UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
| Investment Company Act file number: | 811-03422 | |
| Exact name of registrant as specified in charter: | The Prudential Variable | |
| Contract Account-11 | ||
| Address of principal executive offices: | 655 Broad Street, 17th Floor | |
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Deborah A. Docs | |
| 655 Broad Street, 17th Floor | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 12/31/2015 | |
| Date of reporting period: | 12/31/2015 | |
Item 1 – Reports to Stockholders
The MEDLEY Program
ANNUAL REPORT • DECEMBER 31, 2015
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 issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.
The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.
All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.
Please note that this document may include prospectus supplements that are separate from and not a part of this report.
The Prudential MEDLEY Program
Table of Contents | Annual Report | December 31, 2015 |
| n | LETTER TO PARTICIPANTS |
| n | MARKET OVERVIEW |
| n | REPORT OF THE INVESTMENT MANAGER |
| 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, 2015 |
| n | DEAR PARTICIPANT: |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
 |  | |
Stuart Parker President, The Prudential Variable Contract Accounts 10 & 11 | Timothy S. Cronin President, The Prudential Series Fund |
January 29, 2016
Market Overview — unaudited | Annual Report | December 31, 2015 |
Equity Market Overview
After experiencing heightened volatility in late 2015, the S&P 500 Index recorded a 1.39% gain.
Events that affected market performance during the year included the ongoing Greek fiscal crisis, low energy prices, a strong US dollar, slowing growth in China, and the timing of the Federal Reserve Bank’s (Fed) interest rate hike.
Stocks stumbled early in the year over concerns about US economic growth, but rebounded in the second quarter on more upbeat forecasts, reaching highs in May. More uncertainty hit the market as oil prices continued lower. However, domestic equities advanced cautiously on earnings reports and news of moderate growth in the US economy on encouraging employment numbers.
In late August, in order to “pre-empt” an expected rate hike by the Fed in September, China surprised global markets by devaluing its currency, the yuan, in order to shield its flagging exports against a more expensive dollar. Subsequently, Chinese stocks plunged and weighed on virtually all equity markets. US equities experienced a correction and rebounded in October.
Jitters over the timing of the Fed’s first interest rate rise in nearly a decade loomed over equity markets until mid December, as the Fed hiked rates by 0.25%. Markets rose immediately after the news, but then hit more turbulence through the end of the year on concerns over economic conditions in China.
Sector performance was mixed, with five in positive territory and five falling into negative territory. Consumer discretionary topped all sectors with a 10.11% increase on powerful gains in the Internet, retail, and catalogue, and strong gains in the hotels, restaurants, and leisure industry. Health care posted a solid 6.89% gain for the year with help from the life sciences, tools, and services industries, and from gains in health care providers and services industries. Consumer staples rose by 6.60%, driven by the tobacco, food products, and personal products industries. Internet technology, with high returns in internet software and services, propelled the sector to a 5.92% gain. Telecommunications, hit by weakness in the diversified telecommunication industry, landed a 3.40% return.
On the downside, financials fell slightly, returning -1.53%, hurt by heavy losses in consumer finance and capital markets, while real estate showed positive returns. Industrials returned -2.53% on significant declines in road and rail products, trading companies, and distributors. Utilities returned -4.85% on severe weakness in independent power generators, while gas utilities were strong. Materials returned -8.38% on sharp declines in mining and metals. Price destruction in oil drove energy down to a return of -21.12%.
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were mixed, as growth style stocks generally outpaced value style. Small-cap stocks, as measured by the Russell 2000® Index, fell -4.41%. The Russell Midcap® Index returned -2.44%. In large-cap stocks, the Russell 1000® Value Index fell, returning -3.83% against the positive 5.67% return of the Russell 1000® Growth Index.
The Morgan Stanley Capital International Europe Australasia and Far East Index (MSCI-EAFE), which measures the performance of developed markets excluding the United States and Canada, returned -0.81%, net of dividends, for the year.
International equities were pressured by geopolitical events, falling commodity prices, ongoing economic weakness in Europe, and a sustained manufacturing decline in China. European countries posted mixed performance, with heavily weighted countries struggling. Germany returned -1.89%, and France was marginally in the red with a -0.11% return. Oil producer Norway tumbled to a return of -14.99%. Stocks in the UK skidded to a -7.56% return. On the upside, Denmark led all countries, returning 23.43%.
In Asia, stocks were mixed on falling commodity prices and uncertainty over China’s weakening economic health. Japan returned 9.57% on higher corporate profits but a weaker economy. Countries with close links to China declined. Hong Kong returned -0.54% and Singapore stumbled, returning -17.71%. Commodity producer Australia returned -9.95% and New Zealand fell by -6.26%.
The MSCI Emerging Markets Index returned -14.92%. The Brazil, Russia, India, and China (BRIC) group returned -13.46%. Brazil, which is mired in a deep recession, plunged to a -41.37% return. Russia gained 4.21%. India returned -6.12% and China, hit by rollercoaster volatility, returned -7.82%.
Sources: Morgan Stanley Capital International, Standard & Poor’s, Frank Russell Company, and Prudential. All indexes are unmanaged and provide a broad indication of stock price movements. Russell indexes and Russell are service marks of the Frank Russell Company. Standard & Poor’s 500 Index comprises over 500 large, established, publicly traded stocks. The Russell 1000® Growth Index includes those Russell 1000® companies with higher price-to-book ratios and higher expected growth values. The Russell 1000® Value Index includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values. The Russell 2000® Index is a subset of the Russell 3000® Index, representing about 10% of the total market capitalization of that index. It includes about 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index is a subset of the Russell 1000® Index. It includes about 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents about 31% of the total market capitalization of the Russell 1000® companies. The MSCI EAFE Index is a free float-adjusted market capitalization index of performance that reflects stock price movements in Europe, Australasia, and the Far East. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. These indexes are calculated in U.S. dollars, without dividends reinvested. Investors cannot directly invest in an index. Past performance does not guarantee future results.
Market Overview — unaudited | Annual Report | December 31, 2015 |
Fixed Income Market Overview
The year 2015 probably represented the kind of unproductive future many fear for fixed income: one of poor returns filled with anxiety about higher rates. It could be considered the typical “one-step back” year that will find its way between the equally numerous “two-step forward” years where fixed income delivers solidly positive returns. The Barclays US Aggregate Bond Index returned 0.55%.
US corporate bonds delivered a return of -0.68% for 2015, reflecting uncertainty regarding slower global economic growth, the Federal Reserve’s (Fed) first rate hiking cycle in nearly 10 years, record issuance, and steep decline in energy and commodity prices.
European corporate bonds performed well in the fourth quarter with a return of 1.30%, lifting the year-to-date return to -0.56%. Despite the launch of the European Central Bank’s (ECB) asset-purchase program, spreads, which are yield differentials, rose 0.46% on the year, primarily due to weakening global economic growth and broad macroeconomic risk-off themes.
Further commodity-related volatility kept the lower-quality segment of the US high yield market under strain as 2015 concluded. More stable market segments — such as European high yield — also encountered turbulence amid news about redemptions at a few distress-oriented funds.
Despite outperforming bonds at a time that brought the first increase in the Fed funds rate in nearly 10 years, the U.S. leveraged loan market notched 23 weeks of consecutive outflows in 2015, with the total of $20.3 billion surpassing the $13.4 billion in outflows from the US high yield market.
While the European leveraged finance market encountered some volatility as 2015 concluded, both the European loan and high yield markets outperformed their U.S. counterparts, with both posting positive total returns. Indeed, European loans were among the best performing asset classes during the year.
Emerging market (EM) returns were flat to slightly positive in the fourth quarter. Hard currency sovereigns (major world paper currencies) were the best performers, with a 1.25% return, while hedged local bonds and EM currencies returned 0.17% and -0.14% respectively. Spreads on the hard currency sovereign index were 0.19% tighter during the quarter and corporate spreads and local yields were roughly flat. U.S. dollar strength was the principal story for EM currencies in 2015, with negative returns across all regions.
Third-quarter turbulence in global markets gave way to fourth-quarter calm and opened the door for the Fed to raise benchmark interest rates for the first time in nearly 10 years. The better risk environment combined with continued strength in U.S. economic data allowed for considerable divergence in developed market interest rates in the fourth quarter.
US Treasury yields rose considerably in 2-10 year maturities (0.45% and 0.20% respectively), while 30-year yields were relatively unchanged as they hovered around 3.00%. Interest rates in the United Kingdom and Australia also moved slightly higher through the fourth quarter, with 10-year yields higher by 0.15% in both countries. The most buoyant rates were those in the low-yielding countries benefiting from central bank quantitative easing, as German bund rates remained low and the yield curve steepened slightly. Japanese rates fell modestly after the Bank of Japan (BoJ) extended the target maturity of its quantitative easing program.
For 2015, the agency mortgage-backed securities (MBS) sector returned a positive 1.51%. Despite periods of volatility, MBS spreads over US Treasuries tightened in fourth quarter and ended the year close to unchanged relative to beginning of the year levels.
Source: Index information — Bloomberg L.P. as of December 31, 2015. All indexes and averages are weighted, unmanaged, and provide an indication of price movements within its category. Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index encompasses the following components, which include the U.S. Asset-Backed Securities, U.S. Agencies, U.S. Commercial Mortgage-Backed Securities, U.S. Credit, U.S. Mortgage-Backed, and U.S. Treasurys. Investors cannot invest directly in a market index. Past performance does not guarantee future results.
Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)
Presentation of Portfolio Holdings — unaudited | December 31, 2015 |
| Conservative Balanced | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Apple, Inc. | 1.4% | |||
Microsoft Corp. | 1.1% | |||
| Government National Mortgage Assoc., 3.000%, TBA | 1.0% | |||
| U.S. Treasury Inflation Indexed Bonds, TIPS, 0.125%, 04/15/20 | 0.9% | |||
| U.S. Treasury Notes, 1.625%, 11/30/20 | 0.9% | |||
| Diversified Bond | ||||
| Issuer | (% of Net Assets | ) | ||
| Banks | 11.4% | |||
| Commercial Mortgage-Backed Securities | 10.6% | |||
| Residential Mortgage-Backed Securities | 10.5% | |||
U.S. Treasury Obligations | 6.0% | |||
Collateralized Loan Obligations | 4.5% | |||
| Equity | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Microsoft Corp. | 3.0% | |||
Amazon.com, Inc. | 2.9% | |||
Facebook, Inc. (Class A Stock) | 2.8% | |||
Apple, Inc. | 2.4% | |||
Allergan PLC | 2.4% | |||
| Flexible Managed | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 2.2% | |||
Microsoft Corp. | 1.7% | |||
| Amazon.com, Inc. | 1.2% | |||
| Berkshire Hathaway, Inc. (Class B Stock) | 1.1% | |||
| Alphabet, Inc. (Class C Stock) | 1.0% | |||
| Global | ||||
| Top Five Countries | (% of Net Assets | ) | ||
United States | 51.8% | |||
Japan | 9.8% | |||
| United Kingdom | 7.0% | |||
France | 3.6% | |||
| Switzerland | 3.5% | |||
| Government Income | ||||
| Allocation | (% of Net Assets | ) | ||
| U.S. Government Agency Obligations | 43.5% | |||
| Commercial Mortgage-Backed Securities | 29.6% | |||
| U.S. Treasury Obligations | 17.2% | |||
Collateralized Loan Obligations | 5.8% | |||
| Foreign Agencies | 0.4% | |||
| Stock Index | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Apple, Inc. | 3.2% | |||
| Microsoft Corp. | 2.4% | |||
| Exxon Mobil Corp. | 1.8% | |||
| General Electric Co. | 1.6% | |||
| Johnson & Johnson | 1.5% | |||
| VCA-10 | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Alphabet, Inc. (Class A Stock) | 3.0% | |||
| Amazon.com, Inc. | 2.4% | |||
| JPMorgan Chase & Co. | 2.4% | |||
| Facebook, Inc. (Class A Stock) | 2.4% | |||
| Wells Fargo & Co. | 2.4% | |||
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 | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | Since Inception | ||||||||||||
Capital Growth Account (VCA-10)1—Standard Contract | -1.71 | % | 8.20 | % | 5.22 | % | — | |||||||||
Capital Growth Account (VCA-10)1—0.50% Contract | -1.23 | 8.74 | 5.74 | — | ||||||||||||
Capital Growth Account (VCA-10)1—0.45% Contract | -1.18 | 9.58 | — | 9.58 | % | |||||||||||
S&P 500 Index | 1.39 | 12.55 | 7.30 | — | ||||||||||||
Past performance does not guarantee future returns. Account performance is net of investment fees and fund expenses. 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.
0.45% Contract inception: 4/1/2011. Unless noted otherwise, Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% contract.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) returned -1.71%, the value of a contract with annual expenses of 0.50% returned -1.23%, and the value of a contract with annual expenses of 0.45% returned -1.18%.
The net assets of the Portfolio at December 31, 2015 were $157.6 million.
The Account’s investment objective is long-term growth of capital. The Account is subadvised by Jennison Associates LLC (Jennison).
What were market conditions during the reporting period?
Weak energy prices, a strong US dollar, and slowing economic growth in China were key influences on the global economic landscape in 2015. Overall it was an environment with volatility in global financial markets, sluggish global economic expansion, and below-average market earnings growth. Merger and acquisition activity continued at a torrid pace, and 2015 is set to challenge records for the number and size of transactions announced.
In 2015, large-cap value stocks trailed large-cap growth stocks by the widest margin since 2009, and the seventh time in 10 years that the asset class has lagged.
What strategies or holdings affected the Account’s performance?
While the S&P 500 Index (the Index) returned 1.39%, there was significant performance disparity across sectors and capitalization levels. Consumer discretionary posted the largest gain and health care, consumer staples, telecommunication services, and information technology also advanced. Energy and materials suffered the largest declines.
The Account meaningfully trailed the Index in the calendar year. Stock selection in industrials, financials, information technology, and consumer discretionary proved detrimental to absolute and relative results. In financials and the overall portfolio, SLM and Navient were laggards. Negative sentiment weighed on shares of SLM. Prudential Investments believes that the business model remains strong and at the current valuation, the reward to risk is very attractive. The Account no longer holds a position in Navient.
Marathon Oil and Hertz were other notable detractors from Account performance. Marathon was hurt along with other exploration and production companies amid plummeting oil prices. Prudential Investments continues to like the company’s healthy balance sheet and improving resource base and believes it is attractively valued relative to peers. Hertz Global Holdings suffered from a number of operational challenges. Prudential Investments believes the “low-expectations” profile of the company fits its contrarian thinking, especially given the multiple options Hertz can employ to improve business performance and free cash flow generation.
Key contributors to Account performance were diverse and found across sectors. Prudential Investments continues to like Alphabet’s (formerly Google) solid competitive position, strong advertising revenue, and YouTube income-generating opportunities. Revenue continued to grow strongly, margins improved, and capital expenditure growth slowed. In health care, Cigna continued to benefit from increasing enrollments and global expansion plans. Prudential Investments likes the company’s consistent growth and finds the valuation attractive. In consumer discretionary, Carnival continues to benefit from better pricing control and expansion into China. In information technology, Prudential Investments believes that Microsoft has renewed potential for earnings growth. The company has a firmly installed base, strong account control, and minimal competition in two primary areas that are shifting to a subscription profile — Office and Windows.
While the Account’s holdings trailed the Index, the materials sector was a source of relative gain due to an underweight stance.
| 1 | The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-10 contracts with reduced expenses will be higher than the performance of the standard VCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values. |
| 2 | The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure. |
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.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial Company.
1
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
| LONG-TERM INVESTMENTS — 96.3% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.3% | ||||||||
Boeing Co. (The) | 17,316 | $ | 2,503,720 | |||||
United Technologies Corp. | 11,924 | 1,145,539 | ||||||
| 3,649,259 | ||||||||
Auto Components — 1.1% | ||||||||
Lear Corp. | 14,436 | 1,773,174 | ||||||
Automobiles — 1.1% | ||||||||
Tesla Motors, Inc.(a) | 7,123 | 1,709,591 | ||||||
Banks — 9.8% | ||||||||
Bank of America Corp. | 194,606 | 3,275,219 | ||||||
Citigroup, Inc. | 54,918 | 2,842,006 | ||||||
JPMorgan Chase & Co. | 57,652 | 3,806,762 | ||||||
PNC Financial Services Group, Inc. | 18,525 | 1,765,618 | ||||||
Wells Fargo & Co. | 69,829 | 3,795,904 | ||||||
| 15,485,509 | ||||||||
Biotechnology — 3.0% | ||||||||
AbbVie, Inc. | 18,176 | 1,076,746 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 10,041 | 1,915,321 | ||||||
Celgene Corp.(a) | 14,869 | 1,780,711 | ||||||
| 4,772,778 | ||||||||
Capital Markets — 2.7% | ||||||||
Goldman Sachs Group, Inc. (The) | 15,467 | 2,787,617 | ||||||
Morgan Stanley | 44,439 | 1,413,605 | ||||||
| 4,201,222 | ||||||||
Chemicals — 0.7% | ||||||||
FMC Corp. | 30,096 | 1,177,656 | ||||||
Communications Equipment — 0.7% |
| |||||||
Brocade Communications Systems, Inc. | 116,689 | 1,071,205 | ||||||
Consumer Finance — 2.4% |
| |||||||
Capital One Financial Corp. | 24,530 | 1,770,575 | ||||||
SLM Corp.(a) | 310,639 | 2,025,366 | ||||||
| 3,795,941 | ||||||||
Diversified Financial Services — 1.0% |
| |||||||
Voya Financial, Inc. | 40,797 | 1,505,817 | ||||||
Electric Utilities — 1.6% |
| |||||||
FirstEnergy Corp. | 79,067 | 2,508,796 | ||||||
Electrical Equipment — 0.9% |
| |||||||
Eaton Corp. PLC | 25,852 | 1,345,338 | ||||||
Electronic Equipment & Instruments — 0.8% |
| |||||||
Flextronics International Ltd.(a) | 113,487 | 1,272,189 | ||||||
Energy Equipment & Services — 0.9% |
| |||||||
Halliburton Co. | 42,261 | 1,438,564 | ||||||
Food Products — 2.7% |
| |||||||
ConAgra Foods, Inc. | 41,676 | 1,757,060 | ||||||
Mondelez International, Inc. (Class A Stock) | 55,684 | 2,496,871 | ||||||
| 4,253,931 | ||||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Zimmer Biomet Holdings, Inc. | 15,527 | 1,592,915 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 2.4% |
| |||||||
Cigna Corp. | 8,784 | $ | 1,285,363 | |||||
Express Scripts Holding Co. (Class A Stock)(a) | 12,948 | 1,131,785 | ||||||
Laboratory Corp. Of America Holdings(a) | 11,311 | 1,398,492 | ||||||
| 3,815,640 | ||||||||
Hotels, Restaurants & Leisure — 5.2% |
| |||||||
Carnival Corp. | 51,317 | 2,795,750 | ||||||
Hyatt Hotels Corp.(a) | 27,702 | 1,302,548 | ||||||
McDonald’s Corp. | 15,018 | 1,774,227 | ||||||
Starbucks Corp. | 38,086 | 2,286,303 | ||||||
| 8,158,828 | ||||||||
Industrial Conglomerates — 1.1% |
| |||||||
General Electric Co. | 57,652 | 1,795,860 | ||||||
Insurance — 2.7% |
| |||||||
ACE Ltd. (Switzerland) | 15,995 | 1,869,016 | ||||||
MetLife, Inc. | 47,920 | 2,310,223 | ||||||
| 4,179,239 | ||||||||
Internet & Catalog Retail — 3.6% |
| |||||||
Amazon.com, Inc.(a) | 5,674 | 3,835,000 | ||||||
Netflix, Inc.(a) | 15,735 | 1,799,769 | ||||||
| 5,634,769 | ||||||||
Internet Software & Services — 10.5% | ||||||||
Alibaba Group Holding Ltd. (China), ADR(a) | 17,790 | 1,445,793 | ||||||
Alphabet, Inc. (Class A Stock)(a) | 6,130 | 4,769,201 | ||||||
Alphabet, Inc. (Class C Stock) | 2,867 | 2,175,709 | ||||||
Facebook, Inc. (Class A Stock)(a) | 36,218 | 3,790,576 | ||||||
LinkedIn Corp.(a) | 9,891 | 2,226,266 | ||||||
Tencent Holdings Ltd. (China), ADR | 109,655 | 2,151,431 | ||||||
| 16,558,976 | ||||||||
IT Services — 2.5% | ||||||||
MasterCard, Inc. (Class A Stock) | 14,367 | 1,398,771 | ||||||
Visa, Inc. (Class A Stock) | 33,455 | 2,594,435 | ||||||
| 3,993,206 | ||||||||
Media — 5.1% | ||||||||
Comcast Corp. (Class A Stock) | 38,673 | 2,182,317 | ||||||
Liberty Global PLC (Series C) (United Kingdom)(a) | 43,616 | 1,778,224 | ||||||
Viacom, Inc. | 18,675 | 768,663 | ||||||
Vivendi SA (France), ADR | 59,605 | 1,272,567 | ||||||
Walt Disney Co. (The) | 19,233 | 2,021,004 | ||||||
| 8,022,775 | ||||||||
Multiline Retail — 1.3% | ||||||||
Target Corp. | 27,984 | 2,031,918 | ||||||
Multi-Utilities — 1.2% |
| |||||||
PG&E Corp. | 34,228 | 1,820,587 | ||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
Anadarko Petroleum Corp. | 19,849 | 964,264 | ||||||
Chevron Corp. | 20,227 | 1,819,621 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Marathon Oil Corp. | 64,676 | $ | 814,271 | |||||
Noble Energy, Inc. | 41,360 | 1,361,985 | ||||||
Occidental Petroleum Corp. | 25,723 | 1,739,132 | ||||||
Suncor Energy, Inc. (Canada) | 65,856 | 1,699,085 | ||||||
| 8,398,358 | ||||||||
Pharmaceuticals — 9.1% |
| |||||||
Allergan PLC(a) | 7,456 | 2,330,000 | ||||||
Bayer AG (Germany), ADR | 4,098 | 511,574 | ||||||
Bristol-Myers Squibb Co. | 25,187 | 1,732,614 | ||||||
Merck & Co., Inc. | 40,249 | 2,125,952 | ||||||
Pfizer, Inc. | 81,792 | 2,640,246 | ||||||
Shire PLC (Ireland), ADR | 14,325 | 2,936,625 | ||||||
Teva Pharmaceuticals Industries Ltd., (Israel), ADR | 32,321 | 2,121,550 | ||||||
| 14,398,561 | ||||||||
Road & Rail — 1.3% |
| |||||||
Hertz Global Holdings, Inc.(a) | 78,121 | 1,111,662 | ||||||
Union Pacific Corp. | 12,838 | 1,003,932 | ||||||
| 2,115,594 | ||||||||
Semiconductors & Semiconductor Equipment — 1.0% |
| |||||||
Texas Instruments, Inc. | 29,659 | 1,625,610 | ||||||
Software — 5.9% |
| |||||||
Adobe Systems, Inc.(a) | 19,199 | 1,803,554 | ||||||
Microsoft Corp. | 51,233 | 2,842,407 | ||||||
PTC, Inc.(a) | 44,655 | 1,546,403 | ||||||
Salesforce.com, Inc.(a) | 39,687 | 3,111,461 | ||||||
| 9,303,825 | ||||||||
Technology Hardware, Storage & Peripherals — 1.2% |
| |||||||
Apple, Inc. | 9,583 | 1,008,707 | ||||||
HP, Inc. | 71,418 | 845,589 | ||||||
| 1,854,296 | ||||||||
Textiles, Apparel & Luxury Goods — 3.1% |
| |||||||
Coach, Inc. | 30,875 | 1,010,539 | ||||||
NIKE, Inc. | 35,026 | 2,189,125 | ||||||
Under Armour, Inc. (Class A Stock)(a) | 20,211 | 1,629,209 | ||||||
| 4,828,873 | ||||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 54,502 | 1,758,235 | ||||||
TOTAL COMMON STOCKS |
| 151,849,035 | ||||||
| SHORT-TERM INVESTMENT — 3.9% | ||||||||
Affiliated Money Market Mutual Fund |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $6,111,075)(b) | 6,111,075 | 6,111,075 | ||||||
TOTAL INVESTMENTS — 100.2% |
| 157,960,110 | ||||||
| Value (Note 2) | ||||||
LESS LIABILITIES, OTHER ASSETS — (0.2)% |
| |||||
Receivable for Securities Sold | $ | 774,544 | ||||
Dividends Receivable | 172,576 | |||||
Tax Reclaim Receivable | 12,350 | |||||
Payable Pending Capital Transactions | (189,893 | ) | ||||
Payable for Securities Purchased | (1,162,483 | ) | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (392,906 | ) | ||||
NET ASSETS — 100% | $ | 157,567,204 | ||||
NET ASSETS, representing: | ||||||
Equity of Participants — | $ | 157,587,875 | ||||
Equity of The Prudential Insurance Company of America | (20,671 | ) | ||||
| $ | 157,567,204 | |||||
The following abbreviation is used in the annual report:
| ADR | American Depositary Receipt |
| (a) | Non-income producing security. |
| (b) | Prudential Investments LLC, the Manager of the Account, also serves as Manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs. |
| Level 3—unobservable | inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 3,649,259 | $ | — | $ | — | ||||||
Auto Components | 1,773,174 | — | — | |||||||||
Automobiles | 1,709,591 | — | — | |||||||||
Banks | 15,485,509 | — | — | |||||||||
Biotechnology | 4,772,778 | — | — | |||||||||
Capital Markets | 4,201,222 | — | — | |||||||||
Chemicals | 1,177,656 | — | — | |||||||||
Communications Equipment | 1,071,205 | — | — | |||||||||
Consumer Finance | 3,795,941 | — | — | |||||||||
Diversified Financial Services | 1,505,817 | — | — | |||||||||
Electric Utilities | 2,508,796 | — | — | |||||||||
Electrical Equipment | 1,345,338 | — | — | |||||||||
Electronic Equipment & Instruments | 1,272,189 | — | — | |||||||||
Energy Equipment & Services | 1,438,564 | — | — | |||||||||
Food Products | 4,253,931 | — | — | |||||||||
Health Care Equipment & Supplies | 1,592,915 | — | — | |||||||||
Health Care Providers & Services | 3,815,640 | — | — | |||||||||
Hotels, Restaurants & Leisure | 8,158,828 | — | — | |||||||||
Industrial Conglomerates | 1,795,860 | — | — | |||||||||
Insurance | 4,179,239 | — | — | |||||||||
Internet & Catalog Retail | 5,634,769 | — | — | |||||||||
Internet Software & Services | 16,558,976 | — | — | |||||||||
IT Services | 3,993,206 | — | — | |||||||||
Media | 8,022,775 | — | — | |||||||||
Multiline Retail | 2,031,918 | — | — | |||||||||
Multi-Utilities | 1,820,587 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 8,398,358 | — | — | |||||||||
Pharmaceuticals | 14,398,561 | — | — | |||||||||
Road & Rail | 2,115,594 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 1,625,610 | — | — | |||||||||
Software | 9,303,825 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 1,854,296 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 4,828,873 | — | — | |||||||||
Wireless Telecommunication Services | 1,758,235 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 6,111,075 | — | — | |||||||||
Total | $ | 157,960,110 | $ | — | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 was as follows (Unaudited):
Internet Software & Services | 10.5 | % | ||
Banks | 9.8 | |||
Pharmaceuticals | 9.1 | |||
Software | 5.9 | |||
Oil, Gas & Consumable Fuels | 5.3 | |||
Hotels, Restaurants & Leisure | 5.2 | |||
Media | 5.1 | |||
Affiliated Money Market Mutual Fund | 3.9 | |||
Internet & Catalog Retail | 3.6 | |||
Textiles, Apparel & Luxury Goods | 3.1 | |||
Biotechnology | 3.0 | |||
Insurance | 2.7 | |||
Capital Markets | 2.7 | |||
Food Products | 2.7 | |||
IT Services | 2.5 | |||
Consumer Finance | 2.4 | |||
Health Care Providers & Services | 2.4 | |||
Aerospace & Defense | 2.3 | |||
Electric Utilities | 1.6 | |||
Road & Rail | 1.3 |
Multiline Retail | 1.3 | % | ||
Technology Hardware, Storage & Peripherals | 1.2 | |||
Multi-Utilities | 1.2 | |||
Auto Components | 1.1 | |||
Automobiles | 1.1 | |||
Wireless Telecommunications Services | 1.1 | |||
Industrial Conglomerates | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Health Care Equipment & Supplies | 1.0 | |||
Diversified Financial Services | 1.0 | |||
Energy Equipment & Services | 0.9 | |||
Electrical Equipment | 0.9 | |||
Electronic Equipment & Instruments | 0.8 | |||
Chemicals | 0.7 | |||
Communications Equipment | 0.7 | |||
| 100.2 | ||||
Liabilities in excess of other assets | (0.2 | ) | ||
| 100.0 | % | |||
The Account invested in derivative instruments (rights offerings) during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Account’s financial position and financial performance as reflected on the Statement of Net Assets and Statement of Operations is presented in the summary below.
For the year ended December 31, 2015, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in Income on the Statement of Operations.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF OPERATIONS | ||||||
Year Ended December 31, 2015
INVESTMENT INCOME | ||||
Unaffiliated Dividend Income (net of $68,476 foreign withholding tax) | $ | 2,647,229 | ||
Affiliated Dividend Income | 8,599 | |||
Total Income | 2,655,828 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (427,409 | ) | ||
Fees Charged to Participants for Administrative Expenses: | ||||
Standard Contract | (1,151,264 | ) | ||
0.50% Contract | (9,576 | ) | ||
0.45% Contract | (21,344 | ) | ||
Total Expenses | (1,609,593 | ) | ||
NET INVESTMENT INCOME | 1,046,235 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net Realized Gain on Investment Transactions | 7,365,457 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (11,020,024 | ) | ||
NET LOSS ON INVESTMENTS | (3,654,567 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,608,332 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS | ||||||
| Year Ended December 31, | ||||||||
2015 | 2014 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 1,046,235 | $ | 581,392 | ||||
Net Realized Gain on Investment Transactions | 7,365,457 | 17,000,496 | ||||||
Net Change In Unrealized Appreciation (Depreciation) on Investments | (11,020,024 | ) | 711,791 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,608,332 | ) | 18,293,679 | |||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 1,785,014 | 2,800,566 | ||||||
Withdrawals and Transfers Out | (19,074,873 | ) | (19,564,364 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (17,289,859 | ) | (16,763,798 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (2,870 | ) | (3,501 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (19,901,061 | ) | 1,526,380 | |||||
NET ASSETS | ||||||||
Beginning of year | 177,468,265 | 175,941,885 | ||||||
End of year | $ | 157,567,204 | $ | 177,468,265 | ||||
Accumulation Unit Values and Equity of Participants as of December 31, 2015
Standard Contract: | ||||
Accumulation Unit Value and Equity of Participants, $143,869,590 / 9,594,761 outstanding Accumulation Units | $ | 14.9946 | ||
0.50% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $3,622,865 / 219,193 outstanding Accumulation Units | $ | 16.5282 | ||
0.45% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $10,095,420 / 609,303 outstanding Accumulation Units | $ | 16.5688 | ||
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 31,2015 | Year Ended December 31, 2014 | |||||||||||||||||||||||
Standard | 0.50% | 0.45% | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | 0.2397 | $ | 0.2631 | $ | 0.2637 | $ | .1871 | $ | .2046 | $ | .2049 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (0.0384 | ) | (0.0422 | ) | (0.0423 | ) | (.0362 | ) | (.0397 | ) | (.0398 | ) | ||||||||||||
Administrative expenses | (0.1149 | ) | (0.0422 | ) | (0.0339 | ) | (.1086 | ) | (.0397 | ) | (.0318 | ) | ||||||||||||
Net Investment Income | 0.0864 | 0.1787 | 0.1875 | .0423 | .1252 | .1333 | ||||||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (0.3479 | ) | (0.3837 | ) | (0.3847 | ) | 1.4515 | 1.5879 | 1.5907 | |||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (0.2615 | ) | (0.2050 | ) | (0.1972 | ) | 1.4938 | 1.7131 | 1.7240 | |||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 15.2561 | 16.7332 | 16.7660 | 13.7623 | 15.0201 | 15.0420 | ||||||||||||||||||
End of year | $ | 14.9946 | $ | 16.5282 | $ | 16.5688 | $ | 15.2561 | $ | 16.7332 | $ | 16.7660 | ||||||||||||
Total Return** | (1.71 | %) | (1.23 | %) | (1.18 | %) | 10.85 | % | 11.41 | % | 11.46 | % | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | 0.57 | % | 1.06 | % | 1.11 | % | .29 | % | .78 | % | .83 | % | ||||||||||||
Portfolio Turnover Rate | 47 | % | 47 | % | 47 | % | 70 | % | 70 | % | 70 | % | ||||||||||||
Number of Accumulation Units Outstanding | 9,595 | 219 | 609 | 10,646 | 242 | 657 | ||||||||||||||||||
| * | 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.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .1792 | $ | .1950 | $ | .1952 | $ | .1825 | $ | .1975 | $ | .1976 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0303 | ) | (.0330 | ) | (.0330 | ) | (.0251 | ) | (.0272 | ) | (.0272 | ) | ||||||||||||
Administrative expenses | (.0906 | ) | (.0330 | ) | (.0264 | ) | (.0752 | ) | (.0272 | ) | (.0218 | ) | ||||||||||||
Net Investment Income | .0583 | .1290 | .1358 | .0822 | .1431 | .1486 | ||||||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 3.1834 | 3.4658 | 3.4700 | 1.0786 | 1.1677 | 1.1686 | ||||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | 3.2417 | 3.5948 | 3.6058 | 1.1608 | 1.3108 | 1.3172 | ||||||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 10.5206 | 11.4253 | 11.4362 | 9.3598 | 10.1145 | 10.1190 | ||||||||||||||||||
End of year | $ | 13.7623 | $ | 15.0201 | $ | 15.0420 | $ | 10.5206 | $ | 11.4253 | $ | 11.4362 | ||||||||||||
Total Return** | 30.81 | % | 31.46 | % | 31.53 | % | 12.40 | % | 12.96 | % | 13.02 | % | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | .48 | % | .98 | % | 1.03 | % | .82 | % | 1.32 | % | 1.37 | % | ||||||||||||
Portfolio Turnover Rate | 69 | % | 69 | % | 69 | % | 44 | % | 44 | % | 44 | % | ||||||||||||
Number of Accumulation Units Outstanding | 11,720 | 224 | 751 | 13,204 | 205 | 891 | ||||||||||||||||||
| * | 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 period 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.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year/Period Ended December 31, 2011 | ||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract† | ||||||||||
Investment Income | $ | .1448 | $ | .1559 | $ | .1203 | ||||||
Expenses | ||||||||||||
Investment management fee | (.0250 | ) | (.0270 | ) | (.0200 | ) | ||||||
Administrative expenses | (.0749 | ) | (.0270 | ) | (.0160 | ) | ||||||
Net Investment Income | .0449 | .1019 | .0843 | |||||||||
Capital Changes | ||||||||||||
Net realized and unrealized gain (loss) on | (.7945 | ) | (.8579 | ) | (1.5558 | ) | ||||||
Net Increase (Decrease) in Accumulation | (.7496 | ) | (.7560 | ) | (1.4715 | ) | ||||||
Accumulation Unit Value | ||||||||||||
Beginning of period | 10.1094 | 10.8705 | 11.5905 | |||||||||
End of period | $ | 9.3598 | $ | 10.1145 | $ | 10.1190 | ||||||
Total Return** | (7.41 | %) | (6.95 | %) | (12.70 | %) | ||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | %†† | ||||||
Ratio of Net Investment Income To Average | .44 | % | .94 | % | 1.03 | %†† | ||||||
Portfolio Turnover Rate | 56 | % | 56 | % | 56 | %††† | ||||||
Number of Accumulation Units Outstanding | 15,386 | 205 | 1,001 | |||||||||
| * | 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 period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-10. |
| † | Inception Date — April 1, 2011. |
| †† | Annualized. |
| ††† | Not Annualized. |
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 (“1940 Act”), 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.
PICA issues standard VCA-10 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-10 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Accounting Policies |
The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the
vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Account securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
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 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.
Rights: The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.
Restricted and Illiquid Securities: The Account may hold up to 15% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements are valued pursuant to the valuation procedures noted above.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. 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 subadviser’s 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.
VCA-10 is subject to fees for investment management and administration 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.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services.
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 year ended by cancelling Units.
| Note 4: | Other Transactions with Affiliates |
The Account may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
During the year ended December 31, 2015, the Account invested in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | Purchases and Sales of Portfolio Securities |
For the year ended December 31, 2015, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $77,145,772 and $93,070,793, respectively.
| Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the year ended December 31, 2015 and the year ended December 31, 2014, respectively, are as follows:
Standard Contracts | Units | Amount | ||||||
Year ended December 31, 2015: | ||||||||
Account units issued | 107,010 | $ | 1,648,237 | |||||
Account units redeemed | (1,158,432 | ) | (17,720,977 | ) | ||||
Net increase (decrease) in units outstanding | (1,051,422 | ) | $ | (16,072,740 | ) | |||
Year ended December 31, 2014: | ||||||||
Account units issued | 172,446 | $ | 2,481,094 | |||||
Account units redeemed | (1,246,510 | ) | (18,029,348 | ) | ||||
Net increase (decrease) in units outstanding | (1,074,064 | ) | $ | (15,548,254 | ) | |||
0.50 % Contracts | Units | Amount | ||||||
Year ended December 31, 2015: | ||||||||
Account units issued | 8,078 | $ | 136,777 | |||||
Account units redeemed | (31,049 | ) | (527,491 | ) | ||||
Net increase (decrease) in units outstanding | (22,971 | ) | $ | (390,714 | ) | |||
Year ended December 31, 2014: | ||||||||
Account units issued | 20,355 | $ | 319,472 | |||||
Account units redeemed | (2,392 | ) | (37,293 | ) | ||||
Net increase (decrease) in units outstanding | 17,963 | $ | 282,179 | |||||
0.45 % Contracts | Units | Amount | ||||||
Year ended December 31, 2015: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (47,645 | ) | (804,689 | ) | ||||
Net increase (decrease) in units outstanding | (47,645 | ) | $ | (804,689 | ) | |||
Year ended December 31, 2014: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (93,613 | ) | (1,497,723 | ) | ||||
Net increase (decrease) in units outstanding | (93,613 | ) | $ | (1,497,723 | ) | |||
| Note 7: | 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 8: | 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. 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.
For the year ended December 31, 2015, $100,361 in participant loans were withdrawn from VCA-10 and $172,795 of principal and interest was repaid to VCA-10. For the year ended December 31, 2014, $95,927 in participant loans were withdrawn from VCA-10 and $155,348 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, 2015, PICA has advised the Account that it received $1,147 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 9: | New Accounting Pronouncements |
In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Account for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management has evaluated the implications of ASU No. 2015-07 and has determined that there is no impact on the financial statement disclosures.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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 (hereafter referred to as the “Account”) as of December 31, 2015, and the related statement 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 five-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.
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, 2015, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2015, the results of its operations, the changes in its net assets and the financial highlights for the years or periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 26, 2016
| The Prudential MEDLEY Program — VCA-11 Money Market Account | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 7-Day Current Net Yield | 1-Year | 5-Year | 10-Year | Since Inception | |||||||||||||||
VCA-11 | -0.65 | % | -0.79 | % | -0.79 | % | 0.55 | % | — | |||||||||||
VCA-11 | -0.15 | -0.29 | -0.30 | 1.05 | — | |||||||||||||||
VCA-11 | -0.10 | -0.24 | — | — | -0.25 | % | ||||||||||||||
Citigroup | — | 0.05 | 0.06 | 1.09 | — | |||||||||||||||
Past performance does not guarantee future returns. Account performance is net of investment fees and fund expenses. 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.
The yield quotation more closely reflects the current earnings of the Account than the total return quotation. 0.45% contract inception: 4/1/2011. Unless noted otherwise, Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% contract.
MONEY MARKET ACCOUNT
ONE-YEAR TOTAL RETURN FOR THE
PAST 10 YEARS2
For the year ended December 31, 2015, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) returned -0.79%, the value of a contract with annual expenses of 0.50% returned -0.29%, and the value of a contract with annual expenses of 0.45% returned -0.24%.
The net assets of the Portfolio at December 31, 2015 were $25.3 million.
The Account’s investment objective is to seek high current income and maintain high levels of liquidity. The Account is subadvised by Prudential Investment Management, Inc.
What were market conditions during the reporting period?
During the reporting period, the US economic expansion remained on track as business fixed investment and the housing sector continued to improve. In particular, US labor market developments were encouraging, with improving wages and lower unemployment, that along with falling fuel prices helped consumer-oriented sectors.
As the economy continued to improve, the Federal Reserve (the Fed) began hinting of a “lift off” for the federal funds rate. While preparing the market for a potential increase, the Fed maintained its stance that the hiking cycle would remain data-dependent and be gradual over the next couple of years. Although the market had expected a “lift off” in September, the Fed held off on concern that weaker growth outside the US, coupled with global financial market volatility, might slow US growth. In December, the Fed raised the federal funds rate from a range between 0% and 0.25% to a range between 0.25% and 0.50%, expressing its confidence in the US economic outlook and the continued labor market improvement.
The three-month London interbank offered rate (LIBOR), the rate that banks pay one another to borrow in US dollars, rose from nearly 0.25% to 0.61% over the course of the reporting period.
What strategies or holdings affected the Account’s performance?
Throughout the period, the investment team remained cautious on credit risk in anticipation of wider spreads as the 2a-7 regulatory changes loomed. Specifically, the Account was underweight in the financial sector, with the majority of its purchases limited to three months or less. The Account’s weighted average maturity (WAM) fluctuated between neutral and shorter than its peers.
The investment team maintained the Account’s holdings of LIBOR-based securities by favoring government agency securities. The Account’s weighted average life was higher than the universe average.
During the period, the investment team tactically adjusted the Account’s sector positioning in order to position it optimally for seasonal factors. As year-end approached, the Account’s holdings of Treasury and agency securities increased, as the investment team expected reduced liquidity and a lower supply of non-government assets.
| 1 | The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-11 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-11 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-11 contracts with reduced expenses will be higher than the performance of the standard VCA-11 contract. All total returns are for the periods indicated and are calculated based on changes in unit values. |
| 2 | The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure. |
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. Investors cannot invest directly in an index.
London Interbank Offered Rate (LIBOR). The LIBOR is an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. The LIBOR is fixed on a daily basis by the British Bankers’ Association.
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.
Prudential Investment Management, Inc. is a registered investment adviser and a Prudential Financial Company.
2
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
SHORT-TERM INVESTMENTS — 100% | Principal Amount (000)# | Value (Note 2) | ||||||
Certificates of Deposit — 16.8% | ||||||||
Bank of Montreal | ||||||||
0.640%, 03/24/2016 | $ | 500 | $ | 500,000 | ||||
Bank of Nova Scotia | ||||||||
0.573%, 02/22/2016(b) | 400 | 400,013 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||||||
0.300%, 01/04/2016(b) | 650 | 650,000 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.600%, 03/17/2016 | 350 | 350,000 | ||||||
Citibank NA | ||||||||
0.250%, 01/20/2016 | 275 | 275,000 | ||||||
0.260%, 01/07/2016 | 370 | 370,000 | ||||||
Rabobank Nederland | ||||||||
0.560%, 01/25/2016(b) | 250 | 250,009 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
0.397%, 04/06/2016(b) | 250 | 250,000 | ||||||
State Street Bank & Trust Co. | ||||||||
0.547%, 03/21/2016(b) | 300 | 300,000 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
0.517%, 01/14/2016(b) | 300 | 300,000 | ||||||
Wells Fargo Bank NA | ||||||||
0.437%, 02/08/2016(b) | 600 | 600,008 | ||||||
| 4,245,030 | ||||||||
Commercial Paper — 14.2% | ||||||||
ABN AMRO Bank, 144A | ||||||||
1.375%, 01/22/2016(b) | 300 | 300,134 | ||||||
Chevron Corp., 144A | ||||||||
0.406%, 01/26/2016(a) | 500 | 499,861 | ||||||
Commonwealth Bank of Australia, 144A | ||||||||
0.371%, 05/04/2016(b) | 500 | 499,984 | ||||||
DNB Bank ASA, 144A | ||||||||
0.274%, 02/08/2016(a) | 300 | 299,914 | ||||||
0.552%, 04/21/2016(b) | 300 | 300,000 | ||||||
European Investment Bank | ||||||||
0.203%, 01/25/2016(a) | 250 | 249,967 | ||||||
KFW, 144A | ||||||||
0.274%, 01/14/2016(b) | 350 | 349,966 | ||||||
0.274%, 01/26/2016(b) | 250 | 249,953 | ||||||
Nestle Finance International Ltd. | ||||||||
0.365%, 01/26/2016(b) | 350 | 349,913 | ||||||
Ontario Teacher Financial Trust, 144A | ||||||||
0.488%, 02/18/2016(a) | 250 | 249,840 | ||||||
Swedbank AB | ||||||||
0.427%, 02/16/2016(a) | 260 | 259,860 | ||||||
| 3,609,392 | ||||||||
Other Corporate Obligations — 17.3% |
| |||||||
General Electric Capital Corp., Gtd. Notes MTN | ||||||||
0.518%, 01/08/2016(b) | 500 | 500,016 | ||||||
International American Development Bank, Sr. Unsec’d. Notes, MTN | ||||||||
0.355%, 02/02/2016(b) | 500 | 499,844 | ||||||
| SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
Other Corporate Obligations (continued) | ||||||||
International Business Machines Corp., Sr. Unsec’d. Notes | ||||||||
0.404%, 02/05/2016(a) | $ | 264 | $ | 264,025 | ||||
2.000%, 01/05/2016 | 500 | 500,095 | ||||||
International Finance Corp., Sr. Unsec’d. Notes, MTN | ||||||||
0.162%, 01/04/2016(b) | 340 | 339,995 | ||||||
0.203%, 01/05/2016(b) | 228 | 227,995 | ||||||
Svenska Handelsbanken AB, Sr. Unsec’d Notes | ||||||||
1.020%, 03/21/2016 | 350 | 350,280 | ||||||
Total Capital Canada Ltd., Gtd. Notes, | ||||||||
0.701%, 01/15/2016(b) | 750 | 750,093 | ||||||
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | ||||||||
0.243%, 01/27/2016(b) | 250 | 249,957 | ||||||
0.473%, 01/07/2016(a) | 200 | 200,002 | ||||||
Westpac Banking Corp., Sr. Unsec’d. Notes | ||||||||
0.950%, 01/12/2016(b) | 500 | 500,098 | ||||||
| 4,382,400 | ||||||||
Repurchase Agreement(c) — 3.8% | ||||||||
BNP Paribas Securities Corp. | 956 | 956,000 | ||||||
U.S. Government Agency Obligations — 38.9% |
| |||||||
Federal Farm Credit Bank | ||||||||
0.312%, 10/13/2016(b) | 400 | 400,000 | ||||||
Federal Home Loan Bank | ||||||||
0.125%, 01/27/2016(a) | 250 | 249,955 | ||||||
0.142%, 01/29/2016(a) | 300 | 299,967 | ||||||
0.207%, 10/21/2016(a) | 250 | 249,951 | ||||||
0.219%, 09/01/2016(b) | 500 | 499,969 | ||||||
0.223%, 04/28/2016(b) | 150 | 150,000 | ||||||
0.282%, 08/26/2016(a) | 400 | 399,943 | ||||||
0.305%, 08/18/2016(b) | 500 | 499,983 | ||||||
0.355%, 01/11/2016 | 600 | 599,942 | ||||||
0.355%, 01/27/2016(a) | 250 | 249,978 | ||||||
0.378%, 08/24/2016(b) | 500 | 500,000 | ||||||
0.385%, 02/02/2016(a) | 500 | 499,831 | ||||||
0.385%, 03/11/2016(b) | 260 | 260,010 | ||||||
0.386%, 02/09/2016(a) | 500 | 499,794 | ||||||
0.402%, 03/14/2016(b) | 400 | 400,000 | ||||||
0.402%, 01/25/2016(a) | 400 | 400,000 | ||||||
0.407%, 03/28/2016(b) | 300 | 300,000 | ||||||
0.420%, 02/05/2016(a) | 1,000 | 999,614 | ||||||
0.426%, 02/19/2016(a) | 600 | 599,657 | ||||||
0.509%, 04/25/2016(a) | 500 | 499,201 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.208%, 09/02/2016(b) | 500 | 500,000 | ||||||
0.320%, 02/18/2016(b) | 500 | 499,990 | ||||||
0.462%, 04/27/2017(b) | 300 | 299,919 | ||||||
| 9,857,704 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
| SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
U.S. Treasury Obligations — 9.0% | ||||||||
U.S. Treasury Bills | ||||||||
0.208%, 01/14/2016 | $ | 517 | $ | 516,962 | ||||
U.S. Treasury Notes | ||||||||
0.250%, 04/15/2016 | 250 | 249,881 | ||||||
0.250%, 05/15/2016 | 250 | 250,038 | ||||||
0.375%, 03/31/2016 | 250 | 249,992 | ||||||
0.375%, 05/31/2016 | 250 | 250,166 | ||||||
1.750%, 05/31/2016 | 250 | 251,556 | ||||||
2.000%, 01/31/2016 | 500 | 500,717 | ||||||
| 2,269,312 | ||||||||
TOTAL INVESTMENTS — 100% | 25,319,838 | |||||||
LIABILITIES, LESS OTHER ASSETS |
| |||||||
Interest Receivable |
| 19,035 | ||||||
Cash |
| 114 | ||||||
Payable Pending Capital Transactions |
| (21,965 | ) | |||||
Liabilities in excess of other assets |
| (2,816 | ) | |||||
NET ASSETS — 100% |
| 25,317,022 | ||||||
NET ASSETS, representing: |
| |||||||
Equity of Participants |
| 25,316,757 | ||||||
Equity of The Prudential Insurance Company of America |
| 265 | ||||||
| $ | 25,317,022 | |||||||
The following abbreviations are used in the annual report:
| 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 liquid. | |
| MTN | Medium Term Note |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Rate quoted represents yield-to-maturity as of the purchase date. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2015. |
| (c) | Repurchase agreements are collaterized by U.S. Treasury Securities (coupon rates 0.000%-3.375%, maturity dates 11/15/2019-08/15/2028), with the aggregate value, including accrued interest, of $975,139. Repurchase agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements and the corresponding counterparty, see the Schedule of Investments. |
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Certificates of Deposit | $ | — | 4,245,030 | $ | — | |||||||
Commercial Paper | — | 3,609,392 | — | |||||||||
Other Corporate Obligations | — | 4,382,400 | — | |||||||||
Repurchase Agreement | — | 956,000 | — | |||||||||
U.S. Government Agency Obligations | — | 9,857,704 | — | |||||||||
U.S. Treasury Obligations | — | 2,269,312 | — | |||||||||
Total | $ | — | $ | 25,319,838 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2015
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 was as follows (Unaudited):
U.S. Government Agency Obligations | 38.9 | % | ||
Other Corporate Obligations | 17.3 | |||
Certificates of Deposit | 16.8 | |||
Commercial Paper | 14.2 | |||
U.S. Treasury Obligations | 9.0 |
Repurchase Agreement | 3.8 | % | ||
| 100.0 | ||||
Liabilities in excess of other assets | — | * | ||
| 100.0 | % | |||
| * | Less than (0.005) |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF OPERATIONS | ||||||
Year Ended December 31, 2015
INVESTMENT INCOME | ||||
Unaffiliated Interest Income | $ | 53,178 | ||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (65,433 | ) | ||
Fees Charged to Participants for Administrative Expenses: | ||||
Standard Contract | (175,468 | ) | ||
0.50% Contract | (4,112 | ) | ||
0.45% Contract | (2,265 | ) | ||
Total Expenses | (247,278 | ) | ||
NET INVESTMENT LOSS | (194,100 | ) | ||
Realized Gain on Investment Transactions | 316 | |||
NET DECREASE IN NET ASSETS FROM OPERATIONS | $ | (193,784 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS | ||||||
| Year Ended December 31, | ||||||||
2015 | 2014 | |||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (194,100 | ) | $ | (227,187 | ) | ||
Net Realized Gain on Investment Transactions | 316 | 385 | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | (193,784 | ) | (226,802 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 1,843,959 | 2,323,349 | ||||||
Withdrawals and Transfers Out | (3,770,747 | ) | (5,249,447 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (1,926,788 | ) | (2,926,098 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | 18 | (21 | ) | |||||
TOTAL DECREASE IN NET ASSETS | (2,120,554 | ) | (3,152,921 | ) | ||||
NET ASSETS | ||||||||
Beginning of year | 27,437,576 | 30,590,497 | ||||||
End of year | $ | 25,317,022 | $ | 27,437,576 | ||||
Accumulation Unit Values and Equity of Participants as of December 31, 2015
Standard Contract: | ||||
Accumulation Unit Value and Equity of Participants, $22,622,652 / 7,077,192 outstanding Accumulation Units | $ | 3.1966 | ||
0.50% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $1,594,754 / 456,436 outstanding Accumulation Units | $ | 3.4939 | ||
0.45% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $1,099,351 / 313,875 outstanding Accumulation Units | $ | 3.5025 | ||
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, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||||||
Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | 0.0066 | $ | 0.0071 | $ | .0071 | $ | .0052 | $ | .0056 | $ | .0056 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0080 | ) | (.0087 | ) | (.0088 | ) | (.0081 | ) | (.0088 | ) | (.0088 | ) | ||||||||||||
Administrative expenses | (.0239 | ) | (.0087 | ) | (.0069 | ) | (.0242 | ) | (.0088 | ) | (.0070 | ) | ||||||||||||
Net Investment Loss | (.0253 | ) | (.0103 | ) | (.0086 | ) | (.0271 | ) | (.0120 | ) | (.0102 | ) | ||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized gain (loss) on investment transactions | .0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | ||||||||||||
Net Decrease in Accumulation Unit Value | (.0253 | ) | (.0103 | ) | (.0086 | ) | (.0271 | ) | (.0120 | ) | (.0102 | ) | ||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 3.2219 | 3.5042 | 3.5111 | 3.2490 | 3.5162 | 3.5213 | ||||||||||||||||||
End of year | $ | 3.1966 | $ | 3.4939 | $ | 3.5025 | $ | 3.2219 | $ | 3.5042 | $ | 3.5111 | ||||||||||||
Total Return** | (.79 | %) | (.29 | %) | (.24 | %) | (.83 | %) | (.34 | %) | (.29 | %) | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Loss To Average Net Assets*** | (.79 | %) | (.29 | %) | (.24 | %) | (.84 | %) | (.34 | %) | (.29 | %) | ||||||||||||
Number of Accumulation Units Outstanding | 7,077 | 456 | 314 | 7,653 | 458 | 335 | ||||||||||||||||||
| * | 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. |
| †† | Less than $.00005. |
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.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .0060 | $ | .0063 | $ | .0064 | $ | .0081 | $ | .0085 | $ | .0086 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0081 | ) | (.0087 | ) | (.0087 | ) | (.0083 | ) | (.0088 | ) | (.0088 | ) | ||||||||||||
Administrative expenses | (.0244 | ) | (.0087 | ) | (.0071 | ) | (.0246 | ) | (.0088 | ) | (.0071 | ) | ||||||||||||
Net Investment Income (Loss) | (.0265 | ) | (.0111 | ) | (.0094 | ) | (.0248 | ) | (.0091 | ) | (.0073 | ) | ||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized gain (loss) on investment transactions | .0001 | .0001 | .0001 | .0001 | .0001 | .0001 | ||||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.0264 | ) | (.0110 | ) | (.0093 | ) | (.0247 | ) | (.0090 | ) | (.0072 | ) | ||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 3.2754 | 3.5272 | 3.5306 | 3.3001 | 3.5362 | 3.5378 | ||||||||||||||||||
End of year | $ | 3.2490 | $ | 3.5162 | $ | 3.5213 | $ | 3.2754 | $ | 3.5272 | $ | 3.5306 | ||||||||||||
Total Return** | (.81 | %) | (.31 | %) | (.26 | %) | (.75 | %) | (.25 | %) | (.20 | %) | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Income (Loss) To Average Net Assets*** | (.81 | %) | (.32 | %) | (.27 | %) | (.75 | %) | (.26 | %) | (.21 | %) | ||||||||||||
Number of Accumulation Units Outstanding | 8,446 | 502 | 393 | 9,435 | 500 | 433 | ||||||||||||||||||
| * | 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 period 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.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year/Period Ended December 31, 2011 | ||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract† | ||||||||||
Investment Income | $ | .0070 | $ | .0073 | $ | .0051 | ||||||
Expenses | ||||||||||||
Investment management fee | (.0083 | ) | (.0088 | ) | (.0067 | ) | ||||||
Administrative expenses | (.0248 | ) | (.0088 | ) | (.0053 | ) | ||||||
Net Investment Income (Loss) | (.0261 | ) | (.0103 | ) | (.0069 | ) | ||||||
Capital Changes | ||||||||||||
Net realized gain (loss) on investment transactions | .0001 | .0001 | .0000 | †† | ||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.0260 | ) | (.0102 | ) | (.0069 | ) | ||||||
Accumulation Unit Value | ||||||||||||
Beginning of period | 3.3261 | 3.5464 | 3.5447 | |||||||||
End of period | $ | 3.3001 | $ | 3.5362 | $ | 3.5378 | ||||||
Total Return** | (.78 | %) | (.29 | %) | (.19 | %) | ||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | %††† | ||||||
Ratio of Net Investment Income (Loss) To Average Net Assets*** | (.79 | %) | (.29 | %) | (.23 | %)††† | ||||||
Number of Accumulation Units Outstanding | 10,650 | 495 | 458 | |||||||||
| * | 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 period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-11. |
| † | Inception Date — April 1, 2011. |
| †† | Less than $.00005. |
| ††† | Annualized. |
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.
PICA issues standard VCA-11 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-11 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Accounting Policies |
The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
The Account values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy. 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.
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 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.
The Account may hold up to 5% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as 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 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.
Master Netting Arrangements: The Account may be subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Account and the counterparty permits the Account to offset amounts payable by the Account to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Account to cover the Account’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforcable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right to set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the statement of assets and liabilities.
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, including amortization of premium and accretion of discount on debt securities, as required, 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 estimates.
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.
| 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 subadviser’s 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. On or about January 4, 2016, PIM will be renamed PGIM, Inc.
VCA-11 is subject to fees for investment management and administration 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.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services.
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.
| Note 4: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the year ended December 31, 2015 and the year ended December 31, 2014, respectively, are as follows:
Standard Contract | Units | Amount | ||||||
Year ended December 31, 2015: | ||||||||
Account units issued | 524,714 | $ | 1,683,743 | |||||
Account units redeemed | (1,100,210 | ) | (3,531,497 | ) | ||||
Net increase (decrease) in units outstanding | (575,496 | ) | (1,847,754 | ) | ||||
Year ended December 31, 2014: | ||||||||
Account units issued | 661,807 | $ | 2,141,745 | |||||
Account units redeemed | (1,454,946 | ) | (4,708,132 | ) | ||||
Net increase (decrease) in units outstanding | (793,139 | ) | (2,566,387 | ) | ||||
0.50% Contract | ||||||||
Year ended December 31, 2015: | ||||||||
Account units issued | 45,777 | $ | 160,216 | |||||
Account units redeemed | (47,326 | ) | (165,489 | ) | ||||
Net increase (decrease) in units outstanding | (1,549 | ) | (5,273 | ) | ||||
Year ended December 31, 2014: | ||||||||
Account units issued | 51,736 | $ | 181,605 | |||||
Account units redeemed | (95,589 | ) | (335,583 | ) | ||||
Net increase (decrease) in units outstanding | (43,853 | ) | (153,978 | ) | ||||
0.45% Contract | ||||||||
Year ended December 31, 2015: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (21,034 | ) | (73,761 | ) | ||||
Net increase (decrease) in units outstanding | (21,034 | ) | (73,761 | ) | ||||
Year ended December 31, 2014: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (58,508 | ) | (205,731 | ) | ||||
Net increase (decrease) in units outstanding | (58,508 | ) | (205,731 | ) | ||||
| 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. 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.
For the year ended December 31, 2015, $28,071 in participant loans were withdrawn from VCA-11 and $44,121 of principal and interest was repaid to VCA-11. For the year ended December 31, 2014, $56,132 in participant loans were withdrawn from VCA-11 and $77,068 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, 2015, PICA has advised the Account that it received $574 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 |
In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Account for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management has evaluated the implications of ASU No. 2015-07 and has determined that there is no impact on the financial statement disclosures.
| Note 8: | Subsequent Event |
On September 17, 2015, the Committee approved investment policy changes for VCA-11 in connection with the amendments to Rule 2a-7 under the Investment Company Act of 1940 (“Rule 2a-7”). Although VCA-11 is not a money market fund, the prospectus states that VCA-11 currently complies with certain requirements of Rule 2a-7. As a result of the approved investment policy changes, effective in on or about March 30, 2016 VCA-11 will no longer hold itself out as complying with any requirements of Rule 2a-7. VCA-11 will continue to have a fluctuating accumulation unit value and it is not expected that there will be substantial modification to VCA-11’s current investment profile at this time. In addition, VCA-11’s investment objective, subadviser, benchmark, and portfolio management teams will remain the same.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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 (hereafter referred to as the “Account”) as of December 31, 2015, and the related statement 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 five-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.
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, 2015, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2015, the results of its operations, the changes in its net assets and the financial highlights for the years or periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 26, 2016
COMMITTEE MEMBERS AND OFFICERS OF VCA 10 & VCA 11 (Unaudited)
VCA 10 and VCA 11 are managed by the VCA 10 Committee and the VCA 11 Committee, respectively (each, a “Committee,” and collectively, the “Committees”). The members of each Committee are elected by the persons having voting rights in respect of the VCA 10 Account and the VCA 11 Account. The affairs of the VCA 10 Account and the VCA 11 Account are conducted in accordance with the Rules and Regulations of each Account. Information pertaining to the members of the Committees (hereafter referred to as “Committee Members”) is set forth below. Committee Members who are not deemed to be “interested persons” of VCA 10 or VCA 11 as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of VCA 10 or VCA 11 are referred to as “Interested Committee Members.” Information pertaining to the Officers of VCA 10 and VCA 11 is also set forth below.
| Independent Committee Members(1) | ||||
Name, Address, Age Position(s) Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
Ellen S. Alberding (57) Committee Member Portfolios Overseen: 67 | President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (since 2011); Trustee, Skills for America’s Future (national initiative to connect employers to community colleges) (since 2011); Trustee, National Park Foundation (charitable foundation for national park system) (since 2009); Trustee, Economic Club of Chicago (since 2009). | None. | ||
Kevin J. Bannon (63) Committee Member Portfolios Overseen: 67 | Managing Director (since April 2008) and Chief Investment Officer (October 2008-November 2013) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds. | Director of Urstadt Biddle Properties (equity real estate investment trust) (since September 2008). | ||
Linda W. Bynoe (63) Committee Member Portfolios Overseen: 67 | President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co. (broker-dealer). | Director of Simon Property Group, Inc. (retail real estate) (May 2003-May 2012); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009). | ||
Keith F. Hartstein (59) Committee Member Portfolios Overseen: 67 | Retired; Member (since November 2014) of the Governing Council of the Independent Directors Council (organization of independent mutual fund directors); formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008). | None. | ||
Michael S. Hyland, CFA (70) Committee Member Portfolios Overseen: 67 | Retired (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999). | None. | ||
Richard A. Redeker (72) Committee Member & Independent Chair Portfolios Overseen: 67 | Retired Mutual Fund Senior Executive (47 years); Management Consultant; Director, Mutual Fund Directors Forum (since 2014); Independent Directors Council (organization of independent mutual fund directors)-Executive Committee, Chair of Policy Steering Committee, Governing Council. | None. | ||
Stephen G. Stoneburn (72) Committee Member Portfolios Overseen: 67 | Chairman (since July 2011), 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). | None. | ||
| Interested Committee Members(1) | ||||
Name, Address, Age Position(s) Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
Stuart S. Parker (53) Committee Member & President Portfolios Overseen: 67 | President of Prudential Investments LLC (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011). | |||
Scott E. Benjamin (42) Committee Member & Vice President Portfolios Overseen: 67 | Executive Vice President (since June 2009) of Prudential Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006). | |||
(1) The year in which each individual joined the VCA 10 and VCA 11 Committees is as follows: Ellen S. Alberding, 2013; Kevin J. Bannon, 2008; Linda W. Bynoe, 2005; Keith F. Hartstein, 2013; Michael S. Hyland, 2008; Richard A. Redeker, 2003; Stephen G. Stoneburn, 2003; Stuart S. Parker, Committee Member and President since 2012; Scott E. Benjamin, Committee Member since 2010 and Vice President since 2009.
| VCA 10 / VCA 11 Officers(a) | ||||
Name, Address and Age Position with Each Account | Principal Occupation(s) During Past Five Years | Length of Service as Officer | ||
Raymond A. O’Hara (60) Chief Legal Officer | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | Since 2012 | ||
Chad A. Earnst (40) Chief Compliance Officer | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission. | Since 2014 | ||
Deborah A. Docs (58) Secretary | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | Since 2004 | ||
Jonathan D. Shain (57) Assistant Secretary | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | Since 2005 | ||
Claudia DiGiacomo (41) Assistant Secretary | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | Since 2005 | ||
Andrew R. French (53) Assistant Secretary | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | Since 2006 | ||
Amanda S. Ryan (38) Assistant Secretary | Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012). | Since 2012 | ||
Theresa C. Thompson (53) Deputy Chief Compliance Officer | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | Since 2008 | ||
Richard W. Kinville (47) Anti-Money Laundering Compliance Officer | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). | Since 2011 | ||
| VCA 10 / VCA 11 Officers(a) | ||||
Name, Address and Age Position with Each Account | Principal Occupation(s) During Past Five Years | Length of Service as Officer | ||
M. Sadiq Peshimam (52) Treasurer and Principal Financial and Accounting Officer | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | Since 2006 | ||
Peter Parrella (57) Assistant Treasurer | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | Since 2007 | ||
Lana Lomuti (48) Assistant Treasurer | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | Since 2014 | ||
Linda McMullin (54) Assistant Treasurer | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | Since 2014 | ||
(a) Excludes Mr. Parker and Mr. Benjamin, Interested Committee Members who also serve as President and Vice President, respectively.
Explanatory Notes to Tables:
Committee Members are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC.
Unless otherwise noted, the address of all Committee Members and Officers is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102-4077.
There is no set term of office for Committee Members or Officers. The 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.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the 1934 Act (that is, “public companies”) or other investment companies registered under the 1940 Act.
“Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC. The investment companies for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, The Prudential Variable Contract Accounts, Target Mutual Funds, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc. and the Advanced Series Trust.
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 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
| December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 0.40 | % | 8.09 | % | 6.19 | % | ||||||
Blended Index | 1.16 | 7.67 | 5.86 | |||||||||
S&P 500 Index | 1.39 | 12.55 | 7.30 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the Conservative Balanced Portfolio returned 0.40%.
The net assets of the Portfolio at December 31, 2015 were $2,554.3 million.
The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.
The Portfolio’s subadvisers are PGIM, Inc. and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
The Portfolio’s custom blended Index (the Index) returned 1.16%. The year was very volatile for global stocks, mostly because of the large drop in oil prices, reduced 2015 earnings estimates, the slowing of China’s economy, and China’s previously overheated stock market. The United States ended the year by raising interest rates for the first time in nine years. Elsewhere, Europe and Japan modified their programs of monetary easing, weakening their currencies. For the year, US stocks eked out marginal gains while international stocks posted slight losses. Bonds had a modestly positive year, only slightly trailing domestic equities. The Federal Reserve’s December rate hike played a large role by raising yields more broadly, a headwind for bonds late in the year. Furthermore, riskier credit markets struggled in the latter half of the year. This was especially so for high yield bonds because of their sizable exposure to energy firms.
What strategies or holdings affected the Portfolio’s performance?
Allocations to international equities detracted from relative performance as those markets ended the year slightly negative for US dollar-based investors. The Portfolio’s overweight in stocks was reduced throughout the year, as their risk/reward profile became less attractive. Small gains across the US stock and bond markets drove the Portfolio’s return. The Portfolio’s relative performance benefited from solid returns in its actively managed fixed income segment.
Did the Portfolio’s use of derivatives affect performance?
Derivatives, in the form of international futures contracts, swaps and options were used during the year to gain exposure to international equity markets. The impact on the Portfolio was immaterial to performance.
The Blended Index consists of the S&P 500 Index (50%), the Barclays U.S. Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
PGIM, Inc., and Quantitative Management Associates LLC are registered investment advisers and are Prudential Financial companies.
1
| The Prudential Series Fund, Diversified Bond Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | -0.26 | % | 4.76 | % | 6.06 | % | ||||||
Barclays U.S. Aggregate Bond Index | 0.55 | 3.25 | 4.51 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the Diversified Bond Portfolio returned -0.26%.
The net assets of the Portfolio at December 31, 2015 were $1,084.9 million.
