | 2,201 | 2,629,674 | |||||
4.25% | 01/15/10 | 745 | 795,004 | |||||
United States Treasury Notes | ||||||||
3.375% | 09/15/09 | 420 | 422,198 | |||||
4.25% | 11/15/17 | 605 | 615,540 | |||||
4.75% | 02/15/10 | 3,220 | 3,331,190 | |||||
4.875%(b) | 08/15/16 | 11,770 | 12,533,215 | |||||
United States Treasury Strips | ||||||||
Zero | 02/15/19-11/15/21 | 27,610 | 15,497,639 | |||||
79,599,168 | ||||||||
TOTAL LONG-TERM BONDS | 977,581,010 | |||||||
TOTAL LONG-TERM INVESTMENTS | 2,377,542,177 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Description | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
SHORT-TERM INVESTMENTS — 27.7% | |||||||||
U.S. Treasury Security — 0.3% |
| ||||||||
United States Treasury Bills(c)(f) | |||||||||
2.90% | 03/20/08 | $ | 7,100 | $ | 7,051,542 | ||||
Shares | |||||||||
Affiliated Mutual Funds — 27.4% |
| ||||||||
Dryden Core Investment Fund — Dryden Short-Term Bond Series(i) | 15,510,033 | 146,414,713 | |||||||
Dryden Core Investment Fund — Taxable Money Market Series (cost $600,361,400; includes $241,495,833 of cash collateral received for securities on loan)(h)(i) | 600,361,400 | 600,361,400 | |||||||
TOTAL AFFILIATED MUTUAL FUNDS | 746,776,113 | ||||||||
TOTAL SHORT-TERM INVESTMENTS | 753,827,655 | ||||||||
TOTAL INVESTMENTS — 115.0% | 3,131,369,832 | ||||||||
LIABILITIES IN EXCESS OF | (409,517,752 | ) | |||||||
TOTAL NET ASSETS — 100.0% | $ | 2,721,852,080 | |||||||
The following abbreviations are used in portfolio descriptions:
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. | |
I/O | Interest Only | |
M.T.N. | Medium Term Note | |
TBA | To Be Announced |
(a) | Non-income producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $232,883,257; cash collateral of $241,495,833 (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) | Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating. |
(f) | Rate quoted represents yield-to-maturity as of purchase date. |
(g) | Indicates a variable rate security. |
(h) | Represents security, or a portion thereof, purchased with cash collateral for securities on loan. |
(i) | 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. |
(j) | Indicates a security that has been deemed illiquid. |
(k) | Liabilities in excess of other assets include unrealized appreciation (depreciation) on financial futures, interest rate swaps and credit default swaps as follows: |
Open futures contracts outstanding at December 31, 2007:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2007 | Unrealized Appreciation/ (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
15 | U.S. Treasury 2 Yr. Notes | Mar. 2008 | $ | 3,143,846 | $ | 3,153,750 | $ | 9,904 | ||||||
969 | U.S. Treasury 5 Yr. Notes | Mar. 2008 | 106,705,711 | 106,862,531 | 156,820 | |||||||||
225 | U.S. Treasury 10 Yr. Notes | Mar. 2008 | 25,467,997 | 25,512,891 | 44,894 | |||||||||
150 | U.S. Treasury 30 Yr. Bond | Mar. 2008 | 17,417,169 | 17,456,250 | 39,081 | |||||||||
300 | S&P 500 Index | Mar. 2008 | 111,610,571 | 110,790,000 | (820,571 | ) | ||||||||
$ | (569,872 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest rate swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized Appreciation/ (Depreciation) | ||||||||
Merrill Lynch Capital Services, Inc.(a) | 08/14/2012 | 6,486 | 5.20857 | % | 3 month LIBOR | $ | 372,723 | ||||||
Morgan Stanley Capital Services, Inc.(a) | 09/12/2012 | 3,510 | 4.7357 | % | 3 month LIBOR | 125,760 | |||||||
Morgan Stanley Capital Services, Inc.(a) | 09/25/2012 | 3,550 | 4.94079 | % | 3 month LIBOR | 161,785 | |||||||
Morgan Stanley Capital Services, Inc.(a) | 10/23/2012 | 4,680 | 4.7945 | % | 3 month LIBOR | 123,012 | |||||||
Morgan Stanley Capital Services, Inc.(a) | 12/07/2012 | 3,250 | 4.15033 | % | 3 month LIBOR | 2,563 | |||||||
Morgan Stanley Capital Services, Inc.(a) | 12/13/2012 | 3,500 | 4.34666 | % | 3 month LIBOR | 30,891 | |||||||
Merrill Lynch Capital Services, Inc.(b) | 12/14/2012 | 4,930 | 4.35284 | % | 3 month LIBOR | (47,467 | ) | ||||||
Morgan Stanley Capital Services, Inc.(b) | 12/11/2037 | 1,650 | 5.08438 | % | 3 month LIBOR | (19,881 | ) | ||||||
Merrill Lynch Capital Services, Inc.(b) | 12/11/2037 | 4,075 | 5.08938 | % | 3 month LIBOR | (62,994 | ) | ||||||
$ | 686,392 | ||||||||||||
(a) | Portfolio pays the floating rate and receives the fixed rate. |
(b) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Reference Entity/Obligation | Unrealized Appreciation/ (Depreciation) | ||||||||
JPMorgan Chase Bank(a) | 06/20/2012 | 3,500 | 0.30 | % | PPG Industries, Inc., 7.05%, 08/15/09 | $ | 1,425 | ||||||
JPMorgan Chase Bank(a) | 09/20/2012 | 2,190 | 1.52 | % | Residential Capital LLC, 6.50%, 04/17/13 | 1,031,268 | |||||||
Citibank NA(a) | 09/20/2012 | 3,200 | 0.32 | % | Altria Group, Inc., 7.00%, 11/04/13 | (1,398 | ) | ||||||
Morgan Stanley Capital Services, Inc.(a) | 09/20/2012 | 2,600 | 0.45 | % | Sara Lee Corp., 6.125%, 11/01/32 | (15,867 | ) | ||||||
Barclays Bank PLC(a) | 09/20/2012 | 2,800 | 0.595 | % | Fortune Brands, Inc., 6.25%, 04/01/08 | 25,934 | |||||||
JPMorgan Chase Bank(a) | 06/20/2014 | 1,110 | 0.65 | % | Bunge Ltd. Finance Corp., 5.35%, 04/15/14 | (767 | ) | ||||||
Credit Suisse International(a) | 09/20/2017 | 2,750 | 0.99 | % | Gannett Co., Inc., 6.375%, 04/01/12 | 19,987 | |||||||
Citibank NA(a) | 03/25/2035 | 1,000 | 3.00 | % | Centex Home Equity, 6.215%, 03/25/35 | (1,250 | ) | ||||||
Citibank NA(a) | 03/25/2035 | 1,000 | 3.00 | % | Morgan Stanley ABS Capital I, 6.765%, 01/25/35 | (1,500 | ) | ||||||
Barclays Bank PLC(a) | 09/25/2035 | 1,000 | 3.35 | % | Accredited Mortgage Loan Trust, 7.02%, 09/25/35 | 460,932 | |||||||
Merrill Lynch Capital Services, Inc.(b) | 03/25/2036 | 1,000 | 3.72 | % | AmeriQuest Mortgage Securities, Inc., 7.82%, 03/25/36 | 744,827 | |||||||
Merrill Lynch Capital Services, Inc.(a) | 03/25/2036 | 1,000 | 9.00 | % | AmeriQuest Mortgage Securities Inc., 7.82%, 03/25/36 | (654,500 | ) | ||||||
$ | 1,609,091 | ||||||||||||
(a) | The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults. |
(b) | The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults. |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 were as follows:
Affiliated Mutual Funds (including 8.9% of collateral received for securities on loan) | 27.4 | % | |
Mortgage Backed Securities | 15.2 | ||
Oil, Gas & Consumable Fuels | 5.1 | ||
Commercial Mortgage Backed Securities | 4.6 | ||
U.S. Treasury Securities | 3.2 | ||
Pharmaceuticals | 3.1 | ||
Commercial Banks | 2.5 | ||
Insurance | 2.5 | ||
Diversified Financial Services | 2.1 | ||
Computers & Peripherals | 2.0 | ||
U.S. Government Agency Obligations | 1.9 | ||
Capital Markets | 1.7 | ||
Diversified Telecommunication Services | 1.7 | ||
Industrial Conglomerates | 1.7 | ||
Software | 1.7 | ||
Aerospace & Defense | 1.5 | ||
Communications Equipment | 1.3 | ||
Media | 1.3 | ||
Asset Backed Securities | 1.2 | ||
Electric Utilities | 1.2 | ||
Energy Equipment & Services | 1.2 | ||
Food & Staples Retailing | 1.2 | ||
Semiconductors & Semiconductor Equipment | 1.2 | ||
Beverages | 1.1 | ||
Chemicals | 1.1 | ||
Healthcare Providers & Services | 1.1 | ||
Household Products | 1.1 | ||
Electric | 1.0 | ||
Machinery | 1.0 | ||
Food Products | 0.9 | ||
Metals & Mining | 0.9 | ||
Telecommunications | 0.9 | ||
Healthcare Equipment & Supplies | 0.8 | ||
Internet Software & Services | 0.8 | ||
Tobacco | 0.8 | ||
Banking | 0.7 | ||
Collateralized Mortgage Obligations | 0.7 | ||
Healthcare & Pharmaceutical | 0.7 | ||
Real Estate Investment Trust | 0.7 | ||
Specialty Retail | 0.7 | ||
Brokerage | 0.6 | ||
Foods | 0.6 | ||
Hotels, Restaurants & Leisure | 0.6 | ||
Multi-Utilities | 0.6 | ||
Biotechnology | 0.5 | ||
Air Freight & Logistics | 0.4 | ||
Automobiles | 0.4 | ||
Capital Goods | 0.4 | ||
Consumer Finance | 0.4 | ||
Electrical Equipment | 0.4 | ||
IT Services | 0.4 | ||
Multiline Retail | 0.4 | ||
Wireless Telecommunication Services | 0.4 | ||
Airlines | 0.3 | ||
Cable | 0.3 | ||
Healthcare Insurance | 0.3 | ||
Household Durables | 0.3 | ||
Media & Entertainment | 0.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Non Captive Finance | 0.3 | % | |
Pipelines & Other | 0.3 | ||
Road & Rail | 0.3 | ||
Technology | 0.3 | ||
Thrifts & Mortgage Finance | 0.3 | ||
Auto Components | 0.2 | ||
Building Materials & Construction | 0.2 | ||
Building Products | 0.2 | ||
Commercial Services & Supplies | 0.2 | ||
Electronic Equipment & Instruments | 0.2 | ||
Energy – Other | 0.2 | ||
Foreign Government Bonds | 0.2 | ||
Internet & Catalog Retail | 0.2 | ||
Life Sciences Tools & Services | 0.2 | ||
Railroads | 0.2 | ||
Retailers | 0.2 | ||
Sovereign | 0.2 | ||
Textiles, Apparel & Luxury Goods | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Automotive | 0.1 | ||
Construction & Engineering | 0.1 | ||
Construction Materials | 0.1 | ||
Distributors | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Energy – Integrated | 0.1 | ||
Gas Utilities | 0.1 | ||
Independent Power Producers & Energy Traders | 0.1 | ||
Leisure Equipment & Products | 0.1 | ||
Marine | 0.1 | ||
Metals | 0.1 | ||
Office Electronics | 0.1 | ||
Paper & Forest Products | 0.1 | ||
Personal Products | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Structured Notes | 0.1 | ||
115.0 | |||
Liabilities in excess of other assets | (15.0 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
CONSERVATIVE BALANCED PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments, at value including securities on loan of $232,883,257: | |||
Unaffiliated investments (cost $1,940,497,563) | $ | 2,384,593,719 | |
Affiliated investments (cost $755,138,678) | 746,776,113 | ||
Cash | 165,829 | ||
Foreign currency, at value (cost $21,242) | 21,464 | ||
Receivable for investments sold | 49,039,288 | ||
Dividends and interest receivable | 9,905,825 | ||
Unrealized appreciation on swaps | 3,101,107 | ||
Premium for swaps purchased | 590,000 | ||
Receivable for Series shares sold | 312,337 | ||
Foreign tax reclaim receivable | 212,268 | ||
Prepaid expenses | 30,257 | ||
Total Assets | 3,194,748,207 | ||
LIABILITIES | |||
Collateral for securities on loan | 241,495,833 | ||
Payable for investments purchased | 228,417,844 | ||
Management fee payable | 1,273,758 | ||
Unrealized depreciation on swaps | 805,624 | ||
Accrued expenses and other liabilities | 361,753 | ||
Payable for Series shares repurchased | 326,852 | ||
Due to broker—variation margin | 121,465 | ||
Payable to custodian | 92,369 | ||
Transfer agent fee payable | 629 | ||
Total Liabilities | 472,896,127 | ||
NET ASSETS | $ | 2,721,852,080 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 2,241,152,474 | |
Retained earnings | 480,699,606 | ||
Net assets, December 31, 2007 | $ | 2,721,852,080 | |
Net asset value and redemption price per share, $2,721,852,080 / 163,109,835 outstanding shares of beneficial interest (authorized 525,000,000 shares) | $ | 16.69 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Interest | $ | 39,962,768 | ||
Unaffiliated dividend income (net of foreign withholding taxes of $645,661) | 31,503,942 | |||
Affiliated dividend income | 26,021,881 | |||
Affiliated income from securities loaned, net | 537,541 | |||
98,026,132 | ||||
EXPENSES | ||||
Management fee | 15,239,010 | |||
Custodian’s fees and expenses | 474,000 | |||
Shareholders’ reports | 290,000 | |||
Insurance expenses | 60,000 | |||
Trustees’ fees | 46,000 | |||
Audit fee | 24,000 | |||
Interest expense | 20,128 | |||
Legal fees and expenses | 15,000 | |||
Commitment fee on syndicated credit agreement | 9,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $3,000) (Note 4) | 3,000 | |||
Miscellaneous | 34,279 | |||
Total expenses | 16,214,417 | |||
NET INVESTMENT INCOME | 81,811,715 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 73,478,627 | |||
Short sale transactions | (86,484 | ) | ||
Futures transactions | 10,360,031 | |||
Swap agreement transactions | 7,452,989 | |||
Options written transactions | (75,988 | ) | ||
Foreign currency transactions | (10,876 | ) | ||
91,118,299 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (11,397,618 | ) | ||
Futures | 286,234 | |||
Swaps | 2,317,152 | |||
Foreign currencies | 9,039 | |||
(8,785,193 | ) | |||
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | 82,333,106 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 164,144,821 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 81,811,715 | $ | 80,839,902 | ||||
Net realized gain (loss) on investment, swap agreement and foreign currency transactions | 91,118,299 | (105,478,541 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | (8,785,193 | ) | 295,289,511 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 164,144,821 | 270,650,872 | ||||||
DISTRIBUTIONS | (80,805,076 | ) | (75,726,414 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [894,544 and 1,557,565 shares, respectively] | 14,946,386 | 23,668,066 | ||||||
Series shares issued in reinvestment of distributions [4,870,710 and 5,014,994 shares, respectively] | 80,805,076 | 75,726,414 | ||||||
Series shares repurchased [13,534,553 and 17,938,730 shares, respectively] | (227,819,116 | ) | (273,531,887 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (132,067,654 | ) | (174,137,407 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (48,727,909 | ) | 20,787,051 | |||||
NET ASSETS: | ||||||||
Beginning of year | 2,770,579,989 | 2,749,792,938 | ||||||
End of year | $ | 2,721,852,080 | $ | 2,770,579,989 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 97.4% LONG-TERM BONDS — 91.8% | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Airlines — 1.4% | ||||||||||||
American Airlines, Inc., Pass-Thru Certificates, Series 2001-1(a) | Ba1 | 6.817% | 05/23/11 | $ | 2,750 | $ | 2,664,062 | |||||
Continental Airlines, Inc., Pass-Thru Certificates, Series 2000-1, Class A-1 | Ba1 | 7.373% | 12/15/15 | 1,134 | 1,091,384 | |||||||
Continental Airlines, Inc., Pass-Thru Certificates, Series A(a) | Baa1 | 5.983% | 04/19/22 | 1,850 | 1,728,992 | |||||||
Continental Airlines, Inc., Series 2000-1, Class A-1 | Baa2 | 6.703% | 06/15/21 | 3 | 3,179 | |||||||
Continental Airlines, Inc., Series 2000-1, Class A-1 | Baa2 | 7.487% | 10/02/10 | 7,954 | 8,033,539 | |||||||
Delta Air Lines, Inc., Pass-Thru Certificates, 144A(a) | Baa1 | 6.821% | 08/10/22 | 1,855 | 1,753,161 | |||||||
United Airlines, Inc., Pass-Thru Certificates, Series 2007-1, Class A | Baa2 | 6.636% | 07/02/22 | 1,300 | 1,220,700 | |||||||
16,495,017 | ||||||||||||
Asset-Backed Securities — 3.6% | ||||||||||||
American Express Credit Account Master Trust, Series 2004-C, Class C, 144A(g) | Baa1 | 5.527% | 02/15/12 | 634 | 634,273 | |||||||
AmeriQuest Mortgage Securities, Inc., Series 2001-2, Class M3(g) | Baa2 | 7.79% | 10/25/31 | 725 | 599,817 | |||||||
AmeriQuest Mortgage Securities, Inc., Series 2003-AR3, Class M6(g)(h) | Baa3 | 7.835% | 10/25/33 | 1,600 | 352,630 | |||||||
Amortizing Residential Collateral Trust, Series 2002-BC7, Class M2(g) | BB(f) | 6.215% | 10/25/32 | 148 | 80,153 | |||||||
Bank of America Credit Card Trust, Series 2006-C5, Class C5(g) | Baa2 | 5.428% | 01/15/16 | 5,750 | 5,324,980 | |||||||
Bank One Issuance Trust, Series 2003-C1, Class C1 | Baa2 | 4.54% | 09/15/10 | 2,980 | 2,979,791 | |||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2(g) | Ba3 | 8.24% | 03/25/33 | 370 | 100,247 | |||||||
Centex Home Equity, Asset-Backed Certificates, Series 2005-A, Class M4(g) | A1 | 5.665% | 01/25/35 | 2,400 | 2,048,274 | |||||||
Citibank Credit Card Issuance Trust, Series 2003-C4, Class C-4 | Baa2 | 5.00% | 06/10/15 | 6,500 | 6,113,335 | |||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-RES1, Class M3(g) | Aa3 | 5.585% | 11/25/34 | 1,240 | 1,061,877 | |||||||
Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2(g) | Baa1 | 6.59% | 05/25/32 | 1,907 | 1,162,292 | |||||||
Countrywide Asset-Backed Certificates, Series 2004-12, Class MV3(g) | Aa3 | 5.525% | 03/25/35 | 2,670 | 2,487,389 | |||||||
CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2(g) | Baa3 | 7.115% | 08/25/32 | 201 | 79,363 | |||||||
Equity One ABS, Inc., Series 2004-3, Class M1 | Aa2 | 5.70% | 07/25/34 | 2,100 | 1,929,980 | |||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF6, Class M2(g) | Aa2 | 5.305% | 05/25/36 | 2,575 | 2,343,883 | |||||||
Ford Credit Auto Owner Trust, Series 2006-B, Class C | Baa1 | 5.68% | 06/15/12 | 2,100 | 2,087,853 | |||||||
Fremont Home Loan Trust, Series 2003-B, Class M1(g) | Aa1 | 5.565% | 12/25/33 | 499 | 473,699 | |||||||
IXIS Real Estate Capital Trust, Series 2006-HE1, Class A4(g) | Aaa | 5.165% | 03/25/36 | 3,200 | 2,902,881 | |||||||
Morgan Stanley ABS Capital I, Series 2002-NC6, Class M2(g) | A2 | 8.015% | 11/25/32 | 174 | 47,442 | |||||||
Morgan Stanley ABS Capital I, Series 2003-HE1, Class M1(g) | Aa2 | 5.665% | 05/25/33 | 2,187 | 1,968,607 | |||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1(g) | Aa1 | 5.375% | 02/25/35 | 3,680 | 3,316,011 | |||||||
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2(g)(h) | Aa3 | 5.665% | 12/25/34 | 2,100 | 1,815,789 | |||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1(g) | Aaa | 5.615% | 12/25/32 | 1,469 | 1,428,948 | |||||||
Securitized Asset Backed Receivables LLC Trust, Series 2006-FR1, Class M1(g) | Aa2 | 5.265% | 11/25/35 | 2,000 | 1,444,655 | |||||||
Structured Asset Securities Corp., Series 2002-HF2, Class M3(g)(h) | BBB(f) | 6.865% | 07/25/32 | 1,345 | 535,531 | |||||||
43,319,700 | ||||||||||||
Automotive — 0.3% | ||||||||||||
Ford Motor Credit Co. | B1 | 6.625% | 06/16/08 | 3,500 | 3,449,005 | |||||||
Banking — 3.3% | ||||||||||||
Alfa MTN Markets Ltd. for ABH Financial Ltd. (Cypress), 144A | Ba1 | 8.20% | 06/25/12 | 2,000 | 1,870,000 | |||||||
Banco ABN Amro Real SA (Cayman Islands), 144A | NR | 16.20% | 02/22/10 | B | RL4,000 | 2,410,112 | ||||||
Chuo Mitsui Trust & Banking Co. Ltd. (Japan), 144A(g) | A2 | 5.506% | 12/29/49 | 3,050 | 2,804,445 | |||||||
Depfa ACS Bank (Ireland), 144A | Aaa | 5.125% | 03/16/37 | 3,065 | 3,029,517 | |||||||
Dresdner Kleinwort Wasserstein for CJSC (The) (Ukraine) | Ba2 | 7.75% | 09/23/09 | 1,400 | 1,417,080 | |||||||
HSBK Europe BV (Netherlands), 144A | Baa3 | 7.25% | 05/03/17 | 2,230 | 1,940,100 | |||||||
ICICI Bank Ltd. (India), 144A(a)(g) | Baa2 | 7.25% | 12/31/49 | 2,380 | 2,154,014 | |||||||
ICICI Bank Ltd. (Singapore), 144A | Baa2 | 5.75% | 11/16/10 | 2,500 | 2,479,998 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Banking (continued) | ||||||||||||
Kazkommerts International BV (Netherlands), 144A | Ba1 | 7.875% | 04/07/14 | 2,610 | $ | 2,225,025 | ||||||
Kazkommerts International BV (Netherlands), 144A | Ba1 | 8.00% | 11/03/15 | 1,360 | 1,114,928 | |||||||
KBC Bank Funding Trust III, 144A(g) | A1 | 9.86% | 11/29/49 | 5,000 | 5,371,560 | |||||||
Krung Thai Bank PCL (Thailand)(g) | Baa3 | 7.378% | 12/31/49 | 1,590 | 1,489,520 | |||||||
Northern Rock PLC (United Kingdom), 144A(a)(g)(h) | B3 | 6.594% | 12/31/49 | 920 | 570,400 | |||||||
Resona Bank Ltd., 144A(a)(g) | A2 | 5.85% | 09/29/49 | 2,900 | 2,695,991 | |||||||
Russian Standard Finance Bank SA, 144A | Ba2 | 7.50% | 10/07/10 | 3,000 | 2,685,000 | |||||||
Sumitomo Mitsui Banking Corp. (Japan), 144A(a)(g) | Aa3 | 5.625% | 07/29/49 | 6,380 | 5,957,247 | |||||||
40,214,937 | ||||||||||||
Brokerage — 1.1% | ||||||||||||
Goldman Sachs Group, Inc.(a) | A1 | 6.45% | 05/01/36 | 1,975 | 1,855,499 | |||||||
Goldman Sachs Group, Inc. | A1 | 6.75% | 10/01/37 | 2,380 | 2,331,872 | |||||||
Lehman Brothers Holdings, Inc. | A2 | 6.50% | 07/19/17 | 1,210 | 1,224,347 | |||||||
Merrill Lynch & Co., Inc. | A2 | 6.11% | 01/29/37 | 2,200 | 1,943,018 | |||||||
Merrill Lynch & Co., Inc., MTN(a) | A1 | 6.05% | 08/15/12 | 1,500 | 1,528,793 | |||||||
Morgan Stanley, MTN | Aa3 | 5.45% | 01/09/17 | 4,435 | 4,302,264 | |||||||
13,185,793 | ||||||||||||
Building Materials & Construction — 0.8% | ||||||||||||
American Standard, Inc. | Baa3 | 7.625% | 02/15/10 | 3,800 | 3,990,251 | |||||||
Centex Corp.(a) | Ba1 | 6.50% | 05/01/16 | 320 | 284,408 | |||||||
RPM International, Inc. | Baa3 | 4.45% | 10/15/09 | 5,150 | 5,100,740 | |||||||
Ryland Group, Inc. | Ba1 | 5.375% | 06/01/08 | 606 | 602,404 | |||||||
9,977,803 | ||||||||||||
Cable — 0.4% | ||||||||||||
AT&T Broadband | Baa2 | 9.455% | 11/15/22 | 1,065 | 1,354,300 | |||||||
TCI Communications, Inc. | Baa2 | 7.875% | 02/15/26 | 750 | 847,540 | |||||||
Time Warner Cable, Inc. | Baa2 | 5.40% | 07/02/12 | 1,545 | 1,548,105 | |||||||
Time Warner Cable, Inc. | Baa2 | 5.85% | 05/01/17 | 975 | 977,406 | |||||||
4,727,351 | ||||||||||||
Capital Goods — 0.8% | ||||||||||||
Honeywell International, Inc. | A2 | 5.70% | 03/15/37 | 370 | 365,299 | |||||||
Rockwell International Co. | A2 | 5.20% | 01/15/98 | 6,500 | 5,236,185 | |||||||
United Technologies Corp.(a) | A2 | 6.05% | 06/01/36 | 2,055 | 2,114,361 | |||||||
Waste Management, Inc. | Baa3 | 7.65% | 03/15/11 | 2,100 | 2,301,594 | |||||||
10,017,439 | ||||||||||||
Chemicals — 1.5% | ||||||||||||
Huntsman International LLC | Ba1 | 11.625% | 10/15/10 | 2,100 | 2,226,000 | |||||||
ICI Wilmington, Inc. | Baa2 | 4.375% | 12/01/08 | 2,040 | 2,037,191 | |||||||
Lubrizol Corp. | Baa3 | 4.625% | 10/01/09 | 5,600 | 5,623,822 | |||||||
Lubrizol Corp. | Baa3 | 5.875% | 12/01/08 | 550 | 552,702 | |||||||
Potash Corp. of Saskatchewan (Canada) | Baa1 | 5.875% | 12/01/36 | 4,545 | 4,197,489 | |||||||
Union Carbide Chemical & Plastics Co. | Ba2 | 7.875% | 04/01/23 | 3,058 | 3,199,751 | |||||||
17,836,955 | ||||||||||||
Collateralized Mortgage Obligations — 0.6% | ||||||||||||
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 | Aaa | 5.25% | 09/25/19 | 2,353 | 2,300,285 | |||||||
Master Alternative Loan Trust, Series 2004-4, Class 4A1 | Aaa | 5.00% | 04/25/19 | 496 | 492,866 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3(g) | Aaa | 4.17% | 02/25/34 | 3,209 | 3,268,658 | |||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | AAA(f) | 5.00% | 03/25/20 | 1,714 | 1,674,896 | |||||||
7,736,705 | ||||||||||||
Commercial Mortgage-Backed Securities — 8.2% | ||||||||||||
Banc of America Commercial Mortgage, Inc., Series 2005-1, Class ASB(g) | AAA(f) | 4.85% | 11/10/42 | 5,950 | 5,956,888 | |||||||
Banc of America Commercial Mortgage, Inc., Series 2006-2, Class A4(g) | AAA(f) | 5.74% | 05/10/45 | 9,400 | 9,715,381 |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T18, Class AAB(g) | Aaa | 4.823% | 02/13/42 | 2,475 | $ | 2,429,515 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T20, Class AAB(g) | Aaa | 5.138% | 10/12/42 | 3,400 | 3,401,097 | |||||||
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3 | Aaa | 5.311% | 12/15/39 | 2,330 | 2,321,897 | |||||||
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2 | Aaa | 4.93% | 07/10/39 | 8,500 | 8,522,104 | |||||||
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4 | Aaa | 4.111% | 07/05/35 | 12,700 | 12,239,038 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2 | Aaa | 4.767% | 03/12/39 | 4,969 | 4,931,258 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A4(g) | Aaa | 5.294% | 01/12/43 | 3,275 | 3,274,174 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class ASB | Aaa | 4.659% | 07/15/42 | 9,300 | 9,104,072 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A4(g) | Aaa | 4.918% | 10/15/42 | 3,700 | 3,589,682 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2003-C8, Class A3 | Aaa | 4.83% | 11/15/27 | 3,375 | 3,381,483 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6(g) | Aaa | 4.799% | 12/15/29 | 4,200 | 4,150,594 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4(g) | Aaa | 5.883% | 06/15/38 | 6,130 | 6,397,118 | |||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4(g) | Aaa | 5.909% | 06/12/46 | 2,325 | 2,426,611 | |||||||
PNC Mortgage Acceptance Corp., Series 2001-C1, Class A1 | Aaa | 5.91% | 03/12/34 | 2,292 | 2,307,865 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4 | Aaa | 4.98% | 11/15/34 | 2,500 | 2,509,288 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C3, Class A2 | AAA(f) | 4.867% | 02/15/35 | 7,330 | 7,313,045 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A3 | AAA(f) | 4.608% | 12/15/35 | 4,750 | 4,734,107 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class APB | Aaa | 4.807% | 04/15/42 | 1,500 | 1,474,389 | |||||||
100,179,606 | ||||||||||||
Consumer — 0.1% | ||||||||||||
Realogy Corp., PIK, 144A(a) | Caa1 | 11.00% | 04/15/14 | 2,000 | 1,390,000 | |||||||
Electric — 3.0% | ||||||||||||
CenterPoint Energy Houston Electric LLC | Baa2 | 5.70% | 03/15/13 | 2,950 | 2,978,208 | |||||||
Consumers Energy Co. | Baa1 | 5.375% | 04/15/13 | 1,000 | 997,234 | |||||||
EDP Finance BV (Netherlands), 144A | A2 | 6.00% | 02/02/18 | 1,170 | 1,141,143 | |||||||
El Paso Electric Co. | Baa2 | 6.00% | 05/15/35 | 2,325 | 2,173,631 | |||||||
Empresa Nacional de Electricidad SA (Chile) | Baa3 | 8.35% | 08/01/13 | 625 | 708,081 | |||||||
Energy East Corp. | Baa2 | 6.75% | 06/15/12 | 750 | 795,632 | |||||||
Energy East Corp. | Baa2 | 6.75% | 09/15/33 | 1,150 | 1,162,219 | |||||||
Enersis SA (Chile) | Baa3 | 7.375% | 01/15/14 | 3,700 | 3,961,101 | |||||||
Exelon Corp. | Baa1 | 4.90% | 06/15/15 | 500 | 470,659 | |||||||
Exelon Generation Co. LLC | A3 | 6.20% | 10/01/17 | 1,930 | 1,918,090 | |||||||
Georgia Power Co., Series B | A2 | 5.70% | 06/01/17 | 1,285 | 1,319,367 | |||||||
Korea East-West Power Co. Ltd. (South Korea), 144A | A1 | 4.875% | 04/21/11 | 1,700 | 1,707,895 | |||||||
NiSource Finance Corp. | Baa3 | 5.45% | 09/15/20 | 1,345 | 1,203,567 | |||||||
Northern States Power Co. | A2 | 8.00% | 08/28/12 | 2,800 | 3,144,771 | |||||||
Orion Power Holdings, Inc. | B2 | 12.00% | 05/01/10 | 1,920 | 2,092,800 | |||||||
Sierra Pacific Power Co., Series P(a) | Baa3 | 6.75% | 07/01/37 | 2,325 | 2,403,339 | |||||||
Southern California Edison Co. | A3 | 7.625% | 01/15/10 | 1,100 | 1,167,553 | |||||||
Texas Competitive Electric Holdings Co. LLC, 144A | B3 | 10.25% | 11/01/15 | 2,650 | 2,623,500 | |||||||
Virginia Electric and Power Co., Series A | Baa1 | 6.00% | 05/15/37 | 1,720 | 1,682,236 | |||||||
Xcel Energy, Inc. | Baa1 | 3.40% | 07/01/08 | 1,330 | 1,318,103 | |||||||
Xcel Energy, Inc. | Baa1 | 5.613% | 04/01/17 | 1,947 | 1,923,229 | |||||||
36,892,358 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Emerging Markets — 0.2% | ||||||||||||
Alfa Diversified Payment Rights Finance Co., | ||||||||||||
Series 1A, Class A, 144A(g) | Baa3 | 6.591% | 03/15/11 | 2,480 | $ | 2,389,983 | ||||||
Energy – Integrated — 0.2% | ||||||||||||
Suncor Energy, Inc. (Canada)(a) | A3 | 6.50% | 06/15/38 | 1,900 | 2,031,518 | |||||||
Energy – Other — 1.4% | ||||||||||||
EnCana Corp. (Canada) | Baa2 | 5.90% | 12/01/17 | 2,500 | 2,557,438 | |||||||
GS Caltex Corp. (South Korea), 144A | Baa1 | 7.75% | 07/25/11 | 3,250 | 3,484,444 | |||||||
Halliburton Co.(a) | A2 | 5.50% | 10/15/10 | 625 | 642,470 | |||||||
Newfield Exploration Co. | Ba3 | 6.625% | 04/15/16 | 320 | 313,600 | |||||||
Nexen, Inc. (Canada) | Baa2 | 6.40% | 05/15/37 | 1,890 | 1,886,829 | |||||||
Occidental Petroleum Corp., MTN | A3 | 4.25% | 03/15/10 | 3,250 | 3,231,904 | |||||||
Pioneer Natural Resources Co. | Ba1 | 6.875% | 05/01/18 | 1,750 | 1,692,294 | |||||||
Talisman Energy, Inc. (Canada) | Baa2 | 6.25% | 02/01/38 | 230 | 224,149 | |||||||
Transocean, Inc. (Cayman Islands) | Baa2 | 6.80% | 03/15/38 | 1,200 | 1,224,418 | |||||||
Western Oil Sand, Inc. (Canada) | Baa3 | 8.375% | 05/01/12 | 1,900 | 2,119,081 | |||||||
17,376,627 | ||||||||||||
Foods — 1.5% | ||||||||||||
Cadbury Schweppes US Finance LLC, 144A | Baa2 | 3.875% | 10/01/08 | 2,600 | 2,584,249 | |||||||
Delhaize Group (Belgium) | Baa3 | 6.50% | 06/15/17 | 715 | 731,464 | |||||||
HJ Heinz Co., 144A | Baa2 | 6.428% | 12/01/08 | 3,550 | 3,614,077 | |||||||
Kraft Foods, Inc. | Baa2 | 5.625% | 11/01/11 | 860 | 879,500 | |||||||
Kraft Foods, Inc. | Baa2 | 6.125% | 02/01/18 | 2,770 | 2,791,177 | |||||||
McDonald’s Corp.(a) | A3 | 6.30% | 10/15/37 | 1,400 | 1,451,852 | |||||||
Tyson Foods, Inc. | Ba1 | 6.85% | 04/01/16 | 1,000 | 1,026,155 | |||||||
Tyson Foods, Inc. | Ba2 | 8.25% | 10/01/11 | 2,550 | 2,770,539 | |||||||
Yum! Brands, Inc. | Baa2 | 8.875% | 04/15/11 | 1,705 | 1,880,661 | |||||||
17,729,674 | ||||||||||||
Gaming — 0.5% | ||||||||||||
Harrah’s Operating Co., Inc. | Baa3 | 5.625% | 06/01/15 | 2,500 | 1,825,000 | |||||||
Mandalay Resorts Group | B1 | 9.375% | 02/15/10 | 33 | 34,155 | |||||||
MGM Mirage, Inc. | Ba2 | 6.875% | 04/01/16 | 3,000 | 2,827,500 | |||||||
Station Casinos, Inc. | B2 | 6.00% | 04/01/12 | 1,930 | 1,717,700 | |||||||
6,404,355 | ||||||||||||
Health Care & Pharmaceutical — 1.7% | ||||||||||||
Abbott Laboratories(a) | A1 | 5.60% | 11/30/17 | 1,950 | 2,003,471 | |||||||
Accellent, Inc. | Caa3 | 10.50% | 12/01/13 | 670 | 562,800 | |||||||
Alliance Imaging, Inc., Sr. Sub. Notes | B3 | 7.25% | 12/15/12 | 1,500 | 1,425,000 | |||||||
AmerisourceBergen Corp. | Ba1 | 5.875% | 09/15/15 | 2,325 | 2,281,274 | |||||||
Cardinal Health, Inc., 144A | Baa2 | 6.30% | 10/15/16 | 265 | 271,606 | |||||||
Community Health Systems, Inc. | B3 | 8.875% | 07/15/15 | 800 | 815,000 | |||||||
HCA, Inc., MTN | Caa1 | 8.70% | 02/10/10 | 1,700 | 1,704,432 | |||||||
HCA, Inc., PIK(a) | B2 | 9.625% | 11/15/16 | 2,200 | 2,326,500 | |||||||
Hospira, Inc. | Baa3 | 5.55% | 03/30/12 | 2,500 | 2,542,185 | |||||||
Schering-Plough Corp. | Baa1 | 5.55% | 12/01/13 | 2,735 | 2,767,215 | |||||||
Teva Pharmaceutical Finance LLC | Baa2 | 6.15% | 02/01/36 | 750 | 744,799 | |||||||
Wyeth(a)(b) | A3 | 5.45% | 04/01/17 | 1,460 | 1,476,774 | |||||||
Wyeth(b) | A3 | 5.95% | 04/01/37 | 2,360 | 2,366,261 | |||||||
21,287,317 | ||||||||||||
Health Care Insurance — 1.5% | ||||||||||||
Aetna, Inc. | A3 | 6.75% | 12/15/37 | 1,900 | 1,895,244 | |||||||
Cigna Corp. | Baa2 | 5.375% | 03/15/17 | 2,125 | 2,034,226 | |||||||
Cigna Corp. | Baa2 | 6.15% | 11/15/36 | 2,300 | 2,133,975 | |||||||
Coventry Health Care, Inc.(a) | Ba1 | 6.125% | 01/15/15 | 4,025 | 4,039,019 | |||||||
Health Net, Inc. | Ba2 | 6.375% | 06/01/17 | 1,315 | 1,282,387 | |||||||
UnitedHealthcare Group, Inc., 144A | A3 | 6.00% | 06/15/17 | 3,775 | 3,812,773 | |||||||
Wellpoint, Inc.(a) | Baa1 | 5.875% | 06/15/17 | 2,625 | 2,642,855 | |||||||
17,840,479 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Insurance — 1.0% | ||||||||||||
Ace INA Holdings, Inc. | A3 | 5.70% | 02/15/17 | 1,135 | $ | 1,124,783 | ||||||
Allied World Insurance Holdings Ltd. (Bermuda) | Baa1 | 7.50% | 08/01/16 | 1,700 | 1,779,023 | |||||||
American International Group, Inc.(a) | Aa2 | 4.25% | 05/15/13 | 1,820 | 1,731,310 | |||||||
American International Group, Inc. | Aa2 | 5.05% | 10/01/15 | 315 | 304,203 | |||||||
Axis Capital Holdings Ltd. (Bermuda) | Baa1 | 5.75% | 12/01/14 | 3,350 | 3,283,746 | |||||||
Travelers Cos., Inc., MTN | A3 | 6.25% | 06/15/37 | 1,890 | 1,830,677 | |||||||
XL Capital Ltd. (Cayman Islands)(a)(g) | Baa2 | 6.50% | 12/31/49 | 1,880 | 1,643,799 | |||||||
XL Capital Ltd., Class A (Cayman Islands) | A3 | 5.25% | 09/15/14 | 140 | 136,139 | |||||||
11,833,680 | ||||||||||||
Lodging — 0.4% | ||||||||||||
Felcore Lodging LP(g) | Ba3 | 6.787% | 12/01/11 | 1,800 | 1,759,500 | |||||||
Royal Caribbean Cruises Ltd. (Liberia), Sr. Notes | Ba1 | 8.00% | 05/15/10 | 1,730 | 1,788,517 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | Baa3 | 6.25% | 02/15/13 | 980 | 980,595 | |||||||
4,528,612 | ||||||||||||
Media & Entertainment — 1.4% | ||||||||||||
Clear Channel Communications, Inc. | Baa3 | 8.00% | 11/01/08 | 4,720 | 4,878,536 | |||||||
Dex Media West LLC, Series B | B1 | 9.875% | 08/15/13 | 2,560 | 2,662,400 | |||||||
News America, Inc. | Baa2 | 7.625% | 11/30/28 | 1,415 | 1,568,035 | |||||||
RH Donnelley Corp., 144A | B3 | 8.875% | 10/15/17 | 1,600 | 1,480,000 | |||||||
Thomson Corp. (Canada) | Baa1 | 5.75% | 02/01/08 | 2,750 | 2,753,136 | |||||||
Time Warner, Inc. | Baa2 | 5.875% | 11/15/16 | 1,595 | 1,585,200 | |||||||
Viacom, Inc. | Baa3 | 6.75% | 10/05/37 | 720 | 714,239 | |||||||
Viacom, Inc. | Baa3 | 6.875% | 04/30/36 | 1,090 | 1,092,971 | |||||||
16,734,517 | ||||||||||||
Metals — 0.5% | ||||||||||||
Russel Metals, Inc., Sr. Notes (Canada) | Ba2 | 6.375% | 03/01/14 | 685 | 634,481 | |||||||
United States Steel Corp. | Baa3 | 7.00% | 02/01/18 | 2,000 | 1,986,624 | |||||||
Xstrata Finance Canada Ltd. (Canada), 144A | Baa2 | 5.50% | 11/16/11 | 3,430 | 3,489,476 | |||||||
6,110,581 | ||||||||||||
Non-Captive Finance — 2.3% | ||||||||||||
Bosphorus Financial Services Ltd. (Cayman Islands), 144A(g) | Baa2 | 6.6688% | 02/15/12 | 2,225 | 2,222,998 | |||||||
Capital One Financial Corp. | Baa1 | 6.15% | 09/01/16 | 700 | 621,145 | |||||||
CIT Group, Inc. | A2 | 5.65% | 02/13/17 | 5,650 | 4,959,801 | |||||||
Countrywide Financial Corp., MTN | Baa3 | 5.80% | 06/07/12 | 1,775 | 1,296,636 | |||||||
General Electric Capital Australia Funding Pty Ltd. (Australia), MTN | Aaa | 6.00% | 04/15/15 | AUD | 4,440 | 3,434,116 | ||||||
Nelnet, Inc.(g) | Baa3 | 7.40% | 09/29/36 | 6,500 | 6,244,491 | |||||||
Preferred Term Securities X, Class A-1 (Cayman Islands), 144A(g)(h) | Aaa | 5.92% | 07/03/33 | 3,863 | 3,954,015 | |||||||
Residential Capital LLC(a) | Ba3 | 8.00% | 04/17/13 | 4,270 | 2,626,050 | |||||||
Residential Capital LLC, MTN | Ba3 | 9.375% | 07/01/14 | GBP | 2,400 | 2,723,147 | ||||||
28,082,399 | ||||||||||||
Non-Corporate Foreign Agency — 1.2% | ||||||||||||
Credit Suisse First Boston International for CJSC (The) (Ukraine) | Ba2 | 6.80% | 10/04/12 | 1,400 | 1,359,540 | |||||||
Gazprom International SA (Luxembourg), 144A | BBB+(f) | 7.201% | 02/01/20 | 2,175 | 2,205,281 | |||||||
Gazprom OAO (Russia) | A3 | 10.50% | 10/21/09 | 1,685 | 1,822,580 | |||||||
National Power Corp. (Philippines), 144A(a)(g) | BB-(f) | 9.265% | 08/23/11 | 1,530 | 1,659,438 | |||||||
Petronas Capital Ltd. (Malaysia), 144A | A1 | 7.00% | 05/22/12 | 7,300 | 7,936,859 | |||||||
14,983,698 | ||||||||||||
Non-Corporate Sovereign — 4.9% | ||||||||||||
Buoni Poliennali Del Tesoro (Italy) | Aa2 | 4.00% | 02/01/37 | EUR | 2,215 | 2,771,210 | ||||||
