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: | 12/31/2016 | |
| Date of reporting period: | 6/30/2016 | |
Item 1 – Reports to Stockholders
The MEDLEY Program
| SEMIANNUAL REPORT | June 30, 2016 |
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.
The accompanying financial statements as of June 30, 2016, were not audited and, accordingly, no auditor’s opinion is expressed on them. 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 | Semiannual Report | June 30, 2016 |
| n | LETTER TO PARTICIPANTS |
| n | VCA-10 CAPITAL GROWTH ACCOUNT |
Financial Statements
| n | VCA-11 MONEY MARKET ACCOUNT |
Financial Statements
| n | VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Stock Index Portfolio
| n | APPROVAL OF ADVISORY AGREEMENTS |
The Prudential MEDLEY Program Letter to Participants | June 30, 2016 |
| n | DEAR PARTICIPANT: |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual 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. 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 |
July 29, 2016
Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)
Presentation of Portfolio Holdings — unaudited | June 30, 2016 |
| Conservative Balanced | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Federal National Mortgage Assoc., 3.000%, TBA | 1.8% | |||
| Apple, Inc. | 1.3% | |||
Microsoft Corp. | 1.0% | |||
| Exxon Mobil Corp. | 1.0% | |||
| Johnson & Johnson | 0.9% | |||
| Diversified Bond | ||||
| Issuer | (% of Net Assets | ) | ||
| Commercial Mortgage-Backed Securities | 11.5% | |||
| Banks | 10.9% | |||
| Residential Mortgage-Backed Securities | 10.4% | |||
| Collateralized Loan Obligations | 4.2% | |||
| Sovereign Bonds | 4.0% | |||
| Equity | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
Amazon.com, Inc. | 3.5% | |||
| Facebook, Inc. | 3.2% | |||
Microsoft Corp. | 2.3% | |||
| Apple, Inc. | 2.2% | |||
| Allergan PLC | 2.2% | |||
| Flexible Managed | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.5% | |||
Microsoft Corp. | 1.5% | |||
| Federal National Mortgage Assoc., 3.000%, TBA | 1.4% | |||
| Facebook, Inc. (Class A Stock) | 1.1% | |||
| AT&T, Inc. | 1.1% | |||
| Global | ||||
| Top Five Countries | (% of Net Assets | ) | ||
United States | 54.5% | |||
Japan | 6.9% | |||
United Kingdom | 5.2% | |||
| France | 3.9% | |||
| Switzerland | 3.2% | |||
| Government Income | ||||
| Allocation | (% of Net Assets | ) | ||
| U.S. Government Agency Obligations | 55.0% | |||
| Commercial Mortgage-Backed Securities | 27.5% | |||
U.S. Treasury Obligations | 10.8% | |||
| Collateralized Loan Obligations | 5.8% | |||
| Corporate Bond | 1.0% | |||
| Stock Index | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Apple, Inc. | 2.8% | |||
| Microsoft Corp. | 2.1% | |||
| Exxon Mobil Corp. | 2.1% | |||
| Johnson & Johnson | 1.8% | |||
| General Electric Co. | 1.5% | |||
| VCA-10 | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Shire PLC (Ireland), ADR | 2.5% | |||
| JPMorgan Chase & Co. | 2.5% | |||
| Alphabet, Inc. (Class A Stock) | 2.3% | |||
| Amazon.com, Inc. | 2.2% | |||
| Salesforce.com, Inc. | 2.2% | |||
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.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
| LONG-TERM INVESTMENTS — 96.2% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.0% | ||||||||
Boeing Co. (The) | 10,367 | $ | 1,346,362 | |||||
United Technologies Corp. | 15,706 | 1,610,650 | ||||||
| 2,957,012 | ||||||||
Banks — 8.1% | ||||||||
Bank of America Corp. | 145,973 | 1,937,062 | ||||||
Citigroup, Inc. | 495,660 | 2,101,103 | ||||||
JPMorgan Chase & Co. | 57,652 | 3,582,495 | ||||||
PNC Financial Services Group, Inc. | 15,398 | 1,253,243 | ||||||
Wells Fargo & Co. | 63,573 | 3,008,910 | ||||||
| 11,882,813 | ||||||||
Beverages — 1.1% | ||||||||
Monster Beverage Corp.(a) | 10,315 | 1,657,724 | ||||||
Biotechnology — 4.5% | ||||||||
AbbVie, Inc. | 18,176 | 1,125,276 | ||||||
Celgene Corp.(a) | 17,896 | 1,765,082 | ||||||
Shire PLC (Ireland), ADR | 20,030 | 3,687,122 | ||||||
| 6,577,480 | ||||||||
Capital Markets — 1.1% | ||||||||
Goldman Sachs Group, Inc. (The) | 11,265 | 1,673,754 | ||||||
Chemicals — 1.5% | ||||||||
Dow Chemicals Co. (The) | 19,648 | 976,702 | ||||||
FMC Corp. | 25,833 | 1,196,326 | ||||||
| 2,173,028 | ||||||||
Communications Equipment — 0.8% | ||||||||
Brocade Communications Systems, Inc. | 133,769 | 1,227,999 | ||||||
Consumer Finance — 2.3% | ||||||||
Capital One Financial Corp. | 24,530 | 1,557,900 | ||||||
SLM Corp.(a) | 285,794 | 1,766,207 | ||||||
| 3,324,107 | ||||||||
Diversified Financial Services — 0.5% | ||||||||
Voya Financial, Inc. | 28,342 | 701,748 | ||||||
Electric Utilities — 3.5% | ||||||||
FirstEnergy Corp. | 61,680 | 2,153,249 | ||||||
PG&E Corp. | 47,214 | 3,017,919 | ||||||
| 5,171,168 | ||||||||
Electrical Equipment — 0.9% | ||||||||
Eaton Corp. PLC | 21,169 | 1,264,424 | ||||||
Electronic Equipment & Instruments — 0.9% |
| |||||||
Flextronics International Ltd.(a) | 113,487 | 1,339,147 | ||||||
Energy Equipment & Services — 1.3% | ||||||||
Halliburton Co. | 42,261 | 1,914,001 | ||||||
Food Products — 3.0% | ||||||||
ConAgra Foods, Inc. | 46,800 | 2,237,508 | ||||||
Mondelez International, Inc. (Class A Stock) | 48,180 | 2,192,672 | ||||||
| 4,430,180 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
Zimmer Biomet Holdings, Inc. | 13,271 | $ | 1,597,563 | |||||
Health Care Providers & Services — 1.7% |
| |||||||
Cigna Corp. | 7,821 | 1,001,010 | ||||||
Laboratory Corp. Of America | 11,311 | 1,473,484 | ||||||
| 2,474,494 | ||||||||
Hotels, Restaurants & Leisure — 2.8% | ||||||||
Carnival Corp. | 31,803 | 1,405,693 | ||||||
Hyatt Hotels Corp.(a) | 25,170 | 1,236,854 | ||||||
McDonald’s Corp. | 11,707 | 1,408,820 | ||||||
| 4,051,367 | ||||||||
Household Products — 1.7% | ||||||||
Procter & Gamble Co. (The) | 28,484 | 2,411,740 | ||||||
Industrial Conglomerates — 1.4% | ||||||||
General Electric Co. | 66,986 | 2,108,719 | ||||||
Insurance — 2.3% | ||||||||
Chubb Ltd. (Switzerland) | 15,995 | 2,090,706 | ||||||
MetLife, Inc. | 30,388 | 1,210,354 | ||||||
| 3,301,060 | ||||||||
Internet & Catalog Retail — 3.2% | ||||||||
Amazon.com, Inc.(a) | 4,579 | 3,276,824 | ||||||
Netflix, Inc.(a) | 14,635 | 1,338,810 | ||||||
| 4,615,634 | ||||||||
Internet Software & Services — 9.4% | ||||||||
Alibaba Group Holding Ltd. (China), ADR(a) | 25,100 | 1,996,203 | ||||||
Alphabet, Inc. (Class A Stock)(a) | 4,717 | 3,318,551 | ||||||
Alphabet, Inc. (Class C Stock)(a) | 1,877 | 1,299,072 | ||||||
eBay, Inc.(a) | 42,810 | 1,002,182 | ||||||
Facebook, Inc. (Class A Stock)(a) | 28,623 | 3,271,036 | ||||||
Tencent Holdings Ltd. (China), ADR | 120,673 | 2,771,859 | ||||||
| 13,658,903 | ||||||||
IT Services — 1.7% | ||||||||
Visa, Inc. (Class A Stock) | 34,025 | 2,523,634 | ||||||
Media — 2.6% | ||||||||
Comcast Corp. (Class A Stock) | 32,294 | 2,105,246 | ||||||
Liberty Global PLC (Series C) (United Kingdom)(a) | 17,424 | 499,198 | ||||||
Liberty Global PLC LiLAC (Series C) (United Kingdom)(a) | 4,617 | 150,017 | ||||||
Viacom, Inc. | 25,554 | 1,059,724 | ||||||
| 3,814,185 | ||||||||
Multiline Retail — 1.1% | ||||||||
Target Corp. | 22,584 | 1,576,815 | ||||||
Oil, Gas & Consumable Fuels — 8.3% | ||||||||
Anadarko Petroleum Corp. | 21,547 | 1,147,378 | ||||||
Chevron Corp. | 20,227 | 2,120,396 | ||||||
Concho Resources, Inc.(a) | 7,162 | 854,212 | ||||||
Hess Corp. | 17,485 | 1,050,849 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Noble Energy, Inc. | 41,360 | $ | 1,483,583 | |||||
Occidental Petroleum Corp. | 25,723 | 1,943,630 | ||||||
Royal Dutch Shell PLC (Netherlands), ADR | 33,277 | 1,837,556 | ||||||
Suncor Energy, Inc. (Canada) | 59,329 | 1,645,193 | ||||||
| 12,082,797 | ||||||||
Pharmaceuticals — 8.5% | ||||||||
Allergan PLC(a) | 13,629 | 3,149,526 | ||||||
Bristol-Myers Squibb Co. | 32,948 | 2,423,325 | ||||||
Merck & Co., Inc. | 40,249 | 2,318,745 | ||||||
Pfizer, Inc. | 81,792 | 2,879,896 | ||||||
Teva Pharmaceuticals Industries Ltd. (Israel), ADR | 32,321 | 1,623,484 | ||||||
| 12,394,976 | ||||||||
Real Estate Investment Trust (REITs) — 1.2% |
| |||||||
American Tower Corp. (Class A Stock) | 14,750 | 1,675,748 | ||||||
Road & Rail — 1.5% | ||||||||
Ryder System, Inc. | 14,436 | 882,617 | ||||||
Union Pacific Corp. | 15,696 | 1,369,476 | ||||||
| 2,252,093 | ||||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
QUALCOMM, Inc. | 19,163 | 1,026,562 | ||||||
Texas Instruments, Inc. | 29,659 | 1,858,136 | ||||||
| 2,884,698 | ||||||||
Software — 6.0% | ||||||||
Adobe Systems, Inc.(a) | 20,888 | 2,000,862 | ||||||
Microsoft Corp. | 34,118 | 1,745,818 | ||||||
PTC, Inc.(a) | 44,655 | 1,678,135 | ||||||
Salesforce.com, Inc.(a) | 41,202 | 3,271,851 | ||||||
| 8,696,666 | ||||||||
Specialty Retail — 4.2% | ||||||||
Home Depot, Inc. (The) | 9,815 | 1,253,277 | ||||||
Industria de Diseno Textil SA (Spain) | 54,477 | 1,832,077 | ||||||
O’ Reilly Automotive, Inc.(a) | 7,054 | 1,912,339 | ||||||
TJX Cos., Inc. (The) | 14,268 | 1,101,918 | ||||||
| 6,099,611 | ||||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
Apple, Inc. | 12,621 | 1,206,568 | ||||||
Textiles, Apparel & Luxury Goods — 2.2% |
| |||||||
Adidas AG (Germany) | 21,554 | 1,545,206 | ||||||
Coach, Inc. | 39,533 | 1,610,574 | ||||||
| 3,155,780 | ||||||||
Wireless Telecommunication Services — 1.0% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 49,037 | 1,514,753 | ||||||
TOTAL COMMON STOCKS |
| 140,392,389 | ||||||
| SHORT-TERM INVESTMENT — 4.7% | Shares | Value (Note 2) | ||||||
Affiliated Mutual Fund | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 6,899,779 | $ | 6,899,779 | |||||
TOTAL INVESTMENTS — 100.9% |
| 147,292,168 | ||||||
LIABILITIES LESS, OTHER ASSETS — (0.9)% |
| |||||||
Receivable for Securities Sold |
| 953,263 | ||||||
Interest and Dividends Receivable |
| 256,900 | ||||||
Tax Reclaim Receivable |
| 14,557 | ||||||
Payable Pending Capital Transactions |
| (139,524 | )�� | |||||
Payable for Securities Purchased |
| (2,470,487 | ) | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (1,385,291 | ) | |||||
NET ASSETS — 100% |
| $ | 145,906,877 | |||||
NET ASSETS, representing: | ||||||||
Equity of Participants |
| $ | 145,933,622 | |||||
Equity of The Prudential Insurance Company of America |
| (26,745 | ) | |||||
| $ | 145,906,877 | |||||||
The following abbreviation is used in the semiannual 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 Ultra Short Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 2,957,012 | $ | — | $ | — | ||||||
Banks | 11,882,813 | — | — | |||||||||
Beverages | 1,657,724 | — | — | |||||||||
Biotechnology | 6,577,480 | — | — | |||||||||
Capital Markets | 1,673,754 | — | — | |||||||||
Chemicals | 2,173,028 | — | — | |||||||||
Communications Equipment | 1,227,999 | — | — | |||||||||
Consumer Finance | 3,324,107 | — | — | |||||||||
Diversified Financial Services | 701,748 | — | — | |||||||||
Electric Utilities | 5,171,168 | — | — | |||||||||
Electrical Equipment | 1,264,424 | — | — | |||||||||
Electronic Equipment & Instruments | 1,339,147 | — | — | |||||||||
Energy Equipment & Services | 1,914,001 | — | — | |||||||||
Food Products | 4,430,180 | — | — | |||||||||
Health Care Equipment & Supplies | 1,597,563 | — | — | |||||||||
Health Care Providers & Services | 2,474,494 | — | — | |||||||||
Hotels, Restaurants & Leisure | 4,051,367 | — | — | |||||||||
Household Products | 2,411,740 | — | — | |||||||||
Industrial Conglomerates | 2,108,719 | — | — | |||||||||
Insurance | 3,301,060 | — | — | |||||||||
Internet & Catalog Retail | 4,615,634 | — | — | |||||||||
Internet Software & Services | 13,658,903 | — | — | |||||||||
IT Services | 2,523,634 | — | — | |||||||||
Media | 3,814,185 | — | — | |||||||||
Multiline Retail | 1,576,815 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 12,082,797 | — | — | |||||||||
Pharmaceuticals | 12,394,976 | — | — | |||||||||
Real Estate Investment Trust (REITs) | 1,675,748 | — | — | |||||||||
Road & Rail | 2,252,093 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 2,884,698 | — | — | |||||||||
Software | 8,696,666 | — | — | |||||||||
Specialty Retail | 4,267,534 | 1,832,077 | — | |||||||||
Technology Hardware, Storage & Peripherals | 1,206,568 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 3,155,780 | — | — | |||||||||
Wireless Telecommunication Services | 1,514,753 | — | — | |||||||||
Affiliated Mutual Fund | 6,899,779 | — | — | |||||||||
Total | $ | 145,460,091 | $ | 1,832,077 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 was as follows:
Internet Software & Services | 9.4 | % | ||
Pharmaceuticals | 8.5 | |||
Oil, Gas & Consumable Fuels | 8.3 | |||
Banks | 8.1 | |||
Software | 6.0 | |||
Affiliated Mutual Fund | 4.7 | |||
Biotechnology | 4.5 | |||
Specialty Retail | 4.2 | |||
Electric Utilities | 3.5 | |||
Internet & Catalog Retail | 3.2 | |||
Food Products | 3.0 | |||
Hotels, Restaurants & Leisure | 2.8 | |||
Media | 2.6 | |||
Insurance | 2.3 | |||
Consumer Finance | 2.3 | |||
Textiles, Apparel & Luxury Goods | 2.2 | |||
Aerospace & Defense | 2.0 | |||
Semiconductors & Semiconductor Equipment | 2.0 | |||
IT Services | 1.7 | |||
Household Products | 1.7 |
Health Care Providers & Services | 1.7 | % | ||
Road & Rail | 1.5 | |||
Chemicals | 1.5 | |||
Industrial Conglomerates | 1.4 | |||
Energy Equipment & Services | 1.3 | |||
Real Estate Investment Trust (REITs) | 1.2 | |||
Capital Markets | 1.1 | |||
Multiline Retail | 1.1 | |||
Beverages | 1.1 | |||
Health Care Equipment & Supplies | 1.1 | |||
Wireless Telecommunications Services | 1.0 | |||
Electrical Equipment | 0.9 | |||
Electronic Equipment & Instruments | 0.9 | |||
Technology Hardware, Storage & Peripherals | 0.8 | |||
Communications Equipment | 0.8 | |||
Diversified Financial Services | 0.5 | |||
| 100.9 | ||||
Liabilities in excess of other assets | (0.9 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF OPERATIONS (Unaudited) | ||||||
Six Months Ended June 30, 2016
INVESTMENT INCOME | ||||
Unaffiliated Dividend Income (net of $20,801 foreign withholding tax) | $ | 1,351,309 | ||
Affiliated Dividend Income | 12,040 | |||
Total Income | 1,363,349 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (183,845 | ) | ||
Fees Charged to Participants for Administrative Expenses: | ||||
Standard Contract | (494,893 | ) | ||
0.50% Contract | (4,237 | ) | ||
0.45% Contract | (9,224 | ) | ||
Total Expenses | (692,199 | ) | ||
NET INVESTMENT INCOME | 671,150 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net Realized Gain (Loss) on: | ||||
Investment Transactions | 2,096,316 | |||
Foreign Currency Transactions | (1,840 | ) | ||
| 2,094,476 | ||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (7,858,755 | ) | ||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (5,764,279 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (5,093,129 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 671,150 | $ | 1,046,235 | ||||
Net Realized Gain on Investment and Foreign Currency Transactions | 2,094,476 | 7,365,457 | ||||||
Net Change In Unrealized Appreciation (Depreciation) on Investments | (7,858,755 | ) | (11,020,024 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | (5,093,129 | ) | (2,608,332 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 583,219 | 1,785,014 | ||||||
Withdrawals and Transfers Out | (7,143,619 | ) | (19,074,873 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (6,560,400 | ) | (17,289,859 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (6,798 | ) | (2,870 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (11,660,327 | ) | (19,901,061 | ) | ||||
NET ASSETS | ||||||||
Beginning of period | 157,567,204 | 177,468,265 | ||||||
End of period | $ | 145,906,877 | $ | 157,567,204 | ||||
Accumulation Unit Values and Equity of Participants as of June 30, 2016
Standard Contract: | ||||
Accumulation Unit Value and Equity of Participants, $133,522,725 / 9,192,380 Accumulation Units | $ | 14.5254 | ||
0.50% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $3,433,982 / 213,948 Accumulation Units | $ | 16.0505 | ||
0.45% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $8,976,915 / 557,782 Accumulation Units | $ | 16.0939 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .1332 | $ | .1468 | $ | .1472 | $ | .2397 | $ | .2631 | $ | .2637 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0176 | ) | (.0195 | ) | (.0195 | ) | (.0384 | ) | (.0422 | ) | (.0423 | ) | ||||||||||||
Administrative expenses | (.0528 | ) | (.0195 | ) | (.0156 | ) | (.1149 | ) | (.0422 | ) | (.0339 | ) | ||||||||||||
Net Investment Income | .0628 | .1078 | .1121 | .0864 | .1787 | .1875 | ||||||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.5320 | ) | (.5855 | ) | (.5870 | ) | (.3479 | ) | (.3837 | ) | (.3847 | ) | ||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.4692 | ) | (.4777 | ) | (.4749 | ) | (.2615 | ) | (.2050 | ) | (.1972 | ) | ||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of period | 14.9946 | 16.5282 | 16.5688 | 15.2561 | 16.7332 | 16.7660 | ||||||||||||||||||
End of period | $ | 14.5254 | $ | 16.0505 | $ | 16.0939 | $ | 14.9946 | $ | 16.5282 | $ | 16.5688 | ||||||||||||
Total Return** | (3.13 | %) | (2.89 | %) | (2.87 | %) | (1.71 | %) | (1.23 | %) | (1.18 | %) | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | %†† | .50 | %†† | .45 | %†† | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | .88 | %†† | 1.37 | %†† | 1.42 | %†† | .57 | % | 1.06 | % | 1.11 | % | ||||||||||||
Portfolio Turnover Rate | 24 | %††† | 24 | %††† | 24 | %††† | 47 | % | 47 | % | 47 | % | ||||||||||||
Number of Accumulation Units Outstanding | 9,192 | 214 | 558 | 9,595 | 219 | 609 | ||||||||||||||||||
| * | 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. Total returns for periods less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-10. |
| †† | 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.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .1871 | $ | .2046 | $ | .2049 | $ | .1792 | $ | .1950 | $ | .1952 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0362 | ) | (.0397 | ) | (.0398 | ) | (.0303 | ) | (.0330 | ) | (.0330 | ) | ||||||||||||
Administrative expenses | (.1086 | ) | (.0397 | ) | (.0318 | ) | (.0906 | ) | (.0330 | ) | (.0264 | ) | ||||||||||||
Net Investment Income | .0423 | .1252 | .1333 | .0583 | .1290 | .1358 | ||||||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.4515 | 1.5879 | 1.5907 | 3.1834 | 3.4658 | 3.4700 | ||||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | 1.4938 | 1.7131 | 1.7240 | 3.2417 | 3.5948 | 3.6058 | ||||||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 13.7623 | 15.0201 | 15.0420 | 10.5206 | 11.4253 | 11.4362 | ||||||||||||||||||
End of year | $ | 15.2561 | $ | 16.7332 | $ | 16.7660 | $ | 13.7623 | $ | 15.0201 | $ | 15.0420 | ||||||||||||
Total Return** | 10.85 | % | 11.41 | % | 11.46 | % | 30.81 | % | 31.46 | % | 31.53 | % | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | .29 | % | .78 | % | .83 | % | .48 | % | .98 | % | 1.03 | % | ||||||||||||
Portfolio Turnover Rate | 70 | % | 70 | % | 70 | % | 69 | % | 69 | % | 69 | % | ||||||||||||
Number of Accumulation Units Outstanding | 10,646 | 242 | 657 | 11,720 | 224 | 751 | ||||||||||||||||||
| * | 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* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year Ended December 31, 2012 | Year/Period Ended December 31, 2011 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract† | |||||||||||||||||||
Investment Income | $ | .1825 | $ | .1975 | $ | .1976 | $ | .1448 | $ | .1559 | $ | .1203 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0251 | ) | (.0272 | ) | (.0272 | ) | (.0250 | ) | (.0270 | ) | (.0200 | ) | ||||||||||||
Administrative expenses | (.0752 | ) | (.0272 | ) | (.0218 | ) | (.0749 | ) | (.0270 | ) | (.0160 | ) | ||||||||||||
Net Investment Income | .0822 | .1431 | .1486 | .0449 | .1019 | .0843 | ||||||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.0786 | 1.1677 | 1.1686 | (.7945 | ) | (.8579 | ) | (1.5558 | ) | |||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | 1.1608 | 1.3108 | 1.3172 | (.7496 | ) | (.7560 | ) | (1.4715 | ) | |||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of period | 9.3598 | 10.1145 | 10.1190 | 10.1094 | 10.8705 | 11.5905 | ||||||||||||||||||
End of period | $ | 10.5206 | $ | 11.4253 | $ | 11.4362 | $ | 9.3598 | $ | 10.1145 | $ | 10.1190 | ||||||||||||
Total Return** | 12.40 | % | 12.96 | % | 13.02 | % | (7.41 | %) | (6.95 | %) | (12.70 | %) | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | %†† | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | .82 | % | 1.32 | % | 1.37 | % | .44 | % | .94 | % | 1.03 | %†† | ||||||||||||
Portfolio Turnover Rate | 44 | % | 44 | % | 44 | % | 56 | % | 56 | % | 56 | %††† | ||||||||||||
Number of Accumulation Units Outstanding | 13,204 | 205 | 891 | 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 (Unaudited)
| 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.