The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital. The Portfolio’s subadviser is PGIM, Inc.
What were market conditions during the reporting period?
The magnitude of policy changes by G3 central banks (those in the US, Germany, and Japan) became increasingly incremental during the reporting period, despite high expectations for more aggressive action. After months of anticipation, the Federal Reserve (the Fed) lifted the targeted federal funds rate by 25 basis points during December (a basis point is 1/100 of a percent). However, the rate hike was far short of the 75 to 100 basis-point increase Fed policymakers had been expected to implement over the course of 2015. During the period, US Treasury yields rose considerably in two-year maturities through 10-year maturities, rising 45 and 20 basis points, respectively. Thirty-year Treasury yields ended the period relatively unchanged, near 3.00%.
Also during the period, commodity prices continued their slide, as growth in global commodity production capacity and output overwhelmed demand in the weak global growth environment. As a result, commodity producers and exporters began to make structural adjustments.
US corporate bonds declined slightly during the reporting period, reflecting uncertainty about slower global economic growth, the Fed’s first rate-hiking cycle in nearly 10 years, record bond issuance, and the steep decline in energy and commodity prices. Despite nominal tightening during the fourth quarter of 2015, corporate bond spreads (yield differentials) versus similar-maturity US Treasuries widened by 34 basis points during the year to close at 165 basis points. For the year as a whole, corporate bonds underperformed US Treasuries.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s yield curve positioning detracted from performance during the year, especially in the second quarter. More specifically, the Portfolio was hurt by its yield curve flattening bias as the yield curve steepened during the second quarter. This positioning then contributed positively as the yield curve flattened during the remainder of the year. The Portfolio’s tactical long-duration position relative to its benchmark added modestly to results (duration measures the approximate price change of a bond portfolio for a given change in interest rates).
Overall, sector allocations detracted from performance. The Portfolio was hampered by its overweight positions in high yield corporate bonds, emerging markets debt, and commercial mortgage-backed securities. Its underweight in agency mortgage-backed securities contributed positively.
Security selection dampened returns, especially the Portfolio’s positions in US Treasury securities. On the positive side, security selection among high yield corporate bonds, structured securities, sovereign bonds, and investment-grade corporate bonds added to performance.
Did the Portfolio’s use of derivatives affect performance?
The Portfolio uses derivatives when they facilitate implementation of the overall investment approach. During the reporting period, the Portfolio used interest-rate futures, options, forwards, and swaps to help manage US and global duration and yield curve exposure. These positions detracted from performance during the period. In addition, the Portfolio traded foreign exchange derivatives, which added modestly to returns.
The Barclays U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
PGIM, Inc. is a registered investment adviser and a Prudential Financial company.
2
| The Prudential Series Fund, Equity Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 2.36 | % | 10.07 | % | 6.64 | % | ||||||
Portfolio: Class II | 1.97 | 9.62 | 6.21 | |||||||||
Russell 1000® Index | 0.92 | 12.44 | 7.40 | |||||||||
S&P 500 Index | 1.39 | 12.55 | 7.30 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS1
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2015, the Equity Portfolio Class I shares returned 2.36% and Class II shares returned 1.97%.
The net assets of the Portfolio at December 31, 2015 were $3,848.1 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Jennison Associates LLC (Jennison).
What were market conditions during the reporting period?
Weak energy prices, a strong US dollar, and slowing economic growth in China were key influences on the global economic landscape. Overall, it was an environment with volatility in global financial markets, sluggish global economic expansion, and below-average market earnings growth. Merger and acquisition activity continued at a torrid pace, with 2015 set to challenge records for the number and size of transactions announced.
While the S&P 500 Index (the Index) returned 1.39%, there was significant disparity across sectors and capitalizations. Consumer discretionary posted the largest gain; health care, consumer staples, telecommunication services and information technology also advanced. Energy and materials suffered the largest declines.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio outperformed both Indexes, due largely to the contributions of consumer discretionary stocks across a diverse range of industries. In Internet retail, Amazon and Netflix were noteworthy performers. Amazon benefited as investors increasingly appreciated its strong execution, long-term revenue growth, margin-expansion potential, and cloud infrastructure opportunities. On-demand streaming media network Netflix’s strong subscriber growth reflected the appeal of the company’s original programming. In Jennison’s opinion, a shift toward exclusive deals and original content, increasing pricing power, international expansion, and scale advantage have strengthened the company’s long-term competitive positioning.
In restaurants, Starbucks’ strong brand and innovation in mobile and loyalty programs have driven customer engagement and robust sales. In apparel, Nike generated impressive earnings, revenue, and gross margins on the strength of its execution and the Nike brand around the world and across product categories.
The Portfolio also benefited from holdings in information technology as Google (now Alphabet) and Facebook made strong gains. Internet-based social platform Facebook has successfully implemented its mobile interface, and revenue generation from both mobile and desktop applications has improved. Google’s technological lead and dominant position in Internet search is a unique strength that has enabled the company to monetize search traffic at a meaningfully higher rate than its competitors.
The Portfolio’s average underweight in energy was also a source of relative gain.
Security choices SPX and Hertz in industrials and SLM in financials detracted from performance. SPX was hurt by worse-than-expected results in its oil and gas segment, accelerating losses in South Africa, and lower multiples in general. The position was eliminated. Hertz was hurt by a number of operational challenges. Jennison believes Hertz’s “low-expectations” profile fits its contrarian thinking model, and also that SLM’s business model remains strong and, at current valuation, the reward to risk is very attractive.
Despite positive contribution from the information technology sector in aggregate, Applied Materials and HP were positions that experienced outsized losses. The position in Applied Materials was eliminated. Jennison also believes that there are low expectations in the market for HP and view it as a contrarian idea with solid downside protection.
| 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. |
The Russell 1000® Index is an unmanaged 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. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
3
| The Prudential Series Fund, Flexible Managed Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 1.01 | % | 9.78 | % | 6.75 | % | ||||||
Blended Index | 1.26 | 8.77 | 6.30 | |||||||||
S&P 500 Index | 1.39 | 12.55 | 7.30 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ending December 31, 2015, the Flexible Managed Portfolio returned 1.01%.
The net assets of the Portfolio at December 31, 2015 were $3,768.8 million.
The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.
The Portfolio’s subadvisers are PGIM, Inc. and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
The Portfolio’s custom-blended Index (the Index) returned 1.26%. The year was very volatile for global stocks, largely because of the large drop in oil prices, reduced 2015 corporate earnings estimates, the slowing of China’s economy, and China’s previously overheated stock market. The United States ended the year by raising interest rates for the first time in nine years. Elsewhere, Europe and Japan modified their programs of monetary easing, weakening their currencies. For the year, US stocks eked out marginal gains while international stocks posted slight losses. Bonds had a modestly positive year, only slightly trailing domestic equities. The Federal Reserve’s December rate hike played a large role by raising yields more broadly, a headwind for bonds late in the year. Furthermore, riskier credit markets struggled in the latter half of the year, particularly high yield bonds because of their sizable exposure to energy firms.
What strategies or holdings affected the Portfolio’s performance?
Allocations to international equities detracted from the Portfolio’s relative performance as those markets ended the year slightly negative for US-dollar-based investors. The Portfolio’s overweight in stocks was reduced throughout the year, as their risk/reward profile became less attractive. Small gains across the US stock and bond markets drove the Portfolio’s return. The Portfolio’s relative performance benefited from solid returns in its actively managed domestic stock and fixed income segments.
Did the Portfolio use derivatives and how did they affect performance?
Derivatives, in the form of international futures contracts, swaps and options, were used during the year to gain exposure to international equity markets. The effect on the Portfolio was immaterial to performance. At the end of the period no derivatives were being held in the Portfolio.
The Blended Index consists of the S&P 500 Index (60%), the Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
PGIM, Inc., and Quantitative Management Associates LLC are registered investment advisers and are Prudential Financial companies.
4
| The Prudential Series Fund, Global Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 2.37 | % | 8.02 | % | 5.10 | % | ||||||
MSCI World Index (GD) | -0.32 | 8.19 | 5.56 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the Global Portfolio returned 2.37%.
The net assets of the Portfolio at December 31, 2015 were $965.3 million.
The Portfolio’s investment objective is long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad. The Portfolio’s subadvisers are: Brown Advisory (Brown), LLC, (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
The MSCI World Index (the Index) returned -0.32%. Trends in monetary policy and economic growth at both the global and local levels were the key drivers of stock prices. Growth trends were mixed, with United States and European recoveries persisting, while emerging economies such as China struggled. European stocks were among the best in developed markets into mid-year as the European Central Bank’s January quantitative easing announcement exceeded expectations, but expectations for further easing in the second half of the year were not realized. Energy markets also had a difficult year, with prices continuing to fall due to a combination of weak emerging market growth, a strengthening US dollar, and oversupply. The year was full of market-moving events, including Greece’s struggle with the European Union, weak crude oil prices, a strong US dollar, China’s economic slowdown and unpegging its currency, and speculation about when the Federal Reserve would raise interest rates.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s four subadvisers added to return relative to the Index, outperforming their respective style-specific target indexes. The international growth sleeve was the top contributor, driven primarily by strong stock selection in the financials and information technology sectors and, geographically, by above-index selection in Australia. The large-cap growth sleeve also added significant value due to strong stock selection in the consumer discretionary, information technology, and materials sectors. The Portfolio was helped by an underexposure to stocks paying a dividend, as faster-growing companies that generally don’t pay dividends were among the best performers for the year.
Did the Portfolio’s use of derivatives affect performance?
None of the four subadvisers use derivative instruments as a principal investment strategy. The types of derivatives employed most often were stock futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of the Portfolio’s currency exposure).
The 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Quantitative Management Associates LLC is a registered investment adviser and a Prudential Financial company.
5
| The Prudential Series Fund, Government Income Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 0.67 | % | 3.03 | % | 4.34 | % | ||||||
Barclays Government Bond Index | 0.86 | 2.77 | 4.10 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the Government Income Portfolio returned 0.67%.
The net assets of the Portfolio at December 31, 2015 were $231.8 million.
The Portfolio’s investment objective is a high level of income over the long term consistent with the preservation of capital. The Portfolio’s subadviser is PGIM, Inc.
What were market conditions during the reporting period?
In December, the Federal Reserve (the Fed) raised the federal funds rate, a move that had been widely anticipated and had already been priced into the market. Given that it would be the first rate increase in nearly 10 years, the Fed had gone to great lengths during 2015 to communicate its intentions. As a result, price movement and volatility within the bond market were subdued in the wake of the December rate hike. Fed policymakers also reiterated their intention to raise rates slowly. As the Fed began the process of normalizing short-term interest rates, 10-year Treasury yields drifted higher. They ended the year at 2.27%, not far from 2.17%, where they stood a year earlier.
During the reporting period, commodity prices continued their slide, as growth in global commodity production capacity and output overwhelmed demand in the weak global growth environment. Accordingly, commodity producers and exporters began to make structural adjustments.
What strategies or holdings affected the Portfolio’s performance?
During the period, security selection was a strong driver of the Portfolio’s performance, highlighted by positions among commercial mortgage-backed securities (CMBS), mortgage-backed securities, and Treasury securities.
The Portfolio was hurt by its sector allocations, with its overweight in CMBS the largest detractor from performance. Opportunistically underweighting and overweighting mortgage-backed securities during the year contributed positively to performance.
The Portfolio’s US yield curve flattening bias detracted from performance as the yield curve steepened during the second quarter. This positioning then contributed positively as the yield curve flattened during the remainder of the year. The Portfolio’s tactical long-duration position relative to its benchmark added to results (duration measures the approximate price change of a bond portfolio for a given change in interest rates).
Did the Portfolio’s use of derivatives affect performance?
The Portfolio’s tactical duration strategies and yield curve positioning were partially implemented via interest rate swaps, options, and futures, which detracted from performance during the period.
The Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
PGIM, Inc. is a registered investment adviser and a Prudential Financial company.
6
| The Prudential Series Fund, Stock Index Portfolio | December 31, 2015 |
Report of the Investment Manager - As of December 31, 2015 (Unaudited)
| Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 1.18 | % | 12.27 | % | 7.03 | % | ||||||
S&P 500 Index | 1.39 | 12.55 | 7.30 | |||||||||
Past performance does not guarantee future returns. 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.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. 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.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2015, the Stock Index Portfolio returned 1.18%.
The net assets of the Portfolio at December 31, 2015 were $3,010.1 million.
The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.
The Portfolio’s subadviser is Quantitative Management Associates LLC (QMA).
What were market conditions during the reporting period?
Equity market performance for the full year was weak. Small and midcap indices ended the year in the red. The S&P 500 was up a modest 1.39% on a total return basis, but on a price performance basis was negative for the year. Investors were responding to a multitude of concerns. Chief among these are economic concerns. Economic growth outside the United States is anemic. Within the United States, investors have been concerned about the effects of rising interest rates and sluggish earnings growth. As a result, investors have largely avoided risk as evidenced by small cap stocks underperforming large caps, high beta underperforming low beta, and growth outperforming value.
What strategies or holdings affected the Portfolio’s performance?
Potential tracking error differences (the difference between the return of the Portfolio and the return of the benchmark), brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P 500 Index. The Portfolio slightly underperformed the Index.
Did the Portfolio’s use of derivatives affect performance?
The Portfolio uses derivative instruments, though not as a principal investment strategy. The Portfolio had a small position in futures contracts on the S&P 500 Index to help enhance liquidity. This exposure slightly detracted from the Portfolio’s performance.
The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Quantitative Management Associates LLC is a registered investment adviser and a Prudential Financial company.
7
The Prudential Series Fund Fees and Expenses — unaudited | December 31, 2015 |
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, 2015 through December 31, 2015.
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, 2015 | Ending Account Value December 31, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
| Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 998.70 | 0.59 | % | $ | 2.97 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.23 | 0.59 | % | $ | 3.01 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,000.00 | 0.47 | % | $ | 2.37 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.84 | 0.47 | % | $ | 2.40 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 992.00 | 0.47 | % | $ | 2.36 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.84 | 0.47 | % | $ | 2.40 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 990.00 | 0.87 | % | $ | 4.36 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.82 | 0.87 | % | $ | 4.43 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,001.70 | 0.63 | % | $ | 3.18 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.03 | 0.63 | % | $ | 3.21 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 979.90 | 0.82 | % | $ | 4.09 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.07 | 0.82 | % | $ | 4.18 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,005.00 | 0.50 | % | $ | 2.53 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.68 | 0.50 | % | $ | 2.55 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,001.00 | 0.32 | % | $ | 1.61 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.59 | 0.32 | % | $ | 1.63 | ||||||||||
* 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, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (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 | as of December 31, 2015 | |||||
| LONG-TERM INVESTMENTS — 87.7% | ||||||||
| COMMON STOCKS — 48.3% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.3% |
| |||||||
Airbus Group SE (France) | 17,491 | $ | 1,178,679 | |||||
Boeing Co. (The) | 39,550 | 5,718,535 | ||||||
General Dynamics Corp. | 18,800 | 2,582,368 | ||||||
Honeywell International, Inc. | 48,412 | 5,014,031 | ||||||
L-3 Communications Holdings, Inc. | 5,100 | 609,501 | ||||||
Lockheed Martin Corp. | 16,600 | 3,604,690 | ||||||
Northrop Grumman Corp. | 11,662 | 2,201,902 | ||||||
Precision Castparts Corp. | 8,500 | 1,972,085 | ||||||
Raytheon Co. | 18,800 | 2,341,164 | ||||||
Rockwell Collins, Inc. | 8,200 | 756,860 | ||||||
Safran SA (France) | 2,803 | 192,575 | ||||||
Textron, Inc. | 17,100 | 718,371 | ||||||
Thales SA (France) | 1,173 | 87,799 | ||||||
United Technologies Corp. | 51,200 | 4,918,784 | ||||||
| 31,897,344 | ||||||||
Air Freight & Logistics — 0.3% |
| |||||||
Bollore SA (France) | 8,313 | 38,736 | ||||||
C.H. Robinson Worldwide, Inc. | 9,100 | 564,382 | ||||||
Expeditors International of Washington, Inc. | 12,000 | 541,200 | ||||||
FedEx Corp. | 16,700 | 2,488,133 | ||||||
Royal Mail PLC (United Kingdom) | 18,943 | 124,075 | ||||||
United Parcel Service, Inc. (Class B Stock) | 43,200 | 4,157,136 | ||||||
| 7,913,662 | ||||||||
Airlines — 0.3% |
| |||||||
American Airlines Group, Inc. | 39,500 | 1,672,825 | ||||||
ANA Holdings, Inc. (Japan) | 13,000 | 37,506 | ||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 132,000 | 227,127 | ||||||
Delta Air Lines, Inc. | 49,200 | 2,493,948 | ||||||
easyJet PLC (United Kingdom) | 25,761 | 660,696 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 9,089 | 81,467 | ||||||
Japan Airlines Co. Ltd. (Japan) | 6,300 | 225,495 | ||||||
Ryanair Holdings PLC (Ireland), ADR | 3,525 | 304,772 | ||||||
Singapore Airlines Ltd. (Singapore) | 3,300 | 26,002 | ||||||
Southwest Airlines Co. | 40,800 | 1,756,848 | ||||||
United Continental Holdings, Inc.* | 23,700 | 1,358,010 | ||||||
| 8,844,696 | ||||||||
Auto Components — 0.2% |
| |||||||
BorgWarner, Inc. | 14,000 | 605,220 | ||||||
Cie Generale des Etablissements Michelin (France) | 1,757 | 167,237 | ||||||
Delphi Automotive PLC (United Kingdom) | 17,600 | 1,508,848 | ||||||
Goodyear Tire & Rubber Co. (The) | 16,300 | 532,521 | ||||||
Johnson Controls, Inc. | 40,500 | 1,599,345 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 15,600 | 639,716 | ||||||
NHK Spring Co. Ltd. (Japan) | 7,400 | 74,195 | ||||||
Nokian Renkaat OYJ (Finland) | 1,095 | 39,093 | ||||||
Toyota Industries Corp. (Japan) | 1,600 | 85,557 | ||||||
Valeo SA (France) | 782 | 120,565 | ||||||
| 5,372,297 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles — 0.5% |
| |||||||
Daimler AG (Germany) | 16,500 | $ | 1,378,648 | |||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 8,468 | 117,603 | ||||||
Ford Motor Co. | 240,885 | 3,394,070 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 22,500 | 926,916 | ||||||
General Motors Co. | 89,100 | 3,030,291 | ||||||
Harley-Davidson, Inc.(a) | 12,000 | 544,680 | ||||||
Mazda Motor Corp. (Japan) | 34,000 | 701,582 | ||||||
Mitsubishi Motors Corp. (Japan) | 6,100 | 51,609 | ||||||
Nissan Motor Co. Ltd. (Japan) | 81,800 | 856,507 | ||||||
Peugeot SA (France)* | 33,256 | 582,945 | ||||||
Renault SA (France) | 1,906 | 190,783 | ||||||
Suzuki Motor Corp. (Japan) | 3,400 | 103,305 | ||||||
Toyota Motor Corp. (Japan) | 16,200 | 997,580 | ||||||
Volkswagen AG (Germany) | 333 | 51,171 | ||||||
| 12,927,690 | ||||||||
Banks — 3.2% |
| |||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 22,458 | 453,197 | ||||||
Banco Santander SA (Spain) | 28,824 | 141,797 | ||||||
Bank Hapoalim BM (Israel) | 125,666 | 648,688 | ||||||
Bank of America Corp. | 647,221 | 10,892,729 | ||||||
Bank of Queensland Ltd. (Australia) | 65,554 | 661,283 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 13,000 | 79,685 | ||||||
Bankinter SA (Spain) | 5,320 | 37,726 | ||||||
BB&T Corp. | 48,300 | 1,826,223 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 4,344 | 37,575 | ||||||
BNP Paribas SA (France) | 10,102 | 571,547 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 9,500 | 28,909 | ||||||
Chiba Bank Ltd. (The) (Japan) | 8,000 | 56,770 | ||||||
Citigroup, Inc. | 186,085 | 9,629,899 | ||||||
Comerica, Inc. | 11,000 | 460,130 | ||||||
Commonwealth Bank of Australia (Australia) | 26,154 | 1,616,954 | ||||||
Credit Agricole SA (France) | 10,131 | 119,386 | ||||||
DNB ASA (Norway) | 45,085 | 555,502 | ||||||
Fifth Third Bancorp | 49,621 | 997,382 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 7,000 | 34,710 | ||||||
Hiroshima Bank Ltd. (The) (Japan) | 5,000 | 28,419 | ||||||
HSBC Holdings PLC (United Kingdom) | 234,842 | 1,853,904 | ||||||
Huntington Bancshares, Inc. | 47,736 | 527,960 | ||||||
Intesa Sanpaolo SpA (Italy) | 122,020 | 405,231 | ||||||
Intesa Sanpaolo SpA (Italy), RSP | 10,665 | 32,579 | ||||||
Japan Post Bank Co. Ltd. (Japan)* | 3,900 | 56,783 | ||||||
Joyo Bank Ltd. (The) (Japan) | 6,000 | 28,373 | ||||||
JPMorgan Chase & Co. | 229,445 | 15,150,253 | ||||||
KBC Groep NV (Belgium) | 14,972 | 936,147 | ||||||
KeyCorp | 48,500 | 639,715 | ||||||
Kyushu Financial Group, Inc. (Japan)* | 3,300 | 23,255 | ||||||
M&T Bank Corp. | 9,700 | 1,175,446 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 125,100 | 774,901 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) |
| |||||||
Mizuho Financial Group, Inc. (Japan) | 600,000 | $ | 1,200,000 | |||||
Nordea Bank AB (Sweden) | 26,425 | 289,929 | ||||||
People’s United Financial, Inc.(a) | 19,100 | 308,465 | ||||||
PNC Financial Services Group, Inc. (The) | 31,833 | 3,034,003 | ||||||
Regions Financial Corp. | 77,303 | 742,109 | ||||||
Resona Holdings, Inc. (Japan) | 133,500 | 648,308 | ||||||
Societe Generale SA (France) | 10,101 | 465,478 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 31,000 | 1,169,973 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 32,000 | 121,195 | ||||||
SunTrust Banks, Inc. | 31,800 | 1,362,312 | ||||||
Suruga Bank Ltd. (Japan) | 1,800 | 37,095 | ||||||
Swedbank AB (Sweden) (Class A Stock) | 8,788 | 193,543 | ||||||
U.S. Bancorp | 102,385 | 4,368,768 | ||||||
United Overseas Bank Ltd. (Singapore) | 12,200 | 168,199 | ||||||
Wells Fargo & Co. | 289,764 | 15,751,571 | ||||||
Westpac Banking Corp. (Australia) | 31,553 | 764,836 | ||||||
Zions Bancorporation | 12,850 | 350,805 | ||||||
| 81,459,647 | ||||||||
Beverages — 1.1% |
| |||||||
Anheuser-Busch InBev NV (Belgium) | 6,824 | 849,233 | ||||||
Brown-Forman Corp. (Class B Stock) | 6,850 | 680,068 | ||||||
Coca-Cola Co. (The) | 242,701 | 10,426,435 | ||||||
Coca-Cola Enterprises, Inc. | 13,400 | 659,816 | ||||||
Constellation Brands, Inc. (Class A Stock) | 10,800 | 1,538,352 | ||||||
Diageo PLC (United Kingdom) | 12,539 | 342,414 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 1,118,400 | ||||||
Heineken Holding NV (Netherlands) | 8,686 | 668,710 | ||||||
Heineken NV (Netherlands) | 8,910 | 759,287 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 9,900 | 929,808 | ||||||
Monster Beverage Corp.* | 9,400 | 1,400,224 | ||||||
PepsiCo, Inc. | 91,307 | 9,123,395 | ||||||
Pernod Ricard SA (France) | 2,018 | 230,143 | ||||||
SABMiller PLC (United Kingdom) | 4,796 | 286,918 | ||||||
Treasury Wine Estates Ltd. (Australia) | 6,387 | 38,348 | ||||||
| 29,051,551 | ||||||||
Biotechnology — 1.6% |
| |||||||
AbbVie, Inc. | 102,400 | 6,066,176 | ||||||
Actelion Ltd. (Switzerland)* | 997 | 138,527 | ||||||
Alexion Pharmaceuticals, Inc.* | 14,000 | 2,670,500 | ||||||
Amgen, Inc. | 47,287 | 7,676,099 | ||||||
Baxalta, Inc. | 33,800 | 1,319,214 | ||||||
Biogen, Inc.* | 13,960 | 4,276,646 | ||||||
Celgene Corp.* | 48,900 | 5,856,264 | ||||||
CSL Ltd. (Australia) | 2,366 | 180,382 | ||||||
Gilead Sciences, Inc. | 91,300 | 9,238,647 | ||||||
Grifols SA (Spain) | 1,224 | 56,576 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Biotechnology (continued) |
| |||||||
Regeneron Pharmaceuticals, Inc.* | 4,840 | $ | 2,627,491 | |||||
Vertex Pharmaceuticals, Inc.*(a) | 15,300 | 1,925,199 | ||||||
| 42,031,721 | ||||||||
Building Products — 0.1% |
| |||||||
Allegion PLC | 6,433 | 424,063 | ||||||
Asahi Glass Co. Ltd. (Japan)(a) | 21,000 | 120,306 | ||||||
Daikin Industries Ltd. (Japan) | 2,300 | 167,490 | ||||||
LIXIL Group Corp. (Japan) | 2,600 | 57,745 | ||||||
Masco Corp. | 21,400 | 605,620 | ||||||
| 1,375,224 | ||||||||
Capital Markets — 1.0% |
| |||||||
3i Group PLC (United Kingdom) | 9,460 | 67,013 | ||||||
Affiliated Managers Group, Inc.* | 3,400 | 543,184 | ||||||
Ameriprise Financial, Inc. | 11,120 | 1,183,390 | ||||||
Bank of New York Mellon Corp. (The) | 68,458 | 2,821,839 | ||||||
BlackRock, Inc. | 8,000 | 2,724,160 | ||||||
Charles Schwab Corp. (The) | 74,050 | 2,438,467 | ||||||
E*TRADE Financial Corp.* | 17,620 | 522,257 | ||||||
Franklin Resources, Inc. | 24,300 | 894,726 | ||||||
Goldman Sachs Group, Inc. (The) | 25,200 | 4,541,796 | ||||||
Invesco Ltd. | 27,100 | 907,308 | ||||||
Investec PLC (South Africa) | 5,386 | 37,977 | ||||||
Legg Mason, Inc. | 7,000 | 274,610 | ||||||
Macquarie Group Ltd. (Australia) | 2,863 | 171,273 | ||||||
Mediobanca SpA (Italy) | 6,985 | 66,959 | ||||||
Morgan Stanley | 94,180 | 2,995,866 | ||||||
Nomura Holdings, Inc. (Japan) | 33,900 | 188,825 | ||||||
Northern Trust Corp. | 13,600 | 980,424 | ||||||
Partners Group Holding AG (Switzerland) | 153 | 55,024 | ||||||
State Street Corp. | 25,300 | 1,678,908 | ||||||
T. Rowe Price Group, Inc. | 16,000 | 1,143,840 | ||||||
UBS Group AG (Switzerland) | 34,802 | 675,140 | ||||||
| 24,912,986 | ||||||||
Chemicals — 1.1% |
| |||||||
Air Products & Chemicals, Inc. | 12,000 | 1,561,320 | ||||||
Airgas, Inc. | 4,500 | 622,440 | ||||||
Asahi Kasei Corp. (Japan) | 109,000 | 737,070 | ||||||
BASF SE (Germany) | 1,157 | 88,138 | ||||||
CF Industries Holdings, Inc. | 15,200 | 620,312 | ||||||
Daicel Corp. (Japan) | 54,500 | 811,064 | ||||||
Dow Chemical Co. (The) | 71,631 | 3,687,564 | ||||||
E.I. du Pont de Nemours & Co. | 55,920 | 3,724,272 | ||||||
Eastman Chemical Co. | 9,200 | 621,092 | ||||||
Ecolab, Inc. | 16,500 | 1,887,270 | ||||||
EMS-Chemie Holding AG (Switzerland) | 76 | 33,447 | ||||||
Evonik Industries AG (Germany) | 582 | 19,251 | ||||||
FMC Corp. | 8,200 | 320,866 | ||||||
Incitec Pivot Ltd. (Australia) | 15,818 | 45,199 | ||||||
International Flavors & Fragrances, Inc. | 5,000 | 598,200 | ||||||
K+S AG (Germany) | 5,025 | 128,094 | ||||||
Kuraray Co. Ltd. (Japan)(a) | 3,300 | 39,972 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) |
| |||||||
LyondellBasell Industries NV (Class A Stock) | 23,100 | $ | 2,007,390 | |||||
Mitsubishi Chemical Holdings Corp. (Japan) | 13,600 | 86,288 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 37,000 | 189,200 | ||||||
Mitsui Chemicals, Inc. (Japan) | 8,000 | 35,480 | ||||||
Monsanto Co. | 27,294 | 2,689,005 | ||||||
Mosaic Co. (The) | 20,800 | 573,872 | ||||||
PPG Industries, Inc. | 16,800 | 1,660,176 | ||||||
Praxair, Inc. | 17,700 | 1,812,480 | ||||||
Sherwin-Williams Co. (The) | 4,900 | 1,272,040 | ||||||
Teijin Ltd. (Japan) | 32,000 | 109,052 | ||||||
Toray Industries, Inc. (Japan) | 4,000 | 37,170 | ||||||
Yara International ASA (Norway) | 17,769 | 764,214 | ||||||
| 26,781,938 | ||||||||
Commercial Services & Supplies — 0.2% |
| |||||||
ADT Corp. (The) | 10,500 | 346,290 | ||||||
Cintas Corp. | 6,000 | 546,300 | ||||||
Pitney Bowes, Inc. | 12,100 | 249,865 | ||||||
Republic Services, Inc. | 15,465 | 680,305 | ||||||
Secom Co. Ltd. (Japan) | 2,000 | 135,539 | ||||||
Securitas AB (Sweden) (Class B Stock) | 2,984 | 45,628 | ||||||
Stericycle, Inc.* | 5,300 | 639,180 | ||||||
Tyco International PLC | 26,100 | 832,329 | ||||||
Waste Management, Inc. | 26,142 | 1,395,199 | ||||||
| 4,870,635 | ||||||||
Communications Equipment — 0.6% |
| |||||||
Cisco Systems, Inc. | 314,400 | 8,537,532 | ||||||
F5 Networks, Inc.* | 4,500 | 436,320 | ||||||
Harris Corp. | 8,000 | 695,200 | ||||||
Juniper Networks, Inc. | 22,500 | 621,000 | ||||||
Motorola Solutions, Inc. | 10,289 | 704,282 | ||||||
QUALCOMM, Inc. | 96,700 | 4,833,550 | ||||||
| 15,827,884 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 1,852 | 54,185 | ||||||
Bouygues SA (France) | 1,938 | 76,843 | ||||||
CIMIC Group Ltd. (Australia) | 938 | 16,454 | ||||||
Ferrovial SA (Spain) | 4,254 | 96,197 | ||||||
Fluor Corp.(a) | 8,800 | 415,536 | ||||||
Jacobs Engineering Group, Inc.* | 7,700 | 323,015 | ||||||
Obayashi Corp. (Japan) | 75,000 | 692,040 | ||||||
Quanta Services, Inc.* | 12,500 | 253,125 | ||||||
Shimizu Corp. (Japan) | 7,000 | 57,080 | ||||||
Skanska AB (Sweden) (Class B Stock) | 33,096 | 641,851 | ||||||
Taisei Corp. (Japan) | 19,000 | 125,153 | ||||||
Vinci SA (France) | 4,676 | 299,709 | ||||||
| 3,051,188 | ||||||||
Construction Materials — 0.1% |
| |||||||
LafargeHolcim Ltd. (Switzerland) | 4,116 | 206,108 | ||||||
Martin Marietta Materials, Inc. | 4,300 | 587,294 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Construction Materials (continued) |
| |||||||
Taiheiyo Cement Corp. (Japan) | 9,000 | $ | 26,283 | |||||
Vulcan Materials Co. | 8,200 | 778,754 | ||||||
| 1,598,439 | ||||||||
Consumer Finance — 0.4% |
| |||||||
American Express Co. | 52,600 | 3,658,330 | ||||||
Capital One Financial Corp. | 33,561 | 2,422,433 | ||||||
Discover Financial Services | 26,940 | 1,444,523 | ||||||
Navient Corp. | 22,600 | 258,770 | ||||||
Provident Financial PLC (United Kingdom) | 1,886 | 93,513 | ||||||
Synchrony Financial* | 51,372 | 1,562,223 | ||||||
| 9,439,792 | ||||||||
Containers & Packaging — 0.1% |
| |||||||
Avery Dennison Corp. | 6,100 | 382,226 | ||||||
Ball Corp. | 8,500 | 618,205 | ||||||
Owens-Illinois, Inc.* | 9,400 | 163,748 | ||||||
Rexam PLC (United Kingdom) | 6,646 | 59,280 | ||||||
Sealed Air Corp. | 13,100 | 584,260 | ||||||
WestRock Co. | 16,844 | 768,423 | ||||||
| 2,576,142 | ||||||||
Distributors |
| |||||||
Genuine Parts Co. | 9,500 | 815,955 | ||||||
Diversified Consumer Services |
| |||||||
H&R Block, Inc. | 14,100 | 469,671 | ||||||
Diversified Financial Services — 1.0% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 116,900 | 15,435,476 | ||||||
CME Group, Inc. | 20,900 | 1,893,540 | ||||||
Groupe Bruxelles Lambert SA (Belgium) | 924 | 79,065 | ||||||
Intercontinental Exchange, Inc. | 6,871 | 1,760,762 | ||||||
Investment AB Kinnevik (Sweden) (Class B Stock) | 2,240 | 68,995 | ||||||
Investor AB (Sweden) (Class B Stock) | 20,485 | 752,828 | ||||||
Leucadia National Corp. | 18,600 | 323,454 | ||||||
McGraw Hill Financial, Inc. | 16,900 | 1,666,002 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 4,700 | 24,187 | ||||||
Moody’s Corp.(a) | 10,900 | 1,093,706 | ||||||
Nasdaq, Inc. | 7,800 | 453,726 | ||||||
ORIX Corp. (Japan) | 67,500 | 946,921 | ||||||
| 24,498,662 | ||||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc. | 383,138 | 13,183,779 | ||||||
BT Group PLC (United Kingdom) | 80,907 | 561,787 | ||||||
CenturyLink, Inc. | 35,236 | 886,538 | ||||||
Frontier Communications Corp.(a) | 64,390 | 300,701 | ||||||
Level 3 Communications, Inc.* | 17,700 | 962,172 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 28,000 | 1,114,347 | ||||||
Orange SA (France) | 54,049 | 904,014 | ||||||
PCCW Ltd. (Hong Kong) | 47,000 | 27,474 | ||||||
Spark New Zealand Ltd. (New Zealand) | 235,341 | 529,907 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Telecommunication Services (continued) |
| |||||||
Telecom Italia SpA (Italy)*(a) | 112,060 | $ | 142,016 | |||||
Telecom Italia SpA (Italy) RSP | 56,883 | 58,381 | ||||||
Telefonica SA (Spain) | 43,293 | 480,292 | ||||||
Verizon Communications, Inc. | 252,676 | 11,678,685 | ||||||
| 30,830,093 | ||||||||
Electric Utilities — 0.9% |
| |||||||
American Electric Power Co., Inc. | 30,360 | 1,769,077 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 6,000 | 55,433 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 6,100 | 83,532 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 2,200 | 29,047 | ||||||
Duke Energy Corp. | 42,561 | 3,038,430 | ||||||
Edison International | 20,200 | 1,196,042 | ||||||
EDP-Energias de Portugal SA (Portugal) | 3,624 | 13,059 | ||||||
Electricite de France SA (France) | 43,045 | 633,948 | ||||||
Endesa SA (Spain)(a) | 25,880 | 519,923 | ||||||
Entergy Corp. | 11,300 | 772,468 | ||||||
Eversource Energy | 19,600 | 1,000,972 | ||||||
Exelon Corp. | 56,813 | 1,577,697 | ||||||
FirstEnergy Corp. | 25,706 | 815,651 | ||||||
Fortum OYJ (Finland) | 48,236 | 726,748 | ||||||
Hokuriku Electric Power Co. (Japan) | 2,200 | 32,513 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 6,600 | 79,133 | ||||||
Kyushu Electric Power Co., Inc. (Japan)* | 4,800 | 52,316 | ||||||
NextEra Energy, Inc. | 28,500 | 2,960,865 | ||||||
Pepco Holdings, Inc. | 14,700 | 382,347 | ||||||
Pinnacle West Capital Corp. | 7,400 | 477,152 | ||||||
PPL Corp. | 41,400 | 1,412,982 | ||||||
Red Electrica Corp. SA (Spain) | 1,039 | 86,788 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 2,300 | 35,929 | ||||||
Southern Co. (The) | 56,200 | 2,629,598 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 5,300 | 66,257 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 16,500 | 95,011 | ||||||
Xcel Energy, Inc. | 31,310 | 1,124,342 | ||||||
| 21,667,260 | ||||||||
Electrical Equipment — 0.2% |
| |||||||
AMETEK, Inc. | 14,900 | 798,491 | ||||||
Eaton Corp. PLC | 28,937 | 1,505,882 | ||||||
Emerson Electric Co. | 40,600 | 1,941,898 | ||||||
Fuji Electric Co. Ltd. (Japan) | 6,000 | 25,163 | ||||||
OSRAM Licht AG (Germany) | 991 | 41,403 | ||||||
Rockwell Automation, Inc. | 8,500 | 872,185 | ||||||
Vestas Wind Systems A/S (Denmark) | 15,925 | 1,112,183 | ||||||
| 6,297,205 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Alps Electric Co. Ltd. (Japan) | 21,700 | 588,461 | ||||||
Amphenol Corp. (Class A Stock) | 19,300 | 1,008,039 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
Corning, Inc. | 75,800 | $ | 1,385,624 | |||||
FLIR Systems, Inc. | 8,000 | 224,560 | ||||||
Ibiden Co. Ltd. (Japan) | 1,200 | 17,204 | ||||||
Ingenico Group SA (France) | 521 | 65,761 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 7,200 | 1,035,945 | ||||||
TDK Corp. (Japan) | 1,200 | 76,853 | ||||||
TE Connectivity Ltd. (Switzerland) | 25,000 | 1,615,250 | ||||||
Yokogawa Electric Corp. (Japan) | 57,500 | 691,492 | ||||||
| �� | ||||||||
| 6,709,189 | ||||||||
Energy Equipment & Services — 0.4% |
| |||||||
Baker Hughes, Inc. | 27,298 | 1,259,803 | ||||||
Cameron International Corp.* | 12,300 | 777,360 | ||||||
Diamond Offshore Drilling, Inc. | 2,700 | 56,970 | ||||||
Ensco PLC (Class A Stock) | 12,300 | 189,297 | ||||||
FMC Technologies, Inc.* | 14,300 | 414,843 | ||||||
Halliburton Co. | 52,900 | 1,800,716 | ||||||
Helmerich & Payne, Inc.(a) | 6,700 | 358,785 | ||||||
National Oilwell Varco, Inc.(a) | 24,300 | 813,807 | ||||||
Petrofac Ltd. (United Kingdom) | 2,483 | 29,125 | ||||||
Schlumberger Ltd. | 78,118 | 5,448,730 | ||||||
Transocean Ltd.(a) | 18,500 | 229,030 | ||||||
Transocean Ltd. (SWX)(a) | 4,113 | 51,415 | ||||||
| 11,429,881 | ||||||||
Food & Staples Retailing — 1.1% |
| |||||||
Casino Guichard Perrachon SA (France)(a) | 554 | 25,451 | ||||||
Costco Wholesale Corp. | 27,200 | 4,392,800 | ||||||
CVS Health Corp. | 68,948 | 6,741,046 | ||||||
ICA Gruppen AB (Sweden)(a) | 17,873 | 649,082 | ||||||
J. Sainsbury PLC (United Kingdom) | 173,284 | 659,905 | ||||||
Kroger Co. (The) | 60,092 | 2,513,648 | ||||||
METRO AG (Germany) | 21,652 | 689,779 | ||||||
Sysco Corp. | 33,000 | 1,353,000 | ||||||
Wal-Mart Stores, Inc. | 97,600 | 5,982,880 | ||||||
Walgreens Boots Alliance, Inc.(a) | 53,800 | 4,581,339 | ||||||
Wesfarmers Ltd. (Australia) | 32,281 | 973,208 | ||||||
Whole Foods Market, Inc.(a) | 22,800 | 763,800 | ||||||
| 29,325,938 | ||||||||
Food Products — 0.9% |
| |||||||
Archer-Daniels-Midland Co. | 37,726 | 1,383,790 | ||||||
Campbell Soup Co.(a) | 11,000 | 578,050 | ||||||
Chocoladefabriken Lindt & Sprungli AG (Switzerland) | 1 | 74,501 | ||||||
ConAgra Foods, Inc. | 26,300 | 1,108,808 | ||||||
General Mills, Inc. | 37,000 | 2,133,420 | ||||||
Hershey Co. (The) | 9,100 | 812,357 | ||||||
Hormel Foods Corp.(a) | 8,300 | 656,364 | ||||||
J.M. Smucker Co. (The) | 7,400 | 912,716 | ||||||
Kellogg Co. | 15,800 | 1,141,866 | ||||||
Kerry Group PLC (Ireland) (Class A Stock) | 1,516 | 125,434 | ||||||
Keurig Green Mountain, Inc.(a) | 7,800 | 701,844 | ||||||
Kraft Heinz Co. (The)(a) | 36,817 | 2,678,805 | ||||||
McCormick & Co., Inc. | 7,500 | 641,700 | ||||||
Mead Johnson Nutrition Co. | 12,667 | 1,000,059 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products (continued) |
| |||||||
MEIJI Holdings Co. Ltd. (Japan) | 900 | $ | 74,340 | |||||
Mondelez International, Inc. (Class A Stock) | 99,653 | 4,468,440 | ||||||
Nestle SA (Switzerland) | 22,165 | 1,645,424 | ||||||
NH Foods Ltd. (Japan) | 2,000 | 39,200 | ||||||
Tyson Foods, Inc. (Class A Stock)(a) | 18,800 | 1,002,604 | ||||||
Wilmar International Ltd. (Singapore) | 320,500 | 661,298 | ||||||
| 21,841,020 | ||||||||
Gas Utilities |
| |||||||
AGL Resources, Inc. | 7,739 | 493,825 | ||||||
Gas Natural SDG SA (Spain) | 3,111 | 63,441 | ||||||
| 557,266 | ||||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
Abbott Laboratories | 92,200 | 4,140,702 | ||||||
Baxter International, Inc. | 33,700 | 1,285,655 | ||||||
Becton, Dickinson & Co. | 13,278 | 2,046,007 | ||||||
Boston Scientific Corp.*(a) | 83,067 | 1,531,756 | ||||||
C.R. Bard, Inc. | 4,600 | 871,424 | ||||||
DENTSPLY International, Inc. | 8,700 | 529,395 | ||||||
Edwards Lifesciences Corp.* | 13,600 | 1,074,128 | ||||||
Hoya Corp. (Japan) | 4,000 | 163,570 | ||||||
Intuitive Surgical, Inc.* | 2,300 | 1,256,168 | ||||||
Medtronic PLC | 87,490 | 6,729,731 | ||||||
St. Jude Medical, Inc. | 17,900 | 1,105,683 | ||||||
Stryker Corp. | 19,600 | 1,821,624 | ||||||
Varian Medical Systems, Inc.* | 6,200 | 500,960 | ||||||
Zimmer Biomet Holdings, Inc. | 10,700 | 1,097,713 | ||||||
| 24,154,516 | ||||||||
Health Care Providers & Services — 1.2% |
| |||||||
Aetna, Inc.(a) | 21,569 | 2,332,040 | ||||||
Alfresa Holdings Corp. (Japan) | 1,200 | 23,700 | ||||||
AmerisourceBergen Corp. | 12,900 | 1,337,859 | ||||||
Anthem, Inc. | 16,200 | 2,258,928 | ||||||
Cardinal Health, Inc. | 20,250 | 1,807,718 | ||||||
Cigna Corp. | 16,100 | 2,355,913 | ||||||
DaVita HealthCare Partners, Inc.* | 10,700 | 745,897 | ||||||
Express Scripts Holding Co.* | 41,849 | 3,658,021 | ||||||
Fresenius SE & Co. KGaA (Germany) | 3,539 | 252,092 | ||||||
HCA Holdings, Inc.* | 19,800 | 1,339,074 | ||||||
Henry Schein, Inc.* | 5,200 | 822,588 | ||||||
Humana, Inc. | 9,200 | 1,642,292 | ||||||
Laboratory Corp. of America Holdings* | 6,200 | 766,568 | ||||||
McKesson Corp. | 14,430 | 2,846,029 | ||||||
Medipal Holdings Corp. (Japan) | 3,100 | 52,837 | ||||||
Miraca Holdings, Inc. (Japan) | 600 | 26,401 | ||||||
Patterson Cos., Inc.(a) | 5,400 | 244,134 | ||||||
Quest Diagnostics, Inc.(a) | 8,900 | 633,146 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 4,388 | 25,466 | ||||||
Sonic Healthcare Ltd. (Australia) | 27,377 | 354,453 | ||||||
Suzuken Co. Ltd. (Japan) | 910 | 34,582 | ||||||
Tenet Healthcare Corp.* | 5,650 | 171,195 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
UnitedHealth Group, Inc. | 59,500 | $ | 6,999,580 | |||||
Universal Health Services, Inc. (Class B Stock) | 5,700 | 681,093 | ||||||
| 31,411,606 | ||||||||
Health Care Technology |
| |||||||
Cerner Corp.* | 19,100 | 1,149,247 | ||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Carnival Corp. | 28,800 | 1,569,024 | ||||||
Carnival PLC | 1,748 | 99,577 | ||||||
Chipotle Mexican Grill, Inc.* | 1,950 | 935,708 | ||||||
Darden Restaurants, Inc. | 7,650 | 486,846 | ||||||
Flight Centre Travel Group Ltd. (Australia)(a) | 23,079 | 665,614 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 12,728 | 853,285 | ||||||
McDonald’s Corp. | 58,300 | 6,887,562 | ||||||
Royal Caribbean Cruises Ltd. | 10,800 | 1,093,068 | ||||||
Sodexo SA (France) | 896 | 87,537 | ||||||
Starbucks Corp. | 91,800 | 5,510,754 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 10,600 | 734,368 | ||||||
TUI AG (Germany) | 5,011 | 89,472 | ||||||
Wyndham Worldwide Corp. | 7,520 | 546,328 | ||||||
Wynn Resorts Ltd.(a) | 5,000 | 345,950 | ||||||
Yum! Brands, Inc. | 26,700 | 1,950,435 | ||||||
| 21,855,528 | ||||||||
Household Durables — 0.3% |
| |||||||
Barratt Developments PLC (United Kingdom) | 89,711 | 826,666 | ||||||
D.R. Horton, Inc. | 20,200 | 647,006 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 5,640 | 136,079 | ||||||
Garmin Ltd. | 7,000 | 260,190 | ||||||
Harman International Industries, Inc. | 4,700 | 442,787 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 1,600 | 29,654 | ||||||
Leggett & Platt, Inc. | 8,200 | 344,564 | ||||||
Lennar Corp. (Class A Stock)(a) | 11,000 | 538,010 | ||||||
Mohawk Industries, Inc.* | 4,200 | 795,438 | ||||||
Newell Rubbermaid, Inc.(a) | 16,714 | 736,753 | ||||||
Nikon Corp. (Japan)(a) | 20,100 | 269,209 | ||||||
Persimmon PLC (United Kingdom)* | 2,846 | 84,906 | ||||||
PulteGroup, Inc.(a) | 18,222 | 324,716 | ||||||
Rinnai Corp. (Japan) | 400 | 35,441 | ||||||
Sekisui House Ltd. (Japan) | 5,800 | 97,520 | ||||||
Taylor Wimpey PLC (United Kingdom) | 286,100 | 855,262 | ||||||
Whirlpool Corp. | 4,826 | 708,795 | ||||||
| 7,132,996 | ||||||||
Household Products — 0.9% |
| |||||||
Church & Dwight Co., Inc. | 6,200 | 526,256 | ||||||
Clorox Co. (The) | 8,100 | 1,027,323 | ||||||
Colgate-Palmolive Co. | 55,700 | 3,710,734 | ||||||
Kimberly-Clark Corp. | 22,600 | 2,876,980 | ||||||
Procter & Gamble Co. (The) | 169,025 | 13,422,275 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Products (continued) |
| |||||||
Reckitt Benckiser Group PLC (United Kingdom) | 6,225 | $ | 575,980 | |||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 33,975 | 984,600 | ||||||
| 23,124,148 | ||||||||
Independent Power & Renewable Electricity Producers |
| |||||||
AES Corp. | 39,500 | 378,015 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1,600 | 56,987 | ||||||
NRG Energy, Inc. | 18,200 | 214,214 | ||||||
| 649,216 | ||||||||
Industrial Conglomerates — 1.2% |
| |||||||
3M Co. | 38,700 | 5,829,768 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 70,916 | 953,248 | ||||||
Danaher Corp. | 36,800 | 3,417,984 | ||||||
General Electric Co. | 586,530 | 18,270,409 | ||||||
Hopewell Holdings Ltd. (Hong Kong) | 90,500 | 324,221 | ||||||
Keppel Corp. Ltd. (Singapore) | 16,700 | 76,289 | ||||||
Roper Technologies, Inc. | 6,300 | 1,195,677 | ||||||
Siemens AG (Germany) | 1,865 | 180,432 | ||||||
| 30,248,028 | ||||||||
Insurance — 1.4% |
| |||||||
ACE Ltd. | 20,100 | 2,348,685 | ||||||
Aflac, Inc. | 26,700 | 1,599,330 | ||||||
Ageas (Belgium) | 1,939 | 89,997 | ||||||
AIA Group Ltd. (Hong Kong) | 5,200 | 31,070 | ||||||
Allianz SE (Germany) | 9,295 | 1,638,513 | ||||||
Allstate Corp. (The) | 24,800 | 1,539,832 | ||||||
American International Group, Inc. | 78,739 | 4,879,456 | ||||||
Aon PLC | 17,300 | 1,595,233 | ||||||
Assurant, Inc. | 4,300 | 346,322 | ||||||
AXA SA (France) | 18,737 | 511,965 | ||||||
Baloise Holding AG (Switzerland) | 1,180 | 149,551 | ||||||
Chubb Corp. (The) | 14,100 | 1,870,224 | ||||||
Cincinnati Financial Corp. | 9,037 | 534,719 | ||||||
CNP Assurances (France) | 1,646 | 22,204 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) | 10,300 | 171,368 | ||||||
Direct Line Insurance Group PLC (United Kingdom) | 13,241 | 79,369 | ||||||
Hannover Rueck SE (Germany) | 8,231 | 939,899 | ||||||
Hartford Financial Services Group, Inc. (The) | 25,800 | 1,121,268 | ||||||
Japan Post Holdings Co. Ltd. (Japan)* | 4,300 | 66,721 | ||||||
Legal & General Group PLC (United Kingdom) | 188,652 | 744,407 | ||||||
Lincoln National Corp. | 16,018 | 805,065 | ||||||
Loews Corp. | 18,575 | 713,280 | ||||||
Marsh & McLennan Cos., Inc. | 32,800 | 1,818,760 | ||||||
Medibank Pvt. Ltd. (Australia) | 26,782 | 41,761 | ||||||
MetLife, Inc. | 69,100 | 3,331,311 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Germany) | 3,696 | 736,384 | ||||||
NN Group NV (Netherlands) | 6,175 | 217,873 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) |
| |||||||
Old Mutual PLC (United Kingdom) | 34,657 | $ | 91,171 | |||||
Principal Financial Group, Inc. | 16,900 | 760,162 | ||||||
Progressive Corp. (The) | 36,200 | 1,151,160 | ||||||
RSA Insurance Group PLC (United Kingdom) | 9,703 | 60,900 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 4,230 | 214,810 | ||||||
SCOR SE (France) | 1,479 | 55,341 | ||||||
Swiss Life Holding AG (Switzerland)* | 688 | 185,313 | ||||||
Swiss Re AG (Switzerland) | 8,310 | 811,607 | ||||||
Torchmark Corp. | 7,825 | 447,277 | ||||||
Travelers Cos., Inc. (The) | 19,235 | 2,170,862 | ||||||
UnipolSai SpA (Italy) | 247,642 | 630,030 | ||||||
Unum Group | 15,310 | 509,670 | ||||||
XL Group PLC (Ireland) | 19,400 | 760,092 | ||||||
| 35,792,962 | ||||||||
Internet & Catalog Retail — 1.0% |
| |||||||
Amazon.com, Inc.* | 24,060 | 16,261,913 | ||||||
Expedia, Inc. | 6,750 | 839,025 | ||||||
Netflix, Inc.* | 26,350 | 3,013,913 | ||||||
Priceline Group, Inc. (The)* | 3,180 | 4,054,341 | ||||||
TripAdvisor, Inc.*(a) | 6,950 | 592,488 | ||||||
| 24,761,680 | ||||||||
Internet Software & Services — 1.9% |
| |||||||
Akamai Technologies, Inc.* | 11,100 | 584,193 | ||||||
Alphabet, Inc. (Class A Stock)* | 18,200 | 14,159,782 | ||||||
Alphabet, Inc. (Class C Stock)* | 18,603 | 14,117,444 | ||||||
eBay, Inc.* | 69,300 | 1,904,364 | ||||||
Facebook, Inc. (Class A Stock)* | 141,000 | 14,757,060 | ||||||
Mixi, Inc. (Japan) | 500 | 18,702 | ||||||
VeriSign, Inc.*(a) | 6,400 | 559,104 | ||||||
Yahoo Japan Corp. (Japan) | 13,500 | 54,876 | ||||||
Yahoo!, Inc.* | 53,500 | 1,779,410 | ||||||
| 47,934,935 | ||||||||
IT Services — 1.6% |
| |||||||
Accenture PLC (Class A Stock) | 38,600 | 4,033,700 | ||||||
Alliance Data Systems Corp.* | 3,940 | 1,089,686 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 4,113 | 181,280 | ||||||
Atos SE (France) | 963 | 80,846 | ||||||
Automatic Data Processing, Inc. | 28,800 | 2,439,936 | ||||||
Cap Gemini SA (France) | 6,177 | 573,140 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 37,700 | 2,262,754 | ||||||
CSRA, Inc. | 8,700 | 261,000 | ||||||
Fidelity National Information Services, Inc. | 17,600 | 1,066,560 | ||||||
Fiserv, Inc.* | 14,600 | 1,335,316 | ||||||
International Business Machines Corp. | 55,800 | 7,679,196 | ||||||
MasterCard, Inc. (Class A Stock) | 61,700 | 6,007,112 | ||||||
Obic Co. Ltd. (Japan) | 600 | 31,761 | ||||||
Paychex, Inc. | 20,200 | 1,068,378 | ||||||
PayPal Holdings, Inc.* | 68,100 | 2,465,220 | ||||||
Teradata Corp.*(a) | 8,400 | 221,928 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) |
| |||||||
Total System Services, Inc. | 11,096 | $ | 552,581 | |||||
Visa, Inc. (Class A Stock)(a) | 120,700 | 9,360,285 | ||||||
Western Union Co. (The)(a) | 30,410 | 544,643 | ||||||
Xerox Corp. | 58,163 | 618,273 | ||||||
| 41,873,595 | ||||||||
Leisure Products |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 1,700 | 35,916 | ||||||
Hasbro, Inc.(a) | 6,900 | 464,784 | ||||||
Mattel, Inc.(a) | 20,351 | 552,937 | ||||||
Shimano, Inc. (Japan) | 700 | 107,491 | ||||||
| 1,161,128 | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Agilent Technologies, Inc. | 20,614 | 861,871 | ||||||
Illumina, Inc.* | 8,800 | 1,689,116 | ||||||
Lonza Group AG (Switzerland)* | 516 | 83,920 | ||||||
PerkinElmer, Inc. | 7,600 | 407,132 | ||||||
QIAGEN NV* | 2,705 | 73,317 | ||||||
Thermo Fisher Scientific, Inc. | 25,100 | 3,560,435 | ||||||
Waters Corp.* | 5,200 | 699,816 | ||||||
| 7,375,607 | ||||||||
Machinery — 0.6% |
| |||||||
Amada Holdings Co. Ltd. (Japan) | 2,600 | 24,811 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 3,787 | 87,065 | ||||||
Caterpillar, Inc.(a) | 36,900 | 2,507,724 | ||||||
Cummins, Inc. | 10,400 | 915,304 | ||||||
Deere & Co. | 19,300 | 1,472,011 | ||||||
Dover Corp. | 10,100 | 619,231 | ||||||
FANUC Corp. (Japan) | 1,800 | 310,122 | ||||||
Flowserve Corp. | 8,300 | 349,264 | ||||||
Hoshizaki Electric Co. Ltd. (Japan) | 400 | 24,866 | ||||||
Illinois Tool Works, Inc. | 20,400 | 1,890,672 | ||||||
Ingersoll-Rand PLC | 16,400 | 906,756 | ||||||
JTEKT Corp. (Japan) | 2,400 | 39,283 | ||||||
Kawasaki Heavy Industries Ltd. (Japan) | 16,000 | 59,198 | ||||||
Kone OYJ (Finland) (Class B Stock) | 3,255 | 137,821 | ||||||
Kubota Corp. (Japan) | 11,000 | 169,935 | ||||||
Makita Corp. (Japan) | 1,100 | 63,389 | ||||||
Minebea Co. Ltd. (Japan) | 3,000 | 25,686 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 29,000 | 126,803 | ||||||
NGK Insulators Ltd. (Japan) | 10,000 | 225,402 | ||||||
PACCAR, Inc. | 21,943 | 1,040,098 | ||||||
Parker Hannifin Corp. | 8,765 | 850,030 | ||||||
Pentair PLC (United Kingdom)(a) | 11,577 | 573,409 | ||||||
Schindler Holding AG (Switzerland) | 1,501 | 253,127 | ||||||
Schindler Holding AG (Switzerland) (Part. Cert.) | 431 | 72,106 | ||||||
SMC Corp. (Japan) | 500 | 129,867 | ||||||
Snap-on, Inc. | 3,600 | 617,148 | ||||||
Stanley Black & Decker, Inc. | 9,697 | 1,034,961 | ||||||
Xylem, Inc.(a) | 11,600 | 423,400 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 25,000 | 19,314 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) |
| |||||||
Zardoya Otis SA (Spain) | 1,752 | $ | 20,490 | |||||
| 14,989,293 | ||||||||
Marine — 0.1% |
| |||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 45 | 57,947 | ||||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 417 | 543,895 | ||||||
Kuehne + Nagel International AG (Switzerland) | 4,961 | 679,653 | ||||||
Mitsui OSK Lines Ltd. (Japan) | 8,000 | 20,178 | ||||||
Nippon Yusen K.K. (Japan) | 44,000 | 106,643 | ||||||
| 1,408,316 | ||||||||
Media — 1.4% |
| |||||||
Cablevision Systems Corp. (Class A Stock) | 13,600 | 433,840 | ||||||
CBS Corp. (Class B Stock) | 27,934 | 1,316,529 | ||||||
Comcast Corp. (Class A Stock) | 152,290 | 8,593,725 | ||||||
Dentsu, Inc. (Japan) | 2,100 | 114,896 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 8,500 | 226,780 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 15,300 | 385,866 | ||||||
Interpublic Group of Cos., Inc. (The) | 25,331 | 589,706 | ||||||
ITV PLC (United Kingdom) | 23,617 | 96,154 | ||||||
News Corp. (Class A Stock) | 25,675 | 343,018 | ||||||
News Corp. (Class B Stock)(a) | 4,800 | 67,008 | ||||||
Omnicom Group, Inc. | 15,200 | 1,150,032 | ||||||
RTL Group SA (Luxembourg) | 287 | 23,900 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 6,100 | 336,781 | ||||||
TEGNA, Inc. | 13,800 | 352,176 | ||||||
Time Warner Cable, Inc. | 17,514 | 3,250,423 | ||||||
Time Warner, Inc. | 50,466 | 3,263,636 | ||||||
Toho Co. Ltd. (Japan) | 1,100 | 30,439 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 75,500 | 2,050,580 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 26,700 | 727,041 | ||||||
Viacom, Inc. (Class B Stock) | 21,234 | 873,992 | ||||||
Walt Disney Co. (The) | 96,100 | 10,098,188 | ||||||
Wolters Kluwer NV (Netherlands) | 21,603 | 725,509 | ||||||
| 35,050,219 | ||||||||
Metals & Mining — 0.2% |
| |||||||
Alcoa, Inc. | 80,940 | 798,878 | ||||||
Anglo American PLC (United Kingdom) | 7,831 | 34,356 | ||||||
Boliden AB (Sweden) | 34,435 | 576,931 | ||||||
Fortescue Metals Group Ltd. (Australia)(a) | 434,510 | 584,737 | ||||||
Freeport-McMoRan, Inc. | 70,288 | 475,850 | ||||||
JFE Holdings, Inc. (Japan) | 5,700 | 89,504 | ||||||
Mitsubishi Materials Corp. (Japan) | 78,000 | 245,673 | ||||||
Newcrest Mining Ltd. (Australia)* | 7,260 | 68,695 | ||||||
Newmont Mining Corp. | 30,500 | 548,695 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 7,300 | 144,411 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining (continued) |
| |||||||
Nucor Corp. | 20,400 | $ | 822,120 | |||||
Rio Tinto PLC (United Kingdom) | 11,970 | 348,512 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 5,000 | 60,695 | ||||||
voestalpine AG (Austria) | 17,692 | 541,169 | ||||||
| 5,340,226 | ||||||||
Multi-Utilities — 0.6% |
| |||||||
Ameren Corp. | 15,000 | 648,450 | ||||||
CenterPoint Energy, Inc. | 23,900 | 438,804 | ||||||
CMS Energy Corp. | 17,000 | 613,360 | ||||||
Consolidated Edison, Inc. | 18,000 | 1,156,860 | ||||||
Dominion Resources, Inc. | 36,732 | 2,484,553 | ||||||
DTE Energy Co. | 11,700 | 938,223 | ||||||
National Grid PLC (United Kingdom) | 95,000 | 1,310,208 | ||||||
NiSource, Inc. | 19,600 | 382,396 | ||||||
PG&E Corp. | 30,300 | 1,611,657 | ||||||
Public Service Enterprise Group, Inc. | 31,300 | 1,210,997 | ||||||
RWE AG (Germany) | 50,403 | 635,453 | ||||||
SCANA Corp.(a) | 8,700 | 526,263 | ||||||
Sempra Energy | 15,019 | 1,411,936 | ||||||
TECO Energy, Inc. | 14,500 | 386,425 | ||||||
WEC Energy Group, Inc. | 19,813 | 1,016,605 | ||||||
| 14,772,190 | ||||||||
Multiline Retail — 0.3% |
| |||||||
Dollar General Corp.(a) | 18,400 | 1,322,408 | ||||||
Dollar Tree, Inc.* | 14,665 | 1,132,431 | ||||||
J. Front Retailing Co. Ltd. (Japan) | 2,700 | 39,252 | ||||||
Kohl’s Corp. | 12,800 | 609,664 | ||||||
Macy’s, Inc.(a) | 20,674 | 723,177 | ||||||
Marks & Spencer Group PLC (United Kingdom) | 15,930 | 106,066 | ||||||
Next PLC (United Kingdom) | 1,386 | 148,817 | ||||||
Nordstrom, Inc.(a) | 8,700 | 433,347 | ||||||
Ryohin Keikaku Co. Ltd. (Japan) | 200 | 40,502 | ||||||
Takashimaya Co. Ltd. (Japan) | 3,000 | 27,016 | ||||||
Target Corp. | 38,900 | 2,824,529 | ||||||
| 7,407,209 | ||||||||
Oil, Gas & Consumable Fuels — 2.6% |
| |||||||
Anadarko Petroleum Corp. | 31,454 | 1,528,035 | ||||||
Apache Corp. | 23,514 | 1,045,668 | ||||||
BG Group PLC (United Kingdom) | 32,406 | 469,755 | ||||||
BP PLC (United Kingdom) | 285,724 | 1,484,826 | ||||||
Cabot Oil & Gas Corp. | 23,800 | 421,022 | ||||||
Caltex Australia Ltd. (Australia) | 3,176 | 86,812 | ||||||
Chesapeake Energy Corp.(a) | 28,000 | 126,000 | ||||||
Chevron Corp. | 116,922 | 10,518,303 | ||||||
Cimarex Energy Co. | 6,200 | 554,156 | ||||||
Columbia Pipeline Group, Inc. | 22,100 | 442,000 | ||||||
ConocoPhillips | 76,277 | 3,561,373 | ||||||
CONSOL Energy, Inc.(a) | 13,800 | 109,020 | ||||||
Devon Energy Corp. | 24,100 | 771,200 | ||||||
Eni SpA (Italy) | 6,945 | 103,191 | ||||||
EOG Resources, Inc. | 34,000 | 2,406,860 | ||||||
EQT Corp. | 9,400 | 490,022 | ||||||
Exxon Mobil Corp. | 259,099 | 20,196,767 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Galp Energia SGPS SA (Portugal) | 30,479 | $ | 355,652 | |||||
Hess Corp. | 15,000 | 727,200 | ||||||
Kinder Morgan, Inc. | 111,098 | 1,657,582 | ||||||
Marathon Oil Corp. | 39,682 | 499,596 | ||||||
Marathon Petroleum Corp. | 33,182 | 1,720,155 | ||||||
Murphy Oil Corp.(a) | 10,200 | 228,990 | ||||||
Neste OYJ (Finland) | 1,017 | 30,354 | ||||||
Newfield Exploration Co.* | 10,200 | 332,112 | ||||||
Noble Energy, Inc. | 25,900 | 852,887 | ||||||
Occidental Petroleum Corp. | 47,300 | 3,197,953 | ||||||
OMV AG (Austria) | 11,971 | 339,802 | ||||||
ONEOK, Inc.(a) | 12,900 | 318,114 | ||||||
Phillips 66 | 29,638 | 2,424,388 | ||||||
Pioneer Natural Resources Co. | 9,550 | 1,197,379 | ||||||
Range Resources Corp.(a) | 10,300 | 253,483 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 38,345 | 868,487 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 23,235 | 529,550 | ||||||
Southwestern Energy Co.*(a) | 22,700 | 161,397 | ||||||
Spectra Energy Corp.(a) | 41,862 | 1,002,176 | ||||||
Tesoro Corp. | 7,800 | 821,886 | ||||||
Total SA (France) | 30,925 | 1,386,418 | ||||||
Valero Energy Corp. | 30,800 | 2,177,868 | ||||||
Williams Cos., Inc. (The) | 42,500 | 1,092,250 | ||||||
| 66,490,689 | ||||||||
Paper & Forest Products — 0.1% |
| |||||||
International Paper Co. | 26,273 | 990,492 | ||||||
Mondi PLC (South Africa) | 33,184 | 650,435 | ||||||
UPM-Kymmene OYJ (Finland) | 36,939 | 685,788 | ||||||
| 2,326,715 | ||||||||
Personal Products — 0.1% |
| |||||||
Estee Lauder Cos., Inc. (The) (Class A Stock)(a) | 13,900 | 1,224,034 | ||||||
Kose Corp. (Japan) | 300 | 27,738 | ||||||
Unilever NV (United Kingdom) CVA | 19,172 | 835,599 | ||||||
| 2,087,371 | ||||||||
Pharmaceuticals — 3.0% |
| |||||||
Allergan PLC* | 24,575 | 7,679,688 | ||||||
Astellas Pharma, Inc. (Japan) | 19,800 | 281,868 | ||||||
AstraZeneca PLC (United Kingdom) | 2,715 | 183,392 | ||||||
Bayer AG (Germany) | 4,371 | 545,899 | ||||||
Bristol-Myers Squibb Co. | 103,870 | 7,145,217 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 37,300 | 769,861 | ||||||
Eli Lilly & Co. | 60,300 | 5,080,878 | ||||||
Endo International PLC* | 13,000 | 795,860 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 47,123 | 951,694 | ||||||
Johnson & Johnson | 172,448 | 17,713,859 | ||||||
Mallinckrodt PLC* | 7,800 | 582,114 | ||||||
Merck & Co., Inc. | 174,133 | 9,197,705 | ||||||
Mylan NV*(a) | 25,500 | 1,378,785 | ||||||
Novartis AG (Switzerland) | 22,058 | 1,897,413 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 13,848 | 801,774 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 26,900 | 955,728 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) |
| |||||||
Perrigo Co. PLC | 9,300 | $ | 1,345,710 | |||||
Pfizer, Inc. | 383,270 | 12,371,956 | ||||||
Roche Holding AG (Switzerland) | 9,040 | 2,505,060 | ||||||
Sanofi (France) | 11,243 | 958,154 | ||||||
Shire PLC (Ireland) | 14,412 | 988,776 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 21,298 | 1,389,501 | ||||||
Zoetis, Inc. | 28,500 | 1,365,720 | ||||||
| 76,886,612 | ||||||||
Professional Services — 0.1% |
| |||||||
Capita PLC (United Kingdom) | 6,360 | 113,161 | ||||||
Dun & Bradstreet Corp. (The) | 2,300 | 239,039 | ||||||
Equifax, Inc. | 7,400 | 824,138 | ||||||
Intertek Group PLC (United Kingdom) | 1,572 | 64,305 | ||||||
Nielsen Holdings PLC | 22,800 | 1,062,480 | ||||||
Randstad Holding NV (Netherlands) | 1,419 | 88,364 | ||||||
Robert Half International, Inc. | 8,400 | 395,976 | ||||||
SGS SA (Switzerland) | 131 | 248,966 | ||||||
Verisk Analytics, Inc.* | 9,600 | 738,048 | ||||||
| 3,774,477 | ||||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
American Tower Corp. | 26,200 | 2,540,090 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 9,433 | 377,603 | ||||||
Ascendas Real Estate Investment Trust (Singapore) | 23,700 | 37,983 | ||||||
AvalonBay Communities, Inc. | 8,475 | 1,560,502 | ||||||
Boston Properties, Inc. | 9,500 | 1,211,630 | ||||||
British Land Co. PLC (The) (United Kingdom) | 9,051 | 104,728 | ||||||
CapitaLand Commercial Trust Ltd. (Singapore) | 27,000 | 25,617 | ||||||
Crown Castle International Corp. | 20,700 | 1,789,515 | ||||||
Dexus Property Group (Australia) | 9,362 | 50,781 | ||||||
Equinix, Inc. | 3,794 | 1,147,306 | ||||||
Equity Residential | 22,500 | 1,835,775 | ||||||
Essex Property Trust, Inc. | 4,100 | 981,581 | ||||||
Fonciere Des Regions (France) | 288 | 25,759 | ||||||
General Growth Properties, Inc. | 35,800 | 974,118 | ||||||
GPT Group (The) (Australia) | 19,120 | 66,216 | ||||||
Hammerson PLC (United Kingdom) | 81,034 | 716,374 | ||||||
HCP, Inc. | 28,600 | 1,093,664 | ||||||
Host Hotels & Resorts, Inc. | 43,982 | 674,684 | ||||||
Iron Mountain, Inc.(a) | 12,402 | 334,978 | ||||||
Kimco Realty Corp. | 25,500 | 674,730 | ||||||
Land Securities Group PLC (United Kingdom) | 7,604 | 131,816 | ||||||
Link REIT (Hong Kong) | 146,000 | 870,435 | ||||||
Macerich Co. (The) | 8,800 | 710,072 | ||||||
Nomura Real Estate Master Fund, Inc. (Japan)* | 34 | 42,261 | ||||||
Plum Creek Timber Co., Inc. | 10,700 | 510,604 | ||||||
Prologis, Inc. | 32,877 | 1,411,081 | ||||||
Public Storage | 9,300 | 2,303,610 | ||||||
Realty Income Corp.(a) | 15,400 | 795,102 | ||||||
Segro PLC (United Kingdom) | 100,008 | 632,902 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Simon Property Group, Inc. | 19,493 | $ | 3,790,219 | |||||
SL Green Realty Corp. | 6,400 | 723,072 | ||||||
Suntec Real Estate Investment Trust (Singapore) | 22,600 | 24,613 | ||||||
Ventas, Inc. | 20,618 | 1,163,474 | ||||||
Vornado Realty Trust | 11,425 | 1,142,043 | ||||||
Welltower, Inc. | 21,800 | 1,483,054 | ||||||
Weyerhaeuser Co. | 32,298 | 968,294 | ||||||
| 32,926,286 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 18,700 | 646,646 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 23,800 | 684,163 | ||||||
Deutsche Wohnen AG (Germany) | 3,300 | 91,252 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 10,540 | 64,294 | ||||||
Hysan Development Co. Ltd. (Hong Kong) | 6,000 | 24,514 | ||||||
Kerry Properties Ltd. (Hong Kong) | 25,000 | 68,034 | ||||||
New World Development Co. Ltd. (Hong Kong) | 60,000 | 58,916 | ||||||
Nomura Real Estate Holdings, Inc. (Japan) | 1,500 | 27,828 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 34,000 | 49,530 | ||||||
Swire Properties Ltd. (Hong Kong) | 8,800 | 25,303 | ||||||
Swiss Prime Site AG (Switzerland)* | 641 | 50,060 | ||||||
Tokyu Fudosan Holdings Corp. (Japan) | 4,900 | 30,713 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 117,000 | 645,077 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 119,000 | 499,346 | ||||||
| 2,965,676 | ||||||||
Road & Rail — 0.4% |
| |||||||
Central Japan Railway Co. (Japan) | 1,400 | 248,547 | ||||||
CSX Corp. | 60,800 | 1,577,760 | ||||||
East Japan Railway Co. (Japan) | 2,500 | 235,415 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 13,000 | 84,499 | ||||||