Deutsche Bundesrepublik (Denmark) | Aaa | 4.00% | 01/04/37 | EUR | 3,128 | 4,137,974 | ||||||
Federal Republic of Argentina (Argentina)(g) | B3 | 3.00% | 04/30/13 | 2,115 | 1,319,337 | |||||||
Federal Republic of Argentina (Argentina)(g) | B3 | 5.389% | 08/03/12 | 2,000 | 1,778,700 | |||||||
Federal Republic of Brazil (Brazil) | Ba1 | 9.25% | 10/22/10 | 5,325 | 5,910,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Non-Corporate Sovereign (continued) | ||||||||||||
Federal Republic of Brazil (Brazil)(a) | Ba1 | 12.50% | 01/05/16 | BRL | 750 | $ | 458,006 | |||||
Government of Hungary (Hungary) | A2 | 8.00% | 02/12/15 | HUF | 1,054,880 | 6,325,170 | ||||||
Government of Jamaica (Jamaica) | B1 | 11.00% | 07/27/12 | EUR | 995 | 1,629,311 | ||||||
Peru Government International Bond (Peru), 144A | Ba2 | Zero% | 05/31/18 | 1,837 | 1,267,530 | |||||||
Republic of Panama (Panama) | Ba1 | 9.375% | 07/23/12 | 1,295 | 1,508,675 | |||||||
Republic of Poland (Poland) | A2 | 6.25% | 10/24/15 | PLN | 23,360 | 9,637,197 | ||||||
Republic of Turkey (Turkey) | Ba3 | 9.875% | 03/19/08 | 1,845 | 1,847,399 | |||||||
Republic of Uruguay (Uruguay) | B1 | 7.25% | 02/15/11 | 660 | 693,000 | |||||||
Republic of Venezuela (Venezuela) | B2 | 10.75% | 09/19/13 | 2,385 | 2,551,950 | |||||||
Russian Government International Bond (Russia), 144A | Baa2 | 8.25% | 03/31/10 | 2,883 | 2,991,590 | |||||||
Sweden Government Bond (Sweden) | Aaa | 6.50% | 05/05/08 | SEK | 7,810 | 1,216,768 | ||||||
United Mexican States (Mexico)(g) | Baa1 | 5.942% | 01/13/09 | 2,090 | 2,094,180 | |||||||
United Mexican States (Mexico) | Baa1 | 7.50% | 01/14/12 | 4,250 | 4,666,500 | |||||||
United Mexican States (Mexico) | Baa1 | 8.00% | 12/24/08 | MXN | 77,200 | 7,085,314 | ||||||
59,890,561 | ||||||||||||
Paper — 0.7% | ||||||||||||
Catalyst Paper Corp. (Canada) | B2 | 8.625% | 06/15/11 | 1,800 | 1,494,000 | |||||||
Graphic Packaging International, Inc. | B2 | 8.50% | 08/15/11 | 2,970 | 2,940,300 | |||||||
International Paper Co. | Baa3 | 4.00% | 04/01/10 | 2,815 | 2,787,213 | |||||||
Norampac, Inc., Sr. Notes (Canada) | Ba3 | 6.75% | 06/01/13 | 1,400 | 1,277,500 | |||||||
8,499,013 | ||||||||||||
Pipelines & Other — 1.0% | ||||||||||||
Atmos Energy Corp.(e) | Baa3 | 4.00% | 10/15/09 | 5,300 | 5,222,387 | |||||||
CenterPoint Energy Resources Corp. | Baa3 | 6.125% | 11/01/17 | 1,340 | 1,363,703 | |||||||
Oneok, Inc. | Baa2 | 5.51% | 02/16/08 | 6,000 | 5,996,302 | |||||||
12,582,392 | ||||||||||||
Railroads — 0.3% | ||||||||||||
CSX Corp. | Baa3 | 5.75% | 03/15/13 | 2,600 | 2,632,219 | |||||||
Union Pacific Corp. | Baa2 | 5.45% | 01/31/13 | 1,500 | 1,513,082 | |||||||
4,145,301 | ||||||||||||
Real Estate Investments Trusts — 0.4% | ||||||||||||
Equity One, Inc. | Baa3 | 3.875% | 04/15/09 | 1,450 | 1,404,226 | |||||||
Post Apartment Homes LP | Baa3 | 5.45% | 06/01/12 | 2,300 | 2,335,669 | |||||||
Realty Income Corp. | Baa1 | 6.75% | 08/15/19 | 1,545 | 1,593,851 | |||||||
5,333,746 | ||||||||||||
Retailers — 0.6% | ||||||||||||
CVS Caremark Corp.(a) | Baa2 | 6.25% | 06/01/27 | 3,020 | 3,026,532 | |||||||
Neiman-Marcus Group, Inc., PIK | B2 | 9.00% | 10/15/15 | 2,750 | 2,835,938 | |||||||
Target Corp. | A2 | 6.50% | 10/15/37 | 800 | 804,081 | |||||||
6,666,551 | ||||||||||||
Structured Notes — 1.7% | ||||||||||||
CDX North America High Yield, Ser. 9-T1, 144A(a) | B3 | 8.75% | 12/29/12 | 2,000 | 1,972,500 | |||||||
Dow Jones CDX High Yield, 144A | B3 | 8.25% | 12/29/10 | 8,500 | 8,776,250 | |||||||
Dow Jones CDX High Yield, 144A(a) | B3 | 8.625% | 06/29/11 | 10,128 | 10,444,191 | |||||||
21,192,941 | ||||||||||||
Technology — 0.8% | ||||||||||||
Fidelity National Information Services, Inc. | Ba1 | 4.75% | 09/15/08 | 1,900 | 1,873,875 | |||||||
Fiserv, Inc. | Baa2 | 6.125% | 11/20/12 | 1,600 | 1,628,478 | |||||||
Freescale Semiconductor, Inc., PIK | B2 | 9.125% | 12/15/14 | 1,600 | 1,360,000 | |||||||
Freescale Semiconductor, Inc.(a) | B3 | 10.125% | 12/15/16 | 1,500 | 1,237,500 | |||||||
Jabil Circuit, Inc. | Ba1 | 5.875% | 07/15/10 | 2,000 | 2,023,881 | |||||||
Motorola, Inc. | Baa1 | 8.00% | 11/01/11 | 121 | 130,433 | |||||||
SunGard Data Systems, Inc. | B3 | 3.75% | 01/15/09 | 720 | 698,400 | |||||||
Xerox Corp. | Baa2 | 5.50% | 05/15/12 | 870 | 884,457 | |||||||
9,837,024 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM BONDS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Telecommunications — 2.1% | ||||||||||||
AT&T Corp. | A2 | 8.00% | 11/15/31 | 2,475 | $ | 3,039,481 | ||||||
Embarq Corp. | Baa3 | 7.082% | 06/01/16 | 5,600 | 5,770,133 | |||||||
New Cingular Wireless Services, Inc. | A2 | 8.125% | 05/01/12 | 1,810 | 2,012,573 | |||||||
New Cingular Wireless Services, Inc. | A3 | 8.75% | 03/01/31 | 2,375 | 3,077,960 | |||||||
Qwest Corp. | Ba1 | 8.875% | 03/15/12 | 3,300 | 3,531,000 | |||||||
Sprint Nextel Corp.(a) | Baa3 | 6.00% | 12/01/16 | 1,335 | 1,278,654 | |||||||
Telecom Italia Capital (Luxembourg) | Baa2 | 4.875% | 10/01/10 | 3,400 | 3,382,283 | |||||||
Telefonica Emisiones SAU (Spain) | Baa1 | 7.045% | 06/20/36 | 5 | 5,589 | |||||||
TELUS Corp. (Canada) | Baa1 | 8.00% | 06/01/11 | 150 | 162,520 | |||||||
Suncom Wireless, Inc. | Caa2 | 8.50% | 06/01/13 | 3,200 | 3,312,000 | |||||||
25,572,193 | ||||||||||||
Tobacco — 0.4% | ||||||||||||
Altria Group, Inc. | Baa1 | 7.65% | 07/01/08 | 1,100 | 1,117,678 | |||||||
Reynolds American, Inc. | Ba1 | 6.50% | 07/15/10 | 4,000 | 4,095,284 | |||||||
5,212,962 | ||||||||||||
U.S. Government Agency Obligations — 0.2% | ||||||||||||
Federal Farm Credit Bank | Aaa | 4.875% | 01/17/17 | 580 | 595,006 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.50% | 07/18/16 | 120 | 129,181 | |||||||
Federal National Mortgage Association | Aaa | 5.00% | 03/15/16 | 1,685 | 1,760,831 | |||||||
Federal National Mortgage Association | Aaa | 5.625% | 07/15/37 | 165 | 182,865 | |||||||
2,667,883 | ||||||||||||
U.S. Government Mortgage-Backed Securities — 38.8% | ||||||||||||
Federal Home Loan Mortgage Corp. | Aaa | 4.50% | 02/01/19-07/01/19 | 15,048 | 14,791,360 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.00% | 07/01/19-05/01/34 | 7,572 | 7,511,692 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.50% | 10/01/33-06/01/34 | 5,268 | 5,273,151 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 5.50% | TBA 30 YR | 47,500 | 47,396,070 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.00% | 11/01/33-06/01/34 | 6,081 | 6,182,107 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.00% | TBA 30 YR | 23,500 | 23,845,168 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 6.50% | 07/01/32-09/01/32 | 3,032 | 3,134,506 | |||||||
Federal Home Loan Mortgage Corp. | Aaa | 7.00% | 10/01/32-11/01/33 | 5,856 | 6,143,182 | |||||||
Federal National Mortgage Association | Aaa | 4.00% | 05/01/19-06/01/19 | 7,191 | 6,897,898 | |||||||
Federal National Mortgage Association | Aaa | 4.50% | 06/01/18-02/01/35 | 29,104 | 28,386,084 | |||||||
Federal National Mortgage Association | Aaa | 5.00% | 01/01/19-01/01/20 | 8,593 | 8,612,588 | |||||||
Federal National Mortgage Association | Aaa | 5.00% | TBA 30 YR | 74,000 | 72,196,250 | |||||||
Federal National Mortgage Association(g) | Aaa | 5.228% | 10/01/37 | 11,415 | 11,507,417 | |||||||
Federal National Mortgage Association(g) | Aaa | 5.287% | 01/01/36 | 3,485 | 3,490,344 | |||||||
Federal National Mortgage Association | Aaa | 5.50% | 12/01/16-09/01/34 | 34,108 | 34,256,223 | |||||||
Federal National Mortgage Association | Aaa | 5.50% | TBA 15 YR | 10,000 | 10,128,120 | |||||||
Federal National Mortgage Association | Aaa | 5.50% | TBA 30 YR | 34,000 | 33,957,500 | |||||||
Federal National Mortgage Association(g) | Aaa | 5.914% | 06/01/37 | 3,999 | 4,072,124 | |||||||
Federal National Mortgage Association | Aaa | 6.00% | 09/01/17-02/01/35 | 22,570 | 23,008,743 | |||||||
Federal National Mortgage Association | Aaa | 6.00% | TBA 30 YR | 32,000 | 32,489,984 | |||||||
Federal National Mortgage Association(g) | Aaa | 6.044% | 09/01/37 | 11,226 | 11,444,012 | |||||||
Federal National Mortgage Association | Aaa | 6.50% | 11/01/09-10/01/37 | 23,864 | 24,575,369 | |||||||
Federal National Mortgage Association | Aaa | 7.00% | 05/01/32-06/01/32 | 522 | 550,046 | |||||||
Federal National Mortgage Association | Aaa | 9.00% | 10/01/16 | 3 | 3,524 | |||||||
Government National Mortgage Association | Aaa | 5.50% | 01/15/33-01/15/36 | 16,251 | 16,342,875 | |||||||
Government National Mortgage Association | Aaa | 6.00% | 12/15/32-11/15/34 | 9,717 | 9,946,912 | |||||||
Government National Mortgage Association | Aaa | 6.00% | TBA 30 YR | 20,000 | 20,475,000 | |||||||
Government National Mortgage Association | Aaa | 6.50% | 09/15/32-11/15/33 | 5,211 | 5,401,391 | |||||||
Government National Mortgage Association | Aaa | 7.50% | 10/15/25-02/15/26 | 166 | 177,556 | |||||||
472,197,196 | ||||||||||||
U.S. Government Treasury Securities — 1.0% | ||||||||||||
U.S. Treasury Bonds(a) | Aaa | 4.75% | 02/15/37 | 11,084 | 11,600,093 | |||||||
TOTAL LONG-TERM BONDS | 1,118,153,965 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
BANK LOANS — 5.6% | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||
Aerospace/Defense — 0.2% | ||||||||||||
Hawker Beechcraft, Inc.(h) | Ba3 | 7.244% | 03/26/14 | 167 | $ | 158,797 | ||||||
Hawker Beechcraft, Inc.(h) | Ba3 | 7.244% | 03/26/14 | 1,963 | 1,862,621 | |||||||
2,021,418 | ||||||||||||
Automotive — 0.6% | ||||||||||||
Ford Motor Co.(h) | Ba3 | 8.00% | 12/15/13 | 3,861 | 3,567,915 | |||||||
Oshkosh Truck Corp.(h) | Ba3 | 6.90% | 12/06/13 | 3,629 | 3,478,950 | |||||||
7,046,865 | ||||||||||||
Cable — 0.4% | ||||||||||||
Insight Midwest Holding LLC(h) | Ba3 | 6.753% | 10/06/13 | 4,750 | 4,552,082 | |||||||
Capital Goods — 0.3% | ||||||||||||
Capital Safety Group Ltd.(h) | B1 | 7.631% | 07/20/15 | 409 | 395,947 | |||||||
Capital Safety Group Ltd.(h) | B1 | 8.131% | 07/20/16 | 1,091 | 1,060,756 | |||||||
Hertz Corp.(h) | Ba1 | 6.66% | 12/21/12 | 278 | 272,004 | |||||||
Hertz Corp.(h) | Ba1 | 6.894% | 12/21/12 | 1,315 | 1,286,311 | |||||||
3,015,018 | ||||||||||||
Consumer — 0.2% | ||||||||||||
Huish Detergents, Inc.(h) | B1 | 6.878% | 04/26/14 | 2,985 | 2,590,553 | |||||||
Electric — 0.6% | ||||||||||||
NRG Energy, Inc.(h) | Ba1 | 6.48% | 02/01/13 | 1,171 | 1,116,168 | |||||||
NRG Energy, Inc.(h) | Ba1 | 6.58% | 02/01/13 | 2,537 | 2,417,540 | |||||||
Reliant Energy, Inc.(h) | B2 | 5.105% | 06/30/14 | 2,500 | 2,350,000 | |||||||
Texas Competitive Electric Holdings Co. LLC(h) | Ba3 | 8.60% | 10/10/14 | 1,995 | 1,957,596 | |||||||
7,841,304 | ||||||||||||
Foods — 0.2% | ||||||||||||
Supervalu, Inc.(h) | Ba3 | 6.584% | 06/02/11 | 2,538 | 2,483,108 | |||||||
Gaming — 0.2% | ||||||||||||
Las Vegas Sands LLC(h) | Ba3 | 6.58% | 05/23/14 | 2,189 | 2,048,705 | |||||||
Las Vegas Sands LLC(h) | Ba3 | 7.11% | 05/23/14 | 550 | 514,750 | |||||||
2,563,455 | ||||||||||||
Health Care & Pharmaceutical — 1.1% | ||||||||||||
Community Health Systems, Inc.(h) | Ba3 | 7.493% | 07/25/14 | 135 | 129,342 | |||||||
Community Health Systems, Inc.(h) | Ba3 | 7.493% | 07/25/14 | 2,676 | 2,571,753 | |||||||
HCA, Inc.(h) | Ba3 | 7.08% | 11/17/13 | 2,475 | 2,381,569 | |||||||
Health Management Associates Term B(h) | Ba2 | 6.62% | 02/28/14 | 2,045 | 1,904,307 | |||||||
Inverness Medical Innovations(h) | B1 | 7.243% | 06/26/14 | 2,985 | 2,832,019 | |||||||
PTS Acquisition Corp.(h) | Ba3 | 7.459% | 04/10/14 | 3,881 | 3,605,632 | |||||||
13,424,622 | ||||||||||||
Media & Entertainment — 0.4% | ||||||||||||
Idearc, Inc.(h) | Ba2 | 6.33% | 11/17/13 | 1,000 | 939,250 | |||||||
Idearc, Inc.(h) | Ba2 | 6.83% | 11/17/14 | 1,733 | 1,648,238 | |||||||
Univision Communications, Inc.(h) | Ba3 | 7.207% | 09/29/14 | 2,899 | 2,639,598 | |||||||
Univision Communications, Inc.(h) | Ba3 | 7.45% | 09/29/14 | 101 | 91,653 | |||||||
5,318,739 | ||||||||||||
Paper — 0.1% | ||||||||||||
Domtar, Inc.(h) | Ba1 | 6.4025% | 03/05/14 | 1,608 | 1,540,329 | |||||||
Pipelines & Other — 0.4% | ||||||||||||
Enterprise GP Holdings LP(h) | Ba2 | 7.161% | 11/08/14 | 1,535 | 1,526,366 | |||||||
Kinder Morgan, Inc.(h) | Ba2 | 6.35% | 05/30/14 | 2,798 | 2,777,515 | |||||||
4,303,881 | ||||||||||||
Technology — 0.8% | ||||||||||||
First Data Corp.(h) | Ba3 | 7.981% | 09/24/14 | 1,047 | 992,977 | |||||||
First Data Corp.(h) | Ba3 | 7.981% | 09/24/14 | 1,995 | 1,897,494 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
BANK LOANS (continued) | Moody’s Rating (Unaudited) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||
Technology (continued) | |||||||||||||
Flextronics International Ltd. (h) | Ba1 | 7.234% | 10/01/14 | 668 | $ | 651,269 | |||||||
Flextronics International Ltd. (h) | Ba1 | 7.474% | 10/01/14 | 2,325 | 2,266,763 | ||||||||
Metavante Corp.(h) | Ba2 | 6.644% | 11/01/14 | 2,500 | 2,429,687 | ||||||||
Sungard Data Systems, Inc.(h) | Ba3 | 6.897% | 02/28/14 | 1,497 | 1,443,561 | ||||||||
9,681,751 | |||||||||||||
Telecommunications — 0.1% | |||||||||||||
Alltel Communications, Inc.(h) | Ba3 | 7.699 | 05/16/15 | 1,596 | 1,535,928 | ||||||||
TOTAL BANK LOANS | 67,919,053 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS | 1,186,073,018 | ||||||||||||
�� | |||||||||||||
SHORT-TERM INVESTMENTS — 25.2% | Shares | ||||||||||||
Affiliated Mutual Funds | |||||||||||||
Dryden Core Investment Fund — Short-Term Bond Series(d) | 15,922,245 | 150,305,993 | |||||||||||
Dryden Core Investment Fund — Taxable Money Market Fund Series | 156,711,969 | 156,711,969 | |||||||||||
TOTAL AFFILIATED MUTUAL FUNDS | 307,017,962 | ||||||||||||
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT 122.6% | 1,493,090,980 | ||||||||||||
SECURITY SOLD SHORT — (0.5)% | Principal Amount (000)# | ||||||||||||
U.S. Government Mortgage-Backed Security | |||||||||||||
Federal National Mortgage Association | Aaa | 4.50% | TBA 15 YR | 5,500 | (5,412,341 | ) | |||||||
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 122.1% | 1,487,678,639 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (22.1)% | (269,387,949 | ) | |||||||||||
TOTAL NET ASSETS — 100.0% | $ | 1,218,290,690 | |||||||||||
The following abbreviations are used in portfolio descriptions:
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. | |
MTN | Medium Term Note | |
NR | Not Rated by Moody’s or Standard & Poor’s | |
PIK | Payment-in-kind | |
TBA | To Be Announced | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona |
# | 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 $50,482,738; cash collateral of $51,702,846 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
(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 — Short-Term Bond Series. |
(e) | Security segregated as collateral for futures 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, 2007. |
(h) | Indicates a security that has been deemed illiquid. |
(i) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on futures contracts, forward foreign currency exchange contracts, interest rate and credit default swap agreements as follows: |
Open future contracts outstanding at December 31, 2007:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2007 | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
26 | 2 Yr. Euro Schatz | Mar. 2008 | $ | 3,956,880 | $ | 3,928,871 | $ | (28,009 | ) | |||||
5 | New Zealand 3 Mo. Bill | Mar. 2008 | 3,511,109 | 3,508,765 | (2,344 | ) | ||||||||
872 | U.S. 10 Yr. Treasury Notes | Mar. 2008 | 98,340,815 | 98,876,625 | 535,810 | |||||||||
395 | U.S. 30 Yr. Treasury Bonds | Mar. 2008 | 45,783,582 | 45,968,125 | 184,543 | |||||||||
690,000 | ||||||||||||||
Short Positions: | ||||||||||||||
20 | Australian 10 Yr. Bond | Mar. 2008 | 1,646,364 | 1,645,198 | 1,166 | |||||||||
44 | Euro 10 Yr. Bond | Mar. 2008 | 7,445,087 | 7,276,401 | 168,686 | |||||||||
8 | U.K. 10 Yr. Gilt | Mar. 2008 | 1,755,455 | 1,755,395 | 60 | |||||||||
213 | U.S. 2 Yr. Treasury Notes | Mar. 2008 | 44,744,869 | 44,783,250 | (38,381 | ) | ||||||||
617 | U.S. 5 Yr. Treasury Notes | Mar. 2008 | 67,979,348 | 68,043,531 | (64,183 | ) | ||||||||
67,348 | ||||||||||||||
$ | 757,348 | |||||||||||||
Forward foreign currency exchange contracts outstanding at December 31, 2007:
Foreign Currency Contract | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased: | ||||||||||||||
Australian Dollar, expiring 01/18/08 | AUD | 703 | $ | 609,100 | $ | 616,503 | $ | 7,403 | ||||||
Brazilian Real, expiring 10/23/08 | BRL | 6,806 | 2,775,000 | 3,723,533 | 948,533 | |||||||||
British Pound, expiring 01/25/08 | GBP | 491 | 974,500 | 977,025 | 2,525 | |||||||||
Euro, expiring 01/25/08 | EUR | 835 | 1,209,800 | 1,221,034 | 11,234 | |||||||||
Hungarian Forint, expiring 01/24/08 | HUF | 231,835 | 1,312,100 | 1,338,263 | 26,163 | |||||||||
New Zealand Dollar, expiring 01/18/08 | NZD | 2,379 | 1,872,281 | 1,826,527 | (45,754 | ) | ||||||||
Swedish Krona, expiring 01/24/08 | SEK | 15,906 | 2,435,300 | 2,461,564 | 26,264 | |||||||||
11,188,081 | 12,164,449 | 976,368 | ||||||||||||
Sold: | ||||||||||||||
Australian Dollar, expiring 01/18/08 | AUD | 1,905 | 1,684,557 | 1,671,112 | 13,445 | |||||||||
British Pound, expiring 01/25/08 | GBP | 1,466 | �� | 2,950,059 | 2,916,150 | 33,909 | ||||||||
Euro, expiring 01/25/08 | EUR | 5,512 | 7,957,584 | 8,062,268 | (104,684 | ) | ||||||||
Hungarian Forint, expiring 01/24/08 | HUF | 1,178,283 | 6,794,617 | 6,801,614 | (6,997 | ) | ||||||||
Mexican Peso, expiring 01/16/08 | MXN | 77,280 | 7,137,383 | 7,072,593 | 64,790 | |||||||||
Polish Zloty, expiring 01/24/08 | PLN | 20,822 | 8,510,291 | 8,462,141 | 48,150 | |||||||||
Swedish Krona, expiring 01/24/08 | SEK | 15,845 | 2,445,728 | 2,452,189 | (6,461 | ) | ||||||||
37,480,219 | 37,438,067 | 42,152 | ||||||||||||
$ | 1,018,520 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest rate swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized Appreciation/ (Depreciation) | |||||||||
Merrill Lynch Capital Services, Inc.(a) | 8/14/2012 | $ | 19,829 | 5.20857 | % | 3 month LIBOR | $ | 1,139,594 | ||||||
Morgan Stanley Capital Services(a) | 9/12/2012 | 8,410 | 4.7357 | % | 3 month LIBOR | 301,323 | ||||||||
Morgan Stanley Capital Services(a) | 9/25/2012 | 8,450 | 4.94079 | % | 3 month LIBOR | 385,094 | ||||||||
Morgan Stanley Capital Services(a) | 10/23/2012 | 5,520 | 4.7945 | % | 3 month LIBOR | 145,092 | ||||||||
Morgan Stanley Capital Services(a) | 12/7/2012 | 6,145 | 4.1503 | % | 3 month LIBOR | 4,845 | ||||||||
Morgan Stanley Capital Services(a) | 12/13/2012 | 15,000 | 4.34666 | % | 3 month LIBOR | 132,391 | ||||||||
Merrill Lynch Capital Services(b) | 12/14/2012 | 11,540 | 4.35284 | % | 3 month LIBOR | (111,111 | ) | |||||||
Merrill Lynch Capital Services, Inc.(a) | 8/2/2017 | 7,500 | 5.52959 | % | 3 month LIBOR | 633,991 | ||||||||
Morgan Stanley Capital Services(b) | 12/11/2037 | 3,115 | 5.08438 | % | 3 month LIBOR | (37,533 | ) | |||||||
Merrill Lynch Capital Services(b) | 12/11/2037 | 15,280 | 5.08938 | % | 3 month LIBOR | (236,208 | ) | |||||||
$ | 2,357,478 | |||||||||||||
(a) | Portfolio pays the floating rate and receives the fixed rate. |
(b) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Reference Entity/Obligation | Unrealized Appreciation/ (Depreciation) | |||||||||
Morgan Stanley Capital Services, Inc.(a) | 6/20/2009 | $ | 1,334 | 0.82 | % | Tyco International Group SA, 6.00%, due 11/15/13 | $ | 2,001 | ||||||
Morgan Stanley Capital Services, Inc.(a) | 6/20/2009 | 1,333 | 0.82 | % | Tyco Electronics Ltd., 6.00%, due 10/01/12 | (577 | ) | |||||||
Morgan Stanley Capital Services, Inc.(a) | 6/20/2009 | 1,333 | 0.82 | % | Covidien Ltd., 6.00%, due 10/15/17 | 2,865 | ||||||||
Merrill Lynch Capital Services, Inc.(a) | 12/20/2009 | 4,000 | 4.55 | % | General Motors Corp., 7.125%, 07/15/13 | (68,593 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 12/20/2009 | 3,295 | 0.60 | % | RPM International, Inc., 6.25%, due 12/15/13 | (15,581 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 12/20/2009 | 1,855 | 0.75 | % | RPM International, Inc., 6.25%, due 12/15/13 | (14,255 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 9/20/2012 | 5,600 | 1.70 | % | CIT Group, Inc. 7.75%, due 04/02/12 | 455,228 | ||||||||
Merrill Lynch Capital Services, Inc.(b) | 9/20/2012 | 1,500 | 3.75 | % | American Axle & Manufacturing, Inc., 5.25%, due 02/11/14 | 2,013 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 9/20/2012 | 1,500 | 3.70 | % | American Axle & Manufacturing, Inc., 5.25%, due 02/11/14 | 12,350 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 12/20/2014 | 2,500 | 1.17 | % | Nextel Communications, Inc., 7.375%, due 8/1/15 | 59,413 | ||||||||
Citibank, N.A.(b) | 3/25/2035 | 1,000 | 3.00 | % | Centex Home Equity, Ser. 2005-B, Class B, 6.215%, 03/25/35 | (1,250 | ) | |||||||
Citibank, N.A.(b) | 3/25/2035 | 1,000 | 3.00 | % | Morgan Stanley ABS Capital 1, Ser. 2005-HE2, Class B2, 6.165%, 01/25/35 | (1,500 | ) | |||||||
Citibank, N.A.(b) | 3/25/2035 | 1,000 | 3.00 | % | Morgan Stanley ABS Capital 1, Ser. 2005-HE2, Class B3, 6.765%, 01/25/35 | (1,500 | ) | |||||||
Barclays Bank PLC(a) | 9/25/2035 | 1,000 | 3.35 | % | Accredited Mortgage Loan Trust, Ser. 2005-3, Class M9 7.02%, 09/25/35 | 460,932 | ||||||||
Merrill Lynch Capital Services, Inc.(b) | 3/25/2036 | 1,000 | 3.72 | % | Ameriquest Mortgage Securities, Inc. Ser. 2006-R1, Class M9, 7.82%, 03/25/36 | 744,827 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Underlying Bond | Unrealized Appreciation/ (Depreciation) | |||||||||
Merrill Lynch Capital Services, Inc.(a) | 3/25/2036 | $ | 1,000 | 9.00 | % | Ameriquest Mortgage Securities, Inc. Ser. 2006-R1, Class M9, 7.82%, 03/25/36 | $ | (654,500 | ) | |||||
Merrill Lynch Capital Services, Inc.(b) | 4/25/2036 | 1,000 | 2.78 | % | Accredited Mortgage Loan Trust, Ser. 2006-1, Class M8, 6.47%, 04/25/36 | 652,009 | ||||||||
Morgan Stanley Capital Services, Inc.(b) | 5/25/2036 | 1,000 | 3.23 | % | Countrywide Asset-Backed Certificates, Ser. 2005-16, Class MV8, 7.57%, 05/25/36 | 539,289 | ||||||||
$ | 2,173,171 | |||||||||||||
(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. |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 was as follows:
U.S. Government Mortgage-Backed Securities | 38.8 | % | |
Affiliated Mutual Funds (including 4.2% of collateral received for securities on loan) | 25.2 | ||
Commercial Mortgage – Backed Securities | 8.2 | ||
Non-Corporate Sovereign | 4.9 | ||
Asset-Backed Securities | 3.6 | ||
Electric | 3.6 | ||
Banking | 3.3 | ||
Health Care & Pharmaceutical | 2.8 | ||
Non-Captive Finance | 2.3 | ||
Telecommunications | 2.2 | ||
Media & Entertainment | 1.8 | ||
Foods | 1.7 | ||
Structured Notes | 1.7 | ||
Technology | 1.6 | ||
Chemicals | 1.5 | ||
Health Care Insurance | 1.5 | ||
Airlines | 1.4 | ||
Energy – Other | 1.4 | ||
Pipelines & Other | 1.4 | ||
Non-Corporate Foreign Agency | 1.2 | ||
Brokerage | 1.1 | ||
Capital Goods | 1.1 | ||
Insurance | 1.0 | ||
U.S. Government Treasury Securities | 1.0 | ||
Automotive | 0.9 | ||
Building Materials & Construction | 0.8 | ||
Cable | 0.8 | ||
Paper | 0.8 | ||
Gaming | 0.7 | ||
Collateralized Mortgage Obligations | 0.6 | ||
Retailers | 0.6 | ||
Metals | 0.5 | ||
Lodging | 0.4 | ||
Real Estate Investment Trusts | 0.4 | ||
Tobacco | 0.4 | ||
Consumer | 0.3 | ||
Railroads | 0.3 | ||
Aerospace/Defense | 0.2 | ||
Emerging Markets | 0.2 | ||
Energy – Integrated | 0.2 | ||
U.S. Government Agency Obligations | 0.2 | ||
122.6 | |||
Security Sold Short | (0.5 | ) | |
Liabilities in excess of other assets | (22.1 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments, at value including securities on loan of $50,482,738: | |||
Unaffiliated investments (cost $1,197,316,293) | $ | 1,186,073,018 | |
Affiliated investments (cost $315,303,189) | 307,017,962 | ||
Cash | 976,125 | ||
Foreign currency, at value (cost $286,527) | 286,211 | ||
Interest receivable | 10,669,861 | ||
Unrealized appreciation on swaps | 5,673,257 | ||
Receivable for investments sold | 5,437,840 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 1,182,416 | ||
Premium for swaps purchased | 875,925 | ||
Due from broker — variation margin | 371,490 | ||
Receivable for Series shares sold | 33,856 | ||
Prepaid expenses | 12,256 | ||
Total Assets | 1,518,610,217 | ||
LIABILITIES | |||
Payable for investments purchased | 240,908,091 | ||
Collateral for securities on loan | 51,702,846 | ||
Securities sold short, at value (proceeds $5,371,094) | 5,412,341 | ||
Unrealized depreciation on swaps | 1,142,608 | ||
Management fee payable | 412,694 | ||
Accrued expenses and other liabilities | 315,873 | ||
Payable for Series shares repurchased | 253,237 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 163,896 | ||
Deferred trustees’ fees | 7,242 | ||
Transfer agent fee payable | 699 | ||
Total Liabilities | 300,319,527 | ||
NET ASSETS | $ | 1,218,290,690 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 1,215,813,705 | |
Retained earnings | 2,476,985 | ||
Net assets, December 31, 2007 | $ | 1,218,290,690 | |
Net asset value and redemption price per share, $1,218,238,977 / 111,811,903 outstanding shares of beneficial interest (authorized 275,000,000 shares) | $ | 10.90 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Interest | $ | 57,500,479 | ||
Affiliated dividend income | 10,447,770 | |||
Affiliated income from securities loaned, net | 237,953 | |||
68,186,202 | ||||
EXPENSES | ||||
Management fee | 4,675,348 | |||
Custodian’s fees and expenses | 236,000 | |||
Shareholders’ reports | 80,000 | |||
Insurance expenses | 33,000 | |||
Trustees’ fees | 24,000 | |||
Audit fee | 13,000 | |||
Interest expense | 9,805 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $3,600) (Note 4) | 4,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 5,968 | |||
Total expenses | 5,091,121 | |||
NET INVESTMENT INCOME | 63,095,081 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 8,117,137 | |||
Short sale transactions | (1,418,731 | ) | ||
Futures transactions | 3,753,688 | |||
Swap transactions | 14,135,672 | |||
Options written transactions | 4,684 | |||
Foreign currency transactions | (2,516,828 | ) | ||
22,075,622 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (24,606,666 | ) | ||
Securities sold short | (178,747 | ) | ||
Futures | 528,332 | |||
Swaps | 4,177,788 | |||
Foreign currencies | 616,432 | |||
(19,462,861 | ) | |||
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | 2,612,761 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 65,707,842 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 63,095,081 | $ | 60,783,991 | ||||
Net realized gain (loss) on investment, swap and foreign currency transactions | 22,075,622 | (9,657,555 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | (19,462,861 | ) | 4,826,702 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 65,707,842 | 55,953,138 | ||||||
DISTRIBUTIONS | (59,479,872 | ) | (68,284,295 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [12,326,563 and 3,007,043 shares, respectively] | 133,636,466 | 32,538,204 | ||||||
Series shares issued in reinvestment of distributions [5,514,681 and 6,373,024 shares, respectively] | 59,479,872 | 68,284,295 | ||||||
Series shares repurchased [12,074,002 and 15,646,812 shares, respectively] | (131,418,698 | ) | (168,772,245 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | 61,697,640 | (67,949,746 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 67,925,610 | (80,280,903 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,150,365,080 | 1,230,645,983 | ||||||
End of year | $ | 1,218,290,690 | $ | 1,150,365,080 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 97.6% | Value (Note 2) | ||||
COMMON STOCKS | Shares | ||||
Aerospace & Defense — 1.9% | |||||
Honeywell International, Inc. | 374,200 | $ | 23,039,494 | ||
Lockheed Martin Corp. | 1,326 | 139,575 | |||
Orbital Sciences Corp.*(a) | 1,075,700 | 26,376,164 | |||
United Technologies Corp. | 454,100 | 34,756,814 | |||
84,312,047 | |||||
Air Freight & Logistics | |||||
United Parcel Service, Inc. | 891 | 63,012 | |||
Auto Components | |||||
WABCO Holdings, Inc.(a) | 10 | 501 | |||
Auto Related — 0.2% | |||||
Tenneco, Inc.*(a) | 322,000 | 8,394,540 | |||
Beverages — 1.5% | |||||
PepsiCo, Inc.(a) | 881,123 | 66,877,236 | |||
Biotechnology — 2.6% | |||||
Amgen, Inc.* | 508,800 | 23,628,672 | |||
Genentech, Inc.* | 278,700 | 18,692,409 | |||
Genzyme Corp.*(a) | 317,100 | 23,604,924 | |||
Gilead Sciences, Inc.*(a) | 1,104,600 | 50,822,646 | |||
116,748,651 | |||||
Building Materials — 0.7% | |||||
Masco Corp. | 1,547,562 | 33,442,815 | |||
Capital Goods — 0.9% | |||||
Illinois Tool Works, Inc. | 443,100 | 23,723,574 | |||
Parker Hannifin Corp. | 189,420 | 14,265,220 | |||
37,988,794 | |||||
Capital Markets — 4.1% | |||||
Bank of New York Mellon Corp. (The) | 523,978 | 25,549,167 | |||
Goldman Sachs Group, Inc. (The) | 260,812 | 56,087,620 | |||
Lehman Brothers Holdings, Inc. | 161,240 | 10,551,546 | |||
Merrill Lynch & Co., Inc.(a) | 654,800 | 35,149,664 | |||
Schwab, (Charles) Corp. | 1,098,600 | 28,069,230 | |||
UBS AG(a) | 569,100 | 26,178,600 | |||
181,585,827 | |||||
Chemicals — 1.3% | |||||
Air Products & Chemicals, Inc. | 900 | 88,767 | |||
Monsanto Co. | 332,500 | 37,136,925 | |||
Potash Corp. of Saskatchewan, Inc. (Canada)(a) | 134,200 | 19,319,432 | |||
56,545,124 | |||||
Commercial Banks — 1.5% | |||||
Bank of America Corp. | 421,648 | 17,397,196 | |||
Wells Fargo & Co. | 1,605,414 | 48,467,449 | |||
65,864,645 | |||||
Commercial Services & Supplies — 1.1% | |||||
Monster Worldwide, Inc.*(a) | 556,300 | 18,024,120 | |||
Waste Management, Inc. | 883,600 | 28,867,212 | |||
46,891,332 | |||||
Communication Equipment — 6.5% | |||||
Ciena Corp.*(a) | 333,300 | 11,368,863 | |||
Cisco Systems, Inc.*(a) | 3,063,889 | 82,939,475 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Communication Equipment | |||||
Corning, Inc. | 1,237,575 | $ | 29,689,424 | ||
Motorola, Inc. | 1,104,664 | 17,718,811 | |||
Nokia Corp., ADR (Finland) | 450,200 | 17,283,178 | |||
QUALCOMM, Inc. | 2,033,860 | 80,032,391 | |||
Research In Motion Ltd. (Canada)*(a) | 415,800 | 47,151,720 | |||
286,183,862 | |||||
Computer Software — 0.6% | |||||
Network Appliance, Inc.* | 1,112,300 | 27,763,008 | |||
Computers & Peripherals — 3.2% | |||||
Apple, Inc.* | 256,000 | 50,708,480 | |||
Dell, Inc.*(a) | 5,010 | 122,795 | |||
Hewlett-Packard Co. | 790,000 | 39,879,200 | |||
Lexmark International, Inc. | 752,000 | 26,214,720 | |||
Seagate Technology | 1,028,000 | 26,214,000 | |||
143,139,195 | |||||
Construction — 0.9% | |||||
Toll Brothers, Inc.*(a) | 1,940,260 | 38,921,616 | |||
Consumer Finance — 1.4% | |||||
American Express Co. | 757,168 | 39,387,879 | |||
SLM Corp. | 1,132,600 | 22,810,564 | |||
62,198,443 | |||||
Consumer Products & Services — 0.4% | |||||
Fortune Brands, Inc.(a) | 236,600 | 17,120,376 | |||
Diversified Consumer Services — 1.1% | |||||
Career Education Corp.* | 939,500 | 23,619,030 | |||
H&R Block, Inc.(a) | 1,425,700 | 26,475,249 | |||
50,094,279 | |||||
Diversified Financial Services — 2.4% | |||||
Citigroup, Inc.(a) | 415,204 | 12,223,606 | |||
CME Group, Inc. | 24,800 | 17,012,800 | |||
JPMorgan Chase & Co. | 1,061,547 | 46,336,526 | |||
KKR Private Equity Investors LLP(c) | 1,295,700 | 23,529,912 | |||
KKR Private Equity Investors LLP, RDU (cost $7,567,532; purchased | 334,700 | 6,078,152 | |||
105,180,996 | |||||
Electric Utilities — 2.2% | |||||
Dominion Resources, Inc.(a) | 485,400 | 23,032,230 | |||
Entergy Corp.(a) | 178,600 | 21,346,272 | |||
Exelon Corp. | 326,100 | 26,622,804 | |||
Progress Energy, Inc. | 539,200 | 26,113,456 | |||
97,114,762 | |||||
Electrical Equipment — 0.8% | |||||
ABB Ltd., ADR (Switzerland) | 419,500 | 12,081,600 | |||
First Solar, Inc.*(a) | 94,200 | 25,164,588 | |||
37,246,188 | |||||
Electronic Components — 0.7% | |||||
Dolby Laboratories, Inc. | 667,058 | 33,166,124 |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Electronic Components (continued) | |||||
Tyco Electronics Ltd. (Bermuda) | 2,368 | $ | 87,924 | ||
33,254,048 | |||||
Energy Equipment & Services — 2.4% | |||||
BJ Services Co. | 3,340 | 81,028 | |||
Cameron International Corp.* | 9,720 | 467,824 | |||
Diamond Offshore Drilling, Inc.(a) | 274,620 | 38,996,040 | |||
Halliburton Co. | 372,400 | 14,117,684 | |||
Schlumberger Ltd. | 294,300 | 28,950,291 | |||
Tenaris SA, ADR (Luxembourg)(a) | 510,500 | 22,834,665 | |||
105,447,532 | |||||
Financial – Bank & Trust — 0.4% | |||||
Hudson City Bancorp, Inc.(a) | 1,329,500 | 19,969,090 | |||
Food & Staples Retailing — 2.9% | |||||
Costco Wholesale Corp.(a) | 186,000 | 12,975,360 | |||
CVS / Caremark Corp. | 428,400 | 17,028,900 | |||
Kroger Co. (The) | 1,035,500 | 27,658,205 | |||
Wal-Mart Stores, Inc. | 1,227,292 | 58,333,189 | |||
Whole Foods Market, Inc.(a) | 327,800 | 13,374,240 | |||
129,369,894 | |||||
Food Products — 2.4% | |||||
Cadbury Schweppes PLC, ADR | 700,800 | 34,598,496 | |||
ConAgra Foods, Inc.(a) | 1,198,200 | 28,505,178 | |||
Kellogg Co.(a) | 385,515 | 20,212,551 | |||
McCormick & Co., Inc. | 572,823 | 21,715,720 | |||
105,031,945 | |||||
Healthcare Equipment & Supplies — 1.6% | |||||
Alcon, Inc.(a) | 172,200 | 24,631,488 | |||
Baxter International, Inc. | 472,700 | 27,440,235 | |||
Covidien Ltd. (Bermuda) | 2,368 | 104,879 | |||
Medtronic, Inc. | 377,086 | 18,956,113 | |||
71,132,715 | |||||
Healthcare Providers & Services — 0.9% | |||||
Coventry Health Care, Inc.* | 348,623 | 20,655,913 | |||
Omnicare, Inc.(a) | 770,300 | 17,570,543 | |||
38,226,456 | |||||
Hotels, Restaurants & Leisure — 1.0% | |||||
Burger King Holdings, Inc. | 250,800 | 7,150,308 | |||
McDonald’s Corp.(a) | 672,005 | 39,587,815 | |||
46,738,123 | |||||
Household Products — 1.8% | |||||
Colgate-Palmolive Co. | 365,700 | 28,509,972 | |||
Kimberly-Clark Corp. | 387,500 | 26,869,250 | |||
Procter & Gamble Co. | 318,178 | 23,360,629 | |||
78,739,851 | |||||
Independent Power Producers & Energy Traders — 0.7% | |||||
NRG Energy, Inc.*(a) | 692,200 | 29,999,948 | |||
Industrial Conglomerates — 3.5% | |||||