Securities Valuation: The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) 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 Statement of Net Assets.
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.
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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing
price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated 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.
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: Subject to guidelines adopted by the Committee, the Account may invest up to 15% of its 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 Account has valued the investment. Therefore, the Account 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 Account’s subadviser under the guidelines adopted by the Committee Members of the Account. However, the liquidity of the Account’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Account 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 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 Account are presented at the foreign exchange rates and market values at the close of the period, the Account does 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 Account does 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 (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Account does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (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 (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 Account’s Committee.
During the six months ended June 30, 2016, the Account invested in the Prudential Core Ultra Short Bond Fund (formerly known as 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 six months ended June 30, 2016, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $33,882,324 and $39,576,536, respectively.
| Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, are as follows:
Standard Contracts | Units | Amount | ||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | 41,034 | $ | 582,972 | |||||
Account units redeemed | (443,415 | ) | (6,248,164 | ) | ||||
Net increase (decrease) in units outstanding | (402,381 | ) | $ | (5,665,192 | ) | |||
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 | ) | |||
0.50 % Contracts | Units | Amount | ||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | 15 | $ | 247 | |||||
Account units redeemed | (5,260 | ) | (83,685 | ) | ||||
Net increase (decrease) in units outstanding | (5,245 | ) | $ | (83,438 | ) | |||
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 | ) | |||
0.45 % Contracts | Units | Amount | ||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (51,521 | ) | (811,770 | ) | ||||
Net increase (decrease) in units outstanding | (51,521 | ) | $ | (811,770 | ) | |||
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 | ) | |||
| 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 six months ended June 30, 2016, $33,805 in participant loans were withdrawn from VCA-10 and $42,450 of principal and interest was repaid to VCA-10. 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. 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 six months ended June 30, 2016, PICA has advised the Account that it received $383 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 Pronouncement |
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.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
| SHORT-TERM INVESTMENTS — 102.2% | Principal Amount (000)# | Value (Note 2) | ||||||
Certificates of Deposit — 16.7% | ||||||||
Bank of Montreal | ||||||||
0.837%, 10/14/2016(b) | $ | 275 | $ | 275,153 | ||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||||||
0.400%, 07/07/2016(a) | 500 | 500,000 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.822%, 10/17/2016(b) | 350 | 350,180 | ||||||
0.982%, 02/09/2017(b) | 250 | 250,127 | ||||||
Citibank NA | ||||||||
0.620%, 08/23/2016(a) | 250 | 250,066 | ||||||
0.720%, 10/21/2016(a) | 270 | 270,053 | ||||||
Nordea Bank Finland | ||||||||
1.035%, 04/21/2017(b) | 250 | 250,113 | ||||||
Royal Bank of Canada | ||||||||
0.880%, 10/14/2016(b) | 200 | 200,139 | ||||||
State Street Bank & Trust Co. | ||||||||
0.777%, 08/01/2016(b) | 300 | 300,083 | ||||||
0.795%, 11/10/2016(b) | 325 | 325,079 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
0.700%, 07/05/2016(a) | 300 | 300,016 | ||||||
Toronto Dominion Bank | ||||||||
1.025%, 05/19/2017(b) | 200 | 200,042 | ||||||
Wells Fargo Bank NA | ||||||||
0.650%, 09/06/2016(a) | 250 | 250,002 | ||||||
0.797%, 09/06/2016(b) | 400 | 400,186 | ||||||
| 4,121,239 | ||||||||
Commercial Paper — 42.8% |
| |||||||
ABN AMRO Funding USA LLC, 144A | ||||||||
0.621%, 08/09/2016(a) | 600 | 599,718 | ||||||
Apple Inc., 144A | ||||||||
0.400%, 07/06/2016(a) | 250 | 249,988 | ||||||
Australia & New Zealand Banking Group Ltd., 144A | ||||||||
0.458%, 07/05/2016(b) | 600 | 600,022 | ||||||
BASF AG, 144A | ||||||||
0.621%, 09/28/2016(a) | 600 | 599,175 | ||||||
Caisse Centrale Desjardins du Quebec, 144A | ||||||||
0.520%, 08/08/2016(a) | 300 | 299,863 | ||||||
Cargill, Inc., 144A | ||||||||
0.400%, 07/08/2016(a) | 500 | 499,963 | ||||||
CDP Financial, Inc., 144A | ||||||||
0.601%, 09/15/2016(a) | 350 | 349,640 | ||||||
0.641%, 09/12/2016(a) | 250 | 249,757 | ||||||
Commonwealth Bank of Australia, 144A | ||||||||
0.606%, 09/21/2016(a) | 320 | 319,646 | ||||||
1.026%, 04/20/2017(b) | 250 | 250,095 | ||||||
CPPIB Capital, Inc., 144A | ||||||||
0.410%, 08/02/2016(a) | 600 | 599,789 | ||||||
DNB Bank ASA, 144A | ||||||||
1.034%, 04/26/2017(b) | 250 | 250,104 | ||||||
HSBC Bank PLC, 144A | ||||||||
0.823%, 07/26/2016(b) | 300 | 300,079 | ||||||
1.034%, 02/06/2017(b) | 200 | 200,165 | ||||||
| SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
Commercial Paper (continued) |
| |||||||
ING US Funding LLC | ||||||||
0.702%, 09/08/2016(a) | $ | 250 | $ | 249,749 | ||||
0.828%, 11/09/2016(b) | 250 | 250,100 | ||||||
International Finance Corp. | ||||||||
0.410%, 07/13/2016(a) | 325 | 324,967 | ||||||
JPMorgan Securities LLC, 144A | ||||||||
0.817%, 10/14/2016(b) | 350 | 350,204 | ||||||
1.037%, 02/02/2017(b) | 250 | 250,210 | ||||||
KFW, 144A | ||||||||
0.541%, 08/16/2016(a) | 350 | 349,830 | ||||||
0.616%, 10/07/2016(a) | 260 | 259,672 | ||||||
Microsoft Corp., 144A | ||||||||
0.405%, 07/06/2016(a) | 400 | 399,980 | ||||||
0.430%, 08/17/2016(a) | 300 | 299,851 | ||||||
Nestle Capital Corp., 144A | ||||||||
0.551%, 08/25/2016(a) | 450 | 449,707 | ||||||
Ontario Teachers’ Financial Trust, 144A | ||||||||
0.833%, 08/18/2016(a) | 250 | 249,783 | ||||||
0.979%, 03/06/2017(b) | 300 | 297,549 | ||||||
PSP Capital Inc., 144A | ||||||||
0.601%, 08/05/2016(a) | 250 | 249,903 | ||||||
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | ||||||||
0.928%, 02/01/2017(b) | 250 | 250,058 | ||||||
Roche Holdings, Inc., 144A | ||||||||
0.420%, 07/07/2016(a) | 600 | 599,960 | ||||||
Westpac Banking Corp., Sr. Unsec’d. Notes, 144A | ||||||||
0.611%, 10/03/2016(a) | 340 | 339,437 | ||||||
| 10,538,964 | ||||||||
Other Corporate Obligations — 4.8% | ||||||||
Bank of America NA | ||||||||
1.096%, 02/14/2017(b) | 250 | 250,348 | ||||||
1.096%, 11/14/2016(b) | 125 | 125,110 | ||||||
Caisse Centrale Desjardins du Quebec, Sr. Unsec’d, 144A | ||||||||
1.040%, 03/27/2017(b) | 160 | 159,832 | ||||||
Caterpillar Inc. | ||||||||
5.700%, 08/15/2016 | 339 | 340,852 | ||||||
Ontario (Province of) | ||||||||
1.000%, 07/22/2016 | 300 | 300,069 | ||||||
| 1,176,211 | ||||||||
Repurchase Agreement(c) — 9.7% | ||||||||
BNP Paribas SA | ||||||||
0.400%, dated 06/30/2016, due 07/01/2016 in the amount of $2,400,027 | 2,400 | 2,400,000 | ||||||
Time Deposit — 2.9% | ||||||||
US Bank National Association | ||||||||
0.320%, 07/01/2016(a) | 726 | 726,000 | ||||||
U.S. Government Agency Obligations — 25.3% |
| |||||||
Federal Farm Credit Bank | ||||||||
0.442%, 10/13/2016(b) | 400 | 400,040 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
| SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
U.S. Government Agency Obligations (continued) |
| |||||||
Federal Home Loan Bank | ||||||||
0.290%, 07/08/2016(a) | $ | 900 | $ | 899,970 | ||||
0.310%, 08/03/2016(a) | 700 | 699,840 | ||||||
0.393%, 08/18/2016(b) | 500 | 499,997 | ||||||
0.401%, 10/04/2016(a) | 194 | 193,816 | ||||||
0.412%, 08/24/2016(b) | 500 | 500,000 | ||||||
0.432%, 09/01/2016(b) | 500 | 500,006 | ||||||
0.460%, 08/24/2016(a) | 350 | 349,869 | ||||||
0.545%, 08/26/2016(b) | 400 | 400,048 | ||||||
0.549%, 07/11/2016(b) | 500 | 500,018 | ||||||
0.549%, 10/11/2016(b) | 250 | 250,066 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
0.434%, 09/02/2016(b) | 500 | 499,995 | ||||||
0.493%, 04/27/2017(b) | 300 | 299,975 | ||||||
Federal National Mortgage Association | ||||||||
0.525%, 10/21/2016(b) | 250 | 250,046 | ||||||
| 6,243,686 | ||||||||
TOTAL INVESTMENTS — 102.2% |
| 25,206,100 | ||||||
LIABILITIES, LESS OTHER ASSETS — (2.2)% |
| |||||||
Cash |
| 5 | ||||||
Interest Receivable |
| 17,036 | ||||||
Receivable Pending Capital Transactions |
| 19,044 | ||||||
Payable for Securities Purchased |
| (599,080 | ) | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (563,000 | ) | |||||
NET ASSETS — 100.0% |
| $ | 24,643,100 | |||||
NET ASSETS, representing: |
| |||||||
Equity of Participants |
| $ | 24,644,228 | |||||
Equity of The Prudential Insurance Company of America |
| (1,123 | ) | |||||
| $ | 24,643,105 | |||||||
The following abbreviations are used in the semiannual 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 | MediumTerm 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 June 30, 2016. |
| (c) | Repurchase agreements are collaterized by U.S. Treasury Securities (coupon rates 5.000%-6.000%, maturity dates 09/29/2016-07/01/2041), with the aggregate value, including accrued interest, of $2,448,000. Repurchase agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements and the corresponding counterparty, see the Statement of Net Assets. |
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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Certificates of Deposit | $ | — | $ | 4,121,239 | $ | — | ||||||
Commerical Paper | — | 10,538,964 | — | |||||||||
Other Corporate Obligations | — | 1,176,211 | — | |||||||||
Repurchase Agreement | — | 2,400,000 | — | |||||||||
Time Deposit | — | 726,000 | ||||||||||
U.S. Government Agency Obligations | — | 6,243,686 | — | |||||||||
Total | $ | — | $ | 25,206,100 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2016
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2016 was as follows:
Commercial Paper | 42.8 | % | ||
U.S. Government Agency Obligations | 25.3 | |||
Certificates of Deposit | 16.7 | |||
Repurchase Agreement | 9.7 | |||
Other Corporate Obligations | 4.8 |
Time Deposit | 2.9 | % | ||
| 102.2 | ||||
Liabilities in excess of other assets | (2.2 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF OPERATIONS (Unaudited) | ||||||
Six Months Ended June 30, 2016
INVESTMENT INCOME | ||||
Unaffiliated Interest Income | $ | 63,431 | ||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (31,086 | ) | ||
Fees Charged to Participants for Administrative Expenses: | ||||
Standard Contract | (83,360 | ) | ||
0.50% Contract | (1,950 | ) | ||
0.45% Contract | (1,079 | ) | ||
Total Expenses | (117,475 | ) | ||
NET INVESTMENT LOSS | (54,044 | ) | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net Realized Gain on Investment Transactions | 447 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 1,374 | |||
NET GAIN ON INVESTMENT TRANSACTIONS | 1,821 | |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (52,223 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (54,044 | ) | $ | (194,100 | ) | ||
Net Realized Gain on Investment Transactions | 447 | 316 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 1,374 | — | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | (52,223 | ) | (193,784 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 1,128,832 | 1,843,959 | ||||||
Withdrawals and Transfers Out | (1,749,140 | ) | (3,770,747 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (620,308 | ) | (1,926,788 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (1,386 | ) | 18 | |||||
TOTAL DECREASE IN NET ASSETS | (673,917 | ) | (2,120,554 | ) | ||||
NET ASSETS | ||||||||
Beginning of period | 25,317,022 | 27,437,576 | ||||||
End of period | $ | 24,643,105 | $ | 25,317,022 | ||||
Accumulation Unit Values and Equity of Participants as of June 30, 2016
Standard Contract: | ||||
Accumulation Unit Value and Equity of Participants, $22,016,921 / 6,903,913 outstanding Accumulation Units | $ | 3.1890 | ||
0.50% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $1,551,093 / 443,888 outstanding Accumulation Units | $ | 3.4943 | ||
0.45% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $1,076,214 / 307,158 outstanding Accumulation Units | $ | 3.5038 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contarct | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .0081 | $ | .0088 | $ | .0089 | $ | .0066 | $ | .0071 | $ | .0071 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0040 | ) | (.0043 | ) | (.0043 | ) | (.0080 | ) | (.0087 | ) | (.0088 | ) | ||||||||||||
Administrative expenses | (.0119 | ) | (.0043 | ) | (.0035 | ) | (.0239 | ) | (.0087 | ) | (.0069 | ) | ||||||||||||
Net Investment Income (Loss) | (.0078 | ) | .0002 | .0011 | (.0253 | ) | (.0103 | ) | (.0086 | ) | ||||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .0002 | .0002 | .0002 | .0000 | †† | .0000 | †† | .0000 | †† | |||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.0076 | ) | .0004 | .0013 | (.0253 | ) | (.0103 | ) | (.0086 | ) | ||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of period | 3.1966 | 3.4939 | 3.5025 | 3.2219 | 3.5042 | 3.5111 | ||||||||||||||||||
End of period | $ | 3.1890 | $ | 3.4943 | $ | 3.5038 | $ | 3.1966 | $ | 3.4939 | $ | 3.5025 | ||||||||||||
Total Return** | (.24 | %) | .01 | % | .04 | % | (.79 | %) | (.29 | %) | (.24 | %) | ||||||||||||
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*** | (.49 | %)††† | .01 | %††† | .06 | %††† | (.79 | %) | (.29 | %) | (.24 | %) | ||||||||||||
Number of Accumulation Units Outstanding | 6,904 | 444 | 307 | 7,077 | 456 | 314 | ||||||||||||||||||
| * | 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. Total returns for periods less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-11. |
| †† | 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.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | .0052 | $ | .0056 | $ | .0056 | $ | .0060 | $ | .0063 | $ | .0064 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0081 | ) | (.0088 | ) | (.0088 | ) | (.0081 | ) | (.0087 | ) | (.0087 | ) | ||||||||||||
Administrative expenses | (.0242 | ) | (.0088 | ) | (.0070 | ) | (.0244 | ) | (.0087 | ) | (.0071 | ) | ||||||||||||
Net Investment Loss | (.0271 | ) | (.0120 | ) | (.0102 | ) | (.0265 | ) | (.0111 | ) | (.0094 | ) | ||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .0000 | †† | .0000 | †† | .0000 | †† | .0001 | .0001 | .0001 | |||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.0271 | ) | (.0120 | ) | (.0102 | ) | (.0264 | ) | (.0110 | ) | (.0093 | ) | ||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 3.2490 | 3.5162 | 3.5213 | 3.2754 | 3.5272 | 3.5306 | ||||||||||||||||||
End of year | $ | 3.2219 | $ | 3.5042 | $ | 3.5111 | $ | 3.2490 | $ | 3.5162 | $ | 3.5213 | ||||||||||||
Total Return** | (.83 | %) | (.34 | %) | (.29 | %) | (.81 | %) | (.31 | %) | (.26 | %) | ||||||||||||
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*** | (.84 | %) | (.34 | %) | (.29 | %) | (.81 | %) | (.32 | %) | (.27 | %) | ||||||||||||
Number of Accumulation Units Outstanding | 7,653 | 458 | 335 | 8,446 | 502 | 393 | ||||||||||||||||||
| * | 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. |
| †† | 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* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year Ended December 31, 2012 | Year/Period Ended December 31, 2011 | |||||||||||||||||||||||
| Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract† | |||||||||||||||||||
Investment Income | $ | .0081 | $ | .0085 | $ | .0086 | $ | .0070 | $ | .0073 | $ | .0051 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (.0083 | ) | (.0088 | ) | (.0088 | ) | (.0083 | ) | (.0088 | ) | (.0067 | ) | ||||||||||||
Administrative expenses | (.0246 | ) | (.0088 | ) | (.0071 | ) | (.0248 | ) | (.0088 | ) | (.0053 | ) | ||||||||||||
Net Investment Loss | (.0248 | ) | (.0091 | ) | (.0073 | ) | (.0261 | ) | (.0103 | ) | (.0069 | ) | ||||||||||||
Capital Changes | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .0001 | .0001 | .0001 | .0001 | .0001 | .0000 | †† | |||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (.0247 | ) | (.0090 | ) | (.0072 | ) | (.0260 | ) | (.0102 | ) | (.0069 | ) | ||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of period | 3.3001 | 3.5362 | 3.5378 | 3.3261 | 3.5464 | 3.5447 | ||||||||||||||||||
End of period | $ | 3.2754 | $ | 3.5272 | $ | 3.5306 | $ | 3.3001 | $ | 3.5362 | $ | 3.5378 | ||||||||||||
Total Return** | (.75 | %) | (.25 | %) | (.20 | %) | (.78 | %) | (.29 | %) | (.19 | %) | ||||||||||||
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*** | (.75 | %) | (.26 | %) | (.21 | %) | (.79 | %) | (.29 | %) | (.23 | %)††† | ||||||||||||
Number of Accumulation Units Outstanding | 9,435 | 500 | 433 | 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 (Unaudited)
| 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.
Securities Valuation: The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) 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 action is subject to the Board’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 Statement of Net Assets.
Effective March 30, 2016, the Account has amended its valuation policy for fixed income securities as follows. 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.
Through March 29, 2016, the Account valued 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.
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.
Loan Participations: The Account may invest in loan participations. When the Account purchases a loan participation, the Account 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 Account assumes the credit risk of the borrower, the Selling Participant and any other persons positioned between the Account and the borrower. The Account may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
Restricted and Illiquid Securities: 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 (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 PGIM, Inc. The subadvisory agreement provides that PGIM, Inc. will furnish investment advisory services in connection with management of the Account. PI pays for the services of PGIM, Inc. Prior to January 4, 2016, PGIM, Inc. was known as Prudential Investment Management, Inc. (“PIM”).
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 PGIM, Inc. 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 six months ended June 30, 2016 and the year ended December 31, 2015, respectively, are as follows:
Standard Contract | Units | Amount | ||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | 326,568 | $ | 1,042,859 | |||||
Account units redeemed | (499,847 | ) | (1,595,790 | ) | ||||
Net increase (decrease) in units outstanding | (173,279 | ) | $ | (552,931 | ) | |||
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 | ) | |||
0.50% Contract | ||||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | 24,604 | $ | 85,974 | |||||
Account units redeemed | (37,152 | ) | (129,819 | ) | ||||
Net increase (decrease) in units outstanding | (12,548 | ) | $ | (43,845 | ) | |||
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 | ) | |||
0.45% Contract | ||||||||
Six months ended June 30, 2016: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (6,717 | ) | (23,531 | ) | ||||
Net increase (decrease) in units outstanding | (6,717 | ) | $ | (23,531 | ) | |||
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 | ) | |||
| 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 six months ended June 30, 2016, $7,582 in participant loans were withdrawn from VCA-11 and $13,739 of principal and interest was repaid to VCA-11. 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. 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 six months ended June 30, 2016, PICA has advised the Account that it received $209 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 Pronouncement |
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.
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 Fees and Expenses — unaudited | June 30, 2016 |
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 January 1, 2016 through June 30, 2016.