JB Hunt Transport Services, Inc. | 5,600 | 410,816 | ||||||
Kansas City Southern | 6,900 | 515,223 | ||||||
Norfolk Southern Corp. | 18,700 | 1,581,833 | ||||||
Ryder System, Inc. | 3,600 | 204,588 | ||||||
Union Pacific Corp. | 53,700 | 4,199,340 | ||||||
West Japan Railway Co. (Japan) | 1,600 | 110,597 | ||||||
| 9,168,618 | ||||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Analog Devices, Inc.(a) | 19,400 | 1,073,208 | ||||||
Applied Materials, Inc.(a) | 74,200 | 1,385,314 | ||||||
Avago Technologies Ltd. (Singapore)(a) | 16,100 | 2,336,915 | ||||||
Broadcom Corp. (Class A Stock) | 34,550 | 1,997,681 | ||||||
First Solar, Inc.* | 5,100 | 336,549 | ||||||
Infineon Technologies AG (Germany) | 10,715 | 156,212 | ||||||
Intel Corp. | 293,900 | 10,124,855 | ||||||
KLA-Tencor Corp.(a) | 10,000 | 693,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Lam Research Corp.(a) | 9,850 | $ | 782,287 | |||||
Linear Technology Corp.(a) | 14,800 | 628,556 | ||||||
Microchip Technology, Inc.(a) | 13,600 | 632,944 | ||||||
Micron Technology, Inc.*(a) | 63,800 | 903,408 | ||||||
NVIDIA Corp.(a) | 31,650 | 1,043,184 | ||||||
Qorvo, Inc.* | 8,707 | 443,186 | ||||||
Skyworks Solutions, Inc.(a) | 11,900 | 914,277 | ||||||
Texas Instruments, Inc. | 63,500 | 3,480,435 | ||||||
Xilinx, Inc. | 16,100 | 756,217 | ||||||
| 27,688,728 | ||||||||
Software — 2.0% |
| |||||||
Activision Blizzard, Inc. | 31,100 | 1,203,881 | ||||||
Adobe Systems, Inc.* | 30,800 | 2,893,352 | ||||||
Autodesk, Inc.* | 14,000 | 853,020 | ||||||
CA, Inc. | 19,764 | 564,460 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 700 | 56,966 | ||||||
Citrix Systems, Inc.* | 9,900 | 748,935 | ||||||
Electronic Arts, Inc.* | 19,300 | 1,326,296 | ||||||
Intuit, Inc. | 17,500 | 1,688,750 | ||||||
Konami Holdings Corp. (Japan) | 6,500 | 154,730 | ||||||
Microsoft Corp. | 497,100 | 27,579,108 | ||||||
Nexon Co. Ltd. (Japan) | 19,400 | 315,594 | ||||||
Oracle Corp. | 201,100 | 7,346,183 | ||||||
Red Hat, Inc.* | 11,400 | 944,034 | ||||||
salesforce.com, inc.* | 38,400 | 3,010,560 | ||||||
SAP SE (Germany) | 9,430 | 748,304 | ||||||
Symantec Corp. | 41,578 | 873,138 | ||||||
| 50,307,311 | ||||||||
Specialty Retail — 1.2% |
| |||||||
Advance Auto Parts, Inc. | 4,800 | 722,448 | ||||||
AutoNation, Inc.* | 5,074 | 302,715 | ||||||
AutoZone, Inc.* | 1,950 | 1,446,725 | ||||||
Bed Bath & Beyond, Inc.*(a) | 10,800 | 521,100 | ||||||
Best Buy Co., Inc. | 19,725 | 600,626 | ||||||
CarMax, Inc.*(a) | 13,100 | 707,007 | ||||||
GameStop Corp. (Class A Stock)(a) | 6,200 | 173,848 | ||||||
Gap, Inc. (The)(a) | 15,100 | 372,970 | ||||||
Home Depot, Inc. (The) | 79,850 | 10,560,162 | ||||||
Industria de Diseno Textil SA (Spain) | 26,712 | 917,672 | ||||||
L Brands, Inc. | 15,906 | 1,524,113 | ||||||
Lowe’s Cos., Inc. | 57,200 | 4,349,488 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 700 | 58,787 | ||||||
O’Reilly Automotive, Inc.* | 6,200 | 1,571,204 | ||||||
Ross Stores, Inc. | 25,600 | 1,377,536 | ||||||
Shimamura Co. Ltd. (Japan) | 200 | 23,422 | ||||||
Signet Jewelers Ltd. | 5,200 | 643,188 | ||||||
Staples, Inc. | 37,049 | 350,854 | ||||||
Tiffany & Co. | 7,000 | 534,030 | ||||||
TJX Cos., Inc. (The) | 41,700 | 2,956,947 | ||||||
Tractor Supply Co.(a) | 8,400 | 718,200 | ||||||
Urban Outfitters, Inc.* | 6,100 | 138,775 | ||||||
Yamada Denki Co. Ltd. (Japan) | 6,500 | 28,077 | ||||||
| 30,599,894 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Technology Hardware, Storage & Peripherals — 1.8% |
| |||||||
Apple, Inc. | 348,890 | $ | 36,724,161 | |||||
EMC Corp. | 118,950 | 3,054,636 | ||||||
FUJIFILM Holdings Corp. (Japan) | 23,700 | 989,060 | ||||||
Hewlett Packard Enterprise Co. | 111,648 | 1,697,050 | ||||||
HP, Inc. | 111,648 | 1,321,912 | ||||||
Konica Minolta, Inc. (Japan) | 5,200 | 52,079 | ||||||
NetApp, Inc. | 17,800 | 472,234 | ||||||
SanDisk Corp.(a) | 13,000 | 987,870 | ||||||
Seagate Technology PLC(a) | 18,900 | 692,874 | ||||||
Western Digital Corp.(a) | 14,700 | 882,735 | ||||||
| 46,874,611 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
adidas AG (Germany) | 6,294 | 610,893 | ||||||
Christian Dior SE (France) | 3,612 | 613,546 | ||||||
Coach, Inc. | 17,200 | 562,956 | ||||||
Fossil Group, Inc.*(a) | 2,900 | 106,024 | ||||||
Hanesbrands, Inc. | 25,500 | 750,465 | ||||||
Michael Kors Holdings Ltd.* | 11,800 | 472,708 | ||||||
NIKE, Inc. (Class B Stock) | 84,600 | 5,287,500 | ||||||
Pandora A/S (Denmark) | 4,072 | 513,413 | ||||||
PVH Corp. | 5,100 | 375,615 | ||||||
Ralph Lauren Corp. | 3,800 | 423,624 | ||||||
Swatch Group AG (The) (Switzerland) | 363 | 24,514 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 11,200 | 902,832 | ||||||
VF Corp. | 21,100 | 1,313,475 | ||||||
| 11,957,565 | ||||||||
Tobacco — 0.8% |
| |||||||
Altria Group, Inc. | 122,300 | 7,119,083 | ||||||
British American Tobacco PLC (United Kingdom) | 17,939 | 996,231 | ||||||
Imperial Tobacco Group PLC (United Kingdom) | 20,693 | 1,092,962 | ||||||
Japan Tobacco, Inc. (Japan) | 21,300 | 782,003 | ||||||
Philip Morris International, Inc. | 95,800 | 8,421,778 | ||||||
Reynolds American, Inc. | 51,238 | 2,364,634 | ||||||
Swedish Match AB (Sweden) | 1,865 | 65,904 | ||||||
| 20,842,595 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
AerCap Holdings NV (Netherlands)* | 14,200 | 612,872 | ||||||
Ashtead Group PLC (United Kingdom) | 46,241 | 761,031 | ||||||
Fastenal Co.(a) | 17,900 | 730,678 | ||||||
ITOCHU Corp. (Japan) | 15,400 | 182,158 | ||||||
Sumitomo Corp. (Japan) | 10,700 | 109,090 | ||||||
United Rentals, Inc.* | 6,000 | 435,240 | ||||||
W.W. Grainger, Inc.(a) | 3,800 | 769,842 | ||||||
| 3,600,911 | ||||||||
Transportation Infrastructure |
| |||||||
Aena SA (Spain), RegS, 144A* | 674 | 77,179 | ||||||
Aeroports de Paris (France) | 289 | 33,631 | ||||||
Atlantia SpA (Italy) | 3,899 | 103,162 | ||||||
Japan Airport Terminal Co. Ltd. (Japan) | 400 | 17,708 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure (continued) |
| |||||||
Sydney Airport (Australia) | 10,795 | $ | 49,682 | |||||
| 281,362 | ||||||||
Water Utilities |
| |||||||
Severn Trent PLC (United Kingdom) | 1,851 | 59,170 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 48,600 | 1,262,151 | ||||||
NTT DOCOMO, Inc. (Japan) | 13,000 | 266,651 | ||||||
Vodafone Group PLC (United Kingdom) | 250,204 | 811,358 | ||||||
| 2,340,160 | ||||||||
TOTAL COMMON STOCKS |
| 1,233,146,372 | ||||||
| EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE ETF(a) | 7,526 | 442,153 | ||||||
| PREFERRED STOCKS 0.1% | ||||||||
Automobiles |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 598 | 50,032 | ||||||
| PREFERRED STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles (continued) |
| |||||||
Volkswagen AG (Germany) (PRFC) | 1,822 | $ | 263,061 | |||||
| 313,093 | ||||||||
Banks |
| |||||||
Citigroup Capital XIII 7.875%, (Capital Security, fixed to floating preferred)(b) | 20,000 | 519,800 | ||||||
Media — 0.1% |
| |||||||
ProSiebenSat.1 Media SE (Germany) | 16,781 | 846,628 | ||||||
TOTAL PREFERRED STOCKS |
| 1,679,521 | ||||||
| Units | ||||||||
| RIGHTS* | ||||||||
Real Estate |
| |||||||
Ascendas Real Estate Investment Trust (Singapore), expiring 01/13/16 (cost $0) | 888 | 34 | ||||||
| ASSET-BACKED SECURITIES — 4.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Debt Obligation | ||||||||||||||
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A | 0.583% | (b) | 04/25/19 | 310 | 307,965 | |||||||||
Collateralized Loan Obligations — 1.5% | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.497% | (b) | 04/20/25 | 2,100 | 2,071,805 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.823% | (b) | 04/28/26 | 400 | 396,084 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.921% | (b) | 10/15/26 | 2,000 | 1,983,848 | |||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 1.865% | (b) | 04/18/27 | 250 | 246,680 | |||||||||
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 1.861% | (b) | 10/15/26 | 600 | 594,066 | |||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.915% | (b) | 10/17/26 | 250 | 247,195 | |||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 1.845% | (b) | 04/18/27 | 1,000 | 989,811 | |||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.521% | (b) | 07/15/24 | 1,000 | 984,518 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.465% | (b) | 04/17/25 | 2,200 | 2,169,107 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.867% | (b) | 04/20/26 | 1,650 | 1,634,237 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 1.825% | (b) | 10/18/26 | 250 | 246,732 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.715% | (b) | 01/17/26 | 250 | 247,104 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.570% | (b) | 07/22/20 | 171 | 170,478 | |||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 1.791% | (b) | 10/15/26 | 750 | 742,345 | |||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 1.784% | (b) | 05/05/27 | 250 | 246,635 | |||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.280% | 01/25/27 | 750 | 731,904 | ||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.861% | (b) | 04/15/27 | 250 | 247,511 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.952% | (b) | 05/15/26 | 250 | 246,554 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.740% | (b) | 07/25/26 | 2,000 | 1,980,529 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 1.765% | (b) | 01/18/27 | 500 | 493,079 | |||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A | 2.420% | (b) | 07/25/23 | 250 | 247,726 | |||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A | 1.791% | (b) | 04/15/26 | 500 | 494,617 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.470% | (b) | 07/22/25 | 1,000 | $ | 987,586 | ||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 1.812% | (b) | 12/15/22 | 393 | 390,401 | |||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.620% | (b) | 02/20/25 | 250 | 246,296 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.795% | (b) | 07/17/26 | 500 | 495,698 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 495,512 | ||||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A | 1.727% | (b) | 10/20/23 | 500 | 498,792 | |||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.844% | (b) | 05/07/26 | 2,500 | 2,468,193 | |||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A | 1.795% | (b) | 07/17/26 | 1,500 | 1,487,014 | |||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.371% | (b) | 04/15/25 | 2,600 | 2,553,501 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.014% | (b) | 08/17/22 | 500 | 491,703 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.017% | (b) | 10/20/23 | 900 | 898,628 | |||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 1.940% | (b) | 01/22/27 | 1,750 | 1,734,348 | |||||||||
Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.817% | (b) | 04/20/27 | 1,500 | 1,488,262 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.441% | (b) | 07/15/25 | 2,200 | 2,167,720 | |||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 1.947% | (b) | 04/20/26 | 2,500 | 2,475,839 | |||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.461% | (b) | 04/15/24 | 1,500 | 1,482,745 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.817% | (b) | 04/20/26 | 1,300 | 1,286,995 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 485,790 | ||||||||||
| 39,547,588 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 1.8% | ||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.131% | (b) | 05/15/20 | 2,700 | 2,693,118 | |||||||||
AmeriCredit Automobile Receivables, Series 2015-4, Class A2B | 1.026% | (b) | 04/08/19 | 3,000 | 3,000,299 | |||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,475 | 1,463,941 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 4,800 | 4,740,070 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 3,800 | 3,752,285 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 2,325 | 2,343,755 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 2,400 | 2,396,060 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A | 0.831% | (b) | 05/15/20 | 1,600 | 1,593,769 | |||||||||
Hertz Vehicle Financing LLC, Series 2015-1A, Class A, Private Placement, 144A | 2.730% | 03/25/21 | 4,200 | 4,163,549 | ||||||||||
Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 2,500 | 2,468,667 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,800 | 3,755,468 | ||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.031% | (b) | 12/17/18 | 2,100 | 2,099,248 | |||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.081% | (b) | 12/17/18 | 2,400 | 2,399,999 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,794 | 1,783,176 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 2,019 | 1,984,560 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 3,265 | 3,241,702 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 720 | 709,612 | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,200 | 1,190,462 | ||||||||||
| 45,779,740 | ||||||||||||||
Residential Mortgage-Backed Securities — 0.8% | ||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.072% | (b) | 03/25/33 | 259 | 244,274 | |||||||||
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A | 2.402% | (b) | 10/30/47 | 2,500 | 2,480,155 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.914% | (b) | 07/25/35 | 375 | 357,840 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 | 1.172% | (b) | 03/25/34 | 2,011 | $ | 1,920,930 | ||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.891% | (b) | 07/25/34 | 395 | 374,455 | |||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1 | 1.277% | (b) | 07/25/34 | 506 | 438,420 | |||||||||
HSBC Home Equity Loan Trust USA, Series 2006-4, Class A4 | 0.632% | (b) | 03/20/36 | 1,875 | 1,866,728 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.217% | (b) | 06/25/34 | 527 | 508,490 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.622% | (b) | 05/25/33 | 137 | 130,163 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.472% | (b) | 12/27/33 | 789 | 761,273 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.322% | (b) | 07/25/32 | 314 | 301,674 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.697% | (b) | 09/25/32 | 541 | 532,785 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.187% | (b) | 02/25/34 | 875 | 812,463 | |||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,295 | 1,276,610 | ||||||||||
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A | 3.250% | 02/25/55 | 3,268 | 3,201,555 | ||||||||||
VOLT XXXVI LLC, Series 2015-NP10, Class A1, 144A | 3.625% | 07/25/45 | 1,822 | 1,796,214 | ||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 3,427 | 3,388,311 | ||||||||||
| 20,392,340 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 106,027,633 | ||||||||||||
| BANK LOANS(b) — 0.2% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 203 | 202,925 | ||||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/30/23 | 673 | 657,984 | ||||||||||
Food | ||||||||||||||
Aramark Corp. | 3.250% | 02/24/21 | 385 | 380,724 | ||||||||||
Healthcare & Pharmaceutical — 0.1% | ||||||||||||||
RPI Finance Trust (Luxembourg) | 3.500% | 11/09/20 | 1,180 | 1,171,956 | ||||||||||
Retailers | ||||||||||||||
Staples, Inc. | 3.500% | 02/28/22 | 595 | 587,265 | ||||||||||
Technology — 0.1% | ||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 12/31/22 | 1,080 | 1,065,750 | ||||||||||
First Data Corp. | 3.918% | 03/26/18 | 1,055 | 1,039,733 | ||||||||||
Trans Union LLC | 3.500% | 04/09/21 | 393 | 380,817 | ||||||||||
| 2,486,300 | ||||||||||||||
Telecommunications | ||||||||||||||
T-Mobile USA, Inc. | 3.500% | 11/09/22 | 990 | 988,763 | ||||||||||
TOTAL BANK LOANS |
| 6,475,917 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.2% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 585 | 585,286 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.568% | (b) | 04/10/49 | 2,979 | 3,065,472 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.710% | (b) | 12/10/49 | 800 | 826,693 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 889,259 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,138,552 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4 | 3.462% | 09/15/48 | 3,500 | 3,499,741 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 792 | 804,273 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 972,960 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,400 | 1,381,736 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,031,933 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,145,972 | ||||||||||
Commercial Mortgage Trust, Series 2014-LC17, Class A4 | 3.648% | 10/10/47 | 5,000 | 5,090,125 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | $ | 1,726,688 | |||||||||
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A | 3.178% | 02/10/35 | 1,200 | 1,175,933 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A | 5.297% | 12/15/39 | 2,371 | 2,424,322 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 2,500 | 2,499,539 | ||||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.555% | (b) | 09/10/35 | 3,300 | 3,335,958 | |||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 1,925 | 2,025,420 | |||||||||
Federal National Mortgage Assoc., Series 2015-M8, Class AB2 | 2.829% | 01/25/25 | 4,100 | 4,132,636 | ||||||||||
Federal National Mortgage Assoc., Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 4,700 | 4,770,707 | |||||||||
Federal National Mortgage Assoc., Series 2015-M17, Class A2 | 3.038% | (b) | 11/25/25 | 3,000 | 2,979,751 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.454% | (b) | 05/25/22 | 20,641 | 1,541,682 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.493% | (b) | 06/25/22 | 5,708 | 432,079 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.582% | (b) | 08/25/16 | 4,532 | 22,593 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K503, Class A4 | 3.161% | 05/25/25 | 1,900 | 1,915,229 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.771% | (b) | 05/25/19 | 16,137 | 802,447 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.700% | (b) | 07/25/19 | 16,977 | 838,777 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 3,000 | 2,951,939 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC34, Class A3 | 3.244% | 10/10/48 | 4,800 | 4,711,872 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,100 | 1,103,035 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 5,000 | 4,854,426 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 87 | 86,614 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,563 | 1,583,016 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,466,404 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,161,185 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,700 | 1,735,421 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,065,694 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | 6.114% | (b) | 07/15/40 | 2,500 | 2,610,906 | |||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.666% | (b) | 05/12/39 | 780 | �� | 783,011 | ||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.520% | (b) | 02/12/39 | 440 | 439,672 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 5.882% | (b) | 06/12/46 | 900 | 899,849 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,392 | 1,403,894 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | 1,181,360 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 4,000 | 3,997,168 | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.779% | (b) | 10/15/42 | 369 | 368,651 | |||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 652 | 651,335 | ||||||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3 | 3.540% | 12/15/48 | 5,000 | 4,996,617 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,377,961 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,164,279 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,480,510 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | 5.767% | (b) | 05/15/43 | 370 | 369,867 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 4,178 | 4,314,689 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NX53, Class A3 | 3.354% | 09/15/57 | 4,000 | 3,958,134 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 108,773,272 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS — 9.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Agriculture — 0.2% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | $ | 1,642,036 | |||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 42 | 67,320 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 274 | 449,320 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 690 | 798,592 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,672,395 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 290 | 341,248 | ||||||||||
| 4,970,911 | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 05/01/27 | 2,582 | 2,491,362 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 62 | 63,892 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 67 | 69,213 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 522 | 588,719 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 565 | 594,168 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 10/29/24 | 363 | 372,355 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 6.821% | 08/10/22 | 291 | 334,667 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 405 | 424,963 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 683 | 723,595 | ||||||||||
| 5,662,934 | ||||||||||||||
Auto Manufacturers — 0.1% | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 1,890 | 1,905,133 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,065 | 1,125,211 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 380 | 385,060 | ||||||||||
| 3,415,404 | ||||||||||||||
Auto Parts & Equipment | ||||||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 235 | 235,255 | ||||||||||
Banks — 2.8% | ||||||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,100 | 2,136,750 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,290 | 1,454,725 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,415,399 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 360 | 354,357 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 745 | 761,923 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 112,907 | ||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 1,700 | 1,664,178 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 850 | 884,234 | ||||||||||
Bank of America NA, Sub. Notes(a) | 6.000% | 10/15/36 | 805 | 955,704 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 3,325 | 3,346,523 | ||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/31/49 | 1,590 | 1,585,031 | |||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (b) | 12/31/49 | 945 | 963,900 | |||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.875% | 10/25/23 | 1,730 | 1,787,817 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 01/14/22 | 1,125 | 1,204,948 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 850 | 1,219,135 | ||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,485 | 1,475,168 | ||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,050 | 1,041,024 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 599,003 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 552,213 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/31/49 | 1,800 | 1,788,750 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,548,454 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banks (continued) | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | $ | 1,421,526 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 262,416 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 765 | 794,586 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 1,100 | 1,285,830 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,230 | 1,349,191 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 1,022,818 | ||||||||||
Intesa Sanpaolo SpA (Italy), Gtd. Notes, MTN | 3.125% | 01/15/16 | 1,145 | 1,145,571 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 6.100% | (b) | 12/31/49 | 1,175 | 1,180,993 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,036,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,761,001 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,525 | 3,506,473 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 195 | 194,963 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,770 | 1,984,636 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 2,385 | 2,310,099 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 12/31/49 | 640 | 624,800 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 605 | 619,681 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,530 | 1,588,213 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.500% | 07/28/21 | 840 | 941,112 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a) | 6.375% | 07/24/42 | 640 | 791,391 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.625% | 04/01/18 | 100 | 109,653 | ||||||||||
Morgan Stanley, Sub. Notes, MTN | 4.350% | 09/08/26 | 3,050 | 3,059,970 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 815,600 | |||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 2,687 | 3,035,560 | ||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A | 1.875% | 09/17/18 | 1,590 | 1,579,638 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 495,038 | ||||||||||
PNC Funding Corp., Gtd. Notes | 6.700% | 06/10/19 | 390 | 445,765 | ||||||||||
Royal Bank of Canada (Canada), Covered Bonds | 2.100% | 10/14/20 | 665 | 653,457 | ||||||||||
Royal Bank of Canada (Canada), Covered Bonds | 2.200% | 09/23/19 | 4,650 | 4,653,878 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 925 | 928,300 | ||||||||||
Toronto-Dominion Bank (The) (Canada), Covered Bonds, 144A | 1.950% | 04/02/20 | 2,635 | 2,593,080 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 915 | 909,731 | ||||||||||
| 71,953,113 | ||||||||||||||
Biotechnology — 0.1% | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,365 | 1,385,794 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 140 | 159,504 | ||||||||||
| 1,545,298 | ||||||||||||||
Building Materials — 0.1% | ||||||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,154,375; purchased 10/27/14-02/11/15)(c)(d) | 5.375% | 11/15/24 | 1,135 | 1,132,162 | ||||||||||
Chemicals — 0.2% | ||||||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,160 | 1,223,800 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 387,024 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 5 | 4,520 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 30 | 43,114 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 955 | 774,486 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 800 | 851,039 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 265 | 267,830 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 860 | 824,307 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 594,659 | ||||||||||
| 4,970,779 | ||||||||||||||
Commercial Services — 0.1% | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,198 | 1,286,493 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 390 | 475,289 | ||||||||||
United Rentals North America, Inc., Gtd. Notes(a) | 7.375% | 05/15/20 | 725 | 764,875 | ||||||||||
| 2,526,657 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Computers — 0.2% | ||||||||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.450% | 10/05/17 | 2,915 | $ | 2,912,528 | |||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.850% | 10/05/18 | 545 | 544,696 | ||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 455 | 451,587 | ||||||||||
| 3,908,811 | ||||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 600 | 599,250 | ||||||||||
American Express Co., Jr. Sub. Notes(a) | 5.200% | (b) | 12/31/49 | 475 | 467,281 | |||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 270 | 290,770 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,135 | 1,252,005 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 891,789 | ||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 1,637 | 1,670,529 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 5.875% | 01/14/38 | 167 | 204,335 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.875% | 01/10/39 | 311 | 423,915 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 230 | 233,163 | ||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 429,960 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 5.250% | 02/06/12 | 1,850 | 136,438 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 700 | 52,500 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 310,487 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 680 | 682,734 | ||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,175 | 2,133,294 | ||||||||||
| 9,778,450 | ||||||||||||||
Electric — 0.4% | ||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 170 | 174,439 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | 660,379 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 340 | 396,489 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 | 6.950% | 03/15/33 | 300 | 395,118 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 145 | 164,700 | ||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 530 | 657,988 | ||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 345 | 324,300 | ||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 255 | 221,850 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 999,247 | ||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 645,580 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,375 | 1,390,938 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 265 | 266,864 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 380 | 463,312 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 161,800 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 581,583 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 500 | 548,115 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 151,072 | ||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | 622,692 | ||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 690 | 624,902 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 482,249 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 263 | 275,686 | ||||||||||
| 10,209,303 | ||||||||||||||
Engineering & Construction | ||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 530 | 255,725 | ||||||||||
Entertainment | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 800 | 784,000 | ||||||||||
Food | ||||||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 785 | 795,386 | ||||||||||
Food Service | ||||||||||||||
Aramark Services, Inc., Gtd. Notes, 144A(a) | 5.125% | 01/15/24 | 205 | 208,844 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 275 | $ | 303,341 | |||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,331,885 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 460 | 521,617 | ||||||||||
| 2,156,843 | ||||||||||||||
Gas | ||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 45 | 43,037 | ||||||||||
Healthcare-Products — 0.3% | ||||||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes(a) | 3.734% | 12/15/24 | 805 | 811,863 | ||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 2,515 | 2,535,548 | ||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,065 | 1,076,547 | ||||||||||
St. Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 3,700 | 3,693,136 | ||||||||||
| 8,117,094 | ||||||||||||||
Healthcare-Services — 0.5% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 480 | 576,033 | ||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,050 | 1,321,985 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 311,624 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 260 | 247,407 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 900 | 904,500 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 621,077 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 728,747 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,235 | 1,247,350 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 900 | 897,750 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 350 | 352,625 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 160 | 157,028 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 340 | 321,200 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 4,385 | 4,442,983 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 440 | 409,535 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 115 | 122,334 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 522,655 | ||||||||||
| 13,184,833 | ||||||||||||||
Home Builders | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 379,688 | ||||||||||
Housewares — 0.1% | ||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,600 | 1,694,477 | ||||||||||
Insurance — 0.8% | ||||||||||||||
ACE INA Holdings, Inc., Gtd. Notes | 3.350% | 05/03/26 | 705 | 702,840 | ||||||||||
ACE INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 100 | 101,613 | ||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 523,024 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 125 | 127,007 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,910 | 1,766,288 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 990 | 1,093,274 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes(a) | 6.375% | (b) | 04/15/37 | 1,260 | 1,210,016 | |||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 697,366 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 215 | 244,404 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,050,769 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (b) | 04/20/67 | 250 | 195,000 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 876 | 1,029,942 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 660 | 827,827 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 505 | 606,513 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 164,661 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 960 | 1,109,548 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 85 | 104,509 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.750% | 06/01/16 | 270 | 276,185 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 833,905 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Insurance (continued) | ||||||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (b) | 10/16/44 | 1,505 | $ | 1,572,725 | ||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 420,523 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 714,577 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,009,598 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 102,340 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 715 | 713,212 | |||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 570 | 515,877 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,430 | 1,768,022 | ||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes(a) | 4.300% | 08/25/45 | 660 | 665,343 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 346,463 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 639,177 | ||||||||||
| 21,132,548 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 955 | 1,021,850 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 496,667 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 795,628 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,700 | 2,954,019 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 403,293 | ||||||||||
| 5,671,457 | ||||||||||||||
Machinery-Diversified — 0.1% | ||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,100 | 1,163,250 | ||||||||||
SPX Flow, Inc., Gtd. Notes | 6.875% | 09/01/17 | 810 | 860,625 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,126,722 | ||||||||||
| 3,150,597 | ||||||||||||||
Media — 0.5% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 278,697 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 41,390 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,594,061 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 900 | 947,250 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 115 | 103,217 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.375% | 05/01/25 | 720 | 716,400 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.384% | 10/23/35 | 630 | 636,508 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 760 | 761,246 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 200 | 197,047 | ||||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,909,619 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 520 | 484,815 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 810,901 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 750 | 783,165 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,240 | 1,297,195 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 192,179 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 495 | 549,734 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 75 | 92,801 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 02/27/42 | 50 | 37,494 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 150 | 120,476 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 325 | 291,843 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 850 | 850,000 | ||||||||||
| 12,696,038 | ||||||||||||||
Mining — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 700 | 629,163 | ||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a) | 6.250% | (b) | 10/19/75 | 845 | 827,043 | |||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 15 | 11,983 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 400 | 306,449 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 370 | 345,873 | ||||||||||
| 2,120,511 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Miscellaneous Manufacturing — 0.1% | ||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,040 | $ | 1,060,800 | |||||||||
General Electric Co., Sr. Unsec’d. Notes(a) | 4.125% | 10/09/42 | 180 | 175,822 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 260 | 267,574 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,050 | 1,036,875 | ||||||||||
| 2,541,071 | ||||||||||||||
Oil & Gas — 0.4% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 1,000 | 360,000 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 305 | 293,977 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 225 | 245,777 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes(a) | 5.850% | 12/15/25 | 765 | 743,996 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,350 | 1,384,644 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 830 | 759,917 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes(a) | 4.650% | 03/15/25 | 1,555 | 1,555,703 | ||||||||||
Nabors Industries, Inc., Gtd. Notes(a) | 4.625% | 09/15/21 | 890 | 731,366 | ||||||||||
Pacific Exploration & Production Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 350 | 66,500 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 415 | 420,641 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,540,413 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 400 | 432,578 | ||||||||||
Valero Energy Corp., Sr. Unsec’d. Notes | 4.900% | 03/15/45 | 225 | 187,622 | ||||||||||
| 8,723,134 | ||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,170 | 2,141,310 | ||||||||||
Packaging & Containers — 0.1% | ||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 465 | 472,266 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes(a) | 4.500% | 01/15/23 | 1,000 | 977,500 | ||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 675 | 715,895 | ||||||||||
| 2,165,661 | ||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 950 | 937,588 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,595 | 1,562,457 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 805 | 800,889 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,465 | 1,423,770 | ||||||||||
Actavis Funding SCS, Gtd. Notes(a) | 4.750% | 03/15/45 | 350 | 341,266 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 440 | 490,623 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 340 | 330,993 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,105 | 1,020,412 | ||||||||||
Mylan, Inc., Gtd. Notes | 1.800% | 06/24/16 | 355 | 354,772 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,010 | 1,053,395 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 90 | 78,569 | ||||||||||
| 8,394,734 | ||||||||||||||
Pipelines — 0.2% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 1,125 | 967,544 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.650% | 06/01/21 | 610 | 572,696 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 200 | 145,422 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 665 | 511,461 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.750% | 02/15/25 | 1,055 | 965,016 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 530 | 543,408 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,140 | 958,132 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 107,463 | ||||||||||
| 4,771,142 | ||||||||||||||
Real Estate | ||||||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 77,384 | ||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 685 | 761,291 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Real Estate Investment Trusts (REITs) (continued) | ||||||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 550 | $ | 549,243 | |||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 235 | 238,085 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | 195,898 | ||||||||||
| 1,744,517 | ||||||||||||||
Retail — 0.3% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 4.875% | 07/20/35 | 470 | 485,271 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 590 | 621,524 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 170 | 182,594 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 565 | 583,959 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,300 | 1,381,250 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 345 | 428,523 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 300 | 295,407 | ||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 1,925 | 1,923,418 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625% | 12/01/25 | 1,020 | 1,030,200 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 265 | 274,984 | ||||||||||
| 7,207,130 | ||||||||||||||
Savings & Loans — 0.1% | ||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,176,121 | ||||||||||
Software — 0.1% | ||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,225 | 1,229,326 | ||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 1,640 | 1,661,364 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 700 | 696,366 | ||||||||||
| 3,587,056 | ||||||||||||||
Telecommunications — 0.5% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 300 | 330,032 | ||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 18 | 24,049 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,130 | 3,008,212 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 350 | 323,701 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 560 | 512,734 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes(a) | 4.800% | 06/15/44 | 305 | 279,421 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 1,133 | 1,119,083 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 350 | 510,704 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 330,070 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 365 | 375,950 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 1,827 | 1,633,881 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,288 | 1,986,444 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,053 | 996,903 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 2,349 | 2,150,723 | ||||||||||
| 13,581,907 | ||||||||||||||
Transportation — 0.1% | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.450% | 09/15/21 | 1,180 | 1,206,020 | ||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 900,539 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 803,074 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 137,207 | ||||||||||
| 3,046,840 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 251,858,162 | ||||||||||||
| MUNICIPAL BONDS — 0.5% | ||||||||||||||
California — 0.2% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,755,525 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,746,575 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 350 | 490,053 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
California (continued) | ||||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | $ | 356,149 | |||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 298,125 | ||||||||||
| 4,646,427 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 565 | 723,884 | ||||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,214,343 | ||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,421,360 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,328,008 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 465,410 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 308,085 | ||||||||||
| 773,495 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | 533,962 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 587,764 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,200,263 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 12,429,506 | ||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.7% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 1,300 | 1,305,876 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 490 | 482,650 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 265 | 292,514 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 695 | 776,141 | ||||||||||
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes | 2.250% | 06/24/21 | 3,295 | 3,328,444 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes, MTN | 2.750% | 10/01/20 | 2,645 | 2,739,519 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,613,623 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,400 | 1,379,000 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 795 | 801,917 | ||||||||||
Petroleos Mexicanos (Mexico), Sr. Unsec’d. Notes | 8.625% | 12/01/23 | 350 | 405,125 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 560 | 568,971 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,035 | 1,031,293 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,000 | 983,751 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 505,128 | ||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 17,213,952 | ||||||||||||
| SOVEREIGN BONDS — 0.4% | ||||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 920 | 876,300 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 392 | 408,464 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 03/13/20 | 770 | 834,635 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 01/15/24 | 750 | 803,486 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 750 | 776,864 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 550 | $ | 553,300 | |||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 766 | 697,826 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 490 | 480,200 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 395 | 395,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a) | 5.200% | 01/30/20 | 375 | 406,875 | ||||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,975 | 1,918,495 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 4.875% | 01/22/24 | 140 | 150,402 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS | 6.125% | 01/22/44 | 350 | 409,500 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,260 | 1,401,944 | ||||||||||
TOTAL NON-CORPORATE SOVEREIGNS |
| 10,113,291 | ||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.4% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 242 | 246,443 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,251 | 1,052,342 | ||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.577% | (b) | 08/26/36 | 923 | 851,426 | |||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 01/01/30 | 1,880 | 1,867,834 | |||||||||
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.650% | (b) | 02/25/35 | 278 | 271,339 | |||||||||
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.658% | (b) | 03/25/35 | 324 | 299,140 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.702% | (b) | 02/25/37 | 611 | 594,808 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(m) | 2.372% | (b) | 11/25/24 | 2,301 | 2,312,116 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(m) | 1.922% | (b) | 02/25/25 | 703 | 704,564 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(m) | 1.572% | (b) | 05/25/25 | 4,809 | 4,793,964 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(m) | 1.322% | (b) | 10/25/27 | 6,108 | 6,096,030 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(m) | 1.772% | (b) | 04/25/28 | 1,967 | 1,967,870 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.726% | (b) | 07/25/35 | 339 | 338,777 | |||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A | 3.344% | (b) | 09/01/21 | 4,458 | 4,452,185 | |||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A | 2.244% | (b) | 12/01/21 | 852 | 842,221 | |||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A | 2.244% | (b) | 04/01/20 | 1,596 | 1,573,189 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.244% | (b) | 05/01/20 | 3,788 | 3,722,197 | |||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.244% | (b) | 07/01/20 | 1,883 | 1,850,746 | |||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.244% | (b) | 08/01/20 | 1,531 | 1,503,156 | |||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A | 2.244% | (b) | 11/02/20 | 1,004 | 986,413 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 59 | 59,694 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.586% | (b) | 02/25/34 | 387 | 384,542 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 166 | 166,210 | ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 36,937,206 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.7% | ||||||||||||||
Federal Home Loan Banks | 1.830% | 07/29/20 | 1,555 | 1,551,836 | ||||||||||
Federal Home Loan Banks(g) | 5.500% | 07/15/36 | 850 | 1,104,135 | ||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 01/12/18 | 407 | 403,724 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.375% | 01/13/22 | 3,700 | 3,751,400 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.375% | (b) | 06/01/36 | 289 | 307,070 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 1,250 | 1,261,092 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 926 | 935,418 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.598% | (b) | 12/01/35 | 309 | 326,627 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-04/01/45 | 8,842 | 8,924,972 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 10,000 | 10,293,847 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 1,198 | 1,257,808 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 11,000 | $ | 11,620,253 | |||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 3,568 | 3,775,443 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 9,886 | 10,643,929 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-05/01/39 | 2,680 | 2,895,504 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 2,406 | 2,675,183 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,062 | 1,206,731 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/16 | — | (l) | 152 | |||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31-10/01/31 | 257 | 278,878 | ||||||||||
Federal National Mortgage Assoc.(g)(h) | 1.500% | 06/22/20 | 3,240 | 3,199,656 | ||||||||||
Federal National Mortgage Assoc.(h) | 1.500% | 11/30/20 | 4,760 | 4,675,439 | ||||||||||
Federal National Mortgage Assoc.(a) | 1.625% | 01/21/20 | 500 | 498,114 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 02/19/19 | 156 | 158,094 | ||||||||||
Federal National Mortgage Assoc. | 1.932% | (b) | 07/01/33 | 332 | 348,317 | |||||||||
Federal National Mortgage Assoc. | 2.059% | (b) | 06/01/37 | 74 | 74,526 | |||||||||
Federal National Mortgage Assoc. | 2.151% | (b) | 07/01/37 | 465 | 490,729 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 4,000 | 4,031,620 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 2,447 | 2,434,455 | ||||||||||
Federal National Mortgage Assoc.(a) | 2.625% | 09/06/24 | 130 | 131,373 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 8,000 | 7,984,135 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 2,000 | 2,060,286 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27-07/01/43 | 14,173 | 14,323,651 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 8,000 | 8,253,786 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-03/01/43 | 28,416 | 29,424,237 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 15,500 | 16,401,664 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 6,036 | 6,389,148 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,159,750 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-03/01/41 | 6,907 | 7,504,934 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 7,500 | 8,255,098 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-05/01/36 | 2,031 | 2,230,801 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-04/01/37 | 4,078 | 4,557,102 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-06/01/38 | 4,571 | 5,188,348 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-01/01/37 | 1,796 | 2,058,767 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 198 | 226,579 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 19 | 18,503 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 4,000 | 4,054,220 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45-08/20/45 | 6,899 | 6,999,208 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 24,000 | 25,019,064 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43-04/20/45 | 3,648 | 3,809,485 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,750 | 5,044,277 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-08/20/45 | 2,259 | 2,401,497 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,500 | 2,685,937 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,077,500 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-03/20/41 | 5,686 | 6,178,275 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 314 | 340,149 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33-04/15/36 | 2,071 | 2,332,522 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23-07/15/34 | 794 | 909,482 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-09/15/36 | 1,471 | 1,701,651 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-07/15/24 | 23 | 25,455 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 566 | 580,164 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 3,910 | 3,952,404 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes(a) | 3.000% | 06/30/25 | 1,115 | 1,146,412 | ||||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 1.825% | (f) | 10/15/19 | 1,105 | 1,028,788 | |||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 1.903% | (f) | 10/15/20 | 165 | 149,308 | |||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 2.066% | (f) | 07/15/20 | 3,181 | 2,905,608 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes(a) | 5.880% | 04/01/36 | 76 | 97,648 | ||||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 3,665 | 3,649,915 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 272,382,083 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| U.S. TREASURY OBLIGATIONS — 7.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/45 | 3,585 | $ | 3,216,559 | |||||||||
U.S. Treasury Bonds | 2.750% | 11/15/42 | 10,430 | 9,944,765 | ||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43-08/15/45 | 8,965 | 8,711,529 | ||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 23,505 | 23,397,582 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 24,553 | 24,239,880 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.750% | 02/15/45 | 1,202 | 1,048,209 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 9,486 | 9,861,049 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/19-11/30/20 | 30,395 | 30,293,469 | ||||||||||
U.S. Treasury Notes | 1.750% | 12/31/20-03/31/22 | 23,665 | 23,398,063 | ||||||||||
U.S. Treasury Notes | 2.000% | 11/30/22 | 14,445 | 14,366,000 | ||||||||||
U.S. Treasury Notes(h) | 2.125% | 09/30/21 | 14,055 | 14,203,238 | ||||||||||
U.S. Treasury Notes(a) | 2.250% | 11/15/25 | 2,100 | 2,095,323 | ||||||||||
U.S. Treasury Notes | 3.125% | 05/15/19 | 3,065 | 3,233,455 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (f) | 02/15/28 | 2,115 | 1,535,634 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (f) | 05/15/28 | 1,055 | 758,116 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (f) | 02/15/29 | 1,055 | 738,772 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (f) | 05/15/29 | 2,175 | 1,511,020 | |||||||||
U.S. Treasury Strips Coupon | 2.519% | (f) | 08/15/25 | 1,930 | 1,522,591 | |||||||||
U.S. Treasury Strips Coupon | 2.576% | (f) | 08/15/30 | 6,970 | 4,627,495 | |||||||||
U.S. Treasury Strips Coupon | 2.972% | (f) | 02/15/37 | 4,550 | 2,403,292 | |||||||||
U.S. Treasury Strips Coupon | 3.103% | (f) | 11/15/34 | 1,430 | 813,870 | |||||||||
U.S. Treasury Strips Principal | 2.351% | (f) | 05/15/43 | 1,180 | 502,949 | |||||||||
U.S. Treasury Strips Principal | 3.577% | (f) | 05/15/44 | 1,780 | 732,842 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 183,155,702 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,240,634,804 | ||||||||||||
| SHORT-TERM INVESTMENTS — 19.4% | ||||||||||||||
| Shares | ||||||||||||||
| AFFILIATED MUTUAL FUNDS — 19.2% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 10,585,460 | 98,127,218 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 393,221,125 | 393,221,125 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 491,348,343 | ||||||||||||
| Principal Amount (000)# | ||||||||||||||
| U.S. TREASURY OBLIGATION — 0.2% | ||||||||||||||
U.S. Treasury Bills(g) | 0.189% | (i) | 03/03/16 | 3,800 | 3,799,331 | |||||||||
| Counterparty | Notional Amount (000)# | |||||||||||||
| OPTIONS PURCHASED* | ||||||||||||||
Call Options | ||||||||||||||
Interest Rate Swap Options, | ||||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/16 |
| Barclays Capital Group | 150,000 | — | ||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/16 |
| Barclays Capital Group | 150,000 | — | ||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/16 |
| Barclays Capital Group | 150,000 | 69 | ||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/16 |
| Barclays Capital Group | 75,000 | 2 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| OPTIONS PURCHASED* (continued) | Counterparty | Notional Amount (000)# | Value (Note 2) | |||||||||||
Call Options (continued) | ||||||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/16 | Barclays Capital Group | 75,000 | $ | 62 | ||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/16 | Barclays Capital Group | 75,000 | 1,105 | |||||||||||
Receive a fixed rate of 0.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 | Citigroup Global Markets | 30,650 | — | |||||||||||
Receive a fixed rate of 1.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 | Citigroup Global Markets | 30,650 | 54,376 | |||||||||||
TOTAL OPTIONS PURCHASED |
| 55,614 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 495,203,288 | ||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 107.1% |
| 2,735,838,092 | ||||||||||||
| OPTIONS WRITTEN* | ||||||||||||||
Call Options | ||||||||||||||
Interest Rate Swap Options, | ||||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 02/19/16 | Barclays Capital Group | 225,000 | — | |||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 03/14/16 | Barclays Capital Group | 225,000 | (2 | ) | ||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 05/19/16 | Barclays Capital Group | 225,000 | (379 | ) | ||||||||||
Pay a fixed rate of 1.25% and receive a floating rate based on 3 Month LIBOR, expiring 01/04/16 | Citigroup Global Markets | 61,300 | — | |||||||||||
TOTAL OPTIONS WRITTEN |
| (381 | ) | |||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 107.1% |
| 2,735,837,711 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.1)% |
| (181,566,464 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 2,554,271,247 | |||||||||||
See the Glossary for abbreviations used in the annual report.
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $72,010,732; cash collateral of $74,312,527 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2015. |
| (c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $5,872,642. The aggregate value of $5,752,799 is approximately 0.2% of net assets. |
| (d) | Indicates a security that has been deemed illiquid. (unaudited) |
| (e) | Represents issuer in default on interest payments and/or principal re-payments; non-income producing security. Such securities may be post maturity. |
| (f) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Rate quoted represents yield-to-maturity as of purchase date. |
| (j) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (k) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (l) | Less than $500 par. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| (m) | Represents a Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac. |
| (n) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2015:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
| Long Positions: | ||||||||||||||||||
| 279 | 90 Day Euro Dollar | Mar. 2016 | $ | 69,325,102 | $ | 69,237,337 | $ | (87,765 | ) | |||||||||
| 697 | 2 Year U.S. Treasury Notes | Mar. 2016 | 151,621,141 | 151,412,360 | (208,781 | ) | ||||||||||||
| 613 | 5 Year U.S. Treasury Notes | Mar. 2016 | 72,605,816 | 72,530,352 | (75,464 | ) | ||||||||||||
| 242 | 10 Year U.S. Treasury Notes | Mar. 2016 | 30,464,464 | 30,469,313 | 4,849 | |||||||||||||
| 1 | ASX SPI 200 Index | Mar. 2016 | 88,756 | 95,769 | 7,013 | |||||||||||||
| 8 | MSCI EAFE Mini Futures | Mar. 2016 | 666,205 | 679,280 | 13,075 | |||||||||||||
| 79 | S&P 500 E-Mini Futures | Mar. 2016 | 8,039,261 | 8,039,830 | 569 | |||||||||||||
| 60 | S&P 500 Index Futures | Mar. 2016 | 30,285,954 | 30,531,000 | 245,046 | |||||||||||||
| 133 | U.S. Ultra Bonds | Mar. 2016 | 20,951,273 | 21,105,437 | 154,164 | |||||||||||||
| 52,706 | ||||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 279 | 90 Day Euro Dollar | Sept. 2016 | 69,100,747 | 69,007,162 | 93,585 | |||||||||||||
| 385 | U.S. Long Bonds | Mar. 2016 | 59,604,824 | 59,193,750 | 411,074 | |||||||||||||
| 504,659 | ||||||||||||||||||
| $ | 557,365 | |||||||||||||||||
| (1) | A U.S. Treasury Obligation with a market value of $3,799,331 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $1,930,561 have been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2015. |
Interest rate swap agreements outstanding at December 31, 2015:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
| OTC swap agreements: | |||||||||||||||||||||||||
| 2,634 | 05/17/18 | 0.989% | 3 Month LIBOR(1) | $ | 13,968 | $ | — | $ | 13,968 | Credit Suisse First Boston Corp. | ||||||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
| 9,890 | 09/04/20 | 1.585% | 3 Month LIBOR(1) | $ | 190 | $ | 41,421 | $ | 41,231 | |||||||||||||||
| 53,460 | 01/08/21 | 1.683% | 3 Month LIBOR(2) | 438 | (134,451 | ) | (134,889 | ) | ||||||||||||||||
| 43,880 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (53,022 | ) | (870,387 | ) | (817,365 | ) | |||||||||||||||
| 7,020 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 188 | (146,493 | ) | (146,681 | ) | ||||||||||||||||
| 4,890 | 08/31/22 | 1.745% | 3 Month LIBOR(1) | 176 | 48,835 | 48,659 | ||||||||||||||||||
| 6,240 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 184 | 2,024 | 1,840 | ||||||||||||||||||
| 5,570 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 190 | (27,367 | ) | (27,557 | ) | ||||||||||||||||
| 5,370 | 11/12/25 | 2.263% | 3 Month LIBOR(1) | 188 | (44,176 | ) | (44,364 | ) | ||||||||||||||||
| 56,370 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 607 | (111,604 | ) | (112,211 | ) | ||||||||||||||||
| 15,525 | 02/15/36 | 2.502% | 3 Month LIBOR(2) | 6,716 | (144,656 | ) | (151,372 | ) | ||||||||||||||||
| 11,970 | 01/08/46 | 2.659% | 3 Month LIBOR(2) | 366 | 95,541 | 95,175 | ||||||||||||||||||
| $ | (43,779 | ) | $ | (1,291,313 | ) | $ | (1,247,534 | ) | ||||||||||||||||
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Credit default swap agreements outstanding at December 31, 2015:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2015(4) | Unrealized Appreciation | ||||||||||||||||||
Centrally cleared credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 53,000 | $ | (997,536 | ) | $ | (333,356 | ) | $ | 664,180 | |||||||||||||
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Depreciation | Counterparty | |||||||||||||||||||
OTC credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 1,150 | $ | 36,412 | $ | 47,924 | $ | (11,512 | ) | Credit Suisse First Boston Corp. | |||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 2,990 | 94,671 | 128,338 | (33,667 | ) | Deutsche Bank AG | ||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 4,140 | 131,082 | 181,412 | (50,330 | ) | Deutsche Bank AG | ||||||||||||||||||
| $ | 262,165 | $ | 357,674 | $ | (95,509 | ) | ||||||||||||||||||||
U.S. Government Agency Obligations and a U.S. Treasury Obligation with a combined market value of $2,809,333 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at December 31, 2015.