General Electric Co. | 2,674,793 | 99,154,576 | |||
Textron, Inc.(a) | 756,412 | 53,932,176 | |||
Tyco International Ltd. (Bermuda) | 2,368 | 93,891 | |||
153,180,643 | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Insurance — 5.0% | |||||
AFLAC, Inc. | 643,870 | $ | 40,325,578 | ||
American International Group, Inc. | 1,285,131 | 74,923,137 | |||
Berkshire Hathaway, Inc. | 207 | 29,311,200 | |||
Loews Corp. | 763,000 | 38,409,420 | |||
MBIA, Inc.(a) | 1,188,200 | 22,136,166 | |||
Progressive Corp. (The) | 852,200 | 16,328,152 | |||
221,433,653 | |||||
Internet & Catalog Retail — 0.5% | |||||
Amazon.com, Inc.*(a) | 247,200 | 22,900,608 | |||
Internet Software & Services — 1.6% | |||||
Akamai Technologies, Inc.*(a) | 310,800 | 10,753,680 | |||
Google, Inc. (Class A Stock)* | 86,000 | 59,467,280 | |||
70,220,960 | |||||
Life Science Tools & Services — 0.7% | |||||
Thermo Fisher Scientific, Inc.* | 549,000 | 31,666,320 | |||
Media — 4.5% | |||||
Comcast Corp. (Class A Stock)*(a) | 1,864,250 | 34,041,205 | |||
EchoStar Communications Corp. | 504,619 | 19,034,229 | |||
Liberty Global, Inc. | 729,150 | 26,679,598 | |||
News Corp. (Class A Stock) | 1,443,826 | 29,583,995 | |||
News Corp. (Class B Stock) | 1,735,538 | 36,880,182 | |||
Walt Disney Co. (The)(a) | 925,000 | 29,859,000 | |||
XM Satellite Radio Holdings, Inc. | 1,802,000 | 22,056,480 | |||
198,134,689 | |||||
Metals & Mining — 1.4% | |||||
Barrick Gold Corp. (Canada) | 1,003,274 | 42,187,672 | |||
Freeport-McMoRan Copper & Gold, Inc.(a) | 182,500 | 18,695,300 | |||
60,882,972 | |||||
Multi-Line Retail — 0.9% | |||||
Staples, Inc.(a) | 1,667,863 | 38,477,599 | |||
Multi-Utilities — 1.6% | |||||
Sempra Energy | 1,183,846 | 73,256,390 | |||
Oil, Gas & Consumable Fuels — 11.0% | |||||
ConocoPhillips | 235,586 | 20,802,244 | |||
Exxon Mobil Corp. | 549,228 | 51,457,171 | |||
Hess Corp. | 247,500 | 24,962,850 | |||
Marathon Oil Corp. | 1,005,900 | 61,219,074 | |||
Murphy Oil Corp.(a) | 329,400 | 27,946,296 | |||
Newfield Exploration Co.*(a) | 937,380 | 49,399,926 | |||
Nexen, Inc. | 1,039,000 | 33,528,530 | |||
Occidental Petroleum Corp.(a) | 559,500 | 43,075,905 | |||
Petroleo Brasileiro SA, ADR (Brazil)(a) | 411,000 | 47,363,640 | |||
Sandridge Energy, Inc.*(a) | 78,730 | 2,823,258 | |||
Suncor Energy, Inc. (Canada) | 404,746 | 44,253,651 | |||
Total SA, ADR (France)(a) | 628,726 | 51,932,768 | |||
Williams Cos., Inc. | 756,600 | 27,071,148 | |||
485,836,461 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Pharmaceuticals — 5.9% | |||||
Abbott Laboratories(a) | 1,176,355 | $ | 66,052,333 | ||
Elan Corp. PLC, ADR (Ireland)*(a) | 2,036,900 | 44,771,062 | |||
Eli Lilly & Co. | 1,697 | 90,603 | |||
Merck & Co., Inc. | 533,400 | 30,995,874 | |||
Roche Holdings Ltd., ADR (Switzerland) | 200,500 | 17,122,700 | |||
Schering-Plough Corp. | 1,786,500 | 47,592,360 | |||
Teva Pharmaceutical Industries Ltd., ADR (Israel)(a) | 534,300 | 24,834,264 | |||
Wyeth | 647,900 | 28,630,701 | |||
260,089,897 | |||||
Semiconductors & Semiconductor Equipment — 1.8% | |||||
ASML Holding NV (Netherlands)*(a) | 994,858 | 31,129,107 | |||
Spansion, Inc. (Class A Stock)*(a) | 2,861,500 | 11,245,695 | |||
Texas Instruments, Inc.(a) | 1,122,455 | 37,489,997 | |||
79,864,799 | |||||
Software — 4.4% | |||||
Adobe Systems, Inc.* | 1,200,013 | 51,276,556 | |||
Microsoft Corp. | 3,250,208 | 115,707,405 | |||
Symantec Corp.* | 1,614,410 | 26,056,577 | |||
193,040,538 | |||||
Specialty Retail — 0.8% | |||||
Bed Bath & Beyond, Inc.* | 770 | 22,630 | |||
Best Buy Co., Inc.(a) | 663,100 | 34,912,215 | |||
34,934,845 | |||||
Telecommunications — 0.3% | |||||
Comverse Technology, Inc.* | 23,803 | 410,602 | |||
Juniper Networks, Inc.*(a) | 375,100 | 12,453,320 | |||
12,863,922 | |||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||
NIKE, Inc. (Class B Stock)(a) | 370,000 | 23,768,800 | |||
Thrifts & Mortgage Finance — 0.7% | |||||
Fannie Mae(a) | 731,100 | 29,229,378 | |||
Tobacco — 1.4% | |||||
Altria Group, Inc. | 819,500 | 61,937,810 | |||
Wireless Telecommunication Services — 1.0% | |||||
NII Holdings, Inc.*(a) | 446,300 | 21,565,216 | |||
Sprint Nextel Corp. | 1,856,216 | 24,372,116 | |||
45,937,332 | |||||
TOTAL LONG-TERM INVESTMENTS | 4,319,244,467 | ||||
Shares | Value (Note 2) | |||||
SHORT-TERM INVESTMENT — 14.5% | ||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||
Dryden Core Investment Fund — Taxable Money Market Series (cost $642,456,158; includes $549,843,233 of cash collateral for securities on loan)(b)(w) (Note 4) | 642,456,158 | $ | 642,456,158 | |||
TOTAL INVESTMENTS — 112.1% | 4,961,700,625 | |||||
LIABILITIES IN EXCESS OF | (536,499,233 | ) | ||||
NET ASSETS — 100.0% | $ | 4,425,201,392 | ||||
The following abbreviations are used in portfolio descriptions:
ADR | American Depositary Receipt | |
RDU | Restricted Depositary Unit |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities is $525,086,153; cash collateral of $549,843,233 (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. |
(e) | Indicates a security illiquid and restricted as to resale. The aggregated cost of such security was $7,567,532. The aggregated value of $6,078,152 is approximately 0.14% of 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
EQUITY PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 were as follows:
Affiliated Money Market Mutual Fund (12.4% represents investments purchased with collateral from securities on loan) | 14.5 | % | |
Oil, Gas & Consumable Fuels | 11.0 | ||
Communication Equipment | 6.5 | ||
Pharmaceuticals | 5.9 | ||
Insurance | 5.0 | ||
Media | 4.5 | ||
Software | 4.4 | ||
Capital Markets | 4.1 | ||
Industrial Conglomerates | 3.5 | ||
Computers & Peripherals | 3.2 | ||
Food & Staples Retailing | 2.9 | ||
Biotechnology | 2.6 | ||
Energy Equipment & Services | 2.4 | ||
Diversified Financial Services | 2.4 | ||
Food Products | 2.4 | ||
Electric Utilities | 2.2 | ||
Aerospace & Defense | 1.9 | ||
Semiconductors & Semiconductor Equipment | 1.8 | ||
Household Products | 1.8 | ||
Multi-Utilities | 1.6 | ||
Healthcare Equipment & Supplies | 1.6 | ||
Internet Software & Services | 1.6 | ||
Beverages | 1.5 | ||
Commercial Banks | 1.5 | ||
Consumer Finance | 1.4 | ||
Tobacco | 1.4 | ||
Metals & Mining | 1.4 | ||
Chemicals | 1.3 | ||
Diversified Consumer Services | 1.1 | ||
Commercial Services & Supplies | 1.1 | ||
Hotels, Restaurants & Leisure | 1.0 | ||
Wireless Telecommunication Services | 1.0 | ||
Construction | 0.9 | ||
Multi-Line Retail | 0.9 | ||
Healthcare Providers & Services | 0.9 | ||
Capital Goods | 0.9 | ||
Electrical Equipment | 0.8 | ||
Specialty Retail | 0.8 | ||
Building Materials | 0.7 | ||
Electronic Components | 0.7 | ||
Life Science Tools & Services | 0.7 | ||
Independent Power Producers & Energy Traders | 0.7 | ||
Thrifts & Mortgage Finance | 0.7 | ||
Computer Software | 0.6 | ||
Textiles, Apparel & Luxury Goods | 0.5 | ||
Internet & Catalog Retail | 0.5 | ||
Financial – Bank & Trust | 0.4 | ||
Consumer Products & Services | 0.4 | ||
Telecommunications | 0.3 | ||
Auto Related | 0.2 | ||
112.1 | |||
Liabilities in excess of other assets | (12.1 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
EQUITY PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments at value, including securities on loan of $525,086,153: | |||
Unaffiliated investments (cost $3,528,659,749) | $ | 4,319,244,467 | |
Affiliated investments (cost $642,456,158) | 642,456,158 | ||
Cash | 8,981,906 | ||
Receivable for investments sold | 6,956,203 | ||
Dividends and interest receivable | 6,157,776 | ||
Receivable for Series shares sold | 240,720 | ||
Prepaid expenses | 30,912 | ||
Total Assets | 4,984,068,142 | ||
LIABILITIES | |||
Collateral for securities on loan | 549,843,233 | ||
Payable for investments purchased | 5,841,986 | ||
Management fee payable | 1,705,632 | ||
Payable for Series shares repurchased | 1,118,432 | ||
Accrued expenses and other liabilities | 352,932 | ||
Transfer agent fees payable | 2,091 | ||
Deferred trustees’ fees | 1,928 | ||
Distribution fee payable | 322 | ||
Administration fee payable | 194 | ||
Total Liabilities | 558,866,750 | ||
NET ASSETS | $ | 4,425,201,392 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 3,281,472,950 | |
Retained earnings | 1,143,728,442 | ||
Net assets, December 31, 2007 | $ | 4,425,201,392 | |
Class I: | |||
Net asset value and redemption price per share, $4,423,930,480 / 149,088,920 outstanding shares of beneficial interest (authorized 525,000,000 shares) | $ | 29.67 | |
Class II: | |||
Net asset value and redemption price per share, $1,270,912 / 42,631 outstanding shares of beneficial interest (authorized 50,000,000 shares) | $ | 29.81 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated dividend income (net of $1,672,611 foreign withholding tax) | $ | 66,237,534 | ||
Affiliated dividend income | 4,641,175 | |||
Affiliated income from securities lending, net | 1,846,798 | |||
Interest | 53 | |||
72,725,560 | ||||
EXPENSES | ||||
Management fee | 20,151,275 | |||
Distribution fee—Class II | 4,353 | |||
Administration fee—Class II | 2,612 | |||
Custodian’s fees and expenses | 389,000 | |||
Insurance expenses | 96,000 | |||
Shareholders’ reports | 90,000 | |||
Trustees’ fees | 66,000 | |||
Audit fee | 19,000 | |||
Commitment fee on syndicated credit agreement | 10,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,000) (Note 4) | 5,000 | |||
Miscellaneous | 46,736 | |||
Total expenses | 20,888,976 | |||
NET INVESTMENT INCOME | 51,836,584 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 385,358,041 | |||
Foreign currency transactions | (167,742 | ) | ||
385,190,299 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (37,721,616 | ) | ||
Foreign currencies | 1,027 | |||
(37,720,589 | ) | |||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 347,469,710 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 399,306,294 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, 2007 | Year Ended December 31, 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 51,836,584 | $ | 47,026,456 | ||||
Net realized gain on investment and foreign currency transactions | 385,190,299 | 333,212,503 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (37,720,589 | ) | 125,859,212 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 399,306,294 | 506,098,171 | ||||||
Distributions | ||||||||
Class I | (49,976,890 | ) | (46,000,931 | ) | ||||
Class II | (9,549 | ) | (11,345 | ) | ||||
TOTAL DISTRIBUTIONS | (49,986,439 | ) | (46,012,276 | ) | ||||
SERIES SHARE TRANSACTIONS (NOTE 7): | ||||||||
Series shares sold | 29,826,206 | 56,539,838 | ||||||
Series shares issued in reinvestment of distributions | 49,986,439 | 46,012,276 | ||||||
Series shares repurchased | (408,578,092 | ) | (443,931,719 | ) | ||||
DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (328,765,447 | ) | (341,379,605 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 20,554,408 | 118,706,290 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 4,404,646,984 | 4,285,940,694 | ||||||
End of year | $ | 4,425,201,392 | $ | 4,404,646,984 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A56
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 92.0% | |||||
COMMON STOCKS — 64.5% | Shares | Value (Note 2) | |||
Aerospace & Defense — 2.0% | |||||
Boeing Co. (The) | 188,700 | $ | 16,503,702 | ||
European Aeronautic Defence and Space Co. (Netherlands) | 32,645 | 1,041,918 | |||
General Dynamics Corp. | 15,100 | 1,343,749 | |||
Honeywell International, Inc. | 200,000 | 12,314,000 | |||
Lockheed Martin Corp. | 174,600 | 18,378,396 | |||
Northrop Grumman Corp. | 213,200 | 16,766,048 | |||
Raytheon Co. | 43,300 | 2,628,310 | |||
United Technologies Corp. | 83,800 | 6,414,052 | |||
75,390,175 | |||||
Air Freight & Logistics — 0.2% | |||||
Atlas Air Worldwide Holdings, Inc.(a) | 9,200 | 498,824 | |||
Pacer International, Inc. | 17,200 | 251,120 | |||
TNT NV (Netherlands) | 22,436 | 926,674 | |||
United Parcel Service, Inc. (Class B Stock) | 61,000 | 4,313,920 | |||
5,990,538 | |||||
Airlines — 0.1% | |||||
Air France KLM (France) | 19,362 | 680,814 | |||
British Airways PLC (United Kingdom)(a) | 35,460 | 218,643 | |||
Deutsche Lufthansa AG (Germany) | 24,172 | 642,848 | |||
Japan Airlines Corp. (Japan) | 47,000 | 106,585 | |||
Qantas Airways Ltd. (Australia) | 365,105 | 1,734,736 | |||
3,383,626 | |||||
Auto Components — 0.1% | |||||
Aisin Seiki Co. Ltd. (Japan) | 32,400 | 1,341,434 | |||
Bridgestone Corp. (Japan) | 41,100 | 725,621 | |||
Denso Corp. (Japan) | 20,500 | 834,233 | |||
NOK Corp. (Japan) | 5,700 | 119,931 | |||
Rieter Holding AG (Switzerland) | 577 | 254,825 | |||
Tokai Rika Co. Ltd. (Japan) | 14,800 | 456,297 | |||
Toyota Industries Corp. (Japan) | 16,600 | 673,026 | |||
4,405,367 | |||||
Automobiles — 0.4% | |||||
Daimler AG (Germany) | 13,787 | 1,334,616 | |||
Fiat S.p.A. (Italy) | 50,575 | 1,308,796 | |||
Harley-Davidson, Inc. | 71,900 | 3,358,449 | |||
Honda Motor Co. Ltd. (Japan) | 26,900 | 888,637 | |||
Nissan Motor Co. Ltd. (Japan) | 28,700 | 313,246 | |||
Peugeot SA (France) | 24,754 | 1,876,537 | |||
Renault SA (France) | 7,304 | 1,035,953 | |||
Toyota Motor Corp. (Japan) | 99,100 | 5,277,939 | |||
Volkswagen AG (Germany) | 1,333 | 304,869 | |||
15,699,042 | |||||
Beverages — 1.5% | |||||
Anheuser-Busch Cos., Inc. | 331,800 | 17,366,412 | |||
Asahi Breweries Ltd. (Japan) | 6,400 | 107,955 | |||
Carlsberg A/S (Denmark) | 7,400 | 895,246 | |||
Coca-Cola Co. (The) | 156,700 | 9,616,679 | |||
Coca-Cola Hellenic Bottling Co. SA (Greece) | 19,135 | 828,101 | |||
Coca-Cola West Holdings Co. Ltd. (Japan) | 37,000 | 816,857 | |||
Molson Coors Brewing Co. (Class B Stock)(b) | 24,200 | 1,249,204 | |||
Pepsi Bottling Group, Inc. | 48,400 | 1,909,864 | |||
PepsiCo, Inc. | 303,220 | 23,014,398 | |||
55,804,716 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Biotechnology — 0.6% | |||||
Amgen, Inc.(a) | 181,708 | $ | 8,438,520 | ||
CSL Limited (Australia) | 47,568 | 1,506,948 | |||
Cubist Pharmaceuticals, Inc.(a)(b) | 130,500 | 2,676,555 | |||
Millennium Pharmaceuticals, Inc.(a)(b) | 108,500 | 1,625,330 | |||
OSI Pharmaceuticals, Inc.(a)(b) | 102,600 | 4,977,126 | |||
PDL BioPharma, Inc.(a)(b) | 55,900 | 979,368 | |||
20,203,847 | |||||
Building Products — 0.1% | |||||
Apogee Enterprises, Inc. | 11,400 | 195,054 | |||
Asahi Glass Co. Ltd. (Japan) | 100,000 | 1,322,539 | |||
Cie de Saint-Gobain (France) | 19,285 | 1,818,339 | |||
Nippon Sheet Glass Co. Ltd. (Japan) | 211,000 | 1,065,137 | |||
Sanwa Shutter Corp. (Japan) | 49,000 | 240,563 | |||
4,641,632 | |||||
Capital Markets — 2.5% | |||||
3i Group PLC (United Kingdom) | 15,656 | 312,584 | |||
Apollo Investment Corp. | 44,300 | 755,315 | |||
Charles Schwab Corp. (The) | 219,200 | 5,600,560 | |||
Credit Suisse Group (Switzerland) | 52,665 | 3,167,855 | |||
Deutsche Bank AG (Germany) | 25,177 | 3,293,767 | |||
Franklin Resources, Inc. | 45,200 | 5,172,236 | |||
Goldman Sachs Group, Inc. (The)(b) | 122,600 | 26,365,130 | |||
Investec PLC (United Kingdom) | 46,075 | 412,956 | |||
Janus Capital Group, Inc.(b) | 342,400 | 11,247,840 | |||
Lazard Ltd. (Class A Stock) (Bermuda) | 77,200 | 3,140,496 | |||
Macquarie Bank Ltd. (Australia) | 7,418 | 496,318 | |||
MCG Capital Corp. | 27,600 | 319,884 | |||
Merrill Lynch & Co., Inc.(b) | 274,200 | 14,719,056 | |||
MF Global Ltd. (Bermuda)(a) | 18,100 | 569,607 | |||
Morgan Stanley(b) | 223,490 | 11,869,554 | |||
TD Ameritrade Holding Corp.(a)(b) | 178,000 | 3,570,680 | |||
UBS AG (Switzerland) | 19,523 | 903,595 | |||
91,917,433 | |||||
Chemicals — 0.9% | |||||
Altana AG (Germany) | 14,803 | 359,270 | |||
BASF AG (Germany) | 15,021 | 2,223,820 | |||
Daicel Chemical Industries Ltd. (Japan) | 17,000 | 101,656 | |||
Dainippon Ink and Chemicals, Inc. (Japan) | 124,000 | 618,205 | |||
Dow Chemical Co. (The) | 309,800 | 12,212,317 | |||
E. I. du Pont de Nemours & Co. | 76,000 | 3,350,840 | |||
Eastman Chemical Co. | 55,900 | 3,414,931 | |||
Koninklijke DSM NV (Netherlands) | 37,404 | 1,768,018 | |||
Kuraray Co. Ltd. (Japan) | 83,500 | 1,007,370 | |||
Mitsubishi Chemical Holdings Corp. (Japan) | 205,000 | 1,564,085 | |||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 56,000 | 544,777 | |||
Nippon Shokubai Co. Ltd. (Japan) | 36,000 | 344,951 | |||
Olin Corp. | 139,600 | 2,698,468 | |||
OM Group, Inc.(a)(b) | 21,900 | 1,260,126 | |||
Shin-Etsu Chemical Co. Ltd. (Japan) | 6,000 | 373,147 | |||
Terra Industries, Inc.(a)(b) | 49,800 | 2,378,448 | |||
Tosoh Corp. (Japan) | 41,000 | 174,770 | |||
Zeon Corp. (Japan) | 34,000 | 202,810 | |||
Zep, Inc.(a)(b) | 24,600 | 341,202 | |||
34,939,211 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Commercial Banks — 2.6% | |||||
Allied Irish Banks PLC (Ireland) | 15,749 | $ | 360,838 | ||
Alpha Bank A.E. (Greece) | 43,288 | 1,575,904 | |||
Australia & New Zealand Banking Group Ltd. (Australia) | 3,496 | 83,664 | |||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 151,957 | 3,723,554 | |||
Banco BPI SA (Portugal) | 45,911 | 359,786 | |||
Banco Espirito Santo SA (Portugal) | 74,933 | 1,643,340 | |||
Banco Popolare Scarl (Italy)(a) | 6,532 | 144,780 | |||
Banco Santander Central Hispano SA (Spain) | 244,950 | 5,296,739 | |||
Barclays PLC (United Kingdom) | 136,015 | 1,364,590 | |||
BB&T Corp.(b) | 159,500 | 4,891,865 | |||
BNP Paribas (France) | 35,500 | 3,852,230 | |||
Central Pacific Financial Corp. | 15,100 | 278,746 | |||
Chiba Bank Ltd. (The) (Japan) | 57,000 | 458,643 | |||
Comerica, Inc. | 55,300 | 2,407,209 | |||
Comerzbank AG (Germany) | 57,115 | 2,195,350 | |||
Commonwealth Bank of Australia (Australia) | 10,915 | 562,764 | |||
Danske Bank A/S (Denmark) | 50,500 | 1,977,897 | |||
Dexia (Belgium) | 67,112 | 1,690,629 | |||
DNB NOR ASA (Norway) | 129,500 | 1,979,521 | |||
Fifth Third Bancorp | 61,300 | 1,540,469 | |||
Hachijuni Bank Ltd. (The) (Japan) | 18,000 | 120,942 | |||
HBOS PLC (United Kingdom) | 135,366 | 1,980,532 | |||
HSBC Holdings PLC (United Kingdom) | 191,011 | 3,201,514 | |||
Huntington Bancshares, Inc.(b) | 267,400 | 3,946,824 | |||
Hypo Real Estate Holding AG (Germany) | 26,676 | 1,415,372 | |||
Intesa Sanpaolo S.p.A (Italy) | 73,808 | 583,799 | |||
Jyske Bank A/S (Denmark)(a) | 3,450 | 271,939 | |||
KeyCorp | 231,700 | 5,433,365 | |||
Lloyds TSB Group PLC (United Kingdom) | 101,341 | 952,165 | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 28,400 | 267,810 | |||
National Australia Bank Ltd. (Australia) | 18,628 | 613,597 | |||
National Bank of Greece SA (Greece) | 6,265 | 430,325 | |||
Regions Financial Corp.(b) | 167,600 | 3,963,740 | |||
Royal Bank of Scotland Group PLC (United Kingdom) | 352,939 | 3,119,375 | |||
Skandinaviska Enskilda Banken AB (Class A Stock) (Sweden) | 36,900 | 944,880 | |||
Societe Generale (France) | 10,640 | 1,538,979 | |||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 136 | 1,006,438 | |||
Svenska Handelbanken (Class A Stock) (Sweden) | 46,600 | 1,492,481 | |||
Sydbank A/S (Denmark) | 7,756 | 333,429 | |||
U.S. Bancorp | 149,732 | 4,752,494 | |||
UniCredito Italiano S.p.A (Italy) | 298,052 | 2,475,160 | |||
Wachovia Corp.(b) | 119,600 | 4,548,388 | |||
Wells Fargo & Co. | 510,700 | 15,418,034 | |||
Westpac Banking Corp. (Australia) | 49,528 | 1,204,371 | |||
Zions Bancorporation | 14,000 | 653,660 | |||
97,058,131 | |||||
Commercial Services & Supplies — 0.4% | |||||
Administaff, Inc. | 56,900 | 1,609,132 | |||
American Reprographics Co.(a) | 23,100 | 380,688 | |||
CRA International, Inc.(a) | 14,700 | 699,867 | |||
Downer EDI Ltd. (Australia) | 116,025 | 544,861 | |||
Hays PLC (United Kingdom) | 45,694 | 105,057 | |||
Herman Miller, Inc. | 25,500 | 825,945 | |||
Michael Page International PLC (United Kingdom) | 49,957 | 286,401 | |||
PeopleSupport, Inc.(a)(b) | 41,000 | 560,880 | |||
Robert Half International, Inc. | 140,800 | 3,807,232 | |||
Steelcase, Inc. (Class A Stock) | 81,400 | 1,291,818 | |||
Stericycle, Inc.(a)(b) | 56,900 | 3,379,860 |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Commercial Services & Supplies (continued) | |||||
TrueBlue, Inc.(a) | 108,500 | $ | 1,571,080 | ||
Waste Management, Inc. | 17,200 | 561,924 | |||
15,624,745 | |||||
Communications Equipment — 1.3% | |||||
Cisco Systems, Inc.(a) | 619,900 | 16,780,693 | |||
CommScope, Inc.(a) | 28,400 | 1,397,564 | |||
Juniper Networks, Inc.(a)(b) | 419,500 | 13,927,400 | |||
Nokia Corp. OYJ (Finland) | 145,344 | 5,635,515 | |||
QUALCOMM, Inc. | 218,400 | 8,594,040 | |||
Uniden Corp. (Japan) | 12,000 | 69,323 | |||
46,404,535 | |||||
Computers & Peripherals — 2.6% | |||||
Apple, Inc.(a) | 57,000 | 11,290,560 | |||
Dell, Inc.(a) | 142,400 | 3,490,224 | |||
Emulex Corp.(a) | 17,800 | 290,496 | |||
Hewlett-Packard Co. | 647,865 | 32,704,225 | |||
International Business Machines Corp.(b) | 315,700 | 34,127,170 | |||
Network Appliance, Inc.(a) | 454,700 | 11,349,312 | |||
Seagate Technology (Cayman Islands) | 124,200 | 3,167,100 | |||
Wincor Nixdorf AG (Germany) | 4,206 | 397,743 | |||
96,816,830 | |||||
Construction & Engineering — 0.1% | |||||
ACS Actividades de Construccion y Servicios SA (Spain) | 19,800 | 1,176,763 | |||
COMSYS Holdings Corp. (Japan) | 57,000 | 463,948 | |||
Granite Construction, Inc.(b) | 32,300 | 1,168,614 | |||
JGC Corp. | 16,000 | 274,339 | |||
Vinci SA (France) | 1,312 | 97,157 | |||
YIT OYJ (Finland) | 9,597 | 210,329 | |||
3,391,150 | |||||
Construction Materials — 0.1% | |||||
Cimpor Cimentos de Portugal SGPS SA (Portugal) | 20,887 | 183,227 | |||
Holcim Ltd. (Switzerland) | 10,060 | 1,077,841 | |||
Italcementi S.p.A (Italy) | 14,698 | 314,388 | |||
Lafarge SA (France) | 14,955 | 2,722,192 | |||
4,297,648 | |||||
Consumer Finance — 0.1% | |||||
American Express Co. | 30,100 | 1,565,802 | |||
AmeriCredit Corp.(a)(b) | 139,500 | 1,784,205 | |||
Capital One Financial Corp.(b) | 23,200 | 1,096,432 | |||
Cash America International, Inc. | 5,800 | 187,340 | |||
Takefuji Corp. (Japan) | 24,170 | 580,530 | |||
5,214,309 | |||||
Containers & Packaging — 0.2% | |||||
Ball Corp. | 40,000 | 1,800,000 | |||
Pactiv Corp.(a)(b) | 233,900 | 6,228,757 | |||
Rock-Tenn Co. (Class A Stock) | 8,900 | 226,149 | |||
8,254,906 | |||||
Distributors | |||||
Jardine Cycle & Carriage Ltd. | 17,548 | 262,022 | |||
Li & Fung Ltd. (Bermuda) | 98,000 | 390,699 | |||
Pacific Brands Ltd. (Australia) | 228,356 | 648,514 | |||
1,301,235 | |||||
Diversified Consumer Services | |||||
ITT Educational Services, Inc.(a) | 11,200 | 955,024 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Diversified Financial Services — 2.5% | |||||
Babcock & Brown Ltd. (Australia) | 9,982 | $ | 234,800 | ||
Bank of America Corp. | 725,782 | 29,945,765 | |||
Challenger Financial Services Group Ltd. (Australia) | 85,589 | 370,731 | |||
CIT Group, Inc.(b) | 30,400 | 730,512 | |||
Citigroup, Inc. | 959,562 | 28,249,505 | |||
Deutsche Boerse AG (Germany) | 940 | 185,534 | |||
Fortis (Belgium) | 51,208 | 1,348,387 | |||
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) | 56,000 | 1,569,892 | |||
ING Groep NV (Netherlands) | 82,449 | 3,224,572 | |||
JPMorgan Chase & Co. | 576,494 | 25,163,963 | |||
Moody’s Corp.(b) | 53,100 | 1,895,670 | |||
OKO Bank PLC (Finland) | 36,730 | 701,875 | |||
Singapore Exchange Ltd. (Singapore) | 100,000 | 916,054 | |||
94,537,260 | |||||
Diversified Telecommunication Services — 2.4% | |||||
AT&T, Inc. | 1,244,147 | 51,706,749 | |||
Belgacom SA (Belgium) | 33,817 | 1,668,181 | |||
BT Group PLC (United Kingdom) | 210,438 | 1,142,546 | |||
CenturyTel, Inc. | 162,200 | 6,724,812 | |||
France Telecom SA (France) | 65,900 | 2,372,119 | |||
Nippon Telegraph & Telephone Corp. (Japan) | 183 | 909,680 | |||
Portugal Telecom SGPS SA (Portugal) | 16,268 | 212,397 | |||
Swisscom AG (Switzerland) | 1,952 | 762,076 | |||
Tele2 AB (Class B Stock) (Sweden) | 47,500 | 951,734 | |||
Telecom Corp. of New Zealand Ltd. (New Zealand) | 251,523 | 840,223 | |||
Telecom Italia S.p.A (Italy) | 850,031 | 2,020,776 | |||
Telefonica SA (Spain) | 46,067 | 1,496,570 | |||
Verizon Communications, Inc. | 317,388 | 13,866,682 | |||
Windstream Corp. | 402,300 | 5,237,946 | |||
89,912,491 | |||||
Electrical Equipment — 0.9% | |||||
ABB Ltd. (Switzerland) | 82,764 | 2,384,633 | |||
Acuity Brands, Inc.(b) | 47,300 | 2,128,500 | |||
Alstom (France) | 3,811 | 819,067 | |||
Emerson Electric Co. | 183,400 | 10,391,443 | |||
First Solar, Inc.(a)(b) | 2,400 | 641,136 | |||
Hitachi Cable Ltd. (Japan) | 66,000 | 389,472 | |||
Prysmian SpA (Italy)(a) | 4,590 | 113,346 | |||
Rockwell Automation, Inc. | 151,500 | 10,447,439 | |||
Schneider Electric SA (France) | 15,126 | 2,049,619 | |||
Sumitomo Electric Industries Ltd. (Japan) | 30,400 | 479,455 | |||
Thomas & Betts Corp.(a)(b) | 29,700 | 1,456,488 | |||
Vestas Wind Systems A/S (Denmark)(a) | 7,474 | 808,943 | |||
32,109,541 | |||||
Electric Utilities — 1.3% | |||||
American Electric Power Co., Inc. | 177,700 | 8,273,712 | |||
CLP Holdings Ltd. (Hong Kong) | 89,500 | 608,065 | |||
Duke Energy Corp. | 613,900 | 12,382,363 | |||
E.On AG (Germany) | 26,290 | 5,596,864 | |||
Edison International | 210,100 | 11,213,037 | |||
Enel S.p.A (Italy) | 134,410 | 1,598,645 | |||
Energias de Portugal SA (Portugal) | 24,101 | 157,509 | |||
FirstEnergy Corp. | 49,600 | 3,588,064 | |||
Hokkaido Electric Power Co., Inc. (Japan) | 4,100 | 88,380 | |||
Hong Kong Electric Holdings Ltd. (Hong Kong) | 28,000 | 160,239 | |||
Portland General Electric Co. | 32,900 | 913,962 | |||
PPL Corp. | 10,300 | 536,527 |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Electric Utilities (continued) | |||||
Public Power Corp. SA (Greece) | 9,825 | $ | 517,128 | ||
Scottish & Southern Energy PLC (United Kingdom) | 11,871 | 387,067 | |||
Union Fenosa, SA (Spain) | 21,457 | 1,449,038 | |||
47,470,600 | |||||
Electronic Equipment & Instruments — 0.5% | |||||
Agilent Technologies, Inc.(a) | 344,700 | 12,664,278 | |||
FUJIFILM Holdings Corp. (Japan) | 8,500 | 355,772 | |||
Hitachi Cable Ltd. (Japan) | 72,000 | 534,913 | |||
Jabil Circuit, Inc. | 286,500 | 4,374,855 | |||
Kyocera Corp. (Japan) | 4,400 | 388,847 | |||
Omron Corp. (Japan) | 49,100 | 1,155,982 | |||
Venture Co. Ltd. (Singapore) | 22,000 | 192,953 | |||
19,667,600 | |||||
Energy Equipment & Services — 1.0% | |||||
Halliburton Co. | 534,300 | 20,255,313 | |||
Hornbeck Offshore Services, Inc.(a)(b) | 121,100 | 5,443,445 | |||
National-Oilwell Varco, Inc.(a)(b) | 58,600 | 4,304,756 | |||
Schlumberger Ltd. (Netherlands) | 42,700 | 4,200,399 | |||
SEACOR Holdings, Inc.(a)(b) | 18,200 | 1,687,868 | |||
Unit Corp.(a) | 10,400 | 481,000 | |||
WorleyParsons Ltd. (Australia) | 60,044 | 2,704,946 | |||
39,077,727 | |||||
Exchange Traded Fund | |||||
iShares MSCI EAFE Index Fund | 4,800 | 376,800 | |||
Food & Staples Retailing — 1.4% | |||||
Casino Guichard-Perrachon SA (France) | 12,240 | 1,331,248 | |||
Circle K Sunkus Co. Ltd. (Japan) | 8,800 | 130,073 | |||
CVS Caremark Corp. | 59,800 | 2,377,050 | |||
FamilyMart Co. Ltd. (Japan) | 6,900 | 216,071 | |||
Koninklijke Ahold NV (Netherlands) | 12,963 | 180,618 | |||
Kroger Co. (The) | 374,100 | 9,992,210 | |||
Matsumotokiyoshi Holdings Co. Ltd. (Japan) | 13,000 | 316,520 | |||
Safeway, Inc. | 45,300 | 1,549,713 | |||
SUPERVALU, Inc. | 66,600 | 2,498,832 | |||
Sysco Corp. | 46,400 | 1,448,144 | |||
UNY Co. Ltd. (Japan) | 62,000 | 523,699 | |||
Wal-Mart Stores, Inc. | 614,600 | 29,211,937 | |||
Wesfarmers Ltd. (Australia)(a) | 4,488 | 160,386 | |||
Woolworths Ltd. (Australia) | 83,507 | 2,476,485 | |||
52,412,986 | |||||
Food Products — 0.9% | |||||
Archer-Daniels-Midland Co. | 143,200 | 6,648,775 | |||
ConAgra Foods, Inc. | 133,300 | 3,171,207 | |||
Danisco A/S (Denmark) | 5,850 | 414,658 | |||
East Asiatic Co. Ltd. A/S (Denmark) | 8,750 | 681,979 | |||
Ebro Puleva SA (Spain) | 20,374 | 373,540 | |||
Futuris Corp. Ltd. (Australia) | 144,676 | 271,386 | |||
General Mills, Inc. | 179,500 | 10,231,499 | |||
Goodman Fielder Ltd. (Australia) | 688,032 | 1,137,418 | |||
Nestle SA (Class B Stock) (Switzerland) | 7,935 | 3,644,570 | |||
Pilgrim’s Pride Corp.(b) | 71,900 | 2,081,505 | |||
Unilever NV (Netherlands) | 28,858 | 1,061,127 | |||
Unilever PLC (United Kingdom) | 61,219 | 2,303,207 | |||
Wilmar International Ltd. (Singapore) | 306,000 | 1,137,072 | |||
33,157,943 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Gas Utilities | |||||
AGL Resources, Inc. | 10,800 | $ | 406,512 | ||
Gas Natural SDG SA (Spain) | 10,522 | 615,656 | |||
Nicor, Inc. | 5,400 | 228,690 | |||
Southwest Gas Corp. | 8,000 | 238,160 | |||
1,489,018 | |||||
Healthcare Equipment & Supplies — 1.1% | |||||
Analogic Corp. | 8,800 | 595,936 | |||
Baxter International, Inc. | 168,900 | 9,804,645 | |||
Becton, Dickinson & Co. | 136,200 | 11,383,596 | |||
Covidien Ltd. (Bermuda) | 85,200 | 3,773,508 | |||
Invacare Corp. | 12,800 | 322,560 | |||
Medtronic, Inc. | 157,100 | 7,897,417 | |||
Mentor Corp.(b) | 53,600 | 2,095,760 | |||
Olympus Corp. (Japan) | 23,000 | 937,365 | |||
Stryker Corp. | 26,000 | 1,942,720 | |||
Terumo Corp. (Japan) | 1,800 | 93,839 | |||
38,847,346 | |||||
Healthcare Providers & Services — 1.8% | |||||
Cardinal Health, Inc. | 4,700 | 271,425 | |||
Chemed Corp. | 21,300 | 1,190,244 | |||
Express Scripts, Inc.(a)(b) | 238,600 | 17,417,800 | |||
Medco Health Solutions, Inc.(a) | 4,600 | 466,440 | |||
Parkway Holdings Ltd. (Singapore) | 89,000 | 241,863 | |||
Suzuken Co. Ltd. (Japan) | 13,100 | 466,286 | |||
UnitedHealth Group, Inc. | 439,200 | 25,561,440 | |||
WellPoint, Inc.(a) | 241,900 | 21,221,887 | |||
66,837,385 | |||||
Hotels, Restaurants & Leisure — 1.1% | |||||
Brinker International, Inc. (Australia) | 209,350 | 4,094,886 | |||
Darden Restaurants, Inc.(b) | 198,000 | 5,486,580 | |||
Enterprise Inns PLC (United Kingdom) | 54,540 | 528,724 | |||
Jack in the Box, Inc.(a)(b) | 106,400 | 2,741,928 | |||
McDonald’s Corp.(b) | 130,100 | 7,664,191 | |||
OPAP SA (Greece) | 1,723 | 69,074 | |||
Panera Bread Co. (Class A Stock)(a)(b) | 9,600 | 343,872 | |||
Sonic Corp.(a)(b) | 96,700 | 2,117,730 | |||
Wyndham Worldwide Corp. | 94,200 | 2,219,352 | |||
Yum! Brands, Inc. | 367,900 | 14,079,533 | |||
39,345,870 | |||||
Household Durables — 0.3% | |||||
Barratt Developments PLC (United Kingdom) | 46,780 | 424,164 | |||
Bellway PLC (United Kingdom) | 22,614 | 375,204 | |||
Bovis Homes Group PLC (United Kingdom) | 9,954 | 122,057 | |||
Harman International Industries, Inc. | 29,600 | 2,181,816 | |||
Makita Corp. (Japan) | 4,100 | 171,409 | |||
Matsushita Electric Industrial Co. Ltd. (Japan) | 49,000 | 1,004,053 | |||
Persimmon PLC (United Kingdom) | 2,974 | 47,360 | |||
Sekisui Chemical Co. Ltd. (Japan) | 190,000 | 1,269,114 | |||
Sekisui House Ltd. (Japan) | 130,000 | 1,389,488 | |||
Stanley Works (The) | 36,800 | 1,784,064 | |||
Taylor Wimpey PLC (United Kingdom) | 252,607 | 1,022,024 | |||
Whirlpool Corp. | 15,800 | 1,289,754 | |||
11,080,507 | |||||
Household Products — 1.4% | |||||
Clorox Co. (The)(b) | 40,100 | 2,613,317 | |||
Kimberly-Clark Corp. | 245,400 | 17,016,036 |
SEE NOTES TO FINANCIAL STATEMENTS.
A63
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Household Products (continued) | |||||
Procter & Gamble Co. | 390,905 | $ | 28,700,245 | ||
Reckitt Benckiser Group PLC (United Kingdom) | 46,355 | 2,688,878 | |||
51,018,476 | |||||
Independent Power Producers & Energy Traders — 0.4% | |||||
AES Corp. (The)(a) | 258,200 | 5,522,898 | |||
Constellation Energy Group, Inc. | 74,000 | 7,587,220 | |||
13,110,118 | |||||
Industrial Conglomerates — 2.1% | |||||
3M Co. | 172,200 | 14,519,904 | |||
Cookson Group PLC (United Kingdom) | 15,018 | 208,367 | |||
General Electric Co. | 1,603,900 | 59,456,573 | |||
Keppel Corp. Ltd. (Singapore) | 115,000 | 1,024,728 | |||
Koninklijke (Royal) Philips Electronics NV (Netherlands) | 5,309 | 229,135 | |||
Rheinmetall AG (Germany) | 932 | 74,700 | |||
SembCorp Industries Ltd. (Singapore) | 159,000 | 631,955 | |||
Siemens AG (Germany) | 7,405 | 1,173,809 | |||
Wendel (France) | 4,135 | 598,150 | |||
77,917,321 | |||||
Insurance — 3.3% | |||||
ACE Ltd. (Cayman Islands) | 182,000 | 11,243,960 | |||
Aegon NV (Netherlands) | 44,331 | 783,604 | |||
Allianz AG (Germany) | 18,076 | 3,913,467 | |||
Allstate Corp. (The) | 289,000 | 15,094,470 | |||
AMBAC Financial Group, Inc.(b) | 57,200 | 1,474,044 | |||
American Financial Group, Inc.(b) | 120,300 | 3,474,264 | |||
American International Group, Inc. | 461,435 | 26,901,660 | |||
Arch Capital Group Ltd. (Bermuda)(a) | 20,200 | 1,421,070 | |||
Aviva PLC (United Kingdom) | 106,705 | 1,429,502 | |||
AXA SA (France) | 52,158 | 2,088,699 | |||
Chubb Corp. (The) | 145,100 | 7,919,558 | |||
CNP Assurances (France) | 4,013 | 522,124 | |||
Endurance Specialty Holdings Ltd. (Bermuda) | 20,200 | 842,946 | |||
Hartford Financial Services Group, Inc. | 65,100 | 5,676,069 | |||
Legal & General Group PLC (United Kingdom) | 141,000 | 366,562 | |||
MBIA, Inc.(b) | 66,000 | 1,229,580 | |||
MetLife, Inc.(b) | 62,900 | 3,875,898 | |||
Montpelier Re Holdings Ltd. (Bermuda) | 42,700 | 726,327 | |||
Muenchener Rueckversicherungs — Gesellschaft AG (Germany) | 14,375 | 2,792,109 | |||
Old Mutual PLC (United Kingdom) | 90,996 | 303,586 | |||
PartnerRe Ltd. (Bermuda) | 11,900 | 982,107 | |||
Platinum Underwriters Holdings Ltd. (Bermuda) | 23,500 | 835,660 | |||
Royal & Sun Alliance Insurance Group (United Kingdom) | 464,556 | 1,370,475 | |||
SCOR SE (France) | 24,865 | 636,194 | |||
Suncorp-Metway Ltd. (Australia) | 32,346 | 477,427 | |||
Swiss Life Holding (Switzerland) | 2,430 | 607,420 | |||
Swiss Reinsurance (Switzerland) | 25,784 | 1,832,198 | |||
Travelers Cos, Inc. (The) | 326,000 | 17,538,799 | |||
XL Capital Ltd. (Class A Stock) | 79,400 | 3,994,614 | |||
Zurich Financial Services AG (Switzerland) | 6,305 | 1,851,709 | |||
122,206,102 | |||||
Internet & Catalog Retail | |||||
Home Retail Group (United Kingdom) | 221,881 | 1,448,701 | |||
Internet Software & Services — 0.8% | |||||
EarthLink, Inc.(a)(b) | 322,600 | 2,280,782 | |||
eBay, Inc.(a) | 496,100 | 16,465,559 |
SEE NOTES TO FINANCIAL STATEMENTS.