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 January 1, 2016 | Ending Account Value June 30, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
| Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,042.10 | 0.58 | % | $ | 2.94 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.98 | 0.58 | % | $ | 2.92 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,070.50 | 0.46 | % | $ | 2.37 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.58 | 0.46 | % | $ | 2.31 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 949.80 | 0.47 | % | $ | 2.28 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.53 | 0.47 | % | $ | 2.36 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 948.00 | 0.87 | % | $ | 4.21 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.54 | 0.87 | % | $ | 4.37 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,035.10 | 0.63 | % | $ | 3.19 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.73 | 0.63 | % | $ | 3.17 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 993.50 | 0.80 | % | $ | 3.97 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.89 | 0.80 | % | $ | 4.02 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,050.00 | 0.52 | % | $ | 2.65 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.28 | 0.52 | % | $ | 2.61 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,039.10 | 0.32 | % | $ | 1.62 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.27 | 0.32 | % | $ | 1.61 | ||||||||||
* 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 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (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 June 30, 2016 (unaudited) | |||||
| LONG-TERM INVESTMENTS — 90.3% | ||||||||
| COMMON STOCKS — 48.1% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.2% | ||||||||
Boeing Co. (The) | 38,850 | $ | 5,045,450 | |||||
General Dynamics Corp. | 18,300 | 2,548,092 | ||||||
Honeywell International, Inc. | 48,212 | 5,608,020 | ||||||
L-3 Communications Holdings, Inc. | 5,100 | 748,119 | ||||||
Lockheed Martin Corp. | 16,500 | 4,094,805 | ||||||
Northrop Grumman Corp. | 11,362 | 2,525,545 | ||||||
Raytheon Co. | 18,800 | 2,555,860 | ||||||
Rockwell Collins, Inc.(a) | 8,200 | 698,148 | ||||||
Safran SA (France) | 1,224 | 82,427 | ||||||
Textron, Inc. | 17,100 | 625,176 | ||||||
Thales SA (France) | 835 | 69,342 | ||||||
TransDigm Group, Inc.*(a) | 3,100 | 817,439 | ||||||
United Technologies Corp. | 48,800 | 5,004,440 | ||||||
| 30,422,863 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
C.H. Robinson Worldwide, Inc. | 9,200 | 683,100 | ||||||
Deutsche Post AG (Germany) | 3,772 | 106,267 | ||||||
Expeditors International of Washington, Inc. | 12,000 | 588,480 | ||||||
FedEx Corp. | 16,400 | 2,489,192 | ||||||
Royal Mail PLC (United Kingdom) | 3,171 | 21,305 | ||||||
United Parcel Service, Inc. (Class B Stock) | 43,300 | 4,664,276 | ||||||
| 8,552,620 | ||||||||
Airlines — 0.2% | ||||||||
Alaska Air Group, Inc. | 7,200 | 419,688 | ||||||
American Airlines Group, Inc. | 36,900 | 1,044,639 | ||||||
ANA Holdings, Inc. (Japan) | 13,000 | 37,045 | ||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 159,000 | 233,263 | ||||||
Delta Air Lines, Inc. | 48,500 | 1,766,855 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 3,186 | 15,775 | ||||||
Japan Airlines Co. Ltd. (Japan) | 400 | 12,869 | ||||||
Singapore Airlines Ltd. (Singapore) | 3,300 | 26,205 | ||||||
Southwest Airlines Co. | 39,600 | 1,552,716 | ||||||
United Continental Holdings, Inc.* | 21,100 | 865,944 | ||||||
| 5,974,999 | ||||||||
Auto Components — 0.2% | ||||||||
BorgWarner, Inc. | 14,000 | 413,280 | ||||||
Cie Generale des Etablissements Michelin (France) | 4,085 | 384,974 | ||||||
Delphi Automotive PLC (United Kingdom) | 17,700 | 1,108,020 | ||||||
Goodyear Tire & Rubber Co. (The) | 16,300 | 418,258 | ||||||
Johnson Controls, Inc. | 40,600 | 1,796,956 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 7,800 | 359,147 | ||||||
Sumitomo Rubber Industries Ltd. (Japan) | 1,400 | 18,743 | ||||||
Valeo SA (France) | 7,476 | 331,892 | ||||||
| 4,831,270 | ||||||||
Automobiles — 0.3% | ||||||||
Bayerische Motoren Werke AG (Germany) | 1,290 | 93,880 | ||||||
Daimler AG (Germany) | 446 | 26,688 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles (continued) | ||||||||
Ferrari NV (Italy) | 846 | $ | 34,730 | |||||
Fiat Chrysler Automobiles NV (United Kingdom) | 3,504 | 21,569 | ||||||
Ford Motor Co. | 244,185 | 3,069,406 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 2,300 | 79,059 | ||||||
General Motors Co. | 88,000 | 2,490,400 | ||||||
Harley-Davidson, Inc.(a) | 12,000 | 543,600 | ||||||
Mazda Motor Corp. (Japan) | 2,200 | 29,113 | ||||||
Mitsubishi Motors Corp. (Japan) | 6,100 | 28,160 | ||||||
Nissan Motor Co. Ltd. (Japan) | 9,800 | 87,458 | ||||||
Renault SA (France) | 4,649 | 350,990 | ||||||
Suzuki Motor Corp. (Japan) | 1,400 | 37,909 | ||||||
Toyota Motor Corp. (Japan) | 9,000 | 443,687 | ||||||
Volkswagen AG (Germany) | 123 | 16,305 | ||||||
| 7,352,954 | ||||||||
Banks — 2.6% | ||||||||
Aozora Bank Ltd. (Japan) | 11,000 | 38,159 | ||||||
Banco Santander SA (Spain) | 7,244 | 28,112 | ||||||
Bank of America Corp. | 646,721 | 8,581,988 | ||||||
BB&T Corp. | 50,700 | 1,805,427 | ||||||
BNP Paribas SA (France) | 10,881 | 477,194 | ||||||
Citigroup, Inc. | 184,685 | 7,828,797 | ||||||
Citizens Financial Group, Inc. | 31,700 | 633,366 | ||||||
Comerica, Inc. | 11,000 | 452,430 | ||||||
Commonwealth Bank of Australia (Australia) | 2,352 | 132,018 | ||||||
Concordia Financial Group Ltd. (Japan)* | 4,700 | 18,151 | ||||||
Credit Agricole SA (France) | 43,650 | 366,964 | ||||||
Danske Bank A/S (Denmark) | 15,100 | 397,438 | ||||||
DBS Group Holdings Ltd. (Singapore) | 29,400 | 346,653 | ||||||
Erste Group Bank AG (Austria) | 2,698 | 61,428 | ||||||
Fifth Third Bancorp | 47,021 | 827,099 | ||||||
HSBC Holdings PLC (United Kingdom) | 127,438 | 789,553 | ||||||
Huntington Bancshares, Inc. | 47,736 | 426,760 | ||||||
ING Groep NV (Netherlands), CVA | 31,165 | 322,432 | ||||||
Intesa Sanpaolo SpA (Italy) | 49,610 | 94,493 | ||||||
Intesa Sanpaolo SpA, RSP (Italy) | 10,665 | 19,092 | ||||||
JPMorgan Chase & Co. | 230,945 | 14,350,922 | ||||||
KeyCorp. | 49,400 | 545,870 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 17,330 | 12,552 | ||||||
M&T Bank Corp. | 10,400 | 1,229,592 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 2,100 | 9,414 | ||||||
Mizuho Financial Group, Inc. (Japan) | 93,700 | 134,840 | ||||||
National Australia Bank Ltd. (Australia) | 10,202 | 195,873 | ||||||
People’s United Financial, Inc.(a) | 19,100 | 280,006 | ||||||
PNC Financial Services Group, Inc. (The) | 31,433 | 2,558,332 | ||||||
Regions Financial Corp. | 78,203 | 665,508 | ||||||
Societe Generale SA (France) | 11,871 | 371,397 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 16,700 | $ | 482,213 | |||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 32,000 | 104,122 | ||||||
SunTrust Banks, Inc. | 31,800 | 1,306,344 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 5,816 | 70,609 | ||||||
U.S. Bancorp | 102,285 | 4,125,154 | ||||||
Wells Fargo & Co. | 291,264 | 13,785,525 | ||||||
Westpac Banking Corp. (Australia) | 2,175 | 48,232 | ||||||
Zions Bancorporation | 12,850 | 322,921 | ||||||
| 64,246,980 | ||||||||
Beverages — 1.1% | ||||||||
Anheuser-Busch InBev SA/NV (Belgium) | 1,269 | 167,809 | ||||||
Asahi Group Holdings Ltd. (Japan) | 1,500 | 48,502 | ||||||
Brown-Forman Corp. (Class B Stock) | 6,250 | 623,500 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 18,153 | 112,059 | ||||||
Coca-Cola Co. (The) | 244,101 | 11,065,098 | ||||||
Coca-Cola European Partners PLC (United Kingdom)* | 850 | 30,459 | ||||||
Coca-Cola HBC AG (Switzerland)* | 1,609 | 32,557 | ||||||
Constellation Brands, Inc. (Class A Stock) | 11,100 | 1,835,940 | ||||||
Diageo PLC (United Kingdom) | 9,798 | 273,715 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 1,159,560 | ||||||
Heineken NV (Netherlands) | 2,521 | 231,232 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 11,700 | 1,183,221 | ||||||
Monster Beverage Corp.* | 9,300 | 1,494,603 | ||||||
PepsiCo, Inc. | 91,207 | 9,662,470 | ||||||
| 27,920,725 | ||||||||
Biotechnology — 1.4% | ||||||||
AbbVie, Inc. | 100,900 | 6,246,719 | ||||||
Actelion Ltd. (Switzerland) | 997 | 167,893 | ||||||
Alexion Pharmaceuticals, Inc.* | 14,100 | 1,646,316 | ||||||
Amgen, Inc. | 47,687 | 7,255,577 | ||||||
Biogen, Inc.* | 13,860 | 3,351,625 | ||||||
Celgene Corp.* | 49,000 | 4,832,870 | ||||||
CSL Ltd. (Australia) | 1,796 | 151,462 | ||||||
Gilead Sciences, Inc. | 85,600 | 7,140,752 | ||||||
Regeneron Pharmaceuticals, Inc.* | 5,040 | 1,760,119 | ||||||
Shire PLC | 4,852 | 299,867 | ||||||
Vertex Pharmaceuticals, Inc.* | 15,900 | 1,367,718 | ||||||
| 34,220,918 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 6,433 | 446,643 | ||||||
Asahi Glass Co. Ltd. (Japan) | 4,000 | 21,708 | ||||||
Assa Abloy AB (Sweden) (Class B Stock) | 3,895 | 80,131 | ||||||
Cie de Saint-Gobain (France) | 8,150 | 308,932 | ||||||
Fortune Brands Home & Security, Inc. | 7,700 | 446,369 | ||||||
Masco Corp. | 21,400 | 662,116 | ||||||
| 1,965,899 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets — 0.9% | ||||||||
3i Group PLC (United Kingdom) | 48,366 | $ | 354,868 | |||||
Affiliated Managers Group, Inc.* | 3,500 | 492,695 | ||||||
Ameriprise Financial, Inc. | 10,820 | 972,177 | ||||||
Bank of New York Mellon Corp. (The) | 67,358 | 2,616,858 | ||||||
BlackRock, Inc. | 8,000 | 2,740,240 | ||||||
Charles Schwab Corp. (The) | 75,650 | 1,914,702 | ||||||
E*TRADE Financial Corp.* | 15,420 | 362,216 | ||||||
Franklin Resources, Inc. | 22,900 | 764,173 | ||||||
Goldman Sachs Group, Inc. (The) | 24,600 | 3,655,068 | ||||||
Invesco Ltd. | 25,400 | 648,716 | ||||||
Legg Mason, Inc. | 7,000 | 206,430 | ||||||
Macquarie Group Ltd. (Australia) | 7,794 | 405,713 | ||||||
Mediobanca SpA (Italy) | 1,571 | 9,052 | ||||||
Morgan Stanley | 95,680 | 2,485,766 | ||||||
Northern Trust Corp. | 13,600 | 901,136 | ||||||
Partners Group Holding AG (Switzerland) | 66 | 28,285 | ||||||
SBI Holdings, Inc. (Japan) | 24,100 | 239,991 | ||||||
State Street Corp. | 25,400 | 1,369,568 | ||||||
T. Rowe Price Group, Inc. | 15,900 | 1,160,223 | ||||||
| 21,327,877 | ||||||||
Chemicals — 1.0% | ||||||||
Air Products & Chemicals, Inc. | 12,200 | 1,732,888 | ||||||
Asahi Kasei Corp. (Japan) | 4,000 | 27,836 | ||||||
BASF SE (Germany) | 1,558 | 119,466 | ||||||
CF Industries Holdings, Inc. | 13,400 | 322,940 | ||||||
Chr. Hansen Holding A/S (Denmark) | 947 | 62,194 | ||||||
Croda International PLC (United Kingdom) | 513 | 21,535 | ||||||
Daicel Corp. (Japan) | 20,800 | 215,531 | ||||||
Dow Chemical Co. (The) | 70,031 | 3,481,241 | ||||||
E.I. du Pont de Nemours & Co. | 54,620 | 3,539,376 | ||||||
Eastman Chemical Co. | 9,300 | 631,470 | ||||||
Ecolab, Inc. | 16,700 | 1,980,620 | ||||||
FMC Corp. | 8,200 | 379,742 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 400 | 7,471 | ||||||
International Flavors & Fragrances, Inc.(a) | 5,000 | 630,350 | ||||||
JSR Corp. (Japan) | 1,700 | 22,513 | ||||||
K+S AG (Germany) | 1,502 | 30,749 | ||||||
Kuraray Co. Ltd. (Japan) | 1,300 | 15,511 | ||||||
LyondellBasell Industries NV (Class A Stock) | 21,700 | 1,614,914 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 5,300 | 24,295 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 3,000 | 15,651 | ||||||
Mitsui Chemicals, Inc. (Japan) | 8,000 | 29,398 | ||||||
Monsanto Co. | 27,594 | 2,853,496 | ||||||
Mosaic Co. (The) | 21,900 | 573,342 | ||||||
PPG Industries, Inc. | 16,700 | 1,739,305 | ||||||
Praxair, Inc. | 17,900 | 2,011,781 | ||||||
Sherwin-Williams Co. (The) | 5,000 | 1,468,350 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,500 | 87,883 | ||||||
Sika AG (Switzerland) | 17 | 71,282 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
Solvay SA (Belgium) | 358 | $ | 33,440 | |||||
Sumitomo Chemical Co. Ltd. (Japan) | 6,000 | 24,756 | ||||||
Teijin Ltd. (Japan) | 3,000 | 9,941 | ||||||
Toray Industries, Inc. (Japan) | 4,000 | 34,132 | ||||||
Yara International ASA (Norway) | 7,563 | 240,252 | ||||||
| 24,053,651 | ||||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Brambles Ltd. (Australia) | 6,171 | 57,615 | ||||||
Cintas Corp. | 5,400 | 529,902 | ||||||
ISS A/S (Denmark) | 6,141 | 230,965 | ||||||
Pitney Bowes, Inc. | 9,400 | 167,320 | ||||||
Republic Services, Inc. | 15,465 | 793,509 | ||||||
Stericycle, Inc.* | 5,600 | 583,072 | ||||||
Tyco International PLC | 26,800 | 1,141,680 | ||||||
Waste Management, Inc. | 26,242 | 1,739,057 | ||||||
| 5,243,120 | ||||||||
Communications Equipment — 0.5% | ||||||||
Cisco Systems, Inc. | 315,200 | 9,043,088 | ||||||
F5 Networks, Inc.* | 4,500 | 512,280 | ||||||
Harris Corp. | 8,000 | 667,520 | ||||||
Juniper Networks, Inc. | 20,300 | 456,547 | ||||||
Motorola Solutions, Inc. | 10,289 | 678,765 | ||||||
| 11,358,200 | ||||||||
Construction & Engineering — 0.1% | ||||||||
Fluor Corp. | 8,800 | 433,664 | ||||||
Jacobs Engineering Group, Inc.* | 7,700 | 383,537 | ||||||
Kajima Corp. (Japan) | 27,000 | 187,562 | ||||||
Obayashi Corp. (Japan) | 37,200 | 396,065 | ||||||
Quanta Services, Inc.* | 8,000 | 184,960 | ||||||
Shimizu Corp. (Japan) | 2,000 | 18,738 | ||||||
Skanska AB (Sweden) (Class B Stock) | 6,496 | 136,019 | ||||||
Taisei Corp. (Japan) | 4,000 | 32,867 | ||||||
Vinci SA (France) | 1,947 | 137,394 | ||||||
| 1,910,806 | ||||||||
Construction Materials — 0.1% | ||||||||
Fletcher Building Ltd. (New Zealand) | 5,520 | 33,954 | ||||||
HeidelbergCement AG (Germany) | 1,131 | 85,201 | ||||||
Martin Marietta Materials, Inc. | 4,000 | 768,000 | ||||||
Vulcan Materials Co. | 8,300 | 998,988 | ||||||
| 1,886,143 | ||||||||
Consumer Finance — 0.3% | ||||||||
American Express Co. | 51,300 | 3,116,988 | ||||||
Capital One Financial Corp. | 32,961 | 2,093,353 | ||||||
Discover Financial Services | 26,440 | 1,416,920 | ||||||
Navient Corp. | 18,300 | 218,685 | ||||||
Synchrony Financial* | 52,172 | 1,318,908 | ||||||
| 8,164,854 | ||||||||
Containers & Packaging — 0.2% | ||||||||
Amcor Ltd. (Australia) | 23,137 | 260,143 | ||||||
Avery Dennison Corp. | 6,100 | 455,975 | ||||||
Ball Corp.(a) | 9,300 | 672,297 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Containers & Packaging (continued) | ||||||||
International Paper Co. | 26,273 | $ | 1,113,450 | |||||
Owens-Illinois, Inc.* | 9,400 | 169,294 | ||||||
Rexam PLC (United Kingdom) | 2,751 | 23,994 | ||||||
Sealed Air Corp. | 12,000 | 551,640 | ||||||
WestRock Co. | 15,544 | 604,195 | ||||||
| 3,850,988 | ||||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 9,600 | 972,000 | ||||||
LKQ Corp.* | 18,300 | 580,110 | ||||||
| 1,552,110 | ||||||||
Diversified Consumer Services | ||||||||
H&R Block, Inc.(a) | 14,900 | 342,700 | ||||||
Diversified Financial Services — 1.0% | ||||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 118,000 | 17,085,220 | ||||||
CME Group, Inc. | 21,600 | 2,103,840 | ||||||
Eurazeo SA (France) | 331 | 19,637 | ||||||
Intercontinental Exchange, Inc. | 7,471 | 1,912,277 | ||||||
Japan Exchange Group, Inc. (Japan) | 2,100 | 24,178 | ||||||
Leucadia National Corp. | 18,600 | 322,338 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 58,600 | 225,175 | ||||||
Moody’s Corp. | 10,900 | 1,021,439 | ||||||
Nasdaq, Inc. | 7,000 | 452,690 | ||||||
ORIX Corp. (Japan) | 5,200 | 67,291 | ||||||
S&P Global, Inc. | 17,000 | 1,823,420 | ||||||
| 25,057,505 | ||||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
AT&T, Inc. | 387,038 | 16,723,912 | ||||||
CenturyLink, Inc. | 33,336 | 967,077 | ||||||
Deutsche Telekom AG (Germany)(a) | 14,470 | 246,747 | ||||||
Elisa OYJ (Finland) | 555 | 21,325 | ||||||
Frontier Communications Corp. | 66,190 | 326,979 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) | 21,000 | 30,263 | ||||||
Koninklijke KPN NV (Netherlands) | 13,318 | 47,471 | ||||||
Level 3 Communications, Inc.* | 17,800 | 916,522 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 10,700 | 501,776 | ||||||
Orange SA (France) | 7,739 | 125,841 | ||||||
Spark New Zealand Ltd. (New Zealand) | 21,304 | 54,147 | ||||||
Telecom Italia SpA (Italy)* | 53,302 | 43,778 | ||||||
Telecom Italia SpA, RSP (Italy) | 23,599 | 15,183 | ||||||
Telefonica SA (Spain) | 17,344 | 164,661 | ||||||
TPG Telecom Ltd. (Australia) | 2,362 | 21,180 | ||||||
Verizon Communications, Inc. | 256,176 | 14,304,868 | ||||||
| 34,511,730 | ||||||||
Electric Utilities — 1.1% | ||||||||
American Electric Power Co., Inc. | 30,760 | 2,155,968 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 2,000 | 17,244 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 2,400 | 34,154 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) | ||||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 2,200 | $ | 27,969 | |||||
CLP Holdings Ltd. (Hong Kong) | 6,000 | 61,291 | ||||||
Duke Energy Corp. | 43,161 | 3,702,782 | ||||||
Edison International | 20,400 | 1,584,468 | ||||||
EDP-Energias de Portugal SA (Portugal) | 17,828 | 54,582 | ||||||
Electricite de France SA (France) | 1,013 | 12,283 | ||||||
Endesa SA (Spain) | 1,230 | 24,681 | ||||||
Enel SpA (Italy) | 78,956 | 350,523 | ||||||
Entergy Corp. | 11,400 | 927,390 | ||||||
Eversource Energy | 19,600 | 1,174,040 | ||||||
Exelon Corp. | 57,613 | 2,094,809 | ||||||
FirstEnergy Corp. | 27,406 | 956,743 | ||||||
Fortum OYJ (Finland) | 1,698 | 27,281 | ||||||
Hokuriku Electric Power Co. (Japan) | 2,200 | 27,261 | ||||||
Iberdrola SA (Spain) | 21,207 | 144,666 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 2,700 | 26,296 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 1,600 | 16,047 | ||||||
NextEra Energy, Inc. | 28,900 | 3,768,560 | ||||||
PG&E Corp. | 30,900 | 1,975,128 | ||||||
Pinnacle West Capital Corp. | 7,400 | 599,844 | ||||||
PPL Corp. | 43,500 | 1,642,125 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 2,300 | 27,244 | ||||||
Southern Co. (The) | 57,700 | 3,094,451 | ||||||
SSE PLC (United Kingdom) | 3,926 | 81,713 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,700 | 21,455 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (Japan)* | 5,600 | 23,716 | ||||||
Xcel Energy, Inc. | 31,510 | 1,411,018 | ||||||
| 26,065,732 | ||||||||
Electrical Equipment — 0.3% | ||||||||
ABB Ltd. (Switzerland) | 24,283 | 480,612 | ||||||
Acuity Brands, Inc. | 2,700 | 669,492 | ||||||
AMETEK, Inc. | 14,900 | 688,827 | ||||||
Eaton Corp. PLC | 29,137 | 1,740,353 | ||||||
Emerson Electric Co. | 40,100 | 2,091,616 | ||||||
OSRAM Licht AG (Germany) | 694 | 36,058 | ||||||
Rockwell Automation, Inc. | 8,500 | 975,970 | ||||||
Schneider Electric SE (France) | 1,132 | 66,042 | ||||||
Vestas Wind Systems A/S (Denmark) | 871 | 59,201 | ||||||
| 6,808,171 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Amphenol Corp. (Class A Stock) | 19,500 | 1,117,935 | ||||||
Corning, Inc. | 68,600 | 1,404,928 | ||||||
FLIR Systems, Inc. | 8,800 | 272,360 | ||||||
Hexagon AB (Sweden) (Class B Stock) | 2,079 | 76,083 | ||||||
Hitachi High-Technologies Corp. (Japan) | 200 | 5,473 | ||||||
Ingenico Group SA (France) | 215 | 24,920 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
TDK Corp. (Japan) | 6,800 | $ | 380,639 | |||||
TE Connectivity Ltd. (Switzerland) | 23,600 | 1,347,796 | ||||||
| 4,630,134 | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
Baker Hughes, Inc. | 27,398 | 1,236,472 | ||||||
Diamond Offshore Drilling, Inc. | 2,700 | 65,691 | ||||||
FMC Technologies, Inc.* | 14,300 | 381,381 | ||||||
Halliburton Co. | 53,800 | 2,436,602 | ||||||
Helmerich & Payne, Inc. | 6,700 | 449,771 | ||||||
National Oilwell Varco, Inc. | 22,700 | 763,855 | ||||||
Schlumberger Ltd. | 87,124 | 6,889,766 | ||||||
Transocean Ltd. | 18,500 | 219,965 | ||||||
| 12,443,503 | ||||||||
Food & Staples Retailing — 1.1% | ||||||||
Costco Wholesale Corp. | 27,600 | 4,334,304 | ||||||
CVS Health Corp. | 68,848 | 6,591,507 | ||||||
ICA Gruppen AB (Sweden) | 10,142 | 339,911 | ||||||
J. Sainsbury PLC (United Kingdom) | 104,875 | 326,707 | ||||||
Koninklijke Ahold NV (Netherlands) | 3,261 | 72,012 | ||||||
Kroger Co. (The) | 60,292 | 2,218,143 | ||||||
METRO AG (Germany) | 11,120 | 342,009 | ||||||
Sysco Corp. | 32,800 | 1,664,272 | ||||||
Wal-Mart Stores, Inc. | 98,000 | 7,155,960 | ||||||
Walgreens Boots Alliance, Inc. | 54,700 | 4,554,869 | ||||||
Whole Foods Market, Inc. | 20,700 | 662,814 | ||||||
| 28,262,508 | ||||||||
Food Products — 0.9% | ||||||||
Archer-Daniels-Midland Co. | 37,926 | 1,626,646 | ||||||
Campbell Soup Co. | 11,100 | 738,483 | ||||||
ConAgra Foods, Inc. | 28,000 | 1,338,680 | ||||||
General Mills, Inc. | 37,000 | 2,638,840 | ||||||
Hershey Co. (The) | 9,200 | 1,044,108 | ||||||
Hormel Foods Corp. | 16,800 | 614,880 | ||||||
J.M. Smucker Co. (The) | 7,500 | 1,143,075 | ||||||
Kellogg Co. | 15,800 | 1,290,070 | ||||||
Kraft Heinz Co. (The) | 37,317 | 3,301,808 | ||||||
McCormick & Co., Inc. | 7,500 | 800,025 | ||||||
Mead Johnson Nutrition Co. | 11,967 | 1,086,005 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 400 | 41,102 | ||||||
Mondelez International, Inc. (Class A Stock) | 98,253 | 4,471,494 | ||||||
Nestle SA (Switzerland) | 12,334 | 955,618 | ||||||
Orkla ASA (Norway) | 11,342 | 100,871 | ||||||
Tyson Foods, Inc. (Class A Stock) | 18,700 | 1,248,973 | ||||||
WH Group Ltd. (Hong Kong), 144A | 484,500 | 383,722 | ||||||
Wilmar International Ltd. (Singapore) | 109,700 | 267,043 | ||||||
| 23,091,443 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 7,739 | 510,542 | ||||||
Gas Natural SDG SA (Spain) | 1,347 | 26,775 | ||||||
Tokyo Gas Co. Ltd. (Japan) | 7,000 | 28,901 | ||||||
| 566,218 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
Abbott Laboratories | 92,300 | $ | 3,628,313 | |||||
Baxter International, Inc. | 34,200 | 1,546,524 | ||||||
Becton, Dickinson & Co. | 13,678 | 2,319,652 | ||||||
Boston Scientific Corp.* | 86,567 | 2,023,071 | ||||||
C.R. Bard, Inc. | 4,600 | 1,081,736 | ||||||
DENTSPLY SIRONA, Inc. | 15,300 | 949,212 | ||||||
Edwards Lifesciences Corp.* | 13,700 | 1,366,301 | ||||||
Hologic, Inc.* | 16,300 | 563,980 | ||||||
Intuitive Surgical, Inc.* | 2,390 | 1,580,770 | ||||||
Medtronic PLC | 88,090 | 7,643,569 | ||||||
St. Jude Medical, Inc. | 17,800 | 1,388,400 | ||||||
Stryker Corp. | 20,000 | 2,396,600 | ||||||
Varian Medical Systems, Inc.* | 6,200 | 509,826 | ||||||
Zimmer Biomet Holdings, Inc. | 11,800 | 1,420,484 | ||||||
| 28,418,438 | ||||||||
Health Care Providers & Services — 1.3% |
| |||||||
Aetna, Inc. | 21,969 | 2,683,074 | ||||||
Alfresa Holdings Corp. (Japan) | 17,200 | 359,344 | ||||||
AmerisourceBergen Corp. | 12,500 | 991,500 | ||||||
Anthem, Inc. | 16,400 | 2,153,976 | ||||||
Cardinal Health, Inc. | 20,650 | 1,610,907 | ||||||
Centene Corp.* | 11,000 | 785,070 | ||||||
Cigna Corp. | 16,100 | 2,060,639 | ||||||
DaVita HealthCare Partners, Inc.* | 10,700 | 827,324 | ||||||
Express Scripts Holding Co.* | 39,649 | 3,005,394 | ||||||
Fresenius SE & Co. KGaA (Germany) | 1,563 | 114,846 | ||||||
HCA Holdings, Inc.* | 19,500 | 1,501,695 | ||||||
Henry Schein, Inc.* | 5,300 | 937,040 | ||||||
Humana, Inc. | 9,300 | 1,672,884 | ||||||
Laboratory Corp. of America Holdings* | 6,700 | 872,809 | ||||||
McKesson Corp. | 14,330 | 2,674,694 | ||||||
Medipal Holdings Corp. (Japan) | 14,500 | 238,392 | ||||||
Patterson Cos., Inc. | 5,400 | 258,606 | ||||||
Quest Diagnostics, Inc. | 9,300 | 757,113 | ||||||
Ramsay Health Care Ltd. (Australia) | 540 | 29,185 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 4,388 | 29,288 | ||||||
Sonic Healthcare Ltd. (Australia) | 1,516 | 24,585 | ||||||
Suzuken Co. Ltd. (Japan) | 210 | 6,610 | ||||||
UnitedHealth Group, Inc. | 60,000 | 8,472,000 | ||||||
Universal Health Services, Inc. (Class B Stock) | 5,700 | 764,370 | ||||||
| 32,831,345 | ||||||||
Health Care Technology | ||||||||
Cerner Corp.* | 19,500 | 1,142,700 | ||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
Aristocrat Leisure Ltd. (Australia) | 4,371 | 45,472 | ||||||
Carnival Corp. | 28,800 | 1,272,960 | ||||||
Chipotle Mexican Grill, Inc.* | 1,950 | 785,382 | ||||||
Compass Group PLC (United Kingdom) | 12,874 | 244,934 | ||||||
Darden Restaurants, Inc. | 7,650 | 484,551 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 11,928 | 792,735 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
McDonald’s Corp. | 56,500 | $ | 6,799,210 | |||||
Oriental Land Co. Ltd. (Japan) | 800 | 51,799 | ||||||
Paddy Power Betfair PLC (Ireland) | 887 | 93,221 | ||||||
Royal Caribbean Cruises Ltd.(a) | 10,800 | 725,220 | ||||||
Starbucks Corp. | 92,600 | 5,289,312 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 10,800 | 798,660 | ||||||
TUI AG (Germany) | 1,957 | 22,274 | ||||||
Wyndham Worldwide Corp. | 7,520 | 535,650 | ||||||
Wynn Resorts Ltd. | 5,300 | 480,392 | ||||||
Yum! Brands, Inc. | 25,600 | 2,122,752 | ||||||
| 20,544,524 | ||||||||
Household Durables — 0.3% | ||||||||
Barratt Developments PLC (United Kingdom) | 3,993 | 21,698 | ||||||
Berkeley Group Holdings PLC (United Kingdom) | 993 | 33,531 | ||||||
D.R. Horton, Inc. | 20,200 | 635,896 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 5,844 | 159,336 | ||||||
Garmin Ltd. | 7,000 | 296,940 | ||||||
Harman International Industries, Inc. | 4,700 | 337,554 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 12,000 | 245,749 | ||||||
Leggett & Platt, Inc. | 8,400 | 429,324 | ||||||
Lennar Corp. (Class A Stock) | 11,700 | 539,370 | ||||||
Mohawk Industries, Inc.* | 4,200 | 796,992 | ||||||
Newell Brands, Inc. | 28,214 | 1,370,354 | ||||||
Nikon Corp. (Japan) | 1,300 | 17,602 | ||||||
Persimmon PLC (United Kingdom) | 4,202 | 81,484 | ||||||
PulteGroup, Inc. | 18,222 | 355,147 | ||||||
Sekisui House Ltd. (Japan) | 2,300 | 40,278 | ||||||
Taylor Wimpey PLC (United Kingdom) | 128,488 | 227,950 | ||||||
Whirlpool Corp. | 4,926 | 820,868 | ||||||
| 6,410,073 | ||||||||
Household Products — 1.0% | ||||||||
Church & Dwight Co., Inc. | 8,200 | 843,698 | ||||||
Clorox Co. (The) | 8,100 | 1,120,959 | ||||||
Colgate-Palmolive Co. | 55,900 | 4,091,880 | ||||||
Henkel AG & Co. KGaA (Germany) | 406 | 43,917 | ||||||