The Portfolio entered into credit default swap (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,118,028,671 | $ | 115,117,701 | $ | — | ||||||
Exchange Traded Fund | 442,153 | — | — | |||||||||
Preferred Stocks | 519,800 | 1,159,721 | — | |||||||||
Rights | — | 34 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligation | — | 307,965 | — | |||||||||
Collateralized Loan Obligations | — | 39,547,588 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Non-Residential Mortgage-Backed Securities | $ | — | $ | 45,779,740 | $ | — | ||||||
Residential Mortgage-Backed Securities | — | 17,912,185 | 2,480,155 | |||||||||
Bank Loans | — | 6,475,917 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 108,773,272 | — | |||||||||
Corporate Bonds | — | 251,858,162 | — | |||||||||
Municipal Bonds | — | 12,429,506 | — | |||||||||
Non-Corporate Foreign Agencies | — | 17,213,952 | — | |||||||||
Sovereign Bonds | — | 10,113,291 | — | |||||||||
Residential Mortgage-Backed Securities | — | 31,386,375 | 5,550,831 | |||||||||
U.S. Government Agency Obligations | — | 272,382,083 | — | |||||||||
U.S. Treasury Obligations | — | 186,955,033 | — | |||||||||
Affiliated Mutual Funds | 491,348,343 | — | — | |||||||||
Options Purchased | — | 55,614 | — | |||||||||
Options Written | — | (381 | ) | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 557,365 | — | — | |||||||||
OTC interest rate swaps | — | 13,968 | — | |||||||||
Centrally cleared interest rate swaps | — | (1,247,534 | ) | — | ||||||||
Centrally cleared credit default swaps | — | 664,180 | — | |||||||||
OTC credit default swaps | — | 262,165 | — | |||||||||
Total | $ | 1,610,896,332 | $ | 1,117,160,537 | $ | 8,030,986 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
Affiliated Mutual Funds (including 2.9% of collateral for securities on loan) | 19.2 | % | ||
U.S. Government Agency Obligations | 10.7 | |||
U.S. Treasury Obligations | 7.3 | |||
Banks | 6.0 | |||
Commercial Mortgage-Backed Securities | 4.3 | |||
Pharmaceuticals | 3.3 | |||
Oil, Gas & Consumable Fuels | 2.6 | |||
Residential Mortgage-Backed Securities | 2.2 | |||
Insurance | 2.2 | |||
Software | 2.1 | |||
Media | 2.0 | |||
Internet Software & Services | 1.9 | |||
Technology Hardware, Storage & Peripherals | 1.8 | |||
Non-Residential Mortgage-Backed Securities | 1.8 | |||
Biotechnology | 1.7 | |||
IT Services | 1.6 | |||
Collateralized Loan Obligations | 1.5 | |||
Real Estate Investment Trusts (REITs) | 1.4 | |||
Diversified Financial Services | 1.4 | |||
Aerospace & Defense | 1.3 | |||
Chemicals | 1.3 | |||
Health Care Providers & Services | 1.2 | |||
Diversified Telecommunication Services | 1.2 | |||
Specialty Retail | 1.2 | |||
Industrial Conglomerates | 1.2 | |||
Food & Staples Retailing | 1.1 | |||
Beverages | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.1 |
Capital Markets | 1.0 | % | ||
Internet & Catalog Retail | 1.0 | |||
Health Care Equipment & Supplies | 0.9 | |||
Household Products | 0.9 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Food Products | 0.9 | |||
Electric Utilities | 0.9 | |||
Tobacco | 0.8 | |||
Non-Corporate Foreign Agencies | 0.7 | |||
Communications Equipment | 0.6 | |||
Machinery | 0.6 | |||
Multi-Utilities | 0.6 | |||
Telecommunications | 0.5 | |||
Airlines | 0.5 | |||
Automobiles | 0.5 | |||
Healthcare-Services | 0.5 | |||
Municipal Bonds | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Energy Equipment & Services | 0.4 | |||
Electric | 0.4 | |||
Sovereign Bonds | 0.4 | |||
Consumer Finance | 0.4 | |||
Road & Rail | 0.4 | |||
Oil & Gas | 0.4 | |||
Healthcare-Products | 0.3 | |||
Air Freight & Logistics | 0.3 | |||
Multiline Retail | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Retail | 0.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Industry table (cont.) | ||||
Household Durables | 0.3 | % | ||
Electronic Equipment, Instruments & Components | 0.3 | |||
Electrical Equipment | 0.2 | |||
Lodging | 0.2 | |||
Auto Components | 0.2 | |||
Metals & Mining | 0.2 | |||
Agriculture | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Pipelines | 0.2 | |||
Computers | 0.2 | |||
Professional Services | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Auto Manufacturers | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Construction & Engineering | 0.1 | |||
Transportation | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Containers & Packaging | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Commercial Services | 0.1 | % | ||
Technology | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Packaging & Containers | 0.1 | |||
Forest & Paper Products | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Mining | 0.1 | |||
Personal Products | 0.1 | |||
Housewares | 0.1 | |||
Construction Materials | 0.1 | |||
Marine | 0.1 | |||
Building Products | 0.1 | |||
Savings & Loans | 0.1 | |||
Healthcare & Pharmaceutical | 0.1 | |||
Building Materials | 0.1 | |||
| 107.1 | ||||
Liabilities in excess of other assets | (7.1 | ) | ||
| 100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Premiums paid for OTC swap agreements | $ | 357,674 | — | $ | — | ||||||
Credit contracts | Due from/to broker — variation margin swaps | 664,180 | * | — | — | |||||||
Credit contracts | — | — | Unrealized depreciation on OTC swap agreements | 95,509 | ||||||||
Equity contracts | Due from/to broker — variation margin futures | 265,703 | * | — | — | |||||||
Equity contracts | Unaffiliated investments | 34 | — | — | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 663,672 | * | Due from/to broker — variation margin futures | 372,010 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 186,905 | * | Due from/to broker —variation margin swaps | 1,434,439 | * | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 13,968 | — | — | ||||||||
Interest rate contracts | Unaffiliated investments | 55,614 | Options written outstanding, at value | 381 | ||||||||
Total | $ | 2,207,750 | $ | 1,902,339 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (573,809 | ) | $ | (573,809 | ) | ||||||||||
Equity contracts | 18,283 | — | — | 5,645,479 | — | 5,663,762 | ||||||||||||||||||
Interest rate contracts | — | (2,075,253 | ) | 1,020,061 | 2,571,562 | (1,588,442 | ) | (72,072 | ) | |||||||||||||||
Total | $ | 18,283 | $ | (2,075,253 | ) | $ | 1,020,061 | $ | 8,217,041 | $ | (2,162,251 | ) | $ | 5,017,881 | ||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 590,192 | $ | 590,192 | ||||||||||||
Equity contracts | 34 | — | — | (4,312,402 | ) | — | (4,312,368 | ) | ||||||||||||||||
Interest rate contracts | — | (277,259 | ) | 152,190 | (326,388 | ) | (1,203,290 | ) | (1,654,747 | ) | ||||||||||||||
Total | $ | 34 | $ | (277,259 | ) | $ | 152,190 | $ | (4,638,790 | ) | $ | (613,098 | ) | $ | (5,376,923 | ) | ||||||||
| * | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
| $361,225 | $358,760 | $286,841,599 | $42,249,543 |
Interest Rate Swap | Credit Default | Credit Default | ||
| $113,303 | $55,786 | $8,352 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
Offsetting of OTC derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | 1,238 | $ | (381 | ) | $ | — | $ | 857 | |||||||
Citigroup Global Markets | 54,376 | — | — | 54,376 | ||||||||||||
Credit Suisse First Boston Corp. | 61,892 | (11,512 | ) | — | 50,380 | |||||||||||
Deutsche Bank AG | 309,750 | (83,997 | ) | (519,125 | ) | — | ||||||||||
| $ | 427,256 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | (381 | ) | $ | 381 | $ | — | $ | — | |||||||
Citigroup Global Markets | — | — | — | — | ||||||||||||
Credit Suisse First Boston Corp. | (11,512 | ) | 11,512 | — | — | |||||||||||
Deutsche Bank AG | (83,997 | ) | 83,997 | — | — | |||||||||||
| $ | (95,890 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $72,010,732: | ||||
Unaffiliated investments (cost $1,587,724,036) | $ | 2,244,489,749 | ||
Affiliated investments (cost $494,576,168) | 491,348,343 | |||
Cash | 28,582 | |||
Foreign currency, at value (cost $176,745) | 177,642 | |||
Receivable for investments sold | 57,732,692 | |||
Dividends and interest receivable | 7,172,613 | |||
Tax reclaim receivable | 494,757 | |||
Premium paid for OTC swap agreements | 357,674 | |||
Due from broker—variation margin futures | 105,072 | |||
Receivable from affiliate | 67,224 | |||
Unrealized appreciation on OTC swap agreements | 13,968 | |||
Prepaid expenses | 19,111 | |||
Total Assets | 2,802,007,427 | |||
| LIABILITIES | ||||
Payable for investments purchased | 171,006,109 | |||
Payable to broker for collateral for securities on loan | 74,312,527 | |||
Management fee payable | 1,197,605 | |||
Accrued expenses and other liabilities | 349,604 | |||
Due to broker—variation margin futures | 373,441 | |||
Payable for Series shares repurchased | 242,430 | |||
Due to broker—variation margin swaps | 157,594 | |||
Unrealized depreciation on OTC swap agreements | 95,509 | |||
Affiliated transfer agent fee payable | 980 | |||
Options written outstanding, at value | 381 | |||
Total Liabilities | 247,736,180 | |||
| NET ASSETS | $ | 2,554,271,247 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,406,596,103 | ||
Retained earnings | 1,147,675,144 | |||
Net assets, December 31, 2015 | $ | 2,554,271,247 | ||
Net asset value and redemption price per share $2,554,271,247 / 113,310,976 outstanding shares of beneficial interest | $ | 22.54 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $253,704, includes $30,380 reimbursable by an affiliate) | $ | 29,123,821 | ||
Interest income | 26,227,099 | |||
Affiliated dividend income | 2,120,231 | |||
Affiliated income from securities lending, net | 215,970 | |||
Total income | 57,687,121 | |||
| EXPENSES | ||||
Management fee | 13,868,698 | |||
Custodian and accounting fees | 456,000 | |||
Shareholders’ reports | 225,000 | |||
Audit fee | 43,000 | |||
Trustees’ fees | 32,000 | |||
Insurance expenses | 29,000 | |||
Legal fees and expenses | 14,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Miscellaneous | 48,777 | |||
Total expenses | 14,728,475 | |||
| NET INVESTMENT INCOME | 42,958,646 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 119,020,746 | |||
Futures transactions | 8,217,041 | |||
Options written transactions | 1,020,061 | |||
Swap agreement transactions | (2,162,251 | ) | ||
Foreign currency transactions | (129,149 | ) | ||
| 125,966,448 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $(737,004)) | (153,487,232 | ) | ||
Futures | (4,638,790 | ) | ||
Securities sold short | 9,708 | |||
Options written | 152,190 | |||
Swap agreements | (613,098 | ) | ||
Foreign currencies | (38,351 | ) | ||
| (158,615,573 | ) | |||
| NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (32,649,125 | ) | ||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,309,521 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 42,958,646 | $ | 42,111,812 | ||||
Net realized gain on investment and foreign currency transactions | 125,966,448 | 120,488,994 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (158,615,573 | ) | 50,456,589 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 10,309,521 | 213,057,395 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [6,321,083 and 657,128 shares, respectively] | 143,898,043 | 14,068,708 | ||||||
Series shares repurchased [7,700,902 and 7,335,062 shares, respectively] | (174,291,543 | ) | (157,169,187 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (30,393,500 | ) | (143,100,479 | ) | ||||
| TOTAL INCREASE (DECREASE) | (20,083,979 | ) | 69,956,916 | |||||
| NET ASSETS: | ||||||||
Beginning of year | 2,574,355,226 | 2,504,398,310 | ||||||
End of year | $ | 2,554,271,247 | $ | 2,574,355,226 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
LONG-TERM INVESTMENTS — 89.5% ASSET-BACKED SECURITIES — 16.5% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Collateralized Loan Obligations — 4.5% | ||||||||||||||||
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 1.771% | (a) | 07/15/26 | 500 | $ | 495,060 | ||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.497% | (a) | 04/20/25 | 3,300 | 3,255,693 | |||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.921% | (a) | 10/15/26 | 1,750 | 1,735,867 | |||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.720% | (a) | 10/22/25 | 1,300 | 1,288,424 | |||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.915% | (a) | 10/17/26 | 2,750 | 2,719,149 | |||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.521% | (a) | 07/15/24 | 900 | 886,067 | |||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A | 2.233% | (a) | 10/15/25 | 2,500 | 2,482,189 | |||||||||||
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A | 1.917% | (a) | 10/20/26 | 1,250 | 1,237,861 | |||||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.801% | (a) | 01/15/26 | 700 | 693,161 | |||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.465% | (a) | 04/17/25 | 2,600 | 2,563,490 | |||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A | 1.783% | (a) | 07/27/26 | 250 | 248,828 | |||||||||||
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A | 1.771% | (a) | 07/15/26 | 1,500 | 1,469,783 | |||||||||||
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.787% | (a) | 01/20/26 | 2,500 | 2,474,736 | |||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.715% | (a) | 01/17/26 | 1,250 | 1,235,520 | |||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.861% | (a) | 04/15/27 | 2,250 | 2,227,599 | |||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 1.871% | (a) | 07/15/26 | 250 | 247,285 | |||||||||||
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.801% | (a) | 04/15/26 | 250 | 248,103 | |||||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A | 1.794% | (a) | 07/20/27 | 1,000 | 997,490 | |||||||||||
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 1.880% | (a) | 10/25/26 | 4,375 | 4,333,396 | |||||||||||
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 682,527 | ||||||||||||
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.844% | (a) | 05/07/26 | 1,250 | 1,234,096 | |||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.371% | (a) | 04/15/25 | 7,300 | 7,169,445 | |||||||||||
Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A | 1.677% | (a) | 10/20/26 | 750 | 736,945 | |||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 1.765% | (a) | 01/18/26 | 3,300 | 3,273,156 | |||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.441% | (a) | 07/15/25 | 300 | 295,598 | |||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.461% | (a) | 04/15/24 | 4,200 | 4,151,687 | |||||||||||
| 48,383,155 | ||||||||||||||||
Non-Residential Mortgage-Backed Securities — 1.5% | ||||||||||||||||
GE Business Loan Trust, Series 2006-1A, Class D, 144A | 1.331% | (a) | 05/15/34 | 103 | 85,759 | |||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 5,600 | 5,551,399 | ||||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 1,676 | 1,704,324 | ||||||||||||
Onemain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,100 | 4,051,952 | ||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,200 | 5,162,894 | ||||||||||||
| 16,556,328 | ||||||||||||||||
Residential Mortgage-Backed Securities — 10.5% | ||||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 1.472% | (a) | 08/25/33 | 1,209 | 1,144,902 | |||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 1.322% | (a) | 09/25/33 | 1,290 | 1,209,781 | |||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 299 | 304,811 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 1.382% | (a) | 09/25/34 | 849 | $ | 846,210 | ||||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 3.347% | (a) | 10/25/31 | 392 | 379,751 | |||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 1.247% | (a) | 05/25/34 | 1,120 | 1,065,711 | |||||||||||
Argent Securities, Inc., Series 2003-W2, Class M4 | 6.047% | (a) | 09/25/33 | 2,400 | 2,224,468 | |||||||||||
Argent Securities, Inc., Series 2004-W10, Class A2 | 1.202% | (a) | 10/25/34 | 1,676 | 1,626,098 | |||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, | 1.576% | (a) | 06/15/33 | 1,088 | 1,038,174 | |||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, | 1.381% | (a) | 01/15/34 | 195 | 180,419 | |||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, | 1.322% | (a) | 08/25/34 | 1,576 | 1,483,430 | |||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.577% | (a) | 08/26/36 | 3,230 | 2,979,992 | |||||||||||
Bayview Opportunity Master Fund liib NPL Trust, Series 2015-NPLA, Class A, 144A | 3.721% | (a) | 07/28/35 | 4,528 | 4,523,989 | |||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 1.322% | (a) | 03/25/34 | 3,424 | 3,269,817 | |||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 2.147% | (a) | 04/25/34 | 1,935 | 1,769,946 | |||||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | (a) | 03/25/34 | 968 | 989,744 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 2.672% | (a) | 08/25/32 | 56 | 49,786 | |||||||||||
CSMC, Series 2015-12R, Class 1A1, 144A | 2.402% | (a) | 10/30/47 | 5,000 | 4,960,310 | |||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.891% | 07/25/34 | 500 | 473,708 | ||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, | 1.922% | (a) | 02/25/25 | 938 | 939,419 | |||||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 1.142% | (a) | 09/25/35 | 2,740 | 2,716,268 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 3.272% | (a) | 04/25/28 | 1,500 | 1,497,029 | |||||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 1.472% | (a) | 12/25/33 | 184 | 175,091 | |||||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 1.397% | (a) | 11/25/33 | 1,657 | 1,552,850 | |||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A | 0.361% | (a) | 01/26/37 | 4,370 | 4,184,640 | |||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A | 0.361% | (a) | 01/26/37 | 1,400 | 1,107,978 | |||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A | 0.361% | (a) | 03/26/37 | 3,423 | 3,228,863 | |||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A | 0.361% | (a) | 03/26/37 | 700 | 532,434 | |||||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 1.172% | (a) | 02/25/34 | 3,528 | 3,357,026 | |||||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A | 2.244% | (a) | 12/01/21 | 852 | 842,221 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.244% | (a) | 05/01/20 | 6,111 | 6,004,258 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.244% | (a) | 07/01/20 | 4,708 | 4,626,865 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.244% | (a) | 08/01/20 | 3,637 | 3,569,994 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A | 2.244% | (a) | 10/01/20 | 4,901 | 4,814,920 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A2, 144A | 3.740% | (a) | 11/02/20 | 1,500 | 1,455,234 | |||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 59 | 59,694 | ||||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 1.202% | (a) | 02/25/34 | 1,852 | 1,761,871 | |||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 1.622% | (a) | 08/25/35 | 549 | 519,886 | |||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 0.942% | (a) | 06/25/35 | 1,481 | 1,420,523 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.622% | (a) | 05/25/33 | 1,024 | 969,712 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 1.442% | (a) | 10/25/33 | 812 | 758,554 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.472% | (a) | 12/27/33 | 641 | 618,534 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 1.292% | (a) | 11/25/34 | 3,688 | 3,341,237 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, | 1.352% | (a) | 06/25/34 | 1,863 | 1,801,689 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, | 1.337% | (a) | 07/25/34 | 1,420 | 1,354,201 | |||||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 1.547% | (a) | 10/25/33 | 2,593 | 2,491,046 | |||||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 1.187% | (a) | 02/25/35 | 2,913 | 2,608,025 | |||||||||||
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 | 1.622% | (a) | 12/25/34 | 82 | 81,465 | |||||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.221% | 02/25/34 | 1,000 | 1,034,576 | ||||||||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1 | 1.547% | (a) | 12/25/32 | 191 | 177,942 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | 1.202% | (a) | 02/25/34 | 2,873 | 2,670,860 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | 1.187% | (a) | 02/25/35 | 1,038 | $ | 952,497 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.586% | (a) | 02/25/34 | 1,083 | 1,076,717 | |||||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 1.127% | (a) | 03/25/34 | 2,297 | 2,093,143 | |||||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 1.622% | (a) | 08/25/34 | 1,400 | 1,231,312 | |||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | 3.422% | (a) | 07/25/32 | 655 | 642,129 | |||||||||||
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A | 3.250% | 02/25/55 | 2,269 | 2,223,302 | ||||||||||||
VOLT XXXVI LLC, Series 2015-NP10, Class A1, 144A | 3.625% | 07/25/45 | 6,377 | 6,286,749 | ||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 6,189 | 6,117,784 | ||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 255 | 254,981 | ||||||||||||
| 113,674,566 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 178,614,049 | ||||||||||||||
| BANK LOANS(a) — 2.4% | ||||||||||||||||
Aerospace & Defense — 0.2% | ||||||||||||||||
TransDigm, Inc. | 3.500% | 05/16/22 | 1,986 | 1,918,348 | ||||||||||||
Automotive — 0.2% | ||||||||||||||||
Chrysler Group LLC | 3.250% | 12/31/18 | 992 | 982,996 | ||||||||||||
Chrysler Group LLC | 3.500% | 05/24/17 | 1,328 | 1,322,353 | ||||||||||||
| 2,305,349 | ||||||||||||||||
Chemicals — 0.2% | ||||||||||||||||
Axalta Coating Systems US Holdings | 3.750% | 02/01/20 | 673 | 666,153 | ||||||||||||
CeramTec GmbH (Germany) | 4.250% | 08/30/20 | EUR | 900 | 969,114 | |||||||||||
MacDermid, Inc. | 5.500% | 06/07/20 | 1,047 | 1,011,764 | ||||||||||||
| 2,647,031 | ||||||||||||||||
Consumer — 0.1% | ||||||||||||||||
Generac Power Systems, Inc. | 3.500% | 05/31/20 | 1,575 | 1,539,563 | ||||||||||||
Financials — 0.2% | ||||||||||||||||
Scandlines GmbH (Germany) | 4.500% | 12/03/20 | EUR | 1,675 | 1,819,898 | |||||||||||
Foods — 0.1% | ||||||||||||||||
Pinnacle Foods Finance LLC | 3.000% | 04/29/20 | 697 | 684,521 | ||||||||||||
Gaming — 0.2% | ||||||||||||||||
CCM Merger, Inc. | 4.500% | 08/06/21 | 2,163 | 2,151,936 | ||||||||||||
Healthcare & Pharmaceutical — 0.4% | ||||||||||||||||
Mallinckrodt International Finance (Luxembourg) | 3.500% | 03/19/21 | 1,506 | 1,468,289 | ||||||||||||
Ortho Clinical Diagnostics | 4.750% | 06/30/21 | 493 | 415,547 | ||||||||||||
RPI Finance Trust | 3.500% | 11/09/20 | 1,687 | 1,675,969 | ||||||||||||
Valeant Pharmaceuticals International, Inc. | 4.000% | 04/01/22 | 1,141 | 1,098,098 | ||||||||||||
| 4,657,903 | ||||||||||||||||
Technology — 0.7% | ||||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 12/31/22 | 2,775 | 2,738,387 | ||||||||||||
BMC Software Finance, Inc. | 5.000% | 09/10/20 | 492 | 407,041 | ||||||||||||
First Data Corp. | 3.918% | 03/26/18 | 2,411 | 2,375,586 | ||||||||||||
First Data Corp. | 4.418% | 03/24/21 | 183 | 182,045 | ||||||||||||
TransUnion LLC | 3.500% | 04/09/21 | 197 | 190,408 | ||||||||||||
Vantiv LLC | 2.331% | 06/13/19 | 1,388 | 1,371,891 | ||||||||||||
| 7,265,358 | ||||||||||||||||
Telecommunications — 0.1% | ||||||||||||||||
SBA Senior Finance II LLC | 3.250% | 03/24/21 | 1,133 | 1,106,378 | ||||||||||||
TOTAL BANK LOANS |
| 26,096,285 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.6% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 | 5.356% | 10/10/45 | 800 | $ | 809,962 | |||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.568% | (a) | 04/10/49 | 1,351 | 1,389,681 | |||||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A | 2.181% | (a) | 12/15/27 | 5,000 | 4,954,528 | |||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,274,338 | ||||||||||||
COMM Mortgage Trust, Series 2014-UBS4, Class A4 | 3.420% | 08/10/47 | 3,200 | 3,219,755 | ||||||||||||
COMM Mortgage Trust, Series 2015-DC1, Class A4 | 3.078% | 02/10/48 | 5,000 | 4,883,741 | ||||||||||||
COMM Mortgage Trust, Series 2015-LC21, Class A4 | 3.708% | 07/10/48 | 5,000 | 5,082,125 | ||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | 1,945,920 | ||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,900 | 3,849,122 | ||||||||||||
Commercial Mortgage Trust, Series 2015-PC1, Class A5 | 3.902% | 07/10/50 | 2,100 | 2,162,109 | ||||||||||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A | 3.555% | (a) | 09/10/35 | 3,000 | 2,889,859 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.645% | (a) | 06/25/20 | 9,222 | 494,225 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.454% | (a) | 05/25/22 | 28,321 | 2,115,331 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.493% | (a) | 06/25/22 | 16,158 | 1,223,003 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 0.893% | (a) | 10/25/22 | 11,085 | 526,237 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO | 0.832% | (a) | 01/25/23 | 139,212 | 6,371,296 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO | 0.756% | (a) | 01/25/25 | 83,847 | 4,562,718 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.582% | (a) | 08/25/16 | 8,851 | 44,127 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.771% | (a) | 05/25/19 | 22,308 | 1,109,265 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.700% | (a) | 07/25/19 | 27,163 | 1,342,043 | |||||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 4,600 | 4,512,983 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3 | 5.937% | (a) | 02/15/51 | 236 | 235,290 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 2,000 | 1,955,205 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 4,600 | 4,544,203 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 4,600 | 4,456,539 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C21, Class A4 | 3.493% | 08/15/47 | 3,200 | 3,231,554 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5 | 3.914% | 01/15/49 | 3,200 | 3,296,103 | ||||||||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 | 5.300% | 11/15/38 | 273 | 275,199 | ||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 | 5.836% | (a) | 06/12/50 | 69 | 68,791 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A | 1.802% | (a) | 08/15/45 | 52,378 | 3,568,333 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,673,593 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,248,661 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | 3.966% | (a) | 07/15/46 | 4,800 | 5,090,703 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | 3.766% | 11/15/46 | 4,000 | 4,164,291 | ||||||||||||
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB | 5.654% | (a) | 04/15/49 | 1,439 | 1,451,414 | |||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 2,300 | 2,263,794 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,548,652 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | $ | 3,750,625 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 5,150 | 5,293,148 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | 5.713% | (a) | 06/15/49 | 2,082 | 2,155,468 | |||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | 4,365,131 | ||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 115,399,065 | ||||||||||||||
| CORPORATE BONDS — 44.8% | ||||||||||||||||
Agriculture — 0.5% | ||||||||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 873 | 1,399,303 | ||||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | 2,364,248 | ||||||||||||
Reynolds American, Inc., Gtd. Notes | 3.500% | 08/04/16 | 515 | 520,499 | ||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 895 | 1,053,162 | ||||||||||||
| 5,337,212 | ||||||||||||||||
Airlines — 0.5% | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 6.703% | 06/15/21 | 1 | 1,306 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 5.983% | 04/19/22 | 1,462 | 1,614,716 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.750% | 01/12/21 | 430 | 452,700 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 1,078 | 1,241,615 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 469 | 492,223 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 509 | 539,523 | ||||||||||||
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A | 6.636% | 07/02/22 | 803 | 855,388 | ||||||||||||
| 5,197,471 | ||||||||||||||||
Auto Manufacturers — 1.0% | ||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(b) | 4.750% | 01/15/43 | 750 | 706,973 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 1.700% | 05/09/16 | 4,620 | 4,624,528 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(b) | 2.375% | 01/16/18 | 2,225 | 2,219,689 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 3.984% | 06/15/16 | 375 | 379,163 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 1,350 | 1,380,590 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,885 | 1,991,570 | ||||||||||||
| 11,302,513 | ||||||||||||||||
Banks — 11.4% | ||||||||||||||||
Bank of America Corp., Jr. Sub. Notes, Series K | 8.000% | (a) | 12/29/49 | 3,500 | 3,561,250 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,775 | 2,001,657 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 4,884,724 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 4,275 | 4,207,989 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN(b) | 4.000% | 04/01/24 | 1,150 | 1,176,122 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 3,873,188 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 1,340 | 1,356,802 | ||||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 790 | 821,817 | ||||||||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes | 3.750% | 05/15/24 | 3,375 | 3,440,046 | ||||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes | 2.850% | 04/01/21 | 3,700 | 3,738,898 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,400 | 2,415,535 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 5.250% | 02/21/17 | 2,460 | 2,543,298 | ||||||||||||
Capital One Financial Corp., Sub. Notes | 6.150% | 09/01/16 | 700 | 721,270 | ||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 1,350 | 1,386,288 | ||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A(b) | 5.500% | 02/15/19 | 4,000 | 4,180,000 | ||||||||||||
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS | 6.875% | 01/21/18 | 1,100 | 1,188,044 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series Q | 5.950% | (a) | 12/31/49 | 1,355 | 1,350,766 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banks (continued) | ||||||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series R | 6.125% | (a) | 12/31/49 | 1,085 | $ | 1,106,700 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 2,995 | 4,295,660 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,405 | 1,395,698 | ||||||||||||
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN | 3.625% | 09/09/24 | 1,050 | 1,058,257 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes(b) | 3.700% | 05/30/24 | 1,650 | 1,643,367 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,157,736 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,282,859 | ||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | 426,405 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M | 5.375% | (a) | 12/31/49 | 1,950 | 1,937,813 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 4,200 | 4,776,328 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,471,416 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 09/01/17 | 3,195 | 3,421,650 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,618,200 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D | 6.000% | 06/15/20 | 2,420 | 2,734,866 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 514,332 | ||||||||||||
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A | 7.250% | (a) | 08/29/49 | 2,380 | 2,412,887 | |||||||||||
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes, GMTN | 3.125% | 01/15/16 | 1,625 | 1,625,811 | ||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | (a) | 04/29/49 | 6,130 | 6,240,340 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series X | 6.100% | (a) | 12/31/49 | 1,450 | 1,457,395 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 2.750% | 06/23/20 | 5,400 | 5,424,062 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 502,886 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 636,506 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.250% | 10/01/27 | 420 | 418,996 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 715 | 714,863 | ||||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN(b) | 5.100% | 03/24/21 | 1,155 | 1,262,354 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 2,650 | 2,971,347 | ||||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,118,949 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | (a) | 12/31/49 | 975 | 951,844 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 1,535 | 1,572,248 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,155,682 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 4,035 | 4,188,524 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 2,080 | 2,330,374 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 2,907,983 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 750 | 752,452 | ||||||||||||
Northern Trust Corp., Sub. Notes(b) | 3.950% | 10/30/25 | 2,725 | 2,853,279 | ||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 543,847 | ||||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 998,322 | ||||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 4.625% | 04/19/16 | 525 | 529,606 | ||||||||||||
Santander UK Group Holdings PLC (United Kingdom), | 2.875% | 10/16/20 | 1,550 | 1,539,477 | ||||||||||||
State Street Corp., Jr. Sub. Debs. | 4.956% | 03/15/18 | 3,025 | 3,173,839 | ||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 625 | 627,230 | ||||||||||||
| 123,600,084 | ||||||||||||||||
Beverages — 0.2% | ||||||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | 384,510 | ||||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes | 6.750% | 01/01/20 | 1,250 | 1,290,625 | ||||||||||||
| 1,675,135 | ||||||||||||||||
Biotechnology — 0.2% | ||||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 2,635 | 2,675,142 | ||||||||||||
Building Materials — 0.6% | ||||||||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 3,000 | 2,992,500 | ||||||||||||
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, 144A | 9.875% | 04/30/19 | 1,360 | 1,438,200 | ||||||||||||
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS(b) | 9.875% | 04/30/19 | 1,233 | 1,303,897 | ||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 4.750% | 01/11/22 | EUR | 900 | 906,974 | |||||||||||
| 6,641,571 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Chemicals — 1.6% | ||||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 870 | $ | 778,279 | |||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes(b) | 5.250% | 01/15/45 | 420 | 391,505 | ||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 6.125% | 01/15/41 | 450 | 479,604 | ||||||||||||
Ashland, Inc., Sr. Unsec’d. Notes | 6.875% | 05/15/43 | 3,000 | 2,850,000 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 4.950% | 06/01/43 | 675 | 573,934 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | 608,802 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 411,738 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 7.125% | 05/01/20 | 300 | 338,524 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 125 | 112,993 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,002 | 1,439,993 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 3,984,815 | ||||||||||||
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A | 6.750% | 09/19/42 | 1,065 | 987,424 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 465 | 469,966 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | 148,567 | ||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,718,237 | ||||||||||||
| 17,294,381 | ||||||||||||||||
Coal | ||||||||||||||||
Peabody Energy Corp., Gtd. Notes(c) | 6.000% | 11/15/18 | 1,200 | 222,000 | ||||||||||||
Commercial Services — 1.4% | ||||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,433,438 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 920 | 1,085,108 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 770 | 938,391 | ||||||||||||
Hertz Corp. (The), Gtd. Notes | 6.750% | 04/15/19 | 1,500 | 1,532,250 | ||||||||||||
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | 8.600% | 08/15/16 | 4,750 | 4,934,062 | ||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.625% | 10/01/18 | 2,000 | 2,232,500 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes(b) | 5.500% | 07/15/25 | 650 | 630,500 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 2,700 | 2,885,490 | ||||||||||||
| 15,671,739 | ||||||||||||||||
Computers — 0.4% | ||||||||||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.450% | 10/05/17 | 3,360 | 3,357,151 | ||||||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.850% | 10/05/18 | 630 | 629,648 | ||||||||||||
| 3,986,799 | ||||||||||||||||
Containers & Packaging — 0.1% | ||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/23 | EUR | 1,125 | 1,256,222 | |||||||||||
Diversified Financial Services — 1.3% | ||||||||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes(b) | 4.125% | 02/13/22 | 3,000 | 2,970,000 | ||||||||||||
American Express Co., Jr. Sub. Notes(b) | 5.200% | (a) | 12/31/49 | 655 | 644,356 | |||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 2.342% | 11/15/20 | 982 | 973,810 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 619 | 631,678 | ||||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 194 | 237,371 | ||||||||||||
General Electric Capital Corp., Sub. Notes | 5.300% | 02/11/21 | 340 | 383,391 | ||||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 338,564 | ||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 1,125 | 1,140,469 | ||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 6.250% | 05/15/19 | 1,400 | 1,499,750 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 650 | 601,019 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 2,740 | 205,500 | ||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 01/25/17 | 1,075 | 1,101,875 | ||||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 950 | 953,819 | ||||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A | 7.250% | 12/15/21 | 2,375 | 2,380,938 | ||||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. | 1.046% | (a) | 07/03/33 | 446 | 375,192 | |||||||||||
| 14,437,732 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Electric — 3.5% | ||||||||||||||||
AES Corp. (The), Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 5,000 | $ | 4,412,500 | |||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 556,705 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes(b) | 5.375% | 01/15/23 | 800 | 718,000 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.500% | 02/01/24 | 1,000 | 882,500 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes(b) | 5.750% | 01/15/25 | 850 | 750,125 | ||||||||||||
Duke Energy Corp., Sr. Unsec’d. Notes | 2.100% | 06/15/18 | 3,775 | 3,780,168 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 5.875% | 06/01/23 | 2,400 | 1,926,000 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 2,500 | 2,175,000 | ||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,749,408 | ||||||||||||
Enel Finance International NV (Netherlands), Gtd. Notes, 144A | 6.000% | 10/07/39 | 1,450 | 1,621,304 | ||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.200% | 10/01/17 | 1,930 | 2,059,158 | ||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,900 | 1,922,023 | ||||||||||||
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A | 2.750% | 03/15/18 | 1,800 | 1,808,192 | ||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 402,813 | ||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,329,072 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 304,916 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 1,345 | 1,474,429 | ||||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 2,750 | 2,385,625 | ||||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | 4.600% | 06/15/43 | 1,950 | 1,981,387 | ||||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,032,703 | ||||||||||||
TransAlta Corp. (Canada), Sr. Unsec’d. Notes | 6.900% | 05/15/18 | 688 | 700,192 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 1,947 | 2,040,914 | ||||||||||||
| 38,013,134 | ||||||||||||||||
Engineering/Construction — 0.1% | ||||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 1,275 | 615,187 | ||||||||||||
Entertainment — 0.3% | ||||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.375% | 06/01/24 | 425 | 429,250 | ||||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 1,508 | 1,470,300 | ||||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes | 7.500% | 04/15/21 | 1,550 | 1,615,875 | ||||||||||||
| 3,515,425 | ||||||||||||||||
Environmental Control — 0.2% | ||||||||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 2,500 | 2,585,937 | ||||||||||||
Food — 1.0% | ||||||||||||||||
Aramark Corp., Gtd. Notes | 5.750% | 03/15/20 | 1,350 | 1,396,406 | ||||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 2,000 | 1,980,000 | ||||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 3.950% | 05/22/23 | 705 | 636,263 | ||||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 4.750% | 05/22/24 | 775 | 711,063 | ||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A | 7.250% | 06/01/21 | 1,330 | 1,320,025 | ||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A | 5.750% | 06/15/25 | 2,025 | 1,761,750 | ||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 725 | 742,776 | ||||||||||||
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | 12.250% | 02/10/22 | 725 | 732,250 | ||||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 1,000 | 1,013,231 | ||||||||||||
| 10,293,764 | ||||||||||||||||
Forest & Paper Products — 0.3% | ||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 707,891 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,139,807 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 1,640 | 1,859,680 | ||||||||||||
| 3,707,378 | ||||||||||||||||
Gas — 0.3% | ||||||||||||||||
AGL Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | 944,155 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Gas (continued) | ||||||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $445,654; purchased 07/22/14)(c)(d) | 6.375% | 03/30/38 | 426 | $ | 398,266 | |||||||||||
Sempra Energy, Sr. Unsec’d. Notes | 6.500% | 06/01/16 | 2,275 | 2,316,319 | ||||||||||||
| 3,658,740 | ||||||||||||||||
Healthcare-Products — 0.5% | ||||||||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,435 | 3,463,064 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,450 | 1,465,721 | ||||||||||||
| 4,928,785 | ||||||||||||||||
Healthcare-Services — 2.9% | ||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,392,163 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 385 | 366,352 | ||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(b) | 7.125% | 07/15/20 | 750 | 747,188 | ||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes | 8.000% | 11/15/19 | 3,400 | 3,425,500 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 793,406 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.375% | 03/15/17 | 2,125 | 2,214,518 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 862,606 | ||||||||||||
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A | 8.250% | 01/15/19 | 2,300 | 2,139,000 | ||||||||||||
DaVita HealthCare Partners, Inc., Gtd. Notes | 5.000% | 05/01/25 | 500 | 482,500 | ||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 2,705 | 2,732,050 | ||||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 5,025 | 4,962,187 | ||||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 725 | 727,719 | ||||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 300 | 287,250 | ||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 240 | 235,542 | ||||||||||||
LifePoint Hospitals, Inc., Gtd. Notes | 6.625% | 10/01/20 | 2,000 | 2,065,660 | ||||||||||||
Select Medical Corp., Gtd. Notes | 6.375% | 06/01/21 | 2,600 | 2,275,000 | ||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 500 | 475,000 | ||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,573,925 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 1,260 | 1,172,759 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 954,034 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 248,580 | ||||||||||||
| 31,132,939 | ||||||||||||||||
Home Builders — 0.7% | ||||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 2,000 | 1,850,000 | ||||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 3,500 | 3,736,250 | ||||||||||||
William Lyon Homes, Inc., Gtd. Notes | 8.500% | 11/15/20 | 2,000 | 2,115,000 | ||||||||||||
| 7,701,250 | ||||||||||||||||
Insurance — 2.3% | ||||||||||||||||
ACE INA Holdings, Inc., Gtd. Notes | 3.350% | 05/03/26 | 740 | 737,733 | ||||||||||||
ACE INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 115 | 116,855 | ||||||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 5.500% | 11/15/20 | 430 | 468,543 | ||||||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 7.500% | 08/01/16 | 2,475 | 2,557,083 | ||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,075 | 994,115 | ||||||||||||
Chubb Corp. (The), Jr. Sub. Notes(b) | 6.375% | (a) | 04/15/37 | 1,775 | 1,704,586 | |||||||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A | 5.100% | (a) | 12/29/49 | 275 | 286,000 | |||||||||||
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,592,334 | ||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | 549,107 | ||||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,215,500 | ||||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (a) | 04/20/67 | 350 | 273,000 | |||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 1,265 | 1,586,668 | ||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 1,265 | 1,519,284 | ||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 349,282 | ||||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (a) | 10/16/44 | 2,075 | 2,168,375 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Insurance (continued) | ||||||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | $ | 600,747 | |||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 850 | 949,048 | ||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 146,200 | ||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (a) | 06/15/37 | 1,015 | 1,012,462 | |||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 2,310 | 2,856,035 | ||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | 549,942 | ||||||||||||
Willis Group Holdings PLC, Gtd. Notes | 4.125% | 03/15/16 | 1,280 | 1,286,939 | ||||||||||||
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E(b) | 6.500% | (a) | 12/31/49 | 1,880 | 1,365,350 | |||||||||||
| 24,885,188 | ||||||||||||||||
Leisure Time — 0.1% | ||||||||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 8.500% | 10/15/22 | 1,550 | 1,468,625 | ||||||||||||
Lodging — 0.4% | ||||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,309,574 | ||||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 3,325 | 3,403,969 | ||||||||||||
| 4,713,543 | ||||||||||||||||
Machinery-Diversified — 0.3% | ||||||||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/2098 | 1,100 | 1,103,653 | ||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,083,372 | ||||||||||||
| 3,187,025 | ||||||||||||||||
Media — 2.8% | ||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 76,868 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,783,080 | ||||||||||||
AMC Networks, Inc., Gtd. Notes | 7.750% | 07/15/21 | 2,750 | 2,887,500 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.875% | 05/01/27 | 1,000 | 995,000 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) | 7.000% | 01/15/19 | 1,603 | 1,637,064 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) | 7.375% | 06/01/20 | 1,700 | 1,770,125 | ||||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.384% | 10/23/35 | 710 | 717,335 | ||||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 855 | 856,401 | ||||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 225 | 221,678 | ||||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 8.625% | 02/15/19 | 660 | 702,900 | ||||||||||||
DISH DBS Corp., Gtd. Notes | 4.250% | 04/01/18 | 2,850 | 2,857,125 | ||||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 6.125% | 01/31/46 | 495 | 492,080 | ||||||||||||
Historic TW, Inc., Gtd. Notes | 6.625% | 05/15/29 | 1,837 | 2,150,552 | ||||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes(b) | 8.250% | 02/01/30 | 2,250 | 2,238,750 | ||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.375% | 07/28/17 | 1,035 | 1,080,768 | ||||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 284,129 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co. (Netherlands), Gtd. Notes, 144A | 5.000% | 04/15/22 | 1,500 | 1,481,250 | ||||||||||||
Sky PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 226,138 | ||||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,013,623 | ||||||||||||
TEGNA, Inc., Gtd. Notes, 144A | 4.875% | 09/15/21 | 475 | 476,188 | ||||||||||||
Time Warner Cable, Inc., Gtd. Notes | 6.750% | 07/01/18 | 2,620 | 2,858,556 | ||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,576,467 | ||||||||||||
Univision Communications, Inc., Sr. Unsec’d. Notes, 144A | 5.125% | 02/15/25 | 1,175 | 1,116,250 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes(b) | 4.500% | 02/27/42 | 95 | 71,238 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 475 | 381,508 | ||||||||||||
| 29,952,573 | ||||||||||||||||
Mining — 0.4% | ||||||||||||||||
Alcoa, Inc., Sr. Unsec’d. Notes(b) | 5.125% | 10/01/24 | 425 | 386,750 | ||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(b) | 6.750% | (a) | 10/19/75 | 1,730 | 1,669,450 | |||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | 774,703 | ||||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 75 | 59,914 | ||||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 820 | 628,220 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Mining (continued) | �� | |||||||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | $ | 846,786 | |||||||||||
| 4,365,823 | ||||||||||||||||
Miscellaneous Manufacturing — 0.5% | ||||||||||||||||
General Electric Co., Sr. Unsec’d. Notes(b) | 4.125% | 10/09/42 | 500 | 488,393 | ||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 740 | 761,558 | ||||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 463,167 | ||||||||||||
Pentair Finance SA, Gtd. Notes | 1.875% | 09/15/17 | 625 | 618,213 | ||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,673,816 | ||||||||||||
| 5,005,147 | ||||||||||||||||
Office & Business Equipment — 0.1% | ||||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.000% | 09/01/23 | 1,150 | 1,167,250 | ||||||||||||
Oil & Gas — 1.4% | ||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 2,000 | 720,000 | |||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 3,265 | 3,423,751 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 340 | 327,712 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 250 | 273,086 | ||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 7.000% | 07/15/38 | 450 | 536,369 | ||||||||||||
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A | 7.250% | 11/05/19 | 1,300 | 1,397,760 | ||||||||||||
Nabors Industries, Inc., Gtd. Notes(b) | 4.625% | 09/15/21 | 1,650 | 1,355,904 | ||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,319,140 | ||||||||||||
Pacific Exploration and Production Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 870 | 165,300 | ||||||||||||
Pacific Exploration and Production Corp. (Colombia), Gtd. Notes, 144A | 7.250% | 12/12/21 | 1,040 | 208,000 | ||||||||||||
Pacific Exploration and Production Corp. (Colombia), Sr. Unsec’d. Notes, RegS(c) | 7.250% | 12/12/21 | 1,540 | 308,000 | ||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 1,859,120 | ||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 510 | 551,537 | ||||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 2,725 | 2,492,121 | ||||||||||||
| 14,937,800 | ||||||||||||||||
Packaging & Containers — 0.5% | ||||||||||||||||
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN | 7.375% | 07/15/21 | EUR | 1,470 | 1,852,177 | |||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 2,005,575 | ||||||||||||
WestRock RKT Co., Gtd. Notes | 4.450% | 03/01/19 | 1,165 | 1,214,218 | ||||||||||||
| 5,071,970 | ||||||||||||||||
Pharmaceuticals — 1.1% | ||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,020 | 1,006,674 | ||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,715 | 1,680,009 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 875 | 870,531 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,670 | 1,623,001 | ||||||||||||
Actavis Funding SCS, Gtd. Notes(b) | 4.750% | 03/15/45 | 385 | 375,392 | ||||||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A(b) | 6.000% | 07/15/23 | 625 | 621,875 | ||||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 4.150% | 05/18/43 | 2,075 | 2,059,390 | ||||||||||||
Quintiles Transnational Corp., Gtd. Notes, 144A | 4.875% | 05/15/23 | 1,000 | 1,005,000 | ||||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(b) | 6.750% | 08/15/18 | 2,000 | 1,982,000 | ||||||||||||
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A(b) | 6.125% | 04/15/25 | 450 | 401,625 | ||||||||||||
| 11,625,497 | ||||||||||||||||
Pipelines — 0.1% | ||||||||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 716,395 | ||||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 456,572 | ||||||||||||
| 1,172,967 | ||||||||||||||||
Real Estate | ||||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 9,104 | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | ||||||||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 2,000 | 2,080,000 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 335,088 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Real Estate Investment Trusts (REITs) (continued) | ||||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 10.350% | 04/01/19 | 1,685 | $ | 2,067,756 | |||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A | 5.250% | 12/15/24 | 1,235 | 1,225,738 | ||||||||||||
| 5,708,582 | ||||||||||||||||
Retail — 0.6% | ||||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 4.875% | 07/20/35 | 605 | 624,657 | ||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 765 | 805,875 | ||||||||||||
Dufry Finance SCA (Switzerland), Sr. Unsec’d. Notes, 144A | 4.500% | 08/01/23 | EUR | 1,425 | 1,625,826 | |||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 2,200 | 2,337,500 | ||||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A | 8.000% | 06/15/22 | 1,350 | 1,329,750 | ||||||||||||
| 6,723,608 | ||||||||||||||||
Savings & Loans — 0.2% | ||||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | 1,648,538 | ||||||||||||
Semiconductors — 0.5% | ||||||||||||||||
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A | 6.000% | 01/15/22 | 2,050 | 2,147,375 | ||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 3.750% | 06/01/18 | 1,925 | 1,934,625 | ||||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,750 | 1,710,625 | ||||||||||||
| 5,792,625 | ||||||||||||||||
Software — 0.8% | ||||||||||||||||
Audatex North America, Inc., Gtd. Notes, 144A | 6.000% | 06/15/21 | 2,100 | 2,115,750 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 4.500% | 10/15/22 | 2,355 | 2,397,114 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 5.000% | 10/15/25 | 1,050 | 1,078,865 | ||||||||||||
First Data Corp., Gtd. Notes, 144A(b) | 7.000% | 12/01/23 | 775 | 775,000 | ||||||||||||
Infor US, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 05/15/22 | 950 | 802,750 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,064,446 | ||||||||||||
| 8,233,925 | ||||||||||||||||
Telecommunications — 3.0% | ||||||||||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | 6.750% | 11/15/20 | 800 | 843,000 | ||||||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | 8.875% | 01/01/20 | 2,000 | 2,120,000 | ||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 655 | 720,569 | ||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 103 | 137,616 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 2,320 | 2,229,729 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 300 | 277,458 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 850 | 778,257 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,515 | 1,387,946 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 483 | 477,067 | ||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.125% | 03/11/23 | 1,305 | 1,350,910 | ||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.350% | 05/20/24 | 690 | 724,352 | ||||||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | 14.750% | 12/01/16 | 800 | 884,000 | ||||||||||||
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | 6.625% | 06/01/20 | 2,500 | 2,528,125 | ||||||||||||
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS | 11.750% | 01/31/20 | EUR | 1,400 | 1,620,505 | |||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 560 | 576,800 | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 2,016 | 1,764,000 | ||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,059,500 | ||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.500% | 01/15/26 | 1,675 | 1,690,896 | ||||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A(b) | 5.375% | 01/15/25 | 1,140 | 1,074,450 | ||||||||||||
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 7.250% | 11/15/21 | 1,035 | 1,099,688 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 1,799 | 1,608,840 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,796 | 2,427,490 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 687,078 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,362 | 3,078,217 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Telecommunications (continued) | ||||||||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A | 9.125% | 04/30/18 | 200 | $ | 216,010 | |||||||||||
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 6.000% | 04/15/21 | GBP | 945 | 1,438,682 | |||||||||||
| 32,801,185 | ||||||||||||||||
Textiles | ||||||||||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 294 | 297,671 | ||||||||||||
Trucking & Leasing — 0.2% | ||||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., | 2.500% | 03/15/16 | 2,025 | 2,028,503 | ||||||||||||
TOTAL CORPORATE BONDS |
| 486,247,689 | ||||||||||||||
FOREIGN AGENCIES — 2.0% | ||||||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 701,975 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 875 | 861,875 | ||||||||||||
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes | 4.125% | 01/16/25 | 100 | 80,000 | ||||||||||||
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A | 5.375% | 11/04/16 | 790 | 804,773 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 975 | 980,850 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS | 9.250% | 04/23/19 | 1,080 | 1,206,090 | ||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 7.000% | 05/05/20 | 475 | 502,928 | ||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 9.125% | 07/02/18 | 2,910 | 3,198,090 | ||||||||||||
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes | 4.625% | 11/16/21 | 600 | 657,889 | ||||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS | 4.250% | 11/02/20 | 1,750 | 1,881,519 | ||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | 4.750% | 07/13/21 | 1,650 | 1,805,166 | ||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 10/17/16 | 2,500 | 2,609,375 | ||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 01/20/20 | 1,500 | 1,678,125 | ||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,000 | 985,000 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes(b) | 4.875% | 01/24/22 | 1,100 | 1,058,750 | ||||||||||||
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS | 7.390% | 12/02/24 | 1,000 | 1,288,800 | ||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,229,689 | ||||||||||||
TOTAL FOREIGN AGENCIES |
| 21,530,894 | ||||||||||||||
| MUNICIPAL BONDS — 1.8% | ||||||||||||||||
California — 0.7% | ||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | 1,535,838 | ||||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,185,753 | ||||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,054,346 | ||||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,707,776 | ||||||||||||
| 7,483,713 | ||||||||||||||||
Colorado — 0.1% | ||||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 770 | 986,532 | ||||||||||||
Illinois — 0.1% | ||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | 1,727,622 | ||||||||||||
New Jersey — 0.4% | ||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs(b) | 7.102% | 01/01/41 | 1,175 | 1,618,363 | ||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 2,050 | 2,913,788 | ||||||||||||
| 4,532,151 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Ohio — 0.1% | ||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | $ | 779,422 | |||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 504,139 | ||||||||||||
| 1,283,561 | ||||||||||||||||
Oregon — 0.1% | ||||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 615 | 772,674 | ||||||||||||
Pennsylvania — 0.1% | ||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 800 | 931,112 | ||||||||||||
Tennessee — 0.2% | ||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,746,415 | ||||||||||||
TOTAL MUNICIPAL BONDS |
| 19,463,780 | ||||||||||||||
| SOVEREIGN BONDS — 3.5% | ||||||||||||||||
Brazilian Government International Bond (Brazil), Unsec’d. Notes | 11.000% | 06/26/17 | EUR | 2,200 | 2,677,661 | |||||||||||
Colombia Government International Bond (Colombia), | 4.000% | 02/26/24 | 1,750 | 1,666,875 | ||||||||||||
Hellenic Republic Government International Bond (Greece), | 3.800% | 08/08/17 | JPY | 680,000 | 5,149,658 | |||||||||||
Hungary Government International Bond (Hungary), | 4.125% | 02/19/18 | 2,020 | 2,104,012 | ||||||||||||
Hungary Government International Bond (Hungary), | 5.375% | 02/21/23 | 436 | 475,240 | ||||||||||||
Hungary Government International Bond (Hungary), | 6.375% | 03/29/21 | 776 | 884,640 | ||||||||||||
Hungary Government International Bond (Hungary), | 7.625% | 03/29/41 | 1,000 | 1,353,120 | ||||||||||||
Hungary Government International Bond (Hungary), | 6.000% | 01/11/19 | EUR | 715 | 892,739 | |||||||||||
Indonesia Government International Bond (Indonesia), | 2.875% | 07/08/21 | EUR | 825 | 887,070 | |||||||||||
Indonesia Government International Bond (Indonesia), | 3.375% | 07/30/25 | EUR | 1,125 | 1,152,912 | |||||||||||
Indonesia Government International Bond (Indonesia), | 5.875% | 03/13/20 | 295 | 319,763 | ||||||||||||
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS(c) | 3.450% | 03/24/17 | JPY | 170,000 | 1,465,229 | |||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 2.750% | 04/22/23 | EUR | 2,350 | 2,646,939 | |||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,062 | 967,482 | ||||||||||||
Panama Government International Bond (Panama), | 3.750% | 03/16/25 | 450 | 441,000 | ||||||||||||
Panama Government International Bond (Panama), | 5.200% | 01/30/20 | 1,115 | 1,209,775 | ||||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 3.975% | (f) | 05/31/18 | 494 | 472,968 | |||||||||||
Philippine Government International Bond (Philippines), | 6.250% | 03/15/16 | EUR | 850 | 934,134 | |||||||||||
Philippine Government International Bond (Philippines), | 9.500% | 02/02/30 | 450 | 708,730 | ||||||||||||
Portugal Government International Bond (Portugal), Unsec’d. Notes, 144A | 5.125% | 10/15/24 | 800 | 813,440 | ||||||||||||
Portugal Government International Bond (Portugal), Unsec’d. Notes, RegS | 5.125% | 10/15/24 | 1,100 | 1,118,480 | ||||||||||||
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, RegS, 144A | 4.950% | 10/25/23 | EUR | 200 | 260,300 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 1,600 | $ | 1,657,309 | |||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 4.875% | 01/22/24 | 1,370 | 1,471,791 | ||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A(b) | 6.125% | 01/22/44 | 300 | 351,000 | ||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS | 6.125% | 01/22/44 | 300 | 351,000 | ||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.250% | 02/18/24 | 2,300 | 2,538,625 | ||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.500% | 10/26/22 | 1,300 | 1,451,039 | ||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.850% | 05/10/23 | 200 | 227,874 | ||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,680,108 | ||||||||||||
TOTAL SOVEREIGN BONDS |
| 38,330,913 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8% | ||||||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 76 | 80,387 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 10/01/33-06/01/34 | 1,254 | 1,415,260 | ||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33-06/01/34 | 795 | 895,750 | ||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32-09/01/32 | 726 | 829,813 | ||||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 71 | 75,475 | ||||||||||||
Federal National Mortgage Assoc.(g) | 1.500% | 11/30/20 | 4,650 | 4,567,393 | ||||||||||||
Federal National Mortgage Assoc. | 4.000% | 05/01/19 | 52 | 53,813 | ||||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/18-02/01/35 | 387 | 402,654 | ||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/17-06/01/34 | 1,628 | 1,766,225 | ||||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-11/01/36 | 1,739 | 1,982,285 | ||||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-11/01/33 | 1,284 | 1,466,470 | ||||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32-06/01/32 | 171 | 193,275 | ||||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33-07/15/35 | 1,718 | 1,933,022 | ||||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32-11/15/34 | 1,910 | 2,195,305 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32-11/15/33 | 1,211 | 1,385,186 | ||||||||||||
Government National Mortgage Assoc. | 7.500% | 10/15/25-02/15/26 | 49 | 57,171 | ||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 19,299,484 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 6.0% | ||||||||||||||||
U.S. Treasury Bonds(g)(h) | 2.875% | 05/15/43 | 10,300 | 10,042,500 | ||||||||||||
U.S. Treasury Notes | 1.000% | 09/15/18 | 235 | 233,329 | ||||||||||||
U.S. Treasury Notes(b) | 1.250% | 12/15/18 | 6,275 | 6,261,766 | ||||||||||||
U.S. Treasury Notes | 1.625% | 11/30/20 | 5,210 | 5,179,063 | ||||||||||||
U.S. Treasury Notes | 1.750% | 12/31/20 | 1,495 | 1,493,365 | ||||||||||||
U.S. Treasury Notes(g) | 1.750% | 05/15/23 | 10,040 | 9,781,550 | ||||||||||||
U.S. Treasury Notes | 2.000% | 07/31/22-11/30/22 | 22,810 | 22,746,280 | ||||||||||||
U.S. Treasury Notes | 2.125% | 12/31/21 | 5,130 | 5,175,288 | ||||||||||||
U.S. Treasury Notes(b) | 2.250% | 11/15/25 | 4,160 | 4,150,736 | ||||||||||||
U.S. Treasury Notes | 2.875% | 08/15/45 | 40 | 38,848 | ||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 65,102,725 | ||||||||||||||
| PREFERRED STOCK — 0.1% | Shares | |||||||||||||||
Banking | ||||||||||||||||
Citigroup Capital XIII, 6.692%, (Capital Security, fixed to floating preferred)(a) | 45,000 | 1,169,550 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 971,254,434 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| Shares | Value (Note 2) | |||||||||||||
| SHORT-TERM INVESTMENTS — 12.1% | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 12.0% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 9,285,400 | $ | 86,075,658 | ||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
| 44,170,836 | 44,170,836 | |||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 130,246,494 | ||||||||||||
| Counterparty | Notional Amount (000)# | |||||||||||||
| OPTIONS PURCHASED* — 0.1% | ||||||||||||||
Call Options — 0.1% | ||||||||||||||
5 Year CDX.NA.IG.25.V1, expiring 01/20/16, Strike Price $65.00 | BNP Paribas | 36,000 | — | |||||||||||
5 Year U.S. Treasury Notes Futures, expiring 02/19/16, Strike Price $119.50 | 43,900 | 65,164 | ||||||||||||
5 Year U.S. Treasury Notes Futures, expiring 02/19/16, Strike Price $121.50 | 43,900 | 6,859 | ||||||||||||
Interest Rate Swap Options, | ||||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 04/26/16 | Barclays Capital Group | 41,300 | 6 | |||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 04/26/16 | Barclays Capital Group | 20,700 | 174 | |||||||||||
Receive a fixed rate of 1.00% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 | JPMorgan Chase | 17,800 | — | |||||||||||
Receive a fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 04/28/16 | | Citigroup Global Markets | | 22,260 | 82,895 | |||||||||
Receive a fixed rate of 1.58% and pay a floating rate based on 3 Month LIBOR, expiring 08/17/16 | JPMorgan Chase | 25,660 | 124,145 | |||||||||||
Receive a fixed rate of 1.76% and pay a floating rate based on 3 Month LIBOR, expiring 02/23/16 | | Citigroup Global Markets | | 37,340 | 337,352 | |||||||||
Receive a fixed rate of 1.78% and pay a floating rate based on 3 Month LIBOR, expiring 08/17/16 | JPMorgan Chase | 15,560 | 127,888 | |||||||||||
Receive a fixed rate of 1.80% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 | JPMorgan Chase | 17,800 | 63,294 | |||||||||||
| 807,777 | ||||||||||||||
Put Options | ||||||||||||||
5 Year CDX.NA.HY.25.V1, expiring 03/16/16, Strike Price $97.00 | BNP Paribas | 19,600 | 160,683 | |||||||||||
5 Year CDX.NA.IG.25.V1, expiring 01/20/16, Strike Price $100.00 | BNP Paribas | 36,000 | 17,192 | |||||||||||
5 Year U.S. Treasury Notes Futures, expiring 02/19/16, Strike Price $115.50 | 43,900 | 10,289 | ||||||||||||
| 188,164 | ||||||||||||||
TOTAL OPTIONS PURCHASED |
| 995,941 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 131,242,435 | ||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 101.6% |
| 1,102,496,869 | ||||||||||||
| OPTIONS WRITTEN* | ||||||||||||||
Call Options | ||||||||||||||
5 Year CDX.NA.IG.25.V1, expiring 01/20/16, Strike Price $80.00 | BNP Paribas | 36,000 | (5,264 | ) | ||||||||||
5 Year U.S. Treasury Notes Futures, expiring 02/19/16, Strike Price $120.50 | 87,800 | (41,156 | ) | |||||||||||
Interest Rate Swap Options, | ||||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 04/26/16 | Barclays Capital Group | 62,000 | (40 | ) | ||||||||||
Pay a fixed rate of 1.28% and receive a floating rate based on 3 Month LIBOR, expiring 08/17/16 | JPMorgan Chase | 25,660 | (54,792 | ) | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| OPTIONS WRITTEN* (continued) | Counterparty | Notional Amount (000)# | Value (Note 2) | |||||||
Call Options (continued) | ||||||||||
Pay a fixed rate of 1.40% and receive a floating rate based on 3 Month LIBOR, expiring 01/04/16 | JPMorgan Chase | 35,600 | $ | — | ||||||
Pay a fixed rate of 1.48% and receive a floating rate based on 3 Month LIBOR, expiring 08/17/16 | JPMorgan Chase | 15,560 | (62,613 | ) | ||||||
| (163,865 | ) | |||||||||
Put Options | ||||||||||
5 Year CDX.NA.HY.25.V1, expiring 03/16/16, Strike Price $92.00 | BNP Paribas | 19,600 | (53,379 | ) | ||||||
5 Year CDX.NA.IG.25.V1, expiring 01/20/16, Strike Price $120.00 | BNP Paribas | 36,000 | (4,358 | ) | ||||||
5 Year U.S. Treasury Notes Futures, expiring 02/19/16, Strike Price $117.50 | 43,900 | (102,891 | ) | |||||||
| (160,628 | ) | |||||||||
TOTAL OPTIONS WRITTEN | (324,493 | ) | ||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 101.6% | 1,102,172,376 | |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (1.6)% | (17,278,404 | ) | ||||||||
NET ASSETS 100.0% | $ | 1,084,893,972 | ||||||||
See the Glossary for abbreviations used in the annual report.
| * | Non-income producing |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2015. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $30,103,082; cash collateral of $30,813,527 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (c) | Indicates a security that has been deemed illiquid. (unaudited) |
| (d) | Indicates a restricted security; the aggregate original cost of the restricted securities is $18,003,564. The aggregate value of $16,433,905 is approximately 1.5% of net assets. |
| (e) | Represents issuer in default on interest payments. Non-income producing security. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac. |
| (l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2015:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
| Long Positions: | ||||||||||||||||||
| 3,149 | 5 Year U.S. Treasury Notes | Mar. 2016 | $ | 373,451,611 | $ | 372,590,664 | $ | (860,947 | ) | |||||||||
| 2,660 | 10 Year U.S. Treasury Notes | Mar. 2016 | 334,900,261 | 334,910,625 | 10,364 | |||||||||||||
| 34 | Euro-Bund | Mar. 2016 | 5,874,205 | 5,835,096 | (39,109 | ) | ||||||||||||
| 411 | U.S. Ultra Bonds | Mar. 2016 | 64,942,617 | 65,220,562 | 277,945 | |||||||||||||
| (611,747 | ) | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Futures contracts outstanding at December 31, 2015 (continued):
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
| Short Positions: | ||||||||||||||||||
| 117 | 2 Year U.S. Treasury Notes | Mar. 2016 | $ | 25,444,381 | $ | 25,416,422 | $ | 27,959 | ||||||||||
| 330 | U.S. Long Bonds | Mar. 2016 | 50,743,131 | 50,737,500 | 5,631 | |||||||||||||
| 33,590 | ||||||||||||||||||
| $ | (578,157 | ) | ||||||||||||||||
| (1) | Cash of $3,800,000 and a U.S. Treasury Obligation with a market value of $4,104,750 have been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2015. |
Forward foreign currency exchange contracts outstanding at December 31, 2015:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Australian Dollar, | ||||||||||||||||||
Expiring 01/15/16 | Bank of America | AUD | 259 | $ | 187,636 | $ | 188,471 | $ | 835 | |||||||||
British Pound, | ||||||||||||||||||
Expiring 01/28/16 | Credit Suisse First Boston Corp. | GBP | 951 | 1,445,405 | 1,401,972 | (43,433 | ) | |||||||||||
Euro, | ||||||||||||||||||
Expiring 01/28/16 | Bank of America | EUR | 5,357 | 5,895,688 | 5,826,315 | (69,373 | ) | |||||||||||
Expiring 01/28/16 | BNP Paribas | EUR | 4,160 | 4,516,336 | 4,523,637 | 7,301 | ||||||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 01/28/16 | Citigroup Global Markets | JPY | 110,732 | 917,280 | 921,822 | 4,542 | ||||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 01/22/16 | Bank of America | MXN | 1,114 | 64,893 | 64,524 | (369 | ) | |||||||||||
South African Rand, | ||||||||||||||||||
Expiring 01/26/16 | Citigroup Global Markets | ZAR | 9,806 | 651,900 | 630,975 | (20,925 | ) | |||||||||||
Expiring 01/26/16 | Citigroup Global Markets | ZAR | 144 | 10,077 | 9,256 | (821 | ) | |||||||||||
| $ | 13,689,215 | $ | 13,566,972 | $ | (122,243 | ) | ||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Australian Dollar, | ||||||||||||||||||
Expiring 01/15/16 | JPMorgan Chase | AUD | 1,051 | $ | 759,298 | $ | 765,348 | $ | (6,050 | ) | ||||||||
British Pound, | ||||||||||||||||||
Expiring 01/28/16 | UBS AG | GBP | 1,735 | 2,663,591 | 2,557,640 | 105,951 | ||||||||||||
Euro, | ||||||||||||||||||
Expiring 01/28/16 | Credit Suisse First Boston Corp. | EUR | 14,205 | 15,685,183 | 15,448,663 | 236,520 | ||||||||||||
Hungarian Forint, | ||||||||||||||||||
Expiring 01/22/16 | JPMorgan Chase | HUF | 219,665 | 803,335 | 756,567 | 46,768 | ||||||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 01/28/16 | JPMorgan Chase | JPY | 107,163 | 889,200 | 892,114 | (2,914 | ) | |||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 01/22/16 | Citigroup Global Markets | MXN | 13,319 | 798,530 | 771,541 | 26,989 | ||||||||||||
Polish Zloty, | ||||||||||||||||||
Expiring 01/22/16 | JPMorgan Chase | PLN | 2,314 | 611,013 | 589,575 | 21,438 | ||||||||||||
South African Rand, | ||||||||||||||||||
Expiring 01/26/16 | Barclays Capital Group | ZAR | 6,587 | 479,679 | 423,852 | 55,827 | ||||||||||||
| $ | 22,689,829 | $ | 22,205,300 | 484,529 | ||||||||||||||
| $ | 362,286 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Interest rate swap agreements outstanding at December 31, 2015:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
| OTC swap agreements: | |||||||||||||||||||||||||
| AUD | 1,270 | 12/19/32 | 4.423% | 6 Month BBSW(2) | $ | 124,710 | $ | — | $ | 124,710 | Barclays Capital Group | |||||||||||||||
| CLP | 610,000 | 02/25/20 | 3.910% | 1 Day CLP OIS(2) | (10,713 | ) | — | (10,713 | ) | JPMorgan Chase | ||||||||||||||||
| COP | 185,000 | 02/13/20 | 5.050% | 1 Day COLIBOR OIS(2) | (3,260 | ) | — | (3,260 | ) | Deutsche Bank AG | ||||||||||||||||
| COP | 685,000 | 04/17/20 | 5.050% | 1 Day COLIBOR OIS(2) | (12,648 | ) | — | (12,648 | ) | Deutsche Bank AG | ||||||||||||||||
| COP | 1,365,000 | 04/10/25 | 6.020% | 1 Day COLIBOR OIS(2) | (37,513 | ) | — | (37,513 | ) | JPMorgan Chase | ||||||||||||||||
| MXN | 76,000 | 06/20/18 | 6.020% | 28 Day Mexican Interbank Rate(2) | 138,305 | — | 138,305 | Credit Suisse First Boston Corp. | ||||||||||||||||||
| MXN | 73,100 | 11/09/18 | 5.410% | 28 Day Mexican Interbank Rate(2) | 78,724 | — | 78,724 | Deutsche Bank AG | ||||||||||||||||||
| ZAR | 10,000 | 09/03/33 | 8.970% | 3 Month JIBAR(2) | (36,139 | ) | — | (36,139 | ) | Hong Kong & Shanghai Bank | ||||||||||||||||
| $ | 241,466 | $ | — | $ | 241,466 | |||||||||||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
| AUD | 2,300 | 03/07/29 | 4.743 | % | 6 Month BBSW(2) | $ | (51,256 | ) | $ | 270,942 | $ | 322,198 | ||||||||||||
| CAD | 14,750 | 01/09/20 | 1.710 | % | 3 Month Canadian Banker’s Acceptance(1) | (1,499 | ) | (275,151 | ) | (273,652 | ) | |||||||||||||
| EUR | 8,050 | 08/04/16 | 0.078 | % | 1 Day EUROIS(1) | 5,430 | (25,933 | ) | (31,363 | ) | ||||||||||||||
| EUR | 8,000 | 08/01/19 | 0.346 | % | 1 Day EUROIS(1) | (128,118 | ) | (161,200 | ) | (33,082 | ) | |||||||||||||
| EUR | 2,000 | 07/28/25 | 0.780 | % | 1 Day EUROIS(1) | (762 | ) | (22,909 | ) | (22,147 | ) | |||||||||||||
| GBP | 1,490 | 11/03/24 | 1.960 | % | 6 Month GBP LIBOR(1) | 4,172 | (70,446 | ) | (74,618 | ) | ||||||||||||||
| GBP | 1,600 | 01/08/25 | 1.325 | % | 1 Day GBP OIS(1) | (2,299 | ) | 37,507 | 39,806 | |||||||||||||||
| MXN | 112,800 | 02/09/18 | 4.630 | % | 28 Day Mexican Interbank Rate(2) | (5,094 | ) | 24,369 | 29,463 | |||||||||||||||
| MXN | 70,000 | 04/18/19 | 5.480 | % | 28 Day Mexican Interbank Rate(2) | (30,009 | ) | 68,247 | 98,256 | |||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370 | % | 28 Day Mexican Interbank Rate(2) | (40,063 | ) | 75,369 | 115,432 | |||||||||||||||
| MXN | 38,000 | 08/13/24 | 6.120 | % | 28 Day Mexican Interbank Rate(2) | (6,994 | ) | (19,437 | ) | (12,443 | ) | |||||||||||||
| MXN | 38,100 | 12/27/24 | 5.795 | % | 28 Day Mexican Interbank Rate(2) | 6,448 | (80,801 | ) | (87,249 | ) | ||||||||||||||
| MXN | 13,900 | 07/27/34 | 6.720 | % | 28 Day Mexican Interbank Rate(2) | 302 | (26,482 | ) | (26,784 | ) | ||||||||||||||
| SEK | 45,800 | 08/14/25 | 1.220 | % | 3 Month STIBOR(2) | (26,193 | ) | (180,185 | ) | (153,992 | ) | |||||||||||||
| 255,100 | 01/27/16 | 0.287 | % | 1 Day Overnight Fed Funds Effective Rate(1) | 724 | 16,813 | 16,089 | |||||||||||||||||
| 5,150 | 02/28/19 | 1.625 | % | 6 Month LIBOR(1) | 173 | (30,685 | ) | (30,858 | ) | |||||||||||||||
| 19,300 | 02/28/19 | 1.806 | % | 3 Month LIBOR(1) | 42,047 | (223,488 | ) | (265,535 | ) | |||||||||||||||
| 11,160 | 03/11/20 | 1.824 | % | 3 Month LIBOR(1) | 195 | (101,749 | ) | (101,944 | ) | |||||||||||||||
| 220,700 | 12/31/21 | 1.787 | % | 3 Month LIBOR(1) | (73,176 | ) | 620,198 | 693,374 | ||||||||||||||||
| 17,000 | 12/31/21 | 1.850 | % | 3 Month LIBOR(1) | 242 | (14,398 | ) | (14,640 | ) | |||||||||||||||
| 51,250 | 05/31/22 | 1.741 | % | 3 Month LIBOR(1) | 375,424 | 426,008 | 50,584 | |||||||||||||||||
| 29,120 | 05/31/22 | 2.237 | % | 3 Month LIBOR(1) | (77,974 | ) | (642,994 | ) | (565,020 | ) | ||||||||||||||
| 9,800 | 08/31/22 | 1.786 | % | 3 Month LIBOR(1) | 203 | 72,689 | 72,486 | |||||||||||||||||
| 22,700 | 08/31/22 | 1.788 | % | 3 Month LIBOR(1) | 272 | 165,348 | 165,076 | |||||||||||||||||
| 87,900 | 08/31/22 | 2.013 | % | 3 Month LIBOR(1) | (161,643 | ) | (618,900 | ) | (457,257 | ) | ||||||||||||||
| 12,360 | 11/30/22 | 1.982 | % | 3 Month LIBOR(1) | 217 | 4,009 | 3,792 | |||||||||||||||||
| 44,150 | 02/15/36 | 2.502 | % | 3 Month LIBOR(2) | 18,554 | (411,374 | ) | (429,928 | ) | |||||||||||||||
| ZAR | 63,800 | 08/26/20 | 7.855 | % | 3 Month JIBAR(2) | (8,810 | ) | (168,206 | ) | (159,396 | ) | |||||||||||||
| ZAR | 20,000 | 10/22/23 | 7.625 | % | 3 Month JIBAR(2) | 7,904 | (122,304 | ) | (130,208 | ) | ||||||||||||||
| ZAR | 38,300 | 11/14/23 | 8.190 | % | 3 Month JIBAR(2) | (31,190 | ) | (157,523 | ) | (126,333 | ) | |||||||||||||
| ZAR | 1,800 | 01/12/25 | 7.430 | % | 3 Month JIBAR(2) | 1,512 | (14,079 | ) | (15,591 | ) | ||||||||||||||
| ZAR | 14,500 | 01/13/25 | 7.440 | % | 3 Month JIBAR(2) | 32,410 | (112,842 | ) | (145,252 | ) | ||||||||||||||
| $ | (148,851 | ) | $ | (1,699,587 | ) | $ | (1,550,736 | ) | ||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
| (2) | Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Credit default swap agreements outstanding at December 31, 2015:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at December 31, 2015(3) | Unrealized Depreciation | ||||||||||||||||||
Centrally cleared credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.25.V1 | 12/20/20 | 5.000% | 13,900 | $ | 171,819 | $ | (156,191 | ) | $ | (328,010 | ) | |||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at December 31, 2015(5) | Fair Value | Upfront Premiums Paid (Received) | Unrealized | Counterparty | ||||||||||||||||||||
OTC credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||||
American International Group, Inc. | 03/20/18 | 3.700% | 3,700 | 0.204 | % | $ | (290,699 | ) | $ | — | $(290,699) | Deutsche Bank AG | ||||||||||||||||
R.R. Donnelley & Sons Co. | 09/20/16 | 1.000% | 4,750 | 0.555 | % | (16,954 | ) | 229,662 | (246,616) | JPMorgan Chase | ||||||||||||||||||
| $ | (307,653 | ) | $ | 229,662 | $(537,315) | |||||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2): | ||||||||||||||||||||||||||
Ameriquest Home Equity | 02/01/16 | 1.500% | 413 | $ | 71 | $ | — | $ | 71 | Goldman Sachs & Co. | ||||||||||||||||
Ameriquest Home Equity | 02/01/16 | 1.500% | 348 | 60 | — | 60 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 02/01/16 | 1.500% | 434 | 74 | — | 74 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 02/01/16 | 1.500% | 694 | 119 | — | 119 | Goldman Sachs & Co. | |||||||||||||||||||
BSABS | 02/01/16 | 1.500% | 330 | 57 | — | 57 | Goldman Sachs & Co. | |||||||||||||||||||
CAS | 02/01/16 | 1.500% | 633 | 109 | — | 109 | Goldman Sachs & Co. | |||||||||||||||||||
CAS | 02/01/16 | 1.500% | 1,920 | 329 | — | 329 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 02/01/16 | 1.500% | 936 | 161 | — | 161 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 02/01/16 | 1.500% | 638 | 109 | — | 109 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 02/01/16 | 1.500% | 1,789 | 394 | — | 394 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 02/01/16 | 1.500% | 562 | 124 | — | 124 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 02/01/16 | 1.500% | 525 | 90 | — | 90 | Goldman Sachs & Co. | |||||||||||||||||||
First Franklin Home Equity | 02/01/16 | 1.500% | 146 | 25 | — | 25 | Goldman Sachs & Co. | |||||||||||||||||||
Fremont Home Equity | 02/01/16 | 1.500% | 409 | 70 | — | 70 | Goldman Sachs & Co. | |||||||||||||||||||
IndyMac Alta Mortgage | 02/01/16 | 1.500% | 1,124 | 186 | — | 186 | Goldman Sachs & Co. | |||||||||||||||||||
Lehman Home Equity | 02/01/16 | 1.500% | 530 | 91 | — | 91 | Goldman Sachs & Co. | |||||||||||||||||||
Lehman Home Equity | 02/01/16 | 1.500% | 787 | 135 | — | 135 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 02/01/16 | 1.500% | 418 | 72 | — | 72 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 02/01/16 | 1.500% | 714 | 122 | — | 122 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 02/01/16 | 1.500% | 635 | 109 | — | 109 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 02/01/16 | 1.500% | 443 | 76 | — | 76 | Goldman Sachs & Co. | |||||||||||||||||||
Option One Home Equity | 02/01/16 | 1.500% | 536 | 92 | — | 92 | Goldman Sachs & Co. | |||||||||||||||||||
STACR | 02/01/16 | 1.500% | 581 | 100 | — | 100 | Goldman Sachs & Co. | |||||||||||||||||||
Terwin Mortgage Trust | 02/01/16 | 1.500% | 370 | 64 | — | 64 | Goldman Sachs & Co. | |||||||||||||||||||
| $ | 2,839 | $ | — | $ | 2,839 | |||||||||||||||||||||
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | Upfront Premiums Paid (Received) | Unrealized Depreciation | Counterparty | |||||||||||||||||||
OTC credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 6,440 | $ | 203,906 | $ | 270,122 | $ | (66,216 | ) | Credit Suisse First Boston Corp. | |||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 12,420 | 393,248 | 567,525 | (174,277 | ) | Deutsche Bank AG | ||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 17,940 | 568,024 | 774,908 | (206,884 | ) | Deutsche Bank AG | ||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 11,500 | 364,118 | 503,924 | (139,806 | ) | Deutsche Bank AG | ||||||||||||||||||
| $ | 1,529,296 | $ | 2,116,479 | $ | (587,183 | ) | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Credit default swap agreements outstanding at December 31, 2015 (continued):
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at December 31, 2015(5) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC credit default swaps on sovereign issues—Sell Protection(2): | ||||||||||||||||||||||||||||||
Kingdom of Spain | 12/20/20 | 1.000% | 9,755 | 0.905 | % | $ | 47,209 | $ | (18,431 | ) | $ | 65,640 | JPMorgan Chase | |||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 9,680 | 0.944 | % | 27,675 | 44,911 | (17,236 | ) | JPMorgan Chase | ||||||||||||||||||||
Kingdom of Spain | 09/20/20 | 1.000% | 2,000 | 0.944 | % | 5,718 | 5,761 | (43 | ) | JPMorgan Chase | ||||||||||||||||||||
| $ | 80,602 | $ | 32,241 | $ | 48,361 | |||||||||||||||||||||||||
U.S. Treasury Obligations and a U.S. Government Agency Obligation with a combined market value of $12,864,373 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at December 31, 2015.