A64
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Internet Software & Services (continued) | |||||
Google, Inc. (Class A Stock)(a) | 14,800 | $ | 10,233,904 | ||
Tencent Holdings Ltd. (China) | 79,000 | 590,041 | |||
29,570,286 | |||||
IT Services — 0.5% | |||||
Accenture Ltd. (Class A Stock) (Bermuda) | 32,400 | 1,167,372 | |||
Automatic Data Processing, Inc. | 313,800 | 13,973,514 | |||
MasterCard, Inc. (Class A Stock)(b) | 15,000 | 3,228,000 | |||
SYKES Enterprises, Inc.(a) | 30,100 | 541,800 | |||
18,910,686 | |||||
Leisure Equipment & Products — 0.1% | |||||
Nikon Corp. (Japan) | 39,000 | 1,326,714 | |||
Sankyo Co. Ltd. (Japan) | 3,300 | 152,469 | |||
Yamaha Corp. (Japan) | 14,500 | 330,839 | |||
1,810,022 | |||||
Life Sciences, Tools & Services — 0.4% | |||||
Applera Corp. – Applied Biosystems Group | 43,300 | 1,468,736 | |||
Invitrogen Corp.(a)(b) | 21,600 | 2,017,656 | |||
Thermo Fisher Scientific, Inc.(a) | 9,500 | 547,960 | |||
Waters Corp.(a) | 130,500 | 10,318,635 | |||
14,352,987 | |||||
Machinery — 1.0% | |||||
Charter PLC (United Kingdom)(a) | 45,541 | 719,340 | |||
Cummins, Inc. | 22,000 | 2,802,140 | |||
Eaton Corp. | 89,500 | 8,677,025 | |||
EnPro Industries, Inc.(a)(b) | 16,400 | 502,660 | |||
Illinois Tool Works, Inc. | 68,300 | 3,656,782 | |||
Ingersoll-Rand Co. (Class A Stock) (Bermuda) | 222,600 | 10,344,223 | |||
Komatsu Ltd. (Japan) | 81,800 | 2,193,808 | |||
Komori Corp. (Japan) | 30,000 | 661,091 | |||
Konecranes Oyj (Finland) | 16,512 | 569,254 | |||
Kubota Corp. (Japan) | 36,000 | 242,263 | |||
MAN AG (Germany) | 8,304 | 1,386,003 | |||
NSK Ltd. (Japan) | 43,000 | 440,768 | |||
Sandvik AB (Sweden) | 30,007 | 516,506 | |||
Sumitomo Heavy Industries Ltd. (Japan) | 20,000 | 182,352 | |||
Trelleborg AB (Class B Stock) (Sweden) | 22,700 | 475,902 | |||
Trinity Industries, Inc.(b) | 87,200 | 2,420,672 | |||
35,790,789 | |||||
Marine — 0.1% | |||||
Cosco Corp (Singapore) Ltd. (Singapore) | 70,000 | 276,355 | |||
Kawasaki Kisen Kaisha Ltd. (Japan) | 52,000 | 504,812 | |||
Mitsui OSK Lines Ltd. (Japan) | 153,000 | 1,934,271 | |||
Neptune Orient Lines Ltd. (Singapore) | 71,000 | 190,861 | |||
Nippon Yusen Kabushiki Kaish (Japan) | 84,000 | 661,751 | |||
Orient Overseas International Ltd. (Hong Kong) | 21,000 | 153,852 | |||
TBS International Ltd. (Class A Stock) (Bermuda)(a) | 8,900 | 294,234 | |||
4,016,136 | |||||
Media — 2.1% | |||||
CBS Corp. (Class B Stock)(b) | 362,019 | 9,865,018 | |||
Comcast Corp. (Class A Stock)(a)(b) | 111,073 | 2,028,193 | |||
Daily Mail & General Trust (United Kingdom) | 30,597 | 302,553 | |||
DIRECTV Group, Inc. (The)(a) | 183,300 | 4,237,896 | |||
Gestevision Telecinco SA (Spain) | 33,559 | 859,128 | |||
Lagardere SCA (France) | 7,997 | 599,684 | |||
Marvel Entertainment, Inc.(a)(b) | 97,800 | 2,612,238 | |||
Time Warner, Inc. | 1,124,850 | 18,571,274 |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Media (continued) | |||||
Valassis Communications, Inc.(a)(b) | 78,600 | $ | 918,834 | ||
Viacom, Inc. (Class B Stock)(a) | 324,900 | 14,269,608 | |||
Vivendi Universal SA (France) | 68,790 | 3,156,031 | |||
Walt Disney Co. | 676,000 | 21,821,280 | |||
Yell Group PLC (United Kingdom) | 17,095 | 136,458 | |||
79,378,195 | |||||
Metals & Mining — 1.4% | |||||
Acerinox SA (Spain) | 20,192 | 496,851 | |||
Alcoa, Inc. | 424,800 | 15,526,440 | |||
Anglo American PLC (United Kingdom) | 7,561 | 463,570 | |||
ArcelorMittal (Luxembourg) | 11,115 | 893,789 | |||
BHP Billiton Ltd. (Australia) | 105,439 | 3,685,940 | |||
BHP Billiton PLC (United Kingdom) | 99,994 | 3,077,290 | |||
Boliden AB (Sweden) | 13,100 | 164,682 | |||
Kobe Steel Ltd. (Japan) | 217,000 | 699,577 | |||
Mitsubishi Materials Corp. (Japan) | 150,000 | 633,384 | |||
Newmont Mining Corp. | 186,600 | 9,111,678 | |||
Nippon Steel Corp. (Japan) | 84,000 | 514,159 | |||
Nisshin Steel Co. Ltd. (Japan) | 97,000 | 335,149 | |||
Nucor Corp. | 8,000 | 473,760 | |||
Outokumpu OYJ (Finland) | 26,454 | 820,342 | |||
Rio Tinto PLC (United Kingdom) | 39,715 | 4,203,453 | |||
Salzgitter AG (Germany) | 9,598 | 1,420,819 | |||
Sumitomo Metal Mining Co. Ltd. (Japan) | 29,000 | 490,289 | |||
Thyssenkrupp AG (Germany) | 40,662 | 2,280,501 | |||
United States Steel Corp. | 45,900 | 5,549,769 | |||
Voestalpine AG (Austria) | 9,193 | 664,640 | |||
Yamato Kogyo Co. Ltd. (Japan) | 6,000 | 242,923 | |||
51,749,005 | |||||
Multiline Retail — 0.2% | |||||
Big Lots, Inc.(a)(b) | 84,600 | 1,352,754 | |||
Dollar Tree Stores, Inc.(a) | 45,500 | 1,179,360 | |||
J.C. Penney Co., Inc. | 98,800 | 4,346,212 | |||
Marks & Spencer Group PLC (United Kingdom) | 113,014 | 1,259,810 | |||
Next PLC (United Kingdom) | 8,270 | 267,348 | |||
Ryohin Keikaku Co. Ltd. (Japan) | 1,200 | 72,034 | |||
8,477,518 | |||||
Multi-Utilities — 0.4% | |||||
AGL Energy Ltd. (Australia) | 10,777 | 125,456 | |||
Centerpoint Energy, Inc. | 38,800 | 664,644 | |||
Centrica PLC (United Kingdom) | 302,580 | 2,160,812 | |||
Consolidated Edison, Inc. | 132,300 | 6,462,855 | |||
Integrys Energy Group, Inc. | 8,100 | 418,689 | |||
National Grid PLC (United Kingdom) | 150,205 | 2,493,649 | |||
NiSource, Inc. | 61,300 | 1,157,957 | |||
RWE AG (Germany) | 3,184 | 448,992 | |||
Suez SA (France) | 13,041 | 887,933 | |||
14,820,987 | |||||
Office Electronics — 0.4% | |||||
Canon, Inc. (Japan) | 20,700 | 947,368 | |||
Konica Minolta Holdings, Inc. (Japan) | 21,000 | 368,151 | |||
Ricoh Co. Ltd. (Japan) | 102,000 | 1,862,147 | |||
Xerox Corp. | 763,500 | 12,361,065 | |||
15,538,731 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Oil, Gas & Consumable Fuels — 6.8% | |||||
BP PLC (United Kingdom) | 521,181 | $ | 6,380,411 | ||
Chesapeake Energy Corp. | 292,000 | 11,446,400 | |||
Chevron Corp. | 464,856 | 43,385,010 | |||
ConocoPhillips (Class B Stock) | 348,434 | 30,766,722 | |||
EFG Eurobank Ergasias (Greece) | 5,761 | 202,823 | |||
ENI S.p.A (Italy) | 57,232 | 2,096,088 | |||
Exxon Mobil Corp. | 983,716 | 92,164,352 | |||
Holly Corp. | 28,400 | 1,445,276 | |||
Idemitsu Kosan Co. Ltd. (Japan) | 2,400 | 252,780 | |||
Marathon Oil Corp.(b) | 246,300 | 14,989,818 | |||
Nippon Oil Corp. (Japan) | 249,000 | 2,013,009 | |||
Occidental Petroleum Corp. | 124,600 | 9,592,954 | |||
OMV AG (Austria) | 21,788 | 1,765,415 | |||
Repsol YPF SA (Spain) | 48,540 | 1,730,200 | |||
Royal Dutch Shell PLC (Class B Stock) (United Kingdom) | 90,079 | 3,747,613 | |||
Royal Dutch Shell PLC (United Kingdom) | 55,023 | 2,312,158 | |||
Singapore Petroleum Co. Ltd. (Singapore) | 220,000 | 1,148,527 | |||
Sunoco, Inc. | 39,000 | 2,825,160 | |||
Swift Energy Co.(a) | 10,900 | 479,927 | |||
Total SA (France) | 53,410 | 4,437,754 | |||
Valero Energy Corp. | 248,100 | 17,374,443 | |||
Williams Cos., Inc. (The) | 88,700 | 3,173,686 | |||
253,730,526 | |||||
Paper & Forest Products — 0.2% | |||||
International Paper Co. | 151,400 | 4,902,332 | |||
Mondi Ltd. (South Africa) | 4,889 | 46,141 | |||
Mondi PLC (United Kingdom) | 58,887 | 498,188 | |||
Sonae Industria SGPS SA (Portugal)(a) | 36,170 | 351,668 | |||
5,798,329 | |||||
Personal Products | |||||
Herbalife Ltd. (Cayman Islands) | 17,100 | 688,788 | |||
Oriflame Cosmetics SA (Sweden) | 8,200 | 523,982 | |||
1,212,770 | |||||
Pharmaceuticals — 3.9% | |||||
Abbott Laboratories | 180,500 | 10,135,075 | |||
Astellas Pharma, Inc. (Japan) | 17,900 | 776,334 | |||
AstraZeneca PLC (United Kingdom) | 60,598 | 2,610,361 | |||
Bristol-Myers Squibb Co. | 40,000 | 1,060,800 | |||
Eli Lilly & Co. | 279,400 | 14,917,166 | |||
GlaxoSmithKline PLC (United Kingdom) | 152,103 | 3,872,516 | |||
H Lundbeck A/S (Denmark) | 9,600 | 259,762 | |||
Johnson & Johnson | 523,998 | 34,950,667 | |||
King Pharmaceuticals, Inc.(a) | 308,600 | 3,160,064 | |||
Kyowa Hakko Kogyo Co. Ltd. (Japan) | 53,000 | 566,044 | |||
Merck & Co., Inc. | 298,700 | 17,357,457 | |||
Novartis AG (Switzerland) | 24,679 | 1,353,677 | |||
Pfizer, Inc. | 1,525,565 | 34,676,092 | |||
Roche Holding AG-Genusshein (Switzerland) | 9,449 | 1,632,491 | |||
Sanofi-Aventis (France) | 35,875 | 3,303,372 | |||
Shire PLC (United Kingdom) | 18,472 | 422,492 | |||
Takeda Pharmaceutical Co. Ltd. (Japan) | 11,100 | 648,471 | |||
Wyeth | 279,300 | 12,342,267 | |||
144,045,108 | |||||
Real Estate Investment Trusts — 0.4% | |||||
Annaly Capital Management, Inc.(b) | 221,400 | 4,025,053 | |||
Ashford Hospitality Trust, Inc. | 81,600 | 586,704 |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Real Estate Investment Trusts (continued) | |||||
Brandywine Realty Trust | 87,400 | $ | 1,567,082 | ||
CBL & Associates Properties, Inc. | 32,000 | 765,120 | |||
Centro Properties Group | 15,744 | 13,771 | |||
First Industrial Realty Trust, Inc.(b) | 47,000 | 1,626,200 | |||
Host Hotels & Resorts, Inc. | 123,700 | 2,107,848 | |||
ING Industrial Fund (Australia) | 386,508 | 856,334 | |||
Mirvac Group (Australia) | 149,661 | 782,140 | |||
NorthStar Realty Finance Corp.(b) | 87,400 | 779,608 | |||
Strategic Hotels & Resorts, Inc.(b) | 39,200 | 655,816 | |||
Sunstone Hotel Investors, Inc. | 9,300 | 170,097 | |||
Westfield Group (Australia) | 4,445 | 81,266 | |||
14,017,039 | |||||
Real Estate Management & Development — 0.1% | |||||
Cheung Kong Holdings Ltd. (Hong Kong) | 57,000 | 1,041,359 | |||
City Developments Ltd. (Singapore) | 25,000 | 243,470 | |||
Jones Lang LaSalle, Inc. | 9,100 | 647,556 | |||
K.K. DaVinci Advisors (Japan)(a) | 404 | 350,006 | |||
Leopalace21 Corp. (Japan) | 16,400 | 440,631 | |||
Swire Pacific Ltd. (Hong Kong) | 40,000 | 548,125 | |||
Wharf (Holdings) Ltd. (The) (Hong Kong)(a) | 241,000 | 1,246,698 | |||
4,517,845 | |||||
Road & Rail — 0.2% | |||||
Nippon Express Co. Ltd. (Japan) | 19,000 | 96,940 | |||
Ryder System, Inc. | 12,000 | 564,120 | |||
Seino Holdings Co. Ltd. (Japan) | 39,000 | 262,421 | |||
Union Pacific Corp. | 40,300 | 5,062,487 | |||
5,985,968 | |||||
Semiconductors & Semiconductor Equipment — 1.4% | |||||
ASML Holding NV (Netherlands) | 7,334 | 232,254 | |||
Integrated Device Technology, Inc.(a) | 58,400 | 660,504 | |||
Intel Corp. | 832,700 | 22,199,782 | |||
Lam Research Corp.(a) | 121,100 | 5,235,153 | |||
Linear Technology Corp.(b) | 182,500 | 5,808,975 | |||
NVIDIA Corp.(a)(b) | 340,600 | 11,587,212 | |||
Semtech Corp.(a)(b) | 46,000 | 713,920 | |||
Texas Instruments, Inc.(b) | 25,300 | 845,020 | |||
Varian Semiconductor Equipment Associates, Inc.(a) | 59,700 | 2,208,900 | |||
Zoran Corp.(a)(b) | 135,400 | 3,047,854 | |||
52,539,574 | |||||
Software — 2.6% | |||||
Adobe Systems, Inc.(a) | 150,800 | 6,443,684 | |||
Advent Software, Inc.(a)(b) | 18,000 | 973,800 | |||
BMC Software, Inc.(a) | 56,200 | 2,002,968 | |||
Intuit, Inc.(a) | 193,500 | 6,116,535 | |||
Lawson Software, Inc.(a) | 27,200 | 278,528 | |||
Microsoft Corp. | 1,703,100 | 60,630,360 | |||
Nintendo Co. Ltd. (Japan) | 5,700 | 3,346,766 | |||
Oracle Corp.(a) | 203,000 | 4,583,740 | |||
Symantec Corp.(a)(b) | 701,100 | 11,315,754 | |||
95,692,135 | |||||
Specialty Retail — 1.1% | |||||
AnnTaylor Stores Corp.(a)(b) | 44,300 | 1,132,308 | |||
Asbury Automotive Group | 58,500 | 880,425 | |||
Belle International Holdings Ltd. (China) | 51,000 | 76,298 | |||
Best Buy Co., Inc.(b) | 220,200 | 11,593,530 | |||
Christopher & Banks Corp. | 31,900 | 365,255 | |||
Esprit Holdings Ltd. (Hong Kong) | 65,400 | 963,032 |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Specialty Retail (continued) | |||||
Group 1 Automotive, Inc.(b) | 14,200 | $ | 337,250 | ||
Gymboree Corp.(a)(b) | 129,000 | 3,929,340 | |||
Hennes & Mauritz AB (Class B Stock) (Sweden) | 5,200 | 316,592 | |||
Hikari Tsushin, Inc. (Japan) | 3,200 | 108,582 | |||
Home Depot, Inc. | 496,750 | 13,382,446 | |||
Limited Brands, Inc.(b) | 317,000 | 6,000,810 | |||
Rent-A-Center, Inc.(a) | 177,400 | 2,575,848 | |||
Shimachu Co. Ltd. (Japan) | 2,900 | 81,705 | |||
41,743,421 | |||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||
Jones Apparel Group, Inc.(b) | 196,100 | 3,135,639 | |||
Liz Claiborne, Inc.(b) | 45,800 | 932,030 | |||
Nisshinbo Industries, Inc. (Japan) | 21,000 | 256,062 | |||
Swatch Group AG (Switzerland) | 11,058 | 652,941 | |||
VF Corp. | 40,900 | 2,808,194 | |||
Warnaco Group, Inc. (The)(a)(b) | 97,900 | 3,406,921 | |||
11,191,787 | |||||
Thrifts & Mortgage Finance — 0.3% | |||||
Hudson City Bancorp, Inc. | 617,300 | 9,271,846 | |||
Washington Mutual, Inc.(b) | 41,300 | 562,093 | |||
9,833,939 | |||||
Tobacco — 0.9% | |||||
Altria Group, Inc. | 187,100 | 14,141,017 | |||
British American Tobacco PLC (United Kingdom) | 21,293 | 832,884 | |||
Imperial Tobacco Group PLC (United Kingdom) | 55,194 | 2,979,659 | |||
Reynolds American, Inc.(b) | 210,600 | 13,891,176 | |||
31,844,736 | |||||
Trading Companies & Distributors — 0.2% | |||||
Itochu Corp. (Japan) | 119,000 | 1,148,307 | |||
Marubeni Corp. (Japan) | 146,000 | 1,023,023 | |||
Mitsubishi Corp. (Japan) | 33,000 | 893,135 | |||
Mitsui & Co. Ltd. (Japan) | 93,000 | 1,942,086 | |||
Sumitomo Corp. (Japan) | 66,100 | 924,830 | |||
5,931,381 | |||||
Transportation Infrastructure | |||||
Hopewell Holdings (Hong Kong) | 119,000 | 545,602 | |||
Kamigumi Co. Ltd. (Japan) | 31,000 | 223,708 | |||
769,310 | |||||
Wireless Telecommunication Services — 0.5% | |||||
KDDI Corp. (Japan) | 96 | 710,311 | |||
Sprint Nextel Corp. | 959,100 | 12,592,983 | |||
Vodafone Group PLC (United Kingdom) | 1,794,633 | 6,708,975 | |||
20,012,269 | |||||
TOTAL COMMON STOCKS | 2,396,999,371 | ||||
PREFERRED STOCK — 0.1% | |||||
Automobiles — 0.1% | |||||
Porsche AG (Germany) | 649 | 1,310,487 | |||
RIGHTS | |||||
Real Estate Management & Development | |||||
Wharf (Holdings) Ltd. (The) (Hong Kong)(a) | 30,125 | 41,339 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS — 27.4% | ||||||||||
Aerospace & Defense — 0.2% | ||||||||||
BAE Systems Holdings, Inc., | ||||||||||
Notes, 144A | ||||||||||
4.75% | 08/15/10 | Baa2 | $ | 2,150 | $ | 2,165,237 | ||||
Boeing Capital Corp.,(b) | ||||||||||
Sr. Notes | ||||||||||
6.10% | 03/01/11 | A2 | 925 | 969,552 | ||||||
Goodrich Corp., | ||||||||||
Notes | ||||||||||
6.80% | 07/01/36 | Baa2 | 848 | 906,150 | ||||||
Northrop Grumman Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.125% | 02/15/11 | Baa1 | 3,500 | 3,730,111 | ||||||
Raytheon Co., | ||||||||||
Sr. Notes | ||||||||||
5.50% | 11/15/12 | Baa1 | 595 | 619,510 | ||||||
8,390,560 | ||||||||||
Airlines — 0.1% | ||||||||||
American Airlines, Inc., | ||||||||||
Pass-thru Certs., Ser. 01-1 | ||||||||||
6.817% | 05/23/11 | Ba1 | 2,520 | 2,441,249 | ||||||
Continental Airlines, Inc., | ||||||||||
Pass-thru Certs., Ser. 981A | ||||||||||
6.648% | 09/15/17 | Baa2 | 357 | 358,729 | ||||||
Delta Air Lines, Inc.,(b) | ||||||||||
Pass-thru Certs., 144A | ||||||||||
6.821% | 08/10/22 | Baa1 | 520 | 491,452 | ||||||
Southwest Airlines Co., | ||||||||||
Notes | ||||||||||
6.50% | 03/01/12 | Baa1 | 1,005 | 1,040,680 | ||||||
4,332,110 | ||||||||||
Asset Backed Securities — 0.7% | ||||||||||
American Express Credit Account Master Trust,(g) | ||||||||||
Ser. 2004-4, Class C, 144A | ||||||||||
5.4975% | 03/15/12 | Baa1 | 1,170 | 1,151,533 | ||||||
Ser. 2004-C, Class C, 144A | ||||||||||
5.5275% | 02/15/12 | Baa1 | 386 | 385,741 | ||||||
Amortizing Residential Collateral Trust,(g) | ||||||||||
Ser. 2002-BC7, Class M2 | ||||||||||
6.215% | 10/25/32 | BB(f) | 118 | 63,890 | ||||||
Ser. 2002-BC9, Class M1 | ||||||||||
6.515% | 12/25/32 | Aa2 | 2,498 | 2,248,696 | ||||||
Bank of America Credit Card Trust,(g) | ||||||||||
Ser. 2006-C5, Class C5 | ||||||||||
5.4275% | 01/15/16 | Baa2 | 3,209 | 2,971,802 | ||||||
Bank One Issuance Trust, | ||||||||||
Ser. 2003-C1, Class C1 | ||||||||||
4.54% | 09/15/10 | Baa2 | 1,820 | 1,819,872 | ||||||
CDC Mortgage Capital Trust,(g) | ||||||||||
Ser. 2002-HE3, Class M1 | ||||||||||
6.515% | 03/25/33 | A1 | 796 | 632,263 | ||||||
Centex Home Equity,(g) | ||||||||||
Ser. 2005-A, Class M2 | ||||||||||
5.365% | 01/25/35 | Aa2 | 1,790 | 1,634,838 | ||||||
Citibank Credit Card Insurance Trust,(g) | ||||||||||
Ser. 2006-C1, Class C1 | ||||||||||
5.3488% | 02/20/15 | Baa2 | 1,350 | 1,241,041 |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Asset Backed Securities (continued) | ||||||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||||
Ser. 2005-CB6, Class A3 | ||||||||||
5.12% | 07/25/35 | Aaa | $ | 1,400 | $ | 1,392,390 | ||||
Equity One ABS, Inc., | ||||||||||
Ser. 2004-3, Class M1 | ||||||||||
5.70% | 07/25/34 | Aa2 | 1,280 | 1,176,369 | ||||||
First Franklin Mortgage Loan Trust,(g) | ||||||||||
Ser. 2005-FFH1, Class M2 | ||||||||||
5.385% | 06/25/36 | Aa2 | 1,450 | 1,297,966 | ||||||
Household Home Equity Loan Trust,(g) | ||||||||||
Ser. 2005-2, Class M2 | ||||||||||
5.4388% | 01/20/35 | Aa1 | 534 | 467,864 | ||||||
MBNA Master Credit Card Trust, | ||||||||||
Ser. 1999-J, Class A | ||||||||||
7.00% | 02/15/12 | Aaa | 1,830 | 1,916,209 | ||||||
Morgan Stanley ABS Capital I,(g) | ||||||||||
Ser. 2004-NC3, Class M2 | ||||||||||
5.965% | 03/25/34 | A2 | 959 | 884,135 | ||||||
Morgan Stanley Dean Witter Capital I,(g) | ||||||||||
Ser. 2002-HE1, Class M1 | ||||||||||
5.765% | 07/25/32 | Aa2 | 1,585 | 1,513,679 | ||||||
Ser. 2002-NC2, Class M2, 144A | ||||||||||
7.19% | 04/25/32 | A(f) | 381 | 136,622 | ||||||
Ser. 2002-NC4, Class M1 | ||||||||||
6.14% | 09/25/32 | Aaa | 1,179 | 1,143,552 | ||||||
Saxon Asset Securities Trust,(g) | ||||||||||
Ser. 2005-2, Class M2 | ||||||||||
5.305% | 10/25/35 | Aa2 | 1,170 | 1,128,119 | ||||||
Securitized Asset Backed Receivables LLC,(g) | ||||||||||
Ser. 2004-OP1, Class M1 | ||||||||||
5.375% | 02/25/34 | Aa2 | 1,325 | 1,291,039 | ||||||
Ser. 2006-FR3, Class A3 | ||||||||||
5.115% | 05/25/36 | Aaa | 1,100 | 858,000 | ||||||
SVO VOI Mortgage Corp., | ||||||||||
Ser. 2005-AA, Class A, 144A | ||||||||||
5.25% | 02/20/21 | Aaa | 617 | 611,647 | ||||||
WFS Financial Owner Trust, | ||||||||||
Ser. 2004-4, Class D | ||||||||||
3.58% | 05/17/12 | A2 | 236 | 234,065 | ||||||
26,201,332 | ||||||||||
Automotive — 0.1% | ||||||||||
Johnson Controls, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.50% | 01/15/16 | Baa1 | 245 | 241,408 | ||||||
Oshkosh Truck Corp.,(h) | ||||||||||
Bank Loan | ||||||||||
6.90% | 12/06/13 | Ba3 | 1,975 | 1,893,306 | ||||||
2,134,714 | ||||||||||
Banking — 0.6% | ||||||||||
Banco Bradesco (Cayman Islands), | ||||||||||
Notes | ||||||||||
8.75% | 10/24/13 | A2 | 1,760 | 1,993,200 | ||||||
Bank of America Corp.,(b) | ||||||||||
Sub. Notes | ||||||||||
5.75% | 08/15/16 | Aa2 | 1,775 | 1,778,165 |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Banking (continued) | ||||||||||
Bank of America NA, | ||||||||||
Sub. Notes | ||||||||||
5.30%(b) | 03/15/17 | Aa1 | $ | 930 | $ | 904,310 | ||||
6.00% | 10/15/36 | Aa1 | 410 | 392,134 | ||||||
Bank One Corp., | ||||||||||
Sub. Notes | ||||||||||
7.875% | 08/01/10 | Aa3 | 2,250 | 2,426,995 | ||||||
Citigroup, Inc., | ||||||||||
Sub. Notes | ||||||||||
5.00% | 09/15/14 | A1 | 454 | 432,591 | ||||||
5.625%(b) | 08/27/12 | A1 | 2,800 | 2,836,346 | ||||||
6.125% | 08/25/36 | A1 | 570 | 539,499 | ||||||
DEPFA ACS Bank (Ireland), | ||||||||||
Notes, 144A | ||||||||||
5.125% | 03/16/37 | Aaa | 1,380 | 1,364,024 | ||||||
First Union National Bank, | ||||||||||
Sub. Notes | ||||||||||
7.80% | 08/18/10 | Aa2 | 2,100 | 2,263,212 | ||||||
HSBC Bank USA, | ||||||||||
Sr. Notes | ||||||||||
3.875% | 09/15/09 | Aa2 | 250 | 247,662 | ||||||
ICICI Bank Ltd. (India),(g) | ||||||||||
Notes, 144A | ||||||||||
5.7875% | 01/12/10 | Baa2 | 2,385 | 2,354,234 | ||||||
ICICI Bank Ltd. (Singapore), | ||||||||||
Notes, 144A | ||||||||||
5.75% | 11/16/10 | Baa2 | 1,410 | 1,398,719 | ||||||
JPMorgan Chase & Co., | ||||||||||
Sub. Notes | ||||||||||
4.60% | 01/17/11 | Aa2 | 720 | 717,907 | ||||||
6.50% | 01/15/09 | Aa3 | 1,100 | 1,109,854 | ||||||
MUFG Capital Finance 1 Ltd., (Cayman Islands),(g) | ||||||||||
Gtd. Notes | ||||||||||
6.346% | 07/25/49 | A2 | 800 | 757,707 | ||||||
Santander Central Hispano Issuances (Cayman Islands), | ||||||||||
Bank Gtd. Notes | ||||||||||
7.625% | 09/14/10 | Aa2 | 695 | 744,107 | ||||||
Wells Fargo Bank, | ||||||||||
Sub. Notes | ||||||||||
4.75% | 02/09/15 | Aa1 | 585 | 558,743 | ||||||
6.45% | 02/01/11 | Aa1 | 65 | 68,767 | ||||||
22,888,176 | ||||||||||
Brokerage — 0.4% | ||||||||||
Bear Stearns Co., Inc. (The), | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.40% | 10/02/17 | A2 | 330 | 318,833 | ||||||
Unsec. Notes | ||||||||||
5.30% | 10/30/15 | A2 | 515 | 471,818 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||||
Sr. Notes(b) | ||||||||||
5.45% | 11/01/12 | Aa3 | 600 | 611,677 | ||||||
Sub. Notes | ||||||||||
5.625% | 01/15/17 | A1 | 1,190 | 1,162,126 | ||||||
6.45% | 05/01/36 | A1 | 1,615 | 1,517,281 | ||||||
6.75% | 10/01/37 | A1 | 694 | 679,966 |
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Brokerage (continued) | ||||||||||
Lehman Brothers Holdings, Inc., | ||||||||||
Sr. Notes(b) | ||||||||||
5.25% | 02/06/12 | A1 | $ | 1,715 | $ | 1,696,972 | ||||
Sub. Notes | ||||||||||
6.50% | 07/19/17 | A2 | 582 | 588,901 | ||||||
Merrill Lynch & Co., Inc., | ||||||||||
Notes | ||||||||||
4.25% | 02/08/10 | A1 | 1,170 | 1,146,949 | ||||||
4.79% | 08/04/10 | A1 | 295 | 292,309 | ||||||
5.00% | 01/15/15 | A1 | 615 | 579,960 | ||||||
Notes, M.T.N | ||||||||||
5.77% | 07/25/11 | A1 | 520 | 521,573 | ||||||
Sr. Unsec. Notes(b) | ||||||||||
6.40% | 08/28/17 | A1 | 1,100 | 1,117,554 | ||||||
Morgan Stanley, | ||||||||||
Notes | ||||||||||
5.30% | 03/01/13 | Aa3 | 845 | 842,874 | ||||||
5.45%, M.T.N. | 01/09/17 | Aa3 | 1,045 | 1,013,724 | ||||||
Sr. Notes, M.T.N.(b) | ||||||||||
5.25% | 11/02/12 | Aa3 | 930 | 929,690 | ||||||
Sr. Unsec. Notes, M.T.N. | ||||||||||
5.75% | 10/18/16 | Aa3 | 1,300 | 1,282,797 | ||||||
5.95% | 12/28/17 | Aa3 | 620 | 619,558 | ||||||
Sub. Notes | ||||||||||
4.75% | 04/01/14 | A1 | 1,170 | 1,096,119 | ||||||
16,490,681 | ||||||||||
Building Materials & Construction — 0.1% | ||||||||||
American Standard, Inc., | ||||||||||
Gtd. Notes | ||||||||||
7.625% | 02/15/10 | Baa3 | 770 | 808,551 | ||||||
Centex Corp.,(b) | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.50% | 05/01/16 | Ba1 | 325 | 288,852 | ||||||
Hanson PLC (United Kingdom), | ||||||||||
Sr. Unsub. Notes | ||||||||||
7.875% | 09/27/10 | Baa3 | 1,000 | 1,084,956 | ||||||
Lafarge SA (France), | ||||||||||
Notes | ||||||||||
6.15% | 07/15/11 | Baa2 | 910 | 936,091 | ||||||
Ryland Group, Inc. (The), | ||||||||||
Sr. Notes | ||||||||||
5.375% | 06/01/08 | Ba1 | 160 | 159,051 | ||||||
3,277,501 | ||||||||||
Cable — 0.2% | ||||||||||
AT&T Broadband LLC,(e) | ||||||||||
Gtd. Notes | ||||||||||
9.455% | 11/15/22 | Baa2 | 255 | 324,269 | ||||||
Comcast Corp., | ||||||||||
Gtd. Notes | ||||||||||
6.45% | 03/15/37 | Baa2 | 220 | 224,000 | ||||||
Sr. Unsec. Notes | ||||||||||
6.50% | 11/15/35 | Baa2 | 450 | 459,198 | ||||||
Cox Communications, Inc., | ||||||||||
Notes, Class A | ||||||||||
6.75% | 03/15/11 | Baa3 | 950 | 996,601 | ||||||
7.875% | 08/15/09 | Baa3 | 1,275 | 1,333,927 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Cable (continued) | ||||||||||
Insight Midwest Holdings LLC,(h) | ||||||||||
Bank Loan | ||||||||||
6.753% | 10/06/13 | Ba3 | $ | 1,800 | $ | 1,724,999 | ||||
Time Warner Cable, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.40% | 07/02/12 | Baa2 | 2,510 | 2,515,045 | ||||||
7,578,039 | ||||||||||
Capital Goods — 0.3% | ||||||||||
Caterpillar Financial Services Corp., | ||||||||||
Notes, M.T.N. | ||||||||||
5.50% | 03/15/16 | A2 | 825 | 830,053 | ||||||
Caterpillar, Inc., | ||||||||||
Debs. | ||||||||||
7.25% | 09/15/09 | A2 | 700 | 732,736 | ||||||
ERAC USA Finance Co., | ||||||||||
Gtd. Notes, 144A | ||||||||||
5.80% | 10/15/12 | Baa2 | 460 | 456,352 | ||||||
6.375% | 10/15/17 | Baa2 | 1,302 | 1,257,879 | ||||||
7.00% | 10/15/37 | Baa2 | 490 | 445,032 | ||||||
7.35% | 06/15/08 | Baa2 | 1,950 | 1,966,643 | ||||||
FedEx Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.25% | 02/15/11 | Baa2 | 400 | 425,825 | ||||||
General Electric Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.25% | 12/06/17 | Aaa | 70 | 69,851 | ||||||
Honeywell International, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.70% | 03/15/37 | A2 | 140 | 138,221 | ||||||
Sr. Unsub. Notes | ||||||||||
6.125% | 11/01/11 | A2 | 1,095 | 1,146,442 | ||||||
Sensata Technologies,(h) | ||||||||||
Bank Loan | ||||||||||
6.93% | 04/27/13 | Ba3 | 1,393 | 1,320,298 | ||||||
United Technologies Corp., | ||||||||||
Debs. | ||||||||||
8.875% | 11/15/19 | A2 | 390 | 505,694 | ||||||
Notes | ||||||||||
6.35% | 03/01/11 | A2 | 825 | 878,450 | ||||||
10,173,476 | ||||||||||
Chemicals — 0.1% | ||||||||||
Dow Chemical Co. (The), | ||||||||||
Debs. | ||||||||||
5.97% | 01/15/09 | A3 | 390 | 395,072 | ||||||
Sr. Notes | ||||||||||
6.125% | 02/01/11 | A3 | 685 | 710,689 | ||||||
ICI Wilmington, Inc., | ||||||||||
Gtd. Notes | ||||||||||
5.625% | 12/01/13 | Baa2 | 720 | 740,444 | ||||||
Lubrizol Corp., | ||||||||||
Sr. Notes | ||||||||||
4.625% | 10/01/09 | Baa3 | 860 | 863,659 | ||||||
Union Carbide Corp., | ||||||||||
Debs. | ||||||||||
7.50% | 06/01/25 | Ba2 | 460 | 476,682 | ||||||
3,186,546 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Collateralized Mortgage Obligations — 0.4% | ||||||||||
Banc of America Mortgage Securities, Inc.,(g) | ||||||||||
Ser. 2005-A, Class 2A1 | ||||||||||
4.461% | 02/25/35 | Aaa | $ | 1,391 | $ | 1,376,255 | ||||
Ser. 2005-B, Class 2A1 | ||||||||||
4.382% | 03/25/35 | Aaa | 984 | 976,632 | ||||||
Bank of America Alternative Loan Trust, | ||||||||||
Ser. 2005-12, Class 3CB1 | ||||||||||
6.00% | 01/25/36 | Aaa | 3,930 | 3,762,567 | ||||||
Chase Mortgage Finance Corp.,(g) | ||||||||||
Ser. 2007-A1, Class 1A5 | ||||||||||
4.356% | 02/25/37 | Aaa | 4,391 | 4,336,503 | ||||||
Countrywide Alternative Loan Trust, | ||||||||||
Ser. 2004-18CB, Class 3A1 | ||||||||||
5.25% | 09/25/19 | Aaa | 1,502 | 1,468,267 | ||||||
JPMorgan Mortgage Trust,(g) | ||||||||||
Ser. 2007-A1, Class 4A1 | ||||||||||
4.071% | 07/25/35 | Aaa | 2,723 | 2,703,175 | ||||||
Master Alternative Loan Trust, | ||||||||||
Ser. 2004-4, Class 4A1 | ||||||||||
5.00% | 04/25/19 | Aaa | 496 | 492,866 | ||||||
Structured Adjustable Rate Mortgage Loan,(g) | ||||||||||
Ser. 2004-1, Class 4A3 | ||||||||||
4.17% | 02/25/34 | Aaa | 917 | 933,902 | ||||||
Washington Mutual Alternative Mortgage, | ||||||||||
Pass-Through Certificates, Ser. 2005-1, Class 3A | ||||||||||
5.00% | 03/25/20 | AAA(f) | 571 | 558,299 | ||||||
16,608,466 | ||||||||||
Commercial Mortgage Backed Securities — 3.5% | ||||||||||
Banc of America Commercial Mortgage, Inc., | ||||||||||
Ser. 2003-2, Class A3(g) | ||||||||||
4.873% | 03/11/41 | AAA(f) | 2,500 | 2,504,269 | ||||||
Ser. 2004-2, Class A4 | ||||||||||
4.153% | 11/10/38 | Aaa | 2,800 | 2,752,921 | ||||||
Ser. 2005-1, Class ASB(g) | ||||||||||
4.85% | 11/10/42 | AAA(f) | 900 | 901,042 | ||||||
Ser. 2006-2, Class A4(g) | ||||||||||
5.7401% | 05/10/45 | AAA(f) | 2,300 | 2,377,168 | ||||||
Ser. 2007-1, Class A4 | ||||||||||
5.451% | 01/15/49 | Aaa | 3,600 | 3,617,606 | ||||||
Bear Stearns Commercial Mortgage Securities,(g) | ||||||||||
Ser. 2004-T16, Class A-6 | ||||||||||
4.75% | 02/13/46 | AAA(f) | 4,500 | 4,428,905 | ||||||
Ser. 2005-T18, Class AAB | ||||||||||
4.823% | 02/13/42 | Aaa | 1,775 | 1,742,379 | ||||||
Ser. 2005-T20, Class AAB | ||||||||||
5.138% | 10/12/42 | Aaa | 2,400 | 2,400,774 | ||||||
Commercial Mortgage Acceptance Corp.,(g) | ||||||||||
Ser. 1998-C2, Class F, 144A | ||||||||||
5.44% | 09/15/30 | A-(f) | 890 | 925,291 | ||||||
Commercial Mortgage Pass-Through Certificates, I/O,(g) | ||||||||||
Ser. 2004-LB2A, Class X2, 144A | ||||||||||
0.94% | 03/10/39 | AAA(f) | 11,751 | 237,482 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||||
Ser. 2006-C1, Class A4(g) | ||||||||||
5.5546% | 02/15/39 | AAA(f) | 2,700 | 2,740,922 | ||||||
Ser. 2006-C5, Class A3 | ||||||||||
5.311% | 12/15/39 | Aaa | 1,790 | 1,783,775 |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Commercial Mortgage Backed Securities (continued) | ||||||||||
CS First Boston Mortgage Securities Corp., | ||||||||||
Ser. 2004-C3, Class A4 | ||||||||||
4.835% | 07/15/36 | Aaa | $ | 880 | $ | 880,274 | ||||
Ser. 2004-C4, Class A4 | ||||||||||
4.283% | 10/15/39 | Aaa | 1,400 | 1,378,294 | ||||||
DLJ Commercial Mortgage Corp., | ||||||||||
Ser. 2000-CF1, Class A1B | ||||||||||
7.62% | 06/10/33 | AAA(f) | 2,637 | 2,786,868 | ||||||
General Electric Capital Commercial Mortgage Corp., I/O,(g) | ||||||||||
Ser. 2004-C2, Class X2, 144A | ||||||||||
0.57% | 03/10/40 | Aaa | 21,605 | 328,765 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||||
Ser. 2005-C1, Class A5 | ||||||||||
4.697% | 05/10/43 | AAA(f) | 2,720 | 2,595,699 | ||||||
Greenwich Capital Commercial Funding Corp., | ||||||||||
Ser. 2003-C1, Class A4 | ||||||||||
4.111% | 07/05/35 | Aaa | 7,700 | 7,420,519 | ||||||
Ser. 2005-GG5, Class A5(g) | ||||||||||
5.224% | 04/10/37 | Aaa | 9,550 | 9,474,619 | ||||||
GS Mortgage Securities Corp. II,(g) | ||||||||||
Ser. 2006-GG6, Class AAB | ||||||||||
5.587% | 04/10/38 | AAA(f) | 6,650 | 6,742,051 | ||||||
JPMorgan Chase & Co.,(g) | ||||||||||
Ser. 2005-CB13, Class A4 | ||||||||||
5.294% | 01/12/43 | Aaa | 2,340 | 2,339,410 | ||||||
Ser. 2005-LDP5, Class A4 | ||||||||||
5.1793% | 12/15/44 | Aaa | 5,000 | 4,979,159 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., | ||||||||||
Ser. 2005-LDP1, Class ASB(g) | ||||||||||
4.853% | 03/15/46 | Aaa | 4,200 | 4,153,529 | ||||||
Ser. 2005-LDP2, Class ASB | ||||||||||
4.659% | 07/15/42 | Aaa | 6,350 | 6,216,221 | ||||||
Ser. 2005-LDP4, Class A4(g) | ||||||||||
4.918% | 10/15/42 | Aaa | 2,500 | 2,425,461 | ||||||
Ser. 2006-CB16, Class ASB | ||||||||||
5.523% | 05/12/45 | Aaa | 3,900 | 3,945,338 | ||||||
Ser. 2006-LDP6, Class X2, I/O(g) | ||||||||||
0.077% | 04/15/43 | Aaa | 142,166 | 663,732 | ||||||
Ser. 2006-LDP8, Class ASB | ||||||||||
5.37% | 05/15/45 | Aaa | 3,700 | 3,711,682 | ||||||
JPMorgan Commercial Mortgage Finance Corp.,(g) | ||||||||||
Ser. 2000-C10, Class A2 | ||||||||||
7.371% | 08/15/32 | Aaa | 7,587 | 7,923,109 | ||||||
Ser. 2003-CB6, Class A2 | ||||||||||
5.255% | 07/12/37 | Aaa | 2,100 | 2,130,673 | ||||||
KeyCorp.,(g) | ||||||||||
Ser. 2000-C1, Class A2 | ||||||||||
7.727% | 05/17/32 | Aaa | 8,072 | 8,468,200 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Ser. 2003-C8, Class A3 | ||||||||||
4.83% | 11/15/27 | Aaa | 1,460 | 1,462,804 | ||||||
Ser. 2004-C6, Class A5(g) | ||||||||||
4.826% | 08/15/29 | AAA(f) | 3,910 | 3,903,960 | ||||||
Ser. 2006-C6, Class AAB | ||||||||||
5.341% | 09/15/39 | Aaa | 2,480 | 2,488,751 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Commercial Mortgage Backed Securities (continued) | ||||||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Ser. 2004-KEY2, Class A3 | ||||||||||
4.615% | 08/12/39 | Aaa | $ | 2,000 | $ | 1,981,065 | ||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||||
Ser. 2006-2, Class A4(g) | ||||||||||
5.9095% | 06/12/46 | Aaa | 1,795 | 1,873,448 | ||||||
Ser. 2007-5, Class A4 | ||||||||||
5.378% | 08/12/48 | Aaa | 3,500 | 3,500,651 | ||||||
Morgan Stanley Capital I, | ||||||||||
Ser. 2006-IQ11, Class A4(g) | ||||||||||
5.773% | 10/15/42 | AAA(f) | 2,600 | 2,678,148 | ||||||
Ser. 2007-HQ11, Class AAB | ||||||||||
5.444% | 02/12/44 | Aaa | 4,600 | 4,619,545 | ||||||
Ser. 2007-T27, AAB(g) | ||||||||||
5.65% | 06/11/42 | AAA(f) | 1,105 | 1,126,767 | ||||||
128,611,276 | ||||||||||
Consumer | ||||||||||
Whirlpool Corp., | ||||||||||
Notes | ||||||||||
6.125% | 06/15/11 | Baa2 | 965 | 1,004,973 | ||||||
Electric — 0.7% | ||||||||||
Appalachian Power Co., | ||||||||||
Sr. Notes, Ser. J | ||||||||||
4.40% | 06/01/10 | Baa2 | 620 | 615,398 | ||||||
Arizona Public Service Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.375% | 10/15/11 | Baa2 | 1,305 | 1,350,150 | ||||||
Unsec. Notes | ||||||||||
6.25% | 08/01/16 | Baa2 | 175 | 178,077 | ||||||
Baltimore Gass & Electric Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.35% | 10/01/36 | Baa2 | 550 | 545,480 | ||||||
Carolina Power & Light Co., | ||||||||||
First Mtge. Bonds | ||||||||||
5.25% | 12/15/15 | A2 | 525 | 522,157 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||||
Mtge. Bonds, Ser. J2 | ||||||||||
5.70% | 03/15/13 | Baa2 | 740 | 747,076 | ||||||
Mtge. Bonds, Ser. K2 | ||||||||||
6.95% | 03/15/33 | Baa2 | 590 | 645,013 | ||||||
Consolidated Edison Co. of New York, | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.375% | 12/15/15 | A1 | 730 | 727,225 | ||||||
Consumers Energy Co., | ||||||||||
First Mtge. Bonds, Ser. B | ||||||||||
5.375% | 04/15/13 | Baa1 | 325 | 324,101 | ||||||
Dominion Resources, Inc., | ||||||||||
Sr. Notes, Ser. D | ||||||||||
5.125% | 12/15/09 | Baa2 | 970 | 979,089 | ||||||
Duke Energy Carolinas LLC, | ||||||||||
Sr. Unsub. Notes | ||||||||||
6.10% | 06/01/37 | A3 | 960 | 964,913 | ||||||
El Paso Electric Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 05/15/35 | Baa2 | 670 | 626,380 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Electric (continued) | ||||||||||
Empresa Nacional de Electricidad S.A. (Chile), | ||||||||||
Bonds, Ser. B | ||||||||||
8.50% | 04/01/09 | Baa3 | $ | 1,070 | $ | 1,118,557 | ||||
Notes | ||||||||||
8.625% | 08/01/15 | Baa3 | 1,295 | 1,493,959 | ||||||
Energy East Corp., | ||||||||||
Notes | ||||||||||
6.75% | 09/15/33 | Baa2 | 145 | 146,541 | ||||||
Exelon Corp., | ||||||||||
Notes | ||||||||||
4.90% | 06/15/15 | Baa1 | 155 | 145,904 | ||||||
Florida Power & Light Co., | ||||||||||
First Mtge. Bonds | ||||||||||
5.95% | 10/01/33 | Aa3 | 295 | 298,396 | ||||||
Georgia Power Co., | ||||||||||
Unsub. Notes | ||||||||||
5.70% | 06/01/17 | A2 | 495 | 508,239 | ||||||
Indiana Michigan Power Co., | ||||||||||
Sr. Notes | ||||||||||
5.05% | 11/15/14 | Baa2 | 460 | 441,061 | ||||||
Midamerican Energy Holdings Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.95% | 05/15/37 | Baa1 | 420 | 407,391 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||
Notes, Ser. C, M.T.N. | ||||||||||
7.25% | 03/01/12 | A2 | 185 | 200,444 | ||||||
Nevada Power Co., | ||||||||||
Mtge. Bonds, Ser. O | ||||||||||
6.50% | 05/15/18 | Baa3 | 1,260 | 1,290,012 | ||||||
NiSource Finance Corp., | ||||||||||
Gtd. Notes | ||||||||||
5.25% | 09/15/17 | Baa3 | 245 | 225,232 | ||||||
5.45% | 09/15/20 | Baa3 | 350 | 313,196 | ||||||
NRG Energy,(h) | ||||||||||
Bank Loan | ||||||||||
6.48% | 02/01/13 | Ba1 | 439 | 418,563 | ||||||
6.58% | 02/01/13 | Ba1 | 951 | 906,577 | ||||||
NSTAR Electric Co., | ||||||||||
Debs. | ||||||||||
4.875% | 04/15/14 | A1 | 565 | 551,268 | ||||||
Oncor Electric Delivery Co., | ||||||||||
Debs. | ||||||||||
7.00% | 09/01/22 | Ba1 | 475 | 492,073 | ||||||
Sec. Notes | ||||||||||
6.375% | 01/15/15 | Ba1 | 345 | 353,236 | ||||||
Pacific Gas & Electric Co., | ||||||||||
Unsec. Notes | ||||||||||
6.05% | 03/01/34 | A3 | 1,550 | 1,547,424 | ||||||
PPL Electric Utilities Corp., | ||||||||||
Sec. Notes | ||||||||||
6.25% | 08/15/09 | A3 | 1,500 | 1,536,458 | ||||||
Public Service Electric & Gas Co., | ||||||||||
Mtge. Bonds | ||||||||||
5.80% | 05/01/37 | A3 | 535 | 523,007 | ||||||
Southern California Edison Co., | ||||||||||
First Mtge. Bonds | ||||||||||
4.65% | 04/01/15 | A2 | 470 | 451,679 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Electric (continued) | ||||||||||
Texas Competitive Electric Holdings Co. LLC,(h) | ||||||||||
Bank Loan | ||||||||||
8.60% | 10/10/14 | Ba3 | $ | 998 | $ | 978,798 | ||||
Virginia Electric Power Co., | ||||||||||
Sr. Unsec. Notes, Ser. A | ||||||||||
6.00% | 05/15/37 | Baa1 | 795 | 777,545 | ||||||
Xcel Energy, Inc., | ||||||||||
Sr. Notes | ||||||||||
3.40% | 07/01/08 | Baa1 | 605 | 599,588 | ||||||
5.613% | 04/01/17 | Baa1 | 199 | 196,570 | ||||||
6.50% | 07/01/36 | Baa1 | 445 | 441,460 | ||||||
24,588,237 | ||||||||||
Energy – Integrated — 0.1% | ||||||||||
ConocoPhillips, | ||||||||||
Notes | ||||||||||
8.75% | 05/25/10 | A1 | 1,505 | 1,648,816 | ||||||
Lukoil International Finance BV (Netherlands), | ||||||||||
Gtd Notes, 144A | ||||||||||
6.356% | 06/07/17 | Baa2 | 560 | 530,152 | ||||||
TNK-BP Finance SA (Luxembourg), | ||||||||||
Gtd. Notes, 144A | ||||||||||
7.50% | 07/18/16 | Baa2 | 1,425 | 1,380,469 | ||||||
3,559,437 | ||||||||||
Energy – Other — 0.2% | ||||||||||
Devon Financing Corp. ULC, | ||||||||||
Gtd. Notes | ||||||||||
7.875% | 09/30/31 | Baa1 | 225 | 272,127 | ||||||
Halliburton Co., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.50% | 10/15/10 | A2 | 150 | 154,193 | ||||||
Nexen, Inc. (Canada), | ||||||||||
Unsec. Notes | ||||||||||
6.40% | 05/15/37 | Baa2 | 200 | 199,665 | ||||||
Pioneer Natural Resources Co., | ||||||||||
Bonds | ||||||||||
6.875% | 05/01/18 | Ba1 | 1,500 | 1,450,538 | ||||||
Talisman Energy, Inc. (Canada), | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.25% | 02/01/38 | Baa2 | 170 | 165,675 | ||||||
Valero Energy Corp., | ||||||||||
Sr. Notes | ||||||||||
6.125% | 06/15/17 | Baa3 | 860 | 873,988 | ||||||
6.625% | 06/15/37 | Baa3 | 255 | 256,804 | ||||||
Weatherford International, Inc., | ||||||||||
Gtd. Notes, 144A | ||||||||||
6.35% | 06/15/17 | Baa1 | 970 | 1,002,646 | ||||||
Western Oil Sands, Inc. (Canada), | ||||||||||
Sec. Notes | ||||||||||
8.375% | 05/01/12 | Baa3 | 360 | 401,510 | ||||||
Woodside Finance Ltd. (Australia), | ||||||||||
Gtd. Notes, 144A | ||||||||||
5.00% | 11/15/13 | Baa1 | 1,315 | 1,310,200 | ||||||
XTO Energy, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.25% | 08/01/17 | Baa2 | 585 | 613,735 | ||||||
6,701,081 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Foods — 0.5% | ||||||||||
Aramark Corp.,(h) | ||||||||||
Bank Loans | ||||||||||