Kimberly-Clark Corp. | 22,600 | 3,107,048 | ||||||
Procter & Gamble Co. (The) | 167,825 | 14,209,743 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 4,674 | 468,672 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 2,352 | 75,571 | ||||||
| 23,961,488 | ||||||||
Independent Power & Renewable Electricity Producers |
| |||||||
AES Corp. | 39,500 | 492,960 | ||||||
Electric Power Development Co. Ltd. (Japan) | 500 | 11,649 | ||||||
NRG Energy, Inc. | 18,200 | 272,818 | ||||||
| 777,427 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Industrial Conglomerates — 1.2% | ||||||||
3M Co. | 37,900 | $ | 6,637,048 | |||||
CK Hutchison Holdings Ltd. (Hong Kong) | 3,916 | 43,078 | ||||||
Danaher Corp. | 37,500 | 3,787,500 | ||||||
DCC PLC (United Kingdom) | 2,946 | 259,248 | ||||||
General Electric Co. | 582,430 | 18,334,896 | ||||||
Roper Technologies, Inc. | 6,300 | 1,074,528 | ||||||
Siemens AG (Germany) | 2,966 | 304,376 | ||||||
| 30,440,674 | ||||||||
Insurance — 1.3% | ||||||||
Aflac, Inc. | 26,700 | 1,926,672 | ||||||
AIA Group Ltd. (Hong Kong) | 5,200 | 31,271 | ||||||
Allianz SE (Germany) | 3,981 | 567,922 | ||||||
Allstate Corp. (The) | 24,200 | 1,692,790 | ||||||
American International Group, Inc. | 72,039 | 3,810,143 | ||||||
Aon PLC | 17,300 | 1,889,679 | ||||||
Arthur J. Gallagher & Co. | 10,100 | 480,760 | ||||||
Assurant, Inc. | 4,300 | 371,133 | ||||||
AXA SA (France) | 7,540 | 149,086 | ||||||
Chubb Ltd. | 28,886 | 3,775,689 | ||||||
Cincinnati Financial Corp. | 9,237 | 691,759 | ||||||
Hannover Rueck SE (Germany) | 3,415 | 357,817 | ||||||
Hartford Financial Services Group, Inc. (The) | 25,300 | 1,122,814 | ||||||
Legal & General Group PLC (United Kingdom) | 46,279 | 118,479 | ||||||
Lincoln National Corp. | 14,918 | 578,371 | ||||||
Loews Corp. | 17,075 | 701,612 | ||||||
Marsh & McLennan Cos., Inc. | 32,700 | 2,238,642 | ||||||
Medibank Pvt. Ltd. (Australia) | 10,750 | 23,839 | ||||||
MetLife, Inc. | 68,700 | 2,736,321 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 2,100 | 54,411 | ||||||
NN Group NV (Netherlands) | 11,708 | 322,304 | ||||||
Principal Financial Group, Inc. | 17,000 | 698,870 | ||||||
Progressive Corp. (The) | 36,300 | 1,216,050 | ||||||
SCOR SE (France) | 625 | 18,478 | ||||||
Swiss Life Holding AG (Switzerland) | 123 | 28,425 | ||||||
Swiss Re AG (Switzerland) | 5,227 | 456,528 | ||||||
Torchmark Corp. | 6,925 | 428,104 | ||||||
Travelers Cos., Inc. (The) | 18,835 | 2,242,118 | ||||||
Unum Group | 15,310 | 486,705 | ||||||
Willis Towers Watson PLC(a) | 8,700 | 1,081,497 | ||||||
XL Group PLC (Ireland) | 18,000 | 599,580 | ||||||
| 30,897,869 | ||||||||
Internet & Catalog Retail — 1.0% | ||||||||
Amazon.com, Inc.* | 24,340 | 17,418,191 | ||||||
Expedia, Inc. | 7,650 | 813,195 | ||||||
Netflix, Inc.* | 26,850 | 2,456,238 | ||||||
Priceline Group, Inc. (The)* | 3,180 | 3,969,944 | ||||||
TripAdvisor, Inc.* | 7,350 | 472,605 | ||||||
| 25,130,173 | ||||||||
Internet Software & Services — 1.9% | ||||||||
Akamai Technologies, Inc.* | 11,000 | 615,230 | ||||||
Alphabet, Inc. (Class A Stock)* | 18,500 | 13,015,305 | ||||||
Alphabet, Inc. (Class C Stock)* | 18,703 | 12,944,347 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services (continued) |
| |||||||
eBay, Inc.* | 69,200 | $ | 1,619,972 | |||||
Facebook, Inc. (Class A Stock)* | 145,300 | 16,604,884 | ||||||
Mixi, Inc. (Japan) | 2,100 | 86,825 | ||||||
VeriSign, Inc.* | 6,400 | 553,344 | ||||||
Yahoo!, Inc.* | 54,600 | 2,050,776 | ||||||
| 47,490,683 | ||||||||
IT Services — 1.7% | ||||||||
Accenture PLC (Class A Stock) | 39,400 | 4,463,626 | ||||||
Alliance Data Systems Corp.* | 3,840 | 752,333 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 4,113 | 181,214 | ||||||
Atos SE (France) | 4,311 | 355,439 | ||||||
Automatic Data Processing, Inc. | 28,600 | 2,627,482 | ||||||
Capgemini SA (France) | 1,914 | 165,165 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 38,200 | 2,186,568 | ||||||
Computershare Ltd. (Australia) | 1,831 | 12,661 | ||||||
CSRA, Inc. | 8,700 | 203,841 | ||||||
Fidelity National Information Services, Inc. | 17,700 | 1,304,136 | ||||||
Fiserv, Inc.* | 14,300 | 1,554,839 | ||||||
Global Payments, Inc. | 9,500 | 678,110 | ||||||
International Business Machines Corp. | 55,400 | 8,408,612 | ||||||
MasterCard, Inc. (Class A Stock) | 61,500 | 5,415,690 | ||||||
Paychex, Inc. | 20,300 | 1,207,850 | ||||||
PayPal Holdings, Inc.* | 69,700 | 2,544,747 | ||||||
Teradata Corp.* | 8,400 | 210,588 | ||||||
Total System Services, Inc. | 11,096 | 589,309 | ||||||
Visa, Inc. (Class A Stock)(a) | 120,200 | 8,915,234 | ||||||
Western Union Co. (The) | 30,410 | 583,264 | ||||||
Xerox Corp. | 58,163 | 551,967 | ||||||
| 42,912,675 | ||||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 800 | 20,645 | ||||||
Hasbro, Inc. | 7,000 | 587,930 | ||||||
Mattel, Inc. | 21,351 | 668,073 | ||||||
Sankyo Co. Ltd. (Japan) | 6,400 | 239,955 | ||||||
Yamaha Corp. (Japan) | 600 | 16,172 | ||||||
| 1,532,775 | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Agilent Technologies, Inc. | 20,714 | 918,873 | ||||||
Illumina, Inc.* | 9,500 | 1,333,610 | ||||||
PerkinElmer, Inc. | 6,600 | 345,972 | ||||||
QIAGEN NV* | 1,746 | 38,049 | ||||||
Thermo Fisher Scientific, Inc. | 24,900 | 3,679,224 | ||||||
Waters Corp.* | 5,200 | 731,380 | ||||||
| 7,047,108 | ||||||||
Machinery — 0.6% | ||||||||
Amada Holdings Co. Ltd. (Japan) | 2,600 | 26,396 | ||||||
ANDRITZ AG (Austria) | 3,093 | 146,662 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 1,000 | 25,972 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) | ||||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,000 | $ | 23,702 | |||||
Caterpillar, Inc.(a) | 36,400 | 2,759,484 | ||||||
Cummins, Inc. | 10,400 | 1,169,376 | ||||||
Deere & Co.(a) | 19,200 | 1,555,968 | ||||||
Dover Corp. | 10,100 | 700,132 | ||||||
Flowserve Corp. | 8,300 | 374,911 | ||||||
GEA Group AG (Germany) | 711 | 33,560 | ||||||
Hoshizaki Corp (Japan) | 100 | 9,790 | ||||||
Illinois Tool Works, Inc. | 20,500 | 2,135,280 | ||||||
Ingersoll-Rand PLC | 16,400 | 1,044,352 | ||||||
Kone OYJ (Finland) (Class B Stock) | 2,610 | 120,453 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 12,000 | 48,255 | ||||||
PACCAR, Inc. | 22,043 | 1,143,370 | ||||||
Parker-Hannifin Corp. | 8,765 | 947,058 | ||||||
Pentair PLC (United Kingdom) | 11,577 | 674,823 | ||||||
Schindler Holding AG (Switzerland) | 77 | 14,013 | ||||||
Schindler Holding AG (Switzerland) (Part. Cert.) | 169 | 30,597 | ||||||
Snap-on, Inc. | 3,600 | 568,152 | ||||||
Stanley Black & Decker, Inc. | 9,697 | 1,078,500 | ||||||
Volvo AB (Sweden) (Class B Stock) | 12,317 | 122,361 | ||||||
Xylem, Inc.(a) | 11,600 | 517,940 | ||||||
| 15,271,107 | ||||||||
Marine | ||||||||
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock) | 30 | 37,811 | ||||||
Media — 1.3% | ||||||||
CBS Corp. (Class B Stock) | 26,934 | 1,466,287 | ||||||
Comcast Corp. (Class A Stock) | 152,390 | 9,934,304 | ||||||
Discovery Communications, Inc. (Class A Stock)* | 8,500 | 214,455 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 15,200 | 362,520 | ||||||
Hakuhodo DY Holdings, Inc. (Japan) | 11,100 | 133,042 | ||||||
Interpublic Group of Cos., Inc. (The) | 25,331 | 585,146 | ||||||
News Corp. (Class A Stock) | 21,475 | 243,741 | ||||||
News Corp. (Class B Stock)(a) | 4,800 | 56,016 | ||||||
Omnicom Group, Inc. | 15,300 | 1,246,797 | ||||||
Publicis Groupe SA (France) | 34 | 2,275 | ||||||
RTL Group SA (Luxembourg) | 287 | 23,439 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock) | 6,100 | 379,847 | ||||||
TEGNA, Inc. | 13,800 | 319,746 | ||||||
Time Warner, Inc. | 49,566 | 3,645,084 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 69,800 | 1,888,090 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 26,700 | 727,575 | ||||||
Viacom, Inc. (Class B Stock) | 21,334 | 884,721 | ||||||
Vivendi SA (France) | 4,574 | 85,574 | ||||||
Walt Disney Co. (The) | 94,100 | 9,204,862 | ||||||
WPP PLC (United Kingdom) | 20,591 | 429,148 | ||||||
| 31,832,669 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining — 0.2% | ||||||||
Alcoa, Inc. | 80,940 | $ | 750,314 | |||||
Alumina Ltd. (Australia) | 20,821 | 20,466 | ||||||
Anglo American PLC (United Kingdom) | 4,952 | 48,541 | ||||||
BHP Billiton Ltd. (Australia) | 12,039 | 167,779 | ||||||
BHP Billiton PLC (Australia) | 7,805 | 98,788 | ||||||
Boliden AB (Sweden) | 1,060 | 20,717 | ||||||
Fortescue Metals Group Ltd. (Australia) | 65,008 | 173,964 | ||||||
Freeport-McMoRan, Inc. | 77,088 | 858,760 | ||||||
JFE Holdings, Inc. (Japan) | 1,900 | 24,786 | ||||||
Mitsubishi Materials Corp. (Japan) | 9,000 | 21,549 | ||||||
Newmont Mining Corp. | 32,600 | 1,275,312 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 14,000 | 271,035 | ||||||
Nucor Corp. | 20,400 | 1,007,964 | ||||||
Rio Tinto PLC (United Kingdom) | 5,551 | 172,451 | ||||||
voestalpine AG (Austria) | 9,116 | 306,803 | ||||||
| 5,219,229 | ||||||||
Multi-Utilities — 0.6% | ||||||||
Ameren Corp. | 15,100 | 809,058 | ||||||
CenterPoint Energy, Inc. | 25,300 | 607,200 | ||||||
CMS Energy Corp. | 17,200 | 788,792 | ||||||
Consolidated Edison, Inc. | 18,300 | 1,472,052 | ||||||
Dominion Resources, Inc.(a) | 37,832 | 2,948,248 | ||||||
DTE Energy Co. | 11,700 | 1,159,704 | ||||||
E.ON SE (Germany) | 13,224 | 133,494 | ||||||
National Grid PLC (United Kingdom) | 34,681 | 509,998 | ||||||
NiSource, Inc. | 19,600 | 519,792 | ||||||
Public Service Enterprise Group, Inc. | 31,600 | 1,472,876 | ||||||
SCANA Corp. | 8,800 | 665,808 | ||||||
Sempra Energy | 15,119 | 1,723,868 | ||||||
TECO Energy, Inc. | 14,500 | 400,780 | ||||||
WEC Energy Group, Inc. | 19,913 | 1,300,319 | ||||||
| 14,511,989 | ||||||||
Multiline Retail — 0.3% | ||||||||
Dollar General Corp. | 18,600 | 1,748,400 | ||||||
Dollar Tree, Inc.* | 14,765 | 1,391,454 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 13,950 | 48,540 | ||||||
Kohl’s Corp.(a) | 11,700 | 443,664 | ||||||
Macy’s, Inc. | 19,474 | 654,521 | ||||||
Nordstrom, Inc.(a) | 7,400 | 281,570 | ||||||
Target Corp. | 37,700 | 2,632,214 | ||||||
| 7,200,363 | ||||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
Anadarko Petroleum Corp. | 31,854 | 1,696,226 | ||||||
Apache Corp.(a) | 23,914 | 1,331,292 | ||||||
BP PLC (United Kingdom) | 56,926 | 333,219 | ||||||
Cabot Oil & Gas Corp. | 27,700 | 712,998 | ||||||
Caltex Australia Ltd. (Australia) | 1,070 | 25,798 | ||||||
Chesapeake Energy Corp.* | 28,000 | 119,840 | ||||||
Chevron Corp. | 118,422 | 12,414,178 | ||||||
Cimarex Energy Co. | 6,200 | 739,784 | ||||||
Columbia Pipeline Group, Inc. | 25,100 | 639,799 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Concho Resources, Inc.* | 8,200 | $ | 978,014 | |||||
ConocoPhillips | 77,477 | 3,377,997 | ||||||
Devon Energy Corp. | 32,100 | 1,163,625 | ||||||
EOG Resources, Inc. | 34,500 | 2,877,990 | ||||||
EQT Corp. | 11,200 | 867,216 | ||||||
Exxon Mobil Corp. | 260,799 | 24,447,298 | ||||||
Galp Energia SGPS SA (Portugal) | 28,310 | 393,747 | ||||||
Hess Corp. | 17,100 | 1,027,710 | ||||||
Kinder Morgan, Inc. | 115,698 | 2,165,867 | ||||||
Marathon Oil Corp. | 51,882 | 778,749 | ||||||
Marathon Petroleum Corp. | 33,082 | 1,255,793 | ||||||
Murphy Oil Corp.(a) | 10,200 | 323,850 | ||||||
Neste Oyj (Finland) | 10,961 | 393,051 | ||||||
Newfield Exploration Co.* | 12,100 | 534,578 | ||||||
Noble Energy, Inc. | 26,300 | 943,381 | ||||||
Occidental Petroleum Corp. | 48,300 | 3,649,548 | ||||||
OMV AG (Austria) | 1,124 | 31,597 | ||||||
ONEOK, Inc. | 12,900 | 612,105 | ||||||
Phillips 66 | 29,338 | 2,327,677 | ||||||
Pioneer Natural Resources Co. | 10,450 | 1,580,145 | ||||||
Range Resources Corp. | 10,300 | 444,342 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 16,280 | 447,135 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 14,452 | 399,290 | ||||||
Southwestern Energy Co.*(a) | 25,800 | 324,564 | ||||||
Spectra Energy Corp. | 42,262 | 1,548,057 | ||||||
Statoil ASA (Norway) | 4,228 | 73,053 | ||||||
Tesoro Corp. | 7,800 | 584,376 | ||||||
TOTAL SA (France)(a) | 8,992 | 431,222 | ||||||
Valero Energy Corp. | 30,100 | 1,535,100 | ||||||
Williams Cos., Inc. (The) | 42,500 | 919,275 | ||||||
| 74,449,486 | ||||||||
Paper & Forest Products | ||||||||
Oji Holdings Corp. (Japan) | 6,000 | 23,034 | ||||||
Stora Enso OYJ (Finland) (Class R Stock) | 2,120 | 17,050 | ||||||
UPM-Kymmene OYJ (Finland) | 5,941 | 109,141 | ||||||
| 149,225 | ||||||||
Personal Products — 0.1% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 13,900 | 1,265,178 | ||||||
Kao Corp. (Japan) | 1,900 | 110,660 | ||||||
Unilever NV (United Kingdom), CVA | 1,176 | 54,696 | ||||||
Unilever PLC (United Kingdom) | 5,810 | 278,388 | ||||||
| 1,708,922 | ||||||||
Pharmaceuticals — 2.9% | ||||||||
Allergan PLC* | 25,175 | 5,817,691 | ||||||
Astellas Pharma, Inc. (Japan) | 33,900 | 531,631 | ||||||
AstraZeneca PLC (United Kingdom) | 2,715 | 162,313 | ||||||
Bayer AG (Germany) | 6,743 | 677,235 | ||||||
Bristol-Myers Squibb Co. | 104,570 | 7,691,124 | ||||||
Eli Lilly & Co. | 61,000 | 4,803,750 | ||||||
Endo International PLC* | 12,500 | 194,875 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 18,966 | 407,297 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) | ||||||||
Johnson & Johnson | 173,148 | $ | 21,002,852 | |||||
Mallinckrodt PLC* | 7,700 | 468,006 | ||||||
Merck & Co., Inc. | 173,833 | 10,014,519 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 2,100 | 37,943 | ||||||
Mylan NV* | 25,600 | 1,106,944 | ||||||
Novartis AG (Switzerland) | 5,897 | 486,730 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 7,173 | 386,287 | ||||||
Perrigo Co. PLC | 9,300 | 843,231 | ||||||
Pfizer, Inc. | 380,570 | 13,399,870 | ||||||
Roche Holding AG (Switzerland) | 3,888 | 1,025,965 | ||||||
Sanofi (France) | 4,583 | 380,770 | ||||||
Shionogi & Co. Ltd. (Japan) | 1,200 | 65,599 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 3,550 | 179,666 | ||||||
Zoetis, Inc. | 28,600 | 1,357,356 | ||||||
| 71,041,654 | ||||||||
Professional Services — 0.2% | ||||||||
Dun & Bradstreet Corp. (The) | 2,300 | 280,232 | ||||||
Equifax, Inc. | 7,500 | 963,000 | ||||||
Experian PLC (Ireland) | 7,664 | 145,403 | ||||||
Intertek Group PLC (United Kingdom) | 1,572 | 73,245 | ||||||
Nielsen Holdings PLC | 23,000 | 1,195,310 | ||||||
Randstad Holding NV (Netherlands) | 459 | 18,356 | ||||||
Robert Half International, Inc. | 8,400 | 320,544 | ||||||
Verisk Analytics, Inc.* | 10,000 | 810,800 | ||||||
| 3,806,890 | ||||||||
Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
American Tower Corp. | 26,600 | 3,022,026 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 9,533 | 420,977 | ||||||
AvalonBay Communities, Inc. | 8,575 | 1,546,844 | ||||||
Boston Properties, Inc. | 9,600 | 1,266,240 | ||||||
British Land Co. PLC (The) (United Kingdom) | 16,746 | 135,966 | ||||||
Crown Castle International Corp. | 20,900 | 2,119,887 | ||||||
Dexus Property Group (Australia) | 58,353 | 395,964 | ||||||
Digital Realty Trust, Inc. | 8,600 | 937,314 | ||||||
Equinix, Inc. | 4,494 | 1,742,459 | ||||||
Equity Residential | 22,800 | 1,570,464 | ||||||
Essex Property Trust, Inc. | 4,100 | 935,169 | ||||||
Extra Space Storage, Inc. | 8,000 | 740,320 | ||||||
Federal Realty Investment Trust | 4,500 | 744,975 | ||||||
General Growth Properties, Inc. | 35,800 | 1,067,556 | ||||||
Goodman Group (Australia) | 6,830 | 36,633 | ||||||
GPT Group (The) (Australia) | 19,120 | 77,754 | ||||||
Hammerson PLC (United Kingdom) | 3,083 | 22,206 | ||||||
HCP, Inc. | 30,100 | 1,064,938 | ||||||
Host Hotels & Resorts, Inc. | 45,582 | 738,884 | ||||||
Intu Properties PLC (United Kingdom) | 7,505 | 29,178 | ||||||
Iron Mountain, Inc. | 14,902 | 593,547 | ||||||
Kimco Realty Corp. | 25,600 | 803,328 | ||||||
Link REIT (Hong Kong) | 65,500 | 447,903 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Macerich Co. (The) | 8,100 | $ | 691,659 | |||||
Mirvac Group (Australia) | 13,899 | 21,138 | ||||||
Nomura Real Estate Master Fund, Inc. (Japan) | 13 | 20,551 | ||||||
Prologis, Inc. | 32,877 | 1,612,288 | ||||||
Public Storage | 9,300 | 2,376,987 | ||||||
Realty Income Corp. | 15,500 | 1,075,080 | ||||||
Scentre Group (Australia) | 20,441 | 75,713 | ||||||
Simon Property Group, Inc. | 19,393 | 4,206,342 | ||||||
SL Green Realty Corp. | 6,400 | 681,408 | ||||||
Stockland (Australia) | 9,097 | 32,253 | ||||||
Suntec Real Estate Investment Trust (Singapore) | 22,600 | 29,863 | ||||||
UDR, Inc. | 15,900 | 587,028 | ||||||
Ventas, Inc. | 20,818 | 1,515,967 | ||||||
Vornado Realty Trust(a) | 11,425 | 1,143,871 | ||||||
Welltower, Inc. | 22,100 | 1,683,357 | ||||||
Westfield Corp. (Australia) | 7,599 | 61,040 | ||||||
Weyerhaeuser Co. | 46,818 | 1,393,772 | ||||||
| 37,668,849 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 18,700 | 495,176 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 7,300 | 214,379 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 67,794 | 382,952 | ||||||
Kerry Properties Ltd. (Hong Kong) | 5,000 | 12,379 | ||||||
Mitsui Fudosan Co. Ltd. (Japan) | 4,000 | 91,803 | ||||||
New World Development Co. Ltd. (Hong Kong) | 60,000 | 61,102 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 5,000 | 30,513 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 3,000 | 14,093 | ||||||
| 1,302,397 | ||||||||
Road & Rail — 0.4% | ||||||||
Aurizon Holdings Ltd. (Australia) | 8,199 | 29,748 | ||||||
Central Japan Railway Co. (Japan) | 1,700 | 302,368 | ||||||
CSX Corp. | 59,200 | 1,543,936 | ||||||
East Japan Railway Co. (Japan) | 1,200 | 111,208 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 23,000 | 171,501 | ||||||
JB Hunt Transport Services, Inc. | 6,000 | 485,580 | ||||||
Kansas City Southern | 6,900 | 621,621 | ||||||
Norfolk Southern Corp. | 18,700 | 1,591,931 | ||||||
Ryder System, Inc. | 3,600 | 220,104 | ||||||
Union Pacific Corp. | 53,000 | 4,624,250 | ||||||
West Japan Railway Co. (Japan) | 600 | 38,024 | ||||||
| 9,740,271 | ||||||||
Semiconductors & Semiconductor Equipment — 1.3% |
| |||||||
Analog Devices, Inc. | 19,600 | 1,110,144 | ||||||
Applied Materials, Inc. | 69,600 | 1,668,312 | ||||||
ARM Holdings PLC (United Kingdom) | 5,461 | 82,952 | ||||||
Broadcom Ltd. (Singapore) | 23,280 | 3,617,712 | ||||||
First Solar, Inc.* | 5,100 | 247,248 | ||||||
Intel Corp. | 295,900 | 9,705,520 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
KLA-Tencor Corp. | 10,000 | $ | 732,500 | |||||
Lam Research Corp. | 9,950 | 836,397 | ||||||
Linear Technology Corp. | 14,900 | 693,297 | ||||||
Microchip Technology, Inc. | 13,600 | 690,336 | ||||||
Micron Technology, Inc.* | 61,600 | 847,616 | ||||||
NVIDIA Corp. | 32,350 | 1,520,773 | ||||||
NXP Semiconductors NV (Netherlands)* | 5,100 | 399,534 | ||||||
Qorvo, Inc.* | 7,707 | 425,889 | ||||||
QUALCOMM, Inc. | 93,700 | 5,019,509 | ||||||
Skyworks Solutions, Inc. | 12,100 | 765,688 | ||||||
Texas Instruments, Inc. | 63,000 | 3,946,950 | ||||||
Tokyo Electron Ltd. (Japan) | 1,400 | 118,312 | ||||||
Xilinx, Inc. | 16,200 | 747,306 | ||||||
| 33,175,995 | ||||||||
Software — 2.0% | ||||||||
Activision Blizzard, Inc. | 31,400 | 1,244,382 | ||||||
Adobe Systems, Inc.* | 31,500 | 3,017,385 | ||||||
Autodesk, Inc.* | 14,200 | 768,788 | ||||||
CA, Inc. | 18,064 | 593,041 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 500 | 39,840 | ||||||
Citrix Systems, Inc.* | 9,900 | 792,891 | ||||||
Electronic Arts, Inc.* | 19,400 | 1,469,744 | ||||||
Intuit, Inc. | 16,400 | 1,830,404 | ||||||
Konami Holdings Corp. (Japan) | 6,500 | 247,974 | ||||||
Microsoft Corp. | 496,500 | 25,405,905 | ||||||
Nice Ltd. (Israel) | 460 | 29,272 | ||||||
Oracle Corp. | 197,400 | 8,079,582 | ||||||
Red Hat, Inc.* | 11,400 | 827,640 | ||||||
salesforce.com, inc.* | 39,500 | 3,136,695 | ||||||
SAP SE (Germany) | 1,736 | 130,383 | ||||||
Symantec Corp. | 38,178 | 784,176 | ||||||
| 48,398,102 | ||||||||
Specialty Retail — 1.2% | ||||||||
Advance Auto Parts, Inc. | 4,800 | 775,824 | ||||||
AutoNation, Inc.*(a) | 5,074 | 238,377 | ||||||
AutoZone, Inc.* | 1,950 | 1,547,988 | ||||||
Bed Bath & Beyond, Inc. | 10,800 | 466,776 | ||||||
Best Buy Co., Inc. | 18,025 | 551,565 | ||||||
CarMax, Inc.*(a) | 12,100 | 593,263 | ||||||
Dixons Carphone PLC (United Kingdom) | 3,839 | 16,477 | ||||||
Foot Locker, Inc. | 8,900 | 488,254 | ||||||
Gap, Inc. (The)(a) | 13,300 | 282,226 | ||||||
Home Depot, Inc. (The) | 79,450 | 10,144,971 | ||||||
Industria de Diseno Textil SA (Spain) | 4,267 | 143,346 | ||||||
Kingfisher PLC (United Kingdom) | 8,899 | 38,222 | ||||||
L Brands, Inc. | 16,506 | 1,108,048 | ||||||
Lowe’s Cos., Inc. | 57,300 | 4,536,441 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 500 | 60,642 | ||||||
O’Reilly Automotive, Inc.* | 6,100 | 1,653,710 | ||||||
Ross Stores, Inc. | 25,700 | 1,456,933 | ||||||
Shimamura Co. Ltd. (Japan) | 200 | 29,757 | ||||||
Signet Jewelers Ltd. | 5,200 | 428,532 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) | ||||||||
Staples, Inc. | 37,049 | $ | 319,362 | |||||
Tiffany & Co. | 7,400 | 448,736 | ||||||
TJX Cos., Inc. (The) | 42,000 | 3,243,660 | ||||||
Tractor Supply Co. | 8,800 | 802,384 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 4,200 | 1,023,288 | ||||||
Urban Outfitters, Inc.* | 4,300 | 118,250 | ||||||
| 30,517,032 | ||||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
Apple, Inc. | 346,490 | 33,124,444 | ||||||
EMC Corp. | 121,650 | 3,305,230 | ||||||
FUJIFILM Holdings Corp. (Japan) | 3,800 | 147,442 | ||||||
Hewlett Packard Enterprise Co. | 106,748 | 1,950,286 | ||||||
HP, Inc. | 106,548 | 1,337,177 | ||||||
NEC Corp. (Japan) | 11,000 | 25,629 | ||||||
NetApp, Inc. | 17,800 | 437,702 | ||||||
Ricoh Co. Ltd. (Japan) | 2,600 | 22,538 | ||||||
Seagate Technology PLC | 16,700 | 406,812 | ||||||
Western Digital Corp. | 17,803 | 841,370 | ||||||
| 41,598,630 | ||||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
adidas AG (Germany) | 3,224 | 462,805 | ||||||
Coach, Inc. | 17,300 | 704,802 | ||||||
Hanesbrands, Inc. | 23,600 | 593,068 | ||||||
Michael Kors Holdings Ltd.* | 11,800 | 583,864 | ||||||
NIKE, Inc. (Class B Stock) | 84,600 | 4,669,920 | ||||||
PVH Corp. | 5,300 | 499,419 | ||||||
Ralph Lauren Corp. | 3,800 | 340,556 | ||||||
Swatch Group AG (The) (Switzerland) | 363 | 20,788 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 10,600 | 425,378 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 10,574 | 384,894 | ||||||
VF Corp. | 21,300 | 1,309,737 | ||||||
| 9,995,231 | ||||||||
Tobacco — 0.9% | ||||||||
Altria Group, Inc. | 123,700 | 8,530,352 | ||||||
British American Tobacco PLC (United Kingdom) | 12,979 | 841,421 | ||||||
Imperial Brands PLC (United Kingdom) | 2,044 | 110,852 | ||||||
Japan Tobacco, Inc. (Japan) | 10,000 | 403,022 | ||||||
Philip Morris International, Inc. | 97,100 | 9,877,012 | ||||||
Reynolds American, Inc. | 52,638 | 2,838,767 | ||||||
| 22,601,426 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 1,960 | 27,997 | ||||||
Fastenal Co. | 18,200 | 807,898 | ||||||
ITOCHU Corp. (Japan) | 34,900 | 426,939 | ||||||
Mitsui & Co. Ltd. (Japan) | 6,800 | 81,173 | ||||||
United Rentals, Inc.* | 6,000 | 402,600 | ||||||
W.W. Grainger, Inc.(a) | 3,800 | 863,550 | ||||||
| 2,610,157 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure | ||||||||
Abertis Infraestructuras SA (Spain) | 2,121 | $ | 31,343 | |||||
Aena SA (Spain), RegS, 144A | 1,540 | 204,129 | ||||||
Atlantia SpA (Italy) | 3,899 | 97,417 | ||||||
Auckland International Airport Ltd. (New Zealand) | 3,721 | 17,309 | ||||||
Hutchison Port Holdings Trust (Hong Kong) | 56,600 | 25,753 | ||||||
Sydney Airport (Australia) | 4,183 | 21,842 | ||||||
Transurban Group (Australia) | 14,112 | 127,104 | ||||||
| 524,897 | ||||||||
Water Utilities | ||||||||
American Water Works Co., Inc. | 11,100 | 938,061 | ||||||
Wireless Telecommunication Services | ||||||||
KDDI Corp. (Japan) | 6,600 | 200,704 | ||||||
NTT DOCOMO, Inc. (Japan) | 10,900 | 293,957 | ||||||
SoftBank Group Corp. (Japan) | 3,700 | 209,243 | ||||||
Vodafone Group PLC (United Kingdom) | 102,761 | 313,306 | ||||||
| 1,017,210 | ||||||||
TOTAL COMMON STOCKS |
| 1,191,472,176 | ||||||
| EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE ETF | 20,726 | 1,156,718 | ||||||
| PREFERRED STOCKS — 0.1% | ||||||||
Automobiles | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 212 | 13,515 | ||||||
Volkswagen AG (Germany) (PRFC) | 3,113 | 377,049 | ||||||
| 390,564 | ||||||||
Banks | ||||||||
Citigroup Capital XIII 6.988%, (Capital Security, fixed to floating preferred) | 20,000 | 521,400 | ||||||
Capital Markets — 0.1% | ||||||||
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred) | 30,000 | 805,200 | ||||||
Household Products | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 100 | 12,221 | ||||||
Media | ||||||||
ProSiebenSat.1 Media SE (Germany) (PRFC) | 852 | 37,268 | ||||||
TOTAL PREFERRED STOCKS |
| 1,766,653 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES — 4.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Collateralized Loan Obligations — 1.8% | ||||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.814% | (b) | 04/20/25 | 2,100 | $ | 2,078,233 | ||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 2.134% | (b) | 04/28/26 | 400 | 399,485 | |||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.228% | (b) | 10/15/26 | 2,000 | 1,989,167 | |||||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.183% | (b) | 04/18/27 | 1,000 | 993,382 | |||||||||||