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | The fair value of credit default swap agreements on credit indices and asset-backed securities serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of the emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Currency swap agreements outstanding at December 31, 2015:
| Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| OTC swap agreements: | |||||||||||||||||||||||||||||
| 502 | 3 Month LIBOR | JPY | 50,000 | 3 Month JPY LIBOR minus 54.00 bps | Barclays Capital Group | 10/12/16 | $ | 86,216 | $ | — | $ | 86,216 | ||||||||||||||||||
| 278 | 3 Month LIBOR | EUR | 240 | 3 Month EURIBOR minus 24.50 bps | Citigroup Global Markets | 01/16/17 | 18,015 | — | 18,015 | |||||||||||||||||||||
| 1,541 | | 3 Month LIBOR plus 432 bps | | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 553,081 | 7,475 | 545,606 | |||||||||||||||||||
| 5,882 | 3 Month LIBOR | JPY | 600,000 | 3 Month JPY LIBOR minus 31.25 bps | Deutsche Bank AG | 05/14/17 | 874,075 | — | 874,075 | |||||||||||||||||||||
| 1,157 | 3 Month LIBOR | EUR | 900 | 3 Month EURIBOR minus 31.75 bps | Hong Kong & Shanghai Bank | 09/28/17 | 181,110 | — | 181,110 | |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Currency swap agreements outstanding at December 31, 2015 (continued):
| Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| OTC swap agreements (continued): | |||||||||||||||||||||||||||||
| JPY | 265,000 | | 3 Month JPY LIBOR minus 43.35 bps | | 2,250 | 3 Month LIBOR | JPMorgan Chase | 11/26/16 | $ | (43,007 | ) | $ | — | $ | (43,007 | ) | ||||||||||||||
| JPY | 1,060,000 | | 3 Month JPY LIBOR minus 42.10 bps | | 8,979 | 3 Month LIBOR | JPMorgan Chase | 11/28/16 | (151,998 | ) | — | (151,998 | ) | |||||||||||||||||
| 13,099 | 3 Month LIBOR | EUR | 11,400 | 3 Month EURIBOR minus 26.95 | JPMorgan Chase | 02/17/17 | 670,796 | — | 670,796 | |||||||||||||||||||||
| 2,250 | 3 Month LIBOR | JPY | 265,000 | 3 Month JPY LIBOR minus 69.88 bps | JPMorgan Chase | 11/26/24 | 18,363 | — | 18,363 | |||||||||||||||||||||
| 8,979 | 3 Month LIBOR | JPY | 1,060,000 | 3 Month JPY LIBOR minus 67.32 bps | JPMorgan Chase | 11/28/24 | 33,081 | — | 33,081 | |||||||||||||||||||||
| $ | 2,239,732 | $ | 7,475 | $ | 2,232,257 | |||||||||||||||||||||||||
Total return swap agreements outstanding at December 31, 2015:
Counterparty | Termination Date | Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation(1) | ||||||||||||||||
OTC Swap agreements: | ||||||||||||||||||||||
| Credit Suisse First Boston Corp. | 01/12/41 | 6,763 | Pay variable payments based on 1 Month LIBOR and receive fixed payments based on the IOS.FN30.450.10 Index | $ | (3,910 | ) | $ | (18,789 | ) | $ | 14,879 | |||||||||||
| (1) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 48,383,155 | $ | — | ||||||
Non-Residential Mortgage-Backed Securities | — | 16,556,328 | — | |||||||||
Residential Mortgage-Backed Securities | — | 95,597,623 | 18,076,943 | |||||||||
Bank Loans | — | 26,096,285 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 115,399,065 | — | |||||||||
Corporate Bonds | — | 486,247,689 | — | |||||||||
Foreign Agencies | — | 21,530,894 | — | |||||||||
Municipal Bonds | — | 19,463,780 | — | |||||||||
Sovereign Bonds | — | 38,330,913 | — | |||||||||
U.S. Government Agency Obligations | — | 19,299,484 | — | |||||||||
U.S. Treasury Obligations | — | 65,102,725 | — | |||||||||
Preferred Stock | 1,169,550 | — | — | |||||||||
Affiliated Mutual Funds | 130,246,494 | — | — | |||||||||
Options Purchased | 82,312 | 913,629 | — | |||||||||
Options Written | (144,047 | ) | (180,446 | ) | — | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | $ | (578,157 | ) | $ | — | $ | — | |||||
Forward Foreign Currency Exchange Contracts | — | 362,286 | — | |||||||||
OTC interest rate swaps | — | 241,466 | — | |||||||||
Centrally cleared interest rate swaps | — | (1,550,736 | ) | — | ||||||||
Centrally cleared credit default swaps | — | (328,010 | ) | — | ||||||||
OTC credit default swaps | — | 1,302,245 | 2,839 | |||||||||
Currency Swap Agreements | — | 2,239,732 | — | |||||||||
Total Return Swap Agreement | — | (3,910 | ) | — | ||||||||
Total | $ | 130,776,152 | $ | 955,004,197 | $ | 18,079,782 | ||||||
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
| Bank Loans | Corporate Bonds | Residential Mortgage-Backed Securities | Credit Default Swaps | |||||||||||||
Balance as of 12/31/14 | $ | 4,745,724 | $ | 6,610,851 | $ | — | $ | — | ||||||||
Realized gain (loss) | 1,884 | — | — | — | ||||||||||||
Change in unrealized appreciation (depreciation)** | (7,858 | ) | (20,106 | ) | (63,339 | ) | 2,839 | |||||||||
Purchases | — | — | 18,916,520 | — | ||||||||||||
Sales | (4,740,146 | ) | (393,902 | ) | (788,629 | ) | — | |||||||||
Accrued discount/premium | 396 | (810 | ) | 12,391 | — | |||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||
Transfers out of Level 3 | — | (6,196,033 | ) | — | — | |||||||||||
Balance as of 12/31/15 | $ | — | $ | — | $ | 18,076,943 | $ | 2,839 | ||||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value. |
| ** | Of which, $(60,500) was relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of December 31, 2015 | Valuation Methodology | Unobservable Inputs | |||||
Residential Mortgage-Backed Securities | $18,076,943 | Market Approach | Single Broker Indicative Quote | |||||
Credit Default Swaps | 2,839 | Model Pricing | Discretionary Volatility Factor and/or Discount Rate | |||||
| $18,079,782 | ||||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Corporate Bonds | $ | 6,196,033 | L3 to L2 | Single to Multiple Broker Quote | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
Affiliated Mutual Funds (including 2.8% of collateral for securities on loan) | 12.0 | % | ||
Banks | 11.4 | |||
Commercial Mortgage-Backed Securities | 10.6 | |||
Residential Mortgage-Backed Securities | 10.5 | |||
U.S. Treasury Obligations | 6.0 | |||
Collateralized Loan Obligations | 4.5 |
Sovereign Bonds | 3.5 | % | ||
Electric | 3.5 | |||
Telecommunications | 3.1 | |||
Healthcare-Services | 2.9 | |||
Media | 2.8 | |||
Insurance | 2.3 | |||
Foreign Agencies | 2.0 |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Chemicals | 1.8 | % | ||
Municipal Bonds | 1.8 | |||
U.S. Government Agency Obligations | 1.8 | |||
Non-Residential Mortgage-Backed Securities | 1.5 | |||
Commercial Services | 1.4 | |||
Oil & Gas | 1.4 | |||
Diversified Financial Services | 1.3 | |||
Pharmaceuticals | 1.1 | |||
Auto Manufacturers | 1.0 | |||
Food | 1.0 | |||
Software | 0.8 | |||
Home Builders | 0.7 | |||
Technology | 0.7 | |||
Retail | 0.6 | |||
Building Materials | 0.6 | |||
Semiconductors | 0.5 | |||
Real Estate Investment Trusts (REITs) | 0.5 | |||
Agriculture | 0.5 | |||
Airlines | 0.5 | |||
Packaging & Containers | 0.5 | |||
Miscellaneous Manufacturing | 0.5 | |||
Healthcare-Products | 0.5 | |||
Lodging | 0.4 | |||
Healthcare & Pharmaceutical | 0.4 | |||
Mining | 0.4 | |||
Computers | 0.4 |
Forest & Paper Products | 0.3 | % | ||
Gas | 0.3 | |||
Entertainment | 0.3 | |||
Machinery-Diversified | 0.3 | |||
Biotechnology | 0.2 | |||
Environmental Control | 0.2 | |||
Automotive | 0.2 | |||
Gaming | 0.2 | |||
Trucking & Leasing | 0.2 | |||
Aerospace & Defense | 0.2 | |||
Financials | 0.2 | |||
Beverages | 0.2 | |||
Savings & Loans | 0.2 | |||
Consumer | 0.1 | |||
Leisure Time | 0.1 | |||
Containers & Packaging | 0.1 | |||
Pipelines | 0.1 | |||
Banking | 0.1 | |||
Office & Business Equipment | 0.1 | |||
Options Purchased | 0.1 | |||
Foods | 0.1 | |||
Engineering/Construction | 0.1 | |||
| 101.6 | ||||
Liabilities in excess of other assets | (1.6 | ) | ||
| 100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 328,010 | * | |||||
Credit contracts | Premiums paid for OTC swap agreements | 2,396,813 | Premiums received for OTC swap agreements | 18,431 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 68,479 | Unrealized depreciation on OTC swap agreements | 1,141,777 | ||||||||
Credit contracts | Unaffiliated investments | 177,875 | Options written outstanding, at value | 63,001 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency exchange contracts | 506,171 | Unrealized depreciation on forward foreign currency exchange contracts | 143,885 | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 321,899 | * | Due from/to broker — variation margin futures | 900,056 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 1,606,556 | * | Due from/to broker — variation margin swaps | 3,157,292 | * | ||||||
Interest rate contracts | Premiums paid for OTC swap agreements | 7,475 | Premiums received for OTC swap agreements | 18,789 | ||||||||
Interest rate contracts | Unaffiliated investments | 818,066 | Options written outstanding, at value | 261,492 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 2,783,880 | Unrealized depreciation on OTC swap agreements | 295,278 | ||||||||
Total | $ | 8,687,214 | $ | 6,328,011 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Forward & Cross Currency Contracts** | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | 34,200 | $ | 37,800 | $ | — | $ | — | $ | — | $ | (4,629,479 | ) | $ | (4,557,479 | ) | ||||||||||||
Foreign exchange contracts | — | — | — | — | 3,157,814 | — | 3,157,814 | |||||||||||||||||||||
Interest rate contracts | (2,871,807 | ) | 1,424,949 | 5,643,238 | 10,900 | — | 1,063,381 | 5,270,661 | ||||||||||||||||||||
Total | $ | (2,837,607 | ) | $ | 1,462,749 | $ | 5,643,238 | $ | 10,900 | $ | 3,157,814 | $ | (3,566,098 | ) | $ | 3,870,996 | ||||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| ** | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward & Cross Currency Contracts** | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | (352,643 | ) | $ | 205,246 | $ | — | $ | — | $ | (713,291 | ) | $ | (860,688 | ) | |||||||||
Foreign exchange contracts | — | — | — | 585,963 | — | 585,963 | ||||||||||||||||||
Interest rate contracts | (357,855 | ) | 209,859 | (1,938,244 | ) | — | (2,770,869 | ) | (4,857,109 | ) | ||||||||||||||
Total | $ | (710,498 | ) | $ | 415,105 | $ | (1,938,244 | ) | $ | 585,963 | $ | (3,484,160 | ) | $ | (5,131,834 | ) | ||||||||
| * | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
| ** | Included in net change in unrealized appreciation (depreciation) on foreign currency transactions in the Statement of Operations. |
For the year ended December 31, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||
| $1,343,572 | $489,108 | $586,412,660 | $186,563,581 | $28,460,630 | ||||
Forward Foreign Currency Exchange— | Cross | Interest Rate | Credit Default | Credit Default | ||||
| $52,689,766 | $43,258 | $762,970 | $128,739 | $58,141 | ||||
Currency | Total | Forward | ||||||
| $66,122 | $5,241 | $89,116 | ||||||
| (1) | Cost. |
| (2) | Value at Trade Date. |
| (3) | Value at Settlement Date. |
| (4) | Notional Amount in USD (000). |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Offsetting of OTC derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Bank of America | $ | 835 | $ | (835 | ) | $ | — | $ | — | |||||||
Barclays Capital Group | 266,933 | (40 | ) | — | 266,893 | |||||||||||
BNP Paribas | 185,176 | (63,001 | ) | (262,699 | ) | — | ||||||||||
Citigroup Global Markets | 1,022,874 | (21,746 | ) | (1,054,000 | ) | — | ||||||||||
Credit Suisse First Boston Corp. | 659,826 | (128,438 | ) | (602,000 | ) | — | ||||||||||
Deutsche Bank AG | 2,799,156 | (827,574 | ) | (2,496,662 | ) | — | ||||||||||
Goldman Sachs & Co. | 2,839 | — | — | 2,839 | ||||||||||||
Hong Kong & Shanghai Bank | 181,110 | (36,139 | ) | — | 144,971 | |||||||||||
JPMorgan Chase | 1,451,747 | (651,926 | ) | (770,773 | ) | 29,048 | ||||||||||
UBS AG | 105,951 | — | — | 105,951 | ||||||||||||
| $ | 6,676,447 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Bank of America | $ | (69,742 | ) | $ | 835 | $ | — | $ | (68,907 | ) | ||||||
Barclays Capital Group | (40 | ) | 40 | — | — | |||||||||||
BNP Paribas | (63,001 | ) | 63,001 | — | — | |||||||||||
Citigroup Global Markets | (21,746 | ) | 21,746 | — | — | |||||||||||
Credit Suisse First Boston Corp. | (128,438 | ) | 128,438 | — | — | |||||||||||
Deutsche Bank AG | (827,574 | ) | 827,574 | — | — | |||||||||||
Goldman Sachs & Co. | — | — | — | — | ||||||||||||
Hong Kong & Shanghai Bank | (36,139 | ) | 36,139 | — | — | |||||||||||
JPMorgan Chase | (651,926 | ) | 651,926 | — | — | |||||||||||
UBS AG | — | — | — | — | ||||||||||||
| $ | (1,798,606 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $30,103,082: | ||||
Unaffiliated investments (cost $971,674,358) | $ | 972,250,375 | ||
Affiliated investments (cost $134,490,423) | 130,246,494 | |||
Foreign currency, at value (cost $26,804) | 27,040 | |||
Deposit with Broker for futures | 3,800,000 | |||
Dividends and interest receivable | 9,852,009 | |||
Unrealized appreciation on OTC swap agreements | 2,852,359 | |||
Premium paid for OTC swap agreements | 2,404,288 | |||
Receivable for investments sold | 2,162,649 | |||
Due from broker—variation margin futures | 1,461,225 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 506,171 | |||
Receivable for Series shares sold | 63,352 | |||
Tax reclaim receivable | 38,823 | |||
Prepaid expenses | 7,904 | |||
Total Assets | 1,125,672,689 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 30,813,527 | |||
Payable for investments purchased | 6,188,357 | |||
Unrealized depreciation on OTC swap agreements | 1,437,055 | |||
Due to broker—variation margin swaps | 962,613 | |||
Management fee payable | 369,201 | |||
Payable for Series shares repurchased | 335,745 | |||
Options written outstanding, at value (premiums received $818,728) | 324,493 | |||
Accrued expenses and other liabilities | 161,413 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 143,885 | |||
Premium received for OTC swap agreements | 37,220 | |||
Payable to custodian | 2,487 | |||
Deferred trustees’ fees | 1,741 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 40,778,717 | |||
| NET ASSETS | $ | 1,084,893,972 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 986,637,558 | ||
Retained earnings | 98,256,414 | |||
Net assets, December 31, 2015 | $ | 1,084,893,972 | ||
Net asset value and redemption price per share $1,084,893,972 / 93,233,122 outstanding shares of beneficial interest | $ | 11.64 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Interest income (net of foreign withholding taxes of $26,371) | $ | 40,688,750 | ||
Affiliated dividend income | 1,465,151 | |||
Unaffiliated dividend income | 88,594 | |||
Affiliated income from securities lending, net | 80,085 | |||
Total income | 42,322,580 | |||
| EXPENSES | ||||
Management fee | 4,295,814 | |||
Shareholders’ reports | 279,000 | |||
Custodian and accounting fees | 204,000 | |||
Audit fee | 47,000 | |||
Trustees’ fees | 19,000 | |||
Insurance expenses | 13,000 | |||
Legal fees and expenses | 12,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Loan interest expense | 44 | |||
Miscellaneous | 18,227 | |||
Total expenses | 4,900,085 | |||
| NET INVESTMENT INCOME | 37,422,495 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (1,027,451 | ) | ||
Futures transactions | 5,643,238 | |||
Options written transactions | 1,462,749 | |||
Forward rate agreement transactions | 10,900 | |||
Swap agreement transactions | (3,566,098 | ) | ||
Foreign currency transactions | 3,637,816 | |||
| 6,161,154 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $429,598) | (41,451,181 | ) | ||
Futures | (1,938,244 | ) | ||
Options written | 415,105 | |||
Swap agreements | (3,484,160 | ) | ||
Foreign currencies | 689,337 | |||
| (45,769,143 | ) | |||
| NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (39,607,989 | ) | ||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,185,494 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 37,422,495 | $ | 40,596,712 | ||||
Net realized gain on investment and foreign currency transactions | 6,161,154 | 19,370,419 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (45,769,143 | ) | 16,033,794 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,185,494 | ) | 76,000,925 | |||||
| DISTRIBUTIONS | — | (11,827,554 | ) | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [8,670,539 and 2,077,773 shares, respectively] | 101,626,083 | 23,745,718 | ||||||
Series shares issued in reinvestment of distributions [0 and 1,060,767 shares, respectively] | — | 11,827,554 | ||||||
Series shares repurchased [7,014,473 and 20,335,487 shares, respectively] | (82,418,630 | ) | (229,380,709 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 19,207,453 | (193,807,437 | ) | |||||
| TOTAL INCREASE (DECREASE) | 17,021,959 | (129,634,066 | ) | |||||
| NET ASSETS: | ||||||||
Beginning of year | 1,067,872,013 | 1,197,506,079 | ||||||
End of year | $ | 1,084,893,972 | $ | 1,067,872,013 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| LONG-TERM INVESTMENTS — 96.8% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.7% |
| |||||||
Boeing Co. (The) | 306,179 | $ | 44,270,422 | |||||
United Technologies Corp. | 240,621 | 23,116,459 | ||||||
| 67,386,881 | ||||||||
Auto Components — 1.0% | ||||||||
Lear Corp. | 303,208 | 37,243,039 | ||||||
Automobiles — 0.8% | ||||||||
Tesla Motors, Inc.*(a) | 125,805 | 30,194,458 | ||||||
Banks — 7.4% | ||||||||
Bank of America Corp. | 2,722,688 | 45,822,839 | ||||||
Citigroup, Inc. | 1,329,119 | 68,781,908 | ||||||
JPMorgan Chase & Co. | 949,886 | 62,720,972 | ||||||
PNC Financial Services Group, Inc. (The) | 464,799 | 44,299,993 | ||||||
Wells Fargo & Co. | 1,156,205 | 62,851,304 | ||||||
| 284,477,016 | ||||||||
Beverages — 0.5% | ||||||||
Monster Beverage Corp.* | 144,079 | 21,462,008 | ||||||
Biotechnology — 5.2% | ||||||||
AbbVie, Inc. | 316,310 | 18,738,204 | ||||||
Alexion Pharmaceuticals, Inc.* | 253,230 | 48,303,623 | ||||||
Biogen, Inc.* | 95,744 | 29,331,174 | ||||||
BioMarin Pharmaceutical, Inc.* | 167,369 | 17,533,576 | ||||||
Celgene Corp.* | 397,394 | 47,591,906 | ||||||
Regeneron Pharmaceuticals, Inc.* | 68,317 | 37,087,250 | ||||||
| 198,585,733 | ||||||||
Capital Markets — 2.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 224,319 | 40,429,014 | ||||||
Morgan Stanley | 1,628,309 | 51,796,509 | ||||||
| 92,225,523 | ||||||||
Chemicals — 1.0% | ||||||||
FMC Corp. | 644,463 | 25,217,837 | ||||||
Monsanto Co. | 132,051 | 13,009,665 | ||||||
| 38,227,502 | ||||||||
Consumer Finance — 1.6% | ||||||||
Capital One Financial Corp. | 478,764 | 34,557,185 | ||||||
SLM Corp.* | 4,118,457 | 26,852,340 | ||||||
| 61,409,525 | ||||||||
Diversified Financial Services — 0.7% |
| |||||||
Voya Financial, Inc. | 690,597 | 25,489,935 | ||||||
Electric Utilities — 1.0% | ||||||||
FirstEnergy Corp. | 1,281,549 | 40,663,550 | ||||||
Electrical Equipment — 0.9% | ||||||||
Eaton Corp. PLC | 670,542 | 34,895,006 | ||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
Flextronics International Ltd.* | 1,844,886 | 20,681,172 | ||||||
Energy Equipment & Services — 0.7% |
| |||||||
Halliburton Co. | 754,934 | 25,697,953 | ||||||
Food & Staples Retailing — 2.3% |
| |||||||
Costco Wholesale Corp. | 274,118 | 44,270,057 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) |
| |||||||
Kroger Co. (The) | 1,081,930 | $ | 45,257,132 | |||||
| 89,527,189 | ||||||||
Food Products — 2.3% | ||||||||
ConAgra Foods, Inc. | 791,807 | 33,382,583 | ||||||
Mondelez International, Inc. (Class A Stock) | 1,224,201 | 54,893,173 | ||||||
| 88,275,756 | ||||||||
Health Care Equipment & Supplies — 0.8% |
| |||||||
Zimmer Biomet Holdings, Inc. | 290,706 | 29,823,529 | ||||||
Health Care Providers & Services — 1.2% |
| |||||||
Express Scripts Holding Co.* | 217,514 | 19,012,899 | ||||||
Laboratory Corp. of America Holdings* | 227,529 | 28,131,685 | ||||||
| 47,144,584 | ||||||||
Hotels, Restaurants & Leisure — 5.4% |
| |||||||
Carnival Corp. | 932,376 | 50,795,845 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 606,257 | 40,643,469 | ||||||
McDonald’s Corp. | 315,984 | 37,330,350 | ||||||
Shake Shack, Inc. (Class A Stock)*(a) | 237,590 | 9,408,564 | ||||||
Starbucks Corp. | 1,136,809 | 68,242,644 | ||||||
| 206,420,872 | ||||||||
Industrial Conglomerates — 0.9% | ||||||||
General Electric Co. | 1,091,515 | 34,000,692 | ||||||
Insurance — 2.1% | ||||||||
ACE Ltd. | 331,445 | 38,729,348 | ||||||
MetLife, Inc. | 906,259 | 43,690,747 | ||||||
| 82,420,095 | ||||||||
Internet & Catalog Retail — 5.3% | ||||||||
Amazon.com, Inc.* | 166,184 | 112,322,104 | ||||||
Netflix, Inc.* | 470,691 | 53,837,636 | ||||||
Priceline Group, Inc. (The)* | 31,317 | 39,927,609 | ||||||
| 206,087,349 | ||||||||
Internet Software & Services — 10.4% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 493,269 | 40,087,972 | ||||||
Alphabet, Inc. (Class A Stock)* | 93,041 | 72,386,828 | ||||||
Alphabet, Inc. (Class C Stock)* | 97,206 | 73,767,689 | ||||||
Facebook, Inc. (Class A Stock)* | 1,038,662 | 108,706,365 | ||||||
LinkedIn Corp. (Class A Stock)* | 251,936 | 56,705,755 | ||||||
Tencent Holdings Ltd. (China) | 2,507,464 | 49,096,111 | ||||||
| 400,750,720 | ||||||||
IT Services — 3.2% | ||||||||
MasterCard, Inc. (Class A Stock) | 549,097 | 53,460,084 | ||||||
Visa, Inc. (Class A Stock)(a) | 899,824 | 69,781,351 | ||||||
| 123,241,435 | ||||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
Illumina, Inc.* | 156,472 | 30,034,018 | ||||||
Media — 2.5% | ||||||||
Comcast Corp. (Class A Stock) | 887,649 | 50,090,033 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) | ||||||||
Walt Disney Co. (The) | 446,476 | $ | 46,915,698 | |||||
| 97,005,731 | ||||||||
Multi-Utilities — 0.9% | ||||||||
PG&E Corp. | 654,024 | 34,787,537 | ||||||
Multiline Retail — 1.2% | ||||||||
Target Corp. | 628,113 | 45,607,285 | ||||||
Oil, Gas & Consumable Fuels — 3.7% |
| |||||||
Chevron Corp. | 370,691 | 33,347,362 | ||||||
Marathon Oil Corp. | 1,089,117 | 13,711,983 | ||||||
Noble Energy, Inc. | 813,947 | 26,803,275 | ||||||
Occidental Petroleum Corp. | 513,466 | 34,715,436 | ||||||
Suncor Energy, Inc. (Canada) | 1,262,075 | 32,580,270 | ||||||
| 141,158,326 | ||||||||
Pharmaceuticals — 9.6% | ||||||||
Allergan PLC* | 292,118 | 91,286,875 | ||||||
Bayer AG (Germany), ADR(a) | 85,873 | 10,719,956 | ||||||
Bristol-Myers Squibb Co. | 703,547 | 48,396,998 | ||||||
Merck & Co., Inc. | 661,902 | 34,961,663 | ||||||
Novo Nordisk A/S (Denmark), ADR | 415,100 | 24,109,008 | ||||||
Pfizer, Inc. | 1,350,514 | 43,594,592 | ||||||
Shire PLC (Ireland), ADR | 279,319 | 57,260,395 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR(a) | 892,245 | 58,566,962 | ||||||
| 368,896,449 | ||||||||
Road & Rail — 0.5% | ||||||||
Hertz Global Holdings, Inc.* | 1,297,165 | 18,458,658 | ||||||
Semiconductors & Semiconductor Equipment — 0.9% |
| |||||||
Texas Instruments, Inc. | 631,243 | 34,598,429 | ||||||
Software — 9.2% | ||||||||
Adobe Systems, Inc.* | 516,078 | 48,480,367 | ||||||
Microsoft Corp. | 2,080,240 | 115,411,715 | ||||||
PTC, Inc.* | 736,637 | 25,509,739 | ||||||
Red Hat, Inc.* | 492,871 | 40,814,648 | ||||||
salesforce.com, Inc.* | 841,025 | 65,936,360 | ||||||
Splunk, Inc.* | 457,707 | 26,917,749 | ||||||
Workday, Inc. (Class A Stock)* | 368,498 | 29,361,921 | ||||||
| 352,432,499 | ||||||||
Specialty Retail — 1.3% | ||||||||
Industria de Diseno Textil SA (Spain), ADR | 2,876,369 | 49,617,365 | ||||||
Technology Hardware, Storage & Peripherals — 2.7% |
| |||||||
Apple, Inc. | 870,782 | 91,658,513 | ||||||
HP, Inc. | 1,194,677 | 14,144,976 | ||||||
| 105,803,489 | ||||||||
Textiles, Apparel & Luxury Goods — 3.1% |
| |||||||
Coach, Inc. | 578,044 | 18,919,380 | ||||||
NIKE, Inc. (Class B Stock) | 1,103,257 | 68,953,562 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 372,449 | 30,023,114 | ||||||
| 117,896,056 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 1,344,704 | $ | 43,380,151 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 3,726,007,515 | ||||||
| SHORT-TERM INVESTMENT — 8.5% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund | 325,205,911 | 325,205,911 | ||||||
TOTAL INVESTMENTS — 105.3% |
| 4,051,213,426 | ||||||
LIABILITIES IN EXCESS OF |
| (203,096,015 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,848,117,411 | |||||
See the Glossary for abbreviations used in the annual report.
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $202,113,270; cash collateral of $207,819,914 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 67,386,881 | $ | — | $ | — | ||||||
Auto Components | 37,243,039 | — | — | |||||||||
Automobiles | 30,194,458 | — | — | |||||||||
Banks | 284,477,016 | — | — | |||||||||
Beverages | 21,462,008 | — | — | |||||||||
Biotechnology | 198,585,733 | — | — | |||||||||
Capital Markets | 92,225,523 | — | — | |||||||||
Chemicals | 38,227,502 | — | — | |||||||||
Consumer Finance | 61,409,525 | — | — | |||||||||
Diversified Financial Services | 25,489,935 | — | — | |||||||||
Electric Utilities | 40,663,550 | — | — | |||||||||
Electrical Equipment | 34,895,006 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 20,681,172 | — | — | |||||||||
Energy Equipment & Services | 25,697,953 | — | — | |||||||||
Food & Staples Retailing | 89,527,189 | — | — | |||||||||
Food Products | 88,275,756 | — | — | |||||||||
Health Care Equipment & Supplies | 29,823,529 | — | — | |||||||||
Health Care Providers & Services | 47,144,584 | — | — | |||||||||
Hotels, Restaurants & Leisure | 206,420,872 | — | — | |||||||||
Industrial Conglomerates | 34,000,692 | — | — | |||||||||
Insurance | 82,420,095 | — | — | |||||||||
Internet & Catalog Retail | 206,087,349 | — | — | |||||||||
Internet Software & Services | 351,654,609 | 49,096,111 | — | |||||||||
IT Services | 123,241,435 | — | — | |||||||||
Life Sciences Tools & Services | 30,034,018 | — | — | |||||||||
Media | 97,005,731 | — | — | |||||||||
Multi-Utilities | 34,787,537 | — | — | |||||||||
Multiline Retail | 45,607,285 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 141,158,326 | — | — | |||||||||
Pharmaceuticals | 368,896,449 | — | — | |||||||||
Road & Rail | 18,458,658 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 34,598,429 | — | — | |||||||||
Software | 352,432,499 | — | — | |||||||||
Specialty Retail | 49,617,365 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 105,803,489 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 117,896,056 | — | — | |||||||||
Wireless Telecommunication Services | 43,380,151 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 325,205,911 | — | — | |||||||||
Total | $ | 4,002,117,315 | $ | 49,096,111 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows(Unaudited):
Internet Software & Services | 10.4 | % | ||
Pharmaceuticals | 9.6 | |||
Software | 9.2 | |||
Affiliated Money Market Mutual Fund (including 5.4% of collateral for securities on loan) | 8.5 | |||
Banks | 7.4 | |||
Hotels, Restaurants & Leisure | 5.4 | |||
Internet & Catalog Retail | 5.3 | |||
Biotechnology | 5.2 | |||
Oil, Gas & Consumable Fuels | 3.7 | |||
IT Services | 3.2 | |||
Textiles, Apparel & Luxury Goods | 3.1 | |||
Technology Hardware, Storage & Peripherals | 2.7 | |||
Media | 2.5 |
Capital Markets | 2.4 | % | ||
Food & Staples Retailing | 2.3 | |||
Food Products | 2.3 | |||
Insurance | 2.1 | |||
Aerospace & Defense | 1.7 | |||
Consumer Finance | 1.6 | |||
Specialty Retail | 1.3 | |||
Health Care Providers & Services | 1.2 | |||
Multiline Retail | 1.2 | |||
Wireless Telecommunication Services | 1.1 | |||
Electric Utilities | 1.0 | |||
Chemicals | 1.0 | |||
Auto Components | 1.0 | |||
Electrical Equipment | 0.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Industry table (cont.) | ||||
Multi-Utilities | 0.9 | % | ||
Semiconductors & Semiconductor Equipment | 0.9 | |||
Industrial Conglomerates | 0.9 | |||
Automobiles | 0.8 | |||
Life Sciences Tools & Services | 0.8 | |||
Health Care Equipment & Supplies | 0.8 | |||
Energy Equipment & Services | 0.7 | |||
Diversified Financial Services | 0.7 | % | ||
Beverages | 0.5 | |||
Electronic Equipment, Instruments & Components | 0.5 | |||
Road & Rail | 0.5 | |||
| 105.3 | ||||
Liabilities in excess of other assets | (5.3 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $202,113,270: | ||||
Unaffiliated investments (cost $2,637,503,531) | $ | 3,726,007,515 | ||
Affiliated investments (cost $325,205,911) | 325,205,911 | |||
Receivable for investments sold | 58,964,092 | |||
Dividends receivable | 3,440,695 | |||
Tax reclaim receivable | 1,714,954 | |||
Receivable for Series shares sold | 17,565 | |||
Prepaid expenses | 30,598 | |||
Total Assets | 4,115,381,330 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 207,819,914 | |||
Payable for investments purchased | 57,395,536 | |||
Management fee payable | 1,481,320 | |||
Accrued expenses and other liabilities | 289,805 | |||
Payable for Series shares repurchased | 275,186 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 418 | |||
Deferred trustees’ fees | 418 | |||
Administration fee payable | 342 | |||
Total Liabilities | 267,263,919 | |||
| NET ASSETS | $ | 3,848,117,411 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,887,416,293 | ||
Retained earnings | 1,960,701,118 | |||
Net assets, December 31, 2015 | $ | 3,848,117,411 | ||
| Class I: | ||||
Net asset value and redemption price per share $3,846,166,165 / 97,441,929 outstanding shares of beneficial interest | $ | 39.47 | ||
Class II: | ||||
Net asset value and redemption price per share $1,951,246 / 49,498 outstanding shares of beneficial interest | $ | 39.42 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $789,689) | $ | 51,242,296 | ||
Affiliated income from securities lending, net | 1,269,211 | |||
Affiliated dividend income | 193,450 | |||
Total income | 52,704,957 | |||
| EXPENSES | ||||
Management fee | 17,823,236 | |||
Distribution fee—Class II | 5,050 | |||
Administration fee—Class II | 3,030 | |||
Custodian and accounting fees | 455,000 | |||
Shareholders’ reports | 209,000 | |||
Insurance expenses | 49,000 | |||
Trustees’ fees | 46,000 | |||
Audit fee | 33,000 | |||
Legal fees and expenses | 17,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Miscellaneous | 34,354 | |||
Total expenses | 18,686,670 | |||
| NET INVESTMENT INCOME | 34,018,287 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 164,864,536 | |||
Foreign currency transactions | (125,399 | ) | ||
| 164,739,137 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (104,728,910 | ) | ||
Foreign currencies | (73,823 | ) | ||
| (104,802,733 | ) | |||
| NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 59,936,404 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 93,954,691 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 34,018,287 | $ | 20,780,578 | ||||
Net realized gain on investment and foreign currency transactions | 164,739,137 | 365,889,333 | ||||||
Net change in unrealized depreciation on investments and foreign currencies | (104,802,733 | ) | (92,188,862 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 93,954,691 | 294,481,049 | ||||||
| SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 11,599,955 | 12,816,469 | ||||||
Series shares repurchased | (277,235,158 | ) | (260,744,091 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (265,635,203 | ) | (247,927,622 | ) | ||||
| TOTAL INCREASE (DECREASE) | (171,680,512 | ) | 46,553,427 | |||||
| NET ASSETS: | ||||||||
Beginning of year | 4,019,797,923 | 3,973,244,496 | ||||||
End of year | $ | 3,848,117,411 | $ | 4,019,797,923 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| LONG-TERM INVESTMENTS — 94.9% | ||||||||
| COMMON STOCKS — 60.1% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.8% | ||||||||
Airbus Group NV (France) | 21,149 | $ | 1,425,183 | |||||
General Dynamics Corp. | 128,700 | 17,678,232 | ||||||
Huntington Ingalls Industries, Inc. | 69,900 | 8,866,815 | ||||||
Lockheed Martin Corp. | 90,500 | 19,652,075 | ||||||
Raytheon Co. | 62,100 | 7,733,313 | ||||||
Safran SA (France) | 3,417 | 234,759 | ||||||
Thales SA (France) | 1,230 | 92,066 | ||||||
United Technologies Corp. | 126,400 | 12,143,248 | ||||||
| 67,825,691 | ||||||||
Air Freight & Logistics — 0.4% | ||||||||
FedEx Corp. | 88,200 | 13,140,918 | ||||||
Royal Mail PLC (United Kingdom) | 59,895 | 392,307 | ||||||
| 13,533,225 | ||||||||
Airlines — 0.8% | ||||||||
ANA Holdings, Inc. (Japan) | 12,000 | 34,621 | ||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 187,000 | 321,763 | ||||||
Delta Air Lines, Inc. | 231,700 | 11,744,873 | ||||||
easyJet PLC (United Kingdom) | 31,398 | 805,269 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 8,705 | 78,025 | ||||||
Japan Airlines Co. Ltd. (Japan) | 10,000 | 357,929 | ||||||
Qantas Airways Ltd. (Australia)* | 5,692 | 16,871 | ||||||
Ryanair Holdings PLC (Ireland), ADR | 2,485 | 214,853 | ||||||
Southwest Airlines Co. | 407,200 | 17,534,032 | ||||||
| 31,108,236 | ||||||||
Auto Components — 0.1% | ||||||||
Cie Generale des Etablissements Michelin (France) | 2,186 | 208,070 | ||||||
Cooper Tire & Rubber Co. | 55,000 | 2,081,750 | ||||||
Dana Holding Corp. | 49,100 | 677,580 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 19,000 | 779,141 | ||||||
NHK Spring Co. Ltd. (Japan) | 1,800 | 18,047 | ||||||
Nokian Renkaat OYJ (Finland) | 1,335 | 47,662 | ||||||
Toyota Industries Corp. (Japan) | 1,900 | 101,600 | ||||||
Valeo SA (France) | 953 | 146,929 | ||||||
| 4,060,779 | ||||||||
Automobiles — 0.5% | ||||||||
Daimler AG (Germany) | 22,817 | 1,906,462 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 10,683 | 148,365 | ||||||
Ford Motor Co. | 729,300 | 10,275,837 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 25,700 | 1,058,744 | ||||||
Mazda Motor Corp. (Japan) | 41,400 | 854,279 | ||||||
Mitsubishi Motors Corp. (Japan) | 7,500 | 63,454 | ||||||
Nissan Motor Co. Ltd. (Japan) | 78,600 | 823,000 | ||||||
Peugeot SA (France)* | 43,783 | 767,473 | ||||||
Renault SA (France) | 2,242 | 224,415 | ||||||
Suzuki Motor Corp. (Japan) | 4,300 | 130,651 | ||||||
Toyota Motor Corp. (Japan) | 20,200 | 1,243,896 | ||||||
Volkswagen AG (Germany) | 384 | 59,008 | ||||||
| 17,555,584 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks — 3.7% | ||||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 23,801 | $ | 480,298 | |||||
Banco Santander SA (Spain) | 35,131 | 172,823 | ||||||
Bank Hapoalim BM (Israel) | 156,691 | 808,840 | ||||||
Bank of America Corp. | 1,967,000 | 33,104,610 | ||||||
Bank of Queensland Ltd. (Australia) | 61,945 | 624,877 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 12,000 | 73,555 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 5,295 | 45,801 | ||||||
BNP Paribas SA (France) | 7,465 | 422,352 | ||||||
Chiba Bank Ltd. (The) (Japan) | 8,000 | 56,770 | ||||||
Citigroup, Inc. | 42,800 | 2,214,900 | ||||||
Commonwealth Bank of Australia (Australia) | 31,876 | 1,970,713 | ||||||
Credit Agricole SA (France) | 12,219 | 143,991 | ||||||
DNB ASA (Norway) | 64,277 | 791,971 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 9,000 | 44,628 | ||||||
Hachijuni Bank Ltd. (The) (Japan) | 5,000 | 30,600 | ||||||
Hang Seng Bank Ltd. (Hong Kong) | 3,800 | 72,023 | ||||||
Hiroshima Bank Ltd. (The) (Japan) | 6,000 | 34,103 | ||||||
HSBC Holdings PLC (United Kingdom) | 308,270 | 2,433,564 | ||||||
Intesa Sanpaolo SpA (Italy) | 158,871 | 524,911 | ||||||
Japan Post Bank Co. Ltd. (Japan)* | 4,700 | 68,431 | ||||||
Joyo Bank Ltd. (The) (Japan) | 7,000 | 33,102 | ||||||
JPMorgan Chase & Co. | 545,994 | 36,051,984 | ||||||
KBC Groep NV (Belgium) | 18,127 | 1,133,418 | ||||||
Kyushu Financial Group, Inc. (Japan)* | 3,800 | 26,778 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 148,700 | 921,085 | ||||||
Mizuho Financial Group, Inc. (Japan) | 720,000 | 1,440,000 | ||||||
Nordea Bank AB (Sweden) | 35,409 | 388,499 | ||||||
PNC Financial Services Group, Inc. (The) | 140,500 | 13,391,055 | ||||||
Regions Financial Corp.(a) | 366,100 | 3,514,560 | ||||||
Resona Holdings, Inc. (Japan) | 196,300 | 953,279 | ||||||
Societe Generale SA (France) | 15,355 | 707,595 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 38,100 | 1,437,934 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 37,000 | 140,131 | ||||||
SunTrust Banks, Inc. | 334,800 | 14,342,832 | ||||||
Suruga Bank Ltd. (Japan) | 2,100 | 43,278 | ||||||
Swedbank AB (Sweden) (Class A Stock) | 7,377 | 162,468 | ||||||
U.S. Bancorp | 49,000 | 2,090,830 | ||||||
United Overseas Bank Ltd. (Singapore) | 14,900 | 205,424 | ||||||
Wells Fargo & Co. | 308,912 | 16,792,456 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Westpac Banking Corp. (Australia) | 38,386 | $ | 930,466 | |||||
| 138,826,935 | ||||||||
Beverages — 1.3% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 8,622 | 1,072,990 | ||||||
Asahi Group Holdings Ltd. (Japan)(a) | 4,500 | 140,870 | ||||||
Coca-Cola Co. (The) | 275,800 | 11,848,368 | ||||||
Diageo PLC (United Kingdom) | 12,961 | 353,938 | ||||||
Heineken Holding NV (Netherlands) | 10,567 | 813,523 | ||||||
Heineken NV (Netherlands) | 10,859 | 925,376 | ||||||
PepsiCo, Inc. | 330,120 | 32,985,590 | ||||||
Pernod Ricard SA (France) | 2,459 | 280,437 | ||||||
SABMiller PLC (United Kingdom) | 8,304 | 496,782 | ||||||
Treasury Wine Estates Ltd. (Australia) | 7,186 | 43,145 | ||||||
| 48,961,019 | ||||||||
Biotechnology — 2.5% | ||||||||
Actelion Ltd. (Switzerland) | 1,213 | 168,539 | ||||||
Amgen, Inc. | 153,308 | 24,886,488 | ||||||
Biogen Idec, Inc.*(a) | 60,300 | 18,472,905 | ||||||
Celgene Corp.* | 175,100 | 20,969,976 | ||||||
CSL Ltd. (Australia) | 3,896 | 297,029 | ||||||
Gilead Sciences, Inc. | 179,000 | 18,113,010 | ||||||
Grifols SA (Spain) | 1,757 | 81,212 | ||||||
Regeneron Pharmaceuticals, Inc.*(a) | 23,000 | 12,486,010 | ||||||
| 95,475,169 | ||||||||
Building Products — 0.4% | ||||||||
Asahi Glass Co. Ltd. (Japan)(a) | 10,000 | 57,289 | ||||||
Daikin Industries Ltd. (Japan) | 2,600 | 189,336 | ||||||
LIXIL Group Corp. (Japan) | 3,100 | 68,850 | ||||||
Masco Corp. | 438,000 | 12,395,400 | ||||||
Owens Corning | 37,500 | 1,763,625 | ||||||
Universal Forest Products, Inc. | 25,400 | 1,736,598 | ||||||
| 16,211,098 | ||||||||
Capital Markets — 0.8% | ||||||||
3i Group PLC (United Kingdom) | 11,530 | 81,677 | ||||||
Bank of New York Mellon Corp. (The) | 69,400 | 2,860,668 | ||||||
Franklin Resources, Inc.(a) | 45,400 | 1,671,628 | ||||||
Goldman Sachs Group, Inc. (The) | 110,100 | 19,843,323 | ||||||
Investec PLC (South Africa) | 6,565 | 46,290 | ||||||
Macquarie Group Ltd. (Australia) | 3,490 | 208,782 | ||||||
Mediobanca SpA (Italy) | 6,244 | 59,856 | ||||||
Morgan Stanley | 114,400 | 3,639,064 | ||||||
Nomura Holdings, Inc. (Japan) | 41,200 | 229,486 | ||||||
Partners Group Holding AG (Switzerland) | 187 | 67,252 | ||||||
UBS Group AG (Switzerland) | 39,839 | 772,855 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock) | 35,600 | 1,020,296 | ||||||
| 30,501,177 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals — 0.9% | ||||||||
Asahi Kasei Corp. (Japan) | 136,000 | $ | 919,646 | |||||
BASF SE (Germany) | 1,325 | 100,937 | ||||||
Cabot Corp. | 81,300 | 3,323,544 | ||||||
Daicel Corp. (Japan) | 75,100 | 1,117,631 | ||||||
EMS-Chemie Holding AG (Switzerland) | 87 | 38,288 | ||||||
Evonik Industries AG (Germany) | 1,286 | 42,537 | ||||||
K+S AG (Germany) | 6,091 | 155,267 | ||||||
Kuraray Co. Ltd. (Japan)(a) | 3,900 | 47,240 | ||||||
LyondellBasell Industries NV (Class A Stock) | 204,700 | 17,788,430 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 15,500 | 98,343 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 4,000 | 20,454 | ||||||
Mitsui Chemicals, Inc. (Japan) | 9,000 | 39,915 | ||||||
Mosaic Co. (The) | 172,600 | 4,762,034 | ||||||
Solvay SA (Belgium) | 640 | 68,307 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 16,000 | 91,890 | ||||||
Teijin Ltd. (Japan) | 11,000 | 37,487 | ||||||
Toray Industries, Inc. (Japan) | 15,000 | 139,388 | ||||||
Westlake Chemical Corp. | 45,200 | 2,455,264 | ||||||
Yara International ASA (Norway) | 20,992 | 902,830 | ||||||
| 32,149,432 | ||||||||
Commercial Services & Supplies |
| |||||||
Herman Miller, Inc. | 26,500 | 760,550 | ||||||
Secom Co. Ltd. (Japan) | 2,200 | 149,093 | ||||||
Securitas AB (Sweden) (Class B Stock) | 3,637 | 55,613 | ||||||
| 965,256 | ||||||||
Communications Equipment — 1.1% |
| |||||||
Brocade Communications Systems, Inc. | 243,600 | 2,236,248 | ||||||
Cisco Systems, Inc. | 779,800 | 21,175,469 | ||||||
Juniper Networks, Inc. | 402,500 | 11,109,000 | ||||||
QUALCOMM, Inc. | 157,200 | 7,857,642 | ||||||
| 42,378,359 | ||||||||
Construction & Engineering — 0.2% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 2,119 | 61,997 | ||||||
Bouygues SA (France) | 2,187 | 86,716 | ||||||
CIMIC Group Ltd. (Australia) | 1,073 | 18,822 | ||||||
Comfort Systems USA, Inc. | 23,200 | 659,344 | ||||||
EMCOR Group, Inc. | 59,600 | 2,863,184 | ||||||
Ferrovial SA (Spain) | 4,867 | 110,059 | ||||||
KBR, Inc. | 60,400 | 1,021,968 | ||||||
Obayashi Corp. (Japan) | 62,000 | 572,087 | ||||||
Shimizu Corp. (Japan) | 6,000 | 48,925 | ||||||
Skanska AB (Sweden) (Class B Stock) | 40,263 | 780,845 | ||||||
Taisei Corp. (Japan) | 21,000 | 138,326 | ||||||
Vinci SA (France) | 10,710 | 686,459 | ||||||
| 7,048,732 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Construction Materials | ||||||||
Headwaters, Inc.* | 44,400 | $ | 749,028 | |||||
Holcim Ltd. (Switzerland) | 4,712 | 235,953 | ||||||
Taiheiyo Cement Corp. (Japan) | 14,000 | 40,884 | ||||||
| 1,025,865 | ||||||||
Consumer Finance — 0.2% | ||||||||
Navient Corp. | 761,400 | 8,718,030 | ||||||
Provident Financial PLC (United Kingdom) | 10,665 | 528,802 | ||||||
| 9,246,832 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Owens-Illinois, Inc.* | 111,700 | 1,945,814 | ||||||
Rexam PLC (United Kingdom) | 7,602 | 67,806 | ||||||
| 2,013,620 | ||||||||
Diversified Financial Services — 1.4% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 301,000 | 39,744,040 | ||||||
Groupe Bruxelles Lambert SA (Belgium) | 874 | 74,786 | ||||||
Investment AB Kinnevik (Sweden) (Class B Stock) | 2,725 | 83,934 | ||||||
Investor AB (Sweden) (Class B Stock) | 25,111 | 922,834 | ||||||
McGraw-Hill Financial, Inc. | 101,100 | 9,966,438 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 5,700 | 29,334 | ||||||
ORIX Corp. (Japan) | 81,800 | 1,147,528 | ||||||
| 51,968,894 | ||||||||
Diversified Telecommunication Services — 1.9% |
| |||||||
AT&T, Inc. | 1,021,420 | 35,147,062 | ||||||
BT Group PLC (United Kingdom) | 51,020 | 354,263 | ||||||
Deutsche Telekom AG (Germany) | 4,429 | 79,548 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 35,100 | 1,396,914 | ||||||
Orange SA (France) | 65,876 | 1,101,830 | ||||||
PCCW Ltd. (Hong Kong) | 55,000 | 32,151 | ||||||
Spark New Zealand Ltd. (New Zealand) | 291,049 | 655,342 | ||||||
Telecom Italia SpA (Italy) | 65,066 | 66,780 | ||||||
Telecom Italia SpA (Italy)*(a) | 136,581 | 173,092 | ||||||
Telefonica SA (Spain) | 52,767 | 585,396 | ||||||
TPG Telecom Ltd. (Australia) | 3,430 | 24,558 | ||||||
Verizon Communications, Inc. | 701,188 | 32,408,909 | ||||||
| 72,025,845 | ||||||||
Electric Utilities — 1.1% | ||||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 7,000 | 64,672 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 7,000 | 95,856 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 3,200 | 42,251 | ||||||
EDP-Energias de Portugal SA (Portugal) | 18,791 | 67,711 | ||||||
Electricite de France (France) | 52,463 | 772,652 | ||||||
Endesa SA (Spain)(a) | 31,740 | 637,649 | ||||||
Entergy Corp. | 49,700 | 3,397,492 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) | ||||||||
Exelon Corp. | 524,900 | $ | 14,576,473 | |||||
FirstEnergy Corp. | 254,300 | 8,068,939 | ||||||
Fortum OYJ (Finland) | 58,563 | 882,340 | ||||||
Hokuriku Electric Power Co. (Japan) | 1,700 | 25,123 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 8,300 | 99,515 | ||||||
Kyushu Electric Power Co., Inc. (Japan)* | 4,700 | 51,226 | ||||||
PPL Corp. | 403,300 | 13,764,629 | ||||||
Red Electrica Corp. SA (Spain) | 1,201 | 100,320 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 2,500 | 39,053 | ||||||
SSE PLC (United Kingdom) | 7,874 | 176,802 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 5,000 | 62,507 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 15,800 | 90,980 | ||||||
| 43,016,190 | ||||||||
Electrical Equipment — 0.1% | ||||||||
Acuity Brands, Inc.(a) | 9,500 | 2,221,100 | ||||||
Fuji Electric Co. Ltd. (Japan) | 6,000 | 25,163 | ||||||
OSRAM Licht AG (Germany) | 972 | 40,610 | ||||||
Vestas Wind Systems A/S (Denmark) | 19,410 | 1,355,571 | ||||||
| 3,642,444 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Alps Electric Co. Ltd. (Japan) | 26,400 | 715,916 | ||||||
CDW Corp. | 72,400 | 3,043,696 | ||||||
Citizen Holdings Co. Ltd. (Japan) | 2,900 | 20,843 | ||||||
Ibiden Co. Ltd. (Japan) | 1,300 | 18,637 | ||||||
Ingenico Group (France) | 596 | 75,228 | ||||||
Jabil Circuit, Inc. | 89,700 | 2,089,113 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 7,000 | 1,007,169 | ||||||
TDK Corp. (Japan) | 1,500 | 96,066 | ||||||
Yokogawa Electric Corp. (Japan) | 65,800 | 791,307 | ||||||
| 7,857,975 | ||||||||
Energy Equipment & Services — 0.1% |
| |||||||
Ensco PLC (Class A Stock) | 358,700 | 5,520,393 | ||||||
Petrofac Ltd. (United Kingdom) | 3,074 | 36,057 | ||||||
Transocean Ltd.(a) | 4,027 | 50,340 | ||||||
| 5,606,790 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
Casino Guichard Perrachon SA (France)(a) | 591 | 27,151 | ||||||
ICA Gruppen AB (Sweden)(a) | 22,003 | 799,069 | ||||||
J. Sainsbury PLC (United Kingdom) | 211,202 | 804,305 | ||||||
Kroger Co. (The) | 469,300 | 19,630,819 | ||||||
Lawson, Inc. (Japan) | 700 | 56,820 | ||||||
METRO AG (Germany) | 13,773 | 438,773 | ||||||
Wal-Mart Stores, Inc. | 370,900 | 22,736,170 | ||||||
Wesfarmers Ltd. (Australia) | 39,436 | 1,188,917 | ||||||
Woolworths Ltd. (Australia) | 15,132 | 268,479 | ||||||
| 45,950,503 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products — 1.2% | ||||||||
Archer-Daniels-Midland Co. | 378,300 | $ | 13,876,044 | |||||
Bunge Ltd. | 170,800 | 11,662,224 | ||||||
Ingredion, Inc. | 19,700 | 1,888,048 | ||||||
Kerry Group PLC (Ireland) (Class A Stock) | 1,848 | 152,904 | ||||||
Lindt & Spruengli AG (Switzerland) | 1 | 74,501 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 500 | 41,300 | ||||||
Nestle SA (Switzerland) | 26,943 | 2,000,120 | ||||||
Nippon Meat Packers, Inc. (Japan) | 2,000 | 39,200 | ||||||
Orkla ASA (Norway) | 5,585 | 44,060 | ||||||
Tate & Lyle PLC (United Kingdom) | 1,631 | 14,366 | ||||||
Tyson Foods, Inc. (Class A Stock) | 251,900 | 13,433,827 | ||||||
Wilmar International Ltd. (Singapore) | 387,300 | 799,128 | ||||||
| 44,025,722 | ||||||||
Gas Utilities — 0.1% | ||||||||
Enagas SA (Spain) | 1,698 | 47,897 | ||||||
UGI Corp. | 146,600 | 4,949,216 | ||||||
| 4,997,113 | ||||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
Abbott Laboratories | 219,500 | 9,857,745 | ||||||
C.R. Bard, Inc. | 69,900 | 13,241,856 | ||||||
Hologic, Inc.*(a) | 141,000 | 5,455,290 | ||||||
Hoya Corp. (Japan) | 4,900 | 200,374 | ||||||
Masimo Corp.* | 18,500 | 767,935 | ||||||
Stryker Corp. | 147,500 | 13,708,650 | ||||||
| 43,231,850 | ||||||||
Health Care Providers & Services — 1.9% |
| |||||||
Aetna, Inc. | 171,800 | 18,575,016 | ||||||
Alfresa Holdings Corp. (Japan) | 1,900 | 37,526 | ||||||
Anthem, Inc. | 81,400 | 11,350,416 | ||||||
Cardinal Health, Inc. | 11,800 | 1,053,386 | ||||||
Cigna Corp. | 30,400 | 4,448,432 | ||||||
Express Scripts Holding Co.*(a) | 205,900 | 17,997,719 | ||||||
Fresenius SE & Co. KGaA (Germany) | 4,466 | 318,125 | ||||||
McKesson Corp.(a) | 70,500 | 13,904,715 | ||||||
Medipal Holdings Corp. (Japan) | 22,000 | 374,968 | ||||||
Miraca Holdings, Inc. (Japan) | 800 | 35,201 | ||||||
Ramsay Health Care Ltd. (Australia) | 1,651 | 81,183 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 5,231 | 30,358 | ||||||
Sonic Healthcare Ltd. (Australia) | 8,509 | 110,167 | ||||||
Suzuken Co. Ltd. (Japan) | 1,080 | 41,042 | ||||||
UnitedHealth Group, Inc. | 17,300 | 2,035,172 | ||||||
| 70,393,426 | ||||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Bloomin’ Brands, Inc. | 119,400 | 2,016,666 | ||||||
Boyd Gaming Corp.* | 119,400 | 2,372,478 | ||||||
Carnival PLC | 2,131 | 121,396 | ||||||
Extended Stay America, Inc. | 86,800 | 1,380,120 | ||||||
Flight Centre Travel Group Ltd. (Australia)(a) | 28,129 | 811,259 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
Marriott Vacations Worldwide Corp. | 38,000 | $ | 2,164,100 | |||||
McDonald’s Corp. | 247,300 | 29,216,022 | ||||||
Sodexo SA (France) | 1,093 | 106,783 | ||||||
Starbucks Corp. | 42,900 | 2,575,287 | ||||||
Tui AG (Germany) | 5,434 | 97,025 | ||||||
Yum! Brands, Inc.(a) | 128,800 | 9,408,840 | ||||||
| 50,269,976 | ||||||||
Household Durables — 0.1% | ||||||||
Barratt Developments PLC (United Kingdom) | 98,279 | 905,618 | ||||||
Electrolux AB (Sweden) | 7,645 | 184,454 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 2,000 | 37,068 | ||||||
Nikon Corp. (Japan)(a) | 21,300 | 285,281 | ||||||
Persimmon PLC (United Kingdom) | 3,351 | 99,972 | ||||||
Rinnai Corp. (Japan) | 500 | 44,302 | ||||||
Sekisui House Ltd. (Japan) | 14,900 | 250,525 | ||||||
Taylor Wimpey PLC (United Kingdom) | 347,352 | 1,038,368 | ||||||
| 2,845,588 | ||||||||
Household Products — 1.5% | ||||||||
Kimberly-Clark Corp. | 143,800 | 18,305,740 | ||||||
Procter & Gamble Co. (The) | 448,705 | 35,631,664 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 6,992 | 646,948 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 39,008 | 1,130,456 | ||||||
| 55,714,808 | ||||||||
Independent Power & Renewable Electricity Producers — 0.5% |
| |||||||
AES Corp. | 942,300 | 9,017,811 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1,600 | 56,987 | ||||||
NRG Energy, Inc. | 905,800 | 10,661,266 | ||||||
| 19,736,064 | ||||||||
Industrial Conglomerates — 1.1% | ||||||||
3M Co. | 145,900 | 21,978,376 | ||||||
Carlisle Cos., Inc. | 63,800 | 5,658,422 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 86,020 | 1,156,275 | ||||||
General Electric Co. | 396,492 | 12,350,726 | ||||||
Seibu Holdings, Inc. (Japan) | 1,400 | 28,591 | ||||||
Siemens AG (Germany) | 4,870 | 471,155 | ||||||
| 41,643,545 | ||||||||
Insurance — 1.4% | ||||||||
Aflac, Inc. | 158,100 | 9,470,190 | ||||||
Ageas (Belgium) | 2,220 | 103,039 | ||||||
AIA Group Ltd. (Hong Kong) | 7,400 | 44,216 | ||||||
Allianz SE (Germany) | 10,700 | 1,886,185 | ||||||
Allstate Corp. (The) | 228,000 | 14,156,520 | ||||||
American Financial Group, Inc. | 51,300 | 3,697,704 | ||||||
AXA SA (France) | 22,783 | 622,516 | ||||||
Baloise Holding AG (Switzerland) | 2,343 | 296,948 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) | 12,500 | 207,971 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) | ||||||||
Direct Line Insurance Group PLC (United Kingdom) | 15,083 | $ | 90,410 | |||||
Hannover Rueck SE (Germany) | 10,062 | 1,148,981 | ||||||
Japan Post Holdings Co. Ltd. (Japan)* | 5,200 | 80,686 | ||||||
Legal & General Group PLC (United Kingdom) | 236,564 | 933,464 | ||||||
Medibank Pvt Ltd. (Australia) | 30,636 | 47,771 | ||||||
MetLife, Inc. | 61,100 | 2,945,631 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 3,483 | 693,947 | ||||||
NN Group NV (Netherlands) | 18,186 | 641,658 | ||||||
Old Mutual PLC (United Kingdom) | 52,817 | 138,944 | ||||||
Old Republic International Corp. | 200,600 | 3,737,178 | ||||||
RSA Insurance Group PLC (United Kingdom) | 20,476 | 128,515 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 5,197 | 263,917 | ||||||
SCOR SE (France) | 2,736 | 102,375 | ||||||
Swiss Life Holding AG (Switzerland) | 342 | 92,118 | ||||||
Swiss Re AG (Switzerland) | 11,889 | 1,161,155 | ||||||
Travelers Cos., Inc. (The) | 69,700 | 7,866,342 | ||||||
UnipolSai SpA (Italy) | 301,829 | 767,889 | ||||||
| 51,326,270 | ||||||||
Internet & Catalog Retail — 1.2% | ||||||||
Amazon.com, Inc.* | 66,600 | 45,014,274 | ||||||
Internet Software & Services — 2.3% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 34,300 | 26,685,743 | ||||||
Alphabet, Inc. (Class C Stock)* | 48,582 | 36,867,908 | ||||||
eBay, Inc.* | 440,900 | 12,115,932 | ||||||
Facebook, Inc. (Class A Stock)* | 89,000 | 9,314,740 | ||||||
Mixi, Inc. (Japan) | 500 | 18,702 | ||||||
Yahoo Japan Corp. (Japan) | 16,500 | 67,071 | ||||||
| 85,070,096 | ||||||||
IT Services — 1.7% | ||||||||
Accenture PLC (Class A Stock) | 163,500 | 17,085,750 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 5,013 | 220,947 | ||||||
Atos SE (France) | 960 | 80,595 | ||||||
Cap Gemini SA (France) | 6,361 | 590,212 | ||||||
CSRA, Inc. | 133,100 | 3,993,000 | ||||||
DST Systems, Inc. | 6,800 | 775,608 | ||||||
Fiserv, Inc.*(a) | 79,000 | 7,225,340 | ||||||
International Business Machines Corp. | 32,900 | 4,527,698 | ||||||
Obic Co. Ltd. (Japan) | 800 | 42,348 | ||||||
Total System Services, Inc. | 88,900 | 4,427,220 | ||||||
Visa, Inc. (Class A Stock)(a) | 309,000 | 23,962,950 | ||||||
| 62,931,668 | ||||||||
Leisure Products | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 2,100 | 44,367 | ||||||
Sankyo Co. Ltd. (Japan) | 600 | 22,396 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Leisure Products (continued) | ||||||||
Shimano, Inc. (Japan) | 900 | $ | 138,203 | |||||
| 204,966 | ||||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Lonza Group AG (Switzerland) | 616 | 100,183 | ||||||
QIAGEN NV* | 2,386 | 64,671 | ||||||
Thermo Fisher Scientific, Inc. | 134,400 | 19,064,640 | ||||||
| 19,229,494 | ||||||||
Machinery — 0.5% | ||||||||
Amada Co. Ltd. (Japan) | 3,800 | 36,262 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 4,607 | 105,917 | ||||||
Colfax Corp.* | 87,300 | 2,038,455 | ||||||
Hoshizaki Electric Co. Ltd. (Japan) | 500 | 31,083 | ||||||
Joy Global, Inc. | 295,400 | 3,724,994 | ||||||
JTEKT Corp. (Japan) | 2,500 | 40,920 | ||||||
Kawasaki Heavy Industries Ltd. (Japan) | 16,000 | 59,198 | ||||||
Kone OYJ (Finland) (Class B Stock) | 3,668 | 155,308 | ||||||
Kubota Corp. (Japan) | 13,000 | 200,832 | ||||||
Makita Corp. (Japan) | 1,300 | 74,915 | ||||||
Minebea Co. Ltd. (Japan) | 4,000 | 34,248 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 42,000 | 183,645 | ||||||
NGK Insulators Ltd. (Japan) | 30,000 | 676,206 | ||||||
Rexnord Corp.* | 109,500 | 1,984,140 | ||||||
Schindler Holding AG (Switzerland) | 752 | 126,115 | ||||||
SMC Corp. (Japan) | 600 | 155,840 | ||||||
Trinity Industries, Inc. | 273,400 | 6,567,068 | ||||||
Volvo AB (Sweden) (Class B Stock) | 4,575 | 42,422 | ||||||
Wabash National Corp.*(a) | 162,800 | 1,925,924 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 26,000 | 20,087 | ||||||
| 18,183,579 | ||||||||
Marine | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 41 | 52,796 | ||||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 498 | 649,544 | ||||||
Kuehne + Nagel International AG (Switzerland) | 4,362 | 597,591 | ||||||
Nippon Yusen K.K. (Japan) | 152,000 | 368,401 | ||||||
| 1,668,332 | ||||||||
Media — 1.5% | ||||||||
Cinemark Holdings, Inc. | 74,600 | 2,493,878 | ||||||
Comcast Corp. (Class A Stock)(a) | 475,673 | 26,842,227 | ||||||
Dentsu, Inc. (Japan) | 2,400 | 131,309 | ||||||
Interpublic Group of Cos., Inc. (The) | 134,400 | 3,128,832 | ||||||
News Corp. (Class A Stock) | 408,900 | 5,462,904 | ||||||
News Corp. (Class B Stock)(a) | 72,700 | 1,014,892 | ||||||
ProSiebenSat.1 Media AG (Germany) | 20,373 | 1,027,850 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) | ||||||||
RTL Group SA (Luxembourg) | 420 | $ | 34,976 | |||||
Thomson Reuters Corp. | 111,400 | 4,216,490 | ||||||
Time, Inc. | 187,300 | 2,934,991 | ||||||
Toho Co. Ltd. (Japan) | 1,200 | 33,207 | ||||||
Walt Disney Co. (The) | 77,600 | 8,154,208 | ||||||
Wolters Kluwer NV (Netherlands) | 24,712 | 829,921 | ||||||
| 56,305,685 | ||||||||
Metals & Mining — 0.1% | ||||||||
BHP Billiton PLC (Australia) | 6,611 | 73,725 | ||||||
Boliden AB (Sweden) | 43,284 | 725,188 | ||||||
Fortescue Metals Group Ltd. (Australia)(a) | 529,587 | 712,686 | ||||||
JFE Holdings, Inc. (Japan) | 5,500 | 86,363 | ||||||
Mitsubishi Materials Corp. (Japan) | 12,000 | 37,796 | ||||||
Newcrest Mining Ltd. (Australia)* | 8,849 | 83,731 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 8,400 | 166,172 | ||||||
Rio Tinto PLC (United Kingdom) | 14,017 | 408,111 | ||||||
Steel Dynamics, Inc. | 106,300 | 1,899,581 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 5,000 | 60,695 | ||||||
Voestalpine AG (Austria) | 21,944 | 671,231 | ||||||
| 4,925,279 | ||||||||
Multi-Utilities — 0.6% | ||||||||
CenterPoint Energy, Inc. | 253,900 | 4,661,604 | ||||||
National Grid PLC (United Kingdom) | 110,000 | 1,517,084 | ||||||
Public Service Enterprise Group, Inc. | 355,400 | 13,750,426 | ||||||
RWE AG (Germany) | 61,431 | 774,488 | ||||||
| 20,703,602 | ||||||||
Multiline Retail — 0.7% | ||||||||
Dillard’s, Inc. (Class A Stock)(a) | 41,200 | 2,707,252 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 6,703 | 20,263 | ||||||
Isetan Mitsukoshi Holdings Ltd. (Japan) | 3,800 | 49,556 | ||||||
J. Front Retailing Co. Ltd. (Japan) | 2,600 | 37,798 | ||||||
Macy’s, Inc.(a) | 234,100 | 8,188,818 | ||||||
Next PLC (United Kingdom) | 1,587 | 170,398 | ||||||
Ryohin Keikaku Co. Ltd. (Japan) | 300 | 60,753 | ||||||
Takashimaya Co. Ltd. (Japan) | 4,000 | 36,022 | ||||||
Target Corp. | 187,900 | 13,643,419 | ||||||
| 24,914,279 | ||||||||
Oil, Gas & Consumable Fuels — 3.7% |
| |||||||
BG Group PLC (United Kingdom) | 40,409 | 585,766 | ||||||
BP PLC (United Kingdom) | 316,916 | 1,646,922 | ||||||
Caltex Australia Ltd. (Australia) | 3,232 | 88,342 | ||||||
Chevron Corp. | 240,056 | 21,595,438 | ||||||
Columbia Pipeline Group, Inc. | 216,000 | 4,320,000 | ||||||
Eni SpA (Italy) | 9,114 | 135,418 | ||||||
Exxon Mobil Corp. | 311,316 | 24,267,082 | ||||||
Galp Energia SGPS SA (Portugal) | 35,810 | 417,857 | ||||||
Hess Corp. | 187,200 | 9,075,456 | ||||||
HollyFrontier Corp. | 258,300 | 10,303,587 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Kinder Morgan, Inc. | 111,200 | $ | 1,659,104 | |||||
Marathon Oil Corp. | 456,300 | 5,744,817 | ||||||
Marathon Petroleum Corp. | 288,200 | 14,940,288 | ||||||
Neste OYJ (Finland) | 1,749 | 52,201 | ||||||
OMV AG (Austria) | 19,270 | 546,987 | ||||||
ONEOK, Inc.(a) | 74,800 | 1,844,568 | ||||||
Phillips 66 | 185,800 | 15,198,440 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 47,197 | 1,068,979 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 28,660 | 653,192 | ||||||
Total SA (France) | 37,955 | 1,701,585 | ||||||
Valero Energy Corp.(a) | 286,600 | 20,265,486 | ||||||
Western Refining, Inc. | 94,600 | 3,369,652 | ||||||
| 139,481,167 | ||||||||
Paper & Forest Products — 0.3% | ||||||||
Boise Cascade Co.* | 64,400 | 1,644,132 | ||||||
International Paper Co. | 233,700 | 8,810,490 | ||||||
Mondi PLC (South Africa) | 40,445 | 792,757 | ||||||
UPM-Kymmene OYJ (Finland) | 45,022 | 835,852 | ||||||
| 12,083,231 | ||||||||
Personal Products | ||||||||
Unilever NV (United Kingdom) | 22,549 | 982,783 | ||||||
Unilever PLC (United Kingdom) | 1,531 | 65,668 | ||||||
| 1,048,451 | ||||||||
Pharmaceuticals — 3.3% | ||||||||
Astellas Pharma, Inc. (Japan) | 24,000 | 341,658 | ||||||
AstraZeneca PLC (United Kingdom) | 5,148 | 347,736 | ||||||
Bayer AG (Germany) | 7,248 | 905,210 | ||||||
Bristol-Myers Squibb Co. | 292,000 | 20,086,680 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 45,300 | 934,979 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 57,329 | 1,157,814 | ||||||
Jazz Pharmaceuticals PLC* | 18,900 | 2,656,584 | ||||||
Johnson & Johnson | 329,698 | 33,866,579 | ||||||
Mallinckrodt PLC* | 65,700 | 4,903,191 | ||||||
Merck & Co., Inc. | 482,900 | 25,506,778 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 2,600 | 44,795 | ||||||
Novartis AG (Switzerland) | 26,835 | 2,308,327 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 12,075 | 699,121 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 32,800 | 1,165,349 | ||||||
Pfizer, Inc. | 750,897 | 24,238,955 | ||||||
Roche Holding AG (Switzerland) | 10,998 | 3,047,638 | ||||||
Sanofi (France) | 12,872 | 1,096,980 | ||||||
Shire PLC (Ireland) | 16,497 | 1,131,823 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 21,973 | 1,433,539 | ||||||
| 125,873,736 | ||||||||
Professional Services — 0.2% | ||||||||
Capita PLC (United Kingdom) | 17,739 | 315,623 | ||||||
Intertek Group PLC (United Kingdom) | 1,912 | 78,214 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Professional Services (continued) | ||||||||
Randstad Holding NV (Netherlands) | 1,489 | $ | 92,723 | |||||
Robert Half International, Inc. | 138,500 | 6,528,890 | ||||||
SGS SA (Switzerland) | 378 | 718,389 | ||||||
| 7,733,839 | ||||||||
Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Annaly Capital Management, Inc. | 1,158,200 | 10,863,916 | ||||||
Ascendas Real Estate Investment Trust (Singapore) | 22,200 | 35,579 | ||||||
British Land Co. PLC (The) (United Kingdom) | 11,499 | 133,054 | ||||||
CBL & Associates Properties, Inc. | 329,300 | 4,073,441 | ||||||
Chimera Investment Corp. | 108,100 | 1,474,484 | ||||||
Dexus Property Group (Australia) | 11,410 | 61,890 | ||||||
Fonciere Des Regions (France) | 351 | 31,394 | ||||||
Franklin Street Properties Corp. | 84,000 | 869,400 | ||||||
Gecina SA (France) | 382 | 46,441 | ||||||
GEO Group, Inc. (The) | 32,600 | 942,466 | ||||||
GPT Group (Australia) | 92,757 | 321,235 | ||||||
Hammerson PLC (United Kingdom) | 98,383 | 869,746 | ||||||
Hospitality Properties Trust | 196,500 | 5,138,475 | ||||||
Land Securities Group PLC (United Kingdom) | 9,268 | 160,662 | ||||||
Link REIT (The) (Hong Kong) | 188,500 | 1,123,815 | ||||||
Nomura Real Estate Master Fund, Inc. (Japan)* | 39 | 48,476 | ||||||
Prologis, Inc. | 348,700 | 14,966,204 | ||||||
Segro PLC (United Kingdom) | 77,564 | 490,865 | ||||||
Senior Housing Properties Trust | 141,600 | 2,101,344 | ||||||
Simon Property Group, Inc. | 91,000 | 17,694,040 | ||||||
Starwood Property Trust, Inc. | 123,300 | 2,535,048 | ||||||
Suntec Real Estate Investment Trust (Singapore) | 27,600 | 30,058 | ||||||
WP Carey, Inc. | 35,200 | 2,076,800 | ||||||
| 66,088,833 | ||||||||
Real Estate Management & Development — 0.5% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 303,900 | 10,508,862 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 24,100 | 692,787 | ||||||
Deutsche Wohnen AG (Germany) | 4,022 | 111,216 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 13,510 | 82,411 | ||||||
Hysan Development Co. Ltd. (Hong Kong) | 56,000 | 228,797 | ||||||
Jones Lang LaSalle, Inc. | 36,600 | 5,850,876 | ||||||
Kerry Properties Ltd. (Hong Kong) | 7,000 | 19,050 | ||||||
New World Development Co. Ltd. (Hong Kong) | 62,000 | 60,880 | ||||||
Nomura Real Estate Holdings, Inc. (Japan) | 1,800 | 33,394 | ||||||
RMR Group, Inc. (The) (Class A Stock)* | 4,832 | 69,629 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 34,000 | 49,530 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 12,000 | 144,235 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Management & Development (continued) |
| |||||||
Swiss Prime Site AG (Switzerland) | 782 | $ | 61,072 | |||||
Tokyu Fudosan Holdings Corp. (Japan) | 6,000 | 37,607 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 142,000 | 782,914 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 112,000 | 469,973 | ||||||
| 19,203,233 | ||||||||
Road & Rail — 0.1% |
| |||||||
AMERCO | 3,300 | 1,285,350 | ||||||
Central Japan Railway Co. (Japan) | 1,700 | 301,808 | ||||||
East Japan Railway Co. (Japan) | 3,800 | 357,831 | ||||||
West Japan Railway Co. (Japan) | 1,800 | 124,421 | ||||||
| 2,069,410 | ||||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
Infineon Technologies AG (Germany) | 13,060 | 190,399 | ||||||
Intel Corp.(a) | 1,019,600 | 35,125,220 | ||||||
Texas Instruments, Inc. | 307,700 | 16,865,037 | ||||||
| 52,180,656 | ||||||||
Software — 2.9% |
| |||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 3,600 | 292,968 | ||||||
Citrix Systems, Inc.*(a) | 134,100 | 10,144,665 | ||||||
Intuit, Inc. | 117,800 | 11,367,700 | ||||||
Konami Holdings Corp (Japan) | 23,600 | 561,787 | ||||||
Manhattan Associates, Inc.* | 91,100 | 6,028,087 | ||||||
Microsoft Corp. | 1,148,900 | 63,740,972 | ||||||
Nexon Co. Ltd. (Japan) | 23,500 | 382,292 | ||||||
Nuance Communications, Inc.* | 94,600 | 1,881,594 | ||||||
Oracle Corp. | 328,400 | 11,996,452 | ||||||
SAP SE (Germany) | 11,472 | 910,345 | ||||||
Synopsys, Inc.* | 48,900 | 2,230,329 | ||||||
| 109,537,191 | ||||||||
Specialty Retail — 1.3% | ||||||||
AutoNation, Inc.* | 40,300 | 2,404,298 | ||||||
Best Buy Co., Inc. | 281,400 | 8,568,630 | ||||||
Gap, Inc. (The)(a) | 240,200 | 5,932,940 | ||||||
GNC Holdings, Inc. (Class A Stock) | 71,600 | 2,221,032 | ||||||
Home Depot, Inc. (The) | 111,100 | 14,692,975 | ||||||
Industria de Diseno Textil SA (Spain) | 32,557 | 1,118,473 | ||||||
Lowe’s Cos, Inc. | 47,300 | 3,596,692 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 800 | 67,186 | ||||||
Ross Stores, Inc. | 72,000 | 3,874,320 | ||||||
Shimamura Co. Ltd. (Japan) | 200 | 23,422 | ||||||
Staples, Inc. | 733,800 | 6,949,086 | ||||||
Yamada Denki Co. Ltd. (Japan) | 8,000 | 34,556 | ||||||
| 49,483,610 | ||||||||
Technology Hardware, Storage & Peripherals — 2.7% |
| |||||||
Apple, Inc. | 774,600 | 81,534,396 | ||||||
EMC Corp. | 89,900 | 2,308,632 | ||||||
FUJIFILM Holdings Corp. (Japan) | 29,500 | 1,231,109 | ||||||
Hewlett Packard Enterprise Co. | 654,500 | 9,948,400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Technology Hardware, Storage & Peripherals (continued) |
| |||||||
HP, Inc. | 654,500 | $ | 7,749,280 | |||||