7.036% | 01/26/14 | Ba3 | $ | 1,658 | $ | 1,574,688 | ||||
7.036% | 01/26/14 | Ba3 | 119 | 112,544 | ||||||
Bunge Ltd. Finance Corp., | ||||||||||
Notes | ||||||||||
5.35% | 04/15/14 | Baa2 | 1,040 | 1,006,959 | ||||||
Cadbury Schweppes U.S. Finance LLC, | ||||||||||
Gtd. Notes, 144A | ||||||||||
3.875% | 10/01/08 | Baa2 | 810 | 805,093 | ||||||
Cargill, Inc., 144A, | ||||||||||
Notes | ||||||||||
3.625% | 03/04/09 | A2 | 1,875 | 1,847,524 | ||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 11/27/17 | A2 | 670 | 668,470 | ||||||
Coca-Cola Co. (The), | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.35% | 11/15/17 | Aa3 | 1,490 | 1,526,568 | ||||||
ConAgra Foods, Inc., | ||||||||||
Notes | ||||||||||
7.875% | 09/15/10 | Baa2 | 430 | 461,541 | ||||||
Delhaize Group (Belgium), | ||||||||||
Notes | ||||||||||
6.50% | 06/15/17 | Baa3 | 480 | 491,053 | ||||||
Diageo Capital PLC (United Kingdom),(b) | ||||||||||
Gtd. Notes | ||||||||||
5.75% | 10/23/17 | A3 | 1,005 | 1,010,707 | ||||||
Heinz Co., | �� | |||||||||
Notes, 144A | ||||||||||
6.428% | 12/01/08 | Baa2 | 1,290 | 1,313,285 | ||||||
Kellogg Co., | ||||||||||
Notes, Ser. B | ||||||||||
6.60% | 04/01/11 | A3 | 1,875 | 1,986,865 | ||||||
Kraft Foods, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.625% | 11/01/11 | Baa2 | 850 | 869,273 | ||||||
6.125% | 02/01/18 | Baa2 | 980 | 987,492 | ||||||
Kroger Co. (The), | ||||||||||
Gtd. Notes | ||||||||||
6.75% | 04/15/12 | Baa2 | 45 | 47,765 | ||||||
6.80%(b) | 04/01/11 | Baa2 | 670 | 705,101 | ||||||
McDonald’s Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.80% | 10/15/17 | A3 | 720 | 745,472 | ||||||
Tricon Global Restaurants, | ||||||||||
Sr. Notes. | ||||||||||
8.875% | 04/15/11 | Baa2 | 180 | 198,545 | ||||||
Tyson Foods, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.85% | 04/01/16 | Ba1 | 735 | 754,224 | ||||||
Whitman Corp., | ||||||||||
Notes | ||||||||||
6.375% | 05/01/09 | Baa1 | 1,530 | 1,576,732 | ||||||
18,689,901 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Gaming | ||||||||||
Harrah’s Operating Co., Inc., | ||||||||||
Gtd. Notes | ||||||||||
5.50% | 07/01/10 | Baa3 | $ | 625 | $ | 581,250 | ||||
Mandalay Resorts Group, | ||||||||||
Sr. Sub. Notes | ||||||||||
9.375% | 02/15/10 | B1 | 10 | 10,350 | ||||||
591,600 | ||||||||||
Healthcare & Pharmaceutical — 0.5% | ||||||||||
Abbott Laboratories,(e) | ||||||||||
Notes | ||||||||||
5.875% | 05/15/16 | A1 | 1,145 | 1,196,009 | ||||||
AmerisourceBergen Corp., | ||||||||||
Gtd. Notes | ||||||||||
5.625% | 09/15/12 | Ba1 | 915 | 927,940 | ||||||
AstraZeneca PLC (United Kingdom), | ||||||||||
Sr. Unsub. Notes | ||||||||||
6.45% | 09/15/37 | A1 | 495 | 542,360 | ||||||
Baxter International, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.196% | 02/16/08 | Baa1 | 860 | 859,816 | ||||||
Bristol-Myers Squibb Co., | ||||||||||
Unsub. Notes | ||||||||||
5.875% | 11/15/36 | A2 | 275 | 273,274 | ||||||
Community Health Systems,(h) | ||||||||||
Bank Loan | ||||||||||
7.493% | 07/25/14 | Ba3 | 81 | 78,051 | ||||||
7.493% | 07/25/14 | Ba3 | 1,615 | 1,551,920 | ||||||
Covidien International Finance SA (Luxembourg), | ||||||||||
Gtd. Notes, 144A | ||||||||||
6.00% | 10/15/17 | Baa1 | 1,150 | 1,189,944 | ||||||
Genentech, Inc., | ||||||||||
Sr. Notes | ||||||||||
4.75% | 07/15/15 | A1 | 280 | 275,534 | ||||||
HCA, Inc. | ||||||||||
Bank Loan(h) | ||||||||||
7.08% | 11/17/13 | Ba3 | 1,980 | 1,905,255 | ||||||
Sec. Notes | ||||||||||
9.25% | 11/15/16 | B2 | 1,925 | 2,021,249 | ||||||
Health Managment Association,(h) | ||||||||||
Bank Loan | ||||||||||
6.62% | 02/28/14 | Ba2 | 1,201 | 1,118,194 | ||||||
Laboratory Corp. of America Holdings, | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.625% | 12/15/15 | Baa3 | 580 | 570,824 | ||||||
Merck & Co., Inc., | ||||||||||
Bonds | ||||||||||
5.75% | 11/15/36 | Aa3 | 110 | 109,378 | ||||||
Debs. | ||||||||||
5.95% | 12/01/28 | Aa3 | 165 | 168,853 | ||||||
Schering-Plough Corp., | ||||||||||
Sr. Notes | ||||||||||
5.55% | 12/01/13 | Baa1 | 720 | 728,481 | ||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 09/15/17 | Baa1 | 1,090 | 1,129,274 | ||||||
6.55%(b) | 09/15/37 | Baa1 | 340 | 360,249 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Healthcare & Pharmaceutical (continued) | ||||||||||
Teva Pharmaceutical Finance LLC, | ||||||||||
Gtd. Notes | ||||||||||
6.15% | 02/01/36 | Baa2 | $ | 120 | $ | 119,168 | ||||
Wyeth, | ||||||||||
Notes | ||||||||||
5.95% | 04/01/37 | A3 | 1,715 | 1,719,550 | ||||||
Unsub. Notes | ||||||||||
5.50% | 03/15/13 | A3 | 910 | 935,955 | ||||||
5.50% | 02/01/14 | A3 | 255 | 258,995 | ||||||
6.45% | 02/01/24 | A3 | 60 | 63,650 | ||||||
18,103,923 | ||||||||||
Healthcare Insurance — 0.2% | ||||||||||
Aetna, Inc., | ||||||||||
Sr. Unsub. Notes | ||||||||||
5.75% | 06/15/11 | A3 | 390 | 400,846 | ||||||
6.625% | 06/15/36 | A3 | 515 | 509,853 | ||||||
Cigna Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.15% | 11/15/36 | Baa2 | 670 | 621,636 | ||||||
Coventry Health Care, Inc., | ||||||||||
Sr. Notes | ||||||||||
6.125% | 01/15/15 | Ba1 | 2,290 | 2,297,977 | ||||||
UnitedHealth Group, Inc., | ||||||||||
Bonds, 144A | ||||||||||
6.00% | 06/15/17 | A3 | 195 | 196,951 | ||||||
6.50% | 06/15/37 | A3 | 420 | 421,628 | ||||||
6.625% | 11/15/37 | A3 | 420 | 426,287 | ||||||
Sr. Unsec. Notes | ||||||||||
5.25% | 03/15/11 | A3 | 1,350 | 1,365,103 | ||||||
Wellpoint, Inc., | ||||||||||
Notes | ||||||||||
5.00%(b) | 12/15/14 | Baa1 | 860 | 823,804 | ||||||
5.95% | 12/15/34 | Baa1 | 635 | 597,726 | ||||||
7,661,811 | ||||||||||
Insurance — 0.2% | ||||||||||
American International Group, Inc., | ||||||||||
Jr. Sub. Notes | ||||||||||
6.25% | 03/15/37 | Aa3 | 420 | 375,656 | ||||||
Notes | ||||||||||
4.25% | 05/15/13 | Aa2 | 1,080 | 1,027,372 | ||||||
Sr. Notes | ||||||||||
5.05% | 10/01/15 | Aa2 | 180 | 173,830 | ||||||
Sr. Unsec. Notes, M.T.N. | ||||||||||
5.85% | 01/16/18 | Aa2 | 1,660 | 1,670,871 | ||||||
AXA SA (France), | ||||||||||
Sub. Notes | ||||||||||
8.60% | 12/15/30 | A3 | 155 | 190,057 | ||||||
Berkshire Hathaway Finance Corp.,(b) | ||||||||||
Gtd. Notes | ||||||||||
4.75% | 05/15/12 | Aaa | 440 | 445,516 | ||||||
Liberty Mutual Group, Inc., | ||||||||||
Bonds, 144A | ||||||||||
7.00% | 03/15/34 | Baa2 | 850 | 828,988 | ||||||
Lincoln National Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.30% | 10/09/37 | A3 | 492 | 478,425 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Insurance (continued) | ||||||||||
Marsh & McLennan Cos., Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.15% | 09/15/10 | Baa2 | $ | 265 | $ | 264,704 | ||||
MetLife, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.70% | 06/15/35 | A2 | 1,020 | 931,414 | ||||||
6.125% | 12/01/11 | A2 | 335 | 347,383 | ||||||
6.375% | 06/15/34 | A2 | 400 | 395,014 | ||||||
St. Paul Travelers Cos., Inc. (The), | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.75% | 06/20/36 | A3 | 685 | 714,842 | ||||||
W.R. Berkley Corp., | ||||||||||
Sr. Notes | ||||||||||
5.60% | 05/15/15 | Baa2 | 555 | 537,565 | ||||||
6.15% | 08/15/19 | Baa2 | 460 | 445,165 | ||||||
XL Capital Ltd. (Cayman Islands), | ||||||||||
Sr. Notes | ||||||||||
5.25% | 09/15/14 | A3 | 85 | 82,656 | ||||||
8,909,458 | ||||||||||
Lodging | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.25% | 02/15/13 | Baa3 | 385 | 385,234 | ||||||
Media & Entertainment — 0.2% | ||||||||||
Chancellor Media Corp., | ||||||||||
Gtd. Notes | ||||||||||
8.00% | 11/01/08 | Baa3 | 575 | 594,313 | ||||||
Idearc, Inc.(h) | ||||||||||
Bank Loan | ||||||||||
6.83% | 11/17/14 | Ba2 | 1,485 | 1,412,775 | ||||||
News America, Inc., | ||||||||||
Gtd. Notes | ||||||||||
7.625% | 11/30/28 | Baa2 | 1,050 | 1,163,559 | ||||||
Time Warner, Inc., | ||||||||||
Debs. | ||||||||||
9.15% | 02/01/23 | Baa2 | 505 | 617,849 | ||||||
Gtd. Notes | ||||||||||
6.75% | 04/15/11 | Baa2 | 640 | 666,584 | ||||||
7.25% | 10/15/17 | Baa2 | 790 | 845,027 | ||||||
Viacom, Inc., | ||||||||||
Sr. Notes | ||||||||||
6.875% | 04/30/36 | Baa3 | 895 | 897,440 | ||||||
6,197,547 | ||||||||||
Metals — 0.1% | ||||||||||
Alcan, Inc. (Canada), | ||||||||||
Notes | ||||||||||
4.50% | 05/15/13 | A3 | 115 | 112,280 | ||||||
5.00% | 06/01/15 | A3 | 600 | 581,234 | ||||||
Alcoa, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.90% | 02/01/27 | Baa1 | 115 | 108,590 | ||||||
Peabody Energy Corp., | ||||||||||
Gtd. Notes | ||||||||||
7.375% | 11/01/16 | Ba1 | 1,200 | 1,230,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Metals (continued) | ||||||||||
Southern Copper Corp., | ||||||||||
Sr. Notes | ||||||||||
7.50% | 07/27/35 | Baa2 | $ | 125 | $ | 132,389 | ||||
United States Steel Corp., | ||||||||||
Sr. Unsub. Notes | ||||||||||
5.65% | 06/01/13 | Baa3 | 580 | 561,830 | ||||||
2,726,323 | ||||||||||
Non-Captive Finance — 0.3% | ||||||||||
Capital One Bank Corp., | ||||||||||
Sub. Notes | ||||||||||
6.50% | 06/13/13 | A3 | 20 | 19,618 | ||||||
Capital One Financial Corp., | ||||||||||
Sr. Notes, M.T.N. | ||||||||||
5.70% | 09/15/11 | A3 | 600 | 579,637 | ||||||
CIT Group Funding Co. (Canada), | ||||||||||
Gtd. Notes | ||||||||||
5.20% | 06/01/15 | A2 | 680 | 582,187 | ||||||
CIT Group, Inc., | ||||||||||
Sr. Notes | ||||||||||
4.25% | 02/01/10 | A2 | 400 | 384,863 | ||||||
Countrywide Financial Corp., | ||||||||||
Gtd. Notes, M.T.N. | ||||||||||
5.80% | 06/07/12 | Baa3 | 1,190 | 869,294 | ||||||
General Electric Capital Corp., | ||||||||||
Notes | ||||||||||
5.55% | 05/04/20 | Aaa | 1,190 | 1,223,765 | ||||||
Notes, M.T.N. | ||||||||||
4.875% | 10/21/10 | Aaa | 1,070 | 1,085,906 | ||||||
5.50%(b) | 04/28/11 | Aaa | 2,895 | 2,977,941 | ||||||
Notes, Ser. A, M.T.N | ||||||||||
6.125% | 02/22/11 | Aaa | 5 | 5,227 | ||||||
Sr. Unsec. Notes, M.T.N. | ||||||||||
5.625% | 09/15/17 | Aaa | 130 | 133,377 | ||||||
GMAC LLC,(g) | ||||||||||
Unsub. Notes | ||||||||||
6.1188% | 05/15/09 | Ba3 | 660 | 614,714 | ||||||
Household Finance Corp., | ||||||||||
Notes | ||||||||||
4.75% | 05/15/09 | Aa3 | 370 | 368,771 | ||||||
HSBC Finance Corp., | ||||||||||
Sr. Notes | ||||||||||
5.70% | 06/01/11 | Aa3 | 440 | 442,450 | ||||||
International Lease Finance Corp., | ||||||||||
Unsub. Notes | ||||||||||
3.50% | 04/01/09 | A1 | 580 | 570,080 | ||||||
Residential Capital LLC, | ||||||||||
Gtd. Notes | ||||||||||
7.50% | 02/22/11 | Ba3 | 410 | 255,225 | ||||||
7.875% | 06/30/10 | Ba3 | 480 | 307,200 | ||||||
8.00% | 04/17/13 | Ba3 | 950 | 584,250 | ||||||
11,004,505 | ||||||||||
Paper | ||||||||||
Plum Creek Timberlands LP, | ||||||||||
Gtd. Notes | ||||||||||
5.875% | 11/15/15 | Baa3 | 535 | 527,491 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
�� | ||||||||||
LONG-TERM BONDS (continued) | ||||||||||
Pipelines & Other — 0.2% | ||||||||||
Atmos Energy Corp., | ||||||||||
Notes | ||||||||||
4.00% | 10/15/09 | Baa3 | $ | 1,680 | $ | 1,655,398 | ||||
Duke Energy Field Services LLC, | ||||||||||
Notes | ||||||||||
7.875% | 08/16/10 | Baa2 | 1,760 | 1,887,968 | ||||||
Enterprise GP Holdings LP, | ||||||||||
Bank Loan(h) | ||||||||||
7.161% | 11/08/14 | Ba2 | 1,000 | 994,375 | ||||||
Gtd. Notes, Ser. B | ||||||||||
6.875% | 03/01/33 | Baa3 | 140 | 146,266 | ||||||
Sr. Notes | ||||||||||
4.625% | 10/15/09 | Baa3 | 740 | 738,836 | ||||||
Kinder Morgan, Inc.,(h) | ||||||||||
Bank Loan | ||||||||||
6.35% | 05/30/14 | Ba2 | 1,158 | 1,149,316 | ||||||
Oneok Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.51% | 02/16/08 | Baa2 | 1,290 | 1,289,205 | ||||||
Oneok Partners LP, | ||||||||||
Notes | ||||||||||
6.65% | 10/01/36 | Baa2 | 475 | 480,311 | ||||||
Sempra Energy, | ||||||||||
Sr. Unsec. Notes | ||||||||||
6.00% | 02/01/13 | Baa1 | 90 | 92,973 | ||||||
Spectra Energy Capital LLC, | ||||||||||
Sr. Unsub. Notes | ||||||||||
6.25% | 02/15/13 | Baa1 | 235 | 243,618 | ||||||
8,678,266 | ||||||||||
Railroads — 0.1% | ||||||||||
Burlington Northern Santa Fe Corp., | ||||||||||
Debs. | ||||||||||
6.70% | 08/01/28 | Baa1 | 670 | 697,466 | ||||||
CSX Corp., | ||||||||||
Sr. Notes | ||||||||||
6.25% | 03/15/18 | Baa3 | 395 | 397,017 | ||||||
Sr. Unsub. Notes | ||||||||||
6.15% | 05/01/37 | Baa3 | 715 | 668,183 | ||||||
Norfolk Southern Corp., | ||||||||||
Sr. Notes | ||||||||||
7.80% | 05/15/27 | Baa1 | 18 | 21,453 | ||||||
Sr. Unsec. Notes | ||||||||||
5.59% | 05/17/25 | Baa1 | 525 | 486,457 | ||||||
Union Pacific Corp., | ||||||||||
Notes | ||||||||||
3.625% | 06/01/10 | Baa2 | 1,375 | 1,335,329 | ||||||
6.625% | 02/01/08 | Baa2 | 1,390 | 1,391,114 | ||||||
6.65% | 01/15/11 | Baa2 | 750 | 779,688 | ||||||
5,776,707 | ||||||||||
Real Estate Investment Trusts — 0.1% | ||||||||||
Brandywine Operating Partners LP, | ||||||||||
Gtd. Notes | ||||||||||
5.75% | 04/01/12 | Baa3 | 1,295 | 1,281,936 | ||||||
Mack-Cali Realty LP, | ||||||||||
Notes | ||||||||||
7.25% | 03/15/09 | Baa2 | 1,270 | 1,304,175 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Real Estate Investment Trusts (continued) | ||||||||||
Post Apartment Homes LP, | ||||||||||
Notes | ||||||||||
6.30% | 06/01/13 | Baa3 | $ | 660 | $ | 692,661 | ||||
Sr. Notes | ||||||||||
5.45% | 06/01/12 | Baa3 | 435 | 441,746 | ||||||
Simon Property Group LP, | ||||||||||
Unsec. Notes | ||||||||||
5.75% | 05/01/12 | A3 | 1,500 | 1,508,973 | ||||||
5,229,491 | ||||||||||
Retailers — 0.2% | ||||||||||
CVS Caremark Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.75%(b) | 08/15/11 | Baa2 | 1,000 | 1,024,338 | ||||||
5.75% | 06/01/17 | Baa2 | 1,640 | 1,650,555 | ||||||
Federated Retail Holdings, Inc., | ||||||||||
Gtd. Notes | ||||||||||
5.35% | 03/15/12 | Baa2 | 850 | 828,152 | ||||||
5.90% | 12/01/16 | Baa2 | 5 | 4,709 | ||||||
Home Depot, Inc. (The), | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.875% | 12/16/36 | Baa1 | 325 | 274,268 | ||||||
May Department Stores Co. (The), | ||||||||||
Notes | ||||||||||
6.65% | 07/15/24 | Baa2 | 135 | 124,705 | ||||||
Wal-Mart Stores, Inc. (The), | ||||||||||
Bonds | ||||||||||
5.25% | 09/01/35 | Aa2 | 245 | 217,318 | ||||||
4,124,045 | ||||||||||
Structured Note — 0.1% | ||||||||||
CDX North America High Yield,(b) | ||||||||||
Gtd. Notes, Ser. 9-T1, 144A | ||||||||||
8.75% | 12/29/12 | B3 | 2,300 | 2,268,375 | ||||||
Technology — 0.3% | ||||||||||
Electronic Data Systems Corp., | ||||||||||
Notes | ||||||||||
7.45% | 10/15/29 | Ba1 | 120 | 123,121 | ||||||
First Data Corp.,(h) | ||||||||||
Bank Loan | ||||||||||
7.981% | 09/24/14 | Ba3 | 1,496 | 1,423,122 | ||||||
7.981% | 09/24/14 | Ba3 | 1,197 | 1,134,831 | ||||||
Fiserv, Inc., | ||||||||||
Gtd. Notes | ||||||||||
6.125% | 11/20/12 | Baa2 | 1,000 | 1,017,799 | ||||||
Flextronics International Ltd. (Singapore),(h) | ||||||||||
Bank Loans | ||||||||||
7.234% | 10/01/14 | Ba1 | 289 | 282,217 | ||||||
7.474% | 10/01/14 | Ba1 | 1,007 | 982,264 | ||||||
Freescale Semiconductor, Inc., | ||||||||||
Sr. Notes | ||||||||||
8.875% | 12/15/14 | B2 | 550 | 490,875 | ||||||
International Business Machines Corp., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.70% | 09/14/17 | A1 | 500 | 516,881 | ||||||
Intuit, Inc., | ||||||||||
Sr. Unsec. Notes | ||||||||||
5.40% | 03/15/12 | Baa2 | 600 | 609,392 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Technology (continued) | ||||||||||
Jabil Circuit, Inc., | ||||||||||
Sr. Notes | ||||||||||
5.875% | 07/15/10 | Ba1 | $ | 1,875 | $ | 1,897,388 | ||||
Metavante Corp.,(h) | ||||||||||
Bank Loan | ||||||||||
6.644% | 11/01/14 | Ba2 | 1,000 | 971,875 | ||||||
Motorola, Inc., | ||||||||||
Sr. Notes | ||||||||||
8.00% | 11/01/11 | Baa1 | 99 | 106,718 | ||||||
9,556,483 | ||||||||||
Telecommunications — 0.7% | ||||||||||
America Movil SAB de CV (Mexico), | ||||||||||
Unsec. Notes | ||||||||||
6.375% | 03/01/35 | A3 | 580 | 573,516 | ||||||
AT&T Corp., | ||||||||||
Sr. Notes | ||||||||||
8.00% | 11/15/31 | A2 | 2,035 | 2,499,128 | ||||||
AT&T Wireless Services, Inc., | ||||||||||
Notes | ||||||||||
8.125% | 05/01/12 | A2 | 640 | 711,628 | ||||||
Sr. Notes | ||||||||||
8.75% | 03/01/31 | A3 | 1,339 | 1,735,321 | ||||||
AT&T, Inc., | ||||||||||
Notes | ||||||||||
4.125% | 09/15/09 | A2 | 1,070 | 1,063,196 | ||||||
5.30% | 11/15/10 | A2 | 1,260 | 1,282,393 | ||||||
BellSouth Corp., | ||||||||||
Notes | ||||||||||
4.20% | 09/15/09 | A2 | 1,175 | 1,168,005 | ||||||
British Telecom PLC (United Kingdom),(b) | ||||||||||
Bonds | ||||||||||
9.125% | 12/15/30 | Baa1 | 1,475 | 1,952,347 | ||||||
Cingular Wireless LLC, | ||||||||||
Sr. Notes | ||||||||||
7.125% | 12/15/31 | A3 | 505 | 557,334 | ||||||
Deutsche Telekom International Finance BV (Netherlands), | ||||||||||
Gtd. Notes | ||||||||||
8.25% | 06/15/30 | A3 | 295 | 368,087 | ||||||
Embarq Corp., | ||||||||||
Notes | ||||||||||
7.082% | 06/01/16 | Baa3 | 350 | 360,633 | ||||||
7.995% | 06/01/36 | Baa3 | 1,600 | 1,686,138 | ||||||
France Telecom SA (France), | ||||||||||
Notes | ||||||||||
8.50% | 03/01/31 | A3 | 375 | 486,246 | ||||||
Koninklijke (Royal) KPN NV (Netherlands), | ||||||||||
Sr. Unsub. Notes | ||||||||||
8.00% | 10/01/10 | Baa2 | 530 | 568,407 | ||||||
Nextel Communications, Inc.,(b) | ||||||||||
Sr. Notes, Ser. F | ||||||||||
5.95% | 03/15/14 | Baa3 | 1,160 | 1,090,364 | ||||||
PCCW-HKT Capital Ltd., | ||||||||||
Gtd. Notes, 144A | ||||||||||
8.00% | 11/15/11 | Baa2 | 2,370 | 2,604,667 | ||||||
Qwest Corp., | ||||||||||
Notes | ||||||||||
8.875% | 03/15/12 | Ba1 | 2,000 | 2,140,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Telecommunications (continued) | ||||||||||
Telecom Italia Capital SA (Italy), | ||||||||||
Gtd. Notes | ||||||||||
5.25% | 11/15/13 | Baa2 | $ | 320 | $ | 316,266 | ||||
Telefonica Emisiones SAU (Spain), | ||||||||||
Gtd. Notes | ||||||||||
7.045% | 06/20/36 | Baa1 | 210 | 234,735 | ||||||
TELUS Corp. (Canada), | ||||||||||
Notes | ||||||||||
8.00% | 06/01/11 | Baa1 | 1,255 | 1,359,754 | ||||||
U.S. Cellular Corp., | ||||||||||
6.70% | 12/15/33 | Baa3 | 470 | 431,656 | ||||||
Vodafone Group PLC (United Kingdom), | ||||||||||
Sr. Notes | ||||||||||
7.75% | 02/15/10 | Baa1 | 800 | 843,911 | ||||||
Unsec. Notes(b) | ||||||||||
6.15% | 02/27/37 | Baa1 | 485 | 478,996 | ||||||
24,512,728 | ||||||||||
Tobacco | ||||||||||
Altria Group, Inc., | ||||||||||
Debs. | ||||||||||
7.75% | 01/15/27 | Baa1 | 7 | 9,019 | ||||||
Notes | ||||||||||
7.65% | 07/01/08 | Baa1 | 590 | 599,482 | ||||||
Reynolds American, Inc., | ||||||||||
Bonds | ||||||||||
6.75% | 06/15/17 | Ba1 | 950 | 967,596 | ||||||
7.25% | 06/15/37 | Ba1 | 410 | 414,379 | ||||||
1,990,476 | ||||||||||
Foreign Government Bonds — 0.4% | ||||||||||
DP World Ltd., | ||||||||||
Bonds, 144A | ||||||||||
6.85% | 07/02/37 | A1 | 1,680 | 1,597,082 | ||||||
Gaz Capital for Gazprom (Luxembourg), | ||||||||||
Sr. Unsec. Notes, 144A | ||||||||||
7.288% | 08/16/37 | A3 | 1,300 | 1,312,090 | ||||||
Pemex Project Funding Master Trust (Mexico), | ||||||||||
Gtd. Notes | ||||||||||
8.625% | 12/01/23 | Baa1 | 350 | 435,313 | ||||||
Petrobras International Finance Co. (Cayman Islands), | ||||||||||
Bonds | ||||||||||
8.375% | 12/10/18 | Baa1 | 1,185 | 1,410,150 | ||||||
Quebec Province (Canada), | ||||||||||
Notes(b) | ||||||||||
4.60% | 05/26/15 | Aa2 | 735 | 734,330 | ||||||
Sr. Unsec. Notes | ||||||||||
5.75% | 02/15/09 | Aa2 | 500 | 509,060 | ||||||
Republic of Italy (Italy), | ||||||||||
Notes | ||||||||||
5.375% | 06/15/33 | A+(f) | 800 | 820,520 | ||||||
RSHB Capital SA for OJSC Russian Agricultural Bank (Russia), | ||||||||||
Bonds, 144A | ||||||||||
6.299% | 05/15/17 | A3 | 2,190 | 2,075,024 |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Moody’s | Principal | Value | ||||||
LONG-TERM BONDS (continued) | ||||||||||
Foreign Government Bonds (continued) | ||||||||||
United Mexican States Global Bond (Mexico), | ||||||||||
Notes | ||||||||||
5.875% | 01/15/14 | Baa1 | $ | 4,245 | $ | 4,414,800 | ||||
7.50% | 01/14/12 | Baa1 | 1,290 | 1,416,420 | ||||||
14,724,789 | ||||||||||
Mortgage Backed Securities — 11.6% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
4.50% | 02/01/19-07/01/20 | 6,403 | 6,292,932 | |||||||
5.00% | 07/01/18-05/01/34 | 10,856 | 10,789,796 | |||||||
5.238%(g) | 12/01/35 | 3,422 | 3,428,138 | |||||||
5.50% | 12/01/33-06/01/34 | 9,105 | 9,096,982 | |||||||
5.50% | TBA 30 YR | 41,000 | 40,910,292 | |||||||
6.00% | 03/01/32-12/01/33 | 3,338 | 3,403,359 | |||||||
6.00% | TBA 30 YR | 22,000 | 22,323,136 | |||||||
6.50% | 12/01/14 | 379 | 392,440 | |||||||
7.00% | 01/01/31-11/01/33 | 4,307 | 4,518,789 | |||||||
Federal National Mortgage Assn., | ||||||||||
4.00% | 06/01/19 | 1,960 | 1,880,429 | |||||||
4.50% | 11/01/18-01/01/35 | 13,604 | 13,231,990 | |||||||
4.366%(g) | 11/01/35 | 4,193 | 4,181,711 | |||||||
4.96%(g) | 07/01/33 | 1,054 | 1,060,106 | |||||||
5.00% | 10/01/18-05/01/37 | 10,394 | 10,218,970 | |||||||
5.00% | TBA 30 YR | 55,500 | 54,147,187 | |||||||
5.50% | 03/01/16-04/01/37 | 67,775 | 67,830,137 | |||||||
5.50% | TBA 15 YR | 20,500 | 20,762,646 | |||||||
5.50% | TBA 30 YR | 50,000 | 49,937,500 | |||||||
5.914%(g) | 06/01/37 | 13,016 | 13,252,742 | |||||||
6.00% | 04/01/13-09/01/36 | 25,757 | 26,227,631 | |||||||
6.00% | TBA 30 YR | 12,000 | 12,183,744 | |||||||
6.50% | 07/01/17-09/01/37 | 13,918 | 14,327,436 | |||||||
7.00% | 08/01/11-07/01/32 | 1,147 | 1,206,807 | |||||||
7.50% | 06/01/12-05/01/32 | 901 | 943,780 | |||||||
Government National Mortgage Assn., | ||||||||||
5.50% | 11/15/32-02/15/36 | 13,800 | 13,906,440 | |||||||
6.00% | 02/15/33-08/15/37 | 8,149 | 8,346,705 | |||||||
6.00% | TBA 30 YR | 11,000 | 11,261,250 | |||||||
6.50% | 10/15/23-07/15/35 | 6,118 | 6,347,256 | |||||||
8.00% | 01/15/24-04/15/25 | 228 | 246,395 | |||||||
432,656,726 | ||||||||||
U.S. Government Agency Obligations — 1.6% | ||||||||||
Federal Farm Credit Bank, | ||||||||||
4.75% | 05/07/10 | 415 | 425,680 | |||||||
4.875% | 01/17/17 | 855 | 877,121 | |||||||
Federal Home Loan Bank, | ||||||||||
3.625% | 12/17/10 | 320 | 320,042 | |||||||
4.375% | 10/03/08 | 8,140 | 8,136,653 | |||||||
4.50% | 10/09/09-05/13/11 | 5,060 | 5,139,694 | |||||||
4.75% | 06/11/08-04/24/09 | 13,660 | 13,724,159 | |||||||
5.00% | 10/16/09 | 14,165 | 14,251,193 | |||||||
Federal Home Loan Mortgage Corp., | ||||||||||
4.75% | 01/18/11 | 325 | 335,425 | |||||||
5.125%(b) | 11/17/17 | 6,850 | 7,147,571 | |||||||
5.25% | 07/18/11 | 4,300 | 4,518,758 |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest | Maturity | Principal | Value | |||||
LONG-TERM BONDS (continued) | ||||||||
U.S. Government Agency Obligations (continued) | ||||||||
Federal National Mortgage Assn., | ||||||||
5.00% | 03/15/16 | $ | 2,505 | $ | 2,617,735 | |||
6.125% | 03/15/12 | 1,275 | 1,385,208 | |||||
58,879,239 | ||||||||
U.S. Government Treasury Obligations — 2.4% | ||||||||
United States Treasury Bonds, | ||||||||
4.75%(b) | 02/15/37 | 9,981 | 10,445,734 | |||||
6.625% | 02/15/27 | 1,155 | 1,465,858 | |||||
6.875% | 08/15/25 | 545 | 700,751 | |||||
7.875%(b) | 02/15/21 | 2,290 | 3,080,050 | |||||
8.125%(b) | 08/15/21 | 3,665 | 5,048,252 | |||||
8.75% | 08/15/20 | 1,270 | 1,808,262 | |||||
8.875%(b) | 08/15/17 | 5,505 | 7,574,538 | |||||
9.00% | 11/15/18 | 987 | 1,395,525 | |||||
9.125% | 05/15/18 | 730 | 1,032,323 | |||||
United States Treasury Inflation Index Bonds, | ||||||||
0.875%(b) | 04/15/10 | 2,018 | 2,011,363 | |||||
1.625% | 01/15/15 | 1,439 | 1,444,526 | |||||
1.875% | 07/15/13-07/15/15 | 2,787 | 2,858,290 | |||||
2.00%(b) | 01/15/14-01/15/26 | 6,742 | 6,865,245 | |||||
2.375% | 04/15/11-01/15/27 | 4,006 | 4,204,691 | |||||
2.50% | 07/15/16 | 1,216 | 1,296,269 | |||||
2.625% | 07/15/17 | 534 | 576,454 | |||||
3.00% | 07/15/12 | 1,644 | 1,780,732 | |||||
3.375% | 01/15/12-04/15/32 | 853 | 1,004,461 | |||||
3.50% | 01/15/11 | 846 | 910,142 | |||||
3.625% | 04/15/28 | 1,272 | 1,611,889 | |||||
3.875% | 01/15/09-04/15/29 | 2,614 | 3,120,668 | |||||
4.25% | 01/15/10 | 820 | 874,505 | |||||
United States Treasury Notes, | ||||||||
4.25% | 11/15/17 | 650 | 661,324 | |||||
4.75% | 02/15/10 | 520 | 537,956 | |||||
4.875%(b) | 08/15/16 | 15,710 | 16,728,698 | |||||
United States Treasury Strips, I/O, | ||||||||
Zero | 11/15/18-05/15/20 | 18,435 | 11,038,894 | |||||
90,077,400 | ||||||||
TOTAL LONG-TERM BONDS | 1,018,999,123 | |||||||
TOTAL LONG-TERM INVESTMENTS | 3,417,350,320 | |||||||
SHORT-TERM INVESTMENTS — 22.5% | ||||||||
U.S. Government Treasury Obligation — 0.2% | ||||||||
United States Treasury Bill(e) | 03/20/08 | 7,500 | 7,448,813 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Shares | Value | |||||
Affiliated Mutual Funds — 22.3% | ||||||
Dryden Core Investment Fund — Short-Term Bond Series(d) | 17,757,821 | $ | 167,633,826 | |||
Dryden Core Investment Fund — Taxable Money Market Series | 660,990,589 | 660,990,589 | ||||
TOTAL AFFILIATED MUTUAL FUNDS | 828,624,415 | |||||
TOTAL SHORT-TERM INVESTMENTS | 836,073,228 | |||||
TOTAL INVESTMENTS — 114.5% | 4,253,423,548 | |||||
LIABILITIES IN EXCESS OF OTHER | (537,099,684 | ) | ||||
TOTAL NET ASSETS — 100.0% | $ | 3,716,323,864 | ||||
The following abbreviations are used in portfolio descriptions:
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. | |
I/O | Interest Only | |
M.T.N. | Medium Term Note | |
TBA | To Be Announced |
(a) | Non income-producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $327,959,761; cash collateral of $339,524,711 (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 the Dryden Core Investment Fund–Taxable Money Market Series and the Dryden Core Investment Fund–Short-Term Bond Series. |
(e) | Security segregated as collateral for futures contracts. |
(f) | Standard & Poor’s rating. |
(g) | Indicates a variable rate security. |
(h) | Indicates a security that has been deemed illiquid. |
(i) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures, interest rate and credit default swap agreements as follows: |
Open futures contracts outstanding at December 31, 2007:
Number of Contracts | Type | Expiration Date | Value at December 31, 2007 | Value at Trade Date | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
44 | 2-Yr. U.S. T-Notes | Mar. 08 | $ | 9,251,000 | $ | 9,222,007 | $ | 28,993 | ||||||
1,043 | 5-Yr. U.S. T-Notes | Mar. 08 | 115,023,344 | 114,858,697 | 164,647 | |||||||||
96 | 10-Yr. U.S. T-Notes | Mar. 08 | 10,885,500 | 10,849,938 | 35,562 | |||||||||
250 | S&P 500 Index | Mar. 08 | 92,325,000 | 93,280,754 | (955,754 | ) | ||||||||
228 | U.S. Long Bond | Mar. 08 | 26,533,500 | 26,545,011 | (11,511 | ) | ||||||||
$ | (738,063 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest rate swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized Appreciation (Depreciation) | |||||||||
Merrill Lynch Capital Services, Inc.(a) | 08/14/2012 | $ | 6,850 | 5.20857 | % | 3 month LIBOR | $ | 393,694 | ||||||
Morgan Stanley Capital Services, Inc.(a) | 09/12/2012 | 3,660 | 4.7357 | % | 3 month LIBOR | 131,134 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 09/25/2012 | 3,700 | 4.94079 | % | 3 month LIBOR | 168,621 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 10/23/2012 | 4,880 | 4.7945 | % | 3 month LIBOR | 128,269 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 12/07/2012 | 3,500 | 4.15033 | % | 3 month LIBOR | 2,760 | ||||||||
Morgan Stanley Capital Services, Inc.(a) | 12/13/2012 | 3,900 | 4.34666 | % | 3 month LIBOR | 34,422 | ||||||||
Merrill Lynch Capital Services, Inc.(b) | 12/14/2012 | 5,125 | 4.35284 | % | 3 month LIBOR | (49,345 | ) | |||||||
Morgan Stanley Capital Services, Inc.(b) | 12/11/2037 | 1,775 | 5.08438 | % | 3 month LIBOR | (21,387 | ) | |||||||
Merrill Lynch Capital Services, Inc.(b) | 12/11/2037 | 4,240 | 5.08938 | % | 3 month LIBOR | (65,545 | ) | |||||||
$ | 722,623 | |||||||||||||
(a) | The Portfolio pays the floating rate and receives the fixed rate. |
(b) | The Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Reference Entity/Obligation | Unrealized Appreciation (Depreciation) | |||||||||
JPMorgan Chase Bank(a) | 06/20/2012 | $ | 3,500 | 0.30 | % | PPG Industries, Inc., 7.05%, 08/15/09 | $ | 1,425 | ||||||
Citibank NA(a) | 09/20/2012 | 3,200 | 0.32 | % | Altria Group, Inc., 7.00%, 11/04/13 | (1,398 | ) | |||||||
Morgan Stanley Capital Services, Inc.(a) | 09/20/2012 | 2,700 | 0.45 | % | Sara Lee Corp., 6.125%, 11/01/32 | (16,477 | ) | |||||||
Barclays Bank PLC(a) | 09/20/2012 | 2,900 | 0.595 | % | Fortune Brands, Inc., 6.25%, 04/01/08 | 26,861 | ||||||||
JPMorgan Chase Bank(a) | 09/20/2012 | 2,275 | 1.52 | % | Residential Capital LLC, 6.50%, 04/17/13 | 1,071,294 | ||||||||
JPMorgan Chase Bank(a) | 06/20/2014 | 1,150 | 0.65 | % | Bunge Ltd. Finance Corp., 5.35%, 04/15/14 | (795 | ) | |||||||
Credit Suisse International(a) | 09/20/2017 | 3,000 | 0.99 | % | Gannett Co., Inc., 6.375%, 04/01/12 | 21,804 | ||||||||
Barclays Bank PLC(a) | 09/25/2035 | 1,000 | 3.35 | % | Accredited Mortgage Loan Trust, Ser. 2005-3, Class M9, 7.02%, 09/25/35 | 460,932 | ||||||||
Merrill Lynch Capital Services(b) | 03/25/2036 | 1,000 | 3.72 | % | Ameriquest Mortgage Securities, Inc., Ser. 2006-R1, Class M9 7.82%, 03/25/36 | 744,827 | ||||||||
Merrill Lynch Capital Services(a) | 03/25/2036 | 1,000 | 9.00 | % | AmeriQuest Mortgage Securities, Inc., Ser. 2006-R1, Class M9, 7.82%, 03/25/36 | (654,500 | ) | |||||||
Citibank, NA(a) | 03/25/2035 | 1,000 | 3.00 | % | Centex Home Equity, Ser. 2005-B, Class MB, 6.215%, 03/25/35 | (1,250 | ) | |||||||
Citibank, NA(a) | 03/25/2035 | 1,000 | 3.00 | % | Morgan Stanley ABS Capital I, Ser. 2005-HE2, Class B3, 6.765%, 01/25/35 | (1,500 | ) | |||||||
$ | 1,651,223 | |||||||||||||
(a) | The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults. |
(b) | The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults. |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 was as follows:
Affiliated Money Market Mutual Funds (including 9.1% of collateral received for securities on loan | 22.3 | % | |
Mortgage Backed Securities | 11.6 | ||
Oil, Gas & Consumable Fuels | 6.8 | ||
Pharmaceuticals | 3.9 | ||
Commercial Mortgage Backed Securities | 3.5 | ||
Insurance | 3.5 | ||
Commercial Banks | 2.6 | ||
Computers & Peripherals | 2.6 | ||
Software | 2.6 | ||
U.S. Government Treasury Obligations | 2.6 | ||
Capital Markets | 2.5 | ||
Diversified Financial Services | 2.5 | ||
Diversified Telecommunication Services | 2.4 | ||
Aerospace & Defense | 2.2 | ||
Industrial Conglomerates | 2.1 | ||
Media | 2.1 | ||
Healthcare Providers & Services | 1.8 | ||
U.S. Government Agency Obligations | 1.6 | ||
Beverages | 1.5 | ||
Food & Staples Retailing | 1.4 | ||
Household Products | 1.4 | ||
Metals & Mining | 1.4 | ||
Semiconductors & Semiconductor Equipment | 1.4 | ||
Communications Equipment | 1.3 | ||
Electric Utilities | 1.3 | ||
Healthcare Equipment & Supplies | 1.1 | ||
Hotels, Restaurants & Leisure | 1.1 | ||
Specialty Retail | 1.1 | ||
Chemicals | 1.0 | ||
Energy Equipment & Services | 1.0 | ||
Machinery | 1.0 | ||
Electrical Equipment | 0.9 | ||
Food Products | 0.9 | ||
Tobacco | 0.9 | ||
Internet Software & Services | 0.8 | ||
Asset Backed Securities | 0.7 | ||
Electric | 0.7 | ||
Telecommunications | 0.7 | ||
Banking | 0.6 | ||
Biotechnology | 0.6 | ||
Automobiles | 0.5 | ||
Electronic Equipment & Instruments | 0.5 | ||
Foods | 0.5 | ||
Healthcare & Pharmaceutical | 0.5 | ||
IT Services | 0.5 | ||
Real Estate Investment Trusts | 0.5 | ||
Wireless Telecommunication Services | 0.5 | ||
Brokerage | 0.4 | ||
Collateralized Mortgage Obligations | 0.4 | ||
Commercial Services & Supplies | 0.4 | ||
Foreign Government Bonds | 0.4 | ||
Independent Power Producers & Energy Traders | 0.4 | ||
Life Sciences, Tools & Services | 0.4 | ||
Multi-Utilities | 0.4 | ||
Office Electronics | 0.4 | ||
Capital Goods | 0.3 | ||
Household Durables | 0.3 | ||
Non Captive Finance | 0.3 | ||
Technology | 0.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Textiles, Apparel & Luxury Goods | 0.3 | % | |
Thrifts & Mortgage Finance | 0.3 | ||
Air Freight & Logistics | 0.2 | ||
Airlines | 0.2 | ||
Cable | 0.2 | ||
Containers & Packaging | 0.2 | ||
Energy – Other | 0.2 | ||
Healthcare Insurance | 0.2 | ||
Media & Entertainment | 0.2 | ||
Multiline Retail | 0.2 | ||
Paper & Forest Products | 0.2 | ||
Pipelines & Other | 0.2 | ||
Retailers | 0.2 | ||
Road & Rail | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Auto Components | 0.1 | ||
Automotive | 0.1 | ||
Building Materials & Construction | 0.1 | ||
Building Products | 0.1 | ||
Construction & Engineering | 0.1 | ||
Construction Materials | 0.1 | ||
Consumer Finance | 0.1 | ||
Energy – Integrated | 0.1 | ||
Leisure Equipment & Products | 0.1 | ||
Marine | 0.1 | ||
Metals | 0.1 | ||
Railroads | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Structured Note | 0.1 | ||
114.5 | |||
Liabilities in excess of other assets | (14.5 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments, at value including securities on loan of $327,959,761: | |||
Unaffiliated investments (cost $3,129,694,981) | $ | 3,424,799,133 | |
Affiliated investments (cost $838,214,760) | 828,624,415 | ||
Foreign currency, at value (cost $24,896) | 25,132 | ||
Receivable for investments sold | 55,537,930 | ||
Dividends and interest receivable | 12,270,196 | ||
Unrealized appreciation on swaps | 3,186,043 | ||
Premium for swaps purchased | 590,000 | ||
Foreign tax reclaim receivable | 351,180 | ||
Receivable for Series shares sold | 228,207 | ||
Due from broker—variation margin | 2,327 | ||
Prepaid expenses | 41,439 | ||
Total Assets | 4,325,656,002 | ||
LIABILITIES | |||
Collateral for securities on loan | 339,524,711 | ||
Payable for investments purchased | 266,467,119 | ||
Management fee payable | 1,892,636 | ||
Unrealized depreciation on swaps | 812,197 | ||
Accrued expenses and other liabilities | 421,046 | ||
Payable for Series shares repurchased | 203,469 | ||
Payable to custodian | 10,330 | ||
Transfer agent fee payable | 630 | ||
Total Liabilities | 609,332,138 | ||
NET ASSETS | $ | 3,716,323,864 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 3,098,697,814 | |
Retained earnings | 617,626,050 | ||
Net assets, December 31, 2007 | $ | 3,716,323,864 | |
Net asset value and redemption price per share, | $ | 18.30 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,041,084) | $ | 50,986,587 | ||
Unaffiliated Interest | 39,419,396 | |||
Affiliated dividend income | 27,564,769 | |||
Affiliated income from securities loaned, net | 899,705 | |||
118,870,457 | ||||
EXPENSES | ||||
Management fee | 22,616,106 | |||
Custodian’s fees and expenses | 600,000 | |||
Shareholders’ reports | 180,000 | |||
Insurance expenses | 102,000 | |||
Trustees’ fees | 58,000 | |||
Interest expense | 32,816 | |||
Audit fee | 24,000 | |||
Legal fees and expenses | 18,000 | |||
Commitment fee on syndicated credit agreement | 12,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $3,000) (Note 4) | 3,000 | |||
Miscellaneous | 30,852 | |||
Total expenses | 23,676,774 | |||
NET INVESTMENT INCOME | 95,193,683 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 236,563,126 | |||
Futures transactions | 15,655,198 | |||
Swap agreement transactions | 7,447,348 | |||
Short sale transactions | (1,182,871 | ) | ||
Written options transactions | (80,697 | ) | ||
Foreign currency transactions | (21,990 | ) | ||
258,380,114 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (125,723,550 | ) | ||
Futures | 668,156 | |||
Swaps | 2,396,211 | |||
Foreign currencies | 16,009 | |||
(122,643,174 | ) | |||
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | 135,736,940 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 230,930,623 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 95,193,683 | $ | 88,775,653 | ||||
Net realized gain on investment, swap and foreign currency transactions | 258,380,114 | 142,489,644 | ||||||
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | (122,643,174 | ) | 186,244,474 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 230,930,623 | 417,509,771 | ||||||
DISTRIBUTIONS | (231,155,961 | ) | (122,314,562 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [986,911 and 1,352,364 shares, respectively] | 18,632,642 | 23,240,485 | ||||||
Series shares issued in reinvestment of distributions [12,679,976 and 7,199,209 shares, respectively] | 231,155,961 | 122,314,562 | ||||||
Series shares repurchased [13,414,705 and 15,165,926 shares, respectively] | (256,790,391 | ) | (261,128,310 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (7,001,788 | ) | (115,573,263 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,227,126 | ) | 179,621,946 | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,723,550,990 | 3,543,929,044 | ||||||
End of year | $ | 3,716,323,864 | $ | 3,723,550,990 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 96.3% COMMON STOCKS | Shares | Value (Note 2) | |||
Australia — 3.4% | |||||
AWB Ltd. | 271,500 | $ | 694,230 | ||
BHP Billiton Ltd. | 88,300 | 3,086,794 | |||
BlueScope Steel Ltd. | 218,400 | 1,833,311 | |||
Commonwealth Bank of Australia | 25,700 | 1,325,061 | |||
CSR Ltd. | 173,200 | 468,999 | |||
Macquarie Bank Ltd. | 45,200 | 3,024,208 | |||
OneSteel Ltd. | 100,400 | 538,469 | |||
Pacific Brands Ltd. | 460,600 | 1,308,071 | |||
QBE Insurance Group Ltd. | 110,000 | 3,193,605 | |||
Quantas Airways Ltd. | 582,700 | 2,768,605 | |||
Santos Ltd. | 82,000 | 1,007,635 | |||
Telstra Corp. Ltd. | 341,300 | 1,398,688 | |||
Toll Holdings Ltd. | 185,900 | 1,856,047 | |||
Woolworths Ltd. | 205,300 | 6,088,380 | |||
WorleyParsons Ltd. | 86,100 | 3,878,752 | |||
Zinifex Ltd. | 84,000 | 901,045 | |||
33,371,900 | |||||
Austria — 0.2% | |||||
Raiffeisen International Bank Holding AG | 11,858 | 1,796,115 | |||
Voestalpine AG | 9,500 | 686,836 | |||
2,482,951 | |||||
Belgium — 0.7% | |||||