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 2.168% | (b) | 10/15/26 | 600 | 599,340 | |||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.233% | (b) | 10/17/26 | 250 | 248,749 | |||||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 2.163% | (b) | 04/18/27 | 1,000 | 990,770 | |||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.828% | (b) | 07/15/24 | 1,000 | 988,778 | |||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.783% | (b) | 04/17/25 | 2,200 | 2,165,951 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.184% | (b) | 04/20/26 | 1,650 | 1,645,875 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 2.143% | (b) | 10/18/26 | 250 | 248,339 | |||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.033% | (b) | 01/17/26 | 250 | 247,685 | |||||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.885% | (b) | 07/22/20 | 83 | 82,155 | |||||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 2.098% | (b) | 10/15/26 | 750 | 745,145 | |||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.083% | (b) | 05/05/27 | 250 | 248,112 | |||||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.280% | 01/25/27 | 750 | 748,421 | ||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.168% | (b) | 04/15/27 | 250 | 248,066 | |||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.216% | (b) | 05/15/26 | 250 | 248,592 | |||||||||||
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 2.058% | (b) | 07/25/26 | 2,000 | 1,997,887 | |||||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 2.083% | (b) | 01/18/27 | 500 | 497,069 | |||||||||||
Mill Creek CLO Ltd., Series 2016-1A, Class A, 144A | 2.340% | (b) | 04/20/28 | 1,250 | 1,250,416 | |||||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A | 2.738% | (b) | 07/25/23 | 250 | 247,233 | |||||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A | 2.098% | (b) | 04/15/26 | 500 | 498,844 | |||||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.785% | (b) | 07/22/25 | 1,000 | 990,733 | |||||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5A, Class AR, 144A | 1.953% | (b) | 12/15/22 | 325 | 324,650 | |||||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.886% | (b) | 02/20/25 | 250 | 248,513 | |||||||||||
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.048% | (b) | 07/25/26 | 1,250 | 1,234,835 | |||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.113% | (b) | 07/17/26 | 500 | 499,329 | |||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 495,502 | ||||||||||||
Shackleton II CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A | 2.044% | (b) | 10/20/23 | 500 | 498,899 | |||||||||||
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.132% | (b) | 05/07/26 | 2,500 | 2,495,938 | |||||||||||
Shackleton VI CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A | 2.113% | (b) | 07/17/26 | 1,500 | 1,485,619 | |||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.678% | (b) | 04/15/25 | 2,600 | 2,556,627 | |||||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.278% | (b) | 08/17/22 | 500 | 497,676 | |||||||||||
Sound Point CLO I Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.334% | (b) | 10/20/23 | 900 | 899,198 | |||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 2.255% | (b) | 01/22/27 | 1,750 | 1,749,522 | |||||||||||
TIAA CLO I Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A | 2.386% | (b) | 07/20/28 | 1,750 | 1,747,246 | |||||||||||
Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A(a) | 2.134% | (b) | 04/20/27 | 1,500 | 1,490,467 | |||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.748% | (b) | 07/15/25 | 2,200 | 2,177,628 | |||||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 2.264% | (b) | 04/20/26 | 2,500 | 2,486,794 | |||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.768% | (b) | 04/15/24 | 1,500 | 1,483,062 | |||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.134% | (b) | 04/20/26 | 1,300 | 1,291,565 | |||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 497,332 | ||||||||||||
| 44,558,829 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Non-Residential Mortgage-Backed Securities — 2.5% | ||||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.242% | (b) | 05/15/20 | 2,700 | $ | 2,694,379 | ||||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.197% | (b) | 04/08/19 | 2,722 | 2,726,344 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.147% | (b) | 10/08/19 | 3,000 | 3,003,920 | |||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,475 | 1,478,628 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 4,800 | 4,864,929 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 3,800 | 3,867,881 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 2,325 | 2,371,760 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 2,400 | 2,451,651 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 4,100 | 4,185,713 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 2,500 | 2,513,138 | ||||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c) | 0.942% | (b) | 05/15/20 | 1,600 | 1,589,557 | |||||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A | 1.292% | (b) | 05/17/21 | 1,700 | 1,694,230 | |||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 4,200 | 4,291,392 | ||||||||||||
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 2,500 | 2,550,662 | ||||||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 2,400 | 2,420,954 | ||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,800 | 3,798,876 | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.142% | (b) | 12/17/18 | 1,102 | 1,102,498 | |||||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.192% | (b) | 12/17/18 | 1,629 | 1,630,168 | |||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,425 | 1,425,200 | ||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 1,499 | 1,511,404 | ||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A | 3.080% | 03/21/33 | 2,845 | 2,909,913 | ||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 4,665 | 4,692,593 | ||||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 611 | 604,278 | ||||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,200 | 1,207,876 | ||||||||||||
| 61,587,944 | ||||||||||||||||
Residential Mortgage-Backed Securities — 0.6% | ||||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.103% | (b) | 03/25/33 | 230 | 218,383 | |||||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.873% | 07/25/35 | 375 | 357,069 | ||||||||||||
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 | 1.203% | (b) | 03/25/34 | 1,826 | 1,748,679 | |||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.836% | 07/25/34 | 368 | 347,499 | ||||||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1 | 1.308% | (b) | 07/25/34 | 506 | 440,203 | |||||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.248% | (b) | 06/25/34 | 474 | 457,937 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.653% | (b) | 05/25/33 | 129 | 122,057 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.503% | (b) | 12/27/33 | 725 | 699,351 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.353% | (b) | 07/25/32 | 285 | 274,394 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.728% | (b) | 09/25/32 | 2,803 | 2,671,733 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.218% | (b) | 02/25/34 | 821 | 759,326 | |||||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 1,954 | 1,953,974 | ||||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,137 | 1,125,674 | ||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 3,019 | 3,008,097 | ||||||||||||
| 14,184,376 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 120,331,149 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| BANK LOANS(b) — 0.3% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Automotive | ||||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 129 | $ | 129,608 | |||||||||||
Food | ||||||||||||||||
Aramark Corp. | 3.250% | 02/24/21 | 383 | 382,378 | ||||||||||||
Healthcare & Pharmaceutical — 0.1% | ||||||||||||||||
RPI Finance Trust (Luxembourg) | 3.500% | 11/09/20 | 1,174 | 1,173,444 | ||||||||||||
Media & Entertainment | ||||||||||||||||
Nielsen Finance LLC | 2.696% | 05/30/17 | 673 | 672,441 | ||||||||||||
Technology — 0.2% | ||||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 02/01/23 | 1,077 | 1,076,403 | ||||||||||||
Dell International LLC(d) | —% | (e) | 12/31/18 | 500 | 485,000 | |||||||||||
Dell International LLC | —% | (e) | 09/30/23 | 610 | 607,628 | |||||||||||
First Data Corp. | 4.452% | 03/24/21 | 1,052 | 1,047,362 | ||||||||||||
Trans Union LLC | �� | 3.500% | 04/09/21 | 391 | 386,603 | |||||||||||
Western Digital Corp. | 6.250% | 04/28/23 | 880 | 881,925 | ||||||||||||
| 4,484,921 | ||||||||||||||||
Telecommunications | ||||||||||||||||
T-Mobile USA, Inc. | 3.500% | 11/09/22 | 736 | 738,141 | ||||||||||||
TOTAL BANK LOANS |
| 7,580,933 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5% | ||||||||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 3,100 | 3,240,830 | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 43 | 42,848 | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.739% | (b) | 04/10/49 | 2,961 | 3,018,670 | |||||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3 | 3.014% | 05/10/58 | 2,500 | 2,590,571 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.901% | (b) | 12/10/49 | 800 | 823,464 | |||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 941,095 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,267,874 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4 | 3.462% | 09/15/48 | 3,500 | 3,761,251 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 2,700 | 2,784,439 | ||||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 534 | 535,335 | ||||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 1,030,749 | ||||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,400 | 1,469,979 | ||||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,067,409 | ||||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,271,311 | ||||||||||||
Commercial Mortgage Trust, Series 2014-LC17, Class A4 | 3.648% | 10/10/47 | 5,000 | 5,441,250 | ||||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | 1,761,299 | ||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A | 5.297% | 12/15/39 | 2,130 | 2,142,348 | ||||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 2,500 | 2,662,093 | ||||||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.673% | (b) | 09/10/35 | 1,100 | 1,195,358 | |||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 1,925 | 2,137,192 | |||||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | 01/25/25 | 4,100 | 4,359,019 | ||||||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 4,700 | 5,103,401 | |||||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (b) | 11/25/25 | 3,000 | 3,199,993 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.584% | (b) | 05/25/22 | 20,452 | 1,443,252 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.620% | (b) | 06/25/22 | 5,658 | 406,120 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 5,800 | 6,318,114 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,965 | 5,358,003 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2 | 3.329% | 05/25/25 | 4,400 | 4,847,981 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2 | 3.284% | (b) | 06/25/25 | 3,650 | 4,005,841 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,I/O | 1.369% | (b) | 03/25/26 | 9,350 | $ | 979,879 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.610% | (b) | 08/25/16 | 2,632 | 576 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.894% | (b) | 05/25/19 | 15,972 | 673,689 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.818% | (b) | 07/25/19 | 16,799 | 724,488 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (b) | 05/25/25 | 1,900 | 2,055,070 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 3,000 | 3,148,882 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC34, Class A3 | 3.244% | 10/10/48 | 4,800 | 5,083,742 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,100 | 1,177,574 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 5,000 | 5,171,465 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A | 2.881% | 06/15/49 | 2,500 | 2,567,530 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,187 | 1,213,634 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,548,165 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,343,861 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,267 | 1,310,294 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,136,032 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | 6.114% | (b) | 07/15/40 | 2,500 | 2,577,994 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,308 | 1,317,129 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | 1,257,607 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 4,000 | 4,309,826 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 113 | 112,810 | ||||||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3 | 3.540% | 12/15/48 | 5,000 | 5,423,561 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,457,437 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,347,233 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,570,099 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 3,853 | 3,948,712 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3 | 3.354% | 09/15/57 | 4,000 | 4,261,591 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 136,945,969 | ||||||||||||
| CORPORATE BONDS — 11.6% | ||||||||||||||
Agriculture — 0.2% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | 1,773,203 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 42 | 75,556 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 94 | 174,199 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 690 | 806,799 | ||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,694,569 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 290 | 343,824 | ||||||||||
| 4,868,150 | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 05/01/27 | 2,515 | 2,530,721 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 34 | 35,100 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Airlines (continued) | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 44 | $ | 46,052 | |||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 502 | 573,504 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 540 | 575,182 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 10/29/24 | 353 | 370,854 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 6.821% | 08/10/22 | 277 | 322,131 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 371 | 391,856 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 636 | 677,242 | ||||||||||||
| 5,522,642 | ||||||||||||||||
Auto Manufacturers — 0.3% | ||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(a) | 4.750% | 01/15/43 | 1,035 | 1,095,530 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN | 4.389% | 01/08/26 | 1,240 | 1,353,643 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,065 | 1,183,058 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 585 | 670,824 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 380 | 383,814 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.850% | 01/15/21 | 3,645 | 3,807,972 | ||||||||||||
| 8,494,841 | ||||||||||||||||
Banks — 3.0% | ||||||||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (b) | 12/31/49 | 275 | 292,187 | |||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,100 | 2,086,875 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,290 | 1,493,585 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,398,238 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 360 | 370,493 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN(a) | 3.500% | 04/19/26 | 4,770 | 4,929,261 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 745 | 795,133 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 112,523 | ||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 1,700 | 1,732,829 | ||||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 850 | 872,922 | ||||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 805 | 1,027,243 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,205 | 1,216,688 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 3,325 | 3,468,926 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/31/49 | 1,590 | 1,549,097 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (b) | 12/31/49 | 945 | 959,175 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (b) | 12/31/49 | 640 | 657,600 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 1,610 | 1,694,828 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.500% | 01/14/22 | 1,125 | 1,243,512 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 850 | 1,325,688 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,485 | 1,529,715 | ||||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,050 | 1,046,927 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 3,055 | 3,065,515 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 622,335 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 552,367 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/31/49 | 1,800 | 1,780,056 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,165 | 1,226,164 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,601,151 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | 1,451,200 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 284,703 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 1,100 | 1,356,887 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,230 | 1,349,697 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 1,015,132 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banks (continued) | ||||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 6.100% | (b) | 12/31/49 | 1,175 | $ | 1,211,719 | ||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,040,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,809,317 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,525 | 3,649,563 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 195 | 214,106 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,770 | 1,980,053 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 2,385 | 2,444,511 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 12/31/49 | 640 | 614,400 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 605 | 640,801 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 1,530 | 1,562,708 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 840 | 959,175 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 100 | 108,377 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 640 | 866,702 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,050 | 3,190,657 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 800,000 | |||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 2,687 | 3,028,663 | ||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A | 1.875% | 09/17/18 | 1,590 | 1,606,193 | ||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 455 | 461,848 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 517,545 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 925 | 944,728 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 915 | 952,182 | ||||||||||
| 74,711,900 | ||||||||||||||
Beverages — 0.1% | ||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 2,005 | 2,253,075 | ||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.900% | 02/01/46 | 535 | 626,935 | ||||||||||
| 2,880,010 | ||||||||||||||
Biotechnology — 0.1% | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 1,527 | 1,595,430 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 140 | 175,211 | ||||||||||
| 1,770,641 | ||||||||||||||
Building Materials — 0.1% | ||||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 1,135 | 1,154,862 | ||||||||||
Chemicals — 0.2% | ||||||||||||||
Celanese US Holdings LLC, Gtd. Notes | 5.875% | 06/15/21 | 1,160 | 1,296,300 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 419,659 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 5 | 5,295 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 30 | 46,910 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 955 | 932,039 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 800 | 865,907 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 265 | 293,072 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 860 | 953,847 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 626,077 | ||||||||||
| 5,439,106 | ||||||||||||||
Commercial Services — 0.1% | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,198 | 1,269,876 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 390 | 531,326 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 400 | 397,000 | ||||||||||
United Rentals North America, Inc., Gtd. Notes(a) | 7.375% | 05/15/20 | 508 | 528,320 | ||||||||||
| 2,726,522 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Computers — 0.2% | ||||||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 825 | $ | 845,138 | |||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 700 | 720,490 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.450% | 10/05/17 | 2,915 | 2,952,778 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.850% | 10/05/18 | 545 | 558,113 | ||||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 455 | 455,287 | ||||||||||||
| 5,531,806 | ||||||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 600 | 604,500 | ||||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 270 | 286,859 | ||||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,135 | 1,237,258 | ||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 914,035 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 1,637 | 1,836,036 | �� | |||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 461,714 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) | 5.250% | 02/06/12 | 1,850 | 124,875 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) | 6.875% | 05/02/18 | 700 | 49,000 | ||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 318,969 | ||||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 680 | 681,174 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 1.875% | 07/15/18 | 55 | 56,121 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 285 | 297,618 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 895 | 991,814 | ||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,175 | 2,180,953 | ||||||||||||
| 10,040,926 | ||||||||||||||||
Electric — 0.6% | ||||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 170 | 170,645 | ||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | 723,724 | ||||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 340 | 450,851 | ||||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 950 | 969,819 | ||||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 | 6.950% | 03/15/33 | 300 | 428,143 | ||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 145 | 182,805 | ||||||||||||
Dominion Resources, Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,470 | 2,613,838 | ||||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 530 | 722,235 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 345 | 345,431 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 255 | 246,075 | ||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 1,034,617 | ||||||||||||
Emera U.S. Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 745 | 762,313 | ||||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 663,068 | ||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,375 | 1,510,370 | ||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 265 | 288,724 | ||||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 380 | 500,478 | ||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 163,857 | ||||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 596,661 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 500 | 565,977 | ||||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 7.250% | 05/15/26 | 685 | 681,575 | ||||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 150,338 | ||||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | 682,577 | ||||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 690 | 716,679 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 551,656 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 263 | 271,850 | ||||||||||||
| 15,994,306 | ||||||||||||||||
Engineering & Construction | ||||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 530 | 210,940 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Entertainment | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 800 | $ | 829,000 | |||||||||
Food — 0.1% | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 3.000% | 06/01/26 | 1,510 | 1,522,349 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 4.375% | 06/01/46 | 360 | 380,708 | ||||||||||
| 1,903,057 | ||||||||||||||
Food Service | ||||||||||||||
Aramark Services, Inc., Gtd. Notes | 5.125% | 01/15/24 | 205 | 209,100 | ||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 275 | 311,469 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,505,314 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 460 | 518,506 | ||||||||||
| 2,335,289 | ||||||||||||||
Gas | ||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 45 | 48,756 | ||||||||||
Healthcare-Products — 0.3% | ||||||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 805 | 867,099 | ||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 2,515 | 2,741,664 | ||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 997 | 1,127,747 | ||||||||||
St. Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 3,700 | 3,742,273 | ||||||||||
| 8,478,783 | ||||||||||||||
Healthcare-Services — 0.6% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 480 | 639,957 | ||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,050 | 1,424,134 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 346,154 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 260 | 271,342 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 181 | 183,603 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 662,605 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 792,783 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,235 | 1,268,962 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 900 | 931,500 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 350 | 365,750 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 06/15/26 | 700 | 726,687 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 160 | 165,501 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 340 | 370,438 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 4,385 | 4,664,105 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 440 | 460,350 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 115 | 120,411 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 579,594 | ||||||||||