| 102,771,817 | ||||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
adidas AG (Germany) | 9,522 | 924,202 | ||||||
Christian Dior SE (France) | 4,394 | 746,379 | ||||||
Michael Kors Holdings Ltd.* | 112,900 | 4,522,774 | ||||||
NIKE, Inc. (Class B Stock) | 324,600 | 20,287,500 | ||||||
Oxford Industries, Inc. | 33,700 | 2,150,734 | ||||||
Pandora A/S (Denmark) | 3,380 | 426,164 | ||||||
Swatch Group AG (The) (Switzerland) | 536 | 36,196 | ||||||
| 29,093,949 | ||||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 465,000 | 27,067,650 | ||||||
British American Tobacco PLC (United Kingdom) | 21,864 | 1,214,203 | ||||||
Imperial Tobacco Group PLC (United Kingdom) | 25,108 | 1,326,154 | ||||||
Japan Tobacco, Inc. (Japan) | 26,400 | 969,244 | ||||||
Swedish Match AB (Sweden) | 2,268 | 80,145 | ||||||
| 30,657,396 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
AerCap Holdings NV (Netherlands)* | 17,300 | 746,668 | ||||||
Ashtead Group PLC (United Kingdom) | 48,667 | 800,958 | ||||||
ITOCHU Corp. (Japan) | 18,700 | 221,192 | ||||||
Mitsui & Co. Ltd. (Japan) | 5,800 | 68,916 | ||||||
Sumitomo Corp. (Japan) | 12,200 | 124,383 | ||||||
| 1,962,117 | ||||||||
Transportation Infrastructure | ||||||||
Atlantia SpA (Italy) | 4,465 | 118,137 | ||||||
Japan Airport Terminal Co. Ltd. (Japan) | 500 | 22,135 | ||||||
Kamigumi Co. Ltd. (Japan) | 3,000 | 25,829 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure (continued) |
| |||||||
Sydney Airport (Australia) | 12,857 | $ | 59,172 | |||||
| 225,273 | ||||||||
Water Utilities | ||||||||
Severn Trent PLC (United Kingdom) | 2,569 | 82,123 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 59,100 | 1,534,839 | ||||||
NTT DOCOMO, Inc. (Japan) | 16,700 | 342,544 | ||||||
Vodafone Group PLC (United Kingdom) | 308,578 | 1,000,652 | ||||||
| 2,878,035 | ||||||||
TOTAL COMMON STOCKS |
| 2,264,745,333 | ||||||
| EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE Index Fund(a) (cost $820,598) | 14,050 | 825,438 | ||||||
| PREFERRED STOCKS | ||||||||
Automobiles | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 596 | 49,865 | ||||||
Volkswagen AG (Germany) (PRFC) | 2,221 | 320,668 | ||||||
| 370,533 | ||||||||
Banks | ||||||||
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b) | 22,000 | 571,780 | ||||||
TOTAL PREFERRED STOCKS |
| 942,313 | ||||||
| Units | ||||||||
| RIGHTS* | ||||||||
Real Estate Investment Trusts (REITs) |
| |||||||
Ascendias Real Estate Investment (Singapore), expiring 01/13/16 (cost $0) | 832 | 32 | ||||||
| ASSET-BACKED SECURITIES — 4.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||
Collateralized Debt Obligation | ||||||||||||
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A | 0.583%(b) | 04/25/19 | 372 | $ | 369,558 | |||||||
Collateralized Loan Obligations — 1.6% | ||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.497%(b) | 04/20/25 | 2,550 | 2,515,763 | ||||||||
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A | 2.029%(b) | 01/15/28 | 2,500 | 2,486,716 | ||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.131%(b) | 05/15/20 | 3,900 | 3,890,060 | ||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.823%(b) | 04/28/26 | 1,500 | 1,485,315 | ||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.921%(b) | 10/15/26 | 2,500 | 2,479,810 | ||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 1.865%(b) | 04/18/27 | 250 | 246,680 | ||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 1.861%(b) | 10/15/26 | 750 | 742,582 | ||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.915%(b) | 10/17/26 | 250 | 247,195 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES — 4.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 1.845% | (b) | 04/18/27 | 1,250 | $ | 1,237,264 | ||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.521% | (b) | 07/15/24 | 1,200 | 1,181,422 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.465% | (b) | 04/17/25 | 2,100 | 2,070,511 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.867% | (b) | 04/20/26 | 2,200 | 2,178,983 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.117% | (b) | 04/20/26 | 450 | 433,816 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 1.825% | (b) | 10/18/26 | 500 | 493,465 | |||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.787% | (b) | 01/20/26 | 2,300 | 2,276,757 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.715% | (b) | 01/17/26 | 500 | 494,208 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.570% | (b) | 07/22/20 | 257 | 255,717 | |||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 1.791% | (b) | 10/15/26 | 1,250 | 1,237,241 | |||||||||
HLM (Cayman Islands), Series 2015-15, Class 6A, 144A | 1.784% | (b) | 05/05/27 | 250 | 246,635 | |||||||||
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.280% | 01/25/27 | 1,000 | 975,872 | ||||||||||
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.461% | (b) | 04/15/24 | 1,850 | 1,828,719 | |||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.861% | (b) | 04/15/27 | 500 | 495,022 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.952% | (b) | 05/15/26 | 300 | 295,864 | |||||||||
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 1.817% | (b) | 04/18/26 | 750 | 739,324 | |||||||||
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.740% | (b) | 07/25/26 | 3,000 | 2,970,793 | |||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.801% | (b) | 04/15/26 | 5,300 | 5,259,788 | |||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 1.765% | (b) | 01/18/27 | 500 | 493,079 | |||||||||
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A | 2.420% | (b) | 07/25/23 | 250 | 247,727 | |||||||||
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A | 1.791% | (b) | 04/15/26 | 500 | 494,617 | |||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.470% | (b) | 07/22/25 | 1,200 | 1,185,104 | |||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 1.812% | (b) | 12/15/22 | 393 | 390,401 | |||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.620% | (b) | 02/20/25 | 250 | 246,296 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.795% | (b) | 07/17/26 | 800 | 793,117 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 495,512 | ||||||||||
Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.844% | (b) | 05/07/26 | 1,250 | 1,234,096 | |||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.371% | (b) | 04/15/25 | 3,200 | 3,142,770 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.014% | (b) | 08/17/22 | 500 | 491,703 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.017% | (b) | 10/20/23 | 1,100 | 1,098,323 | |||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 872 | 859,004 | ||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 1.940% | (b) | 01/22/27 | 2,250 | 2,229,875 | |||||||||
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A | 1.817% | (b) | 04/20/27 | 250 | 248,044 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.441% | (b) | 07/15/25 | 2,700 | 2,660,384 | |||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 1.947% | (b) | 04/20/26 | 3,000 | 2,971,007 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.817% | (b) | 04/20/26 | 1,850 | 1,831,492 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 485,790 | ||||||||||
| 60,363,863 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 1.3% | ||||||||||||||
AmeriCredit Automobile Receivables, Series 2015-4, Class A2B | 1.026% | (b) | 04/08/19 | 4,000 | 4,000,399 | |||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,700 | 1,687,254 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 6,000 | 5,925,087 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 4,700 | 4,640,984 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A | 2.260% | 11/15/25 | 2,000 | 2,016,133 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A | 2.310% | 04/15/26 | 3,200 | 3,194,746 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| ASSET-BACKED SECURITIES — 4.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Non-Residential Mortgage-Backed Securities (continued) | ||||||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A (original cost $1,800,000; purchased 05/13/15)(c)(d) | 0.831% | (b) | 05/15/20 | 1,800 | $ | 1,792,990 | ||||||||
Hertz Corp., Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 5,300 | 5,254,002 | ||||||||||
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 3,400 | 3,357,388 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,700 | 4,644,921 | ||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.031% | (b) | 12/17/18 | 2,800 | 2,798,998 | |||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.081% | (b) | 12/17/18 | 3,300 | 3,299,999 | |||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 3,895 | 3,867,206 | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,700 | 1,686,488 | ||||||||||
| 48,166,595 | ||||||||||||||
Residential Mortgage-Backed Securities — 1.5% | ||||||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 01/01/30 | 2,307 | 2,292,342 | |||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.376% | (b) | 08/26/36 | 1,384 | 1,277,140 | |||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.072% | (b) | 03/25/33 | 205 | 193,893 | |||||||||
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A | 2.402% | (b) | 10/30/47 | 2,500 | 2,480,155 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.914% | (b) | 07/25/35 | 302 | 287,917 | |||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.891% | (b) | 07/25/34 | 305 | 288,736 | |||||||||
GSAMP Trust, Series 2004-HE2, Class A3C | 1.582% | (b) | 09/25/34 | 674 | 658,365 | |||||||||
HSBC Home Equity Loan Trust U.S.A., Series 2006-4, Class A4 | 0.632% | (b) | 03/20/36 | 2,250 | 2,240,074 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.217% | (b) | 06/25/34 | 527 | 508,491 | |||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A | 3.344% | (b) | 09/01/21 | 4,458 | 4,452,185 | |||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A | 2.244% | (b) | 12/01/21 | 852 | 842,221 | |||||||||
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A | 2.244% | (b) | 03/01/20 | 3,708 | 3,654,338 | |||||||||
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A | 2.244% | (b) | 04/01/20 | 1,180 | 1,163,115 | |||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A | 2.244% | (b) | 04/01/20 | 1,995 | 1,966,486 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.244% | (b) | 05/01/20 | 4,713 | 4,630,590 | |||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.244% | (b) | 07/01/20 | 1,883 | 1,850,746 | |||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.244% | (b) | 08/01/20 | 2,105 | 2,066,839 | |||||||||
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A | 2.244% | (b) | 10/01/20 | 2,019 | 1,983,747 | |||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A | 2.244% | (b) | 11/02/20 | 1,459 | 1,433,908 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.622% | (b) | 05/25/33 | 344 | 325,407 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 1.367% | (b) | 06/25/34 | 765 | 719,762 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.472% | (b) | 12/27/33 | 641 | 618,534 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.322% | (b) | 07/25/32 | 289 | 277,857 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.697% | (b) | 09/25/32 | 412 | 405,931 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.187% | (b) | 02/25/34 | 698 | 648,119 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 2,753 | 2,706,217 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 2,283 | 2,269,497 | ||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,942 | 1,914,915 | ||||||||||
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A | 3.250% | 02/25/55 | 3,994 | 3,913,012 | ||||||||||
VOLT XXXVI LLC, Series 2015-NP10, Class A1, 144A | 3.625% | 07/25/45 | 2,733 | 2,694,321 | ||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 5,046 | 4,988,347 | ||||||||||
| 55,753,207 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 164,653,223 | ||||||||||||
| BANK LOANS(b) — 0.2% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 254 | 253,656 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| BANK LOANS(b) (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/30/23 | 673 | $ | 657,984 | |||||||||
Foods | ||||||||||||||
ARAMARK Corp. | 3.250% | 02/24/21 | 471 | 465,329 | ||||||||||
Health Care & Pharmaceutical — 0.1% | ||||||||||||||
RPI Finance Trust (Luxembourg) | 3.500% | 11/09/20 | 1,554 | 1,543,207 | ||||||||||
Retailers | ||||||||||||||
Staples, Inc. | 3.500% | 02/28/22 | 730 | 720,510 | ||||||||||
Technology — 0.1% | ||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 12/31/22 | 1,345 | 1,327,254 | ||||||||||
First Data Corp. | 3.918% | 03/26/18 | 1,134 | 1,117,621 | ||||||||||
TransUnion LLC | 3.500% | 04/09/21 | 491 | 476,021 | ||||||||||
| 2,920,896 | ||||||||||||||
Telecommunications | ||||||||||||||
T-Mobile USA, Inc. | 3.500% | 11/09/22 | 1,285 | 1,283,394 | ||||||||||
TOTAL BANK LOANS |
| 7,844,976 | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 191 | 194,560 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,501 | 1,262,811 | ||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.650% | (b) | 02/25/35 | 304 | 296,664 | |||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.658% | (b) | 03/25/35 | 268 | 247,289 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.702% | (b) | 02/25/37 | 632 | 616,051 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(l) | 2.372% | (b) | 11/25/24 | 2,876 | 2,890,146 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(l) | 1.922% | (b) | 02/25/25 | 844 | 845,477 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(l) | 1.572% | (b) | 05/25/25 | 5,771 | 5,752,756 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(l) | 1.322% | (b) | 10/25/27 | 8,457 | 8,440,656 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(l) | 1.772% | (b) | 04/25/28 | 2,459 | 2,459,837 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.726% | (b) | 07/25/35 | 365 | 365,646 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 59 | 59,694 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.586% | (b) | 02/25/34 | 310 | 307,633 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 85 | 84,994 | ||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 23,824,214 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.8% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 671 | 671,358 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.568% | (b) | 04/10/49 | 5,243 | 5,395,231 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 | 5.592% | (b) | 04/10/49 | 123 | 123,056 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.710% | (b) | 12/10/49 | 1,000 | 1,033,367 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,086,872 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,813,884 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 | 3.356% | 07/10/47 | 2,800 | 2,819,304 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4 | 3.462% | 09/15/48 | 4,900 | 4,899,638 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 955 | 969,859 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 972,960 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,700 | 1,677,822 | ||||||||||
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3 | 3.326% | 11/10/47 | 5,000 | 4,969,571 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,743,110 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 2,861,295 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,336,108 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR27, Class A3 | 3.349% | 10/10/48 | 6,100 | 6,035,565 | ||||||||||
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A | 3.178% | 02/10/35 | 1,400 | 1,371,922 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 3,000 | $ | 2,999,447 | |||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.555% | (b) | 09/10/35 | 3,900 | 3,942,496 | |||||||||
Fannie Mae-ACES, Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,515 | 2,646,198 | |||||||||
Fannie Mae-ACES, Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 6,500 | 6,597,786 | |||||||||
Fannie Mae-ACES, Series 2015-M17, Class A2 | 3.038% | (b) | 11/25/25 | 3,900 | 3,873,677 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,592,892 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 2,000 | 1,984,005 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.454% | (b) | 05/25/22 | 24,961 | 1,864,360 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.493% | (b) | 06/25/22 | 7,063 | 534,606 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 5,800 | 6,032,429 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 2,400 | 2,521,271 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.582% | (b) | 08/25/16 | 5,594 | 27,888 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.771% | (b) | 05/25/19 | 18,985 | 944,055 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.700% | (b) | 07/25/19 | 20,372 | 1,006,532 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | 05/25/25 | 2,500 | 2,520,038 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 4,000 | 3,935,919 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC32, Class A3 | 3.498% | 07/10/48 | 5,800 | 5,843,303 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,400 | 1,403,863 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 6,000 | 5,825,311 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 169 | 168,897 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,823 | 1,846,852 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,661,924 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | 3,852,694 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 2,700 | 2,756,257 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,356,338 | ||||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.666% | (b) | 05/12/39 | 930 | 933,590 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.520% | (b) | 02/12/39 | 530 | 529,604 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 5.882% | (b) | 06/12/46 | 731 | 730,873 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,547 | 1,559,882 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,476,699 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 5,000 | 4,996,460 | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.779% | (b) | 10/15/42 | 369 | 368,651 | |||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 682 | 680,942 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 | 5.439% | 02/12/44 | 133 | 132,969 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,673,239 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 3,856,465 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,776,612 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | 5.767% | (b) | 05/15/43 | 70 | 70,212 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 4,500 | 4,625,081 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 1,311 | $ | 1,353,628 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3 | 3.354% | 09/15/57 | 6,000 | 5,937,201 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 143,222,068 | ||||||||||||
| CORPORATE BONDS — 9.6% | ||||||||||||||
Agriculture — 0.2% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,500 | 1,553,977 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 46 | 73,732 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 254 | 416,523 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 930 | 1,076,363 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,040,720 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 3.500% | 08/04/16 | 465 | 469,965 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 325 | 382,433 | ||||||||||
| 6,013,713 | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 05/01/27 | 3,194 | 3,082,292 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 68 | 70,009 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 569 | 641,500 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 657 | 691,175 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 10/29/24 | 632 | 648,174 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 302 | 348,054 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 445 | 467,765 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 889 | 942,578 | ||||||||||
| 6,891,547 | ||||||||||||||
Auto Manufacturers — 0.1% | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 2,090 | 2,106,735 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,395 | 1,473,868 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 450 | 455,992 | ||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 4.250% | 11/15/19 | 715 | 720,362 | ||||||||||
| 4,756,957 | ||||||||||||||
Auto Parts & Equipment | ||||||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 245 | 245,266 | ||||||||||
Banks — 2.9% | ||||||||||||||
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | 3.875% | 09/20/22 | 645 | 641,976 | ||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 07/29/49 | 2,200 | 2,238,500 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes(a) | 5.700% | 01/24/22 | 2,155 | 2,430,180 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,144,026 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 780 | 767,773 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 975 | 997,147 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 3,945,487 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.000% | 05/13/21 | 200 | 218,510 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 870 | 880,909 | ||||||||||
Bank of America Corp., Sub. Notes | 5.750% | 08/15/16 | 1,775 | 1,818,509 | ||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 2,000 | 1,957,856 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 930 | 967,456 | ||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 410 | 486,756 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 4,560 | 4,589,517 | ||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/29/49 | 2,205 | 2,198,109 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banks (continued) | ||||||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (b) | 12/29/49 | 1,375 | $ | 1,402,500 | ||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.875% | 10/25/23 | 1,900 | 1,963,498 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.953% | 06/15/16 | 1,010 | 1,024,002 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 01/14/22 | 2,450 | 2,624,109 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 710 | 1,018,337 | ||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,965 | 1,951,990 | ||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,270 | 1,259,143 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 976,525 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 648,992 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/29/49 | 2,215 | 2,201,156 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.500% | 01/23/25 | 4,100 | 4,029,533 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.625% | 02/07/16 | 2,000 | 2,005,070 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,272,049 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,116,740 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 322,056 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 1,190 | 1,236,023 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 104 | 121,569 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,095,085 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,139,553 | ||||||||||
Intesa Sanpaolo SpA (Italy), Gtd. Notes, MTN | 3.125% | 01/15/16 | 1,395 | 1,395,696 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (b) | 12/29/49 | 1,275 | 1,281,502 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,036,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,108,273 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,775 | 3,755,159 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 515 | 514,901 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 02/06/12 | 1,715 | 126,481 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 700 | 52,500 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,870 | 2,096,762 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 3,080 | 2,983,273 | ||||||||||
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | 6.400% | 08/28/17 | 20 | 21,424 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 07/29/49 | 840 | 820,050 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 940 | 962,810 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,400 | 1,571,851 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,345 | 1,396,174 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.500% | 07/28/21 | 1,290 | 1,445,280 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,561,593 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a) | 6.375% | 07/24/42 | 780 | 964,508 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.625% | 04/01/18 | 105 | 115,136 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,825 | 3,837,504 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 815,600 | |||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 3,370 | 3,807,160 | ||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A | 1.875% | 09/17/18 | 2,110 | 2,096,249 | ||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 465 | 459,798 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | 278,459 | ||||||||||
PNC Funding Corp., Gtd. Notes | 6.700% | 06/10/19 | 440 | 502,914 | ||||||||||
Royal Bank of Canada (Canada), Covered Notes | 2.100% | 10/14/20 | 810 | 795,940 | ||||||||||
Royal Bank of Canada (Canada), Covered Notes | 2.200% | 09/23/19 | 6,135 | 6,140,117 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,214,317 | ||||||||||
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A | 1.950% | 04/02/20 | 3,250 | 3,198,296 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 1,120 | 1,113,551 | ||||||||||
| 108,159,919 | ||||||||||||||
Beverages — 0.1% | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 1,789,740 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 360,363 | ||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.250% | 05/01/23 | 1,400 | 1,400,000 | ||||||||||
| 3,550,103 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Biotechnology — 0.1% | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,640 | $ | 1,664,984 | |||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 3.500% | 02/01/25 | 1,460 | 1,472,176 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 185 | 210,773 | ||||||||||
| 3,347,933 | ||||||||||||||
Building Materials — 0.1% | ||||||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 1,400 | 1,396,500 | ||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | 775,451 | ||||||||||
| 2,171,951 | ||||||||||||||
Chemicals — 0.2% | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | 746,190 | ||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,500 | 1,582,500 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 508,785 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 45 | 40,678 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 347 | 498,680 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 1,185 | 961,011 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 1,000 | 1,063,799 | ||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 235 | 194,564 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 345 | 348,684 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 1,135 | 1,087,894 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 547,086 | ||||||||||
| 7,579,871 | ||||||||||||||
Commercial Services — 0.1% | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,302 | 1,398,175 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 420 | 495,375 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 380 | 463,102 | ||||||||||
United Rentals North America, Inc., Gtd. Notes(a) | 7.375% | 05/15/20 | 1,000 | 1,055,000 | ||||||||||
| 3,411,652 | ||||||||||||||
Computers — 0.2% | ||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes(a) | 3.450% | 02/09/45 | 890 | 766,253 | ||||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.450% | 10/05/17 | 3,925 | 3,921,672 | ||||||||||
Hewlett Packard Enterprise Co., Gtd. Notes, 144A | 2.850% | 10/05/18 | 735 | 734,590 | ||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 605 | 600,462 | ||||||||||
| 6,022,977 | ||||||||||||||
Diversified Financial Services — 0.5% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 775 | 774,031 | ||||||||||
American Express Co., Jr. Sub. Notes(a) | 5.200% | (b) | 05/29/49 | 605 | 595,169 | |||||||||
American Express Co., Sr. Unsec’d. Notes | 2.650% | 12/02/22 | 2,213 | 2,143,886 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 330 | 355,386 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,175 | 1,296,128 | ||||||||||
Capital One Bank USA NA, Sub. Notes | 3.375% | 02/15/23 | 1,560 | 1,526,580 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes(a) | 3.850% | 11/21/22 | 900 | 891,789 | ||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 2.342% | 11/15/20 | 766 | 759,612 | ||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 3,270 | 3,336,976 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 5.875% | 01/14/38 | 298 | 364,621 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.000% | 08/07/19 | 264 | 299,070 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.875% | 01/10/39 | 650 | 885,997 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 375 | 380,156 | ||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 517,801 | ||||||||||
Navient LLC, Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 252,600 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 820 | 823,296 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Diversified Financial Services (continued) | ||||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,700 | $ | 2,648,228 | |||||||||
| 17,851,326 | ||||||||||||||
Electric — 0.3% | ||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 175 | 179,569 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | 685,299 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 310 | 361,505 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 777,066 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 220 | 249,890 | ||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 550 | 682,817 | ||||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 549,168 | ||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 455 | 427,700 | ||||||||||
Dynegy, Inc., Gtd. Notes(a) | 7.375% | 11/01/22 | 345 | 300,150 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 792,302 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,425 | 1,441,517 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 357,496 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 295 | 359,677 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 167,579 | ||||||||||
Nevada Power Co., Gen. Ref. Mtge. | 6.500% | 05/15/18 | 1,260 | 1,403,392 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 650,946 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 350 | 383,681 | ||||||||||
Northeast Utilities, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 656,251 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 156,668 | ||||||||||
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 646,874 | ||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 860 | 778,863 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 482,249 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 199 | 208,599 | ||||||||||
| 12,699,258 | ||||||||||||||
Engineering & Construction | ||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 740 | 357,050 | ||||||||||
Entertainment | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.375% | 11/01/18 | 1,000 | 990,000 | ||||||||||
Food | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 815 | 834,983 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 735 | 744,725 | ||||||||||
| 1,579,708 | ||||||||||||||
Food Service | ||||||||||||||
Aramark Services, Inc., Gtd. Notes, 144A(a) | 5.125% | 01/15/24 | 275 | 280,156 | ||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 290 | 319,887 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,595 | 1,672,721 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 510 | 578,315 | ||||||||||
Rock-Tenn Co., Gtd. Notes | 4.900% | 03/01/22 | 800 | 848,468 | ||||||||||
| 3,419,391 | ||||||||||||||
Gas | ||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 65 | 62,165 | ||||||||||
Healthcare-Products — 0.3% | ||||||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes(a) | 3.734% | 12/15/24 | 1,025 | 1,033,739 | ||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,205 | 3,231,185 | ||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,355 | 1,369,691 | ||||||||||
St Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 4,910 | 4,900,892 | ||||||||||
| 10,535,507 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Healthcare-Services — 0.4% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | $ | 618,035 | |||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,380 | 1,737,465 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | 368,283 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 360 | 342,563 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 1,100 | 1,105,500 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 747,592 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | 762,908 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,665 | 1,681,650 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 4.250% | 10/15/19 | 555 | 566,100 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 1,100 | 1,097,250 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 400 | 403,000 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 190 | 186,471 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 445 | 420,395 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 5,305 | 5,375,148 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 720 | 670,148 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 195 | 207,436 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 535,403 | ||||||||||
| 16,825,347 | ||||||||||||||
Home Builders | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 455,625 | ||||||||||
Housewares | ||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | �� | 6.250% | 04/15/18 | 1,700 | 1,800,382 | |||||||||
Insurance — 0.8% | ||||||||||||||
ACE INA Holdings, Inc., Gtd. Notes(a) | 3.350% | 05/03/26 | 945 | 942,105 | ||||||||||
ACE INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 130 | 132,097 | ||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 572,058 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 150 | 152,409 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,980 | 1,831,021 | ||||||||||
Aon Corp., Gtd. Notes | 3.125% | 05/27/16 | 2,655 | 2,675,560 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 1,030 | 1,137,447 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes(a) | 6.375% | (b) | 04/15/37 | 1,300 | 1,248,429 | |||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 755 | 829,152 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 365 | 414,919 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 850 | 981,487 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (b) | 04/20/67 | 260 | 202,800 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 1,272 | 1,495,532 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 705 | 884,270 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 605 | 726,614 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 199,590 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 835 | 965,075 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 400 | 491,805 | ||||||||||
New York Life Global Funding, Sec’d. Notes, 144A | 1.950% | 02/11/20 | 3,030 | 2,970,461 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 846,734 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (b) | 10/16/44 | 1,925 | 2,011,625 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 444,552 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 680 | 759,238 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,321,920 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 126,706 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 735 | 733,163 | |||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 710 | 642,583 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,450 | 1,792,750 | ||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes(a) | 4.300% | 08/25/45 | 885 | 892,164 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 384,959 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 511,342 | ||||||||||
| 29,320,567 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 1,000 | $ | 1,070,000 | |||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 587,891 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 968,591 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,800 | 3,063,427 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 487,935 | ||||||||||
| 6,177,844 | ||||||||||||||
Machinery-Diversified — 0.1% | ||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,255 | 1,327,162 | ||||||||||
SPX FLOW, Inc., Gtd. Notes | 6.875% | 09/01/17 | 950 | 1,009,375 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,339,311 | ||||||||||
| 3,675,848 | ||||||||||||||
Media — 0.4% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes(a) | 6.150% | 03/01/37 | 515 | 574,116 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 106,432 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 1,000 | 1,052,500 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 155 | 139,118 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.375% | 05/01/25 | 880 | 875,600 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.384% | 10/23/35 | 875 | 884,040 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 1,050 | 1,051,721 | ||||||||||
CCO Safari II LLC, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 280 | 275,866 | ||||||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 352,063 | ||||||||||
Comcast Corp., Gtd. Notes(a) | 6.400% | 05/15/38 | 530 | 657,837 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 860 | 801,810 | ||||||||||
DISH DBS Corp., Gtd. Notes | 7.125% | 02/01/16 | 1,000 | 1,003,125 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 655,208 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 1,300 | 1,357,486 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,710 | 1,788,874 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 230,614 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,626,990 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 90 | 111,362 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 02/27/42 | 50 | 37,494 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 200 | 160,635 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 425 | 381,640 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,040,000 | ||||||||||
| 15,164,531 | ||||||||||||||
Mining — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 920 | 826,900 | ||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a) | 6.250% | (b) | 10/19/75 | 1,135 | 1,110,881 | |||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 35 | 27,960 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 530 | 406,045 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 425 | 397,286 | ||||||||||
| 2,769,072 | ||||||||||||||
Miscellaneous Manufacturing — 0.1% | ||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,205 | 1,229,100 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes(a) | 4.125% | 10/09/42 | 190 | 185,589 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 280 | 288,157 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,300 | 1,283,750 | ||||||||||
| 2,986,596 | ||||||||||||||
Oil & Gas — 0.4% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 2,000 | 720,000 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 1,195 | 1,253,103 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 325 | 313,254 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | �� | 06/15/19 | 250 | 273,086 | |||||||||
Devon Energy Corp., Sr. Unsec’d. Notes(a) | 5.850% | 12/15/25 | 1,005 | 977,407 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,700 | 1,743,625 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Oil & Gas (continued) | ||||||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 1,020 | $ | 933,873 | |||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes(a) | 4.650% | 03/15/25 | 1,995 | 1,995,902 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,070 | 879,283 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 460 | 87,400 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 490 | 496,660 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,500 | 1,593,531 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 550 | 594,795 | ||||||||||
Shell International Finance BV (Netherlands), Gtd. Notes | 3.250% | 05/11/25 | 2,880 | 2,810,808 | ||||||||||
| 14,672,727 | ||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/21 | 2,200 | 2,293,513 | ||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,845 | 2,807,386 | ||||||||||
| 5,100,899 | ||||||||||||||
Packaging & Containers | ||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 630 | 639,844 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes(a) | 4.500% | 01/15/23 | 1,100 | 1,075,250 | ||||||||||
| 1,715,094 | ||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,175 | 1,159,649 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,910 | 1,871,030 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 1,000 | 994,893 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,810 | 1,759,061 | ||||||||||
Actavis Funding SCS, Gtd. Notes(a) | 4.750% | 03/15/45 | 435 | 424,145 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 445 | 496,198 | ||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 420 | 408,873 | ||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,380 | 1,274,361 | ||||||||||
Mylan, Inc., Gtd. Notes | 1.800% | 06/24/16 | 425 | 424,727 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,325 | 1,381,929 | ||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 73,393 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes(a) | 4.700% | 02/01/43 | 120 | 104,759 | ||||||||||
| 10,373,018 | ||||||||||||||
Pipelines — 0.2% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 1,575 | 1,354,561 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.650% | 06/01/21 | 675 | 633,721 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 250 | 181,778 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 820 | 630,673 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.750% | 02/15/25 | 1,345 | 1,230,281 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 510 | 522,901 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,430 | 1,201,868 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 119,863 | ||||||||||
| 5,875,646 | ||||||||||||||
Real Estate | ||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | 81,936 | ||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 765 | 850,201 | ||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 715 | 714,016 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 295 | 298,873 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | 237,139 | ||||||||||
| 2,100,229 | ||||||||||||||
Retail — 0.2% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 4.875% | 07/20/35 | 650 | 671,119 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes(a) | 5.125% | 07/20/45 | 820 | 863,813 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 225 | 241,669 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 755 | 780,335 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Retail (continued) | ||||||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,450 | $ | 1,540,625 | |||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 385 | 478,207 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 360 | 354,489 | ||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 2,620 | 2,617,846 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625% | 12/01/25 | 1,375 | 1,388,750 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 345 | 357,997 | ||||||||||
| 9,294,850 | ||||||||||||||
Savings & Loans | ||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,432,014 | ||||||||||
Software — 0.2% | ||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,650 | 1,655,826 | ||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 2,210 | 2,238,790 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 2.375% | 02/12/22 | 3,085 | 3,045,062 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 3.125% | 11/03/25 | 1,380 | 1,387,321 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 915,224 | ||||||||||
| 9,242,223 | ||||||||||||||
Telecommunications — 0.5% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 480 | 528,051 | ||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 7 | 9,353 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,460 | 3,325,371 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 430 | 397,690 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 875 | 801,147 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,000 | 916,136 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 815 | 804,989 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 400 | 583,662 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 330,070 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 480 | 494,400 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 2,025 | 1,810,951 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,056 | 1,785,021 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,256 | 1,189,088 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,127 | 2,863,053 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.350% | 04/01/19 | 3,165 | 3,560,733 | ||||||||||
| 19,399,715 | ||||||||||||||
Transportation | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 820,900 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 832,171 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 114,339 | ||||||||||
| 1,767,410 | ||||||||||||||
Trucking & Leasing — 0.1% | ||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(c)(d) | 2.500% | 03/15/16 | 1,890 | 1,893,270 | ||||||||||
TOTAL CORPORATE BONDS |
| 362,051,293 | ||||||||||||
| FOREIGN AGENCIES — 0.5% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 800 | 803,616 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 635,325 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 441,530 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 930 | 1,038,577 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 1,378 | 1,412,484 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes, GMTN | 2.750% | 10/01/20 | 3,525 | 3,650,966 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 3,158 | 3,133,570 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| FOREIGN AGENCIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes | 8.625% | 12/01/23 | 350 | $ | 405,125 | |||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,665 | 1,640,025 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 1,110 | 1,119,657 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), | 6.299% | 05/15/17 | 1,030 | 1,046,501 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,620 | 1,614,197 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,229,689 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 671,820 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 18,843,082 | ||||||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||||||
California — 0.1% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 1,782,430 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,774,520 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 475 | 665,071 | ||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 356,149 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 312,668 | ||||||||||
| 4,890,838 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 871,223 | ||||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | 1,289,457 | ||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,520,855 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,364,226 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 510,269 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 336,093 | ||||||||||
| 846,362 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 445 | 559,089 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 640,140 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,270,120 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 13,252,310 | ||||||||||||
| SOVEREIGN BONDS — 0.3% | ||||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 1,475 | 1,404,938 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 604,360 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 1,120 | 1,160,116 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 03/13/20 | 1,135 | 1,230,274 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 01/15/24 | 950 | 1,017,748 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 700 | 704,200 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 916,466 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 600 | 588,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 515 | 515,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a) | 5.200% | 01/30/20 | 620 | 672,700 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,620 | $ | 1,573,652 | |||||||||
Romanian Government International Bond (Romania), | 4.875% | 01/22/24 | 190 | 204,117 | ||||||||||
Romanian Government International Bond (Romania), | 6.125% | 01/22/44 | 400 | 468,000 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,710 | 1,902,638 | ||||||||||
TOTAL SOVEREIGN BONDS |
| 12,962,209 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.4% | ||||||||||||||
Federal Home Loan Banks | 1.830% | 07/29/20 | 2,160 | 2,155,604 | ||||||||||
Federal Home Loan Banks(g) | 5.500% | 07/15/36 | 1,080 | 1,402,901 | ||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 01/12/18 | 685 | 679,487 | ||||||||||
Federal Home Loan Mortgage Corp.(a)(g)(h) | 2.375% | 01/13/22 | 6,020 | 6,103,630 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.375% | (b) | 06/01/36 | 433 | 460,605 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 926 | 935,418 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.598% | (b) | 12/01/35 | 287 | 303,400 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 1,000 | 1,030,474 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-01/01/43 | 4,564 | 4,662,255 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 7,285 | 7,283,677 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 12,500 | 12,867,309 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 12/01/25-06/01/42 | 3,080 | 3,221,387 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 14,500 | 15,317,606 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 4,458 | 4,717,031 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 11,834 | 12,748,936 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-06/01/39 | 3,220 | 3,491,748 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 3,409 | 3,788,317 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,731 | 1,962,773 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31-10/01/32 | 254 | 293,036 | ||||||||||
Federal National Mortgage Assoc.(g) | 1.500% | 06/22/20 | 4,435 | 4,379,775 | ||||||||||
Federal National Mortgage Assoc. | 1.500% | 11/30/20 | 5,545 | 5,446,493 | ||||||||||
Federal National Mortgage Assoc.(a) | 1.625% | 01/21/20 | 85 | 84,679 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 02/19/19 | 230 | 233,087 | ||||||||||
Federal National Mortgage Assoc. | 1.932% | (b) | 07/01/33 | 272 | 285,408 | |||||||||
Federal National Mortgage Assoc. | 2.059% | (b) | 06/01/37 | 138 | 138,598 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 7,250 | 7,307,312 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 3,670 | 3,651,683 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 4,000 | 3,992,068 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27-12/01/42 | 5,964 | 6,109,683 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 04/01/43-07/01/43 | 16,153 | 16,188,113 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 18,500 | 19,086,879 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-03/01/43 | 35,339 | 36,593,254 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 25,250 | 26,718,840 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 6,898 | 7,301,883 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 1,500 | 1,619,813 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-05/01/44 | 9,560 | 10,381,357 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/13/16-02/01/36 | 10,421 | 11,476,490 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-08/01/37 | 5,065 | 5,668,210 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-05/01/38 | 4,544 | 5,155,454 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-09/01/37 | 1,725 | 1,985,232 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 186 | 213,915 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 19 | 18,503 | ||||||||||
Financing Corp., Strips Principal, Series A-P | 1.282% | (f) | 10/06/17 | 351 | 343,991 | |||||||||
Financing Corp., Strips Principal, Series B-P | 1.282% | (f) | 10/06/17 | 555 | 543,898 | |||||||||
Financing Corp., Strips Principal, Series D-P | 1.668% | (f) | 09/26/19 | 1,491 | 1,382,387 | |||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 3,000 | 3,040,665 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,462 | 2,495,408 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 08/20/45 | 7,887 | 8,004,610 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 30,500 | 31,795,061 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43-04/20/45 | 3,648 | $ | 3,809,485 | |||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 6,000 | 6,371,718 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-08/20/45 | 2,082 | 2,217,716 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,155,000 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 3,250 | 3,491,719 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-02/20/41 | 7,127 | 7,743,636 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 414 | 448,184 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32-02/15/36 | 2,136 | 2,412,494 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33-10/15/34 | 1,107 | 1,268,017 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-07/15/35 | 1,300 | 1,506,269 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-04/15/25 | 36 | 40,487 | ||||||||||
Hashemite Kingdom of Jordan Government AID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 5,450 | 5,509,105 | ||||||||||
Residual Funding Corp. Principal Strip, Bonds | 1.825% | (f) | 10/15/19 | 1,535 | 1,429,131 | |||||||||
Residual Funding Corp. Principal Strip, Bonds | 1.903% | (f) | 10/15/20 | 205 | 185,504 | |||||||||
Residual Funding Corp. Principal Strip, Bonds | 1.969% | (f) | 07/15/20 | 4,021 | 3,672,886 | |||||||||
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 5,045 | 5,024,235 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 352,353,929 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 5.6% | ||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/45 | 4,830 | 4,333,606 | ||||||||||
U.S. Treasury Bonds | 2.750% | 11/15/42 | 8,180 | 7,799,442 | ||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43 | 245 | 238,875 | ||||||||||
U.S. Treasury Bonds | 2.875% | 08/15/45 | 7,740 | 7,517,173 | ||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 20,225 | 20,132,572 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 32,119 | 31,709,874 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.750% | 02/15/45 | 1,616 | 1,409,356 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 6,115 | 6,356,803 | ||||||||||
U.S. Treasury Notes | 0.750% | 10/31/17 | 710 | 706,228 | ||||||||||
U.S. Treasury Notes | 1.125% | 12/31/19 | 22,075 | 21,655,928 | ||||||||||
U.S. Treasury Notes | 1.500% | 12/31/18 | 1,825 | 1,833,269 | ||||||||||
U.S. Treasury Notes(g) | 1.500% | 01/31/19 | 6,635 | 6,658,329 | ||||||||||
U.S. Treasury Notes | 1.625% | 11/30/20 | 21,585 | 21,456,828 | ||||||||||
U.S. Treasury Notes | 1.750% | 03/31/22 | 5,475 | 5,390,734 | ||||||||||
U.S. Treasury Notes | 1.750% | 12/31/20-05/15/22 | 16,205 | 16,034,542 | ||||||||||
U.S. Treasury Notes | 2.000% | 11/30/22 | 17,135 | 17,041,289 | ||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21-12/31/21 | 10,435 | 10,544,886 | ||||||||||
U.S. Treasury Notes | 3.125% | 05/15/19-05/15/21 | 1,660 | 1,752,347 | ||||||||||
U.S. Treasury Notes | 3.625% | 02/15/20 | 4,545 | 4,902,210 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (f) | 02/15/28 | 5,465 | 3,967,962 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (f) | 05/15/28 | 2,735 | 1,965,352 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (f) | 02/15/29 | 2,735 | 1,915,206 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (f) | 05/15/29 | 5,640 | 3,918,232 | |||||||||
U.S. Treasury Strips Coupon | 2.752% | (f) | 08/15/30 | 5,005 | 3,322,900 | |||||||||
U.S. Treasury Strips Coupon | 2.972% | (f) | 02/15/37 | 5,955 | 3,145,407 | |||||||||
U.S. Treasury Strips Principal(h) | 2.351% | (f) | 05/15/43 | 3,320 | 1,415,077 | |||||||||
U.S. Treasury Strips Principal | 3.561% | (f) | 05/15/44 | 5,485 | 2,258,224 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 209,382,651 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,574,903,071 | ||||||||||||
| SHORT-TERM INVESTMENTS — 12.3% | Shares | |||||||||||||
AFFILIATED MUTUAL FUNDS — 12.3% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 13,777,594 | 127,718,297 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| SHORT-TERM INVESTMENTS (continued) | Interest Rate | Maturity Date | Shares | Value (Note 2) | ||||||||||
AFFILIATED MUTUAL FUNDS (continued) | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 336,934,714 | $ | 336,934,714 | |||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 464,653,011 | ||||||||||||
| Counterparty | Notional Amount (000)# | |||||||||||||
| OPTIONS PURCHASED* | ||||||||||||||
Call Options | ||||||||||||||
Interest Rate Swap Options | ||||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/16 |
| Barclays Capital Group | 202,200 | — | ||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/16 |
| Barclays Capital Group | 202,200 | — | ||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/16 |
| Barclays Capital Group | 202,200 | 94 | ||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/16 |
| Barclays Capital Group | 101,100 | 2 | ||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/16 |
| Barclays Capital Group | 101,100 | 83 | ||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/16 |
| Barclays Capital Group | 101,100 | 1,490 | ||||||||||
Receive a fixed rate of 0.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 |
| Citigroup Global Markets | 42,500 | — | ||||||||||
Receive a fixed rate of 1.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/16 |
| Citigroup Global Markets | 42,500 | 75,399 | ||||||||||
TOTAL OPTIONS PURCHASED |
| 77,068 | ||||||||||||
| Maturity Date | Principal Amount (000)# | |||||||||||||
| U.S. TREASURY OBLIGATION | ||||||||||||||
U.S. Treasury Bill | 0.141% | (k) | 03/03/16 | 1,500 | 1,499,736 | |||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 466,229,815 | ||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 107.2% |
| 4,041,132,886 | ||||||||||||
| Counterparty | Notional Amount (000)# | |||||||||||||
| OPTIONS WRITTEN* | ||||||||||||||
Call Options | ||||||||||||||
Interest Rate Swap Options | ||||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 02/19/16 |
| Barclays Capital Group | 303,300 | — | ||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 03/14/16 |
| Barclays Capital Group | 303,300 | (3 | ) | |||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 05/19/16 |
| Barclays Capital Group | 303,300 | (511 | ) | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| OPTIONS WRITTEN* (continued) | Counterparty | Notional Amount (000)# | Value (Note 2) | |||||||||
Call Options (continued) | ||||||||||||
Pay a fixed rate of 1.25% and receive a floating rate based on 3 Month LIBOR, expiring 01/04/16 | Citigroup Global Markets | 85,000 | $ | — | ||||||||
TOTAL OPTIONS WRITTEN |
| (514 | ) | |||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 107.2% |
| 4,041,132,372 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (7.2)% |
| (272,316,433 | ) | |||||||||
NET ASSETS 100.0% |
| $ | 3,768,815,939 | |||||||||
See the Glossary for abbreviations used in the annual report.
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $132,567,121; cash collateral of $136,678,912 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2015. |
| (c) | Indicates a security or securities that have been deemed illiquid (unaudited). |
| (d) | Indicates a restricted security; the aggregate original cost of the restricted securities is $9,164,067. The aggregate value of $8,940,819 is approximately 0.2% of net assets. |
| (e) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Rate quoted represents yield-to-maturity as of purchase date. |
| (l) | Represents a Connecticut Avenue Security issued by Fannie Mae or a Structured Agency Credit Risk Security issued by Freddie Mac. |
| (m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2015:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 845 | 2 Year U.S. Treasury Notes | Mar. 2016 | $ | 183,801,141 | $ | 183,563,047 | $ | (238,094 | ) | |||||||||||
| 697 | 5 Year U.S. Treasury Notes | Mar. 2016 | 82,539,465 | 82,469,258 | (70,207 | ) | ||||||||||||||
| 316 | 10 Year U.S. Treasury Notes | Mar. 2016 | 39,841,678 | 39,786,375 | (55,303 | ) | ||||||||||||||
| 380 | 90 Day Euro Dollar | Mar. 2016 | 94,421,287 | 94,301,750 | (119,537 | ) | ||||||||||||||
| 2 | ASX SPI 200 Index | Mar. 2016 | 177,512 | 191,538 | 14,026 | |||||||||||||||
| 13 | MSCI EAFE Index Mini | Mar. 2016 | 1,082,583 | 1,103,830 | 21,247 | |||||||||||||||
| 281 | U.S. Ultra Bonds | Mar. 2016 | 44,299,961 | 44,591,188 | 291,227 | |||||||||||||||
| (156,641 | ) | |||||||||||||||||||
| Short Positions: | ||||||||||||||||||||
| 380 | 90 Day Euro Dollar | Sep. 2016 | 94,115,713 | 93,988,250 | 127,463 | |||||||||||||||
| 455 | U.S. Long Bonds | Mar. 2016 | 70,488,344 | 69,956,250 | 532,094 | |||||||||||||||
| 659,557 | ||||||||||||||||||||
| $ | 502,916 | |||||||||||||||||||
| (1) | U.S. Treasury Obligation with a market value of $1,499,736 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations and a U.S. Treasury Obligation with a combined market value of $2,224,835 have been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Interest rate swap agreements outstanding at December 31, 2015:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
| OTC swap agreements: |
| ||||||||||||||||||||||||
| 3,158 | 05/17/18 | 0.989% | 3 Month LIBOR(1) | $ | 16,746 | $ | — | $ | 16,746 | Credit Suisse First Boston Corp. | ||||||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: | |||||||||||||||||||||||
| 13,190 | 09/04/20 | 1.585% | 3 Month LIBOR(1) | $ | 203 | $ | 55,242 | $ | 55,039 | |||||||||||||||
| 69,980 | 01/08/21 | 1.683% | 3 Month LIBOR(2) | 528 | (175,998 | ) | (176,526 | ) | ||||||||||||||||
| 60,745 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (59,173 | ) | (1,204,915 | ) | (1,145,742 | ) | |||||||||||||||
| 9,730 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 203 | (203,045 | ) | (203,248 | ) | ||||||||||||||||
| 6,580 | 08/31/22 | 1.745% | 3 Month LIBOR(1) | 186 | 65,713 | 65,527 | ||||||||||||||||||
| 8,160 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 193 | 2,646 | 2,453 | ||||||||||||||||||
| 7,420 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 204 | (36,456 | ) | (36,660 | ) | ||||||||||||||||
| 7,290 | 11/12/25 | 2.263% | 3 Month LIBOR(1) | 202 | (59,971 | ) | (60,173 | ) | ||||||||||||||||
| 73,790 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 748 | (146,093 | ) | (146,841 | ) | ||||||||||||||||
| 21,005 | 02/15/36 | 2.502% | 3 Month LIBOR(2) | 9,146 | (195,717 | ) | (204,863 | ) | ||||||||||||||||
| 15,670 | 01/08/46 | 2.659% | 3 Month LIBOR(2) | 432 | 125,073 | 124,641 | ||||||||||||||||||
| $ | (47,128 | ) | $ | (1,773,521 | ) | $ | (1,726,393 | ) | ||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
| (2) | Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at December 31, 2015:
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Depreciation | Counterparty | |||||||||||||||||||
OTC credit default swaps on credit indices—Sell Protection(2): |
| |||||||||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 1,380 | $ | 43,694 | $ | 57,883 | $ | (14,189 | ) | Credit Suisse First Boston Corp. | |||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 3,680 | 116,518 | 158,956 | (42,438 | ) | Deutsche Bank AG | ||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 5,060 | 160,212 | 221,726 | (61,514 | ) | Deutsche Bank AG | ||||||||||||||||||
| $ | 320,424 | $ | 438,565 | $ | (118,141 | ) | ||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation | ||||||||||||||||||
Centrally cleared credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 51,500 | $ | (969,275 | ) | $ | (323,922 | ) | $ | 645,353 | |||||||||||||
U.S. Government Agency Obligation and a U.S. Treasury Obligation with a market value of $3,719,703 has been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default centrally cleared swap contracts at December 31, 2015.