AGFA-Gevaert NV | 62,200 | 953,957 | |||
Fortis | 74,100 | 1,951,169 | |||
InBev NV | 44,000 | 3,666,827 | |||
6,571,953 | |||||
Bermuda — 0.6% | |||||
Covidien Ltd. | 52,300 | 2,316,367 | |||
Tyco Electronics Ltd. | 50,200 | 1,863,926 | |||
Tyco International Ltd. | 55,000 | 2,180,750 | |||
6,361,043 | |||||
Brazil — 1.8% | |||||
Bolsa de Mercadorias e Futuros — BM&F | 19,600 | 275,281 | |||
Bovespa Holding SA | 86,900 | 1,674,534 | |||
Cia Vale do Rio Doce, ADR(b) | 153,600 | 5,018,112 | |||
Net Servicos de Comunicacao SA(a) | 99,500 | 1,213,006 | |||
Petroleo Brasileiro SA, ADR (Common Shares) | 65,553 | 7,554,327 | |||
Petroleo Brasilerio SA, ADR (Preference Shares)(b) | 16,300 | 1,568,386 | |||
17,303,646 | |||||
Canada — 1.5% | |||||
AbitibiBowater, Inc.(b) | 24,200 | 498,762 | |||
Agnico-Eagle Mines Ltd. | 51,189 | 2,796,455 | |||
Brookfield Asset Management, Inc. (Class A Stock) | 76,100 | 2,733,416 | |||
Research In Motion Ltd.(a) | 18,500 | 2,097,900 | |||
Rogers Communications, Inc. | 83,000 | 3,783,546 | |||
Shoppers Drug Mart Corp. | 46,600 | 2,514,733 | |||
14,424,812 | |||||
Chile — 0.1% | |||||
Cencosud SA, ADR, 144A | 21,600 | 1,303,938 | |||
China — 1.3% | |||||
China Communications Construction Co. Ltd. (Class H Stock) | 1,023,600 | 2,646,291 | |||
China Merchants Bank Co. Ltd. (Class H Stock) | 264,500 | 1,064,151 | |||
China Oilfield Services Ltd. (Class H Stock) | 528,000 | 1,179,182 |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
China (continued) | |||||
Country Garden Holdings Co. Ltd.(a) | 545,000 | $ | 621,046 | ||
Industrial & Commercial Bank of China | 9,354,000 | 6,640,394 | |||
Shandong Weigao Group Medical Polymer Co. Ltd. (Class H Stock) | 412,000 | 943,565 | |||
13,094,629 | |||||
Denmark — 0.4% | |||||
Danske Bank A/S | 36,600 | 1,433,486 | |||
H Lundbeck A/S | 78,800 | 2,132,214 | |||
3,565,700 | |||||
Egypt — 0.3% | |||||
Egyptian Financial Group — Hermes Holding Co. | 228,300 | 2,730,288 | |||
Finland — 0.6% | |||||
Nokia Oyj | 83,400 | 3,233,722 | |||
Rautaruukki Oyj | 31,500 | 1,365,520 | |||
Tietoenator Oyj | 56,200 | 1,262,090 | |||
5,861,332 | |||||
France — 6.0% | |||||
Arkema(a) | 530 | 34,823 | |||
AXA SA | 63,500 | 2,542,897 | |||
BNP Paribas | 41,600 | 4,514,163 | |||
Cie Generale D’Optique Essilor International SA | 39,800 | 2,539,980 | |||
Ciments Francais SA | 5,200 | 894,911 | |||
Compagnie Generale des Etablissements Michelin (Class B Stock) | 20,200 | 2,318,377 | |||
Credit Agricole SA | 41,000 | 1,382,912 | |||
Eurazeo | 14,152 | 1,815,632 | |||
Iliad SA | 14,500 | 1,560,302 | |||
L’Oreal SA | 39,200 | 5,615,474 | |||
Natixis | 57,000 | 1,095,048 | |||
Peugeot SA | 33,400 | 2,531,968 | |||
Rallye SA | 13,400 | 950,188 | |||
Renault SA | 11,800 | 1,673,638 | |||
Sanofi-Aventis SA | 51,500 | 4,742,123 | |||
Schneider Electric SA | 42,700 | 5,785,979 | |||
Societe Generale | 5,300 | 766,596 | |||
Thales SA | 13,700 | 816,227 | |||
Thomson | 80,000 | 1,138,062 | |||
Total SA | 29,100 | 2,417,874 | |||
Total SA, ADR | 75,400 | 6,228,039 | |||
Valeo SA | 30,700 | 1,265,757 | |||
Veolia Environnement | 56,275 | 5,138,199 | |||
Vivendi | 38,000 | 1,743,410 | |||
59,512,579 | |||||
Germany — 3.6% | |||||
BASF AG | 39,300 | 5,818,264 | |||
Beiersdorf AG | 34,600 | 2,674,535 | |||
Daimler AG | 31,900 | 3,087,999 | |||
Deutsche Bank AG | 30,000 | 3,924,734 | |||
Deutsche Boerse AG | 25,600 | 5,052,853 | |||
Hannover Rueckversicherung AG | 25,500 | 1,182,223 | |||
Heidelberger Druckmaschinen AG | 61,200 | 2,063,354 | |||
Muenchener Rueckversicherungs AG | 13,900 | 2,699,848 | |||
Q-Cells AG(a) | 20,700 | 2,961,380 | |||
ThyssenKrupp AG | 60,200 | 3,376,277 | |||
TUI AG(a) | 26,800 | 751,138 | |||
Volkswagen AG | 6,600 | 1,509,478 | |||
35,102,083 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Greece — 0.3% | |||||
National Bank of Greece SA, ADR(b) | 202,800 | $ | 2,796,612 | ||
Hong Kong — 2.0% | |||||
Chaoda Modern Agriculture | 1,218,645 | 1,090,243 | |||
China Mobile Ltd. | 407,500 | 7,096,411 | |||
China Mobile Ltd., ADR(b) | 7,200 | 625,464 | |||
Citic Pacific Ltd. | 523,500 | 2,894,239 | |||
Esprit Holdings Ltd. | 212,000 | 3,121,756 | |||
HongKong Electric Holdings | 312,500 | 1,788,383 | |||
Li & Fung Ltd. | 749,600 | 2,988,447 | |||
19,604,943 | |||||
India — 0.3% | |||||
HDFC Bank Ltd., ADR | 22,000 | 2,869,900 | |||
Indonesia — 0.1% | |||||
Bank Rakyat Indonesia | 1,818,500 | 1,413,639 | |||
Ireland — 0.3% | |||||
Allied Irish Banks PLC | 77,300 | 1,771,084 | |||
Irish Life & Permanent PLC | 86,900 | 1,513,194 | |||
3,284,278 | |||||
Italy — 1.7% | |||||
ENI SpA | 121,400 | 4,446,204 | |||
Finmeccanica SpA | 35,500 | 1,140,306 | |||
Fondiaria-Sai SpA | 26,800 | 1,104,961 | |||
Geox SpA | 57,400 | 1,153,925 | |||
Indesit Co. SpA | 51,100 | 793,430 | |||
Intesa Sanpaolo SpA | 237,900 | 1,881,719 | |||
Saipem SpA | 137,200 | 5,502,281 | |||
Unione di Banche Italiane Scpa | 33,200 | 913,040 | |||
16,935,866 | |||||
Japan — 8.8% | |||||
Aeon Mall Co. Ltd. | 52,000 | 1,364,657 | |||
Alpine Electronics, Inc. | 41,600 | 697,027 | |||
Alps Electric Co. Ltd. | 49,700 | 642,080 | |||
Asahi Kasei Corp. | 226,100 | 1,492,141 | |||
Circle K Sunkus Co. Ltd. | 89,500 | 1,322,898 | |||
Cosmo Oil Co. Ltd. | 303,300 | 1,121,115 | |||
Daiwa Securities Group, Inc. | 75,400 | 676,915 | |||
Denki Kagaku Kogyo K K | 224,900 | 972,113 | |||
Fanuc Ltd. | 35,300 | 3,422,269 | |||
Fuji Heavy Industries Ltd. | 347,000 | 1,607,284 | |||
Fukuoka Financial Group, Inc. | 433,000 | 2,528,730 | |||
Hokkaido Electric Power Co., Inc. | 18,400 | 396,631 | |||
Honda Motor Co. Ltd. | 95,400 | 3,151,524 | |||
Jupiter Telecommunications Co.(a) | 2,190 | 1,842,499 | |||
KK DaVinci Advisors(a) | 941 | 815,237 | |||
Komatsu Ltd. | 112,700 | 3,022,521 | |||
Kurabo Industries Ltd. | 173,100 | 388,314 | |||
Kyushu Electric Power Co., Inc. | 8,700 | 213,575 | |||
Marubeni Corp. | 248,700 | 1,742,643 | |||
Matsushita Electric Industrial Co., Ltd. | 74,000 | 1,516,325 | |||
Mitsubishi Chemical Holdings Corp. | 162,000 | 1,236,008 | |||
Mitsubishi Tanabe Pharma Corp. | 85,600 | 795,159 | |||
Mitsui & Co. Ltd. | 176,000 | 3,675,345 | |||
Mitsui Chemicals, Inc. | 148,000 | 960,793 | |||
NGK Insulators Ltd. | 125,000 | 3,351,414 | |||
Nifco, Inc. | 33,400 | 775,079 | |||
Nintendo Co. Ltd. | 11,900 | 6,987,108 |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
Japan (continued) | |||||
Nippon Electric Glass Co. Ltd. | 84,000 | $ | 1,366,432 | ||
Nippon Oil Corp. | 185,600 | 1,500,460 | |||
Nippon Paper Group, Inc. | 400 | 1,204,917 | |||
Nippon Shokubai Co. Ltd. | 85,000 | 814,467 | |||
Nippon Telegraph and Telephone Corp. | 600 | 2,982,559 | |||
Nipro Corp. | 57,000 | 1,140,699 | |||
Nissan Motor Co. Ltd. | 317,000 | 3,459,895 | |||
Nomura Holdings, Inc. | 75,600 | 1,266,667 | |||
NTT DoCoMo, Inc. | 1,600 | 2,634,096 | |||
OJI Paper Co. Ltd. | 37,000 | 181,781 | |||
Okasan Holdings, Inc. | 63,100 | 355,386 | |||
Promise Co. Ltd. | 5,100 | 125,572 | |||
Ricoh Co. Ltd. | 95,600 | 1,745,306 | |||
Santen Pharmaceutical Co. Ltd. | 26,700 | 658,423 | |||
Sanwa Holdings Corp. | 281,000 | 1,379,553 | |||
Seiko Epson Corp. | 5,600 | 119,274 | |||
Shin-Etsu Chemical Co. Ltd. | 34,600 | 2,151,816 | |||
Sumitomo Corp. | 115,400 | 1,614,605 | |||
Sumitomo Realty & Development Co. Ltd. | 90,000 | 2,201,047 | |||
Sumitomo Trust & Banking Co. Ltd. (The) | 194,000 | 1,278,605 | |||
Suruga Bank Ltd. | 187,000 | 2,034,323 | |||
Takefuji Corp. | 19,000 | 456,354 | |||
Toppan Printing Co. Ltd. | 85,000 | 833,583 | |||
Toyota Motor Corp. | 42,900 | 2,284,799 | |||
Toyota Motor Corp., ADR | 45,817 | 4,864,390 | |||
Yokohama Rubber Co. Ltd. (The) | 174,300 | 1,030,125 | |||
86,402,538 | |||||
Mexico — 0.8% | |||||
America Movil — Ser. L, ADR | 128,309 | 7,876,890 | |||
Netherlands — 1.6% | |||||
Aegon NV | 56,800 | 1,004,009 | |||
CSM | 40,200 | 1,357,691 | |||
Heineken NV, ADR | 132,745 | 4,291,115 | |||
ING Groep NV | 87,500 | 3,422,116 | |||
OCE NV | 85,700 | 1,551,188 | |||
Royal Dutch Shell PLC, ADR | 29,600 | 2,492,320 | |||
Royal KPN NV | 114,200 | 2,077,062 | |||
16,195,501 | |||||
New Zealand — 0.2% | |||||
Air New Zealand Ltd. | 737,900 | 1,063,574 | |||
Fisher & Paykel Appliances Holdings Ltd. | 319,700 | 842,116 | |||
1,905,690 | |||||
Norway — 0.2% | |||||
Norsk Hydro ASA | 54,500 | 778,880 | |||
StatoilHydro ASA | 46,989 | 1,462,497 | |||
2,241,377 | |||||
Russia — 0.2% | |||||
PIK Group, GDR, 144A(a) | 65,400 | 1,912,950 | |||
Singapore — 1.0% | |||||
CapitaLand Ltd. | 759,000 | 3,265,525 | |||
MobileOne Ltd. | 390,330 | 513,206 | |||
Neptune Orient Lines Ltd. | 313,800 | 843,550 | |||
Singapore Airlines Ltd. | 178,266 | 2,141,547 | |||
Wilmar International Ltd. | 810,100 | 3,010,268 | |||
9,774,096 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
South Africa — 0.4% | |||||
MTN Group Ltd. | 149,000 | $ | 2,791,917 | ||
Naspers Ltd. | 45,600 | 1,080,893 | |||
3,872,810 | |||||
South Korea — 0.2% | |||||
Samsung Electronics Co. Ltd., GDR | 5,050 | 1,478,388 | |||
Spain — 1.7% | |||||
Banco Bilbao Vizcaya Argentaria SA | 137,000 | 3,357,048 | |||
Banco Santander SA | 241,900 | 5,230,786 | |||
Inditex SA | 57,100 | 3,507,964 | |||
Repsol YPF SA | 93,200 | 3,322,099 | |||
Telefonica SA | 55,700 | 1,809,515 | |||
17,227,412 | |||||
Sweden — 0.6% | |||||
Electrolux AB, Ser. B | 83,600 | 1,403,422 | |||
Nordea Bank AB | 244,700 | 4,088,935 | |||
Volvo AB (Class B Stock) | 44,800 | 752,073 | |||
6,244,430 | |||||
Switzerland — 4.6% | |||||
ABB Ltd. | 286,300 | 8,249,000 | |||
Actelion Ltd.(a) | 27,200 | 1,250,506 | |||
Baloise Holding AG | 13,600 | 1,339,398 | |||
Ciba Specialty Chemicals AG | 11,600 | 537,915 | |||
Credit Suisse Group | 68,700 | 4,132,376 | |||
EFG International | 32,600 | 1,310,162 | |||
Geberit AG | 7,200 | 988,915 | |||
Georg Fischer AG(a) | 2,500 | 1,539,107 | |||
Julius Baer Holding AG | 28,700 | 2,372,760 | |||
Kuehne & Nagel International AG | 22,700 | 2,175,463 | |||
Nestle SA | 11,100 | 5,098,264 | |||
Rieter Holding AG | 2,200 | 971,603 | |||
Roche Holdings AG | 14,750 | 2,548,337 | |||
SGS SA | 1,470 | 1,751,561 | |||
Sonova Holding AG | 10,480 | 1,183,935 | |||
Swiss Reinsurance | 35,300 | 2,508,400 | |||
Swisscom AG | 6,200 | 2,420,527 | |||
UBS AG | 19,400 | 897,902 | |||
Verwalt & Privat-Bank AG | 2,578 | 638,153 | |||
Zurich Financial Services AG | 10,400 | 3,054,366 | |||
44,968,650 | |||||
Taiwan — 0.4% | |||||
HON HAI Precision Industry Co. Ltd., GDR | 197,678 | 2,451,207 | |||
MediaTek, Inc. | 114,000 | 1,461,235 | |||
3,912,442 | |||||
United Arab Emirates — 0.1% | |||||
DP World Ltd.(a) | 494,700 | 588,693 | |||
United Kingdom — 10.5% | |||||
Alliance & Leicester PLC(a) | 76,000 | 980,333 | |||
AstraZeneca PLC | 90,900 | 3,915,670 | |||
Aviva PLC(a) | 60,000 | 803,806 | |||
Barclays PLC | 299,200 | 3,001,768 | |||
Beazley Group PLC | 411,400 | 1,332,816 | |||
BG Group PLC | 267,100 | 6,114,440 | |||
BP PLC | 452,600 | 5,540,827 | |||
Bradford & Bingley PLC(a) | 178,100 | 950,131 | |||
Brit Insurance Holdings PLC | 227,200 | 1,035,688 |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
United Kingdom (continued) | |||||
British Sky Broadcasting PLC | 273,200 | $ | 3,366,327 | ||
BT Group PLC | 756,400 | 4,106,778 | |||
Capita Group PLC | 186,083 | 2,585,515 | |||
Carphone Warehouse Group PLC | 158,100 | 1,084,192 | |||
Davis Service Group PLC | 69,100 | 707,011 | |||
Drax Group PLC | 43,281 | 521,240 | |||
DS Smith PLC | 308,000 | 1,282,925 | |||
DSG International PLC | 566,000 | 1,118,232 | |||
GKN PLC | 302,000 | 1,695,278 | |||
GlaxoSmithKline PLC | 55,000 | 1,400,291 | |||
HBOS PLC | 210,900 | 3,085,666 | |||
Legal & General Group PLC | 498,500 | 1,295,965 | |||
Lloyds TSB Group PLC | 346,200 | 3,252,775 | |||
Man Group PLC | 209,875 | 2,377,157 | |||
Northern Foods PLC | 211,500 | 395,752 | |||
Old Mutual PLC | 319,100 | 1,064,598 | |||
Reckitt Benckiser Group PLC | 110,000 | 6,380,683 | |||
Rolls-Royce Group PLC(a) | 488,787 | 5,312,479 | |||
Rolls-Royce Group PLC (Class B Stock)(a) | 21,237,754 | 42,276 | |||
Rotork PLC | 48,800 | 939,358 | |||
Royal & Sun Alliance Insurance Group PLC | 300,200 | 885,613 | |||
Royal Bank of Scotland Group PLC (The)(a) | 257,100 | 2,272,323 | |||
Royal Dutch Shell PLC (Class B Stock) | 211,400 | 8,795,007 | |||
Standard Chartered PLC | 53,700 | 1,971,152 | |||
Tate & Lyle PLC | 71,300 | 631,589 | |||
Taylor Wimpey PLC | 148,300 | 600,007 | |||
Tesco PLC(a) | 698,100 | 6,632,060 | |||
Tomkins PLC | 113,100 | 397,930 | |||
Tullow Oil PLC | 165,500 | 2,146,334 | |||
Vedanta Resources PLC | 77,600 | 3,160,475 | |||
Vodafone Group PLC | 1,716,200 | 6,415,765 | |||
Xstrata PLC | 55,600 | 3,929,055 | |||
103,527,287 | |||||
United States — 39.8% | |||||
3M Co. | 24,600 | 2,074,272 | |||
Air Products & Chemicals, Inc. | 25,309 | 2,496,227 | |||
Altria Group, Inc. | 20,400 | 1,541,832 | |||
American Express Co. | 32,000 | 1,664,640 | |||
American International Group, Inc. | 60,400 | 3,521,320 | |||
Ameriprise Financial, Inc. | 33,500 | 1,846,185 | |||
Amgen, Inc.(a) | 28,800 | 1,337,472 | |||
Amylin Pharmaceuticals, Inc.(a)(b) | 69,351 | 2,565,987 | |||
Anheuser-Busch Cos., Inc. | 78,300 | 4,098,222 | |||
Apple, Inc.(a) | 50,725 | 10,047,608 | |||
AT&T, Inc. | 261,037 | 10,848,698 | |||
Avon Products, Inc. | 56,100 | 2,217,633 | |||
Baker Hughes, Inc. | 61,600 | 4,995,760 | |||
Bank of America Corp. | 101,300 | 4,179,638 | |||
Bank of New York Mellon Corp. (The) | 64,300 | 3,135,268 | |||
Boeing Co. | 21,418 | 1,873,218 | |||
Boston Scientific Corp.(a)(b) | 68,600 | 797,818 | |||
Cablevision Systems Corp. (Class A Stock)(a) | 49,300 | 1,207,850 | |||
Cameron International Corp.(a) | 36,788 | 1,770,606 | |||
CBS Corp. (Class B Stock)(b) | 30,700 | 836,575 | |||
Chevron Corp. | 64,900 | 6,057,117 | |||
Citigroup, Inc. | 77,400 | 2,278,656 | |||
Coca-Cola Co. (The) | 61,836 | 3,794,875 | |||
Comcast Corp. (Class A Stock)(a)(b) | 48,300 | 881,958 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | |||
United States (continued) | |||||
CVS Caremark Corp. | 56,675 | $ | 2,252,831 | ||
Dell, Inc.(a) | 72,000 | 1,764,720 | |||
Duke Energy Corp. | 70,200 | 1,415,934 | |||
E.I. du Pont de Nemours & Co. | 53,200 | 2,345,588 | |||
Entergy Corp. | 25,200 | 3,011,904 | |||
Exxon Mobil Corp. | 68,000 | 6,370,920 | |||
Fannie Mae | 39,600 | 1,583,208 | |||
FedEx Corp. | 6,236 | 556,064 | |||
Fifth Third Bancorp | 61,400 | 1,542,982 | |||
Genentech, Inc.(a) | 107,686 | 7,222,500 | |||
General Dynamics Corp. | 85,774 | 7,633,028 | |||
General Electric Co. | 181,700 | 6,735,619 | |||
General Mills, Inc. | 30,600 | 1,744,200 | |||
General Motors Corp.(b) | 40,700 | 1,013,023 | |||
Genworth Financial, Inc. | 114,900 | 2,924,205 | |||
Goldman Sachs Group, Inc. (The)(b) | 49,085 | 10,555,729 | |||
Google, Inc. (Class A Stock)(a) | 10,116 | 6,995,012 | |||
H&R Block, Inc. | 105,400 | 1,957,278 | |||
Hartford Financial Services Group, Inc. | 10,500 | 915,495 | |||
Hess Corp. | 24,526 | 2,473,692 | |||
Hewlett-Packard Co. | 69,827 | 3,524,867 | |||
Home Depot, Inc. (The) | 131,500 | 3,542,610 | |||
Illinois Tool Works, Inc. | 54,200 | 2,901,868 | |||
Intel Corp. | 313,104 | 8,347,353 | |||
International Business Machines Corp. | 27,800 | 3,005,180 | |||
International Paper Co. | 89,900 | 2,910,962 | |||
Johnson & Johnson | 50,600 | 3,375,020 | |||
JPMorgan Chase & Co. | 123,500 | 5,390,775 | |||
Kraft Foods, Inc. (Class A Stock) | 36,500 | 1,190,995 | |||
Las Vegas Sands Corp.(a)(b) | 66,250 | 6,827,063 | |||
Lehman Brothers Holdings, Inc.(b) | 90,147 | 5,899,220 | |||
Liberty Media Holdings Corp. — Capital (Class A Stock)(a) | 17,100 | 1,991,979 | |||
Liberty Media Holdings Corp. — Interactive (Class A Stock)(a) | 80,100 | 1,528,308 | |||
Lincoln National Corp. | 25,000 | 1,455,500 | |||
Lockheed Martin Corp. | 80,170 | 8,438,694 | |||
Lowe’s Cos., Inc. | 177,308 | 4,010,707 | |||
Marsh & McLennan Cos., Inc. | 135,500 | 3,586,685 | |||
Mastercard, Inc. (Class A Stock)(b) | 40,278 | 8,667,826 | |||
McDonald’s Corp. | 212,737 | 12,532,336 | |||
Merck & Co., Inc. | 242,386 | 14,085,049 | |||
Merrill Lynch & Co., Inc.(b) | 68,266 | 3,664,519 | |||
MGM Mirage(a) | 38,574 | 3,240,987 | |||
Microsoft Corp. | 295,376 | 10,515,386 | |||
Monsanto Co. | 89,813 | 10,031,214 | |||
Morgan Stanley | 36,500 | 1,938,515 | |||
Murphy Oil Corp. | 44,000 | 3,732,960 | |||
New York Times Co. (The) (Class A Stock)(b) | 62,200 | 1,090,366 | |||
Newell Rubbermaid, Inc. | 92,700 | 2,399,076 | |||
NiSource, Inc. | 76,300 | 1,441,307 | |||
Nucor Corp. | 10,500 | 621,810 | |||
Pfizer, Inc. | 141,300 | 3,211,749 | |||
Praxair, Inc. | 91,780 | 8,141,804 | |||
Procter & Gamble Co. | 13,500 | 991,170 | |||
QUALCOMM, Inc. | 44,566 | 1,753,672 | |||
Qwest Communications International, Inc.(a)(b) | 149,100 | 1,045,191 | |||
Raytheon Co. | 41,000 | 2,488,700 | |||
Schering-Plough Corp.(b) | 156,497 | 4,169,080 | |||
Schlumberger Ltd. | 85,370 | 8,397,847 | |||
Southwest Airlines Co. | 184,900 | 2,255,780 |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||
United States (continued) | ||||||
Spectra Energy Corp. | 67,000 | $ | 1,729,940 | |||
Sprint Nextel Corp. | 159,800 | 2,098,174 | ||||
St. Joe Co. (The)(b) | 21,400 | 759,914 | ||||
State Street Corp. | 36,700 | 2,980,040 | ||||
Time Warner, Inc. | 241,100 | 3,980,561 | ||||
Transocean, Inc.(a)(b) | 61,385 | 8,787,263 | ||||
U.S. Bancorp | 98,800 | 3,135,912 | ||||
Union Pacific Corp. | 75,222 | 9,449,388 | ||||
UnitedHealth Group, Inc. | 210,016 | 12,222,931 | ||||
Verizon Communications, Inc. | 44,100 | 1,926,729 | ||||
Viacom, Inc. (Class B Stock)(a) | 23,000 | 1,010,160 | ||||
Wal-Mart Stores, Inc. | 57,400 | 2,728,222 | ||||
Walt Disney Co. (The) | 52,700 | 1,701,156 | ||||
Waste Management, Inc. | 77,200 | 2,522,124 | ||||
Wyeth | 52,500 | 2,319,975 | ||||
Wynn Resorts Ltd.(a) | 71,544 | 8,022,229 | ||||
Yum! Brands, Inc. | 132,140 | 5,056,998 | ||||
391,859,213 | ||||||
TOTAL LONG-TERM INVESTMENTS | 948,580,459 | |||||
SHORT-TERM INVESTMENTS — 6.9% | ||||||
Affiliated Money Market Mutual Fund | ||||||
Dryden Core Investment Fund — Taxable Money Market Series (cost $68,236,783; includes $42,679,550 of cash collateral received for securities on loan)(Note 4)(c)(d) | 68,236,783 | 68,236,783 | ||||
Principal Amount (000) | ||||||
U.S. Government Treasury Obligations | ||||||
United States | ||||||
United States Treasury Bill | $300 | 298,181 | ||||
TOTAL SHORT-TERM INVESTMENTS | 68,534,964 | |||||
TOTAL INVESTMENTS(f) — 103.2% | 1,017,115,423 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.2%) | (32,106,030 | ) | ||||
NET ASSETS — 100.0% | $ | 985,009,393 | ||||
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 $41,229,381; cash collateral of $42,679,550 (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) | Rate quoted represents yield-to-maturity at purchase date. |
(f) | As of December 31, 2007, 88 securities representing $158,514,607 and 16.1% of net assets were fair valued in accordance with policies adopted by the Board of Trustees. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 were as follows:
Oil, Gas & Consumable Fuels | 8.1 | % | |
Affiliated Money Market Mutual Fund (including 4.3% of collateral received for securities on loan) | 6.9 | ||
Commercial Banks | 6.5 | ||
Capital Markets | 5.7 | ||
Pharmaceuticals | 4.7 | ||
Chemicals | 3.8 | ||
Hotels, Restaurants & Leisure | 3.7 | ||
Insurance | 3.5 | ||
Diversified Financial Services | 3.4 | ||
Diversified Telecommunication | 3.4 | ||
Wireless Telecommunication Services | 3.1 | ||
Energy Equipment & Services | 3.0 | ||
Metals & Mining | 2.9 | ||
Aerospace & Defense | 2.6 | ||
Automobiles | 2.6 | ||
Food & Staples Retailing | 2.5 | ||
Media | 2.2 | ||
Computers & Peripherals | 1.9 | ||
Machinery | 1.9 | ||
Electrical Equipment | 1.8 | ||
Software | 1.8 | ||
Industrial Conglomerates | 1.7 | ||
Specialty Retail | 1.7 | ||
Beverages | 1.6 | ||
Food Products | 1.5 | ||
Health Care Providers & Services | 1.2 | ||
Real Estate Management & Development | 1.2 | ||
Household Durables | 1.1 | ||
Personal Products | 1.1 | ||
Semiconductors & Semiconductor Equipment | 1.1 | ||
Biotechnology | 1.0 | ||
IT Services | 1.0 | ||
Road & Rail | 1.0 | ||
Commercial Services & Supplies | 0.9 | ||
Health Care Equipment & Supplies | 0.9 | ||
Airlines | 0.8 | ||
Auto Components | 0.7 | ||
Communications Equipment | 0.7 | ||
Electric Utilities | 0.7 | ||
Electronic Equipment & Instruments | 0.7 | ||
Household Products | 0.7 | ||
Internet Software & Services | 0.7 | ||
Multi-Utilities | 0.7 | ||
Trading Companies & Distributors | 0.7 | ||
Paper & Forest Products | 0.6 | ||
Distributors | 0.4 | ||
Construction & Engineering | 0.3 | ||
Marine | 0.3 | ||
Office Electronics | 0.3 | ||
Thrifts & Mortgage Finance | 0.3 | ||
Air Freight & Logistics | 0.2 | ||
Building Products | 0.2 | ||
Internet & Catalog Retail | 0.2 | ||
Textiles, Apparel & Luxury Goods | 0.2 | ||
Tobacco | 0.2 | ||
Construction Materials | 0.1 | ||
Consumer Finance | 0.1 | ||
Health Care Technology | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
GLOBAL PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Independent Power Producers & Energy Traders | 0.1 | % | |
Transportation Infrastructure | 0.1 | ||
Water Utilities | 0.1 | ||
103.2 | |||
Liabilities in excess of other assets | (3.2 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
GLOBAL PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments, at value including securities on loan of $41,229,381: | |||
Unaffiliated investments (cost $781,057,434) | $ | 948,878,640 | |
Affiliated investments (cost $68,236,783) | 68,236,783 | ||
Cash | 440,876 | ||
Foreign currency, at value (cost $8,074,610) | 8,200,987 | ||
Receivable for investments sold | 4,308,808 | ||
Dividends and interest receivable | 780,184 | ||
Foreign tax reclaim receivable | 587,565 | ||
Receivable for Series shares sold | 313,455 | ||
Prepaid expenses | 10,795 | ||
Total Assets | 1,031,758,093 | ||
LIABILITIES | |||
Collateral for securities on loan | 42,679,550 | ||
Payable for investments purchased | 3,046,829 | ||
Management fee payable | 633,098 | ||
Accrued expenses and other liabilities | 271,002 | ||
Payable for Series shares repurchased | 117,342 | ||
Transfer agent fee payable | 879 | ||
Total Liabilities | 46,748,700 | ||
NET ASSETS | $ | 985,009,393 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 758,331,291 | |
Retained earnings | 226,678,102 | ||
Net assets, December 31, 2007 | $ | 985,009,393 | |
Net asset value and redemption price per share, $985,009,393 / 40,014,249 outstanding shares of beneficial interest (authorized 125,000,000 shares) | $ | 24.62 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,209,389) | $ | 20,115,894 | ||
Affiliated dividend income | 1,533,729 | |||
Affiliated income from securities loaned, net | 210,276 | |||
Interest | 112,942 | |||
21,972,841 | ||||
EXPENSES | ||||
Management fee | 7,345,354 | |||
Custodian’s fees and expenses | 312,000 | |||
Shareholders’ reports | 181,000 | |||
Audit fee | 24,000 | |||
Trustees’ fees | 20,000 | |||
Insurance expenses | 20,000 | |||
Interest expense | 19,797 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $4,600) (Note 4) | 5,000 | |||
Miscellaneous | 16,268 | |||
Total expenses | 7,952,419 | |||
NET INVESTMENT INCOME | 14,020,422 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 64,048,253 | |||
Futures transactions | 71,128 | |||
Foreign currency transactions | (219,166 | ) | ||
63,900,215 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 17,935,646 | |||
Foreign currencies | 29,281 | |||
17,964,927 | ||||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 81,865,142 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 95,885,564 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | ||||||||
Net investment income | $ | 14,020,422 | $ | 10,692,630 | ||||
Net realized gain on investment and foreign currency transactions | 63,900,215 | 32,439,736 | ||||||
Net change in unrealized appreciation (depreciation) on investments, futures and foreign currencies | 17,964,927 | 112,256,288 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 95,885,564 | 155,388,654 | ||||||
DISTRIBUTIONS | (10,692,295 | ) | (5,516,655 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [1,809,090 and 2,609,905 shares, respectively] | 43,514,915 | 53,367,041 | ||||||
Series shares issued in reinvestment of distributions [435,886 and 272,832 shares, respectively] | 10,692,295 | 5,516,655 | ||||||
Series shares repurchased [3,630,416 and 4,426,740 shares, respectively] | (87,249,982 | ) | (90,036,644 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (33,042,772 | ) | (31,152,948 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 52,150,497 | 118,719,051 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 932,858,896 | 814,139,845 | ||||||
End of year | $ | 985,009,393 | $ | 932,858,896 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 91.2% | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
Asset Backed Securities — 3.5% | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||
Series 2007-A8, Class A8 | 5.65% | 09/20/19 | $ | 1,500 | $ | 1,501,501 | ||||
Small Business Administration Participation Certificates, | ||||||||||
Series 1996-20J, Class 1 | 7.20% | 10/01/16 | 3,169 | 3,291,124 | ||||||
Series 1997-20A, Class 1 | 7.15% | 01/01/17 | 3,235 | 3,356,743 | ||||||
Series 1997-20G, Class 1 | 6.85% | 07/01/17 | 1,184 | 1,226,355 | ||||||
Series 1998-20I, Class 1 | 6.00% | 09/01/18 | 2,452 | 2,518,025 | ||||||
11,893,748 | ||||||||||
Collateralized Mortgage Obligations — 6.8% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2496, Class PM | 5.50% | 09/15/17 | 2,819 | 2,840,987 | ||||||
Series 2501, Class MC | 5.50% | 09/15/17 | 1,851 | 1,883,525 | ||||||
Series 2513, Class HC | 5.00% | 10/15/17 | 2,339 | 2,333,691 | ||||||
Series 2518, Class PV | 5.50% | 06/15/19 | 1,920 | 1,922,128 | ||||||
Federal National Mortgage Association, | ||||||||||
Series 2002-18, Class PC | 5.50% | 04/25/17 | 5,000 | 5,098,177 | ||||||
Series 2002-57, Class ND | 5.50% | 09/25/17 | 2,115 | 2,152,482 | ||||||
Series 2002-94, Class HQ | 4.50% | 01/25/18 | 6,419 | 6,226,330 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||||
Series 2003-E, Class A1(a) | 5.175% | 10/25/28 | 156 | 155,411 | ||||||
Structured Adjustable Rate Mortgage Loan, | ||||||||||
Series 2004-1, Class 4A-3(a) | 4.17% | 02/25/34 | 527 | 536,993 | ||||||
23,149,724 | ||||||||||
Commercial Mortgage Backed Securities — 7.4% | ||||||||||
Bear Stearns Commercial Mortgage Securities, Inc., | ||||||||||
Series 2000-WF1, Class A1 | 7.64% | 02/15/32 | 366 | 369,116 | ||||||
Series 2004-T16, Class A5 | 4.60% | 02/13/46 | 4,200 | 4,134,532 | ||||||
Series 2006-PW11, Class A4(a) | 5.457% | 03/11/39 | 860 | 872,819 | ||||||
Series 2006-T22, Class A4(a) | 5.465% | 04/12/38 | 2,700 | 2,755,827 | ||||||
First Union National Bank Commercial Mortgage Trust, | ||||||||||
Series 2000-C1, Class A1 | 7.739% | 05/17/32 | 84 | 83,652 | ||||||
GS Mortgage Securities Corp. II, | ||||||||||
Series 2003-C1, Class A3 | 4.608% | 01/10/40 | 6,800 | 6,718,658 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Series 2006-C1, Class ASB(a) | 5.659% | 05/12/39 | 1,500 | 1,534,238 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||||
Series 2007-5, Class A4 | 5.378% | 08/12/48 | 2,000 | 2,000,372 | ||||||
Morgan Stanley Capital I, | ||||||||||
Series 2005-IQ9, Class AAB | 4.51% | 07/15/56 | 2,500 | 2,444,488 | ||||||
Series 2005-T19, Class AAB | 4.852% | 06/12/47 | 1,375 | 1,353,261 | ||||||
Series 2006-IQ11, Class A4(a) | 5.773% | 10/15/42 | 2,800 | 2,884,159 | ||||||
Morgan Stanley Dean Witter I, | ||||||||||
Series 2001-TOP1, Class A2 | 6.32% | 02/15/33 | 71 | 71,007 | ||||||
25,222,129 | ||||||||||
Corporate Bond — 0.5% | ||||||||||
DEPFA ACS Bank, 144A(b) | 5.125% | 03/16/37 | 1,520 | 1,502,403 | ||||||
Foreign Government Bonds — 0.7% | ||||||||||
Hungary Government Bonds | 8.00% | 02/12/15 | HUF | 198,540 | 1,190,467 | |||||
Poland Government Bond, Series 1015 | 6.25% | 10/24/15 | PLN | 2,660 | 1,097,386 | |||||
Sweden Government Bond, Series 1040 | 6.50% | 05/05/08 | SEK | 1,080 | 168,260 | |||||
2,456,113 | ||||||||||
Mortgage Backed Securities — 56.3% | ||||||||||
Federal Home Loan Mortgage Corp.(a) | 3.531% | 05/01/34 | $ | 1,681 | 1,696,967 | |||||
Federal Home Loan Mortgage Corp.(a) | 3.788% | 06/01/34 | 3,917 | 3,871,818 | ||||||
Federal Home Loan Mortgage Corp. | 5.00% | 06/01/33-05/01/34 | 10,048 | 9,816,810 |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS (continued) | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
Mortgage Backed Securities (continued) | ||||||||||
Federal Home Loan Mortgage Corp. | 5.50% | TBA 30 YR | $ | 4,500 | $ | 4,490,154 | ||||
Federal Home Loan Mortgage Corp. | 6.00% | 09/01/34 | 619 | 629,236 | ||||||
Federal Home Loan Mortgage Corp. | 6.00% | TBA 30 YR | 10,000 | 10,146,880 | ||||||
Federal Home Loan Mortgage Corp. | 6.50% | 06/01/08-09/01/32 | 748 | 770,310 | ||||||
Federal Home Loan Mortgage Corp. | 7.00% | 08/01/11-10/01/32 | 573 | 587,211 | ||||||
Federal National Mortgage Association(a) | 3.496% | 06/01/34 | 11,492 | 11,633,147 | ||||||
Federal National Mortgage Association(a) | 3.592% | 07/01/33 | 5,445 | 5,437,755 | ||||||
Federal National Mortgage Association(a) | 3.789% | 04/01/34 | 688 | 678,068 | ||||||
Federal National Mortgage Association(a) | 4.046% | 08/01/33 | 2,810 | 2,800,103 | ||||||
Federal National Mortgage Association(a) | 4.241% | 04/01/34 | 1,922 | 1,915,225 | ||||||
Federal National Mortgage Association(a) | 4.479% | 06/01/34 | 1,553 | 1,562,690 | ||||||
Federal National Mortgage Association(a) | 4.869% | 10/01/34 | 2,584 | 2,568,497 | ||||||
Federal National Mortgage Association(a) | 4.986% | 06/01/36 | 3,940 | 3,977,652 | ||||||
Federal National Mortgage Association | 5.00% | 07/01/18-12/01/31 | 8,700 | 8,715,572 | ||||||
Federal National Mortgage Association | 5.00% | TBA 30 YR | 5,500 | 5,365,938 | ||||||
Federal National Mortgage Association | 5.50% | 01/01/17-04/01/36 | 43,820 | 43,820,592 | ||||||
Federal National Mortgage Association | 5.50% | TBA 15 YR | 4,500 | 4,557,654 | ||||||
Federal National Mortgage Association | 5.50% | TBA 30 YR | 23,500 | 23,470,625 | ||||||
Federal National Mortgage Association | 6.00% | 11/01/14-01/01/36 | 8,695 | 8,850,127 | ||||||
Federal National Mortgage Association | 6.00% | TBA 30 YR | 6,900 | 7,005,653 | ||||||
Federal National Mortgage Association | 6.276% | 03/01/11 | 1,146 | 1,198,216 | ||||||
Federal National Mortgage Association | 6.50% | 11/01/09-10/01/37 | 7,190 | 7,414,552 | ||||||
Federal National Mortgage Association | 7.00% | 02/01/12-01/01/36 | 1,801 | 1,887,258 | ||||||
Federal National Mortgage Association | 7.50% | 05/01/08-10/01/12 | 166 | 171,440 | ||||||
Federal National Mortgage Association | 8.00% | 03/01/22-02/01/26 | 51 | 54,448 | ||||||
Federal National Mortgage Association | 9.00% | 02/01/25-04/01/25 | 217 | 236,337 | ||||||
Government National Mortgage Association | 5.00% | 07/15/33-04/15/34 | 3,956 | 3,899,294 | ||||||
Government National Mortgage Association | 5.50% | 03/15/34-03/15/36 | 4,250 | 4,282,477 | ||||||
Government National Mortgage Association | 6.00% | TBA 30 YR | 4,000 | 4,095,000 | ||||||
Government National Mortgage Association | 6.50% | 07/15/32-08/15/32 | 837 | 867,594 | ||||||
Government National Mortgage Association | 7.00% | 03/15/23-08/15/28 | 1,920 | 2,038,801 | ||||||
Government National Mortgage Association | 7.50% | 12/15/25-02/15/26 | 365 | 389,440 | ||||||
Government National Mortgage Association | 8.50% | 09/15/24-04/15/25 | 478 | 521,962 | ||||||
191,425,503 | ||||||||||
U.S. Government Agency Obligations — 13.1% | ||||||||||
Federal Farm Credit Bank | 4.875% | 01/17/17 | 980 | 1,005,355 | ||||||
Federal Home Loan Bank | 3.625% | 12/17/10 | 2,595 | 2,595,340 | ||||||
Federal Home Loan Bank | 4.625% | 10/10/12 | 9,530 | 9,808,571 | ||||||
Federal Home Loan Mortgage Corp. | 5.35% | 11/14/11 | 1,210 | 1,221,117 | ||||||
Federal National Mortgage Association | 5.00% | 03/15/16 | 2,870 | 2,999,161 | ||||||
Federal National Mortgage Association | 5.30% | 02/22/11 | 14,630 | 14,636,540 | ||||||
FICO Strip Principal | Zero | 05/11/18 | 4,000 | 2,487,216 | ||||||
Tennessee Valley Authority, Series B | 4.375% | 06/15/15 | 9,850 | 9,862,815 | ||||||
44,616,115 | ||||||||||
U.S. Government Treasury Securities — 2.9% | ||||||||||
United States Treasury Bonds(c) | 4.75% | 02/15/37 | 355 | 371,530 | ||||||
United States Treasury Bonds | 6.25% | 08/15/23 | 2,500 | 2,993,165 | ||||||
United States Treasury Notes | 3.625% | 12/31/12 | 15 | 15,113 | ||||||
United States Treasury Notes | 4.125% | 08/15/08 | 15 | 15,063 | ||||||
United States Treasury Notes | 4.875% | 08/15/16 | 900 | 958,360 | ||||||
United States Treasury Strips(b) | Zero | 05/15/20-05/15/21 | 10,100 | 5,560,008 | ||||||
9,913,239 | ||||||||||
TOTAL LONG-TERM INVESTMENTS | 310,178,974 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
SHORT-TERM INVESTMENTS — 25.5% | Interest Rate | Maturity Date | Principal Amount (000) | Value (Note 2) | ||||||
U.S. Government Agency Obligation — 5.1% | ||||||||||
Federal Home Loan Mortgage Corp., Discount Note | Zero | 02/19/08 | $ 17,500 | $ | 17,403,873 | |||||
Shares | ||||||||||
Affiliated Mutual Funds — 20.4% | ||||||||||
Dryden Core Investment Fund — Short-Term Bond Series | 5,119,361 | 48,326,772 | ||||||||
Dryden Core Investment Fund — Taxable Money Market Series | 21,203,483 | 21,203,483 | ||||||||
TOTAL AFFILIATED MUTUAL FUNDS | 69,530,255 | |||||||||
OUTSTANDING OPTION PURCHASED | Contracts | |||||||||
Call Option | ||||||||||
Iceland Krona, expiring 08/05/08 @ $67.75 | 336,900 | 20,888 | ||||||||
TOTAL SHORT-TERM INVESTMENTS | 86,955,016 | |||||||||
TOTAL INVESTMENTS 116.7% | 397,133,990 | |||||||||
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(f) (16.7%) | (56,826,576 | ) | ||||||||
TOTAL NET ASSETS 100.0% | $ | 340,307,414 | ||||||||
The following abbreviations are used in portfolio descriptions:
144A | Security was 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. | |
AUD | Australian Dollar | |
EUR | Euro | |
FICO | Financing Corporation | |
GBP | British Pound | |
HUF | Hungarian Forint | |
ISK | Iceland Krona | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
TBA | To be announced |
(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, 2007. |
(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 $346,006; cash collateral of $350,649 (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: |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Open futures contracts outstanding at December 31, 2007:
Number of Contracts | Type | Expiration Date | Value at December 31, 2007 | Value at Trade Date | Unrealized Appreciation (Depreciation) | |||||||||
Long Positions: | ||||||||||||||
6 | Australian 10 Yr. Bond | Mar. 08 | $ | 493,560 | $ | 493,938 | $ | (378 | ) | |||||
13 | 2 Yr. Euro Schatz | Mar. 08 | 1,964,435 | 1,978,449 | (14,014 | ) | ||||||||
9 | Euro Bund | Mar. 08 | 1,488,355 | 1,523,160 | (34,805 | ) | ||||||||
2 | Long-Term U.K. Gilt | Mar. 08 | 438,849 | 438,992 | (143 | ) | ||||||||
1 | New Zealand 3 Mo. Bill | Mar. 08 | 701,753 | 702,222 | (469 | ) | ||||||||
222 | U.S. 30 Yr. Bond | Mar. 08 | 25,835,250 | 25,807,087 | 28,163 | |||||||||
(21,646 | ) | |||||||||||||
Short Positions: | ||||||||||||||
31 | U.S. Treasury 2 Yr. Notes | Mar. 08 | 6,517,750 | 6,521,026 | 3,276 | |||||||||
190 | U.S. Treasury 5 Yr. Notes | Mar. 08 | 20,953,437 | 20,883,561 | (69,876 | ) | ||||||||
25 | U.S. Treasury 10 Yr. Notes | Mar. 08 | 2,834,766 | 2,808,235 | (26,531 | ) | ||||||||
(93,131 | ) | |||||||||||||
$ | (114,777 | ) | ||||||||||||
Open forward foreign currency exchange contracts outstanding at December 31, 2007:
Purchase Contracts: | Notional Amount (000) | Payable at Statement Date | Value at December 31, 2007 | Unrealized Appreciation (Depreciation) | |||||||||
Australian Dollar expiring 01/18/08 | AUD | 474,841 | $ | 417,090 | $ | 416,503 | $ | (587 | ) | ||||
Euro expiring 01/25/08 | EUR | 521,185 | 753,451 | 762,362 | 8,911 | ||||||||
Hungarian Forint expiring 01/24/08 | HUF | 29,524,899 | 167,100 | 170,432 | 3,332 | ||||||||
Iceland Krona expiring 01/16/08 | ISK | 22,045,836 | 355,732 | 350,014 | (5,718 | ) | |||||||
Iceland Krona expiring 01/18/08 | ISK | 13,056,227 | 203,900 | 207,182 | 3,282 | ||||||||
New Zealand Dollar expiring 01/18/08 | NZD | 669,906 | 520,553 | 514,398 | (6,155 | ) | |||||||
Pound Sterling expiring 01/25/08 | GBP | 244,021 | 488,264 | 485,386 | (2,878 | ) | |||||||
Swedish Krona expiring 01/24/08 | SEK | 2,223,234 | 340,400 | 344,071 | 3,671 | ||||||||
$ | 3,858 | ||||||||||||
Sales Contracts: | Notional Amount (000) | Receivable at Statement Date | Value at December 31, 2007 | Unrealized Appreciation (Depreciation) | |||||||||
Euro expiring 01/25/08 | EUR | 234,937 | $ | 339,100 | $ | 343,654 | $ | (4,554 | ) | ||||
Hungarian Forint expiring 01/24/08 | HUF | 218,676,559 | 1,263,312 | 1,262,306 | 1,006 | ||||||||
Iceland Krona expiring 01/16/08 | ISK | 13,160,726 | 203,900 | 208,948 | (5,048 | ) | |||||||
New Zealand Dollar expiring 01/18/08 | NZD | 218,758 | 170,500 | 167,977 | 2,523 | ||||||||
Polish Zloty expiring 01/24/08 | PLN | 1,872,293 | 765,232 | 760,902 | 4,330 | ||||||||
Pound Sterling expiring 01/25/08 | GBP | 83,043 | 167,100 | 165,182 | 1,918 | ||||||||
Swedish Krona expiring 01/24/08 | SEK | 2,215,372 | 341,951 | 342,854 | (903 | ) | |||||||
(728 | ) | ||||||||||||