| 13,973,876 | ||||||||||||||
Home Builders | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 380,981 | ||||||||||
Housewares — 0.1% | ||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 610 | 661,271 | ||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,600 | 1,715,253 | ||||||||||
| 2,376,524 | ||||||||||||||
Insurance — 0.9% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 534,439 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 07/16/44 | 1,910 | 1,847,818 | ||||||||||
AXIS Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 990 | 1,106,616 | ||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 1,350 | 1,415,535 | ||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375% | (b) | 04/15/37 | 1,260 | 1,096,200 | |||||||||
Chubb INA Holdings, Inc., Gtd. Notes(a) | 3.350% | 05/03/26 | 705 | 751,459 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Insurance (continued) | ||||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 100 | $ | 115,042 | |||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 722,182 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 215 | 260,393 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,138,418 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 876 | 1,032,989 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 660 | 849,936 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 505 | 597,374 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 175,960 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 888,138 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (b) | 10/16/44 | 1,505 | 1,619,555 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 447,698 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 723,096 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,053,763 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 111,063 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 715 | 656,013 | |||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 570 | 586,679 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,430 | 1,942,592 | ||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | 4.300% | 08/25/45 | 660 | 751,503 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 353,659 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 640,888 | ||||||||||
| 21,419,008 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 955 | 1,023,665 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 505,675 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 836,165 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,700 | 2,945,335 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 409,223 | ||||||||||
| 5,720,063 | ||||||||||||||
Machinery-Diversified — 0.1% | ||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,100 | 1,182,500 | ||||||||||
SPX Flow, Inc., Gtd. Notes | 6.875% | 09/01/17 | 535 | 557,069 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,155,737 | ||||||||||
| 2,895,306 | ||||||||||||||
Media — 0.6% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 310,309 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 46,820 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,750,179 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,225 | 1,212,597 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 900 | 950,625 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 720 | 730,800 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a) | 6.384% | 10/23/35 | 630 | 746,036 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 760 | 907,456 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 200 | 237,803 | ||||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,936,631 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 840,116 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 750 | 778,845 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,240 | 1,283,617 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 214,933 | ||||||||||
Time Warner, Inc., Gtd. Notes(a) | 6.250% | 03/29/41 | 495 | 622,936 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 75 | 102,873 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,484 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 150 | 132,421 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 325 | 325,857 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 850 | 879,750 | ||||||||||
| 14,052,088 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Mining — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 700 | $ | 813,381 | |||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.250% | (b) | 10/19/75 | 845 | 889,785 | |||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 400 | 376,829 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 370 | 408,702 | ||||||||||
| 2,488,697 | ||||||||||||||
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 | 4.125% | 10/09/42 | 180 | 197,987 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 260 | 300,034 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes, GMTN | 6.875% | 01/10/39 | 311 | 469,439 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 167 | 225,862 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,050 | 1,071,000 | ||||||||||
| 3,325,122 | ||||||||||||||
Multi-National — 0.1% | ||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,065 | 1,076,896 | ||||||||||
North American Development Bank (Supranational Bank), | 2.400% | 10/26/22 | 855 | 873,085 | ||||||||||
North American Development Bank (Supranational Bank), | 4.375% | 02/11/20 | 600 | 655,010 | ||||||||||
| 2,604,991 | ||||||||||||||
Oil & Gas — 0.5% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (h) | 10/10/36 | 1,000 | 377,790 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 305 | 351,394 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 780 | 941,854 | ||||||||||
ConocoPhillips Co., Gtd. Notes(a) | 4.950% | 03/15/26 | 1,700 | 1,927,667 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 210 | 195,903 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes(a) | 5.600% | 07/15/41 | 95 | 91,788 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.850% | 12/15/25 | 420 | 463,296 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,350 | 1,570,960 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 830 | 832,146 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,555 | 1,659,173 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 890 | 816,693 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 415 | 421,075 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,567,520 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 400 | 447,886 | ||||||||||
Valero Energy Corp., Sr. Unsec’d. Notes(a) | 4.900% | 03/15/45 | 225 | 208,403 | ||||||||||
| 11,873,548 | ||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,170 | 2,335,428 | ||||||||||
Packaging & Containers — 0.1% | ||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 465 | 489,122 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes | 4.500% | 01/15/23 | 1,000 | 1,020,000 | ||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 675 | 749,292 | ||||||||||
| 2,258,414 | ||||||||||||||
Pharmaceuticals — 0.4% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 950 | 995,438 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,595 | 1,667,035 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 805 | 838,672 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,465 | 1,505,611 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 350 | 367,526 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 440 | 493,781 | ||||||||||
Johnson & Johnson, Sr. Unsec’d. Notes | 3.550% | 03/01/36 | 250 | 276,201 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 340 | 355,510 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,105 | 1,170,931 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,010 | 1,217,287 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 90 | 89,177 | ||||||||||
| 8,977,169 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Pipelines — 0.2% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 473 | $ | 463,540 | |||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 610 | 629,815 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.900% | 03/15/35 | 200 | 176,694 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 665 | 612,872 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,055 | 1,100,348 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.950% | 02/15/27 | 1,310 | 1,389,421 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 530 | 559,427 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,140 | 1,035,526 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 136,062 | ||||||||||
| 6,103,705 | ||||||||||||||
Real Estate | ||||||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 80,049 | ||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 685 | 773,194 | ||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 550 | 554,308 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 235 | 236,515 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | 203,377 | ||||||||||
| 1,767,394 | ||||||||||||||
Retail — 0.3% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 590 | 731,940 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 170 | 212,217 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 3.000% | 04/01/26 | 585 | 621,722 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 565 | 654,713 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,300 | 1,398,800 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 345 | 473,358 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 300 | 308,430 | ||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 1,925 | 2,079,855 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 5.625% | 12/01/25 | 1,020 | 1,068,450 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 265 | 293,636 | ||||||||||
| 7,843,121 | ||||||||||||||
Savings & Loans — 0.1% | ||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,230,027 | ||||||||||
Semiconductors — 0.1% | ||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,200 | 1,254,000 | ||||||||||
Software — 0.2% | ||||||||||||||
Fidelity National Information Services, Inc., Gtd. Notes | 3.625% | 10/15/20 | 1,640 | 1,733,677 | ||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,225 | 1,257,201 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 700 | 744,467 | ||||||||||
| 3,735,345 | ||||||||||||||
Telecommunications — 0.6% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 200 | 245,221 | ||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 18 | 25,888 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,130 | 3,201,699 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 350 | 358,047 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 560 | 573,929 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 305 | 313,116 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 520 | 561,060 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 1,133 | 1,239,380 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.375% | (b) | 12/15/30 | 350 | 539,238 | |||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 1,827 | 1,902,455 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,288 | 2,314,175 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,053 | 1,151,021 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 2,349 | 2,484,190 | ||||||||||
| 14,909,419 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Transportation — 0.1% | ||||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.450% | 09/15/21 | 1,180 | $ | 1,278,772 | |||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 1,005,737 | ||||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 899,338 | ||||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 145,449 | ||||||||||||
| 3,329,296 | ||||||||||||||||
TOTAL CORPORATE BONDS |
| 288,084,208 | ||||||||||||||
| MUNICIPAL BONDS — 0.6% | ||||||||||||||||
California — 0.2% | ||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,993,035 | ||||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,891,600 | ||||||||||||
State of California, GO, BABs(a) | 7.500% | 04/01/34 | 350 | 530,894 | ||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 387,663 | ||||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 323,392 | ||||||||||||
| 5,126,584 | ||||||||||||||||
Colorado | ||||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 565 | 823,521 | ||||||||||||
Illinois — 0.1% | ||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,379,010 | ||||||||||||
New Jersey — 0.1% | ||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,565,340 | ||||||||||||
New York — 0.1% | ||||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,441,440 | ||||||||||||
Ohio | ||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 525,714 | ||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 331,760 | ||||||||||||
| 857,474 | ||||||||||||||||
Oregon | ||||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | 581,056 | ||||||||||||
Pennsylvania | ||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 663,514 | ||||||||||||
Tennessee — 0.1% | ||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,309,676 | ||||||||||||
TOTAL MUNICIPAL BONDS |
| 13,747,615 | ||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.375% | 03/16/26 | 1,680 | 1,762,874 | ||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,086 | 2,207,019 | ||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 1,300 | 1,397,114 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 490 | 512,663 | ||||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 265 | 298,213 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 255 | 264,119 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 440 | 480,788 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN, 144A | 2.125% | 04/13/21 | 600 | 609,927 | ||||||||||||
KFW (Germany), Gov’t. Gtd. Notes | 2.750% | 10/01/20 | 2,645 | 2,817,541 | ||||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,644,043 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 795 | 841,826 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | 12/01/23 | 350 | 412,125 | ||||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), | 6.299% | 05/15/17 | 560 | 575,512 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| NON-CORPORATE FOREIGN AGENCIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,035 | $ | 1,038,376 | |||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,000 | 1,010,787 | ||||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 514,943 | ||||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 2,385 | 2,430,258 | ||||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 19,818,128 | ||||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8% | ||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 195 | 195,765 | ||||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,122 | 939,202 | ||||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 10/27/18 | 1,660 | 1,658,398 | |||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.608% | (b) | 08/26/36 | 858 | 791,227 | |||||||||||
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.953% | (b) | 02/25/35 | 254 | 243,552 | |||||||||||
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.051% | (b) | 03/25/35 | 299 | 275,150 | |||||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.888% | (b) | 02/25/37 | 558 | 532,877 | |||||||||||
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d) | 2.434% | (b) | 10/30/47 | 903 | 900,168 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(i) | 2.403% | (b) | 11/25/24 | 1,639 | 1,645,904 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i) | 1.953% | (b) | 02/25/25 | 398 | 398,482 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i) | 1.603% | (b) | 05/25/25 | 2,848 | 2,844,790 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i) | 2.603% | (b) | 09/25/28 | 1,120 | 1,133,275 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i) | 2.653% | (b) | 10/25/28 | 1,432 | 1,447,074 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i) | 1.353% | (b) | 10/25/27 | 5,807 | 5,805,053 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i) | 1.803% | (b) | 04/25/28 | 1,865 | 1,868,313 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i) | 1.903% | (b) | 07/25/28 | 2,780 | 2,788,702 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i) | 2.446% | (b) | 12/25/28 | 1,425 | 1,434,491 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i) | 2.703% | (b) | 11/25/28 | 1,200 | 1,206,957 | |||||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.948% | (b) | 07/25/35 | 299 | 298,474 | |||||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d) | 3.539% | (b) | 09/01/21 | 3,860 | 3,821,758 | |||||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d) | 2.457% | (b) | 12/01/21 | 781 | 766,919 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d) | 2.457% | (b) | 04/01/20 | 1,474 | 1,446,081 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d) | 2.457% | (b) | 05/01/20 | 4,338 | 4,240,100 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.978% | (b) | 07/01/20 | 1,759 | 1,728,559 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.457% | (b) | 08/01/20 | 1,314 | 1,289,838 | |||||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d) | 2.457% | (b) | 11/01/20 | 652 | 637,076 | |||||||||||
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A | 2.439% | (b) | 01/01/21 | 2,763 | 2,681,489 | |||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 47 | 47,040 | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.830% | (b) | 02/25/34 | 349 | 345,539 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 129 | 129,152 | ||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 43,541,405 | ||||||||||||||
| SOVEREIGN BONDS — 0.6% | ||||||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 920 | 960,940 | ||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 400 | 429,400 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 392 | 406,700 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 1,760 | 2,003,535 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 1,200 | 1,740,000 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 03/13/20 | 770 | 856,305 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A | 5.125% | 01/15/45 | 700 | 742,657 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A | 5.875% | 01/15/24 | 750 | 867,351 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 750 | $ | 814,303 | |||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 3.625% | 03/15/22 | 550 | 579,700 | ||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 766 | 825,365 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 490 | 516,950 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 395 | 423,637 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 375 | 415,312 | ||||||||||||
Province of Manitoba (Canada), Sr. Unsec’d. Notes | 2.125% | 06/22/26 | 1,060 | 1,053,739 | ||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, 144A | 4.875% | 01/22/24 | 140 | 154,364 | ||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS | 6.125% | 01/22/44 | 350 | 436,520 | ||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,260 | 1,429,054 | ||||||||||||
TOTAL SOVEREIGN BONDS |
| 14,655,832 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 14.2% | �� | |||||||||||||||
Federal Home Loan Banks(j) | 5.500% | 07/15/36 | 850 | 1,226,350 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 3,250 | 3,360,855 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 2,000 | 2,064,468 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 864 | 896,759 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.598% | (b) | 12/01/35 | 302 | 317,686 | |||||||||||
Federal Home Loan Mortgage Corp. | 2.710% | (b) | 06/01/36 | 284 | 299,311 | |||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 3,500 | 3,621,727 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-04/01/45 | 11,299 | 11,792,686 | ||||||||||||
Federal Home Loan Mortgage Corp.(k) | 3.500% | TBA | 5,000 | 5,271,094 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 10,500 | 11,056,172 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26-06/01/42 | 1,668 | 1,772,531 | ||||||||||||
Federal Home Loan Mortgage Corp.(k) | 4.000% | TBA | 8,500 | 9,097,656 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 10,000 | 10,693,750 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-01/01/42 | 4,454 | 4,770,089 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 8,701 | 9,502,335 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-05/01/39 | 2,246 | 2,443,716 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 2,075 | 2,332,814 | ||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 933 | 1,074,458 | ||||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31-10/01/31 | 243 | 277,210 | ||||||||||||
Federal National Mortgage Assoc. | 2.432% | (b) | 07/01/33 | 323 | 339,324 | |||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 11,000 | 11,380,481 | ||||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 2,303 | 2,366,502 | ||||||||||||
Federal National Mortgage Assoc. | 2.560% | (b) | 06/01/37 | 74 | 74,410 | |||||||||||
Federal National Mortgage Assoc. | 2.651% | (b) | 07/01/37 | 465 | 481,807 | |||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 42,000 | 43,507,724 | ||||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27-07/01/43 | 21,525 | 22,500,208 | ||||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 18,000 | 18,970,312 | ||||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-01/01/46 | 32,286 | 34,222,997 | ||||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 9,000 | 9,640,992 | ||||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41-09/01/44 | 9,339 | 10,022,597 | ||||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,091,557 | ||||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-03/01/41 | 6,161 | 6,773,784 | ||||||||||||
Federal National Mortgage Assoc.(k) | 5.000% | TBA | 2,500 | 2,777,654 | ||||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 4,000 | 4,442,997 | ||||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-05/01/36 | 1,754 | 1,941,211 | ||||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/16-04/01/37 | 3,628 | 4,082,977 | ||||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-06/01/38 | 4,208 | 4,852,884 | ||||||||||||
Federal National Mortgage Assoc. | 6.250% | 05/15/29 | 850 | 1,237,898 | ||||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-01/01/37 | 1,590 | 1,849,753 | ||||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 181 | 211,562 | ||||||||||||
Federal National Mortgage Assoc. | 7.125% | 01/15/30 | 2,480 | 3,890,835 | ||||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 18,468 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Government National Mortgage Assoc.(k) | 3.000% | TBA | 12,500 | $ | 13,069,580 | |||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 7,000 | 7,304,746 | ||||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 1,851 | 1,935,191 | ||||||||||||
Government National Mortgage Assoc.(k) | 3.500% | TBA | 13,500 | 14,328,457 | ||||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 9,500 | 10,069,629 | ||||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43-02/20/46 | 8,152 | 8,667,376 | ||||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,250 | 4,542,851 | ||||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-05/20/41 | 314 | 338,090 | ||||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,100,464 | ||||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-03/20/41 | 4,977 | 5,450,370 | ||||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 220 | 244,221 | ||||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33-04/15/36 | 1,785 | 2,028,911 | ||||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23-07/15/34 | 729 | 850,612 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-09/15/36 | 1,311 | 1,529,867 | ||||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-07/15/24 | 21 | 23,589 | ||||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 3,910 | 4,165,847 | ||||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,115 | 1,215,685 | ||||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 12/04/23 | 190 | 239,187 | ||||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 04/26/24 | 500 | 633,255 | ||||||||||||
Israel Government USAID Bond Principal Strip, U.S. Gov’t. Gtd. Notes, PO | 2.633% | (h) | 11/01/24 | 400 | 336,508 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 1.825% | (h) | 10/15/19 | 1,105 | 1,069,558 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (h) | 01/15/30 | 870 | 625,845 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.962% | (h) | 04/15/30 | 1,705 | 1,228,684 | |||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.880% | 04/01/36 | 76 | 110,134 | ||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 1,725 | 2,641,501 | ||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 352,300,759 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 1.8% | ||||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/46 | 425 | 442,548 | ||||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43 | 1,220 | 1,371,880 | ||||||||||||
U.S. Treasury Bonds(l) | 3.000% | 05/15/45 | 3,175 | 3,649,390 | ||||||||||||
U.S. Treasury Bonds | 3.000% | 11/15/45 | 790 | 908,377 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/21 | 7,964 | 8,159,752 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.000% | 02/15/46 | 1,358 | 1,466,008 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 2.375% | 01/15/25 | 8,757 | 10,455,663 | ||||||||||||
U.S. Treasury Notes | 1.125% | 06/30/21 | 50 | 50,248 | ||||||||||||
U.S. Treasury Notes | 2.125% | 12/31/22 | 880 | 927,816 | ||||||||||||
U.S. Treasury Strips Coupon | 2.184% | (h) | 02/15/28 | 2,115 | 1,720,005 | |||||||||||
U.S. Treasury Strips Coupon | 2.241% | (h) | 05/15/28 | 1,055 | 852,580 | |||||||||||
U.S. Treasury Strips Coupon | 2.280% | (h) | 02/15/29 | 1,055 | 838,425 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (h) | 05/15/29 | 2,175 | 1,715,953 | |||||||||||