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Series will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,123,685,422 | $ | 141,059,911 | $ | — | ||||||
Exchange Traded Fund | 825,438 | — | — | |||||||||
Preferred Stocks | 571,780 | 370,533 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligation | — | 369,558 | — | |||||||||
Collateralized Loan Obligations | — | 60,363,863 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 48,166,595 | — | |||||||||
Residential Mortgage-Backed Securities | — | 43,219,471 | 12,533,736 | |||||||||
Bank Loans | — | 7,844,976 | — | |||||||||
Collateralized Mortgage Obligations | — | 23,824,214 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 143,222,068 | — | |||||||||
Corporate Bonds | — | 362,051,293 | — | |||||||||
Foreign Agencies | — | 18,843,082 | — | |||||||||
Municipal Bonds | — | 13,252,310 | — | |||||||||
Sovereign Bonds | — | 12,962,209 | — | |||||||||
U.S. Government Agency Obligations | — | 352,353,929 | — | |||||||||
U.S. Treasury Obligations | — | 209,382,651 | — | |||||||||
Rights | — | 32 | — | |||||||||
Affiliated Mutual Funds | 464,653,011 | — | — | |||||||||
Options Purchased | — | 77,068 | — | |||||||||
U.S. Treasury Obligation | — | 1,499,736 | — | |||||||||
Options Written | — | (514 | ) | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 502,916 | — | — | |||||||||
Centrally cleared interest rate swaps | — | (1,726,393 | ) | — | ||||||||
OTC interest rate swap | — | 16,746 | — | |||||||||
Centrally cleared credit default swap | — | 645,353 | — | |||||||||
OTC credit default swaps | — | 320,424 | — | |||||||||
Total | $ | 2,590,238,567 | $ | 1,438,119,115 | $ | 12,533,736 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
Affiliated Mutual Funds (including 3.6% of collateral for securities on loan) | 12.3 | % | ||
U.S. Government Agency Obligations | 9.4 | |||
Banks | 6.6 | |||
U.S. Treasury Obligations | 5.6 | |||
Commercial Mortgage-Backed Securities | 3.8 | |||
Oil, Gas & Consumable Fuels | 3.7 | |||
Pharmaceuticals | 3.6 | |||
Software | 3.1 | |||
Technology Hardware, Storage & Peripherals | 2.7 | |||
Biotechnology | 2.6 | |||
Internet Software & Services | 2.3 | |||
Insurance | 2.2 | |||
Diversified Telecommunication Services | 1.9 | |||
Media | 1.9 | |||
Health Care Providers & Services | 1.9 | |||
Diversified Financial Services | 1.9 | |||
Real Estate Investment Trusts (REITs) | 1.9 | |||
Aerospace & Defense | 1.8 | |||
IT Services | 1.7 | |||
Collateralized Loan Obligations | 1.6 | |||
Residential Mortgage-Backed Securities | 1.5 | |||
Household Products | 1.5 | |||
Beverages | 1.4 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Hotels, Restaurants & Leisure | 1.3 | |||
Specialty Retail | 1.3 | |||
Non-Residential Mortgage-Backed Securities | 1.3 | |||
Food & Staples Retailing | 1.2 | |||
Internet & Catalog Retail | 1.2 | |||
Food Products | 1.2 | |||
Health Care Equipment & Supplies | 1.1 | |||
Electric Utilities | 1.1 | |||
Communications Equipment | 1.1 | |||
Industrial Conglomerates | 1.1 | |||
Chemicals | 1.1 | |||
Airlines | 1.0 | |||
Tobacco | 0.8 | |||
Capital Markets | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.8 | |||
Multiline Retail | 0.7 | |||
Collateralized Mortgage Obligations | 0.6 | |||
Multi-Utilities | 0.6 | |||
Telecommunications | 0.5 | |||
Independent Power & Renewable Electricity Producers | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Real Estate Management & Development | 0.5 |
Foreign Agencies | 0.5 | % | ||
Machinery | 0.5 | |||
Automobiles | 0.5 | |||
Healthcare-Services | 0.4 | |||
Building Products | 0.4 | |||
Oil & Gas | 0.4 | |||
Air Freight & Logistics | 0.4 | |||
Municipal Bonds | 0.4 | |||
Sovereign Bonds | 0.3 | |||
Electric | 0.3 | |||
Paper & Forest Products | 0.3 | |||
Healthcare-Products | 0.3 | |||
Retail | 0.2 | |||
Consumer Finance | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Professional Services | 0.2 | |||
Construction & Engineering | 0.2 | |||
Lodging | 0.2 | |||
Computers | 0.2 | |||
Agriculture | 0.2 | |||
Pipelines | 0.2 | |||
Energy Equipment & Services | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Gas Utilities | 0.1 | |||
Metals & Mining | 0.1 | |||
Auto Manufacturers | 0.1 | |||
Auto Components | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Electrical Equipment | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Commercial Services | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Technology | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Household Durables | 0.1 | |||
Mining | 0.1 | |||
Building Materials | 0.1 | |||
Road & Rail | 0.1 | |||
Containers & Packaging | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Trucking & Leasing | 0.1 | |||
Health Care & Pharmaceutical | 0.1 | |||
| 107.2 | ||||
Liabilities in excess of other assets | (7.2 | ) | ||
| 100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 32 | — | $ | — | ||||||
Credit contracts | Premiums paid for OTC swap agreements | 438,565 | — | — | ||||||||
Credit contracts | — | — | Unrealized depreciation on OTC swap agreements | 118,141 | ||||||||
Credit contracts | Due from/to broker—variation margin swaps | 645,353 | * | — | — | |||||||
Equity contacts | Due from/to broker—variation margin futures | 35,273 | * | — | — | |||||||
Interest rate contracts | Due from/to broker—variation margin futures | 950,784 | * | Due from/to broker—variation margin futures | 483,141 | * | ||||||
Interest rate contracts | Unaffiliated investments | 77,068 | Options written outstanding, at value | 514 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 16,746 | — | — | ||||||||
Interest rate contracts | Due from/to broker—variation margin swaps | 247,660 | Due from/to broker—variation margin swaps | 1,974,053 | ||||||||
Total | $ | 2,411,481 | $ | 2,575,849 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (521,502 | ) | $ | (521,502 | ) | ||||||||||
Equity contracts | (745 | ) | — | — | 5,494,317 | — | 5,493,572 | |||||||||||||||||
Interest rate contracts | — | (2,686,026 | ) | 1,352,658 | 437,870 | (1,836,440 | ) | (2,731,938 | ) | |||||||||||||||
| $ | (745 | ) | $ | (2,686,026 | ) | $ | 1,352,658 | $ | 5,932,187 | $ | (2,357,942 | ) | $ | 2,240,132 | ||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights** | Options Purchased** | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 525,914 | $ | 525,914 | ||||||||||||
Equity contracts | 32 | — | — | (3,317,621 | ) | — | (3,317,589 | ) | ||||||||||||||||
Interest rate contracts | — | (378,832 | ) | 208,872 | (121,897 | ) | (1,668,005 | ) | (1,959,862 | ) | ||||||||||||||
| $ | 32 | $ | (378,832 | ) | $ | 208,872 | $ | (3,439,518 | ) | $ | (1,142,091 | ) | $ | (4,751,537 | ) | |||||||||
| ** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
For the year ended December 31, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures | Futures | |||
| $488,082 | $486,080 | $304,261,400 | $43,479,605 |
Interest Rate Swaps(2) | Credit Default | Credit Default | ||
| $147,997 | $54,682 | $10,208 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000) |
| (3) | Value at Trade Date. |
Offsetting of OTC derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | 1,669 | $ | (514 | ) | $ | — | $ | 1,155 | |||||||
Citigroup Global Markets | 75,399 | — | — | 75,399 | ||||||||||||
Credit Suisse First Boston Corp. | 74,629 | (14,189 | ) | (469,000 | ) | — | ||||||||||
Deutsche Bank AG | 380,682 | (103,952 | ) | (607,026 | ) | — | ||||||||||
| $ | 532,379 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | (514 | ) | $ | 514 | $ | — | $ | — | |||||||
Citigroup Global Markets | — | — | — | — | ||||||||||||
Credit Suisse First Boston Corp. | (14,189 | ) | 14,189 | — | — | |||||||||||
Deutsche Bank AG | (103,952 | ) | 103,952 | — | — | |||||||||||
| $ | (118,655 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $132,567,121: | ||||
Unaffiliated investments (cost $3,169,057,113) | $ | 3,576,479,875 | ||
Affiliated investments (cost $472,314,271) | 464,653,011 | |||
Cash | 24,630 | |||
Foreign currency, at value (cost $432,493) | 434,657 | |||
Receivable for investments sold | 69,310,417 | |||
Dividends and interest receivable | 10,267,389 | |||
Tax reclaim receivable | 502,928 | |||
Premium paid for OTC swap agreements | 438,565 | |||
Due from broker—variation margin futures | 247,803 | |||
Receivable from affiliate | 73,803 | |||
Unrealized appreciation on OTC swap agreements | 16,746 | |||
Receivable for Series shares sold | 1,230 | |||
Prepaid expenses | 29,525 | |||
Total Assets | 4,122,480,579 | |||
| LIABILITIES | ||||
Payable for investments purchased | 214,054,384 | |||
Payable to broker for collateral for securities on loan | 136,678,912 | |||
Management fee payable | 1,931,226 | |||
Accrued expenses and other liabilities | 376,194 | |||
Payable for Series shares repurchased | 289,054 | |||
Due to broker—variation margin swaps | 215,235 | |||
Unrealized depreciation on OTC swap agreements | 118,141 | |||
Affiliated transfer agent fee payable | 980 | |||
Options written outstanding, at value (premiums received $242,423) | 514 | |||
Total Liabilities | 353,664,640 | |||
| NET ASSETS | $ | 3,768,815,939 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,235,943,867 | ||
Retained earnings | 1,532,872,072 | |||
Net assets, December 31, 2015 | $ | 3,768,815,939 | ||
Net asset value and redemption price per share $3,768,815,939 / 157,380,765 outstanding shares of beneficial interest | $ | 23.95 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $326,284, includes $38,974 reimbursable by an affiliate) | $ | 56,980,786 | ||
Interest income | 32,258,295 | |||
Affiliated dividend income | 2,479,426 | |||
Affiliated income from securities lending, net | 210,675 | |||
Total income | 91,929,182 | |||
| EXPENSES | ||||
Management fee | 23,265,068 | |||
Custodian and accounting fees | 604,000 | |||
Shareholders’ reports | 223,000 | |||
Insurance expenses | 47,000 | |||
Trustees’ fees | 44,000 | |||
Audit fee | 41,000 | |||
Legal fees and expenses | 17,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Miscellaneous | 53,907 | |||
Total expenses | 24,306,975 | |||
| NET INVESTMENT INCOME | 67,622,207 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 222,405,703 | |||
Futures transactions | 5,932,187 | |||
Options written transactions | 1,352,658 | |||
Swap agreement transactions | (2,357,942 | ) | ||
Foreign currency transactions | (119,454 | ) | ||
| 227,213,152 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $959,252) | (250,779,758 | ) | ||
Futures | (3,439,518 | ) | ||
Securities Sold Short | 4,160 | |||
Options written | 208,872 | |||
Swap agreements | (1,142,091 | ) | ||
Foreign currencies | (27,864 | ) | ||
| (255,176,199 | ) | |||
| NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (27,963,047 | ) | ||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 39,659,160 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 67,622,207 | $ | 63,798,028 | ||||
Net realized gain on investment and foreign currency transactions | 227,213,152 | 396,359,030 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (255,176,199 | ) | (57,434,131 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 39,659,160 | 402,722,927 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [441,580 and 562,392 shares, respectively] | 10,576,788 | 12,588,751 | ||||||
Series shares repurchased [9,397,959 and 8,998,418 shares, respectively] | (225,231,619 | ) | (202,125,849 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (214,654,831 | ) | (189,537,098 | ) | ||||
| TOTAL INCREASE (DECREASE) | (174,995,671 | ) | 213,185,829 | |||||
| NET ASSETS: | ||||||||
Beginning of year | 3,943,811,610 | 3,730,625,781 | ||||||
End of year | $ | 3,768,815,939 | $ | 3,943,811,610 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| LONG-TERM INVESTMENTS — 96.7% | ||||||||
| COMMON STOCKS — 96.7% | Shares | Value (Note 2) | ||||||
Australia — 1.5% | ||||||||
AGL Energy Ltd. | 60,000 | $ | 785,106 | |||||
Arrium Ltd. | 894,400 | 37,400 | ||||||
Asaleo Care Ltd. | 733,400 | 846,677 | ||||||
Ausdrill Ltd. | 123,200 | 22,768 | ||||||
Bendigo & Adelaide Bank Ltd. | 93,400 | 807,894 | ||||||
Bradken Ltd.* | 98,900 | 34,663 | ||||||
Challenger Ltd. | 150,800 | 950,397 | ||||||
CSR Ltd. | 573,300 | 1,196,558 | ||||||
Downer EDI Ltd. | 182,200 | 473,959 | ||||||
Independence Group NL | 114,300 | 209,761 | ||||||
Lend Lease Group | 114,600 | 1,182,389 | ||||||
Macquarie Group Ltd. | 76,369 | 4,568,611 | ||||||
Metcash Ltd.(a) | 276,300 | 322,595 | ||||||
Mineral Resources Ltd.(a) | 49,900 | 144,314 | ||||||
Myer Holdings Ltd.(a) | 971,300 | 840,040 | ||||||
National Australia Bank Ltd. | 33,588 | 732,950 | ||||||
Pacific Brands Ltd.* | 416,800 | 237,749 | ||||||
Primary Health Care Ltd.(a) | 139,400 | 235,869 | ||||||
Qantas Airways Ltd.* | 387,619 | 1,148,928 | ||||||
| 14,778,628 | ||||||||
Austria — 0.2% | ||||||||
OMV AG | 36,200 | 1,027,552 | ||||||
Voestalpine AG | 34,900 | 1,067,533 | ||||||
| 2,095,085 | ||||||||
Belgium — 0.3% | ||||||||
AGFA-Gevaert NV* | 86,100 | 490,305 | ||||||
Delhaize Group | 21,500 | 2,092,533 | ||||||
| 2,582,838 | ||||||||
Canada — 1.8% | ||||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 93,002 | 4,093,916 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 144,497 | 4,555,990 | ||||||
Canadian Natural Resources Ltd. | 119,050 | 2,598,862 | ||||||
Canadian Pacific Railway Ltd. | 30,650 | 3,910,940 | ||||||
Suncor Energy, Inc. | 91,961 | 2,373,959 | ||||||
| 17,533,667 | ||||||||
China — 1.7% | ||||||||
Baidu, Inc., ADR* | 12,657 | 2,392,679 | ||||||
China Overseas Land & Investment Ltd. | 1,064,000 | 3,704,170 | ||||||
Lenovo Group Ltd. | 2,210,000 | 2,230,318 | ||||||
NetEase, Inc., ADR | 20,358 | 3,689,684 | ||||||
Shougang Fushan Resources Group Ltd. | 1,160,000 | 148,994 | ||||||
Tencent Holdings Ltd. | 147,700 | 2,891,964 | ||||||
Universal Health International Group Holding Ltd. | 2,473,000 | 953,181 | ||||||
| 16,010,990 | ||||||||
Denmark — 0.5% | ||||||||
A.P. Moeller – Maersk A/S (Class B Stock) | 400 | 521,722 | ||||||
Novo Nordisk A/S (Class B Stock) | 67,491 | 3,907,608 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Denmark (continued) | ||||||||
TDC A/S | 161,500 | $ | 804,115 | |||||
| 5,233,445 | ||||||||
Finland — 0.6% | ||||||||
Sampo OYJ (Class A Stock) | 75,923 | 3,855,561 | ||||||
Tieto OYJ | 25,300 | 675,882 | ||||||
UPM-Kymmene OYJ | 57,300 | 1,063,798 | ||||||
| 5,595,241 | ||||||||
France — 3.6% | ||||||||
Alstom SA*(a) | 26,800 | 818,608 | ||||||
Arkema SA | 10,300 | 720,990 | ||||||
AXA SA | 37,000 | 1,010,978 | ||||||
BNP Paribas SA | 16,000 | 905,242 | ||||||
Cap Gemini SA | 56,609 | 5,252,529 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,142,197 | ||||||
CNP Assurances | 46,700 | 629,955 | ||||||
Credit Agricole SA | 78,500 | 925,060 | ||||||
Electricite de France SA | 61,800 | 910,163 | ||||||
Engie SA | 14,100 | 249,758 | ||||||
JCDecaux SA | 58,948 | 2,259,773 | ||||||
Orange SA | 10,900 | 182,311 | ||||||
Renault SA | 12,300 | 1,231,181 | ||||||
Safran SA | 41,770 | 2,869,730 | ||||||
Sanofi | 36,700 | 3,127,655 | ||||||
SCOR SE | 22,000 | 823,195 | ||||||
Societe Generale SA | 26,500 | 1,221,183 | ||||||
Thales SA | 16,800 | 1,257,482 | ||||||
Total SA | 125,024 | 5,605,030 | ||||||
Valeo SA | 25,917 | 3,995,766 | ||||||
| 35,138,786 | ||||||||
Germany — 2.8% | ||||||||
Allianz SE | 9,800 | 1,727,534 | ||||||
Aurubis AG | 14,200 | 719,037 | ||||||
BASF SE | 13,500 | 1,028,409 | ||||||
Bayerische Motoren Werke AG | 42,149 | 4,440,484 | ||||||
Continental AG | 17,215 | 4,164,502 | ||||||
Daimler AG | 34,500 | 2,882,629 | ||||||
Deutsche Bank AG | 27,100 | 658,118 | ||||||
Deutsche Lufthansa AG* | 25,800 | 406,380 | ||||||
E.ON SE | 46,000 | 441,695 | ||||||
Evonik Industries AG | 36,500 | 1,207,316 | ||||||
Freenet AG | 16,500 | 556,793 | ||||||
Hannover Rueck SE | 9,500 | 1,084,806 | ||||||
Metro AG | 29,200 | 930,239 | ||||||
Muenchener Rueckversicherungs AG | 5,700 | 1,135,658 | ||||||
Rational AG | 3,454 | 1,567,820 | ||||||
Rheinmetall AG | 13,300 | 884,081 | ||||||
Rhoen-Klinikum AG | 33,600 | 1,007,963 | ||||||
Stada Arzneimittel AG | 21,000 | 846,838 | ||||||
Volkswagen AG | 7,400 | 1,137,140 | ||||||
Wincor Nixdorf AG | 13,000 | 651,777 | ||||||
| 27,479,219 | ||||||||
Hong Kong — 0.9% | ||||||||
AIA Group Ltd. | 661,600 | 3,953,115 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hong Kong (continued) | ||||||||
China Resources Cement Holdings Ltd. | 1,173,000 | $ | 358,295 | |||||
CK Hutchison Holdings Ltd. | 15,000 | 201,629 | ||||||
Huabao International Holdings Ltd. | 1,045,000 | 379,022 | ||||||
Kingboard Chemical Holdings Ltd. | 216,000 | 343,627 | ||||||
Lee & Man Paper Manufacturing Ltd. | 2,152,000 | 1,196,986 | ||||||
Singamas Container Holdings Ltd. | 2,676,000 | 271,233 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 695,443 | ||||||
Television Broadcasts Ltd. | 253,400 | 1,041,230 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 746,948 | ||||||
| 9,187,528 | ||||||||
India — 0.9% | ||||||||
HDFC Bank Ltd., ADR | 92,251 | 5,682,662 | ||||||
Tata Motors Ltd., ADR* | 90,392 | 2,663,852 | ||||||
| 8,346,514 | ||||||||
Ireland — 1.0% | ||||||||
Ryanair Holdings PLC, ADR | 54,207 | 4,686,737 | ||||||
Smurfit Kappa Group PLC | 35,200 | 901,513 | ||||||
XL Group PLC | 93,402 | 3,659,491 | ||||||
| 9,247,741 | ||||||||
Israel — 0.9% | ||||||||
Bank Hapoalim BM | 200,200 | 1,033,433 | ||||||
Elbit Systems Ltd. | 11,400 | 1,003,601 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 1,063,427 | ||||||
Teva Pharmaceutical Industries Ltd., ADR | 92,067 | 6,043,278 | ||||||
| 9,143,739 | ||||||||
Italy — 0.8% | ||||||||
Astaldi SpA(a) | 62,200 | 378,331 | ||||||
Enel SpA | 302,800 | 1,269,740 | ||||||
Intesa Sanpaolo SpA | 1,424,815 | 4,731,836 | ||||||
Mediobanca SpA | 115,000 | 1,102,403 | ||||||
| 7,482,310 | ||||||||
Japan — 9.8% | ||||||||
Aisan Industry Co. Ltd. | 123,200 | 1,265,112 | ||||||
Alpine Electronics, Inc. | 51,500 | 800,447 | ||||||
Aoyama Trading Co. Ltd. | 22,600 | 870,686 | ||||||
Aozora Bank Ltd.(a) | 231,000 | 806,149 | ||||||
Asahi Kasei Corp. | 76,000 | 513,920 | ||||||
Astellas Pharma, Inc. | 232,200 | 3,305,545 | ||||||
Bank of Yokohama Ltd. (The) | 121,000 | 741,682 | ||||||
Calsonic Kansei Corp. | 105,000 | 925,686 | ||||||
Daihatsu Motor Co. Ltd. | 60,500 | 816,147 | ||||||
Daikin Industries Ltd. | 47,500 | 3,459,030 | ||||||
Enplas Corp. | 18,500 | 671,846 | ||||||
FANUC Corp. | 16,900 | 2,911,699 | ||||||
Fuji Heavy Industries Ltd. | 109,274 | 4,501,682 | ||||||
Fujikura Ltd. | 254,000 | �� | 1,371,967 | |||||
Fujitec Co. Ltd. | 99,800 | 1,021,621 | ||||||
Heiwa Corp. | 34,800 | 651,178 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) | ||||||||
Hogy Medical Co. Ltd. | 8,700 | $ | 437,773 | |||||
Hoya Corp. | 82,100 | 3,357,281 | ||||||
Isuzu Motors Ltd. | 64,500 | 694,835 | ||||||
ITOCHU Corp. | 76,300 | 902,511 | ||||||
Japan Airlines Co. Ltd. | 28,000 | 1,002,201 | ||||||
JX Holdings, Inc. | 198,300 | 832,281 | ||||||
Kao Corp.(a) | 62,800 | 3,227,213 | ||||||
KDDI Corp. | 38,600 | 1,002,450 | ||||||
Keihin Corp. | 54,300 | 952,116 | ||||||
Keyence Corp. | 5,700 | 3,132,750 | ||||||
Komori Corp. | 62,700 | 733,607 | ||||||
Konica Minolta, Inc. | 129,600 | 1,297,968 | ||||||
Kureha Corp. | 255,000 | 982,586 | ||||||
KYORIN Holdings, Inc. | 37,400 | 779,267 | ||||||
Kyowa Exeo Corp. | 66,900 | 686,835 | ||||||
Makita Corp. | 46,200 | 2,662,351 | ||||||
Marubeni Corp. | 109,700 | 563,978 | ||||||
Mitsubishi Corp. | 50,200 | 834,983 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 268,000 | 1,370,424 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 243,500 | 1,508,300 | ||||||
Mitsui & Co. Ltd. | 59,300 | 704,605 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 1,195,400 | ||||||
Murata Manufacturing Co. Ltd. | 21,200 | 3,050,283 | ||||||
Nippon Telegraph & Telephone Corp. | 74,000 | 2,945,061 | ||||||
Nishi-Nippon City Bank Ltd. (The) | 243,000 | 640,466 | ||||||
Nissan Motor Co. Ltd. | 140,100 | 1,466,951 | ||||||
Nisshinbo Holdings, Inc. | 81,000 | 853,544 | ||||||
Nitori Holdings Co. Ltd. | 30,100 | 2,527,854 | ||||||
NTT DOCOMO, Inc. | 62,400 | 1,279,924 | ||||||
ORIX Corp. | 258,300 | 3,623,552 | ||||||
Resona Holdings, Inc. | 416,800 | 2,024,079 | ||||||
Ricoh Co. Ltd. | 66,500 | 684,738 | ||||||
Sankyu, Inc. | 151,000 | 770,375 | ||||||
Sawai Pharmaceutical Co. Ltd. | 8,800 | 602,466 | ||||||
Seino Holdings Co. Ltd. | 52,600 | 547,266 | ||||||
Shimachu Co. Ltd. | 30,700 | 698,261 | ||||||
Shimano, Inc. | 21,700 | 3,332,221 | ||||||
SKY Perfect JSAT Holdings, Inc. | 122,200 | 687,019 | ||||||
SMC Corp. | 6,600 | 1,714,244 | ||||||
Sumitomo Corp. | 84,300 | 859,466 | ||||||
Sumitomo Metal Mining Co. Ltd. | 53,000 | 643,363 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 172,486 | 6,509,803 | ||||||
Toagosei Co. Ltd. | 73,500 | 628,417 | ||||||
Toho Holdings Co. Ltd. | 51,600 | 1,254,276 | ||||||
Towa Pharmaceutical Co. Ltd. | 9,400 | 584,541 | ||||||
Toyo Tire & Rubber Co. Ltd. | 35,200 | 694,628 | ||||||
Toyoda Gosei Co. Ltd. | 33,200 | 754,202 | ||||||
Tsubakimoto Chain Co. | 25,900 | 199,428 | ||||||
Tsumura & Co. | 22,500 | 624,794 | ||||||
Yokohama Rubber Co. Ltd. (The)(a) | 45,000 | 691,102 | ||||||
| 94,388,436 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Liechtenstein | ||||||||
Verwaltungs-und Privat-Bank AG | 1,765 | $ | 143,589 | |||||
Netherlands — 2.8% | ||||||||
Aegon NV | 95,000 | 537,272 | ||||||
ING Groep NV, CVA | 58,400 | 790,158 | ||||||
Koninklijke Ahold NV | 77,861 | 1,642,366 | ||||||
Koninklijke Philips NV | 24,500 | 625,348 | ||||||
NN Group NV | 68,800 | 2,427,477 | ||||||
NXP Semiconductors NV* | 157,974 | 13,309,309 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 85,538 | 1,950,882 | ||||||
Royal Dutch Shell PLC (Class A Stock), ADR | 54,750 | 2,507,003 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 148,700 | 3,389,031 | ||||||
| 27,178,846 | ||||||||
New Zealand — 0.3% | ||||||||
Air New Zealand Ltd. | 737,900 | 1,488,246 | ||||||
Spark New Zealand Ltd. | 439,900 | 990,504 | ||||||
| 2,478,750 | ||||||||
Norway — 0.4% | ||||||||
DNB ASA | 50,500 | 622,222 | ||||||
Fred Olsen Energy ASA* | 17,100 | 66,475 | ||||||
Marine Harvest ASA | 41,400 | 557,030 | ||||||
Salmar ASA | 71,200 | 1,242,576 | ||||||
Statoil ASA | 49,600 | 691,760 | ||||||
Yara International ASA | 23,200 | 997,792 | ||||||
| 4,177,855 | ||||||||
Singapore — 0.2% | ||||||||
DBS Group Holdings Ltd. | 119,000 | 1,394,621 | ||||||
Wilmar International Ltd. | 222,100 | 458,266 | ||||||
| 1,852,887 | ||||||||
South Africa — 0.4% | ||||||||
Bidvest Group Ltd. (The) | 97,017 | 2,059,205 | ||||||
Discovery Ltd. | 124,413 | 1,067,044 | ||||||
Mondi PLC | 30,200 | 591,946 | ||||||
| 3,718,195 | ||||||||
South Korea — 0.4% | ||||||||
Samsung Electronics Co. Ltd. | 3,348 | 3,570,917 | ||||||
Spain — 0.9% | ||||||||
Amadeus IT Holding SA (Class A Stock) | 69,772 | 3,075,193 | ||||||
Banco Santander SA | 94,600 | 465,375 | ||||||
Ebro Foods SA | 25,400 | 499,641 | ||||||
Gas Natural SDG SA | 55,000 | 1,121,580 | ||||||
Iberdrola SA | 150,200 | 1,064,769 | ||||||
Mapfre SA | 555,700 | 1,391,015 | ||||||
Repsol SA | 57,200 | 629,734 | ||||||
| 8,247,307 | ||||||||
Sweden — 1.2% | ||||||||
Atlas Copco AB (Class A Stock) | 100,023 | 2,453,045 | ||||||
Boliden AB | 60,800 | 1,018,655 | ||||||
Hexagon AB (Class B Stock) | 73,799 | 2,730,034 | ||||||
Nordea Bank AB | 149,400 | 1,639,181 | ||||||
Swedbank AB (Class A Stock) | 40,800 | 898,562 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Sweden (continued) | ||||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 127,200 | $ | 1,226,374 | |||||
TeliaSonera AB | 250,200 | 1,242,464 | ||||||
| 11,208,315 | ||||||||
Switzerland — 3.5% | ||||||||
ABB Ltd. | 70,400 | 1,256,472 | ||||||
Actelion Ltd.* | 31,711 | 4,406,042 | ||||||
Baloise Holding AG | 12,700 | 1,609,577 | ||||||
Bucher Industries AG | 5,600 | 1,262,107 | ||||||
Cembra Money Bank AG | 18,100 | 1,163,778 | ||||||
Credit Suisse Group AG* | 113,100 | 2,436,396 | ||||||
Georg Fischer AG | 1,700 | 1,154,135 | ||||||
Helvetia Holding AG | 1,400 | 788,632 | ||||||
OC Oerlikon Corp. AG* | 82,100 | 730,808 | ||||||
Oriflame Holding AG* | 13,400 | 214,746 | ||||||
Partners Group Holding AG | 10,289 | 3,700,276 | ||||||
Swiss Life Holding AG* | 7,800 | 2,100,929 | ||||||
Swiss Re AG | 34,100 | 3,330,421 | ||||||
TE Connectivity Ltd. | 47,350 | 3,059,284 | ||||||
UBS Group AG | 47,400 | 919,535 | ||||||
Wolseley PLC | 70,959 | 3,854,011 | ||||||
Zurich Insurance Group AG* | 6,700 | 1,721,230 | ||||||
| 33,708,379 | ||||||||
Taiwan — 0.5% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,116,000 | 4,814,693 | ||||||
United Kingdom — 7.0% | ||||||||
3i Group PLC | 120,600 | 854,313 | ||||||
Anglo American PLC | 47,800 | 209,710 | ||||||
ARM Holdings PLC | 91,720 | 1,398,007 | ||||||
AstraZeneca PLC | 12,200 | 824,083 | ||||||
Aviva PLC | 129,800 | 985,250 | ||||||
BAE Systems PLC | 344,400 | 2,535,666 | ||||||
Barclays PLC | 410,800 | 1,322,279 | ||||||
Barratt Developments PLC | 109,300 | 1,007,174 | ||||||
Beazley PLC | 129,500 | 743,562 | ||||||
Bellway PLC | 25,400 | 1,062,067 | ||||||
Berkeley Group Holdings PLC | 20,500 | 1,114,459 | ||||||
Bovis Homes Group PLC | 66,300 | 991,617 | ||||||
BP PLC | 317,500 | 1,649,957 | ||||||
BT Group PLC | 141,300 | 981,133 | ||||||
Carillion PLC(a) | 145,900 | 651,625 | ||||||
Centrica PLC | 220,400 | 707,703 | ||||||
Compass Group PLC | 307,719 | 5,332,255 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 1,178,361 | ||||||
Debenhams PLC | 301,400 | 324,961 | ||||||
DS Smith PLC | 55,100 | 322,313 | ||||||
GlaxoSmithKline PLC | 52,400 | 1,058,268 | ||||||
Home Retail Group PLC | 163,800 | 239,960 | ||||||
HSBC Holdings PLC | 196,000 | 1,547,276 | ||||||
IG Group Holdings PLC | 213,281 | 2,521,535 | ||||||
Imperial Tobacco Group PLC | 23,800 | 1,257,068 | ||||||
InterContinental Hotels Group PLC | 73,658 | 2,871,100 | ||||||
Intermediate Capital Group PLC | 93,257 | 859,699 | ||||||
Interserve PLC | 82,200 | 627,161 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
J. Sainsbury PLC | 622,700 | $ | 2,371,382 | |||||
Keller Group PLC | 48,200 | 590,311 | ||||||
Lloyds Banking Group PLC | 1,133,000 | 1,219,110 | ||||||
Man Group PLC | 444,300 | 1,142,972 | ||||||
Meggitt PLC | 16,000 | 88,341 | ||||||
Mitie Group PLC | 247,100 | 1,132,121 | ||||||
National Express Group PLC | 263,500 | 1,292,775 | ||||||
Old Mutual PLC | 282,100 | 742,114 | ||||||
Petrofac Ltd. | 60,000 | 703,786 | ||||||
Premier Foods PLC* | 357,756 | 207,007 | ||||||
Prudential PLC | 159,182 | 3,586,310 | ||||||
QinetiQ Group PLC | 269,900 | 1,075,749 | ||||||
Reckitt Benckiser Group PLC | 40,660 | 3,762,143 | ||||||
Relx PLC | 242,346 | 4,274,020 | ||||||
Rio Tinto Ltd. | 18,500 | 598,280 | ||||||
Smiths Group PLC | 7,800 | 107,866 | ||||||
St. James’s Place PLC | 185,646 | 2,751,601 | ||||||
Tate & Lyle PLC | 76,200 | 671,199 | ||||||
Vesuvius PLC | 81,100 | 399,342 | ||||||
WM Morrison Supermarkets PLC(a) | 452,000 | 984,859 | ||||||
WPP PLC | 203,640 | 4,684,110 | ||||||
| 67,563,960 | ||||||||
United States — 51.8% | ||||||||
AbbVie, Inc. | 27,000 | 1,599,480 | ||||||
AES Corp. | 375,850 | 3,596,885 | ||||||
Aetna, Inc. | 24,950 | 2,697,594 | ||||||
Akamai Technologies, Inc.* | 98,857 | 5,202,844 | ||||||
Alexion Pharmaceuticals, Inc.* | 35,727 | 6,814,925 | ||||||
Alphabet, Inc. (Class A Stock)* | 7,575 | 5,893,426 | ||||||
Alphabet, Inc. (Class C Stock)* | 7,687 | 5,833,511 | ||||||
Amazon.com, Inc.* | 19,488 | 13,171,744 | ||||||
American Express Co. | 52,100 | 3,623,555 | ||||||
Ameriprise Financial, Inc. | 24,400 | 2,596,648 | ||||||
Amgen, Inc. | 20,200 | 3,279,066 | ||||||
Amphenol Corp. (Class A Stock) | 148,573 | 7,759,968 | ||||||
ANSYS, Inc.* | 55,181 | 5,104,242 | ||||||
Apache Corp. | 66,250 | 2,946,138 | ||||||
Apple, Inc. | 65,409 | 6,884,951 | ||||||
Applied Materials, Inc.(a) | 128,500 | 2,399,095 | ||||||
Bank of America Corp. | 393,400 | 6,620,922 | ||||||
Bank of New York Mellon Corp. (The) | 120,100 | 4,950,522 | ||||||
Baxalta, Inc. | 59,800 | 2,333,994 | ||||||
Boeing Co. (The) | 31,550 | 4,561,814 | ||||||
Bristol-Myers Squibb Co. | 134,424 | 9,247,027 | ||||||
Carnival Corp. | 80,250 | 4,372,020 | ||||||
Celanese Corp., Series A | 74,550 | 5,019,451 | ||||||
CenterPoint Energy, Inc. | 39,100 | 717,876 | ||||||
Charles Schwab Corp. (The) | 278,469 | 9,169,984 | ||||||
Chevron Corp. | 7,900 | 710,684 | ||||||
Cisco Systems, Inc. | 115,450 | 3,135,045 | ||||||
Citigroup, Inc. | 56,500 | 2,923,875 | ||||||
Coca-Cola Co. (The) | 31,050 | 1,333,908 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 122,810 | 7,371,056 | ||||||
Colfax Corp.*(a) | 37,634 | 878,754 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
Comcast Corp. (Class A Stock) | 69,450 | $ | 3,919,063 | |||||
Costco Wholesale Corp. | 57,471 | 9,281,566 | ||||||
Danaher Corp. | 102,060 | 9,479,333 | ||||||
DaVita HealthCare Partners, Inc.* | 79,646 | 5,552,123 | ||||||
E.I. du Pont de Nemours & Co. | 39,900 | 2,657,340 | ||||||
Ecolab, Inc. | 72,082 | 8,244,739 | ||||||
Entergy Corp. | 32,900 | 2,249,044 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock)(a) | 108,449 | 9,550,019 | ||||||
Exelon Corp. | 81,800 | 2,271,586 | ||||||
Express Scripts Holding Co.*(a) | 114,749 | 10,030,210 | ||||||
Exxon Mobil Corp. | 56,400 | 4,396,380 | ||||||
Facebook, Inc. (Class A Stock)* | 112,987 | 11,825,219 | ||||||
Fastenal Co.(a) | 138,304 | 5,645,569 | ||||||
Fifth Third Bancorp | 130,600 | 2,625,060 | ||||||
FirstEnergy Corp. | 116,500 | 3,696,545 | ||||||
FleetCor Technologies, Inc.* | 42,046 | 6,009,635 | ||||||
FMC Technologies, Inc.* | 140,227 | 4,067,985 | ||||||
General Electric Co. | 284,200 | 8,852,830 | ||||||
General Motors Co. | 70,900 | 2,411,309 | ||||||
Genpact Ltd.* | 264,717 | 6,612,631 | ||||||
Gilead Sciences, Inc. | 15,500 | 1,568,445 | ||||||
Hess Corp. | 50,150 | 2,431,272 | ||||||
Illinois Tool Works, Inc. | 25,250 | 2,340,170 | ||||||
International Paper Co. | 58,250 | 2,196,025 | ||||||
Intuitive Surgical, Inc.* | 16,867 | 9,212,081 | ||||||
Invesco Ltd. | 54,950 | 1,839,726 | ||||||
Johnson & Johnson | 52,300 | 5,372,256 | ||||||
Johnson Controls, Inc. | 66,750 | 2,635,958 | ||||||
JPMorgan Chase & Co. | 144,050 | 9,511,621 | ||||||
Juniper Networks, Inc.* | 39,100 | 1,079,160 | ||||||
Kohl’s Corp. | 49,250 | 2,345,778 | ||||||
Las Vegas Sands Corp.(a) | 33,350 | 1,462,064 | ||||||
Loews Corp. | 53,900 | 2,069,760 | ||||||
Lowe’s Cos., Inc. | 52,850 | 4,018,714 | ||||||
Marsh & McLennan Cos., Inc. | 89,000 | 4,935,050 | ||||||
Mattel, Inc.(a) | 112,300 | 3,051,191 | ||||||
Mead Johnson Nutrition Co. | 100,667 | 7,947,660 | ||||||
Medtronic PLC | 61,471 | 4,728,349 | ||||||
Merck & Co., Inc. | 94,200 | 4,975,644 | ||||||
MetLife, Inc. | 106,150 | 5,117,491 | ||||||
Microsoft Corp. | 137,200 | 7,611,856 | ||||||
Morgan Stanley | 181,200 | 5,763,972 | ||||||
National Instruments Corp. | 128,249 | 3,679,464 | ||||||
NetSuite, Inc.*(a) | 52,729 | 4,461,928 | ||||||
News Corp. (Class A Stock) | 64,100 | 856,376 | ||||||
Occidental Petroleum Corp. | 52,800 | 3,569,808 | ||||||
PepsiCo, Inc. | 38,050 | 3,801,956 | ||||||
Pfizer, Inc. | 256,400 | 8,276,592 | ||||||
PG&E Corp. | 136,100 | 7,239,159 | ||||||
Philip Morris International, Inc. | 51,800 | 4,553,738 | ||||||
Procter & Gamble Co. (The) | 51,550 | 4,093,585 | ||||||
QUALCOMM, Inc. | 52,650 | 2,631,710 | ||||||
Raytheon Co. | 21,250 | 2,646,263 | ||||||
salesforce.com, inc.* | 114,368 | 8,966,451 | ||||||
Southwest Airlines Co. | 100,950 | 4,346,907 | ||||||
Starbucks Corp. | 190,216 | 11,418,666 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
Stericycle, Inc.* | 74,943 | $ | 9,038,126 | |||||
T-Mobile U.S., Inc.* | 44,750 | 1,750,620 | ||||||
Texas Instruments, Inc. | 59,000 | 3,233,790 | ||||||
Thermo Fisher Scientific, Inc. | 36,750 | 5,212,987 | ||||||
TripAdvisor, Inc.*(a) | 114,663 | 9,775,021 | ||||||
Twenty-First Century Fox (Class B Stock) | 138,250 | 3,764,547 | ||||||
Tyco International PLC | 74,500 | 2,375,805 | ||||||
Tyson Foods, Inc. (Class A Stock)(a) | 52,250 | 2,786,493 | ||||||
U.S. Bancorp | 50,950 | 2,174,037 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 59,843 | 4,823,944 | ||||||
United Technologies Corp. | 28,450 | 2,733,192 | ||||||
Viacom, Inc. (Class B Stock) | 15,100 | 621,516 | ||||||
Visa, Inc. (Class A Stock) | 163,046 | 12,644,217 | ||||||
Vulcan Materials Co. | 19,550 | 1,856,664 | ||||||
Wabtec Corp. | 42,374 | 3,013,639 | ||||||
Wal-Mart Stores, Inc. | 22,350 | 1,370,055 | ||||||
Wells Fargo & Co. | 74,550 | 4,052,538 | ||||||
Western Union Co. (The)(a) | 50,250 | 899,978 | ||||||
Weyerhaeuser Co. | 81,100 | 2,431,378 | ||||||
Xcel Energy, Inc. | 26,950 | 967,775 | ||||||
| 500,412,358 | ||||||||
TOTAL COMMON STOCKS |
| 933,320,218 | ||||||
RIGHTS* | Units | Value (Note 2) | ||||||
Spain | ||||||||
Repsol SA, expiring 01/12/16 (cost $29,109) | 57,200 | $ | 28,532 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 933,348,750 | ||||||
| SHORT-TERM INVESTMENT — 7.9% | ||||||||
| Shares | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 76,661,013 | 76,661,013 | ||||||
TOTAL INVESTMENTS — 104.6% |
| 1,010,009,763 | ||||||
LIABILITIES IN EXCESS OF |
| (44,722,728 | ) | |||||
NET ASSETS — 100.0% |
| $ | 965,287,035 | |||||
See the Glossary for abbreviations used in the annual report.
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $46,793,435; cash collateral of $48,814,917 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 14,778,628 | $ | — | ||||||
Austria | — | 2,095,085 | — | |||||||||
Belgium | 490,305 | 2,092,533 | — | |||||||||
Canada | 17,533,667 | — | — | |||||||||
China | 6,082,363 | 9,928,627 | — | |||||||||
Denmark | — | 5,233,445 | — | |||||||||
Finland | — | 5,595,241 | — | |||||||||
France | — | 35,138,786 | — | |||||||||
Germany | — | 27,479,219 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Hong Kong | $ | — | $ | 9,187,528 | $ | — | ||||||
India | 8,346,514 | — | — | |||||||||
Ireland | 8,346,228 | 901,513 | — | |||||||||
Israel | 6,043,278 | 3,100,461 | — | |||||||||
Italy | — | 7,482,310 | — | |||||||||
Japan | 671,846 | 93,716,590 | — | |||||||||
Liechtenstein | — | 143,589 | — | |||||||||
Netherlands | 16,606,470 | 10,572,376 | — | |||||||||
New Zealand | — | 2,478,750 | — | |||||||||
Norway | — | 4,177,855 | — | |||||||||
Singapore | — | 1,852,887 | — | |||||||||
South Africa | — | 3,718,195 | — | |||||||||
South Korea | — | 3,570,917 | — | |||||||||
Spain | — | 8,247,307 | — | |||||||||
Sweden | — | 11,208,315 | — | |||||||||
Switzerland | 4,223,062 | 29,485,317 | — | |||||||||
Taiwan | — | 4,814,693 | — | |||||||||
United Kingdom | 1,499,782 | 66,064,178 | — | |||||||||
United States | 500,412,358 | — | — | |||||||||
Rights | 28,532 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 76,661,013 | — | — | |||||||||
Total | $ | 646,945,418 | $ | 363,064,345 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan) | 7.9 | % | ||
Banks | 7.0 | |||
Insurance | 5.6 | |||
Pharmaceuticals | 5.3 | |||
IT Services | 4.5 | |||
Capital Markets | 4.3 | |||
Oil, Gas & Consumable Fuels | 4.0 | |||
Internet Software & Services | 3.9 | |||
Software | 2.7 | |||
Hotels, Restaurants & Leisure | 2.7 | |||
Chemicals | 2.6 | |||
Semiconductors & Semiconductor Equipment | 2.5 | |||
Electronic Equipment, Instruments & Components | 2.5 | |||
Machinery | 2.4 | |||
Internet & Catalog Retail | 2.4 | |||
Industrial Conglomerates | 2.4 | |||
Food & Staples Retailing | 2.3 | |||
Media | 2.3 | |||
Health Care Providers & Services | 2.2 | |||
Automobiles | 2.1 | |||
Biotechnology | 2.1 | |||
Aerospace & Defense | 2.0 | |||
Health Care Equipment & Supplies | 1.8 | |||
Auto Components | 1.8 | |||
Technology Hardware, Storage & Peripherals | 1.6 | |||
Food Products | 1.5 | |||
Trading Companies & Distributors | 1.5 | |||
Personal Products | 1.4 | |||
Commercial Services & Supplies | 1.3 | |||
Airlines | 1.3 | |||
Electric Utilities | 1.2 | |||
Multi-Utilities | 1.0 |
Real Estate Management & Development | 1.0 | % | ||
Specialty Retail | 0.8 | |||
Communications Equipment | 0.8 | |||
Household Products | 0.8 | |||
Diversified Financial Services | 0.8 | |||
Diversified Telecommunication Services | 0.7 | |||
Leisure Products | 0.7 | |||
Household Durables | 0.7 | |||
Road & Rail | 0.7 | |||
Tobacco | 0.6 | |||
Textiles, Apparel & Luxury Goods | 0.6 | |||
Life Sciences Tools & Services | 0.5 | |||
Beverages | 0.5 | |||
Paper & Forest Products | 0.5 | |||
Energy Equipment & Services | 0.5 | |||
Consumer Finance | 0.5 | |||
Metals & Mining | 0.5 | |||
Wireless Telecommunication Services | 0.5 | |||
Construction & Engineering | 0.5 | |||
Independent Power & Renewable Electricity Producers | 0.4 | |||
Multiline Retail | 0.3 | |||
Building Products | 0.3 | |||
Electrical Equipment | 0.3 | |||
Construction Materials | 0.3 | |||
Real Estate Investment Trusts (REITs) | 0.3 | |||
Containers & Packaging | 0.1 | |||
Gas Utilities | 0.1 | |||
Marine | 0.1 | |||
Health Care Technology | 0.1 | |||
| 104.6 | ||||
Liabilities in excess of other assets | (4.6 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 28,532 | $ | — | |||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights* | |||
Equity contracts | $ | (433 | ) | |
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights* | |||
Equity contracts | $ | (577 | ) | |
| * | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $46,793,435: | ||||
Unaffiliated investments (cost $807,773,097) | $ | 933,348,750 | ||
Affiliated investments (cost $76,661,013) | 76,661,013 | |||
Cash | 1,746 | |||
Foreign currency, at value (cost $2,272,568) | 2,266,592 | |||
Receivable for investments sold | 2,195,035 | |||
Tax reclaim receivable | 1,496,784 | |||
Dividends receivable | 981,833 | |||
Receivable from affiliate | 113,978 | |||
Receivable for Series shares sold | 2,309 | |||
Prepaid expenses | 5,590 | |||
Total Assets | 1,017,073,630 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 48,814,917 | |||
Payable for investments purchased | 2,000,781 | |||
Management fee payable | 607,982 | |||
Accrued expenses | 216,980 | |||
Payable for Series shares repurchased | 144,955 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 51,786,595 | |||
| NET ASSETS | $ | 965,287,035 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 756,792,810 | ||
Retained earnings | 208,494,225 | |||
Net assets, December 31, 2015 | $ | 965,287,035 | ||
Net asset value and redemption price per share $965,287,035 / 36,661,269 outstanding shares of beneficial interest | $ | 26.33 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $505,662, includes $80,187 reimbursable by an affiliate) | $ | 16,883,485 | ||
Affiliated income from securities lending, net | 59,463 | |||
Affiliated dividend income | 48,555 | |||
Total income | 16,991,503 | |||
EXPENSES | ||||
Management fee | 6,097,637 | |||
Custodian and accounting fees | 322,000 | |||
Shareholders’ reports | 130,000 | |||
Audit fee | 27,000 | |||
Trustees’ fees | 17,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Legal fees and expenses | 10,000 | |||
Insurance expenses | 9,000 | |||
Loan interest expense | 69 | |||
Miscellaneous | 53,277 | |||
Total expenses | 6,677,983 | |||
Less: Management fee waiver | (87,650 | ) | ||
Net expenses | 6,590,333 | |||
| NET INVESTMENT INCOME | 10,401,170 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 30,734,946 | |||
Foreign currency transactions | (356,917 | ) | ||
| 30,378,029 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (12,900,172 | ) | ||
Foreign currencies | (47,814 | ) | ||
| (12,947,986 | ) | |||
| NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 17,430,043 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 27,831,213 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 10,401,170 | $ | 10,803,379 | ||||
Net realized gain on investment and foreign currency transactions | 30,378,029 | 38,470,561 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (12,947,986 | ) | (25,504,944 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 27,831,213 | 23,768,996 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [10,575,719 and 941,874 shares, respectively] | 267,851,761 | 23,729,047 | ||||||
Series shares repurchased [1,878,916 and 2,863,482 shares, respectively] | (49,569,010 | ) | (72,868,700 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 218,282,751 | (49,139,653 | ) | |||||
| TOTAL INCREASE (DECREASE) | 246,113,964 | (25,370,657 | ) | |||||
| NET ASSETS: | ||||||||
Beginning of year | 719,173,071 | 744,543,728 | ||||||
End of year | $ | 965,287,035 | $ | 719,173,071 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
LONG-TERM INVESTMENTS — 97.0% ASSET-BACKED SECURITIES — 6.3% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 5.8% | ||||||||||||||
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A | 1.921% | (a) | 10/15/26 | 750 | $ | 743,943 | ||||||||
Babson CLO Ltd., Series 2013-IA, Class A, 144A | 1.417% | (a) | 04/20/25 | 1,750 | 1,714,500 | |||||||||
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A | 1.915% | (a) | 10/17/26 | 750 | 741,586 | |||||||||
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A | 1.845% | (a) | 04/18/27 | 500 | 494,906 | |||||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A | 1.801% | (a) | 01/15/26 | 600 | 594,138 | |||||||||
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A | 1.715% | (a) | 01/17/26 | 250 | 247,104 | |||||||||
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A | 1.791% | (a) | 10/15/26 | 3,250 | 3,216,828 | |||||||||
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A | 1.791% | (a) | 04/15/26 | 250 | 247,309 | |||||||||
OZLM Funding Ltd., Series 2012-1A, Class A1R, 144A | 1.840% | (a) | 07/22/27 | 500 | 496,993 | |||||||||
Shackleton CLO V Ltd., Series 2014-5A, Class A, 144A | 1.844% | (a) | 05/07/26 | 750 | 740,458 | |||||||||
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A | 1.727% | (a) | 10/20/23 | 500 | 498,792 | |||||||||
Silver Spring Ltd., Series 2014-1A, Class A, 144A | 1.771% | (a) | 10/15/26 | 1,500 | 1,468,156 | |||||||||
Sound Point CLO IX Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A | 1.985% | (a) | 07/20/27 | 750 | 741,560 | |||||||||
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A | 1.947% | (a) | 04/20/26 | 1,500 | 1,485,503 | |||||||||
| 13,431,776 | ||||||||||||||
Collateralized Mortgage Obligations — 0.3% | ||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 152 | 155,626 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | 38 | 38,279 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 283 | 289,620 | ||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | 43 | 43,833 | ||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 | 1.042% | (a) | 10/25/28 | 40 | 38,657 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.586% | (a) | 02/25/34 | 178 | 176,889 | |||||||||
| 742,904 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.2% | ||||||||||||||
Small Business Administration Participation Certificates, Series 1996-20J, Class 1 | 7.200% | 10/01/16 | 109 | 110,903 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | 7.150% | 01/01/17 | 89 | 91,010 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 65 | 66,617 | ||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 198 | 207,831 | ||||||||||
| 476,361 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 14,651,041 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 29.6% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-4, Class AM | 5.675% | 07/10/46 | 1,500 | 1,531,286 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3 | 3.515% | 09/10/58 | 700 | 702,233 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,552 | 1,577,006 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 972,960 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR4, Class A3 | 3.214% | 08/10/55 | 1,600 | 1,606,428 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR25, Class A3 | 3.505% | 08/10/48 | 1,000 | 1,006,938 | ||||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 | 2.465% | 09/25/24 | 550 | 538,993 | ||||||||||
Fannie Mae-Aces, Series 2015-M3, Class AB2 | 2.625% | 10/25/24 | 2,730 | 2,696,396 | ||||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (a) | 04/25/27 | 1,600 | 1,624,070 | |||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (a) | 11/25/25 | 1,500 | 1,489,876 | |||||||||
Federal National Mortgage Assoc., Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 201,372 | ||||||||||
Federal National Mortgage Assoc., Series 2012-M13, Class A2 | 2.377% | 05/25/22 | 1,850 | 1,845,734 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (a) | 12/25/23 | 2,650 | 2,788,240 | |||||||||
Federal National Mortgage Assoc., Series 2015-M8, Class AB2 | 2.829% | 01/25/25 | 1,600 | 1,612,736 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 271,995 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | 4.317% | 11/25/19 | 1,100 | 1,191,561 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.645% | (a) | 06/25/20 | 18,445 | 988,449 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO | 1.720% | (a) | 03/25/22 | 18,165 | $ | 1,539,277 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.454% | (a) | 05/25/22 | 9,120 | 681,208 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.493% | (a) | 06/25/22 | 9,675 | 732,337 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | 2.573% | 09/25/22 | 2,000 | 1,995,618 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 0.893% | (a) | 10/25/22 | 27,370 | 1,299,293 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2 | 3.310% | (a) | 05/25/23 | 2,730 | 2,831,709 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 | 3.060% | (a) | 07/25/23 | 3,600 | 3,671,444 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 4,000 | 4,065,049 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2 | 2.811% | 01/25/25 | 3,200 | 3,150,748 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,000 | 4,003,703 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.582% | (a) | 08/25/16 | 3,045 | 15,180 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.771% | (a) | 05/25/19 | 8,069 | 401,223 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.700% | (a) | 07/25/19 | 7,761 | 383,441 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | 05/25/25 | 6,600 | 6,652,901 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2 | 2.615% | 01/25/23 | 1,800 | 1,799,352 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 | 3.003% | 01/15/47 | 1,700 | 1,732,447 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3 | 3.322% | 07/15/48 | 1,600 | 1,600,948 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A3 | 5.774% | (a) | 06/15/49 | 671 | 672,332 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,646,982 | ||||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.666% | (a) | 05/12/39 | 1,375 | 1,380,307 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AM | 5.889% | (a) | 06/12/46 | 250 | 252,566 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM | 5.456% | (a) | 07/12/46 | 1,200 | 1,219,686 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM | 5.204% | 12/12/49 | 1,500 | 1,539,415 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 1,600 | 1,598,867 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM | 5.795% | (a) | 07/15/45 | 1,000 | 1,016,422 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 68,528,728 | ||||||||||||
| FOREIGN AGENCY — 0.4% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 820 | 823,707 | ||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.5% | ||||||||||||||
Federal Home Loan Mortgage Corp. | 2.479% | (a) | 05/01/34 | 337 | 355,839 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 926 | 935,418 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29-06/01/45 | 1,811 | 1,837,122 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26-01/01/27 | 800 | 839,761 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 1,500 | 1,584,580 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 2,912 | 3,083,074 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 2,816 | 3,037,214 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33-05/01/34 | 1,272 | 1,404,986 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37-05/01/38 | 755 | 839,489 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34-08/01/39 | 572 | $ | 646,925 | |||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 82 | 93,207 | ||||||||||
Federal National Mortgage Assoc. | 2.099% | (a) | 04/01/34 | 144 | 152,022 | |||||||||
Federal National Mortgage Assoc. | 2.290% | (a) | 07/01/33 | 902 | 953,446 | |||||||||
Federal National Mortgage Assoc. | 2.341% | (a) | 04/01/34 | 282 | 297,708 | |||||||||
Federal National Mortgage Assoc. | 2.350% | (a) | 06/01/34 | 275 | 292,126 | |||||||||
Federal National Mortgage Assoc. | 2.517% | (a) | 08/01/33 | 554 | 584,381 | |||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 3,500 | 3,493,059 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/28 | 1,799 | 1,857,526 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 11,000 | 11,348,955 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/27-06/01/39 | 1,319 | 1,374,857 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40-09/01/44 | 4,604 | 4,879,402 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 3,555 | 3,883,059 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 1,000 | 1,100,680 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18-05/01/36 | 2,037 | 2,214,420 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/17-11/01/35 | 5,278 | 5,927,213 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21-05/01/38 | 1,058 | 1,198,317 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32-10/01/37 | 1,344 | 1,564,826 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31-01/01/36 | 177 | 203,329 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 10/01/23-02/01/26 | 8 | 8,161 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25-04/01/25 | 27 | 30,898 | ||||||||||
Financing Corp. Strips Principal, Series 4-P | 1.390% | (d) | 10/06/17 | 2,700 | 2,645,900 | |||||||||
Financing Corp. Strips Principal, Series D-P | 2.224% | (d) | 09/26/19 | 1,370 | 1,270,201 | |||||||||
Freddie Mac Gold Pool | 3.500% | 07/01/42-08/01/43 | 3,924 | 4,044,263 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 500 | 506,777 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,954 | 2,994,489 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 12,500 | 13,030,763 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45-07/20/45 | 3,734 | 3,897,749 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-01/20/45 | 427 | 453,156 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41-03/20/41 | 2,182 | 2,377,046 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33-04/15/34 | 730 | 813,609 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34-03/15/36 | 628 | 713,063 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32-08/15/32 | 210 | 247,004 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23-08/15/28 | 443 | 486,238 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25-02/15/26 | 68 | 76,262 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24-04/15/25 | 134 | 150,165 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 937 | 960,448 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 1,520 | 1,536,484 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,040 | 1,069,299 | ||||||||||
Residual Funding Corp. Strips Principal, Bonds | 1.903% | (d) | 10/15/20 | 75 | 67,867 | |||||||||
Residual Funding Corp. Strips Principal, Bonds, PO | 1.825% | (d) | 10/15/19 | 2,745 | 2,555,677 | |||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 2.066% | (d) | 07/15/20 | 1,465 | 1,338,169 | |||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 3,480 | 3,465,676 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 100,722,305 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 17.2% | ||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/45 | 1,845 | 1,655,384 | ||||||||||
U.S. Treasury Bonds | 2.750% | 11/15/42 | 1,925 | 1,835,443 | ||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43-08/15/45 | 4,385 | 4,268,706 | ||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 920 | 915,796 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 11,345 | 11,199,978 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.750% | 02/15/45 | 616 | 537,317 | ||||||||||
U.S. Treasury Notes | 1.750% | 03/31/22 | 8,870 | 8,733,482 | ||||||||||
U.S. Treasury Notes | 2.000% | 11/30/22 | 300 | 298,359 | ||||||||||
U.S. Treasury Notes(e) | 2.125% | 12/31/21 | 2,285 | 2,305,172 | ||||||||||
U.S. Treasury Strips Coupon(f) | 2.037% | (d) | 02/15/22 | 1,690 | 1,483,673 | |||||||||
U.S. Treasury Strips Coupon | 2.060% | (d) | 08/15/21 | 2,525 | 2,251,441 | |||||||||
U.S. Treasury Strips Coupon | 2.184% | (d) | 02/15/28 | 550 | 399,337 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| U.S. TREASURY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
U.S. Treasury Strips Coupon | 2.384% | (d) | 05/15/29 | 565 | $ | 392,518 | ||||||||||
U.S. Treasury Strips Coupon | 4.138% | (d) | 02/15/42 | 3,725 | 1,639,488 | |||||||||||
U.S. Treasury Strips Principal | 2.351% | (d) | 05/15/43 | 1,115 | 475,244 | |||||||||||
U.S. Treasury Strips Principal | 3.596% | (d) | 05/15/44 | 3,180 | 1,309,235 | |||||||||||
U.S. Treasury Strips Principal | 3.005% | (d) | 11/15/44 | 715 | 287,915 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 39,988,488 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 224,714,269 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 16.2% | ||||||||||||||||
| Shares | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 16.2% |
| |||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 4,021,093 | 37,275,532 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
| 287,130 | 287,130 | |||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 37,562,662 | ||||||||||||||
| Counterparty | Notional Amount (000)# | |||||||||||||||
| OPTIONS PURCHASED* | ||||||||||||||||
Call Options | ||||||||||||||||
Interest Rate Swap Options, | ||||||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/2016 | Barclays Capital Group | 102,200 | — | |||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/2016 | Barclays Capital Group | 102,200 | — | |||||||||||||
Receive a fixed rate of 0.25% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/2016 | Barclays Capital Group | 102,200 | 47 | |||||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 02/19/2016 | Barclays Capital Group | 51,100 | 1 | |||||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 03/14/2016 | Barclays Capital Group | 51,100 | 42 | |||||||||||||
Receive a fixed rate of 0.55% and pay a floating rate based on 3 Month LIBOR, expiring 05/19/2016 | Barclays Capital Group | 51,100 | 753 | |||||||||||||
Receive a fixed rate of 0.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/2016 | Citibank Global Markets | 23,880 | — | |||||||||||||
Receive a fixed rate of 1.75% and pay a floating rate based on 3 Month LIBOR, expiring 01/04/2016 | Citibank Global Markets | 23,880 | 42,366 | |||||||||||||
TOTAL OPTIONS PURCHASED |
| 43,209 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 37,605,871 | ||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 113.2% |
| 262,320,140 | ||||||||||||||
| OPTIONS WRITTEN* | ||||||||||||||||
Call Options | ||||||||||||||||
Interest Rate Swap Options, | ||||||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 01/04/2016 | Barclays Capital Group | 153,300 | — | |||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 03/14/2016 | Barclays Capital Group | 153,300 | (258 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| OPTIONS WRITTEN* (continued) | Counterparty | Notional Amount (000)# | Value (Note 2) | |||||||||
Call Options (continued) | ||||||||||||
Interest Rate Swap Options (continued) | ||||||||||||
Pay a fixed rate of 0.35% and receive a floating rate based on 3 Month LIBOR, expiring 05/19/2016 | Barclays Capital Group | 153,300 | $ | (2 | ) | |||||||
Pay a fixed rate of 1.25% and receive a floating rate based on 3 Month LIBOR, expiring 02/19/2016 | Citibank Global Markets | 47,760 | — | |||||||||
TOTAL OPTIONS WRITTEN | (260 | ) | ||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 113.2% | 262,319,880 | |||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (13.2)% | (30,522,189 | ) | ||||||||||
NET ASSETS — 100.0% | $ | 231,797,691 | ||||||||||
See the Glossary for abbreviations used in the annual report.
| * | Non-income producing securities. |
| # | Principal or notional amount shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2015. |
| (d) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (g) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (h) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (i) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2015:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
| Long Positions: | ||||||||||||||||||
| 276 | 2 Year U.S. Treasury Notes | Mar. 2016 | $ | 60,033,215 | $ | 59,956,687 | $ | (76,528 | ) | |||||||||
| 194 | 5 Year U.S. Treasury Notes | Mar. 2016 | 22,962,808 | 22,954,140 | (8,668 | ) | ||||||||||||
| 21 | 10 Year U.S. Treasury Notes | Mar. 2016 | 2,637,499 | 2,644,031 | 6,532 | |||||||||||||
| 187 | 90 Day Euro Dollar | Mar. 2016 | 46,465,212 | 46,406,388 | (58,824 | ) | ||||||||||||
| 33 | U.S. Ultra Bonds | Mar. 2016 | 5,176,549 | 5,236,688 | 60,139 | |||||||||||||
| (77,349 | ) | |||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 187 | 90 Day Euro Dollar | Sept. 2016 | 46,314,838 | 46,252,113 | 62,725 | |||||||||||||
| 94 | U.S. Long Bonds | Mar. 2016 | 14,636,167 | 14,452,500 | 183,667 | |||||||||||||
| 246,392 | ||||||||||||||||||
| $ | 169,043 | |||||||||||||||||
| (1) | A U.S. Treasury Obligation with a market value of $872,646 has been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Interest rate swap agreements outstanding at December 31, 2015:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
| OTC swap agreements: | |||||||||||||||||||||||||
| 1,360 | 11/30/16 | 0.945% | 3 Month LIBOR(1) | $ | (2,561 | ) | $ | — | $ | (2,561 | ) | Citigroup Global Markets | ||||||||||||||
| 4,700 | 02/15/19 | 1.656% | 3 Month LIBOR(1) | (63,799 | ) | — | (63,799 | ) | Citigroup Global Markets | |||||||||||||||||
| 4,700 | 02/15/19 | 1.794% | 3 Month LIBOR(2) | 86,100 | — | 86,100 | JPMorgan Chase | |||||||||||||||||||
| $ | 19,740 | $ | — | $ | 19,740 | |||||||||||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
| 100 | 02/21/16 | 0.429% | 3 Month LIBOR(1) | $ | 151 | $ | (6 | ) | $ | (157 | ) | |||||||||||||
| 3,300 | 09/04/20 | 1.585% | 3 Month LIBOR(1) | 163 | 13,821 | 13,658 | ||||||||||||||||||
| 24,500 | 01/08/21 | 1.683% | 3 Month LIBOR(2) | 282 | (61,617 | ) | (61,899 | ) | ||||||||||||||||
| 7,855 | 09/17/21 | 2.358% | 3 Month LIBOR(2) | 197 | 227,407 | 227,210 | ||||||||||||||||||
| 5,100 | 01/13/22 | 2.351% | 3 Month LIBOR(1) | 181 | (141,707 | ) | (141,888 | ) | ||||||||||||||||
| 4,850 | 01/13/22 | 2.480% | 3 Month LIBOR(1) | 179 | (171,024 | ) | (171,203 | ) | ||||||||||||||||
| 1,710 | 01/22/22 | 2.467% | 3 Month LIBOR(1) | 161 | (59,045 | ) | (59,206 | ) | ||||||||||||||||
| 13,310 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (26,951 | ) | (264,012 | ) | (237,061 | ) | |||||||||||||||
| 5,470 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 179 | (114,148 | ) | (114,327 | ) | ||||||||||||||||
| 3,350 | 08/31/22 | 1.745% | 3 Month LIBOR(1) | 169 | 33,456 | 33,287 | ||||||||||||||||||
| 3,600 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 170 | 1,168 | 998 | ||||||||||||||||||
| 8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) | 220 | (567,611 | ) | (567,831 | ) | ||||||||||||||||
| 11,725 | 08/18/24 | 2.750% | 3 Month LIBOR(2) | 168 | 599,021 | 598,853 | ||||||||||||||||||
| 5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) | 111 | (261,211 | ) | (261,322 | ) | ||||||||||||||||
| 1,860 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 163 | (9,139 | ) | (9,302 | ) | ||||||||||||||||
| 3,630 | 11/12/25 | 2.263% | 3 Month LIBOR(1) | 176 | (29,862 | ) | (30,038 | ) | ||||||||||||||||
| 25,835 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 359 | (51,150 | ) | (51,509 | ) | ||||||||||||||||
| 230 | 09/17/29 | 3.070% | 3 Month LIBOR(2) | 10 | 18,421 | 18,411 | ||||||||||||||||||
| 7,535 | 02/15/36 | 2.502% | 3 Month LIBOR(2) | 12,505 | (70,208 | ) | (82,713 | ) | ||||||||||||||||
| 5,485 | 01/08/46 | 2.659% | 3 Month LIBOR(2) | 248 | 43,779 | 43,531 | ||||||||||||||||||
| $ | (11,159 | ) | $ | (863,667 | ) | $ | (852,508 | ) | ||||||||||||||||
A U.S. Treasury Obligation with a market value of $1,210,594 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at December 31, 2015.