$ | 3,130 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GOVERNMENT INCOME PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Interest rate swap agreements outstanding at December 31, 2007:
Counterparty | Termination Date | Notional Amount (000) | Fixed Rate | Floating Rate | Unrealized Appreciation (Depreciation) | |||||||||
Merrill Lynch Capital Services(1) | 08/14/12 | $ | 3,410 | 5.20857 | % | 3 month LIBOR | $ | 195,908 | ||||||
Deutsche Bank AG(1) | 11/16/12 | 13,500 | 4.65517 | % | 3 month LIBOR | 273,624 | ||||||||
Morgan Stanley Capital Services(1) | 12/07/12 | 2,145 | 4.15033 | % | 3 month LIBOR | 1,691 | ||||||||
Morgan Stanley Capital Services(1) | 12/11/12 | 7,500 | 4.37022 | % | 3 month LIBOR | 75,863 | ||||||||
Merrill Lynch Capital Services(2) | 12/14/12 | 4,040 | 4.35284 | % | 3 month LIBOR | (38,898 | ) | |||||||
Merrill Lynch Capital Services(1) | 08/02/17 | 2,250 | 5.52959 | % | 3 month LIBOR | 190,197 | ||||||||
Deutsche Bank AG(1) | 11/19/17 | 28,840 | 5.585 | % | 3 month LIBOR | 96,880 | ||||||||
Deutsche Bank AG(2) | 11/19/27 | 12,320 | 5.69 | % | 3 month LIBOR | (43,432 | ) | |||||||
Morgan Stanley Capital Services(2) | 12/11/37 | 1,090 | 5.08438 | % | 3 month LIBOR | (13,133 | ) | |||||||
Merrill Lynch Capital Services(2) | 12/11/37 | 6,385 | 5.08938 | % | 3 month LIBOR | (98,703 | ) | |||||||
$ | 639,997 | |||||||||||||
(1) | The Portfolio pays the floating rate and receives the fixed rate. |
(2) | The Portfolio pays the fixed rate and receives the floating 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, 2007 were as follows:
Mortgage Backed Securities | 56.3 | % | |
Affiliated Mutual Funds (including 0.1% of collateral received for securities on loan) | 20.4 | ||
U.S. Government Agency Obligations | 18.2 | ||
Commercial Mortgage Backed Securities | 7.4 | ||
Collateralized Mortgage Obligations | 6.8 | ||
Asset Backed Securities | 3.5 | ||
U.S. Government Treasury Securities | 2.9 | ||
Foreign Government Bonds | 0.7 | ||
Corporate Bond | 0.5 | ||
116.7 | |||
Other liabilities in excess of other assets | (16.7 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GOVERNMENT INCOME PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | ||||
Investments, at value including securities on loan of $346,006: | ||||
Unaffiliated investments (cost $324,747,838) | $ | 327,603,735 | ||
Affiliated investments (cost $72,095,621) | 69,530,255 | |||
Foreign currency (cost $22) | 22 | |||
Receivable for investments sold | 121,320,939 | |||
Interest receivable | 1,969,659 | |||
Unrealized appreciation on swaps | 834,163 | |||
Due from broker — variation margin | 54,812 | |||
Unrealized appreciation on forward currency contracts | 28,973 | |||
Receivable for Series shares sold | 24,899 | |||
Prepaid expenses | 3,666 | |||
Total Assets | 521,371,123 | |||
LIABILITIES | ||||
Payable for investments purchased | 180,102,861 | |||
Collateral for securities on loan | 350,649 | |||
Unrealized depreciation on swaps | 194,166 | |||
Accrued expenses and other liabilities | 140,941 | |||
Payable for Series shares repurchased | 125,241 | |||
Management fee payable | 115,450 | |||
Unrealized depreciation on forward currency contracts | 25,843 | |||
Payable to custodian | 4,792 | |||
Deferred trustees’ fees | 3,206 | |||
Transfer agent fee payable | 560 | |||
Total Liabilities | 181,063,709 | |||
NET ASSETS | $ | 340,307,414 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 345,517,435 | ||
Retained earnings | (5,210,021 | ) | ||
Net assets, December 31, 2007 | $ | 340,307,414 | ||
Net asset value and redemption price per share, ($340,307,414 / 29,903,156 outstanding shares of beneficial interest (authorized 100,000,000 shares) | $ | 11.38 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | ||||
Unaffiliated interest income | $ | 13,665,484 | ||
Affiliated dividend income | 3,883,421 | |||
Affiliated income from securities loaned, net | 67,551 | |||
17,616,456 | ||||
EXPENSES | ||||
Management fee | 1,372,156 | |||
Shareholders’ reports | 140,000 | |||
Interest expense | 104,905 | |||
Custodian’s fees and expenses | 94,000 | |||
Audit fee | 22,000 | |||
Trustees’ fees | 14,000 | |||
Insurance expenses | 8,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,700) (Note 4) | 3,000 | |||
Miscellaneous | 9,508 | |||
Total expenses | 1,775,569 | |||
NET INVESTMENT INCOME | 15,840,887 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (13,554 | ) | ||
Foreign currency transactions | (105,672 | ) | ||
Futures transactions | (842,040 | ) | ||
Short sale transactions | (106,461 | ) | ||
Swap transactions | 430,047 | |||
Options written transactions | 19,009 | |||
(618,671 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,002,493 | |||
Foreign currencies | (159 | ) | ||
Futures | (102,540 | ) | ||
Short sales | (3,281 | ) | ||
Swaps | 684,435 | |||
3,580,948 | ||||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 2,962,277 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 18,803,164 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 15,840,887 | $ | 17,134,336 | ||||
Net realized loss on investments and foreign currency transactions | (618,671 | ) | (2,865,056 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 3,580,948 | (1,250,146 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 18,803,164 | 13,019,134 | ||||||
DISTRIBUTIONS | (15,181,670 | ) | (17,558,195 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series share sold [722,847 and 1,318,889 shares, respectively] | 8,166,048 | 14,867,273 | ||||||
Series share issued in reinvestment of distributions [1,353,614 and 1,568,051 shares, respectively] | 15,181,670 | 17,558,195 | ||||||
Series share repurchased [3,624,503 and 4,593,356 shares, respectively] | (40,920,583 | ) | (51,789,971 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (17,572,865 | ) | (19,364,503 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (13,951,371 | ) | (23,903,564 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 354,258,785 | 378,162,349 | ||||||
End of year | $ | 340,307,414 | $ | 354,258,785 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
LONG-TERM INVESTMENTS — 98.3% | Value (Note 2) | ||||
COMMON STOCKS | Shares | ||||
Aerospace/Defense — 2.9% | |||||
Boeing Co. | 189,636 | $ | 16,585,565 | ||
General Dynamics Corp. | 96,100 | 8,551,939 | |||
Goodrich Corp. | 28,600 | 2,019,446 | |||
Honeywell International, Inc. | 178,750 | 11,005,638 | |||
L-3 Communications Holdings, Inc. | 30,700 | 3,252,358 | |||
Lockheed Martin Corp. | 85,698 | 9,020,571 | |||
Northrop Grumman Corp. | 85,626 | 6,733,629 | |||
Precision Castparts Corp. | 33,500 | 4,646,450 | |||
Raytheon Co. | 108,318 | 6,574,903 | |||
Rockwell Collins, Inc. | 41,500 | 2,986,755 | |||
United Technologies Corp. | 240,500 | 18,407,870 | |||
89,785,124 | |||||
Air Freight & Logistics — 0.9% | |||||
C.H. Robinson Worldwide, Inc. | 36,800 | 1,991,616 | |||
Expeditors International of Washington, Inc. | 45,200 | 2,019,536 | |||
FedEx Corp. | 74,240 | 6,619,981 | |||
United Parcel Service, Inc. (Class B Stock) | 248,300 | 17,559,776 | |||
28,190,909 | |||||
Airlines — 0.1% | |||||
Southwest Airlines Co. | 176,637 | 2,154,971 | |||
Auto Components — 0.2% | |||||
Goodyear Tire & Rubber Co.(a)(b) | 44,200 | 1,247,324 | |||
Johnson Controls, Inc. | 138,300 | 4,984,332 | |||
6,231,656 | |||||
Automobiles — 0.3% | |||||
Ford Motor Co.(a)(b) | 471,545 | 3,173,498 | |||
General Motors Corp.(b) | 131,100 | 3,263,079 | |||
Harley-Davidson, Inc. | 63,100 | 2,947,401 | |||
9,383,978 | |||||
Beverages — 2.4% | |||||
Anheuser-Busch Cos., Inc. | 185,900 | 9,730,006 | |||
Brown-Forman Corp. (Class B Stock) | 16,200 | 1,200,582 | |||
Coca-Cola Co. (The) | 470,900 | 28,899,133 | |||
Coca-Cola Enterprises, Inc.(b) | 71,800 | 1,868,954 | |||
Constellation Brands, Inc. (Class A Stock)(a)(b) | 38,200 | 903,048 | |||
Molson Coors Brewing Co. (Class B Stock)(b) | 31,600 | 1,631,192 | |||
Pepsi Bottling Group, Inc. | 33,600 | 1,325,856 | |||
PepsiCo, Inc. | 382,640 | 29,042,376 | |||
74,601,147 | |||||
Biotechnology — 1.1% | |||||
Amgen, Inc.(a)(b) | 263,164 | 12,221,336 | |||
Biogen Idec, Inc.(a) | 64,525 | 3,672,763 | |||
Celgene Corp.(a) | 87,200 | 4,029,512 | |||
Genzyme Corp.(a) | 58,600 | 4,362,184 | |||
Gilead Sciences, Inc.(a)(b) | 219,800 | 10,112,998 | |||
34,398,793 | |||||
Building Products — 0.1% | |||||
Masco Corp. | 81,300 | 1,756,893 | |||
Trane, Inc. | 38,900 | 1,817,019 | |||
3,573,912 | |||||
Capital Markets — 3.4% | |||||
American Capital Strategies Ltd.(b) | 40,400 | 1,331,584 | |||
Ameriprise Financial, Inc. | 59,800 | 3,295,578 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Capital Markets (continued) | |||||
Bank of New York Mellon Corp. (The)(b) | 267,589 | $ | 13,047,640 | ||
Bear Stearns Cos., Inc.(b) | 29,610 | 2,613,083 | |||
Charles Schwab Corp. | 238,000 | 6,080,900 | |||
E*Trade Financial Corp.(a)(b) | 106,800 | 379,140 | |||
Federated Investors, Inc. (Class B Stock) | 22,600 | 930,216 | |||
Franklin Resources, Inc. | 39,900 | 4,565,757 | |||
Goldman Sachs Group, Inc.(b) | 97,600 | 20,988,880 | |||
Janus Capital Group, Inc.(b) | 54,200 | 1,780,470 | |||
Legg Mason, Inc. | 32,800 | 2,399,320 | |||
Lehman Brothers Holdings, Inc.(b) | 128,500 | 8,409,040 | |||
Merrill Lynch & Co., Inc.(b) | 209,400 | 11,240,592 | |||
Morgan Stanley | 254,010 | 13,490,471 | |||
Northern Trust Corp. | 44,700 | 3,423,126 | |||
State Street Corp. | 94,000 | 7,632,800 | |||
T. Rowe Price Group, Inc. | 62,600 | 3,811,088 | |||
105,419,685 | |||||
Chemicals — 1.8% | |||||
Air Products & Chemicals, Inc. | 50,800 | 5,010,404 | |||
Ashland, Inc. | 16,000 | 758,880 | |||
Dow Chemical Co. | 229,961 | 9,065,063 | |||
E.I. du Pont de Nemours & Co. | 220,291 | 9,712,630 | |||
Eastman Chemical Co. | 20,900 | 1,276,781 | |||
Ecolab, Inc. | 43,600 | 2,232,756 | |||
Hercules, Inc. | 27,900 | 539,865 | |||
International Flavors & Fragrances, Inc. | 18,700 | 900,031 | |||
Monsanto Co. | 128,696 | 14,374,056 | |||
PPG Industries, Inc. | 41,000 | 2,879,430 | |||
Praxair, Inc. | 75,200 | 6,670,992 | |||
Rohm and Haas Co.(b) | 30,300 | 1,608,021 | |||
Sigma-Aldrich Corp.(b) | 25,600 | 1,397,760 | |||
56,426,669 | |||||
Commercial Banks — 3.1% | |||||
BB&T Corp.(b) | 136,000 | 4,171,120 | |||
Comerica, Inc. | 43,250 | 1,882,673 | |||
Commerce Bancorp, Inc. | 41,700 | 1,590,438 | |||
Fifth Third Bancorp | 138,949 | 3,491,788 | |||
First Horizon National Corp.(b) | 29,600 | 537,240 | |||
Huntington Bancshares, Inc. | 103,475 | 1,527,291 | |||
KeyCorp.(b) | 105,500 | 2,473,975 | |||
M&T Bank Corp. | 20,100 | 1,639,557 | |||
Marshall & Ilsley Corp.(b) | 58,698 | 1,554,323 | |||
National City Corp.(b) | 152,500 | 2,510,150 | |||
PNC Financial Services Group, Inc. | 84,300 | 5,534,295 | |||
Regions Financial Corp. | 184,712 | 4,368,439 | |||
SunTrust Banks, Inc. | 85,100 | 5,317,899 | |||
Synovus Financial Corp.(b) | 71,900 | 1,731,352 | |||
US Bancorp | 411,181 | 13,050,885 | |||
Wachovia Corp.(b) | 471,455 | 17,929,434 | |||
Wells Fargo & Co. | 800,620 | 24,170,718 | |||
Zions Bancorporation | 27,700 | 1,293,313 | |||
94,774,890 | |||||
Commercial Services & Supplies — 0.5% | |||||
Allied Waste Industries, Inc.(a)(b) | 71,800 | 791,236 | |||
Avery Dennison Corp.(b) | 25,400 | 1,349,756 | |||
Cintas Corp.(b) | 28,500 | 958,170 |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Commercial Services & Supplies (continued) | |||||
Equifax, Inc. | 31,100 | $ | 1,130,796 | ||
Monster Worldwide, Inc.(a) | 22,900 | 741,960 | |||
Pitney Bowes, Inc. | 47,900 | 1,822,116 | |||
R.R. Donnelley & Sons Co. | 54,200 | 2,045,508 | |||
Robert Half International, Inc. | 43,200 | 1,168,128 | |||
Waste Management, Inc. | 126,130 | 4,120,667 | |||
14,128,337 | |||||
Communications Equipment — 2.5% | |||||
Ciena Corp.(a)(b) | 19,657 | 670,500 | |||
Cisco Systems, Inc.(a) | 1,461,300 | 39,557,391 | |||
Corning, Inc. | 371,500 | 8,912,285 | |||
JDS Uniphase Corp.(a)(b) | 29,387 | 390,847 | |||
Juniper Networks, Inc.(a) | 128,900 | 4,279,480 | |||
Motorola, Inc. | 549,595 | 8,815,504 | |||
QUALCOMM, Inc. | 396,100 | 15,586,535 | |||
Tellabs, Inc.(a) | 88,000 | 575,520 | |||
78,788,062 | |||||
Computers & Peripherals — 4.4% | |||||
Apple, Inc.(a) | 206,600 | 40,923,328 | |||
Dell, Inc.(a) | 533,000 | 13,063,830 | |||
EMC Corp.(a)(b) | 503,674 | 9,333,079 | |||
Hewlett-Packard Co. | 621,116 | 31,353,936 | |||
International Business Machines Corp. | 327,100 | 35,359,510 | |||
Lexmark International, Inc.(a)(b) | 23,614 | 823,184 | |||
Network Appliance, Inc.(a) | 92,100 | 2,298,816 | |||
QLogic Corp.(a) | 36,100 | 512,620 | |||
SanDisk Corp.(a)(b) | 47,800 | 1,585,526 | |||
Sun Microsystems, Inc.(a)(b) | 204,450 | 3,706,679 | |||
138,960,508 | |||||
Construction & Engineering — 0.2% | |||||
Fluor Corp. | 22,700 | 3,307,844 | |||
Jacobs Engineering Group, Inc.(a)(b) | 25,100 | 2,399,811 | |||
5,707,655 | |||||
Construction Materials — 0.1% | |||||
Vulcan Materials Co. | 22,800 | 1,803,252 | |||
Consumer Finance — 0.7% | |||||
American Express Co. | 278,700 | 14,497,974 | |||
Capital One Financial Corp.(b) | 98,069 | 4,634,741 | |||
Discover Financial Services | 127,405 | 1,921,267 | |||
SLM Corp.(b) | 98,400 | 1,981,776 | |||
23,035,758 | |||||
Containers & Packaging — 0.1% | |||||
Ball Corp. | 23,400 | 1,053,000 | |||
Bemis Co. | 22,900 | 627,002 | |||
Pactiv Corp.(a) | 33,000 | 878,790 | |||
Sealed Air Corp. | 39,820 | 921,435 | |||
3,480,227 | |||||
Distributors — 0.1% | |||||
Genuine Parts Co.(b) | 37,325 | 1,728,148 | |||
Diversified Consumer Services — 0.1% | |||||
Apollo Group, Inc. (Class A Stock)(a)(b) | 31,300 | 2,195,695 | |||
H&R Block, Inc. | 79,500 | 1,476,315 | |||
3,672,010 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A115
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Diversified Financial Services — 4.4% | |||||
Bank of America Corp. | 1,058,907 | $ | 43,690,503 | ||
CIT Group, Inc.(b) | 52,300 | 1,256,769 | |||
Citigroup, Inc. | 1,200,776 | 35,350,845 | |||
CME Group, Inc. | 12,870 | 8,828,820 | |||
IntercontinentalExchange, Inc.(a) | 15,700 | 3,022,250 | |||
JPMorgan Chase & Co. | 804,385 | 35,111,405 | |||
Leucadia National Corp.(b) | 38,500 | 1,813,350 | |||
Moody’s Corp.(b) | 58,420 | 2,085,594 | |||
NYSE Euronext | 61,700 | 5,415,409 | |||
136,574,945 | |||||
Diversified Telecommunication Services — 3.2% | |||||
AT&T, Inc. | 1,454,711 | 60,457,789 | |||
CenturyTel, Inc. | 30,000 | 1,243,800 | |||
Citizens Communications Co.(b) | 90,300 | 1,149,519 | |||
Embarq Corp. | 35,176 | 1,742,267 | |||
Qwest Communications International, Inc.(a)(b) | 391,647 | 2,745,445 | |||
Verizon Communications, Inc. | 688,438 | 30,077,856 | |||
Windstream Corp. | 117,565 | 1,530,696 | |||
98,947,372 | |||||
Electric Utilities — 2.0% | |||||
Allegheny Energy, Inc. | 37,600 | 2,391,736 | |||
American Electric Power Co., Inc. | 96,640 | 4,499,558 | |||
Duke Energy Corp. | 303,482 | 6,121,232 | |||
Edison International | 79,300 | 4,232,241 | |||
Entergy Corp. | 45,600 | 5,450,112 | |||
Exelon Corp. | 156,550 | 12,780,742 | |||
FirstEnergy Corp. | 72,336 | 5,232,786 | |||
FPL Group, Inc. | 95,700 | 6,486,546 | |||
Pepco Holdings, Inc. | 39,400 | 1,155,602 | |||
Pinnacle West Capital Corp. | 26,000 | 1,102,660 | |||
PPL Corp. | 90,500 | 4,714,145 | |||
Progress Energy, Inc. | 59,414 | 2,877,420 | |||
Southern Co. | 179,100 | 6,940,125 | |||
63,984,905 | |||||
Electrical Equipment — 0.5% | |||||
Cooper Industries, Ltd. (Class A Stock) | 46,000 | 2,432,480 | |||
Emerson Electric Co. | 188,400 | 10,674,744 | |||
Rockwell Automation, Inc. | 42,000 | 2,896,320 | |||
16,003,544 | |||||
Electronic Equipment & Instruments — 0.3% | |||||
Agilent Technologies, Inc.(a) | 101,382 | 3,724,775 | |||
Jabil Circuit, Inc. | 44,000 | 671,880 | |||
Molex, Inc. | 26,600 | 726,180 | |||
Tyco Electronics Ltd. | 120,960 | 4,491,245 | |||
9,614,080 | |||||
Energy Equipment & Services — 2.5% | |||||
Baker Hughes, Inc. | 73,630 | 5,971,393 | |||
BJ Services Co. | 59,300 | 1,438,618 | |||
ENSCO International, Inc. | 32,200 | 1,919,764 | |||
Halliburton Co. | 216,600 | 8,211,306 | |||
Nabors Industries Ltd.(a) | 65,600 | 1,796,784 | |||
National-Oilwell Varco, Inc.(a)(b) | 86,400 | 6,346,944 | |||
Noble Corp. | 60,600 | 3,424,506 | |||
Rowan Cos., Inc.(b) | 17,100 | 674,766 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Energy Equipment & Services (continued) | |||||
Schlumberger Ltd. | 282,900 | $ | 27,828,873 | ||
Smith International, Inc. | 43,900 | 3,242,015 | |||
Transocean, Inc. | 72,836 | 10,426,473 | |||
Weatherford International Ltd.(a) | 77,500 | 5,316,500 | |||
76,597,942 | |||||
Food & Staples Retailing — 2.3% | |||||
Costco Wholesale Corp. | 104,432 | 7,285,176 | |||
CVS Caremark Corp.(b) | 355,138 | 14,116,736 | |||
Kroger Co. | 178,000 | 4,754,380 | |||
Safeway, Inc. | 103,900 | 3,554,419 | |||
SUPERVALU, Inc. | 50,508 | 1,895,060 | |||
Sysco Corp. | 144,300 | 4,503,603 | |||
Walgreen Co.(b) | 230,300 | 8,769,824 | |||
Wal-Mart Stores, Inc. | 571,900 | 27,182,407 | |||
Whole Foods Market, Inc.(b) | 28,300 | 1,154,640 | |||
73,216,245 | |||||
Food Products — 1.4% | |||||
Archer-Daniels-Midland Co. | 154,938 | 7,193,771 | |||
Campbell Soup Co. | 48,800 | 1,743,624 | |||
ConAgra Food, Inc. | 114,000 | 2,712,060 | |||
Dean Foods Co. | 31,800 | 822,348 | |||
General Mills, Inc. | 78,500 | 4,474,500 | |||
H.J. Heinz Co. | 77,350 | 3,610,698 | |||
Hershey Co. (The)(b) | 43,300 | 1,706,020 | |||
Kellogg Co.(b) | 59,000 | 3,093,370 | |||
Kraft Foods, Inc. | 372,611 | 12,158,297 | |||
McCormick & Co., Inc. | 31,300 | 1,186,583 | |||
Sara Lee Corp. | 176,400 | 2,832,984 | |||
Tyson Foods, Inc. (Class A Stock)(b) | 49,800 | 763,434 | |||
Wm. Wrigley Jr. Co. | 49,100 | 2,874,805 | |||
45,172,494 | |||||
Gas Utilities — 0.1% | |||||
Nicor, Inc. | 12,200 | 516,670 | |||
Questar Corp. | 39,800 | 2,153,180 | |||
2,669,850 | |||||
Healthcare Equipment & Supplies — 1.7% | |||||
Baxter International, Inc. | 156,500 | 9,084,825 | |||
Becton Dickinson & Co. | 57,700 | 4,822,566 | |||
Boston Scientific Corp.(a)(b) | 289,799 | 3,370,362 | |||
C.R. Bard, Inc. | 24,600 | 2,332,080 | |||
Covidien Ltd. | 113,960 | 5,047,288 | |||
Hospira, Inc.(a)(b) | 39,920 | 1,702,189 | |||
Medtronic, Inc. | 277,700 | 13,959,979 | |||
St. Jude Medical, Inc.(a) | 83,100 | 3,377,184 | |||
Stryker Corp. | 57,500 | 4,296,400 | |||
Varian Medical Systems, Inc.(a)(b) | 23,200 | 1,210,112 | |||
Zimmer Holdings, Inc.(a) | 57,286 | 3,789,469 | |||
52,992,454 | |||||
Healthcare Providers & Services — 2.4% | |||||
Aetna, Inc. | 121,448 | 7,011,193 | |||
AmerisourceBergen Corp. | 46,200 | 2,072,994 | |||
Cardinal Health, Inc. | 87,975 | 5,080,556 | |||
CIGNA Corp. | 71,700 | 3,852,441 | |||
Coventry Health Care, Inc.(a) | 38,450 | 2,278,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Healthcare Providers & Services (continued) | |||||
Express Scripts, Inc.(a) | 64,000 | $ | 4,672,000 | ||
Humana, Inc.(a) | 40,800 | 3,072,648 | |||
Laboratory Corp. of America Holdings(a)(b) | 27,600 | 2,084,628 | |||
McKesson Corp. | 68,107 | 4,461,690 | |||
Medco Health Solutions, Inc.(a) | 64,296 | 6,519,614 | |||
Patterson Cos., Inc.(a)(b) | 24,300 | 824,985 | |||
Quest Diagnostics, Inc.(b) | 38,300 | 2,026,070 | |||
Tenet Healthcare Corp.(a)(b) | 90,000 | 457,200 | |||
UnitedHealth Group, Inc. | 314,900 | 18,327,180 | |||
WellPoint, Inc.(a) | 140,700 | 12,343,611 | |||
75,084,973 | |||||
Healthcare Technology | |||||
IMS Health, Inc. | 51,320 | 1,182,413 | |||
Hotels, Restaurants & Leisure — 1.4% | |||||
Carnival Corp. | 103,800 | 4,618,062 | |||
Darden Restaurants, Inc.(b) | 38,650 | 1,070,992 | |||
Harrah’s Entertainment, Inc. | 41,950 | 3,723,063 | |||
International Game Technology | 73,000 | 3,206,890 | |||
Marriott International, Inc. (Class A Stock)(b) | 72,600 | 2,481,468 | |||
McDonald’s Corp.(b) | 282,300 | 16,630,293 | |||
Starbucks Corp.(a) | 167,100 | 3,420,537 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 48,500 | 2,135,455 | |||
Wendy’s International, Inc. | 21,700 | 560,728 | |||
Wyndham Worldwide Corp. | 44,763 | 1,054,616 | |||
Yum! Brands, Inc.(b) | 124,600 | 4,768,442 | |||
43,670,546 | |||||
Household Durables — 0.4% | |||||
Black & Decker Corp. | 16,500 | 1,149,225 | |||
Centex Corp. | 24,600 | 621,396 | |||
D.R. Horton, Inc.(b) | 52,200 | 687,474 | |||
Fortune Brands, Inc. | 33,000 | 2,387,880 | |||
Harman International Industries, Inc. | 14,100 | 1,039,311 | |||
KB Home(b) | 17,232 | 372,211 | |||
Leggett & Platt, Inc. | 44,300 | 772,592 | |||
Lennar Corp. (Class A Stock)(b) | 29,000 | 518,810 | |||
Newell Rubbermaid, Inc. | 64,649 | 1,673,116 | |||
Pulte Homes, Inc. | 35,700 | 376,278 | |||
Snap-On, Inc. | 12,300 | 593,352 | |||
Stanley Works | 19,100 | 925,968 | |||
Whirlpool Corp. | 17,507 | 1,429,096 | |||
12,546,709 | |||||
Household Products — 2.4% | |||||
Clorox Co.(b) | 32,600 | 2,124,542 | |||
Colgate-Palmolive Co. | 120,200 | 9,370,792 | |||
Kimberly-Clark Corp. | 108,588 | 7,529,492 | |||
Procter & Gamble Co. | 745,781 | 54,755,241 | |||
73,780,067 | |||||
Independent Power Producers & Energy Traders — 0.3% | |||||
AES Corp.(a) | 159,700 | 3,415,983 | |||
Constellation Energy Group, Inc. | 43,450 | 4,454,929 | |||
Dynegy, Inc.(a) | 87,800 | 626,892 | |||
8,497,804 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A118
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Industrial Conglomerates — 3.6% | |||||
3M Co. | 170,200 | $ | 14,351,264 | ||
General Electric Co. | 2,421,500 | 89,765,004 | |||
Textron, Inc. | 57,800 | 4,121,140 | |||
Tyco International Ltd. | 120,960 | 4,796,064 | |||
113,033,472 | |||||
Insurance — 4.0% | |||||
ACE Ltd. | 81,700 | 5,047,426 | |||
AFLAC, Inc. | 114,700 | 7,183,661 | |||
Allstate Corp. | 143,488 | 7,494,378 | |||
Ambac Financial Group, Inc.(b) | 31,800 | 819,486 | |||
American International Group, Inc.(b) | 610,987 | 35,620,542 | |||
Aon Corp.(b) | 66,925 | 3,191,653 | |||
Assurant, Inc.(b) | 24,500 | 1,639,050 | |||
Chubb Corp. | 99,300 | 5,419,794 | |||
Cincinnati Financial Corp. | 43,228 | 1,709,235 | |||
Genworth Financial, Inc. (Class A Stock) | 112,300 | 2,858,035 | |||
Hartford Financial Services Group, Inc. | 78,300 | 6,826,977 | |||
Lincoln National Corp. | 68,063 | 3,962,628 | |||
Loews Corp. | 105,800 | 5,325,972 | |||
Marsh & McLennan Co., Inc. | 123,100 | 3,258,457 | |||
MBIA, Inc.(b) | 36,550 | 680,927 | |||
MetLife, Inc. | 180,500 | 11,122,410 | |||
Principal Financial Group, Inc. | 61,300 | 4,219,892 | |||
Progressive Corp. | 165,100 | 3,163,316 | |||
SAFECO Corp. | 26,600 | 1,481,088 | |||
Torchmark Corp. | 24,100 | 1,458,773 | |||
Travelers Cos., Inc | 160,398 | 8,629,412 | |||
UnumProvident Corp. | 86,456 | 2,056,788 | |||
XL Capital Ltd. (Class A Stock) | 46,300 | 2,329,353 | |||
125,499,253 | |||||
Internet & Catalog Retail — 0.3% | |||||
Amazon.Com, Inc.(a)(b) | 69,500 | 6,438,480 | |||
Expedia, Inc.(a)(b) | 40,400 | 1,277,448 | |||
IAC/InterActiveCorp(a)(b) | 45,200 | 1,216,784 | |||
8,932,712 | |||||
Internet Software & Services — 1.8% | |||||
Akamai Technologies, Inc.(a)(b) | 30,400 | 1,051,840 | |||
eBay, Inc.(a)(b) | 277,100 | 9,196,949 | |||
Google, Inc. (Class A Stock)(a) | 54,750 | 37,858,530 | |||
VeriSign, Inc.(a)(b) | 47,500 | 1,786,475 | |||
Yahoo!, Inc.(a) | 310,900 | 7,231,534 | |||
57,125,328 | |||||
IT Services — 0.8% | |||||
Affiliated Computer Services, Inc. (Class A Stock)(a) | 25,300 | 1,141,030 | |||
Automatic Data Processing, Inc. | 136,000 | 6,056,080 | |||
Cognizant Technology Solutions Corp. (Class A Stock)(a) | 64,600 | 2,192,524 | |||
Computer Sciences Corp.(a) | 42,700 | 2,112,369 | |||
Convergys Corp.(a) | 37,600 | 618,896 | |||
Electronic Data Systems Corp. | 123,300 | 2,556,009 | |||
Fidelity National Information Services, Inc. | 34,400 | 1,430,696 | |||
Fiserv, Inc.(a)(b) | 36,700 | 2,036,483 | |||
Paychex, Inc. | 78,950 | 2,859,569 | |||
Unisys Corp.(a)(b) | 67,000 | 316,910 | |||
Western Union Co. | 172,404 | 4,185,969 | |||
25,506,535 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A119
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Leisure Equipment & Products — 0.1% | |||||
Brunswick Corp.(b) | 21,300 | $ | 363,165 | ||
Eastman Kodak Co.(b) | 57,000 | 1,246,590 | |||
Hasbro, Inc. | 42,650 | 1,090,987 | |||
Mattel, Inc. | 92,881 | 1,768,454 | |||
4,469,196 | |||||
Life Sciences, Tools & Services — 0.4% | |||||
Applera Corp.-Applied Biosystems Group | 39,600 | 1,343,232 | |||
Millipore Corp.(a)(b) | 10,800 | 790,344 | |||
PerkinElmer, Inc. | 31,000 | 806,620 | |||
Thermo Fisher Scientific, Inc.(a) | 103,500 | 5,969,880 | |||
Waters Corp.(a) | 27,600 | 2,182,332 | |||
11,092,408 | |||||
Machinery — 1.9% | |||||
Caterpillar, Inc.(b) | 153,300 | 11,123,448 | |||
Cummins, Inc. | 24,800 | 3,158,776 | |||
Danaher Corp. | 55,800 | 4,895,892 | |||
Deere & Co. | 106,800 | 9,945,216 | |||
Dover Corp. | 50,500 | 2,327,545 | |||
Eaton Corp. | 35,500 | 3,441,725 | |||
Illinois Tool Works, Inc. | 99,100 | 5,305,814 | |||
Ingersoll-Rand Co. Ltd. (Class A Stock) | 76,100 | 3,536,367 | |||
ITT Corp. | 43,500 | 2,872,740 | |||
Manitowoc Co., Inc. (The)(b) | 22,900 | 1,118,207 | |||
PACCAR, Inc. | 88,228 | 4,806,661 | |||
Pall Corp.(b) | 23,200 | 935,424 | |||
Parker Hannifin Corp. | 42,187 | 3,177,103 | |||
Terex Corp.(a) | 24,200 | 1,586,794 | |||
58,231,712 | |||||
Media — 2.8% | |||||
CBS Corp. (Class B Stock)(b) | 181,368 | 4,942,278 | |||
Clear Channel Communications, Inc. | 114,100 | 3,938,732 | |||
Comcast Corp. (Class A Stock)(a)(b) | 738,045 | 13,476,702 | |||
DIRECTV Group, Inc. (The)(a) | 181,500 | 4,196,280 | |||
E.W. Scripps Co. (The) (Class A Stock) | 16,700 | 751,667 | |||
Gannett Co., Inc.(b) | 59,100 | 2,304,900 | |||
Interpublic Group of Cos., Inc.(a) | 84,700 | 686,917 | |||
McGraw-Hill Cos., Inc. | 77,700 | 3,404,037 | |||
Meredith Corp. | 11,000 | 604,780 | |||
New York Times Co. (Class A Stock)(b) | 36,500 | 639,845 | |||
News Corp. (Class A Stock) | 536,000 | 10,982,640 | |||
Omnicom Group, Inc. | 80,600 | 3,830,918 | |||
Time Warner, Inc. | 891,020 | 14,710,740 | |||
Viacom, Inc. (Class B Stock)(a) | 166,768 | 7,324,451 | |||
Walt Disney Co. (The) | 460,901 | 14,877,884 | |||
Washington Post Co. (The) (Class B Stock) | 600 | 474,858 | |||
87,147,629 | |||||
Metals & Mining — 1.0% | |||||
Alcoa, Inc. | 211,476 | 7,729,448 | |||
Allegheny Technologies, Inc.(b) | 22,640 | 1,956,096 | |||
Freeport-McMoRan Copper & Gold, Inc. (Class B Stock) | 89,006 | 9,117,775 | |||
Newmont Mining Corp. | 107,703 | 5,259,137 | |||
Nucor Corp. | 70,700 | 4,186,854 | |||
Titanium Metals Corp.(b) | 7,100 | 187,795 | |||
United States Steel Corp. | 27,740 | 3,354,043 | |||
31,791,148 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Multiline Retail — 0.7% | |||||
Big Lots, Inc.(a)(b) | 26,200 | $ | 418,938 | ||
Dillard’s, Inc. | 4,650 | 87,327 | |||
Family Dollar Stores, Inc.(b) | 37,100 | 713,433 | |||
J.C. Penney Co., Inc. | 54,400 | 2,393,056 | |||
Kohl’s Corp.(a) | 77,500 | 3,549,500 | |||
Macy’s, Inc. | 103,420 | 2,675,475 | |||
Nordstrom, Inc. | 48,000 | 1,763,040 | |||
Sears Holdings Corp.(a)(b) | 15,812 | 1,613,615 | |||
Target Corp. | 194,168 | 9,708,400 | |||
22,922,784 | |||||
Multi-Utilities — 1.1% | |||||
Ameren Corp.(b) | 47,100 | 2,553,291 | |||
CenterPoint Energy, Inc. | 79,010 | 1,353,441 | |||
CMS Energy Corp.(b) | 43,000 | 747,340 | |||
Consolidated Edison, Inc.(b) | 62,800 | 3,067,780 | |||
Dominion Resources, Inc. | 138,884 | 6,590,046 | |||
DTE Energy Co.(b) | 39,200 | 1,723,232 | |||
Integrys Energy Group, Inc. | 17,750 | 917,498 | |||
NiSource, Inc. | 73,000 | 1,378,970 | |||
PG&E Corp. | 80,600 | 3,473,054 | |||
Public Service Enterprise Group, Inc. | 60,300 | 5,923,872 | |||
Sempra Energy | 60,754 | 3,759,458 | |||
TECO Energy, Inc. | 42,100 | 724,541 | |||
Xcel Energy, Inc. | 104,895 | 2,367,480 | |||
34,580,003 | |||||
Office Electronics — 0.1% | |||||
Xerox Corp. | 246,892 | 3,997,181 | |||
Oil, Gas & Consumable Fuels — 10.1% | |||||
Anadarko Petroleum Corp.(b) | 112,226 | 7,372,126 | |||
Apache Corp. | 78,750 | 8,468,775 | |||
Chesapeake Energy Corp. | 104,700 | 4,104,240 | |||
Chevron Corp. | 507,992 | 47,410,893 | |||
ConocoPhillips | 387,079 | 34,179,076 | |||
Consol Energy, Inc. | 40,000 | 2,860,800 | |||
Devon Energy Corp. | 107,200 | 9,531,152 | |||
El Paso Corp. | 168,611 | 2,906,854 | |||
EOG Resources, Inc.(b) | 59,700 | 5,328,225 | |||
Exxon Mobil Corp. | 1,307,770 | 122,524,970 | |||
Hess Corp. | 66,000 | 6,656,760 | |||
Marathon Oil Corp. | 172,094 | 10,473,641 | |||
Murphy Oil Corp. | 43,100 | 3,656,604 | |||
Noble Energy, Inc. | 37,300 | 2,966,096 | |||
Occidental Petroleum Corp. | 199,600 | 15,367,204 | |||
Peabody Energy Corp.(b) | 57,300 | 3,531,972 | |||
Range Resources Corp. | 27,600 | 1,417,536 | |||
Spectra Energy Corp. | 154,242 | 3,982,528 | |||
Sunoco, Inc. | 27,000 | 1,955,880 | |||
Tesoro Corp. | 27,100 | 1,292,670 | |||
Valero Energy Corp. | 133,900 | 9,377,017 | |||
Williams Cos., Inc. | 150,000 | 5,367,000 | |||
XTO Energy, Inc. | 112,500 | 5,778,000 | |||
316,510,019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A121
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Paper & Forest Products — 0.3% | |||||
International Paper Co. | 107,267 | $ | 3,473,305 | ||
MeadWestvaco Corp.(b) | 45,589 | 1,426,936 | |||
Weyerhaeuser Co. | 48,000 | 3,539,520 | |||
8,439,761 | |||||
Personal Products — 0.2% | |||||
Avon Products, Inc. | 104,100 | 4,115,073 | |||
Estee Lauder Cos., Inc. (The)(b) | 25,500 | 1,112,055 | |||
5,227,128 | |||||
Pharmaceuticals — 6.2% | |||||
Abbott Laboratories | 367,200 | 20,618,280 | |||
Allergan, Inc.(b) | 68,800 | 4,419,712 | |||
Barr Pharmaceuticals, Inc.(a)(b) | 19,900 | 1,056,690 | |||
Bristol-Myers Squibb Co. | 475,660 | 12,614,503 | |||
Eli Lilly & Co. | 242,300 | 12,936,397 | |||
Forest Laboratories, Inc.(a) | 76,500 | 2,788,425 | |||
Johnson & Johnson | 687,771 | 45,874,326 | |||
King Pharmaceuticals, Inc.(a) | 62,033 | 635,218 | |||
Merck & Co., Inc. | 518,100 | 30,106,791 | |||
Mylan Laboratories, Inc.(b) | 50,500 | 710,030 | |||
Pfizer, Inc. | 1,653,408 | 37,581,964 | |||
Schering-Plough Corp.(b) | 379,600 | 10,112,544 | |||
Watson Pharmaceuticals, Inc.(a)(b) | 27,900 | 757,206 | |||
Wyeth | 318,900 | 14,092,191 | |||
194,304,277 | |||||
Real Estate Investment Trust — 1.0% | |||||
Apartment Investment & Management Co. (Class A Stock)(b) | 23,100 | 802,263 | |||
AvalonBay Communities, Inc.(b) | 17,900 | 1,685,106 | |||
Boston Properties, Inc.(b) | 27,600 | 2,533,956 | |||
Developers Diversified Realty Corp. | 26,400 | 1,010,856 | |||
Equity Residential Properties Trust(b) | 66,700 | 2,432,549 | |||
General Growth Properties, Inc.(b) | 56,400 | 2,322,552 | |||
Host Hotels & Resorts, Inc.(b) | 129,000 | 2,198,160 | |||
Kimco Realty Corp.(b) | 57,100 | 2,078,440 | |||
Plum Creek Timber Co., Inc.(b) | 37,000 | 1,703,480 | |||
ProLogis(b) | 63,000 | 3,992,940 | |||
Public Storage, Inc. | 28,700 | 2,106,867 | |||
Simon Property Group, Inc.(b) | 52,800 | 4,586,208 | |||
Vornado Realty Trust | 30,400 | 2,673,680 | |||
30,127,057 | |||||
Real Estate Management & Development | |||||
CB Richard Ellis Group, Inc. (Class A Stock)(a)(b) | 45,100 | 971,905 | |||
Road & Rail — 0.8% | |||||
Burlington Northern Santa Fe Corp. | 69,826 | 5,811,618 | |||
CSX Corp.(b) | 103,624 | 4,557,384 | |||
Norfolk Southern Corp.(b) | 91,600 | 4,620,304 | |||
Ryder System, Inc. | 12,800 | 601,728 | |||
Union Pacific Corp. | 62,900 | 7,901,498 | |||
23,492,532 | |||||
Semiconductors & Semiconductor Equipment — 2.6% | |||||
Advanced Micro Devices, Inc.(a)(b) | 106,900 | 801,750 | |||
Altera Corp.(b) | 82,700 | 1,597,764 | |||
Analog Devices, Inc. | 75,700 | 2,399,690 | |||
Applied Materials, Inc.(b) | 304,500 | 5,407,920 | |||
Broadcom Corp. (Class A Stock)(a)(b) | 103,550 | 2,706,797 |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||
(continued) | Shares | ||||
Semiconductors & Semiconductor Equipment (continued) | |||||
Intel Corp. | 1,402,800 | $ | 37,398,648 | ||
KLA-Tencor Corp.(b) | 42,400 | 2,041,984 | |||
Linear Technology Corp.(b) | 56,800 | 1,807,944 | |||
LSI Logic Corp.(a)(b) | 135,700 | 720,567 | |||
MEMC Electronic Materials, Inc.(a) | 51,000 | 4,512,990 | |||
Microchip Technology, Inc.(b) | 44,200 | 1,388,764 | |||
Micron Technology, Inc.(a)(b) | 154,900 | 1,123,025 | |||
National Semiconductor Corp.(b) | 60,700 | 1,374,248 | |||
Novellus Systems, Inc.(a) | 30,400 | 838,128 | |||
NVIDIA Corp.(a)(b) | 129,850 | 4,417,497 | |||
Teradyne, Inc.(a)(b) | 40,800 | 421,872 | |||
Texas Instruments, Inc.(b) | 343,100 | 11,459,540 | |||
Xilinx, Inc. | 75,700 | 1,655,559 | |||
82,074,687 | |||||
Software — 3.8% | |||||
Adobe Systems, Inc.(a) | 141,700 | 6,054,841 | |||
Autodesk, Inc.(a)(b) | 50,400 | 2,507,904 | |||
BMC Software, Inc.(a) | 57,900 | 2,063,556 | |||
CA, Inc. | 105,773 | 2,639,036 | |||
Citrix Systems, Inc.(a)(b) | 35,900 | 1,364,559 | |||
Compuware Corp.(a)(b) | 78,400 | 696,192 | |||
Electronic Arts, Inc.(a)(b) | 68,200 | 3,983,562 | |||
Intuit, Inc.(a) | 91,600 | 2,895,476 | |||
Microsoft Corp.(b) | 1,928,400 | 68,651,040 | |||
Novell, Inc.(a) | 73,100 | 502,197 | |||
Oracle Corp.(a) | 951,320 | 21,480,806 | |||
Symantec Corp.(a) | 238,111 | 3,843,112 | |||
Teradata Corp.(a) | 46,300 | 1,269,083 | |||
117,951,364 | |||||
Specialty Retail — 1.5% | |||||
Abercrombie & Fitch Co. | 20,500 | 1,639,385 | |||
AutoNation, Inc.(a)(b) | 40,589 | 635,624 | |||
AutoZone, Inc.(a) | 11,700 | 1,402,947 | |||
Bed Bath & Beyond, Inc.(a) | 59,100 | 1,736,949 | |||
Best Buy Co., Inc. | 91,925 | 4,839,851 | |||
Circuit City Stores, Inc. | 12,000 | 50,400 | |||
GameStop Corp. (Class A Stock)(a) | 31,900 | 1,981,309 | |||
Gap, Inc.(b) | 115,587 | 2,459,692 | |||
Home Depot, Inc. | 400,219 | 10,781,900 | |||
Limited Brands, Inc.(b) | 76,796 | 1,453,748 | |||
Lowe’s Cos., Inc. | 342,000 | 7,736,040 | |||
Office Depot, Inc.(a)(b) | 68,800 | 957,008 | |||
OfficeMax, Inc. | 16,786 | 346,799 | |||
RadioShack Corp.(b) | 31,760 | 535,474 | |||
Sherwin-Williams Co.(b) | 27,000 | 1,567,080 | |||
Staples, Inc. | 163,000 | 3,760,410 | |||
Tiffany & Co. | 28,300 | 1,302,649 | |||
TJX Cos., Inc. | 107,100 | 3,076,983 | |||
46,264,248 | |||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||
Coach, Inc.(a) | 84,200 | 2,574,836 | |||
Jones Apparel Group, Inc.(b) | 28,000 | 447,720 | |||
Liz Claiborne, Inc.(b) | 26,400 | 537,240 | |||
NIKE, Inc., (Class B Stock) | 88,600 | 5,691,664 | |||
Polo Ralph Lauren Corp. | 13,200 | 815,628 | |||
V.F. Corp. | 22,536 | 1,547,322 | |||
11,614,410 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
COMMON STOCKS | Value (Note 2) | ||||||
(continued) | Shares | ||||||
Thrifts & Mortgage Finance — 0.7% | |||||||
Countrywide Financial Corp.(b) | 151,098 | $ | 1,350,816 | ||||
Fannie Mae | 230,000 | 9,195,400 | |||||
Freddie Mac | 149,300 | 5,086,651 | |||||
Hudson City Bancorp, Inc. | 145,800 | 2,189,916 | |||||
MGIC Investment Corp.(b) | 23,600 | 529,348 | |||||
Sovereign Bancorp, Inc.(b) | 87,405 | 996,417 | |||||
Washington Mutual, Inc.(b) | 218,126 | 2,968,695 | |||||
22,317,243 | |||||||
Tobacco — 1.4% | |||||||
Altria Group, Inc. | 500,000 | 37,790,000 | |||||
Reynolds American, Inc.(b) | 46,400 | 3,060,544 | |||||
UST, Inc. | 37,400 | 2,049,520 | |||||
42,900,064 | |||||||
Trading Companies & Distributors | |||||||
W.W. Grainger, Inc. | 14,800 | 1,295,296 | |||||
Wireless Telecommunication Services — 0.4% | |||||||
American Tower Corp. (Class A Stock)(a) | 88,000 | 3,748,800 | |||||
Sprint Nextel Corp. | 688,522 | 9,040,294 | |||||
12,789,094 | |||||||
TOTAL LONG-TERM INVESTMENTS | 3,067,390,480 | ||||||
SHORT-TERM INVESTMENTS — 15.3% | |||||||
Affiliated Money Market Mutual Fund — 15.2% | |||||||
Dryden Core Investment Fund — Taxable Money Market Series | 476,101,440 | 476,101,440 | |||||
Principal Amount (000) | |||||||
U.S. Government Obligation — 0.1% | |||||||
United States Treasury Bills(d)(e) | $ | 3,000 | 2,979,525 | ||||
TOTAL SHORT-TERM INVESTMENTS | 479,080,965 | ||||||
TOTAL INVESTMENTS — 113.6% | 3,546,471,445 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(g) — (13.6%) | (424,075,228 | ) | |||||
NET ASSETS — 100.0% | $ | 3,122,396,217 | |||||
(a) | Non income-producing security. |
(b) | All or portion of security is on loan. The aggregate market value of such securities is $411,116,874 cash collateral of $428,571,796 (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
(g) | Liabilities in excess of other assets include net unrealized appreciation on financial futures as follows: |
Open futures contract outstanding at December 31, 2007:
Number of Contracts | Type | Expiration Date | Value at December 31, 2007 | Value at Trade Date | Unrealized Appreciation | ||||||||
Long Position: | |||||||||||||
145 | S&P 500 Index | Mar. 2008 | $ | 53,548,500 | $ | 53,023,450 | $ | 525,050 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2007 was as follows:
Affiliated Money Market Mutual Fund (including 13.7% of collateral received for securities on loan) | 15.2 | % | |
Oil, Gas & Consumable Fuels | 10.1 | ||
Pharmaceuticals | 6.2 | ||
Computers & Peripherals | 4.4 | ||
Diversified Financial Services | 4.4 | ||
Insurance | 4.0 | ||
Software | 3.8 | ||
Industrial Conglomerates | 3.6 | ||
Capital Markets | 3.4 | ||
Diversified Telecommunication Services | 3.2 | ||
Commercial Banks | 3.1 | ||
Aerospace/Defense | 2.9 | ||
Media | 2.8 | ||
Semiconductors & Semiconductor Equipment | 2.6 | ||
Communications Equipment | 2.5 | ||
Energy Equipment & Services | 2.5 | ||
Beverages | 2.4 | ||