U.S. Treasury Strips Coupon | 2.519% | (h) | 08/15/25 | 1,930 | 1,669,942 | |||||||||||
U.S. Treasury Strips Coupon | 2.576% | (h) | 08/15/30 | 6,970 | 5,327,568 | |||||||||||
U.S. Treasury Strips Coupon | 2.972% | (h) | 02/15/37 | 4,550 | 2,898,641 | |||||||||||
U.S. Treasury Strips Coupon | 3.103% | (h) | 11/15/34 | 1,430 | 968,808 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.465% | (h) | 05/15/43 | 770 | 403,743 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.543% | (h) | 02/15/45 | 665 | 330,389 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.874% | (h) | 05/15/45 | 710 | 350,140 | |||||||||||
U.S. Treasury Strips Principal, PO | 3.635% | (h) | 05/15/44 | 820 | 419,139 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 44,927,015 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,236,328,560 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SHORT-TERM INVESTMENTS — 17.9% | Shares | Value (Note 2) | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 17.8% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 10,662,349 | $ | 99,053,225 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 340,448,347 | 340,448,347 | ||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 439,501,572 | ||||||||||||||
| Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||||||||||
U.S. Treasury Bills(j) | 0.266% | (o) | 09/15/16 | 2,595 | 2,593,884 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 442,095,456 | ||||||||||||||
TOTAL INVESTMENTS — 108.2% |
| 2,678,424,016 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (8.2)% |
| (203,671,707 | ) | |||||||||||||
NET ASSETS — 100.0% |
| $ | 2,474,752,309 | |||||||||||||
See the Glossary for abbreviations used in the semiannual 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 $33,118,479; cash collateral of $33,764,573 (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 June 30, 2016. |
| (c) | Indicates a security that has been deemed illiquid. |
| (d) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $12,297,102 and 0.5% of net assets. |
| (e) | Interest rate not available as of June 30, 2016. |
| (f) | Indicates a restricted security; the aggregate original cost of the restricted securities is $3,540,288. The aggregate value of $3,478,473 is approximately 0.1% of net assets. |
| (g) | Represents issuer in default on interest payments and/or principal re-payments; non-income producing security. Such securities may be post maturity. |
| (h) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (i) | Represents a Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac. |
| (j) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (k) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $42,000,000 is approximately 1.7% of net assets. |
| (l) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
| (m) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (n) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (o) | Rate quoted represents yield-to-maturity as of purchase date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| (p) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2016:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| Long Positions: | ||||||||||||||||||||||
| 226 | 2 Year U.S. Treasury Notes | Sep. 2016 | $ | 49,245,435 | $ | 49,568,156 | $ | 322,721 | ||||||||||||||
| 637 | 5 Year U.S. Treasury Notes | Sep. 2016 | 76,830,373 | 77,818,508 | 988,135 | |||||||||||||||||
| 377 | 10 Year U.S. Treasury Notes | Sep. 2016 | 48,764,215 | 50,135,110 | 1,370,895 | |||||||||||||||||
| 439 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2016 | 77,708,553 | 81,818,625 | 4,110,072 | |||||||||||||||||
| 15 | Mini MSCI EAFE Index | Sep. 2016 | 1,214,085 | 1,211,400 | (2,685 | ) | ||||||||||||||||
| 86 | S&P 500 E-Mini Index | Sep. 2016 | 8,886,580 | 8,987,860 | 101,280 | |||||||||||||||||
| 74 | S&P 500 Index | Sep. 2016 | 38,512,002 | 38,668,700 | 156,698 | |||||||||||||||||
| 7,047,116 | ||||||||||||||||||||||
| Short Position: | ||||||||||||||||||||||
| 488 | 20 Year U.S. Treasury Bonds | Sep. 2016 | 79,284,053 | 84,103,750 | (4,819,697 | ) | ||||||||||||||||
| $ | 2,227,419 | |||||||||||||||||||||
| A U.S. Treasury Obligation with a market value of $2,593,884 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation, including those sold and pending settlement, with a combined market value of $1,994,325 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016. |
Interest rate swap agreements outstanding at June 30, 2016:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
| 2,270 | 07/11/18 | 0.947% | 3 Month LIBOR(2) | $ | 155 | $ | (9,512 | ) | $ | (9,667 | ) | |||||||||||||
| 21,290 | 01/06/21 | 1.750% | 3 Month LIBOR(1) | 190 | 766,073 | 765,883 | ||||||||||||||||||
| 16,455 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (33,360 | ) | (1,085,054 | ) | (1,051,694 | ) | |||||||||||||||
| 7,020 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 188 | (469,783 | ) | (469,971 | ) | ||||||||||||||||
| 20,465 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 261 | (950,826 | ) | (951,087 | ) | ||||||||||||||||
| 6,240 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 184 | (341,839 | ) | (342,023 | ) | ||||||||||||||||
| 1,900 | 12/31/22 | 1.405% | 3 Month LIBOR(2) | 160 | (35,035 | ) | (35,195 | ) | ||||||||||||||||
| 1,500 | 12/31/22 | 1.406% | 3 Month LIBOR(2) | 158 | (27,800 | ) | (27,958 | ) | ||||||||||||||||
| 2,900 | 12/31/22 | 1.409% | 3 Month LIBOR(2) | 166 | (54,204 | ) | (54,370 | ) | ||||||||||||||||
| 700 | 12/31/22 | 1.412% | 3 Month LIBOR(2) | 154 | (13,204 | ) | (13,358 | ) | ||||||||||||||||
| 1,000 | 12/31/22 | 1.495% | 3 Month LIBOR(2) | 156 | (24,183 | ) | (24,339 | ) | ||||||||||||||||
| 5,570 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 190 | (440,194 | ) | (440,384 | ) | ||||||||||||||||
| 26,340 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 283 | (2,084,880 | ) | (2,085,163 | ) | ||||||||||||||||
| $ | (31,115 | ) | $ | (4,770,441 | ) | $ | (4,739,326 | ) | ||||||||||||||||
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at June 30, 2016:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2016(3) | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally cleared credit default swaps on corporate issues—Sell Protection(2): |
| |||||||||||||||||||||||||||
General Motors Co. | 06/20/19 | 5.000% | 3,310 | 1.179 | % | $ | 372,607 | $ | 366,410 | $ | (6,197 | ) | ||||||||||||||||
General Motors Co. | 06/20/21 | 5.000% | 1,180 | 1.819 | % | 177,632 | 174,193 | (3,439 | ) | |||||||||||||||||||
| $ | 550,239 | $ | 540,603 | $ | (9,636 | ) | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Credit default swap agreements outstanding at June 30, 2016 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at June 30, 2016(5) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swap on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 53,000 | $ | (997,537 | ) | $ | (472,746 | ) | $ | 524,791 | |||||||||||||
A U.S. Treasury Obligation, including those sold and pending settlement, with a market value of $8,367,735 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.
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 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) | 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 an emerging country as of the reporting date 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. |
| (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) | 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. |
Total return swap agreements outstanding at June 30, 2016:
| Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||||
| OTC total return swap agreements: |
| ||||||||||||||||||||||
| | Deutsche Bank AG | | 09/08/16 | 2,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | $ | 112,192 | $ | — | $ | 112,192 | |||||||||||||
| | Deutsche Bank AG | | 09/08/16 | 2,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 141,566 | — | 141,566 | ||||||||||||||||
| | Deutsche Bank AG | | 09/08/16 | 1,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 32,018 | — | 32,018 | ||||||||||||||||
| | Deutsche Bank AG | | 09/08/16 | 1,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 44,400 | — | 44,400 | ||||||||||||||||
| $ | 330,176 | $ | — | $ | 330,176 | |||||||||||||||||||
| (1) | Upfront/ recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,146,475,873 | $ | 44,996,303 | $ | — | ||||||
Exchange Traded Fund | 1,156,718 | — | — | |||||||||
Preferred Stocks | 1,326,600 | 440,053 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | — | 44,558,829 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 61,587,944 | — | |||||||||
Residential Mortgage-Backed Securities | — | 14,184,376 | — | |||||||||
Bank Loans | — | 7,095,933 | 485,000 | |||||||||
Commercial Mortgage-Backed Securities | — | 136,945,969 | — | |||||||||
Corporate Bonds | — | 288,084,208 | — | |||||||||
Municipal Bonds | — | 13,747,615 | — | |||||||||
Non-Corporate Foreign Agencies | — | 19,818,128 | — | |||||||||
Residential Mortgage-Backed Securities | — | 31,729,303 | 11,812,102 | |||||||||
Sovereign Bonds | — | 14,655,832 | — | |||||||||
U.S. Government Agency Obligations | — | 352,300,759 | — | |||||||||
U.S. Treasury Obligations | — | 47,520,899 | — | |||||||||
Affiliated Mutual Funds | 439,501,572 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 2,227,419 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (4,739,326 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreements | — | 515,155 | — | |||||||||
OTC Total Return Swap Agreements | — | 330,176 | — | |||||||||
Total | $ | 1,590,688,182 | $ | 1,073,772,156 | $ | 12,297,102 | ||||||
| * | 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 June 30, 2016 were as follows:
Affiliated Mutual Funds (including 1.4% of collateral for securities on loan) | 17.8 | % | ||
U.S. Government Agency Obligations | 14.2 | |||
Banks | 5.6 | |||
Commercial Mortgage-Backed Securities | 5.5 | |||
Pharmaceuticals | 3.3 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Non-Residential Mortgage-Backed Securities | 2.5 | |||
Residential Mortgage-Backed Securities | 2.4 | |||
Insurance | 2.2 | |||
Software | 2.2 | |||
U.S. Treasury Obligations | 1.9 | |||
Internet Software & Services | 1.9 | |||
Media | 1.9 | |||
Collateralized Loan Obligations | 1.8 | |||
IT Services | 1.7 | |||
Technology Hardware, Storage & Peripherals | 1.7 | |||
Real Estate Investment Trusts (REITs) | 1.6 | |||
Biotechnology | 1.5 |
Diversified Financial Services | 1.4 | % | ||
Diversified Telecommunication Services | 1.4 | |||
Semiconductors & Semiconductor Equipment | 1.3 | |||
Health Care Providers & Services | 1.3 | |||
Beverages | 1.2 | |||
Specialty Retail | 1.2 | |||
Industrial Conglomerates | 1.2 | |||
Aerospace & Defense | 1.2 | |||
Chemicals | 1.2 | |||
Health Care Equipment & Supplies | 1.1 | |||
Food & Staples Retailing | 1.1 | |||
Electric Utilities | 1.1 | |||
Internet & Catalog Retail | 1.0 | |||
Household Products | 1.0 | |||
Capital Markets | 1.0 | |||
Food Products | 0.9 | |||
Tobacco | 0.9 | |||
Hotels, Restaurants & Leisure | 0.8 | |||
Non-Corporate Foreign Agencies | 0.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Industry table (cont.) | ||||
Electric | 0.6 | % | ||
Telecommunications | 0.6 | |||
Machinery | 0.6 | |||
Sovereign Bonds | 0.6 | |||
Multi-Utilities | 0.6 | |||
Healthcare-Services | 0.6 | |||
Municipal Bonds | 0.6 | |||
Energy Equipment & Services | 0.5 | |||
Oil & Gas | 0.5 | |||
Communications Equipment | 0.5 | |||
Airlines | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Road & Rail | 0.4 | |||
Air Freight & Logistics | 0.3 | |||
Auto Manufacturers | 0.3 | |||
Healthcare-Products | 0.3 | |||
Consumer Finance | 0.3 | |||
Retail | 0.3 | |||
Automobiles | 0.3 | |||
Multiline Retail | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Electrical Equipment | 0.3 | |||
Household Durables | 0.3 | |||
Pipelines | 0.2 | |||
Lodging | 0.2 | |||
Computers | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Metals & Mining | 0.2 | |||
Agriculture | 0.2 | |||
Auto Components | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | % | ||
Technology | 0.2 | |||
Containers & Packaging | 0.2 | |||
Professional Services | 0.2 | |||
Transportation | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Commercial Services | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Multi-National | 0.1 | |||
Mining | 0.1 | |||
Housewares | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Food | 0.1 | |||
Packaging & Containers | 0.1 | |||
Building Products | 0.1 | |||
Construction & Engineering | 0.1 | |||
Construction Materials | 0.1 | |||
Personal Products | 0.1 | |||
Distributors | 0.1 | |||
Leisure Products | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Semiconductors | 0.1 | |||
Savings & Loans | 0.1 | |||
Healthcare & Pharmaceutical | 0.1 | |||
Building Materials | 0.1 | |||
| 108.2 | ||||
Liabilities in excess of other assets | (8.2 | ) | ||
| 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.
Fair values of derivative instruments as of June 30, 2016 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 | $ | 524,791 | * | Due from/to broker — variation margin swaps | $ | 9,636 | * | ||||
Equity contracts | Due from/to broker — variation margin futures | 257,978 | * | Due from/to broker — variation margin futures | 2,685 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin futures | 6,791,823 | * | Due from/to broker — variation margin futures | 4,819,697 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 765,883 | * | Due from/to broker — variation margin swaps | 5,505,209 | * | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 330,176 | — | — | ||||||||
Total | $ | 8,670,651 | $ | 10,337,227 | ||||||||
| * | 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.
A30
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (360,735 | ) | $ | (360,735 | ) | ||||||||
Equity contracts | — | — | 1,887,029 | — | 1,887,029 | |||||||||||||||
Interest rate contracts | (630,007 | ) | (448,004 | ) | 2,513,727 | (364,215 | ) | 1,071,501 | ||||||||||||
Total | $ | (630,007 | ) | $ | (448,004 | ) | $ | 4,400,756 | $ | (724,950 | ) | $ | 2,597,795 | |||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (53,516 | ) | $ | (53,516 | ) | ||||||||||
Equity contracts | (34 | ) | — | — | (10,410 | ) | — | (10,444 | ) | |||||||||||||||
Interest rate contracts | — | 300,971 | (177,697 | ) | 1,680,464 | (3,175,584 | ) | (1,371,846 | ) | |||||||||||||||
Total | $ | (34 | ) | $ | 300,971 | $ | (177,697 | ) | $ | 1,670,054 | $ | (3,229,100 | ) | $ | (1,435,806 | ) | ||||||||
| * | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
| $146,237 | $320,433 | $330,868,831 | $94,346,179 | |||
Interest Rate Swap | Credit Default | Credit Default | Total Return Swap | |||
| $153,911 | $53,000 | $4,257 | $4,000 | |||
| (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 | Net Amount | ||||||||||||
Deutsche Bank AG | $ | 330,176 | $ | — | $ | — | $ | 330,176 | ||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged | Net Amount | ||||||||||||
Deutsche Bank AG | $ | — | $ | — | $ | — | $ | — | ||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $33,118,479: | ||||
Unaffiliated investments (cost $1,526,384,732) | $ | 2,238,922,444 | ||
Affiliated investments (cost $442,517,093) | 439,501,572 | |||
Cash | 772 | |||
Foreign currency, at value (cost $359,816) | 360,387 | |||
Receivable for investments sold | 138,309,576 | |||
Dividends and interest receivable | 7,317,312 | |||
Tax reclaim receivable | 589,230 | |||
Due from broker—variation margin futures | 548,084 | |||
Unrealized appreciation on OTC swap agreements | 330,176 | |||
Receivable for Series shares sold | 1,747 | |||
Prepaid expenses | 2,782 | |||
Total Assets | 2,825,884,082 | |||
| LIABILITIES | ||||
Payable for investments purchased | 315,288,707 | |||
Payable to broker for collateral for securities on loan | 33,764,573 | |||
Management fee payable | 1,123,197 | |||
Payable for Series shares repurchased | 653,651 | |||
Accrued expenses and other liabilities | 284,642 | |||
Due to broker—variation margin swaps | 10,692 | |||
Due to broker—variation margin futures | 5,331 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 351,131,773 | |||
| NET ASSETS | $ | 2,474,752,309 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,227,894,020 | ||
Retained earnings | 1,246,858,289 | |||
Net assets, June 30, 2016 | $ | 2,474,752,309 | ||
Net asset value and redemption price per share $2,474,752,309 / 105,367,108 outstanding shares of beneficial interest | $ | 23.49 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax of $275,980, of which $4,550 is reimbursable by an affiliate) | $ | 14,720,824 | ||
Interest income | 13,759,708 | |||
Affiliated dividend income | 1,514,205 | |||
Affiliated income from securities lending, net | 223,963 | |||
Total income | 30,218,700 | |||
| EXPENSES | ||||
Management fee | 6,809,094 | |||
Custodian and accounting fees | 211,000 | |||
Shareholders’ reports | 114,000 | |||
Audit fee | 22,000 | |||
Trustees’ fees | 16,000 | |||
Insurance expenses | 16,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 28,871 | |||
Total expenses | 7,229,965 | |||
| NET INVESTMENT INCOME (LOSS) | 22,988,735 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 18,735,853 | |||
Futures transactions | 4,400,756 | |||
Options written transactions | (448,004 | ) | ||
Swap agreement transactions | (724,950 | ) | ||
Foreign currency transactions | (29,372 | ) | ||
| 21,934,283 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $212,304) | 55,984,303 | |||
Futures | 1,670,054 | |||
Options written | (177,697 | ) | ||
Swap agreements | (3,229,100 | ) | ||
Foreign currencies | 12,567 | |||
| 54,260,127 | ||||
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 76,194,410 | |||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 99,183,145 | ||
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 22,988,735 | $ | 42,958,646 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 21,934,283 | 125,966,448 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 54,260,127 | (158,615,573 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 99,183,145 | 10,309,521 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [193,802 and 6,321,083 shares, respectively] | 4,372,416 | 143,898,043 | ||||||
Series shares repurchased [8,137,670 and 7,700,902 shares, respectively] | (185,373,719 | ) | (174,291,543 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (181,001,303 | ) | (30,393,500 | ) | ||||
| Capital Contributions (Note 4) | 2,299,220 | — | ||||||
| TOTAL INCREASE (DECREASE) | (79,518,938 | ) | (20,083,979 | ) | ||||
| NET ASSETS: | ||||||||
Beginning of period | 2,554,271,247 | 2,574,355,226 | ||||||
End of period | $ | 2,474,752,309 | $ | 2,554,271,247 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
LONG-TERM INVESTMENTS — 89.8% ASSET-BACKED SECURITIES — 11.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Collateralized Loan Obligations — 4.2% | ||||||||||||||||||||
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 2.078% | (a) | 07/15/26 | 500 | $ | 493,932 | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.814% | (a) | 04/20/25 | 3,300 | 3,265,795 | |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.228% | (a) | 10/15/26 | 1,750 | 1,740,521 | |||||||||||||||
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.093% | (a) | 07/17/26 | 1,000 | 996,959 | |||||||||||||||
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.035% | (a) | 10/22/25 | 1,300 | 1,286,536 | |||||||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.233% | (a) | 10/17/26 | 2,750 | 2,736,238 | |||||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A | 2.878% | (a) | 10/15/25 | 1,000 | 996,656 | |||||||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.828% | (a) | 07/15/24 | 900 | 889,900 | |||||||||||||||
Benefit Street Partners CLO V Ltd. (Cayman Islands), | 2.234% | (a) | 10/20/26 | 1,250 | 1,244,194 | |||||||||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.108% | (a) | 01/15/26 | 700 | 694,176 | |||||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.783% | (a) | 04/17/25 | 2,600 | 2,559,760 | |||||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A | 2.094% | (a) | 07/27/26 | 250 | 249,324 | |||||||||||||||
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A | 2.078% | (a) | 07/15/26 | 1,500 | 1,471,922 | |||||||||||||||
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 2.104% | (a) | 01/20/26 | 2,500 | 2,487,537 | |||||||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.033% | (a) | 01/17/26 | 1,250 | 1,238,424 | |||||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.168% | (a) | 04/15/27 | 2,250 | 2,232,595 | |||||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 2.178% | (a) | 07/15/26 | 250 | 246,001 | |||||||||||||||
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 2.108% | (a) | 04/15/26 | 250 | 249,515 | |||||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A | 2.134% | (a) | 07/20/27 | 1,000 | 990,867 | |||||||||||||||
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 2.198% | (a) | 10/25/26 | 4,375 | 4,345,734 | |||||||||||||||
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 701,380 | ||||||||||||||||
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.132% | (a) | 05/07/26 | 1,250 | 1,247,969 | |||||||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.678% | (a) | 04/15/25 | 7,300 | 7,178,221 | |||||||||||||||
Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 1.994% | (a) | 10/20/26 | 750 | 739,512 | |||||||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 2.083% | (a) | 01/18/26 | 3,300 | 3,282,828 | |||||||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.748% | (a) | 07/15/25 | 300 | 296,949 | |||||||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.768% | (a) | 04/15/24 | 4,200 | 4,152,574 | |||||||||||||||
| 48,016,019 | ||||||||||||||||||||
Non-Residential Mortgage-Backed Securities — 2.3% |
| |||||||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 144A | 2.990% | 06/20/22 | 2,500 | 2,581,542 | ||||||||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 3,200 | 3,269,632 | ||||||||||||||||
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A | 2.950% | 03/25/22 | 1,600 | 1,644,132 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Non-Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 1,409 | $ | 1,435,211 | |||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,100 | 4,098,787 | ||||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A | 4.320% | 07/18/25 | 1,100 | 1,057,838 | ||||||||||||||||
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A | 3.660% | 02/20/29 | 2,500 | 2,555,709 | ||||||||||||||||
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A | 4.100% | 03/20/28 | 3,600 | 3,711,948 | ||||||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,200 | 5,230,758 | ||||||||||||||||
| 25,585,557 | ||||||||||||||||||||
Residential Mortgage-Backed Securities — 5.4% |
| |||||||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 1.503% | (a) | 08/25/33 | 1,118 | 1,058,825 | |||||||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 1.353% | (a) | 09/25/33 | 1,199 | 1,124,116 | |||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3 | 4.953% | (a) | 01/25/33 | 2,037 | 1,869,251 | |||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 1.413% | (a) | 09/25/34 | 729 | 725,490 | |||||||||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 3.378% | (a) | 10/25/31 | 355 | 348,147 | |||||||||||||||
Argent Securities, Inc., Series 2003-W2, Class M4 | 3.245% | (a) | 09/25/33 | 2,400 | 2,204,284 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 1.278% | (a) | 05/25/34 | 980 | 930,720 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2 | 1.233% | (a) | 10/25/34 | 1,648 | 1,599,732 | |||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | 1.687% | (a) | 06/15/33 | 1,022 | 975,899 | |||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | 1.492% | (a) | 01/15/34 | 178 | 165,497 | |||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | 1.353% | (a) | 08/25/34 | 1,443 | 1,358,342 | |||||||||||||||
Bayview Opportunity Master Fund liib NPL Trust, Series 2015-NPLA, Class A, 144A | 3.721% | 07/28/35 | 3,812 | 3,807,221 | ||||||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 1.353% | (a) | 03/25/34 | 3,220 | 3,073,991 | |||||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 2.178% | (a) | 04/25/34 | 1,935 | 1,777,954 | |||||||||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | 03/25/34 | 878 | 893,918 | ||||||||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 2.703% | (a) | 08/25/32 | 50 | 44,092 | |||||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.836% | 07/25/34 | 466 | 439,607 | ||||||||||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 1.173% | (a) | 09/25/35 | 2,267 | 2,247,833 | |||||||||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 1.503% | (a) | 12/25/33 | 172 | 164,183 | |||||||||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 1.428% | (a) | 11/25/33 | 1,472 | 1,377,253 | |||||||||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 1.203% | (a) | 02/25/34 | 3,207 | 3,026,194 | |||||||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 1.233% | (a) | 02/25/34 | 1,756 | 1,670,832 | |||||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 1.653% | (a) | 08/25/35 | 489 | 463,132 | |||||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 0.973% | (a) | 06/25/35 | 1,320 | 1,266,177 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.653% | (a) | 05/25/33 | 961 | 909,325 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 1.473% | (a) | 10/25/33 | 695 | 648,720 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.503% | (a) | 12/27/33 | 589 | 568,223 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 1.323% | (a) | 11/25/34 | 3,688 | 3,339,642 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | 1.383% | (a) | 06/25/34 | 1,715 | $ | 1,658,310 | ||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | 1.368% | (a) | 07/25/34 | 1,339 | 1,276,829 | |||||||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 1.578% | (a) | 10/25/33 | 2,398 | 2,304,217 | |||||||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 1.218% | (a) | 02/25/35 | 2,718 | 2,466,673 | |||||||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.221% | 02/25/34 | 931 | 962,369 | ||||||||||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1 | 1.578% | (a) | 12/25/32 | 165 | 152,485 | |||||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | 1.233% | (a) | 02/25/34 | 2,637 | 2,450,615 | |||||||||||||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | 1.218% | (a) | 02/25/35 | 1,038 | 954,573 | |||||||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 1.158% | (a) | 03/25/34 | 2,149 | 1,958,527 | |||||||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 1.653% | (a) | 08/25/34 | 1,400 | 1,231,284 | |||||||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 2,716 | 2,716,024 | ||||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 5,450 | 5,431,286 | ||||||||||||||