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 13,431,776 | $ | — | ||||||
Collateralized Mortgage Obligations | — | 742,904 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 476,361 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 68,528,728 | — | |||||||||
Foreign Agency | — | 823,707 | — | |||||||||
U.S. Government Agency Obligations | — | 100,722,305 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 39,988,488 | $ | — | ||||||
Affiliated Mutual Funds | 37,562,662 | — | — | |||||||||
Options Purchased | — | 43,209 | — | |||||||||
Options Written | — | (260 | ) | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 169,043 | — | — | |||||||||
OTC interest rate swaps | — | 19,740 | — | |||||||||
Centrally cleared interest rate swaps | — | (852,508 | ) | — | ||||||||
Total | $ | 37,731,705 | $ | 223,924,450 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
U.S. Government Agency Obligations | 43.5 | % | ||
Commercial Mortgage-Backed Securities | 29.6 | |||
U.S. Treasury Obligations | 17.2 | |||
Affiliated Mutual Funds | 16.2 | |||
Collateralized Loan Obligations | 5.8 | |||
Foreign Agency | 0.4 |
Collateralized Mortgage Obligations | 0.3 | % | ||
Non-Residential Mortgage-Backed Securities | 0.2 | |||
| 113.2 | ||||
Liabilities in excess of other assets | (13.2 | ) | ||
| 100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 313,063 | * | Due from/to broker — variation margin futures | $ | 144,020 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 935,948 | * | Due from/to broker — variation margin swaps | 1,788,456 | * | ||||||
Interest rate contracts | Unrealized appreciation OTC on swap agreements | 86,100 | Unrealized depreciation on OTC swap agreements | 66,360 | ||||||||
Interest rate contracts | Unaffiliated investments | 43,209 | Options written outstanding, at value | 260 | ||||||||
Total | $ | 1,378,320 | $ | 1,999,096 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | (1,511,763 | ) | $ | 744,071 | $ | 689,845 | $ | (1,715,847 | ) | $ | (1,793,694 | ) | |||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | (193,208 | ) | $ | 103,881 | $ | (63,117 | ) | $ | (524,110 | ) | $ | (676,554 | ) | ||||||
| * | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
For the year ended December 31, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | Interest Rate Swap | ||||
| $269,763 | $265,104 | $91,536,417 | $18,493,703 | $128,089 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
Offsetting of OTC derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | 843 | $ | (260 | ) | $ | — | $ | 583 | |||||||
Citigroup Global Markets | 42,366 | (42,366 | ) | — | — | |||||||||||
JPMorgan Chase | 86,100 | — | — | 86,100 | ||||||||||||
| $ | 129,309 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Barclays Capital Group | $ | (260 | ) | $ | 260 | $ | — | $ | — | |||||||
Citigroup Global Markets | (66,360 | ) | 42,366 | — | (23,994 | ) | ||||||||||
JPMorgan Chase | — | — | — | — | ||||||||||||
| $ | (66,620 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $223,240,658) | $ | 224,757,478 | ||
Affiliated investments (cost $39,547,417) | 37,562,662 | |||
Receivable for investments sold | 21,669,310 | |||
Dividends and interest receivable | 767,287 | |||
Unrealized appreciation on OTC swap agreements | 86,100 | |||
Receivable for Series shares sold | 41,508 | |||
Due from broker—variation margin futures | 24,474 | |||
Prepaid expenses | 2,520 | |||
Total Assets | 284,911,339 | |||
| LIABILITIES | ||||
Payable for investments purchased | 52,722,816 | |||
Accrued expenses and other liabilities | 107,956 | |||
Management fee payable | 80,251 | |||
Due to broker—variation margin swaps | 78,711 | |||
Unrealized depreciation on OTC swap agreements | 66,360 | |||
Payable for Series shares repurchased | 35,124 | |||
Payable to custodian | 17,503 | |||
Loan interest payable | 3,016 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 671 | |||
Options written outstanding, at value (premiums received $127,340) | 260 | |||
Total Liabilities | 53,113,648 | |||
| NET ASSETS | $ | 231,797,691 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 216,314,364 | ||
Retained earnings | 15,483,327 | |||
Net assets, December 31, 2015 | $ | 231,797,691 | ||
Net asset value and redemption price per share $231,797,691 / 19,315,538 outstanding shares of beneficial interest | $ | 12.00 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Interest income | $ | 5,478,241 | ||
Affiliated dividend income | 880,356 | |||
Affiliated income from securities lending, net | 18,394 | |||
Total income | 6,376,991 | |||
| EXPENSES | ||||
Management fee | 1,301,882 | |||
Shareholders’ reports | 100,000 | |||
Custodian and accounting fees | 83,000 | |||
Audit fee | 33,000 | |||
Trustees’ fees | 13,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Legal fees and expenses | 9,000 | |||
Insurance expenses | 4,000 | |||
Loan interest expense | 3,197 | |||
Miscellaneous | 11,043 | |||
Total expenses | 1,570,122 | |||
| NET INVESTMENT INCOME | 4,806,869 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 1,801,068 | |||
Futures transactions | 689,845 | |||
Options written transactions | 744,071 | |||
Swap agreement transactions | (1,715,847 | ) | ||
| 1,519,137 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,248,703 | ) | ||
Futures | (63,117 | ) | ||
Options written | 103,881 | |||
Swap agreements | (524,110 | ) | ||
| (3,732,049 | ) | |||
| NET LOSS ON INVESTMENT TRANSACTIONS | (2,212,912 | ) | ||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,593,957 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income | $ | 4,806,869 | $ | 5,901,363 | ||||
Net realized gain on investment transactions | 1,519,137 | 7,472,234 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (3,732,049 | ) | 5,994,740 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 2,593,957 | 19,368,337 | ||||||
| DISTRIBUTIONS | — | (1,210,720 | ) | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [446,808 and 449,768 shares, respectively] | 5,381,539 | 5,246,081 | ||||||
Series shares issued in reinvestment of distributions [0 and 105,280 shares, respectively] | — | 1,210,720 | ||||||
Series shares repurchased [9,585,972 and 2,279,485 shares, respectively] | (115,358,336 | ) | (26,512,995 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (109,976,797 | ) | (20,056,194 | ) | ||||
| TOTAL DECREASE | (107,382,840 | ) | (1,898,577 | ) | ||||
| NET ASSETS: | ||||||||
Beginning of year | 339,180,531 | 341,079,108 | ||||||
End of year | $ | 231,797,691 | $ | 339,180,531 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| LONG-TERM INVESTMENTS — 97.0% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.6% | ||||||||
Boeing Co. (The) | 102,836 | $ | 14,869,057 | |||||
General Dynamics Corp. | 49,500 | 6,799,320 | ||||||
Honeywell International, Inc. | 126,950 | 13,148,211 | ||||||
L-3 Communications Holdings, Inc. | 13,100 | 1,565,581 | ||||||
Lockheed Martin Corp. | 43,598 | 9,467,306 | ||||||
Northrop Grumman Corp. | 29,826 | 5,631,447 | ||||||
Precision Castparts Corp. | 22,500 | 5,220,225 | ||||||
Raytheon Co. | 49,518 | 6,166,477 | ||||||
Rockwell Collins, Inc. | 21,700 | 2,002,910 | ||||||
Textron, Inc. | 45,500 | 1,911,455 | ||||||
United Technologies Corp. | 135,100 | 12,979,057 | ||||||
| 79,761,046 | ||||||||
Air Freight & Logistics — 0.7% |
| |||||||
C.H. Robinson Worldwide, Inc. | 23,100 | 1,432,662 | ||||||
Expeditors International of Washington, Inc. | 31,400 | 1,416,140 | ||||||
FedEx Corp. | 42,840 | 6,382,732 | ||||||
United Parcel Service, Inc. (Class B Stock) | 113,800 | 10,950,974 | ||||||
| 20,182,508 | ||||||||
Airlines — 0.6% |
| |||||||
American Airlines Group, Inc. | 102,500 | 4,340,875 | ||||||
Delta Air Lines, Inc. | 129,800 | 6,579,562 | ||||||
Southwest Airlines Co. | 108,637 | 4,677,909 | ||||||
United Continental Holdings, Inc.* | 59,600 | 3,415,080 | ||||||
| 19,013,426 | ||||||||
Auto Components — 0.4% |
| |||||||
BorgWarner, Inc. | 37,100 | 1,603,833 | ||||||
Delphi Automotive PLC (United Kingdom) | 46,500 | 3,986,445 | ||||||
Goodyear Tire & Rubber Co. (The) | 44,300 | 1,447,281 | ||||||
Johnson Controls, Inc. | 107,400 | 4,241,226 | ||||||
| 11,278,785 | ||||||||
Automobiles — 0.6% |
| |||||||
Ford Motor Co. | 635,859 | 8,959,253 | ||||||
General Motors Co. | 230,800 | 7,849,508 | ||||||
Harley-Davidson, Inc.(a) | 31,200 | 1,416,168 | ||||||
| 18,224,929 | ||||||||
Banks — 5.9% |
| |||||||
Bank of America Corp. | 1,705,682 | 28,706,628 | ||||||
BB&T Corp. | 127,400 | 4,816,994 | ||||||
Citigroup, Inc. | 488,522 | 25,281,013 | ||||||
Comerica, Inc. | 29,250 | 1,223,528 | ||||||
Fifth Third Bancorp | 130,149 | 2,615,995 | ||||||
Huntington Bancshares, Inc. | 128,075 | 1,416,510 | ||||||
JPMorgan Chase & Co. | 601,745 | 39,733,222 | ||||||
KeyCorp | 135,300 | 1,784,607 | ||||||
M&T Bank Corp.(a) | 24,900 | 3,017,382 | ||||||
People’s United Financial, Inc.(a) | 50,700 | 818,805 | ||||||
PNC Financial Services Group, Inc. (The) | 83,893 | 7,995,842 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) |
| |||||||
Regions Financial Corp. | 214,512 | $ | 2,059,315 | |||||
SunTrust Banks, Inc. | 84,600 | 3,624,264 | ||||||
U.S. Bancorp | 269,981 | 11,520,089 | ||||||
Wells Fargo & Co. | 760,136 | 41,320,993 | ||||||
Zions Bancorporation | 33,300 | 909,090 | ||||||
| 176,844,277 | ||||||||
Beverages — 2.2% | ||||||||
Brown-Forman Corp. (Class B Stock) | 17,450 | 1,732,436 | ||||||
Coca-Cola Co. (The) | 637,050 | 27,367,668 | ||||||
Coca-Cola Enterprises, Inc. | 35,200 | 1,733,248 | ||||||
Constellation Brands, Inc. | 27,800 | 3,959,832 | ||||||
Dr. Pepper Snapple Group, Inc. | 31,500 | 2,935,800 | ||||||
Molson Coors Brewing Co. | 26,200 | 2,460,704 | ||||||
Monster Beverage Corp.* | 23,900 | 3,560,144 | ||||||
PepsiCo, Inc. | 238,914 | 23,872,287 | ||||||
| 67,622,119 | ||||||||
Biotechnology — 3.6% |
| |||||||
AbbVie, Inc. | 267,400 | 15,840,776 | ||||||
Alexion Pharmaceuticals, Inc.* | 36,700 | 7,000,525 | ||||||
Amgen, Inc. | 123,694 | 20,079,247 | ||||||
Baxalta, Inc. | 89,200 | 3,481,476 | ||||||
Biogen, Inc.* | 36,575 | 11,204,751 | ||||||
Celgene Corp.* | 129,000 | 15,449,040 | ||||||
Gilead Sciences, Inc. | 236,400 | 23,921,316 | ||||||
Regeneron Pharmaceuticals, Inc.* | 12,400 | 6,731,588 | ||||||
Vertex Pharmaceuticals, Inc.*(a) | 40,000 | 5,033,200 | ||||||
| 108,741,919 | ||||||||
Building Products — 0.1% |
| |||||||
Allegion PLC | 15,633 | 1,030,527 | ||||||
Masco Corp. | 57,000 | 1,613,100 | ||||||
| 2,643,627 | ||||||||
Capital Markets — 2.1% |
| |||||||
Affiliated Managers Group, Inc.* | 9,000 | 1,437,840 | ||||||
Ameriprise Financial, Inc. | 29,500 | 3,139,390 | ||||||
Bank of New York Mellon Corp. (The) | 180,689 | 7,448,001 | ||||||
BlackRock, Inc. | 20,900 | 7,116,868 | ||||||
Charles Schwab Corp. (The) | 191,000 | 6,289,630 | ||||||
E*TRADE Financial Corp.*(a) | 47,510 | 1,408,196 | ||||||
Franklin Resources, Inc. | 64,000 | 2,356,480 | ||||||
Goldman Sachs Group, Inc. (The) | 65,400 | 11,787,042 | ||||||
Invesco Ltd. | 70,600 | 2,363,688 | ||||||
Legg Mason, Inc. | 16,800 | 659,064 | ||||||
Morgan Stanley | 248,610 | 7,908,284 | ||||||
Northern Trust Corp. | 36,000 | 2,595,240 | ||||||
State Street Corp. | 66,625 | 4,421,235 | ||||||
T. Rowe Price Group, Inc. | 41,800 | 2,988,282 | ||||||
| 61,919,240 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals — 2.0% |
| |||||||
Air Products & Chemicals, Inc. | 31,700 | $ | 4,124,487 | |||||
Airgas, Inc.(a) | 11,100 | 1,535,352 | ||||||
CF Industries Holdings, Inc. | 38,600 | 1,575,266 | ||||||
Dow Chemical Co. (The) | 183,611 | 9,452,294 | ||||||
E.I. du Pont de Nemours & Co.(a) | 143,191 | 9,536,521 | ||||||
Eastman Chemical Co. | 24,500 | 1,653,995 | ||||||
Ecolab, Inc. | 43,500 | 4,975,530 | ||||||
FMC Corp. | 21,700 | 849,121 | ||||||
International Flavors & Fragrances, Inc. | 13,300 | 1,591,212 | ||||||
LyondellBasell Industries NV (Class A Stock) | 59,800 | 5,196,620 | ||||||
Monsanto Co. | 71,396 | 7,033,934 | ||||||
Mosaic Co. (The) | 50,900 | 1,404,331 | ||||||
PPG Industries, Inc. | 44,000 | 4,348,080 | ||||||
Praxair, Inc. | 46,800 | 4,792,320 | ||||||
Sherwin-Williams Co. (The) | 13,000 | 3,374,800 | ||||||
| 61,443,863 | ||||||||
Commercial Services & Supplies — 0.4% |
| |||||||
ADT Corp. (The) | 28,800 | 949,824 | ||||||
Cintas Corp. | 15,000 | 1,365,750 | ||||||
Pitney Bowes, Inc. | 32,200 | 664,930 | ||||||
Republic Services, Inc. | 39,335 | 1,730,347 | ||||||
Stericycle, Inc.* | 14,000 | 1,688,400 | ||||||
Tyco International PLC | 69,000 | 2,200,410 | ||||||
Waste Management, Inc. | 68,630 | 3,662,783 | ||||||
| 12,262,444 | ||||||||
Communications Equipment — 1.4% |
| |||||||
Cisco Systems, Inc. | 827,375 | 22,467,368 | ||||||
F5 Networks, Inc.*(a) | 11,800 | 1,144,128 | ||||||
Harris Corp. | 20,200 | 1,755,380 | ||||||
Juniper Networks, Inc. | 57,600 | 1,589,760 | ||||||
Motorola Solutions, Inc. | 26,327 | 1,802,083 | ||||||
QUALCOMM, Inc. | 247,450 | 12,368,789 | ||||||
| 41,127,508 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Fluor Corp.(a) | 23,700 | 1,119,114 | ||||||
Jacobs Engineering Group, Inc.* | 20,900 | 876,755 | ||||||
Quanta Services, Inc.* | 28,500 | 577,125 | ||||||
| 2,572,994 | ||||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 10,200 | 1,393,116 | ||||||
Vulcan Materials Co. | 21,800 | 2,070,346 | ||||||
| 3,463,462 | ||||||||
Consumer Finance — 0.8% |
| |||||||
American Express Co. | 136,600 | 9,500,530 | ||||||
Capital One Financial Corp. | 88,569 | 6,392,911 | ||||||
Discover Financial Services | 71,105 | 3,812,650 | ||||||
Navient Corp. | 63,800 | 730,510 | ||||||
Synchrony Financial* | 131,230 | 3,990,704 | ||||||
| 24,427,305 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Containers & Packaging — 0.2% |
| |||||||
Avery Dennison Corp. | 14,900 | $ | 933,634 | |||||
Ball Corp.(a) | 22,600 | 1,643,698 | ||||||
Owens-Illinois, Inc.* | 26,500 | 461,630 | ||||||
Sealed Air Corp. | 33,420 | 1,490,532 | ||||||
WestRock Co. | 42,761 | 1,950,757 | ||||||
| 6,480,251 | ||||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 25,025 | 2,149,397 | ||||||
Diversified Consumer Services |
| |||||||
H&R Block, Inc. | 38,200 | 1,272,442 | ||||||
Diversified Financial Services — 2.0% |
| |||||||
Berkshire Hathaway, Inc. | 305,100 | 40,285,404 | ||||||
CME Group, Inc. | 53,400 | 4,838,040 | ||||||
Intercontinental Exchange, Inc. | 18,098 | 4,637,793 | ||||||
Leucadia National Corp. | 51,700 | 899,063 | ||||||
McGraw Hill Financial, Inc. | 44,900 | 4,426,242 | ||||||
Moody’s Corp. | 28,520 | 2,861,697 | ||||||
NASDAQ, Inc. | 20,100 | 1,169,217 | ||||||
| 59,117,456 | ||||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
AT&T, Inc. | 1,001,935 | 34,476,583 | ||||||
CenturyLink, Inc. | 92,385 | 2,324,407 | ||||||
Frontier Communications Corp.(a) | 191,916 | 896,248 | ||||||
Level 3 Communications, Inc.* | 47,100 | 2,560,356 | ||||||
Verizon Communications, Inc. | 662,338 | 30,613,262 | ||||||
| 70,870,856 | ||||||||
Electric Utilities — 1.7% |
| |||||||
American Electric Power Co., Inc. | 80,340 | 4,681,412 | ||||||
Duke Energy Corp. | 112,348 | 8,020,524 | ||||||
Edison International | 53,400 | 3,161,814 | ||||||
Entergy Corp. | 29,500 | 2,016,620 | ||||||
Eversource Energy | 52,100 | 2,660,747 | ||||||
Exelon Corp. | 144,673 | 4,017,569 | ||||||
FirstEnergy Corp. | 69,180 | 2,195,081 | ||||||
NextEra Energy, Inc. | 73,575 | 7,643,707 | ||||||
Pepco Holdings, Inc.(a) | 42,000 | 1,092,420 | ||||||
Pinnacle West Capital Corp. | 18,200 | 1,173,536 | ||||||
PPL Corp. | 109,500 | 3,737,235 | ||||||
Southern Co. (The) | 148,900 | 6,967,031 | ||||||
Xcel Energy, Inc. | 83,095 | 2,983,941 | ||||||
| 50,351,637 | ||||||||
Electrical Equipment — 0.4% |
| |||||||
AMETEK, Inc. | 39,600 | 2,122,164 | ||||||
Eaton Corp. PLC | 76,561 | 3,984,235 | ||||||
Emerson Electric Co. | 107,300 | 5,132,159 | ||||||
Rockwell Automation, Inc. | 22,100 | 2,267,681 | ||||||
| 13,506,239 | ||||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp. | 50,700 | 2,648,061 | ||||||
Corning, Inc. | 196,200 | 3,586,536 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
FLIR Systems, Inc. | 23,000 | $ | 645,610 | |||||
TE Connectivity Ltd. (Switzerland) | 64,000 | 4,135,040 | ||||||
| 11,015,247 | ||||||||
Energy Equipment & Services — 1.0% |
| |||||||
Baker Hughes, Inc. | 70,448 | 3,251,175 | ||||||
Cameron International Corp.* | 31,400 | 1,984,480 | ||||||
Diamond Offshore Drilling, Inc. | 11,900 | 251,090 | ||||||
Ensco PLC (Class A Stock) | 38,500 | 592,515 | ||||||
FMC Technologies, Inc.* | 37,900 | 1,099,479 | ||||||
Halliburton Co. | 139,500 | 4,748,580 | ||||||
Helmerich & Payne, Inc.(a) | 18,100 | 969,255 | ||||||
National Oilwell Varco, Inc.(a) | 63,600 | 2,129,964 | ||||||
Schlumberger Ltd. | 205,872 | 14,359,572 | ||||||
Transocean Ltd.(a) | 56,000 | 693,280 | ||||||
| 30,079,390 | ||||||||
Food & Staples Retailing — 2.3% |
| |||||||
Costco Wholesale Corp. | 71,522 | 11,550,803 | ||||||
CVS Health Corp. | 181,138 | 17,709,862 | ||||||
Kroger Co. (The) | 158,500 | 6,630,055 | ||||||
Sysco Corp. | 85,400 | 3,501,400 | ||||||
Wal-Mart Stores, Inc. | 257,500 | 15,784,750 | ||||||
Walgreens Boots Alliance, Inc.(a) | 142,200 | 12,109,041 | ||||||
Whole Foods Market, Inc. | 57,800 | 1,936,300 | ||||||
| 69,222,211 | ||||||||
Food Products — 1.7% |
| |||||||
Archer-Daniels-Midland Co. | 99,338 | 3,643,718 | ||||||
Campbell Soup Co.(a) | 29,200 | 1,534,460 | ||||||
ConAgra Foods, Inc. | 70,000 | 2,951,200 | ||||||
General Mills, Inc.(a) | 97,700 | 5,633,382 | ||||||
Hershey Co. (The) | 24,100 | 2,151,407 | ||||||
Hormel Foods Corp.(a) | 22,100 | 1,747,668 | ||||||
J.M. Smucker Co. (The) | 18,300 | 2,257,122 | ||||||
Kellogg Co.(a) | 41,100 | 2,970,297 | ||||||
Keurig Green Mountain, Inc.(a) | 19,100 | 1,718,618 | ||||||
Kraft Heinz Co. (The)(a) | 97,137 | 7,067,688 | ||||||
McCormick & Co., Inc. (Non-Voting Shares)(a) | 18,800 | 1,608,528 | ||||||
Mead Johnson Nutrition Co. | 33,193 | 2,620,588 | ||||||
Mondelez International, Inc. (Class A Stock) | 259,511 | 11,636,473 | ||||||
Tyson Foods, Inc. | 47,900 | 2,554,507 | ||||||
| 50,095,656 | ||||||||
Gas Utilities |
| |||||||
AGL Resources, Inc. | 20,337 | 1,297,704 | ||||||
Health Care Equipment & Supplies — 2.1% |
| |||||||
Abbott Laboratories | 242,450 | 10,888,429 | ||||||
Baxter International, Inc. | 89,200 | 3,402,980 | ||||||
Becton, Dickinson & Co. | 34,354 | 5,293,608 | ||||||
Boston Scientific Corp.*(a) | 219,699 | 4,051,250 | ||||||
C.R. Bard, Inc. | 12,200 | 2,311,168 | ||||||
DENTSPLY International, Inc. | 23,400 | 1,423,890 | ||||||
Edwards Lifesciences Corp.* | 35,400 | 2,795,892 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
Intuitive Surgical, Inc.*(a) | 6,090 | $ | 3,326,114 | |||||
Medtronic PLC | 230,728 | 17,747,598 | ||||||
St. Jude Medical, Inc. | 46,000 | 2,841,420 | ||||||
Stryker Corp. | 50,000 | 4,647,000 | ||||||
Varian Medical Systems, Inc.* | 16,500 | 1,333,200 | ||||||
Zimmer Biomet Holdings, Inc. | 27,986 | 2,871,084 | ||||||
| 62,933,633 | ||||||||
Health Care Providers & Services — 2.7% |
| |||||||
Aetna, Inc.(a) | 57,257 | 6,190,627 | ||||||
AmerisourceBergen Corp. | 32,900 | 3,412,059 | ||||||
Anthem, Inc. | 42,700 | 5,954,088 | ||||||
Cardinal Health, Inc. | 53,475 | 4,773,713 | ||||||
Cigna Corp. | 42,200 | 6,175,126 | ||||||
DaVita HealthCare Partners, Inc.* | 28,200 | 1,965,822 | ||||||
Express Scripts Holding Co.* | 110,226 | 9,634,855 | ||||||
HCA Holdings, Inc.* | 50,300 | 3,401,789 | ||||||
Henry Schein, Inc.* | 13,800 | 2,183,022 | ||||||
Humana, Inc. | 24,200 | 4,319,942 | ||||||
Laboratory Corp. of America Holdings* | 16,500 | 2,040,060 | ||||||
McKesson Corp. | 38,007 | 7,496,120 | ||||||
Patterson Cos., Inc.(a) | 14,800 | 669,108 | ||||||
Quest Diagnostics, Inc.(a) | 23,600 | 1,678,904 | ||||||
Tenet Healthcare Corp.* | 16,300 | 493,890 | ||||||
UnitedHealth Group, Inc. | 155,400 | 18,281,256 | ||||||
Universal Health Services, Inc. (Class B Stock) | 15,000 | 1,792,350 | ||||||
| 80,462,731 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 50,200 | 3,020,534 | ||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
Carnival Corp. | 74,000 | 4,031,520 | ||||||
Chipotle Mexican Grill, Inc.* | 5,170 | 2,480,825 | ||||||
Darden Restaurants, Inc. | 19,150 | 1,218,706 | ||||||
Marriott International, Inc. | 31,503 | 2,111,961 | ||||||
McDonald’s Corp. | 151,000 | 17,839,140 | ||||||
Royal Caribbean Cruises Ltd. | 27,100 | 2,742,791 | ||||||
Starbucks Corp. | 242,200 | 14,539,266 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 28,100 | 1,946,768 | ||||||
Wyndham Worldwide Corp. | 19,763 | 1,435,782 | ||||||
Wynn Resorts Ltd.(a) | 12,900 | 892,551 | ||||||
Yum! Brands, Inc. | 70,100 | 5,120,805 | ||||||
| 54,360,115 | ||||||||
Household Durables — 0.4% |
| |||||||
D.R. Horton, Inc. | 52,900 | 1,694,387 | ||||||
Garmin Ltd. | 19,300 | 717,381 | ||||||
Harman International Industries, Inc. | 11,700 | 1,102,257 | ||||||
Leggett & Platt, Inc.(a) | 22,600 | 949,652 | ||||||
Lennar Corp. (Class A Stock)(a) | 28,800 | 1,408,608 | ||||||
Mohawk Industries, Inc.* | 10,200 | 1,931,778 | ||||||
Newell Rubbermaid, Inc.(a) | 44,049 | 1,941,680 | ||||||
PulteGroup, Inc.(a) | 53,785 | 958,449 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Durables (continued) |
| |||||||
Whirlpool Corp. | 12,907 | $ | 1,895,651 | |||||
| 12,599,843 | ||||||||
Household Products — 1.9% |
| |||||||
Church & Dwight Co., Inc. | 15,700 | 1,332,616 | ||||||
Clorox Co. (The) | 21,000 | 2,663,430 | ||||||
Colgate-Palmolive Co. | 144,500 | 9,626,590 | ||||||
Kimberly-Clark Corp. | 59,688 | 7,598,282 | ||||||
Procter & Gamble Co. (The) | 442,506 | 35,139,402 | ||||||
| 56,360,320 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 115,400 | 1,104,378 | ||||||
NRG Energy, Inc. | 57,400 | 675,598 | ||||||
| 1,779,976 | ||||||||
Industrial Conglomerates — 2.5% |
| |||||||
3M Co. | 101,100 | 15,229,704 | ||||||
Danaher Corp. | 96,800 | 8,990,784 | ||||||
General Electric Co. | 1,534,947 | 47,813,599 | ||||||
Roper Technologies, Inc. | 16,500 | 3,131,535 | ||||||
| 75,165,622 | ||||||||
Insurance — 2.4% |
| |||||||
ACE Ltd. | 52,800 | 6,169,680 | ||||||
Aflac, Inc. | 70,300 | 4,210,970 | ||||||
Allstate Corp. (The) | 65,288 | 4,053,732 | ||||||
American International Group, Inc. | 203,629 | 12,618,889 | ||||||
Aon PLC | 44,725 | 4,124,092 | ||||||
Assurant, Inc. | 10,900 | 877,886 | ||||||
Chubb Corp. (The) | 37,100 | 4,920,944 | ||||||
Cincinnati Financial Corp. | 24,328 | 1,439,488 | ||||||
Hartford Financial Services Group, Inc. (The) | 67,700 | 2,942,242 | ||||||
Lincoln National Corp. | 41,463 | 2,083,930 | ||||||
Loews Corp. | 46,826 | 1,798,119 | ||||||
Marsh & McLennan Cos., Inc. | 86,500 | 4,796,425 | ||||||
MetLife, Inc. | 182,400 | 8,793,504 | ||||||
Principal Financial Group, Inc. | 45,000 | 2,024,100 | ||||||
Progressive Corp. (The) | 91,400 | 2,906,520 | ||||||
Torchmark Corp. | 18,875 | 1,078,895 | ||||||
Travelers Cos., Inc. (The) | 50,698 | 5,721,776 | ||||||
Unum Group | 40,956 | 1,363,425 | ||||||
XL Group PLC (Ireland) | 49,000 | 1,919,820 | ||||||
| 73,844,437 | ||||||||
Internet & Catalog Retail — 2.1% |
| |||||||
Amazon.com, Inc.* | 62,600 | 42,310,714 | ||||||
Expedia, Inc. | 17,900 | 2,224,970 | ||||||
Netflix, Inc.* | 69,590 | 7,959,704 | ||||||
Priceline Group, Inc. (The)* | 8,300 | 10,582,085 | ||||||
TripAdvisor, Inc.*(a) | 18,400 | 1,568,600 | ||||||
| 64,646,073 | ||||||||
Internet Software & Services — 4.1% |
| |||||||
Akamai Technologies, Inc.* | 29,300 | 1,542,059 | ||||||
Alphabet, Inc. (Class A Stock)* | 47,415 | 36,889,344 | ||||||
Alphabet, Inc. (Class C Stock)* | 48,440 | 36,760,147 | ||||||
eBay, Inc.* | 181,200 | 4,979,376 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services (continued) |
| |||||||
Facebook, Inc. (Class A Stock)* | 369,100 | $ | 38,630,006 | |||||
VeriSign, Inc.*(a) | 16,400 | 1,432,704 | ||||||
Yahoo!, Inc.* | 141,300 | 4,699,638 | ||||||
| 124,933,274 | ||||||||
IT Services — 3.6% |
| |||||||
Accenture PLC (Class A Stock) | 101,900 | 10,648,550 | ||||||
Alliance Data Systems Corp.* | 10,100 | 2,793,357 | ||||||
Automatic Data Processing, Inc. | 76,100 | 6,447,192 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 100,100 | 6,008,002 | ||||||
CSRA, Inc. | 22,600 | 678,000 | ||||||
Fidelity National Information Services, Inc.(a) | 46,500 | 2,817,900 | ||||||
Fiserv, Inc.* | 38,300 | 3,502,918 | ||||||
International Business Machines Corp. | 146,125 | 20,109,722 | ||||||
MasterCard, Inc. | 161,500 | 15,723,640 | ||||||
Paychex, Inc. | 52,450 | 2,774,081 | ||||||
PayPal Holdings, Inc.* | 179,700 | 6,505,140 | ||||||
Teradata Corp.*(a) | 23,000 | 607,660 | ||||||
Total System Services, Inc. | 28,293 | 1,408,991 | ||||||
Visa, Inc. (Class A Stock)(a) | 316,800 | 24,567,840 | ||||||
Western Union Co. (The)(a) | 84,704 | 1,517,049 | ||||||
Xerox Corp. | 158,711 | 1,687,098 | ||||||
| 107,797,140 | ||||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc.(a) | 18,450 | 1,242,792 | ||||||
Mattel, Inc.(a) | 55,481 | 1,507,419 | ||||||
| 2,750,211 | ||||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 54,682 | 2,286,254 | ||||||
Illumina, Inc.* | 23,100 | 4,433,930 | ||||||
PerkinElmer, Inc. | 18,600 | 996,402 | ||||||
Thermo Fisher Scientific, Inc. | 65,300 | 9,262,805 | ||||||
Waters Corp.* | 13,600 | 1,830,288 | ||||||
| 18,809,679 | ||||||||
Machinery — 1.1% |
| |||||||
Caterpillar, Inc.(a) | 95,200 | 6,469,792 | ||||||
Cummins, Inc. | 27,500 | 2,420,275 | ||||||
Deere & Co.(a) | 51,150 | 3,901,210 | ||||||
Dover Corp. | 25,500 | 1,563,405 | ||||||
Flowserve Corp. | 21,800 | 917,344 | ||||||
Illinois Tool Works, Inc. | 53,575 | 4,965,331 | ||||||
Ingersoll-Rand PLC | 43,400 | 2,399,586 | ||||||
PACCAR, Inc. | 58,228 | 2,760,007 | ||||||
Parker-Hannifin Corp. | 22,787 | 2,209,883 | ||||||
Pentair PLC | 29,507 | 1,461,482 | ||||||
Snap-on, Inc.(a) | 9,600 | 1,645,728 | ||||||
Stanley Black & Decker, Inc. | 25,235 | 2,693,332 | ||||||
Xylem, Inc.(a) | 29,600 | 1,080,400 | ||||||
| 34,487,775 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media — 2.9% |
| |||||||
Cablevision Systems Corp. | 36,200 | $ | 1,154,780 | |||||
CBS Corp. (Class B Non-Voting Stock) | 70,868 | 3,340,009 | ||||||
Comcast Corp. (Class A Stock) | 400,246 | 22,585,882 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 24,500 | 653,660 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 42,700 | 1,076,894 | ||||||
Interpublic Group of Cos., Inc. (The) | 67,762 | 1,577,499 | ||||||
News Corp. (Class A Stock) | 67,125 | 896,790 | ||||||
News Corp. (Class B Stock)(a) | 7,600 | 106,096 | ||||||
Omnicom Group, Inc. | 40,100 | 3,033,966 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 15,400 | 850,234 | ||||||
TEGNA, Inc. | 37,000 | 944,240 | ||||||
Time Warner Cable, Inc. | 46,326 | 8,597,642 | ||||||
Time Warner, Inc. | 130,615 | 8,446,872 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 194,500 | 5,282,620 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 65,200 | 1,775,396 | ||||||
Viacom, Inc. (Class B Stock) | 57,543 | 2,368,470 | ||||||
Walt Disney Co. (The) | 248,776 | 26,141,382 | ||||||
| 88,832,432 | ||||||||
Metals & Mining — 0.2% |
| |||||||
Alcoa, Inc. | 209,076 | 2,063,580 | ||||||
Freeport-McMoRan, Inc. | 170,512 | 1,154,366 | ||||||
Newmont Mining Corp. | 86,703 | 1,559,787 | ||||||
Nucor Corp. | 52,300 | 2,107,690 | ||||||
| 6,885,423 | ||||||||
Multi-Utilities — 1.1% |
| |||||||
Ameren Corp. | 39,800 | 1,720,554 | ||||||
CenterPoint Energy, Inc. | 70,510 | 1,294,564 | ||||||
CMS Energy Corp. | 45,300 | 1,634,424 | ||||||
Consolidated Edison, Inc. | 48,000 | 3,084,960 | ||||||
Dominion Resources, Inc. | 96,484 | 6,526,178 | ||||||
DTE Energy Co. | 29,400 | 2,357,586 | ||||||
NiSource, Inc. | 52,900 | 1,032,079 | ||||||
PG&E Corp. | 78,700 | 4,186,053 | ||||||
Public Service Enterprise Group, Inc. | 82,900 | 3,207,401 | ||||||
SCANA Corp.(a) | 23,500 | 1,421,515 | ||||||
Sempra Energy | 38,154 | 3,586,857 | ||||||
TECO Energy, Inc. | 38,600 | 1,028,690 | ||||||
WEC Energy Group, Inc. | 51,676 | 2,651,496 | ||||||
| 33,732,357 | ||||||||
Multiline Retail — 0.6% |
| |||||||
Dollar General Corp.(a) | 48,700 | 3,500,069 | ||||||
Dollar Tree, Inc.* | 36,547 | 2,822,159 | ||||||
Kohl’s Corp. | 32,500 | 1,547,975 | ||||||
Macy’s, Inc.(a) | 52,320 | 1,830,154 | ||||||
Nordstrom, Inc.(a) | 23,200 | 1,155,592 | ||||||
Target Corp. | 102,568 | 7,447,463 | ||||||
| 18,303,412 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
Anadarko Petroleum Corp. | 83,326 | $ | 4,047,977 | |||||
Apache Corp. | 61,850 | 2,750,470 | ||||||
Cabot Oil & Gas Corp.(a) | 67,800 | 1,199,382 | ||||||
Chesapeake Energy Corp.(a) | 77,600 | 349,200 | ||||||
Chevron Corp. | 306,342 | 27,558,526 | ||||||
Cimarex Energy Co. | 15,400 | 1,376,452 | ||||||
Columbia Pipeline Group, Inc. | 56,200 | 1,124,000 | ||||||
ConocoPhillips | 201,129 | 9,390,713 | ||||||
CONSOL Energy, Inc.(a) | 35,100 | 277,290 | ||||||
Devon Energy Corp. | 63,400 | 2,028,800 | ||||||
EOG Resources, Inc. | 90,000 | 6,371,100 | ||||||
EQT Corp. | 25,000 | 1,303,250 | ||||||
Exxon Mobil Corp. | 678,304 | 52,873,797 | ||||||
Hess Corp. | 40,075 | 1,942,836 | ||||||
Kinder Morgan, Inc. | 289,843 | 4,324,458 | ||||||
Marathon Oil Corp. | 110,694 | 1,393,637 | ||||||
Marathon Petroleum Corp. | 87,494 | 4,535,689 | ||||||
Murphy Oil Corp.(a) | 28,800 | 646,560 | ||||||
Newfield Exploration Co.* | 27,000 | 879,120 | ||||||
Noble Energy, Inc. | 70,200 | 2,311,686 | ||||||
Occidental Petroleum Corp. | 124,800 | 8,437,728 | ||||||
ONEOK, Inc.(a) | 35,340 | 871,484 | ||||||
Phillips 66 | 78,164 | 6,393,815 | ||||||
Pioneer Natural Resources Co. | 24,500 | 3,071,810 | ||||||
Range Resources Corp.(a) | 27,300 | 671,853 | ||||||
Southwestern Energy Co.*(a) | 63,200 | 449,352 | ||||||
Spectra Energy Corp.(a) | 110,042 | 2,634,406 | ||||||
Tesoro Corp. | 20,100 | 2,117,937 | ||||||
Valero Energy Corp. | 80,700 | 5,706,297 | ||||||
Williams Cos., Inc. (The) | 110,500 | 2,839,850 | ||||||
| 159,879,475 | ||||||||
Paper & Forest Products — 0.1% |
| |||||||
International Paper Co. | 68,167 | 2,569,896 | ||||||
Personal Products — 0.1% |
| |||||||
Estee Lauder Cos., Inc. (The) (Class A Stock)(a) | 36,600 | 3,222,996 | ||||||
Pharmaceuticals — 5.6% |
| |||||||
Allergan PLC* | 64,206 | 20,064,375 | ||||||
Bristol-Myers Squibb Co. | 272,140 | 18,720,511 | ||||||
Eli Lilly & Co. | 158,500 | 13,355,210 | ||||||
Endo International PLC* | 33,300 | 2,038,626 | ||||||
Johnson & Johnson | 450,596 | 46,285,221 | ||||||
Mallinckrodt PLC* | 19,200 | 1,432,896 | ||||||
Merck & Co., Inc. | 458,603 | 24,223,411 | ||||||
Mylan NV*(a) | 67,500 | 3,649,725 | ||||||
Perrigo Co. PLC | 24,000 | 3,472,800 | ||||||
Pfizer, Inc. | 1,004,123 | 32,413,090 | ||||||
Zoetis, Inc. | 75,900 | 3,637,128 | ||||||
| 169,292,993 | ||||||||
Professional Services — 0.3% |
| |||||||
Dun & Bradstreet Corp. (The) | 6,200 | 644,366 | ||||||
Equifax, Inc. | 19,600 | 2,182,852 | ||||||
Nielsen Holdings PLC | 59,900 | 2,791,340 | ||||||
Robert Half International, Inc. | 22,000 | 1,037,080 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Professional Services (continued) |
| |||||||
Verisk Analytics, Inc. (Class A Stock)* | 23,100 | $ | 1,775,928 | |||||
| 8,431,566 | ||||||||
Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
American Tower Corp. | 68,800 | 6,670,160 | ||||||
Apartment Investment & Management Co. | 26,274 | 1,051,748 | ||||||
AvalonBay Communities, Inc. | 21,718 | 3,998,935 | ||||||
Boston Properties, Inc. | 25,200 | 3,214,008 | ||||||
Crown Castle International Corp. | 54,500 | 4,711,525 | ||||||
Equinix, Inc. | 9,655 | 2,919,672 | ||||||
Equity Residential | 59,700 | 4,870,923 | ||||||
Essex Property Trust, Inc. | 10,800 | 2,585,628 | ||||||
General Growth Properties, Inc. | 95,400 | 2,595,834 | ||||||
HCP, Inc. | 75,700 | 2,894,768 | ||||||
Host Hotels & Resorts, Inc. | 124,226 | 1,905,627 | ||||||
Iron Mountain, Inc.(a) | 30,730 | 830,017 | ||||||
Kimco Realty Corp. | 67,700 | 1,791,342 | ||||||
Macerich Co. (The) | 22,000 | 1,775,180 | ||||||
Plum Creek Timber Co., Inc. | 28,800 | 1,374,336 | ||||||
Prologis, Inc. | 85,928 | 3,688,030 | ||||||
Public Storage | 23,800 | 5,895,260 | ||||||
Realty Income Corp.(a) | 38,200 | 1,972,266 | ||||||
Simon Property Group, Inc. | 50,601 | 9,838,858 | ||||||
SL Green Realty Corp. | 16,400 | 1,852,872 | ||||||
Ventas, Inc. | 54,304 | 3,064,375 | ||||||
Vornado Realty Trust | 28,757 | 2,874,550 | ||||||
Welltower, Inc. | 57,600 | 3,918,528 | ||||||
Weyerhaeuser Co. | 84,910 | 2,545,602 | ||||||
| 78,840,044 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. | 45,900 | 1,587,222 | ||||||
Road & Rail — 0.7% |
| |||||||
CSX Corp. | 160,072 | 4,153,868 | ||||||
J.B. Hunt Transport Services, Inc. | 15,100 | 1,107,736 | ||||||
Kansas City Southern | 18,200 | 1,358,994 | ||||||
Norfolk Southern Corp. | 49,200 | 4,161,828 | ||||||
Ryder System, Inc. | 8,800 | 500,104 | ||||||
Union Pacific Corp. | 139,500 | 10,908,900 | ||||||
| �� | ||||||||
| 22,191,430 | ||||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
Analog Devices, Inc.(a) | 51,400 | 2,843,448 | ||||||
Applied Materials, Inc.(a) | 191,200 | 3,569,704 | ||||||
Avago Technologies Ltd. (Singapore)(a) | 42,600 | 6,183,390 | ||||||
Broadcom Corp. | 89,150 | 5,154,653 | ||||||
First Solar, Inc.* | 12,400 | 818,276 | ||||||
Intel Corp. | 774,100 | 26,667,745 | ||||||
KLA-Tencor Corp.(a) | 26,300 | 1,823,905 | ||||||
Lam Research Corp.(a) | 25,950 | 2,060,949 | ||||||
Linear Technology Corp.(a) | 39,300 | 1,669,071 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Microchip Technology, Inc.(a) | 33,500 | $ | 1,559,090 | |||||
Micron Technology, Inc.*(a) | 176,600 | 2,500,656 | ||||||
NVIDIA Corp.(a) | 83,850 | 2,763,696 | ||||||
Qorvo, Inc.* | 23,286 | 1,185,257 | ||||||
Skyworks Solutions, Inc.(a) | 31,400 | 2,412,462 | ||||||
Texas Instruments, Inc. | 167,500 | 9,180,675 | ||||||
Xilinx, Inc. | 42,400 | 1,991,528 | ||||||
| 72,384,505 | ||||||||
Software — 4.3% |
| |||||||
Activision Blizzard, Inc. | 77,900 | 3,015,509 | ||||||
Adobe Systems, Inc.* | 79,575 | 7,475,276 | ||||||
Autodesk, Inc.* | 37,400 | 2,278,782 | ||||||
CA, Inc. | 51,973 | 1,484,349 | ||||||
Citrix Systems, Inc.* | 26,300 | 1,989,595 | ||||||
Electronic Arts, Inc.* | 51,000 | 3,504,720 | ||||||
Intuit, Inc. | 44,500 | 4,294,250 | ||||||
Microsoft Corp. | 1,302,400 | 72,257,152 | ||||||
Oracle Corp. | 524,795 | 19,170,761 | ||||||
Red Hat, Inc.* | 30,100 | 2,492,581 | ||||||
salesforce.com, inc.* | 100,000 | 7,840,000 | ||||||
Symantec Corp. | 111,611 | 2,343,831 | ||||||
| 128,146,806 | ||||||||
Specialty Retail — 2.6% |
| |||||||
Advance Auto Parts, Inc. | 12,000 | 1,806,120 | ||||||
AutoNation, Inc.* | 12,989 | 774,924 | ||||||
AutoZone, Inc.* | 5,050 | 3,746,645 | ||||||
Bed Bath & Beyond, Inc.*(a) | 28,100 | 1,355,825 | ||||||
Best Buy Co., Inc. | 48,025 | 1,462,361 | ||||||
CarMax, Inc.*(a) | 34,300 | 1,851,171 | ||||||
GameStop Corp. | 17,300 | 485,092 | ||||||
Gap, Inc. (The)(a) | 40,787 | 1,007,439 | ||||||
Home Depot, Inc. (The) | 207,069 | 27,384,875 | ||||||
L. Brands, Inc. | 40,196 | 3,851,581 | ||||||
Lowe’s Cos., Inc. | 150,525 | 11,445,921 | ||||||
O’Reilly Automotive, Inc.* | 16,300 | 4,130,746 | ||||||
Ross Stores, Inc. | 67,900 | 3,653,699 | ||||||
Signet Jewelers Ltd. | 13,200 | 1,632,708 | ||||||
Staples, Inc. | 105,000 | 994,350 | ||||||
Tiffany & Co. | 18,500 | 1,411,365 | ||||||
TJX Cos., Inc. (The) | 109,600 | 7,771,736 | ||||||
Tractor Supply Co.(a) | 22,400 | 1,915,200 | ||||||
Urban Outfitters, Inc.* | 15,600 | 354,900 | ||||||
| 77,036,658 | ||||||||
Technology Hardware, Storage & Peripherals — 4.0% |
| |||||||
Apple, Inc. | 910,505 | 95,839,756 | ||||||
EMC Corp. | 314,074 | 8,065,420 | ||||||
Hewlett Packard Enterprise Co. | 296,066 | 4,500,203 | ||||||
HP, Inc. | 296,066 | 3,505,422 | ||||||
NetApp, Inc. | 49,000 | 1,299,970 | ||||||
SanDisk Corp.(a) | 33,400 | 2,538,066 | ||||||
Seagate Technology PLC(a) | 50,400 | 1,847,664 | ||||||
Western Digital Corp.(a) | 35,600 | 2,137,780 | ||||||
| 119,734,281 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Coach, Inc. | 45,300 | $ | 1,482,669 | |||||
Fossil Group, Inc.*(a) | 7,400 | 270,544 | ||||||
Hanesbrands, Inc. | 61,700 | 1,815,831 | ||||||
Michael Kors Holdings Ltd.* | 32,600 | 1,305,956 | ||||||
NIKE, Inc. (Class B Stock) | 221,800 | 13,862,500 | ||||||
PVH Corp. | 13,600 | 1,001,640 | ||||||
Ralph Lauren Corp. | 10,100 | 1,125,948 | ||||||
Under Armour, Inc. | 27,600 | 2,224,836 | ||||||
VF Corp. | 55,744 | 3,470,064 | ||||||
| 26,559,988 | ||||||||
Tobacco — 1.6% | ||||||||
Altria Group, Inc. | 320,000 | 18,627,200 | ||||||
Philip Morris International, Inc. | 251,700 | 22,126,947 | ||||||
Reynolds American, Inc. | 135,184 | 6,238,742 | ||||||
| 46,992,889 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co.(a) | 44,600 | 1,820,572 | ||||||
United Rentals, Inc.* | 15,900 | 1,153,386 | ||||||
W.W. Grainger, Inc.(a) | 9,800 | 1,985,382 | ||||||
| 4,959,340 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,920,523,014 | ||||||
| SHORT-TERM INVESTMENTS — 8.0% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND — 7.8% |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund | 233,510,990 | 233,510,990 | ||||||
| SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills, | 6,000 | $ | 5,998,944 | |||||
TOTAL SHORT-TERM INVESTMENTS |
| 239,509,934 | ||||||
TOTAL INVESTMENTS — 105.0% |
| 3,160,032,948 | ||||||
LIABILITIES IN EXCESS OF |
| (149,953,957 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,010,078,991 | |||||
See the Glossary for abbreviations used in the annual report.
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $148,462,297; cash collateral of $153,353,274 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (d) | Rate quoted represents yield-to-maturity as of purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2015:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 36 | S&P 500 E-mini | Mar. 2016 | $ | 3,667,149 | $ | 3,663,720 | $ | (3,429 | ) | |||||||||||
| 165 | S&P 500 Index | Mar. 2016 | 83,560,408 | 83,960,250 | 399,842 | |||||||||||||||
| $ | 396,413 | |||||||||||||||||||
| (1) | A U.S. Treasury Obligation with a market value of $5,998,944 has been segregated with UBS AG to cover requirements for open contracts at December 31, 2015. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The following is a summary of the inputs used as of December 31, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 79,761,046 | $ | — | $ | — | ||||||
Air Freight & Logistics | 20,182,508 | — | — | |||||||||
Airlines | 19,013,426 | — | — | |||||||||
Auto Components | 11,278,785 | — | — | |||||||||
Automobiles | 18,224,929 | — | — | |||||||||
Banks | 176,844,277 | — | — | |||||||||
Beverages | 67,622,119 | — | — | |||||||||
Biotechnology | 108,741,919 | — | — | |||||||||
Building Products | 2,643,627 | — | — | |||||||||
Capital Markets | 61,919,240 | — | — | |||||||||
Chemicals | 61,443,863 | — | — | |||||||||
Commercial Services & Supplies | 12,262,444 | — | — | |||||||||
Communications Equipment | 41,127,508 | — | — | |||||||||
Construction & Engineering | 2,572,994 | — | — | |||||||||
Construction Materials | 3,463,462 | — | — | |||||||||
Consumer Finance | 24,427,305 | — | — | |||||||||
Containers & Packaging | 6,480,251 | — | — | |||||||||
Distributors | 2,149,397 | — | — | |||||||||
Diversified Consumer Services | 1,272,442 | — | — | |||||||||
Diversified Financial Services | 59,117,456 | — | — | |||||||||
Diversified Telecommunication Services | 70,870,856 | — | — | |||||||||
Electric Utilities | 50,351,637 | — | — | |||||||||
Electrical Equipment | 13,506,239 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 11,015,247 | — | — | |||||||||
Energy Equipment & Services | 30,079,390 | — | — | |||||||||
Food & Staples Retailing | 69,222,211 | — | — | |||||||||
Food Products | 50,095,656 | — | — | |||||||||
Gas Utilities | 1,297,704 | — | — | |||||||||
Health Care Equipment & Supplies | 62,933,633 | — | — | |||||||||
Health Care Providers & Services | 80,462,731 | — | — | |||||||||
Health Care Technology | 3,020,534 | — | — | |||||||||
Hotels, Restaurants & Leisure | 54,360,115 | — | — | |||||||||
Household Durables | 12,599,843 | — | — | |||||||||
Household Products | 56,360,320 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 1,779,976 | — | — | |||||||||
Industrial Conglomerates | 75,165,622 | — | — | |||||||||
Insurance | 73,844,437 | — | — | |||||||||
Internet & Catalog Retail | 64,646,073 | — | — | |||||||||
Internet Software & Services | 124,933,274 | — | — | |||||||||
IT Services | 107,797,140 | — | — | |||||||||
Leisure Products | 2,750,211 | — | — | |||||||||
Life Sciences Tools & Services | 18,809,679 | — | — | |||||||||
Machinery | 34,487,775 | — | — | |||||||||
Media | 88,832,432 | — | — | |||||||||
Metals & Mining | 6,885,423 | — | — | |||||||||
Multi-Utilities | 33,732,357 | — | — | |||||||||
Multiline Retail | 18,303,412 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 159,879,475 | — | — | |||||||||
Paper & Forest Products | 2,569,896 | — | — | |||||||||
Personal Products | 3,222,996 | — | — | |||||||||
Pharmaceuticals | 169,292,993 | — | — | |||||||||
Professional Services | 8,431,566 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 78,840,044 | — | — | |||||||||
Real Estate Management & Development | 1,587,222 | — | — | |||||||||
Road & Rail | 22,191,430 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 72,384,505 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Software | $ | 128,146,806 | $ | — | $ | — | ||||||
Specialty Retail | 77,036,658 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 119,734,281 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 26,559,988 | — | — | |||||||||
Tobacco | 46,992,889 | — | — | |||||||||
Trading Companies & Distributors | 4,959,340 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 233,510,990 | — | — | |||||||||
U.S. Treasury Obligation | — | 5,998,944 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 396,413 | — | — | |||||||||
Total | $ | 3,154,430,417 | $ | 5,998,944 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2015 were as follows (Unaudited):
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan) | 7.8 | % | ||
Banks | 5.9 | |||
Pharmaceuticals | 5.6 | |||
Oil, Gas & Consumable Fuels | 5.3 | |||
Software | 4.3 | |||
Internet Software & Services | 4.1 | |||
Technology Hardware, Storage & Peripherals | 4.0 | |||
Biotechnology | 3.6 | |||
IT Services | 3.6 | |||
Media | 2.9 | |||
Health Care Providers & Services | 2.7 | |||
Aerospace & Defense | 2.6 | |||
Real Estate Investment Trusts (REITs) | 2.6 | |||
Specialty Retail | 2.6 | |||
Industrial Conglomerates | 2.5 | |||
Insurance | 2.4 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Diversified Telecommunication Services | 2.4 | |||
Food & Staples Retailing | 2.3 | |||
Beverages | 2.2 | |||
Internet & Catalog Retail | 2.1 | |||
Health Care Equipment & Supplies | 2.1 | |||
Capital Markets | 2.1 | |||
Chemicals | 2.0 | |||
Diversified Financial Services | 2.0 | |||
Household Products | 1.9 | |||
Hotels, Restaurants & Leisure | 1.8 | |||
Electric Utilities | 1.7 | |||
Food Products | 1.7 | |||
Tobacco | 1.6 | |||
Communications Equipment | 1.4 | |||
Machinery | 1.1 | |||
Multi-Utilities | 1.1 |
Energy Equipment & Services | 1.0 | % | ||
Textiles, Apparel & Luxury Goods | 0.9 | |||
Consumer Finance | 0.8 | |||
Road & Rail | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Airlines | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Multiline Retail | 0.6 | |||
Automobiles | 0.6 | |||
Electrical Equipment | 0.4 | |||
Household Durables | 0.4 | |||
Commercial Services & Supplies | 0.4 | |||
Auto Components | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.4 | |||
Professional Services | 0.3 | |||
Metals & Mining | 0.2 | |||
Containers & Packaging | 0.2 | |||
U.S. Treasury Obligation | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
Construction Materials | 0.1 | |||
Personal Products | 0.1 | |||
Health Care Technology | 0.1 | |||
Leisure Products | 0.1 | |||
Building Products | 0.1 | |||
Construction & Engineering | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Distributors | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
| 105.0 | ||||
Liabilities in excess of other assets | (5.0 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Due from/to broker — variation margin futures | $ | 399,842 | * | Due from/to broker — variation margin futures | $ | 3,429 | * | ||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 4,604,428 | ||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (3,621,443 | ) | |
For the year ended December 31, 2015, the Fund’s average value at trade date for futures long positions was $99,932,704.
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2015
| ASSETS | ||||
Investments at value, including securities on loan of $148,462,297: | ||||
Unaffiliated investments (cost $1,058,116,123) | $ | 2,926,521,958 | ||
Affiliated investments (cost $233,510,990) | 233,510,990 | |||
Dividends and interest receivable | 3,986,197 | |||
Receivable for investments sold | 2,981,682 | |||
Receivable for Series shares sold | 86,472 | |||
Tax reclaim receivable | 2,342 | |||
Prepaid expenses | 26,427 | |||
Total Assets | 3,167,116,068 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 153,353,274 | |||
Payable for investments purchased | 1,354,396 | |||
Due to broker—variation margin futures | 826,560 | |||
Management fee payable | 771,646 | |||
Payable for Series shares repurchased | 377,379 | |||
Accrued expenses and other liabilities | 222,423 | |||
Payable to custodian | 130,419 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 157,037,077 | |||
| NET ASSETS | $ | 3,010,078,991 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 980,681,403 | ||
Retained earnings | 2,029,397,588 | |||
Net assets, December 31, 2015 | $ | 3,010,078,991 | ||
Net asset value and redemption price per share $3,010,078,991 / 61,947,729 outstanding shares of beneficial interest | $ | 48.59 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2015
| NET INVESTMENT INCOME | ||||
| INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $5,014) | $ | 67,552,875 | ||
Affiliated income from securities lending, net | 295,839 | |||
Affiliated dividend income | 177,128 | |||
Interest income | 8,862 | |||
Total income | 68,034,704 | |||
| EXPENSES | ||||
Management fee | 11,547,120 | |||
Custodian and accounting fees | 357,000 | |||
Shareholders’ reports | 88,000 | |||
Trustees’ fees | 40,000 | |||
Insurance expenses | 39,000 | |||
Audit fee | 23,000 | |||
Commitment fee on syndicated credit agreement | 18,000 | |||
Legal fees and expenses | 17,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,800) | 12,000 | |||
Loan interest expense | 10,955 | |||
Miscellaneous | 17,463 | |||
Total expenses | 12,169,538 | |||
Less: Management fee waiver | (1,649,640 | ) | ||
Net expenses | 10,519,898 | |||
| NET INVESTMENT INCOME | 57,514,806 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain on: | ||||
Investment transactions | 148,279,831 | |||
Futures transactions | 4,604,428 | |||
| 152,884,259 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (183,936,926 | ) | ||
Futures | (3,621,443 | ) | ||
| (187,558,369 | ) | |||
| NET LOSS ON INVESTMENT TRANSACTIONS | (34,674,110 | ) | ||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,840,696 | ||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, | ||||||||
| 2015 | 2014 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income | $ | 57,514,806 | $ | 51,495,446 | ||||
Net realized gain on investment transactions | 152,884,259 | 41,942,935 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (187,558,369 | ) | 295,725,505 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 22,840,696 | 389,163,886 | ||||||
| DISTRIBUTIONS | (93,414,310 | ) | (225,034,357 | ) | ||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [4,544,250 and 5,571,572 shares, respectively] | 225,562,519 | 260,144,327 | ||||||
Series shares issued in reinvestment of distributions [1,896,737 and 4,895,244 shares, respectively] | 93,414,310 | 225,034,357 | ||||||
Series shares repurchased [11,644,330 and 4,786,716 shares, respectively] | (550,998,022 | ) | (227,184,200 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (232,021,193 | ) | 257,994,484 | |||||
| TOTAL INCREASE (DECREASE) | (302,594,807 | ) | 422,124,013 | |||||
| NET ASSETS: | ||||||||
Beginning of year | 3,312,673,798 | 2,890,549,785 | ||||||
End of year | $ | 3,010,078,991 | $ | 3,312,673,798 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
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| GLOSSARY | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| CLP | Chilean Peso | |
| COP | Colombian Peso | |
| EUR | Euro | |
| GBP | British Pound | |
| HUF | Hungarian Forint | |
| JPY | Japanese Yen | |
| MXN | Mexican Peso | |
| PLN | Polish Zloty | |
| SEK | Swedish Krona | |
| ZAR | South African Rand |
Exchange
| ASX | Australian Securities Exchange | |
| SPI | Swiss Performance Exchange | |
| SWX | Swiss Exchange |
Index
| CDX | Credit Derivative Index |
Other
| 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. | |
| RegS | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| ABS | Asset-Backed Security | |
| ACES | Alternative Credit Enhancements Securities | |
| ADR | American Depositary Receipt | |
| AID | Agency for International Development | |
| BABs | Build America Bonds | |
| BBSW | Australian Bank Bill Swap Reference Rate | |
| bps | Basis Points | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| CMBS | Collateralized Mortgage-Backed Security | |
| COLIBOR | Columbia Interbank Offered Rate | |
| CVA | Certificate Van Aandelen (Bearer) | |
| EAFE | Europe, Australasia and Far East | |
| ETF | Exchange Traded Fund | |
| EMTN | Euro Medium Term Note | |
| EURIBOR | Euro Interbank Offered Rate | |
| EUROIS | Euro Overnight Index Swap | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GMTN | Global Medium Term Note | |
| GO | General Obligation | |
| IO | Interest Only | |
| JIBAR | Johannesburg Interbank Agreed Rate | |
| L2 | Level 2 | |
| L3 | Level 3 | |
| LIBOR | London Interbank Offered Rate | |
| MSCI | Morgan Stanley Capital International | |
| MTN | Medium Term Note | |
| OIS | Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS.
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| GLOSSARY (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2015 | |||||
| OTC | Over-the-counter | |
| PIK | Payment-in-Kind | |
| PO | Principle Only | |
| PRFC | Preference Shares | |
| REIT | Real Estate Investment Trust | |
| REMICS | Real Estate Mortgage Investment Conduit Security | |
| STIBOR | Stockholm Interbank Offered Rate | |
| STRIPS | Separate Trading of Registered Interest and Principle of Securities | |
| TBA | To Be Announced | |
| TIPS | Treasury Inflation-Protected Securities | |
| USAID | United States Agency for International Development |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
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 (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the seven Portfolios which are listed below along with each Portfolio’s investment objective.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
| Note 2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
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Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
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 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.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
The Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the funds. These are insurance-like products that are called Connecticut Avenue Securities by Fannie Mae and Structured Agency Credit Risk by Freddie Mac. Payments
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on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’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 or 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 Portfolio may be delayed or limited.
Foreign Currency Translation: The books and records of the Portfolios 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 Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally 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 long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain or loss upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains or losses on foreign currency transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or 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 foreign currencies.
Concentration of Risk: The ability of debt securities issuers (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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or 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 or 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. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
B3
Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Short Sales: Certain Portfolios may sell a security they do 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.
Loan Participations: Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
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 Portfolio 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 Portfolio 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 or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on futures contracts.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates, the value of equities or foreign currency exchange rates. The Portfolio may also use futures to gain additional market exposure. The Portfolio 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, interest rates and the underlying hedged assets. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolios’ 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 Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio 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 Portfolio realizes a gain or 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 of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. The Portfolio, as a purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal
B4
counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.
Swap Agreements: Certain Portfolios entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. 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.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps: Credit default swaps (“CDS”) involve one party (the protection buyer) making 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 or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives.
Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators
B5
of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. The Portfolio is subject to risk exposures associated with the referenced asset in the normal course of pursuing its investment objectives. Certain Portfolios entered into total return swaps to manage its exposure to a security or an index. The Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Fund’s favor, from the point of entering into the contract.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which,
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when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of December 31, 2015, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities Lending: Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. 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 in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolio 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 Portfolio forgoes principal and interest paid on the securities. The Portfolio 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 (loss) on investment transactions. The Portfolio maintains a segregated account, the dollar value of which is at 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.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio 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 is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.
B7
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. 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 subadvisers’ performance of such services. PI has entered into subadvisory agreements with PGIM, Inc. (“PGIM”), formerly, Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of 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. On January 4, 2016, PIM was renamed PGIM, Inc.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.
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 | 0.74 | * | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
Stock Index Portfolio | 0.35% up to $4 billion 0.30% over $4 billion | 0.30 | ** | |||
| * | PI had contractually agreed, through March 31, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. Effective April 1, 2015, PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. |
| ** | PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
At December 31, 2015, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | PGIM, QMA | |
Diversified Bond Portfolio | PGIM | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PGIM, QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PGIM | |
Stock Index Portfolio | QMA |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II
B8
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.
PIMS, PI, PGIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2015, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 5 | ||
Equity Portfolio | 316,784 | |||
Flexible Managed Portfolio | 18 | |||
Global Portfolio | 27,948 | |||
| 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 Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PGIM also serves as the Series Fund’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the year ended December 31, 2015, PGIM was compensated for the securities lending as follows:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 62,177 | ||
Diversified Bond Portfolio | 23,922 | |||
Equity Portfolio | 379,778 | |||
Flexible Managed Portfolio | 62,929 | |||
Global Portfolio | 17,777 | |||
Government Income Portfolio | 5,495 | |||
Stock Index Portfolio | 82,134 | |||
The Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission, and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.
B9
The following Portfolios are due reimbursements by Prudential of foreign withholding taxes for certain countries due to the Portfolios status as partnerships for tax purposes.
Portfolio | 2014 Withholding Tax | 2015 Withholding Tax | Total | |||||||||
Conservative Balanced Portfolio | $ | 36,844 | $ | 30,380 | $ | 67,224 | ||||||
Flexible Managed Portfolio | 34,829 | 38,974 | 73,803 | |||||||||
Global Portfolio | 33,791 | 80,187 | 113,978 | |||||||||
| 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, 2015 were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 3,671,005,242 | $ | 3,733,135,785 | ||||
Diversified Bond Portfolio | 532,416,303 | 460,351,450 | ||||||
Equity Portfolio | 1,429,452,663 | 1,675,578,930 | ||||||
Flexible Managed Portfolio | 6,711,231,184 | 6,920,611,050 | ||||||
Global Portfolio | 482,924,263 | 262,505,704 | ||||||
Government Income Portfolio | 2,190,042,912 | 2,270,653,970 | ||||||
Stock Index Portfolio | 270,274,913 | 515,727,960 | ||||||
Options written transactions, during the year ended December 31, 2015, were as follows:
Conservative Balanced Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 84,000 | $ | 38,632 | |||||
Options written | 2,388,100 | 1,932,478 | ||||||
Options closed | (611,300 | ) | (1,157,950 | ) | ||||
Options expired | (1,124,500 | ) | (635,082 | ) | ||||
Balance at end of year | 736,300 | $ | 178,078 | |||||
Diversified Bond Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 649,000 | $ | 455,618 | |||||
Options written | 2,599,860 | 3,156,660 | ||||||
Options closed | (1,421,790 | ) | (1,511,752 | ) | ||||
Options expired | (1,464,950 | ) | (1,281,798 | ) | ||||
Balance at end of year | 362,120 | $ | 818,728 | |||||
Flexible Managed Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 108,800 | $ | 50,037 | |||||
Options written | 3,195,600 | 2,560,107 | ||||||
Options closed | (795,900 | ) | (1,519,065 | ) | ||||
Options expired | (1,513,600 | ) | (848,656 | ) | ||||
Balance at end of year | 994,900 | $ | 242,423 | |||||
Government Income Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 76,400 | $ | 35,136 | |||||
Options written | 1,717,560 | 1,389,621 | ||||||
Options closed | (434,400 | ) | (838,213 | ) | ||||
Options expired | (851,900 | ) | (459,204 | ) | ||||
Balance at end of year | 507,660 | $ | 127,340 | |||||
B10
| Note 6. | Tax Information |
All Portfolios are treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
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 fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements for the current period. The Portfolios’ federal, state and local 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.
| 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, 2015, the Equity Portfolio has Class II shares outstanding.
Transactions in shares of beneficial interest of the Equity Portfolio were as follows:
Equity Portfolio:
Class I | Shares | Amount | ||||||
Year ended December 31, 2015: | ||||||||
Series shares sold | 293,271 | $ | 11,456,660 | |||||
Series shares repurchased | (7,053,688 | ) | (276,805,403 | ) | ||||
Net increase (decrease) in shares outstanding | (6,760,417 | ) | $ | (265,348,743 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 334,797 | $ | 12,282,548 | |||||
Series shares repurchased | (7,032,156 | ) | (259,927,615 | ) | ||||
Net increase (decrease) in shares outstanding | (6,697,359 | ) | $ | (247,645,067 | ) | |||
Class II | ||||||||
Year ended December 31, 2015: | ||||||||
Series shares sold | 3,613 | $ | 143,295 | |||||
Series shares repurchased | (11,130 | ) | (429,755 | ) | ||||
Net increase (decrease) in shares outstanding | (7,517 | ) | $ | (286,460 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 14,613 | $ | 533,921 | |||||
Series shares repurchased | (21,926 | ) | (816,476 | ) | ||||
Net increase (decrease) in shares outstanding | (7,313 | ) | $ | (282,555 | ) | |||
B11
| Note 8. | Borrowings |
The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of 0.11% of the unused portion of the SCA. Prior to October 8, 2015, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of 0.075% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. Each Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
The following Portfolios utilized the SCA during the year ended December 31, 2015. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.
Portfolio | Average Balance Outstanding | Number of Days Outstanding | Weighted Average Interest Rates | Maximum Balance Outstanding | Balance Outstanding at December 31, 2015 | |||||||||||||||
Diversified Bond Portfolio | $ | 223,600 | 5 | 1.43 | % | $ | 391,000 | — | ||||||||||||
Global Portfolio | 351,800 | 5 | 1.43 | % | 517,000 | — | ||||||||||||||
Government Income Portfolio | 19,252,500 | 4 | 1.49 | % | 60,957,000 | — | ||||||||||||||
Stock Index Portfolio | 54,451,600 | 5 | 1.45 | % | 55,829,000 | — | ||||||||||||||
| Note 9. | Ownership and Affiliates |
As of December 31, 2015, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
| Note 10. | New Accounting Pronouncements |
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management has evaluated the implications of ASU No. 2015-07 and it has been determined that there is no impact on the financial statement disclosures.
In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.
| Note 11. | Subsequent Event |
Subsequent to year-end, Prudential (the “Company”), the parent company of the Manager (PI), self reported to the Securities and Exchange Commission and notified other regulators that in some cases the Company failed to maximize securities lending income for certain Portfolios of the Prudential Series Fund due to a long-standing restriction benefitting the Company. The restriction has been removed and the Company is in the process of implementing a remediation plan for the benefit of such Portfolios, which will include reimbursement to the Portfolios of opportunity loss. The Board was recently informed of the restriction. The remediation plan and all aspects related to it will be under ongoing evaluation by the Board and will be subject to its approval.
B12
| Conservative Balanced Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .39 | .36 | .35 | .38 | .36 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.30 | ) | 1.46 | 2.51 | 1.43 | .37 | ||||||||||||||
Total from investment operations | .09 | 1.82 | 2.86 | 1.81 | .73 | |||||||||||||||
Less Distributions | — | — | — | (.36 | ) | (.37 | ) | |||||||||||||
Net Asset Value, end of year | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | ||||||||||
Total Return(b) | .40 | % | 8.82 | % | 16.09 | % | 11.23 | % | 4.60 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2,554.3 | $ | 2,574.4 | $ | 2,504.4 | $ | 2,287.0 | $ | 2,191.6 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .58 | % | .58 | % | .58 | % | .58 | % | .59 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .58 | % | .58 | % | .58 | % | .58 | % | .59 | % | ||||||||||
Net investment income | 1.70 | % | 1.66 | % | 1.84 | % | 2.11 | % | 2.12 | % | ||||||||||
Portfolio turnover rate(d) | 208 | % | 134 | % | 196 | % | 188 | % | 215 | % | ||||||||||
| Diversified Bond Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(a) | 2014(a) | 2013 | 2012(a) | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $ | 11.67 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .41 | .43 | .48 | .54 | .56 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.43 | ) | .34 | (.56 | ) | .66 | .30 | |||||||||||||
Total from investment operations | (.02 | ) | .77 | (.08 | ) | 1.20 | .86 | |||||||||||||
Less Distributions | — | (.12 | ) | (.79 | ) | (1.06 | ) | (.79 | ) | |||||||||||
Net Asset Value, end of year | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | ||||||||||
Total Return(b) | (.17 | )% | 7.09 | % | (.71 | )% | 10.68 | % | 7.51 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,084.9 | $ | 1,067.9 | $ | 1,197.5 | $ | 1,305.9 | $ | 1,556.9 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .46 | % | .44 | % | .44 | % | .44 | % | .42 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .46 | % | .44 | % | .44 | % | .44 | % | .42 | % | ||||||||||
Net investment income | 3.48 | % | 3.73 | % | 4.10 | % | 4.57 | % | 4.76 | % | ||||||||||
Portfolio turnover rate | 81 | % | 50 | % | 111 | % | 144 | % | 167 | % | ||||||||||
| (a) | Calculated based on average shares outstanding during the year. |
| (b) | 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 distributions, if any, 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 fee waivers and/or expense reimbursements. In the absence of 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. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| Equity Portfolio | ||||||||||||||||||||
| Class I | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(c) | 2014(c) | 2013 | 2012(c) | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .34 | .19 | .27 | .27 | .13 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .57 | 2.56 | 8.73 | 2.96 | (.98 | ) | ||||||||||||||
Total from investment operations | .91 | 2.75 | 9.00 | 3.23 | (.85 | ) | ||||||||||||||
Less Distributions: | — | — | — | (.15 | ) | (.17 | ) | |||||||||||||
Net Asset Value, end of year | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | ||||||||||
Total Return(a) | 2.36 | % | 7.68 | % | 33.57 | % | 13.69 | % | (3.47 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,846.2 | $ | 4,017.6 | $ | 3,970.9 | $ | 3,167.0 | $ | 2,997.5 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .47 | % | .47 | % | .47 | % | .47 | % | .48 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .47 | % | .47 | % | .47 | % | .47 | % | .48 | % | ||||||||||
Net investment income | .86 | % | .52 | % | .86 | % | 1.04 | % | .58 | % | ||||||||||
Portfolio turnover rate | 37 | % | 51 | % | 45 | % | 48 | % | 49 | % | ||||||||||
| Equity Portfolio | ||||||||||||||||||||
| Class II | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(c) | 2014(c) | 2013 | 2012(c) | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .18 | .04 | .13 | .17 | .06 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .58 | 2.57 | 8.82 | 3.00 | (1.03 | ) | ||||||||||||||
Total from investment operations | .76 | 2.61 | 8.95 | 3.17 | (.97 | ) | ||||||||||||||
Less Distributions: | — | — | — | (.06 | ) | (.04 | ) | |||||||||||||
Net Asset Value, end of year | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | ||||||||||
Total Return(a) | 1.97 | % | 7.24 | % | 33.03 | % | 13.23 | % | (3.87 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | $ | 2.0 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | % | .87 | % | .87 | % | .87 | % | .88 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .87 | % | .87 | % | .87 | % | .87 | % | .88 | % | ||||||||||
Net investment income | .46 | % | .11 | % | .47 | % | .63 | % | .19 | % | ||||||||||
Portfolio turnover rate | 37 | % | 51 | % | 45 | % | 48 | % | 49 | % | ||||||||||
| (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 distributions, if any, 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 return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of 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. |
| (c) | Calculated based on average shares outstanding during the period. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| Flexible Managed Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .42 | .37 | .36 | .37 | .33 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.18 | ) | 1.99 | 3.22 | 1.74 | .34 | ||||||||||||||
Total from investment operations | .24 | 2.36 | 3.58 | 2.11 | .67 | |||||||||||||||
Less Distributions | — | — | — | (.33 | ) | (.31 | ) | |||||||||||||
Net Asset Value, end of year | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | ||||||||||
Total Return(b) | 1.01 | % | 11.05 | % | 20.15 | % | 13.37 | % | 4.34 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,768.8 | $ | 3,943.8 | $ | 3,730.6 | $ | 3,265.8 | $ | 3,036.8 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Net investment income | 1.74 | % | 1.66 | % | 1.86 | % | 2.05 | % | 2.01 | % | ||||||||||
Portfolio turnover rate(d) | 213 | % | 161 | % | 210 | % | 214 | % | 246 | % | ||||||||||
| Global Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(a) | 2014(a) | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .34 | .37 | .31 | .36 | .29 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .27 | .44 | 5.03 | 2.57 | (1.56 | ) | ||||||||||||||
Total from investment operations | .61 | .81 | 5.34 | 2.93 | (1.27 | ) | ||||||||||||||
Less Distributions | — | — | — | (.30 | ) | (.28 | ) | |||||||||||||
Net Asset Value, end of year | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | ||||||||||
Total Return(b) | 2.37 | % | 3.25 | % | 27.29 | % | 17.52 | % | (6.97 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 965.3 | $ | 719.2 | $ | 744.5 | $ | 611.2 | $ | 564.2 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .81 | % | .81 | % | .84 | % | .84 | % | .84 | % | ||||||||||
Expenses before waivers and/or expense reimbursements | .82 | % | .82 | % | .84 | % | .84 | % | .84 | % | ||||||||||
Net investment income | 1.28 | % | 1.45 | % | 1.29 | % | 1.82 | % | 1.54 | % | ||||||||||
Portfolio turnover rate | 33 | % | 37 | % | 70 | % | 57 | % | 69 | % | ||||||||||
| (a) | Calculated based on average shares outstanding during the year. |
| (b) | 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 distributions, if any, 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 fee waivers and/or expense reimbursements. In the absence of 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. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| Government Income Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(d) | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .18 | .21 | .21 | .25 | .30 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.10 | ) | .45 | (.49 | ) | .19 | .60 | |||||||||||||
Total from investment operations | .08 | .66 | (.28 | ) | .44 | .90 | ||||||||||||||
Less Distributions | — | (.04 | ) | (.57 | ) | (.66 | ) | (.56 | ) | |||||||||||
Net Asset Value, end of year | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | ||||||||||
Total Return(a) | .67 | % | 5.86 | % | (2.34 | )% | 3.63 | % | 7.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 231.8 | $ | 339.2 | $ | 341.1 | $ | 382.9 | $ | 416.7 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .48 | % | .47 | % | .49 | % | .48 | % | .46 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .48 | % | .47 | % | .49 | % | .48 | % | .46 | % | ||||||||||
Net investment income | 1.48 | % | 1.73 | % | 1.78 | % | 1.96 | % | 2.48 | % | ||||||||||
Portfolio turnover rate(c) | 746 | % | 830 | % | 1135 | % | 1154 | % | 1554 | % | ||||||||||
| Stock Index Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2015(d) | 2014(d) | 2013(d) | 2012 | 2011 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income | .86 | .79 | .73 | .68 | .54 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.26 | ) | 5.20 | 10.64 | 4.19 | .07 | ||||||||||||||
Total from investment operations | .60 | 5.99 | 11.37 | 4.87 | .61 | |||||||||||||||
Less Distributions | (1.34 | ) | (3.68 | ) | — | (.69 | ) | (.51 | ) | |||||||||||
Net Asset Value, end of year | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | ||||||||||
Total Return(a) | 1.18 | % | 13.31 | % | 31.89 | % | 15.68 | % | 1.95 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,010.1 | $ | 3,312.7 | $ | 2,890.5 | $ | 2,340.3 | $ | 2,162.4 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .32 | % | .32 | % | .32 | % | .32 | % | .33 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .37 | % | .37 | % | .37 | % | .37 | % | .38 | % | ||||||||||
Net investment income | 1.74 | % | 1.67 | % | 1.77 | % | 1.97 | % | 1.74 | % | ||||||||||
Portfolio turnover rate | 9 | % | 5 | % | 3 | % | 2 | % | 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 distributions, if any, 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 fee waivers and/or expense reimbursements. In the absence of 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) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
| (d) | Calculated based upon average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities 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 “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2015, 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 financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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, 2015, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when 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 Portfolios as of December 31, 2015, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 26, 2016
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of The Prudential Series Fund (the Trust) is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Trust and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
| Independent Trustees | ||||
Name, Age Position with the Trust Number of Portfolios in Fund Complex | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (48) Trustee Since 2011 Overseen by Trustee: 113 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (66) Trustee Since 2013 Overseen by Trustee: 113 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (56) Trustee Since 2014 Overseen by Trustee: 113 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2013) of Realogy Holdings Corp. (residential real estate services); The Asia-Pacific Fund, Inc. (since 2006); Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (65) Trustee Since 2013 Overseen by Trustee: 113 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear, Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear, Stearns & Co., Inc. (1987-1995). | None | ||
Delayne Dedrick Gold* (77) Trustee Since 2003 Overseen by Trustee: 113 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None | ||
Robert F. Gunia* (69) Trustee Since 2003 Overseen by Trustee: 113 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (74) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 113 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None |
E1
| Independent Trustees | ||||
Name, Age Position with the Trust Number of Portfolios in Fund Complex | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (64) Trustee Since 2003 Overseen by Trustee: 113 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly 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. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
| Interested Trustee | ||||
Timothy S. Cronin* (49) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investment, LLC. The Funds for which Prudential Investment, LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
| Trust Officers(1) | ||
Name, Age Position with the Trust | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (60) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (40) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Bradley C. Tobin* (41) Vice President Since 2014 | Vice President of Prudential Annuities (since March 2012), Vice President of AST Investment Services, Inc. (since April 2011). | |
Deborah A. Docs* (57) 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 Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (57) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (41) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (52) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Amanda S. Ryan (37) Assistant Secretary Since 2012 | Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012). |
E2
| Trust Officers(1) | ||
Name, Age Position with the Trust | Principal Occupation(s) During Past 5 Years | |
Kathleen DeNicholas* (41) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). | |
M. Sadiq Peshimam* (51) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (56) 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). | |
Lana Lomuti* (48) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (54) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Alan Fu* (59) Assistant Treasurer Since 2006 | Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). | |
Theresa C. Thompson* (53) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Richard W. Kinville* (47) Anti-Money Laundering Compliance Officer Since 2011 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
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. Please be sure to have your contract number available when you call.
(800) 458-6333
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.
This report includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.
This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.
Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
A description of each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. 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 Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.
The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.
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 800-458-6333.
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 | Presorted Standard U.S. Postage PAID Prudential | |||
©2016 Prudential Financial, Inc. and its related entities. Prudential Retirement, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0239747-00004-00 MD.RS.011
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. Kevin J. Bannon, 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, 2015 and December 31, 2014, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,570 and $19,570, 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
For the fiscal years ended December 31, 2015 and December 31, 2014: none.
(c) Tax Fees
For the fiscal years ended December 31, 2015 and December 31, 2014: none.
(d) All Other Fees
For the fiscal years ended December 31, 2015 and December 31, 2014: 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:
| Ø | Annual Fund financial statement audits |
| Ø | Seed audits (related to new product filings, as required) |
| Ø | 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:
| Ø | Accounting consultations |
| Ø | Fund merger support services |
| Ø | Agreed Upon Procedure Reports |
| Ø | Attestation Reports |
| Ø | 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 $30,000.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
| Ø | 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 |
| Ø | Timely RIC qualification reviews |
| Ø | Tax distribution analysis and planning |
| Ø | Tax authority examination services |
| Ø | Tax appeals support services |
| Ø | Accounting methods studies |
| Ø | Fund merger support services |
| Ø | 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 $30,000.
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:
| Ø | Bookkeeping or other services related to the accounting records or financial statements of the Fund |
| Ø | Financial information systems design and implementation |
| Ø | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
| Ø | Actuarial services |
| Ø | Internal audit outsourcing services |
| Ø | Management functions or human resources |
| Ø | Broker or dealer, investment adviser, or investment banking services |
| Ø | Legal services and expert services unrelated to the audit |
| Ø | 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 $30,000. 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 – |
For the fiscal years ended December 31, 2015 and December 31, 2014: none.
| (f) | Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%. |
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
| (g) | Non-Audit Fees |
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 ended December 31, 2015 and December 31, 2014 was $0 and $0, 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: | /s/Deborah A. Docs | |
| Deborah A. Docs | ||
| Secretary | ||
| Date: | February 29, 2016 | |
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: | /s/Stuart S. Parker | |
| Stuart S. Parker | ||
| President and Principal Executive Officer | ||
| Date: | February 29, 2016 | |
| By: | /s/M. Sadiq Peshimam | |
| M. Sadiq Peshimam | ||
| Treasurer and Principal Financial and Accounting Officer | ||
| Date: | February 29, 2016 | |