Healthcare Providers & Services | 2.4 | ||
Household Products | 2.4 | ||
Food & Staples Retailing | 2.3 | ||
Electric Utilities | 2.0 | ||
Machinery | 1.9 | ||
Chemicals | 1.8 | ||
Internet Software & Services | 1.8 | ||
Healthcare Equipment & Supplies | 1.7 | ||
Specialty Retail | 1.5 | ||
Food Products | 1.4 | ||
Hotels, Restaurants & Leisure | 1.4 | ||
Tobacco | 1.4 | ||
Biotechnology | 1.1 | ||
Multi-Utilities | 1.1 | ||
Metals & Mining | 1.0 | ||
Real Estate Investment Trust | 1.0 | ||
Air Freight & Logistics | 0.9 | ||
IT Services | 0.8 | ||
Road & Rail | 0.8 | ||
Consumer Finance | 0.7 | ||
Multiline Retail | 0.7 | ||
Thrifts & Mortgage Finance | 0.7 | ||
Commercial Services & Supplies | 0.5 | ||
Electrical Equipment | 0.5 | ||
Household Durables | 0.4 | ||
Life Sciences, Tools & Services | 0.4 | ||
Textiles, Apparel & Luxury Goods | 0.4 | ||
Wireless Telecommunication Services | 0.4 | ||
Automobiles | 0.3 | ||
Electronic Equipment & Instruments | 0.3 | ||
Independent Power Producers & Energy Traders | 0.3 | ||
Internet & Catalog Retail | 0.3 | ||
Paper & Forest Products | 0.3 | ||
Auto Components | 0.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
STOCK INDEX PORTFOLIO (Continued) |
SCHEDULE OF INVESTMENTS | December 31, 2007 |
Construction & Engineering | 0.2 | % | |
Personal Products | 0.2 | ||
Airlines | 0.1 | ||
Building Products | 0.1 | ||
Construction Materials | 0.1 | ||
Containers & Packaging | 0.1 | ||
Distributors | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gas Utilities | 0.1 | ||
Leisure Equipment & Products | 0.1 | ||
Office Electronics | 0.1 | ||
U.S. Government Obligation | 0.1 | ||
113.6 | |||
Liabilities in excess of other assets | (13.6 | ) | |
100.0 | % | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A126
STOCK INDEX PORTFOLIO (Continued) |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2007
ASSETS | |||
Investments, at value including securities on loan of $411,116,874: | |||
Unaffiliated investments (cost $1,635,534,989) | $ | 3,070,370,005 | |
Affiliated investments (cost $476,101,440) | 476,101,440 | ||
Cash | 354,725 | ||
Dividends receivable | 4,811,425 | ||
Receivable for investments sold | 4,284,034 | ||
Receivable for Series shares sold | 59,056 | ||
Prepaid expenses | 36,474 | ||
Total Assets | 3,556,017,159 | ||
LIABILITIES | |||
Collateral for securities on loan | 428,571,796 | ||
Payable for investments purchased | 2,577,225 | ||
Management fee payable | 937,923 | ||
Payable for Series shares repurchased | 790,890 | ||
Accrued expenses | 446,254 | ||
Due to broker-variation margin | 296,225 | ||
Transfer agent fee payable | 629 | ||
Total Liabilities | 433,620,942 | ||
NET ASSETS | $ | 3,122,396,217 | |
Net assets were comprised of: | |||
Paid-in capital | $ | 1,689,955,955 | |
Retained earnings | 1,432,440,262 | ||
Net assets, December 31, 2007 | $ | 3,122,396,217 | |
Net asset value and redemption price per share, $3,122,396,217 / 84,766,386 outstanding shares of beneficial interest (authorized 275,000,000 shares) | $ | 36.84 | |
STATEMENT OF OPERATIONS
Year Ended December 31, 2007
INVESTMENT INCOME | |||
Unaffiliated dividend income | $ | 65,139,259 | |
Affiliated dividend income | 2,788,704 | ||
Affiliated income from securities loaned, net | 946,420 | ||
Interest | 155,761 | ||
69,030,144 | |||
EXPENSES | |||
Management fee | 11,519,701 | ||
Custodian’s fees and expenses | 324,000 | ||
Insurance expenses | 71,000 | ||
Trustees’ fees | 53,000 | ||
Shareholders’ reports | 37,000 | ||
Legal fees and expenses | 18,000 | ||
Audit fee | 16,000 | ||
Commitment fee on syndicated credit agreement | 12,000 | ||
Transfer agent’s fee and expenses (including affiliated expense of $4,300) (Note 4) | 5,000 | ||
Miscellaneous | 14,500 | ||
Total expenses | 12,070,201 | ||
NET INVESTMENT INCOME | 56,959,943 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||
Net realized gain on: | |||
Investment transactions | 76,496,272 | ||
Futures transactions | 263,093 | ||
76,759,365 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 34,182,519 | ||
Futures | 419,812 | ||
34,602,331 | |||
NET GAIN ON INVESTMENTS | 111,361,696 | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 168,321,639 | |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2007 | 2006 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 56,959,943 | $ | 51,532,817 | ||||
Net realized gain (loss) on investment transactions | 76,759,365 | (66,612,227 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 34,602,331 | 477,113,399 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 168,321,639 | 462,033,989 | ||||||
DISTRIBUTIONS | (51,529,141 | ) | (59,982,933 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [1,884,280 and 2,413,005 shares, respectively] | 70,200,353 | 80,048,346 | ||||||
Series shares issued in reinvestment of distributions [1,400,248 and 1,700,891 shares, respectively] | 51,529,141 | 59,982,933 | ||||||
Series shares repurchased [11,303,103 and 13,622,829 shares, respectively] | (422,534,751 | ) | (448,417,431 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | (300,805,257 | ) | (308,386,152 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (184,012,759 | ) | 93,664,904 | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,306,408,976 | 3,212,744,072 | ||||||
End of year | $ | 3,122,396,217 | $ | 3,306,408,976 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is 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 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, government agency 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.
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.
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
B1
prices on such exchange, or at the last bid price in the absence of an asked price. 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. 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, 2007, the Global Portfolio 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 their short-term debt securities. Short-term debt 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 debt securities which mature in 60 days or less are valued at amortized cost which approximates market value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of any discount or premium.
The Diversified Bond 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 these portfolios at December 31, 2007 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.
B2
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.
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 negotiated 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. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. 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 (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on financial futures contracts.
B3
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 may involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.
Securities Lending: Each Portfolio of 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 Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio 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 Portfolio 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.
Dollar Rolls: The Fund enters into mortgage dollar rolls in which the Fund sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Fund maintains a segregated account, the dollar value of which is a least equal to its obligations, with respect to dollar rolls.
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.
B4
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 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 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 income tax. Partners of each Portfolio are subject to taxes on their distributive share of partnership earnings.
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.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond and Government Income Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.
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 Portfolios bear 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 |
B5
At December 31, 2007, 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 | |
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) exceed the percentage stated below.
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”).
* Effective July 1, 2007, the expense limitation was removed.
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 also serves as the Series Fund’s security lending agent. For the year ended December 31, 2007, PIM was compensated as follows for these services by the Series Fund Portfolios:
Portfolio | PIM | ||
Conservative Balanced Portfolio | $ | 230,375 | |
Diversified Bond Portfolio | 101,608 | ||
Equity Portfolio | 795,224 | ||
Flexible Managed Portfolio | 385,184 | ||
Global Portfolio | 90,118 | ||
Government Income Portfolio | 28,951 | ||
Stock Index Portfolio | 405,608 |
B6
Pursuant to an exemptive order received from the Securities and Exchange Commission, certain Portfolios invest in the Taxable Money Market Series and Short-Term Bond Series, both registered under the Investment Company Act of 1940, as amended, and managed by PI and both of which are portfolios of Dryden Core Investment Fund.
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, 2007 were as follows:
Cost of Purchases:
Portfolio | |||
Conservative Balanced Portfolio | $ | 539,110,792 | |
Diversified Bond Portfolio | 721,092,875 | ||
Equity Portfolio | 2,479,277,686 | ||
Flexible Managed Portfolio | 2,299,279,757 | ||
Global Portfolio | 450,420,343 | ||
Government Income Portfolio | 4,913,674,626 | ||
Stock Index Portfolio | 106,087,187 |
Proceeds from Sales:
Portfolio | |||
Conservative Balanced Portfolio | $ | 737,650,431 | |
Diversified Bond Portfolio | 789,737,347 | ||
Equity Portfolio | 2,854,047,095 | ||
Flexible Managed Portfolio | 2,459,530,154 | ||
Global Portfolio | 485,346,725 | ||
Government Income Portfolio | 4,904,138,704 | ||
Stock Index Portfolio | 391,257,978 |
The Conservative Balanced, Diversified Bond, Flexible Managed and Government Income Portfolios’ written options activity for the year ended December 31, 2007 were as follows:
Conservative Balanced Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2006 | — | $ | — | ||||
Options written | 365 | 100,360 | |||||
Options terminated in closing purchase transactions | (115 | ) | (60,375 | ) | |||
Options expired | (250 | ) | (39,985 | ) | |||
Balance as of December 31, 2007 | — | $ | — | ||||
Diversified Bond Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2006 | — | $ | — | ||||
Options written | 932 | 316,838 | |||||
Options terminated in closing purchase transactions | (314 | ) | (204,566 | ) | |||
Options expired | (618 | ) | (112,272 | ) | |||
Balance as of December 31, 2007 | — | $ | — | ||||
B7
Flexible Managed Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2006 | — | $ | — | ||||
Options written | 380 | 104,326 | |||||
Options terminated in closing purchase transactions | (120 | ) | (62,742 | ) | |||
Options expired | (260 | ) | (41,584 | ) | |||
Balance as of December 31, 2007 | — | $ | — | ||||
Government Income Portfolio | |||||||
Contracts | Premiums | ||||||
Balance as of December 31, 2006 | — | $ | — | ||||
Options written | 324 | 114,824 | |||||
Options terminated in closing purchase transactions | (97 | ) | (63,357 | ) | |||
Options expired | (227 | ) | (51,467 | ) | |||
Balance as of December 31, 2007 | — | $ | — | ||||
Note 6: | Tax Information |
For federal income tax purposes, each Portfolio in the Trust is treated as a separate taxpaying entity. After January 2, 2006, 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. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
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.
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.
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, 2007, the Equity Portfolio had Class II shares outstanding.
B8
Transactions in shares of beneficial interest of the Equity Portfolio was as follows:
Equity Portfolio: | |||||||
Class I | Shares | Amount | |||||
Year ended December 31, 2007: | |||||||
Series shares sold | 1,031,862 | $ | 29,740,507 | ||||
Series shares issued in reinvestment of distributions | 1,691,265 | 49,976,890 | |||||
Series shares repurchased | (14,024,490 | ) | (407,692,362 | ) | |||
Net increase (decrease) in shares outstanding | (11,301,363 | ) | $ | (327,974,965 | ) | ||
Year ended December 31, 2006: | |||||||
Series shares sold | 2,168,346 | $ | 55,202,137 | ||||
Series shares issued in reinvestment of 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 | ) | ||
Class II | |||||||
Year ended December 31, 2007: | |||||||
Series shares sold | 2,870 | $ | 85,699 | ||||
Series shares issued in reinvestment of distributions | 322 | 9,549 | |||||
Series shares repurchased | (29,757 | ) | (885,730 | ) | |||
Net increase (decrease) in shares outstanding | (26,565 | ) | $ | (790,482 | ) | ||
Year ended December 31, 2006: | |||||||
Series shares sold | 50,883 | $ | 1,337,701 | ||||
Series shares issued in reinvestment of distributions | 409 | 11,345 | |||||
Series shares repurchased | (65,345 | ) | (1,667,596 | ) | |||
Net increase (decrease) in shares outstanding | (14,053 | ) | $ | (318,550 | ) | ||
Note 8: | Borrowings |
The Series Fund, 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 26, 2007, the Funds renewed the SCA with the banks. The Funds pay a commitment fee of .06 of 1% of the unused portion of the renewed SCA. The expiration date of the renewed SCA will be October 24, 2008. For the period from October 27, 2006 through October 26, 2007, the Funds paid a commitment fee of .07 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 did not borrow any amounts pursuant to the SCA during the year ended December 31, 2007.
Note 9: | Ownership and Affiliates |
As of December 31, 2007, 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: | New Accounting Pronouncements |
On September 20, 2006, the Financial Accounting Standard Board (“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.
B9
Financial Highlights
Conservative Balanced Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007(c) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 16.21 | $ | 15.09 | $ | 15.10 | $ | 14.34 | $ | 12.43 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .50 | .48 | .38 | .34 | .28 | |||||||||||||||
Net realized and unrealized gain on investments | .49 | 1.06 | .11 | .78 | 1.99 | |||||||||||||||
Total from investment operations | .99 | 1.54 | .49 | 1.12 | 2.27 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.35 | ) | (.28 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gains | — | — | (.15 | ) | (.08 | ) | — | |||||||||||||
Distributions | (.51 | ) | (.42 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.51 | ) | (.42 | ) | (.50 | ) | (.36 | ) | (.36 | ) | ||||||||||
Net Asset Value, end of year | $ | 16.69 | $ | 16.21 | $ | 15.09 | $ | 15.10 | $ | 14.34 | ||||||||||
Total Return(a) | 6.12 | % | 10.44 | % | 3.43 | % | 8.04 | % | 18.77 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2,721.9 | $ | 2,770.6 | $ | 2,749.8 | $ | 2,893.6 | $ | 2,895.0 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses | .59 | % | .57 | % | .58 | % | .59 | % | .58 | % | ||||||||||
Net investment income | 2.95 | % | 2.97 | % | 2.45 | % | 2.27 | % | 2.02 | % | ||||||||||
Portfolio turnover rate | 178 | % | 114 | % | 110 | % | 153 | % | 248 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based upon average shares outstanding during the year. |
Diversified Bond Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 10.85 | $ | 10.96 | $ | 11.28 | $ | 11.17 | $ | 10.82 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .58 | .57 | .55 | .52 | .45 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .02 | (.05 | ) | (.20 | ) | .09 | .35 | |||||||||||||
Total from investment operations | .60 | .52 | .35 | .61 | .80 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.59 | ) | (.50 | ) | (.45 | ) | ||||||||||||
Distributions from net realized gains | — | — | (.08 | ) | — | — | ||||||||||||||
Distributions | (.55 | ) | (.63 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.55 | ) | (.63 | ) | (.67 | ) | (.50 | ) | (.45 | ) | ||||||||||
Net Asset Value, end of year | $ | 10.90 | $ | 10.85 | $ | 10.96 | $ | 11.28 | $ | 11.17 | ||||||||||
Total Return(a) | 5.71 | % | 4.98 | % | 3.28 | % | 5.59 | % | 7.49 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,218.3 | $ | 1,150.4 | $ | 1,230.6 | $ | 1,283.7 | $ | 1,418.0 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses | .44 | % | .45 | % | .45 | % | .45 | % | .44 | % | ||||||||||
Net investment income | 5.39 | % | 5.18 | % | 4.81 | % | 4.57 | % | 4.02 | % | ||||||||||
Portfolio turnover rate | 476 | % | 393 | % | 278 | % | 382 | % | 706 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
Equity Portfolio Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 27.45 | $ | 24.64 | $ | 22.31 | $ | 20.55 | $ | 15.75 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .35 | .30 | .24 | .28 | .17 | |||||||||||||||
Net realized and unrealized gain on investments | 2.21 | 2.80 | 2.32 | 1.75 | 4.81 | |||||||||||||||
Total from investment operations | 2.56 | 3.10 | 2.56 | 2.03 | 4.98 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.23 | ) | (.27 | ) | (.18 | ) | ||||||||||||
Distributions | (.34 | ) | (.29 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.34 | ) | (.29 | ) | (.23 | ) | (.27 | ) | (.18 | ) | ||||||||||
Net Asset Value, end of year | $ | 29.67 | $ | 27.45 | $ | 24.64 | $ | 22.31 | $ | 20.55 | ||||||||||
Total Return(a) | 9.32 | % | 12.57 | % | 11.47 | % | 9.93 | % | 31.65 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 4,423.9 | $ | 4,402.7 | $ | 4,283.9 | $ | 4,135.7 | $ | 4,012.3 | ||||||||||
Ratios to average net asset(b): | ||||||||||||||||||||
Expenses | .47 | % | .47 | % | .47 | % | .48 | % | .49 | % | ||||||||||
Net investment income | 1.16 | % | 1.10 | % | 1.01 | % | 1.29 | % | .96 | % | ||||||||||
Portfolio turnover rate | 57 | % | 60 | % | 77 | % | 50 | % | 54 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
Equity Portfolio Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 27.52 | $ | 24.69 | $ | 22.34 | $ | 20.58 | $ | 15.76 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .28 | .19 | .12 | .20 | .08 | |||||||||||||||
Net realized and unrealized gain on investments | 2.20 | 2.80 | 2.35 | 1.74 | 4.83 | |||||||||||||||
Total from investment operations | 2.48 | 2.99 | 2.47 | 1.94 | 4.91 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.12 | ) | (.18 | ) | (.09 | ) | ||||||||||||
Distributions | (.19 | ) | (.16 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.19 | ) | (.16 | ) | (.12 | ) | (.18 | ) | (.09 | ) | ||||||||||
Net Asset Value, end of year | $ | 29.81 | $ | 27.52 | $ | 24.69 | $ | 22.34 | $ | 20.58 | ||||||||||
Total Return(a) | 8.91 | % | 12.13 | % | 11.04 | % | 9.51 | % | 31.11 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1.3 | $ | 1.9 | $ | 2.1 | $ | 1.1 | $ | 0.8 | ||||||||||
Ratios to average net asset(b): | ||||||||||||||||||||
Expenses | .87 | % | .87 | % | .87 | % | .88 | % | .89 | % | ||||||||||
Net investment income | .74 | % | .71 | % | .64 | % | .91 | % | .54 | % | ||||||||||
Portfolio turnover rate | 57 | % | 60 | % | 77 | % | 50 | % | 54 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
Flexible Managed Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005(b) | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 18.36 | $ | 16.92 | $ | 16.58 | $ | 15.19 | $ | 12.55 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .50 | .44 | .32 | .29 | .22 | |||||||||||||||
Net realized and unrealized gain on investments | .65 | 1.59 | .34 | 1.32 | 2.70 | |||||||||||||||
Total from investment operations | 1.15 | 2.03 | .66 | 1.61 | 2.92 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.32 | ) | (.22 | ) | (.28 | ) | ||||||||||||
Distributions | (1.21 | ) | (.59 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (1.21 | ) | (.59 | ) | (.32 | ) | (.22 | ) | (.28 | ) | ||||||||||
Net Asset Value, end of year | $ | 18.30 | $ | 18.36 | $ | 16.92 | $ | 16.58 | $ | 15.19 | ||||||||||
Total Return(a) | 6.30 | % | 12.17 | % | 4.16 | % | 10.74 | % | 23.76 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,716.3 | $ | 3,723.6 | $ | 3,543.9 | $ | 3,883.5 | $ | 3,693.6 | ||||||||||
Ratios to average net asset(c): | ||||||||||||||||||||
Expenses | .63 | % | .62 | % | .63 | % | .62 | % | .62 | % | ||||||||||
Net investment income | 2.53 | % | 2.48 | % | 1.95 | % | 1.83 | % | 1.55 | % | ||||||||||
Portfolio turnover rate | 212 | % | 153 | % | 126 | % | 150 | % | 204 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Calculated based upon average shares outstanding during the year. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
Global Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 22.53 | $ | 18.96 | $ | 16.43 | $ | 15.14 | $ | 11.35 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .36 | .26 | .13 | .11 | .10 | |||||||||||||||
Net realized and unrealized gain on investments | 2.00 | 3.44 | 2.50 | 1.33 | 3.74 | |||||||||||||||
Total from investment operations | 2.36 | 3.70 | 2.63 | 1.44 | 3.84 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.10 | ) | (.15 | ) | (.05 | ) | ||||||||||||
Distributions | (.27 | ) | (.13 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.27 | ) | (.13 | ) | (.10 | ) | (.15 | ) | (.05 | ) | ||||||||||
Net Asset Value, end of year | $ | 24.62 | $ | 22.53 | $ | 18.96 | $ | 16.43 | $ | 15.14 | ||||||||||
Total Return(a) | 10.48 | % | 19.65 | % | 16.06 | % | 9.59 | % | 34.07 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 985.0 | $ | 932.9 | $ | 814.1 | $ | 691.1 | $ | 665.6 | ||||||||||
Ratios to average net asset(b): | ||||||||||||||||||||
Expenses | .81 | % | .84 | % | .82 | % | .84 | % | .87 | % | ||||||||||
Net investment income | 1.43 | % | 1.24 | % | .77 | % | .67 | % | .78 | % | ||||||||||
Portfolio turnover rate | 48 | % | 50 | % | 155 | % | 128 | % | 88 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
Government Income Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.26 | $ | 11.40 | $ | 11.65 | $ | 11.92 | $ | 12.50 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .53 | .54 | .49 | .49 | .46 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .10 | (.13 | ) | (.20 | ) | (.13 | ) | (.15 | ) | |||||||||||
Total from investment operations | .63 | .41 | .29 | .36 | .31 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.54 | ) | (.44 | ) | (.46 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | (.19 | ) | (.43 | ) | |||||||||||||
Distributions | (.51 | ) | (.55 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.51 | ) | (.55 | ) | (.54 | ) | (.63 | ) | (.89 | ) | ||||||||||
Net Asset Value, end of year | $ | 11.38 | $ | 11.26 | $ | 11.40 | $ | 11.65 | $ | 11.92 | ||||||||||
Total Return(a) | 5.70 | % | 3.74 | % | 2.51 | % | 3.12 | % | 2.46 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 340.3 | $ | 354.3 | $ | 378.2 | $ | 420.2 | $ | 461.5 | ||||||||||
Ratios to average net asset(b): | ||||||||||||||||||||
Expenses | .52 | % | .50 | % | .47 | % | .47 | % | .46 | % | ||||||||||
Net investment income | 4.62 | % | 4.75 | % | 4.16 | % | 4.07 | % | 3.76 | % | ||||||||||
Portfolio turnover rate | 2377 | % | 734 | % | 507 | % | 617 | % | 695 | % |
(a) | Total return is calculated assuming a purchase of a share 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 absense of voluntary fee waivers and /or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
Stock Index Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 35.64 | $ | 31.41 | $ | 31.29 | $ | 29.29 | $ | 24.09 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income | .68 | .56 | .48 | .50 | .36 | |||||||||||||||
Net realized and unrealized gain on investments | 1.14 | 4.31 | .88 | 2.50 | 6.14 | |||||||||||||||
Total from investment operations | 1.82 | 4.87 | 1.36 | 3.00 | 6.50 | |||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (.47 | ) | (.49 | ) | (.37 | ) | ||||||||||||
Distributions from net realized gains | — | — | (.77 | ) | (.51 | ) | (.93 | ) | ||||||||||||
Distributions | (.62 | ) | (.64 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (.62 | ) | (.64 | ) | (1.24 | ) | (1.00 | ) | (1.30 | ) | ||||||||||
Net Asset Value, end of year | $ | 36.84 | $ | 35.64 | $ | 31.41 | $ | 31.29 | $ | 29.29 | ||||||||||
Total Return(a) | 5.10 | % | 15.54 | % | 4.54 | % | 10.45 | % | 28.18 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,122.4 | $ | 3,306.4 | $ | 3,212.7 | $ | 3,094.7 | $ | 2,940.9 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses | .37 | % | .37 | % | .38 | % | .38 | % | .37 | % | ||||||||||
Net investment income | 1.73 | % | 1.61 | % | 1.52 | % | 1.64 | % | 1.42 | % | ||||||||||
Portfolio turnover rate | 3 | % | 3 | % | 7 | % | 3 | % | 2 | % |
(a) | Total return is calculated assuming a purchase of a share 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. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
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 Prudential Series Fund (comprised of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio, hereafter referred to as the “Funds”), including the portfolios of investments, as of December 31, 2007, 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 four-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 year ended December 31, 2003 were audited by another independent registered public accounting firm, whose report dated February 20, 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, 2007, 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 Funds as of December 31, 2007, 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 four-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 19, 2008
D1
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. (74) | Trustee, Since 1983 | 87 | Member (since 2006), Board of The Ridgefield Foundation and The Leir Foundation; Board of Directors of IDT Corporation (2000-2006) | |||
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 (69) | Trustee, Since 2001 | 86 | — | |||
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. (70) | Independent Vice Chair since 2004 and Trustee, Since 1983 | 87 | — | |||
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 (66) | Independent Chair and Trustee, Since 2001 | 86 | — | |||
Principal Occupations During Past 5 Years – Formerly 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 (57) | Trustee, Since 2003 | 86 | 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) and CEO (since April 2007) 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 (68) | Trustee, Since 2003 | 86 | Director (since April 2001) of New York Bank Corp; Director (since May 1980) of Surf Club of Quogue, Inc. | |||
Principal Occupations During Past 5 Years – Retired (June 2000) Tax Partner of KPMG, LLP. | ||||||
F. Don Schwartz (72) | Trustee, Since 2003 | 86 | — | |||
Principal Occupations During Past 5 Years – Management Consultant (since April 1985). |
E1
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 (50) | President since 2002 and Trustee Since 1999 | 86 | — | |||
Principal Occupations During Past 5 Years – President of Prudential Annuities (since August 2002); Senior Vice President (since June 1999) of Prudential; Director (since June 2005) and Executive Vice President (since March 2006) of AST Investment Services, Inc; formerly Executive Vice President (May 2003-November 2007) of Prudential Investment Management Services LLC; formerly President, Chief Executive Officer, Chief Operating Officer and Officer in Charge (June 2005-March 2006) of AST Investment Services, Inc. | ||||||
*Robert F. Gunia (61) | Vice President and Trustee Since 2001 | 149 | Vice President and Director (since May 1989); Treasurer (since 1999) of The Asia Pacific Fund, Inc. and Vice President (since January 2007) of The Greater China 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 AST 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 (48) | 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 AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. | ||
Kathryn L. Quirk (55) | 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 PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. | ||
Deborah A. Docs (50) | 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 AST Investment Services, Inc. | ||
Jonathan D. Shain (49) | Assistant Secretary Since 2005 | 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) of AST Investment Services, Inc. | ||
Claudia DiGiacomo (33) | 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 (36) | 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). | ||
Timothy J. Knierim (49) | Chief Compliance Officer Since 2007 | Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007). |
E2
Name, Address**, and Age | Position with Fund* Term of Office*** Length of Time Served | Principal Occupations During Past 5 Years | ||
Valerie M. Simpson (49) | Deputy Chief Compliance Officer Since 2007 | Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. | ||
M. Sadiq Peshimam (44) | Assistant Treasurer Since 2006 | Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration. | ||
Peter Parrella (49) | Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | ||
Alan Fu (51) | 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 R. French (45) | Assistant Secretary Since 2006 | Director and Corporate Counsel (since May 2006) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). | ||
Noreen M. Fierro (43) | Anti-Money Laundering Compliance Officer Since 2006 | 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. |
* “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. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 75. The table shows how long they have served as Trustee and/or Officer.
**** 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.
E3
The Prudential Series Fund
Approval of Advisory Agreements
At meetings of the Board held on September 12-13, 2007, the Trustees, including the Independent Trustees, unanimously approved the recommendations by Prudential Investments LLC (PI) to appoint Marsico Capital Management LLC (“Marsico”) as a subadviser with respect to the Global Portfolio and the SP International Growth Portfolio (each, a Portfolio, and collectively, the Portfolios) and to approve new subadvisory agreements between PI and Marsico (the “Subadvisory Agreements”).
The Board considered that, on June 14, 2007, Marsico and Bank of America Corporation (BAC) announced they had signed a definitive agreement by which Marsico would acquire ownership of the firm from BAC (the Transaction). The Transaction was completed on December 14, 2007, at which time Marsico began operating as an independent entity under the leadership of Thomas F. Marsico. The Board also considered that, although there were no changes in the Marsico portfolio management teams as a result of the Transaction, each Portfolio’s prior subadvisory agreement with Marsico would be automatically terminated as a result of a change in control.
Board Consideration of Subadvisory Agreement:
The Board of Trustees considered whether the approval of the Subadvisory Agreements with Marsico was in the best interests of each Portfolio and its shareholders. Before approving the Subadvisory Agreements, the Trustees reviewed performance, compliance and organization materials regarding Marsico and received presentations from PI. The Board also received materials relating to the Subadvisory Agreements and had the opportunity to ask questions and request further information in connection with its consideration. In making the determination to retain Marsico as a subadviser, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the following information:
Nature, Quality and Extent of Services. The Board received and considered information regarding the nature and extent of services to be provided to each Portfolio by Marsico under the Subadvisory Agreements, namely, that Marsico would provide day-to-day portfolio management services and comply with all Portfolio policies and applicable rules and regulations. The Board also noted that the nature and extent of services provided to each Portfolio under the prior subadvisory agreement with Marsico were identical in all material respects to those to be provided by Marsico under the Subadvisory Agreements and generally similar to those provided by the other current subadvisers under their subadvisory agreements.
With respect to the quality of services, the Board considered, among other things, the background and experience of Marsico’s portfolio management team, which was not affected by the Transaction. In connection with the recent annual review of advisory agreements, the Board had reviewed the qualifications, backgrounds and responsibilities of the portfolio managers who are responsible for the day-to-day management of each Portfolio, and the Board was provided with information pertaining to Marsico’s organizational structure, senior management, investment operations, and other relevant information pertaining to Marsico. The Board noted that it received a favorable compliance report from the Trust’s Chief Compliance Officer (CCO) as to Marsico.
The Board concluded that it was satisfied with the nature, extent and quality of the investment subadvisory services provided to each Portfolio by Marsico under the prior subadvisory agreement and that there was a reasonable basis on which to conclude that the quality of investment subadvisory services to be provided by Marsico under the Subadvisory Agreements should equal the quality of similar services provided by Marsico under the prior subadvisory agreements.
Performance of Marsico. The Board noted that at its June 2007 meetings, it had reviewed the performance of each of the Portfolios subadvised by Marsico in connection with its annual consideration of the renewal of the Portfolios’ subadvisory agreements. As part of that review, the Board reviewed the performance record of each Portfolio, and at that time reached the following conclusions:
• | With respect to the SP International Growth Portfolio, the Board noted that Marsico had assumed responsibility for a portion of the Portfolio’s assets in late 2006, and that in light of Marsico’s limited performance record, it was reasonable to approve Marsico’s subadvisory agreement. |
• | With respect to the Global Portfolio, the Board noted that Marsico had assumed responsibility for a portion of the Portfolio’s assets in December 2005, and that in light of the limited performance history, it was reasonable to approve Marsico’s subadvisory agreement. |
Investment Subadvisory Fee Rate. The Board also considered, among other things, that the proposed fee rates payable under the Subadvisory Agreements are identical to the fee rates payable under the prior subadvisory agreement. The Board noted that it had recently reviewed the fee rates paid to Marsico in connection with the recent annual review of advisory agreements and determined that the fee rates were reasonable. The Board concluded that Marsico’s proposed subadvisory fee rates under the Subadvisory Agreements were reasonable.
Profitability. In connection with its recent annual review of advisory agreements, the Board considered the profitability of PI and subadvisers affiliated with PI. The Board concluded that the level of profitability of a subadviser not affiliated with PI, such as Marsico, may not be as significant as PI’s profitability given the arm’s length nature of the process by which the subadvisory fee rates were negotiated by PI and the unaffiliated subadvisers, as well as the fact that PI compensates the subadvisers out of its management fee.
Economies of Scale. In connection with its recent annual review of advisory agreements, the Board considered economies of scale. The Board noted that there was no proposed change in fee rates and breakpoints and that it would again review economies of scale at the next annual review of advisory agreements.
Other Benefits to the Subadviser or its Affiliates from Serving as Subadviser. The Board considered potential “fall-out” or ancillary benefits anticipated to be received by Marsico and its affiliates as a result of Marsico’s relationship with the Portfolios. The Board concluded that any potential benefits to be derived by Marsico included its ability to use soft dollar credits, brokerage commissions received by affiliates of Marsico, potential access to additional research resources, larger assets under management and benefits to the reputation, which were consistent with those generally derived by subadvisers to mutual funds.
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. 2/28/2008
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, 2007 and December 31, 2006 KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $15,935 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 2007 and 2006. 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 2007 and 2006 was $57,200 and $317,300, 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 Contract Account—11 |
By (Signature and Title)* | /s/ Deborah A. Docs | |
Deborah A. Docs | ||
Secretary |
Date | February 20, 2008 |
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 20, 2008 |
By (Signature and Title)* | /s/ Grace C. Torres | |
Grace C. Torres | ||
Treasurer and Principal Financial Officer |
Date | February 20, 2008 |
* | Print the name and title of each signing officer under his or her signature. |