| 61,641,792 | ||||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 135,243,368 | ||||||||||||||||
| BANK LOANS(a) — 3.4% | ||||||||||||||||||
Aerospace & Defense — 0.2% | ||||||||||||||||||
TransDigm, Inc. | 3.750% | 05/16/22 | 1,976 | 1,949,029 | ||||||||||||||
Automotive — 0.1% | ||||||||||||||||||
Chrysler Group LLC | 3.250% | 12/31/18 | 581 | 581,167 | ||||||||||||||
Chrysler Group LLC | 3.500% | 05/24/17 | 778 | 777,308 | ||||||||||||||
| 1,358,475 | ||||||||||||||||||
Chemicals — 0.1% | ||||||||||||||||||
Axalta Coating Systems US Holdings | 3.750% | 02/01/20 | 636 | 634,743 | ||||||||||||||
MacDermid, Inc. | 5.500% | 06/07/20 | 1,042 | 1,025,625 | ||||||||||||||
| 1,660,368 | ||||||||||||||||||
Consumer — 0.1% | ||||||||||||||||||
Generac Power Systems, Inc. | 3.500% | 05/31/20 | 1,575 | 1,560,234 | ||||||||||||||
Diversified Manufacturing — 0.1% | ||||||||||||||||||
CeramTec GmbH (Germany) | 4.250% | 08/30/20 | EUR | 900 | 993,785 | |||||||||||||
Gaming — 0.1% | ||||||||||||||||||
CCM Merger, Inc. | 4.500% | 08/06/21 | 1,547 | 1,545,494 | ||||||||||||||
Healthcare & Pharmaceutical — 0.6% | ||||||||||||||||||
Mallinckrodt International Finance (Luxembourg) | 3.500% | 03/19/21 | 1,498 | 1,479,584 | ||||||||||||||
Ortho Clinical Diagnostics | 4.750% | 06/30/21 | 491 | 462,184 | ||||||||||||||
RPI Finance Trust | 3.500% | 11/09/20 | 1,679 | 1,678,097 | ||||||||||||||
Select Med Corp.(b) | 6.000% | 03/03/21 | 1,546 | 1,542,260 | ||||||||||||||
Valeant Pharmaceuticals International, Inc. | 5.000% | 04/01/22 | 1,096 | 1,063,341 | ||||||||||||||
| 6,225,466 | ||||||||||||||||||
Retail — 0.1% | ||||||||||||||||||
Euro Garages (United Kingdom) | 6.091% | 01/30/23 | GBP | 1,000 | 1,304,632 | |||||||||||||
Retailers — 0.1% | ||||||||||||||||||
Rite Aid Corp. | 4.875% | 06/21/21 | 1,375 | 1,374,141 | ||||||||||||||
Supermarkets — 0.1% | ||||||||||||||||||
Albertsons LLC | 4.500% | 08/25/21 | 858 | 855,875 | ||||||||||||||
Technology — 1.4% | ||||||||||||||||||
Action Nederland BV | 4.500% | 02/25/22 | EUR | 1,100 | 1,223,782 | |||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 02/01/23 | 2,768 | 2,765,757 | ||||||||||||||
BMC Software Finance, Inc. | 5.000% | 09/10/20 | 490 | 434,967 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| BANK LOANS(a) (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Technology (continued) | ||||||||||||||||||
Dell International LLC(b) | —% | (c) | 12/31/18 | 2,800 | $ | 2,716,000 | ||||||||||||
Dell International LLC | —% | (c) | 09/30/23 | 800 | 796,889 | |||||||||||||
First Data Corp. | 4.452% | 03/24/21 | 2,604 | 2,593,097 | ||||||||||||||
ON Semiconductor Corp. | 5.250% | 03/31/23 | 575 | 577,464 | ||||||||||||||
Solera Holdings, Inc. | 5.750% | 03/03/23 | 1,097 | 1,095,878 | ||||||||||||||
TransUnion LLC | 3.500% | 04/09/21 | 694 | 686,417 | ||||||||||||||
Vantiv LLC | 2.406% | 06/13/19 | 1,350 | 1,335,376 | ||||||||||||||
Western Digital Corp. | 6.000% | 04/29/23 | EUR | 825 | 917,551 | |||||||||||||
Western Digital Corp. | 6.250% | 04/28/23 | 975 | 977,133 | ||||||||||||||
| 16,120,311 | ||||||||||||||||||
Telecommunications — 0.2% | ||||||||||||||||||
LTS Buyer LLC | 4.000% | 04/13/20 | 1,119 | 1,109,717 | ||||||||||||||
SBA Senior Finance II LLC | 3.250% | 03/24/21 | 1,127 | 1,114,008 | ||||||||||||||
| 2,223,725 | ||||||||||||||||||
Transportation Services — 0.2% | ||||||||||||||||||
Scandlines GmbH (Germany) | 4.500% | 12/03/20 | EUR | 1,675 | 1,860,736 | |||||||||||||
TOTAL BANK LOANS |
| 39,032,271 | ||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 11.5% | ||||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 | 5.356% | 10/10/45 | 800 | 802,512 | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.739% | (a) | 04/10/49 | 1,342 | 1,368,464 | |||||||||||||
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3 | 2.903% | 06/15/49 | 2,300 | 2,379,070 | ||||||||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A | 2.292% | (a) | 12/15/27 | 5,000 | 4,953,216 | |||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,472,343 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4 | 3.209% | 05/10/49 | 5,200 | 5,466,476 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4 | 3.314% | 04/10/49 | 100 | 106,116 | ||||||||||||||
COMM Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | 2,061,497 | ||||||||||||||
COMM Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,900 | 4,094,942 | ||||||||||||||
COMM Mortgage Trust, Series 2014-UBS4, Class A4 | 3.420% | 08/10/47 | 3,200 | 3,397,788 | ||||||||||||||
COMM Mortgage Trust, Series 2014-UBS5, Class A4 | 3.838% | 09/10/47 | 3,600 | 3,938,358 | ||||||||||||||
COMM Mortgage Trust, Series 2015-DC1, Class A4 | 3.078% | 02/10/48 | 5,000 | 5,223,311 | ||||||||||||||
COMM Mortgage Trust, Series 2015-LC21, Class A4 | 3.708% | 07/10/48 | 2,600 | 2,847,740 | ||||||||||||||
COMM Mortgage Trust, Series 2015-PC1, Class A5 | 3.902% | 07/10/50 | 2,100 | 2,307,544 | ||||||||||||||
COMM Mortgage Trust, Series 2016-DC2, Class A5 | 3.765% | 02/10/49 | 600 | 655,667 | ||||||||||||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A | 3.673% | (a) | 09/10/35 | 3,000 | 3,032,848 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.795% | (a) | 06/25/20 | 8,989 | 431,914 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.584% | (a) | 05/25/22 | 28,063 | 1,980,276 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.620% | (a) | 06/25/22 | 16,016 | 1,149,526 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 1.013% | (a) | 10/25/22 | 11,004 | 494,614 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO | 0.946% | (a) | 01/25/23 | 137,994 | 5,872,921 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO | 0.881% | (a) | 01/25/25 | 83,723 | 4,334,773 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.369% | (a) | 03/25/26 | 28,050 | 2,939,637 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.610% | (a) | 08/25/16 | 5,140 | $ | 1,124 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.894% | (a) | 05/25/19 | 22,079 | 931,276 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.818% | (a) | 07/25/19 | 26,878 | 1,159,181 | |||||||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 4,600 | 4,819,173 | ||||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4 | 3.493% | 08/15/47 | 3,200 | 3,455,919 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 2,000 | 2,064,221 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3 | 6.131% | (a) | 02/15/51 | 132 | 131,470 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 4,600 | 4,806,801 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 4,600 | 4,750,679 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5 | 3.914% | 01/15/49 | 3,200 | 3,570,275 | ||||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 | 6.021% | (a) | 06/12/50 | 22 | 22,365 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A | 1.886% | (a) | 08/15/45 | 49,908 | 3,060,181 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,781,610 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,393,541 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | 4.104% | (a) | 07/15/46 | 4,800 | 5,342,723 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | 3.766% | 11/15/46 | 4,000 | 4,395,824 | ||||||||||||||
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB | 5.654% | (a) | 04/15/49 | 740 | 743,799 | |||||||||||||
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A | 3.126% | 07/05/36 | 3,400 | 3,528,306 | ||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,811,647 | ||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | 3,977,585 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 4,238 | 4,299,509 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | 5.889% | (a) | 06/15/49 | 2,079 | 2,137,375 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | 4,647,181 | ||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 130,143,318 | ||||||||||||||||
| CORPORATE BONDS — 46.7% | ||||||||||||||||||
Aerospace & Defense — 0.1% | ||||||||||||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 1.125% | 12/15/21 | EUR | 700 | 801,635 | |||||||||||||
Agriculture — 0.5% | ||||||||||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 873 | 1,570,478 | ||||||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | 2,395,596 | ||||||||||||||
Reynolds American, Inc., Gtd. Notes | 3.500% | 08/04/16 | 515 | 516,065 | ||||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 895 | 1,061,114 | ||||||||||||||
| 5,543,253 | ||||||||||||||||||
Airlines — 0.6% | ||||||||||||||||||
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA | 3.575% | 01/15/28 | 1,835 | 1,939,999 | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 1 | 869 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Airlines (continued) | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 5.983% | 04/19/22 | 1,429 | $ | 1,600,334 | |||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 412 | 438,234 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 1,028 | 1,195,104 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 429 | 453,876 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 474 | 504,961 | ||||||||||||
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A | 6.636% | 07/02/22 | 770 | 816,339 | ||||||||||||
| 6,949,716 | ||||||||||||||||
Apparel — 0.2% | ||||||||||||||||
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A | 3.500% | 06/15/24 | EUR | 575 | 646,085 | |||||||||||
PVH Corp., Sr. Unsec’d. Notes, 144A | 3.625% | 07/15/24 | EUR | 1,250 | 1,402,800 | |||||||||||
| 2,048,885 | ||||||||||||||||
Auto Manufacturers — 0.8% | ||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,665 | 1,762,374 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 2.375% | 01/16/18 | 2,225 | 2,252,367 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN | 4.389% | 01/08/26 | 1,095 | 1,195,355 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 1,350 | 1,437,130 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,885 | 2,093,958 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 210 | 240,809 | ||||||||||||
| 8,981,993 | ||||||||||||||||
Auto Parts & Equipment — 0.1% |
| |||||||||||||||
LKQ Italia Bondco SpA, Gtd. Notes, 144A | 3.875% | 04/01/24 | EUR | 1,275 | 1,450,311 | |||||||||||
Banks — 10.9% |
| |||||||||||||||
Bank of America Corp., Jr. Sub. Notes, Series K | 8.000% | (a) | 07/29/49 | 3,500 | 3,478,125 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,775 | 2,055,127 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 4,825,499 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 4,275 | 4,399,603 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 1,150 | 1,227,387 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 4,033,421 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 1,340 | 1,340,643 | ||||||||||||
Bank of America Corp., Sub. Notes, GMTN | 4.450% | 03/03/26 | 1,735 | 1,814,699 | ||||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 790 | 811,304 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,290 | 1,302,513 | ||||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes | 2.850% | 04/01/21 | 3,700 | 3,890,050 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,400 | 2,503,886 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 5.250% | 02/21/17 | 2,460 | 2,517,707 | ||||||||||||
Capital One Financial Corp., Sub. Notes | 6.150% | 09/01/16 | 700 | 705,445 | ||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 1,350 | 1,373,625 | ||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 4,000 | 4,185,000 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series Q | 5.950% | (a) | 12/29/49 | 1,355 | 1,320,143 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series R | 6.125% | (a) | 12/29/49 | 1,085 | 1,101,275 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 2,995 | 4,671,101 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,405 | 1,447,306 | ||||||||||||
Credit Suisse/New York NY (Switzerland), | 3.625% | 09/09/24 | 1,050 | 1,086,295 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes | 3.700% | 05/30/24 | 1,650 | 1,640,186 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 1,790 | 1,796,161 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,202,832 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,283,499 | ||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | 435,227 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M | 5.375% | (a) | 12/29/49 | 1,950 | 1,928,394 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banks (continued) |
| |||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 125 | $ | 131,563 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 4,200 | 4,876,032 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,460,006 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,840,558 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D | 6.000% | 06/15/20 | 2,420 | 2,761,305 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 542,755 | ||||||||||||
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A | 7.250% | (a) | 12/29/49 | 2,380 | 2,385,945 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | (a) | 12/29/49 | 6,130 | 6,252,600 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series X | 6.100% | (a) | 10/29/49 | 1,450 | 1,495,312 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d) | 2.750% | 06/23/20 | 5,400 | 5,564,333 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.200% | 06/15/26 | 3,020 | 3,104,041 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 522,713 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 653,970 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.250% | 10/01/27 | 420 | 444,374 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 715 | 785,054 | ||||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN | 5.100% | 03/24/21 | 1,155 | 1,299,286 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 2,650 | 2,964,486 | ||||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,132,984 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | (a) | 07/29/49 | 975 | 936,000 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,189,078 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 1,535 | 1,625,834 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 4,035 | 4,121,260 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 2,080 | 2,375,100 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 2,923,554 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 750 | 784,588 | ||||||||||||
Northern Trust Corp., Sub. Notes | 3.950% | 10/30/25 | 2,725 | 3,042,266 | ||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 561,403 | ||||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 1,046,029 | ||||||||||||
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 2.875% | 10/16/20 | 1,550 | 1,538,025 | ||||||||||||
State Street Corp., Jr. Sub. Notes | 4.956% | 03/15/18 | 3,025 | 3,170,375 | ||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 625 | 638,330 | ||||||||||||
| 123,545,612 | ||||||||||||||||
Beverages — 0.4% | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 2,130 | 2,393,541 | ||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.900% | 02/01/46 | 570 | 667,950 | ||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | 392,215 | ||||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes | 6.750% | 01/01/20 | 1,250 | 1,303,125 | ||||||||||||
| 4,756,831 | ||||||||||||||||
Biotechnology — 0.3% | ||||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 2,948 | 3,080,109 | ||||||||||||
Building Materials — 0.5% |
| |||||||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 1,200 | 1,320,000 | ||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 4.750% | 01/11/22 | EUR | 900 | 998,779 | |||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 3,000 | 3,052,500 | ||||||||||||
US Concrete, Inc., Gtd. Notes, 144A | 6.375% | 06/01/24 | 600 | 600,000 | ||||||||||||
| 5,971,279 | ||||||||||||||||
Chemicals — 1.7% |
| |||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 870 | 901,622 | ||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 5.250% | 01/15/45 | 420 | 450,519 | ||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 6.125% | 01/15/41 | 450 | 533,979 | ||||||||||||
Ashland, Inc., Sr. Unsec’d. Notes | 6.875% | 05/15/43 | 3,000 | 3,000,000 | ||||||||||||
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holdings BV, Gtd. Notes, 144A | 7.375% | 05/01/21 | 1,200 | 1,264,500 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 4.950% | 06/01/43 | 675 | 620,689 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Chemicals (continued) |
| |||||||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | $ | 660,138 | |||||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 412,865 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 7.125% | 05/01/20 | 300 | 346,139 | ||||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 125 | 132,371 | ||||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,002 | 1,566,797 | ||||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 4,162,311 | ||||||||||||||
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A | 6.750% | 09/19/42 | 1,065 | 1,086,300 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 465 | 514,259 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | 171,914 | ||||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,878,786 | ||||||||||||||
| 19,703,189 | ||||||||||||||||||
Commercial Services — 1.4% |
| |||||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,430,853 | ||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., Gtd. Notes, 144A | 6.375% | 04/01/24 | 650 | 643,500 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 920 | 1,218,908 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 770 | 1,049,028 | ||||||||||||||
Hertz Corp. (The), Gtd. Notes(g) | 6.750% | 04/15/19 | 1,500 | 1,531,357 | ||||||||||||||
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | 8.600% | 08/15/16 | 4,750 | 4,785,625 | ||||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.625% | 10/01/18 | 2,000 | 2,220,000 | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 07/15/25 | 650 | 640,250 | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 2,700 | 2,882,250 | ||||||||||||||
| 16,401,771 | ||||||||||||||||||
Computers — 0.7% |
| |||||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.250% | 02/23/26 | 2,260 | 2,399,162 | ||||||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 905 | 927,091 | ||||||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 770 | 792,539 | ||||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.450% | 10/05/17 | 3,360 | 3,403,545 | ||||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.850% | 10/05/18 | 630 | 645,158 | ||||||||||||||
| 8,167,495 | ||||||||||||||||||
Diversified Financial Services — 1.0% |
| |||||||||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 4.125% | 02/13/22 | 3,000 | 2,977,500 | ||||||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 2.342% | 11/15/20 | 982 | 1,011,618 | ||||||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 619 | 694,262 | ||||||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 330,549 | ||||||||||||||
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 | 645,407 | ||||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(h) | 6.875% | 05/02/18 | 2,740 | 191,800 | ||||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 01/25/17 | 1,075 | 1,088,437 | ||||||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 950 | 951,640 | ||||||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A | 7.250% | 12/15/21 | 1,625 | 1,555,937 | ||||||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(e) | 1.360% | (a) | 07/03/33 | 390 | 336,417 | |||||||||||||
| 11,283,317 | ||||||||||||||||||
Electric — 4.0% |
| |||||||||||||||||
AES Corp. (The), Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 5,000 | 5,012,500 | ||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 581,604 | ||||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.375% | 01/15/23 | 800 | 780,000 | ||||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.500% | 02/01/24 | 1,500 | 1,447,500 | ||||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.750% | 01/15/25 | 1,350 | 1,312,875 | ||||||||||||||
Dominion Resources Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,710 | 2,867,814 | ||||||||||||||
Duke Energy Corp., Sr. Unsec’d. Notes | 2.100% | 06/15/18 | 3,775 | 3,808,465 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Electric (continued) |
| |||||||||||||||||
Dynegy, Inc., Gtd. Notes | 5.875% | 06/01/23 | 2,400 | $ | 2,112,000 | |||||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 2,500 | 2,412,500 | ||||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,846,728 | ||||||||||||||
Emera US Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 820 | 839,056 | ||||||||||||||
Enel Finance International NV (Italy), Gtd. Notes, 144A | 6.000% | 10/07/39 | 1,450 | 1,713,510 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.200% | 10/01/17 | 1,930 | 2,039,259 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,900 | 2,087,057 | ||||||||||||||
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A | 2.750% | 03/15/18 | 1,800 | 1,822,415 | ||||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 435,810 | ||||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,345,972 | ||||||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 344,068 | ||||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 1,345 | 1,522,478 | ||||||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 3,263 | 3,214,055 | ||||||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | 4.600% | 06/15/43 | 1,950 | 2,231,494 | ||||||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,291,788 | ||||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 1,947 | 2,012,521 | ||||||||||||||
| 45,081,469 | ||||||||||||||||||
Electronics — 0.1% |
| |||||||||||||||||
Honeywell International, Inc., Sr. Unsec’d. Notes | 0.650% | 02/21/20 | EUR | 900 | 1,013,175 | |||||||||||||
Energy – Alternate Sources — 0.1% |
| |||||||||||||||||
ContourGlobal Power Holdings SA (France), Sr. Sec’d. Notes, 144A | 5.125% | 06/15/21 | EUR | 1,350 | 1,473,149 | |||||||||||||
Engineering & Construction |
| |||||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 1,275 | 507,450 | ||||||||||||||
Entertainment — 0.3% |
| |||||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.375% | 06/01/24 | 425 | 437,750 | ||||||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 1,508 | 1,492,920 | ||||||||||||||
CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, RegS | 7.000% | 08/28/20 | GBP | 1,100 | 1,500,992 | |||||||||||||
| 3,431,662 | ||||||||||||||||||
Environmental Control — 0.2% |
| |||||||||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 2,500 | 2,575,000 | ||||||||||||||
Food — 1.1% |
| |||||||||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 2,000 | 2,000,000 | ||||||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 1,925 | 1,944,250 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(e)(f) | 7.250% | 06/01/21 | 1,330 | 1,376,550 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), | 5.750% | 06/15/25 | 2,025 | 1,903,500 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 3.000% | 06/01/26 | 1,360 | 1,371,122 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 4.375% | 06/01/46 | 400 | 423,009 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 725 | 831,518 | ||||||||||||||
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | 12.250% | 02/10/22 | 725 | 783,000 | ||||||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.000% | 12/15/22 | 1,500 | 1,537,500 | ||||||||||||||
| 12,170,449 | ||||||||||||||||||
Food Service |
| |||||||||||||||||
Aramark Corp., Gtd. Notes | 5.750% | 03/15/20 | 252 | 259,560 | ||||||||||||||
Forest Products & Paper — 0.3% |
| |||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 800,069 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,314,814 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 1,640 | 1,848,588 | ||||||||||||||
| 3,963,471 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Gas — 0.1% |
| |||||||||||||||||||
AGL Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | $ | 1,073,973 | |||||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $440,059; purchased 07/22/14)(e)(f) | 6.375% | 03/30/38 | 421 | 418,503 | ||||||||||||||||
| 1,492,476 | ||||||||||||||||||||
Healthcare-Products — 0.7% |
| |||||||||||||||||||
ConvaTec Finance International SA (Luxembourg), Gtd. Notes, PIK, 144A | 8.250% | 01/15/19 | 2,300 | 2,256,875 | ||||||||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,435 | 3,744,579 | ||||||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,358 | 1,536,088 | ||||||||||||||||
| 7,537,542 | ||||||||||||||||||||
Healthcare-Services — 2.6% |
| |||||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,577,004 | ||||||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 385 | 401,795 | ||||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(g) | 7.125% | 07/15/20 | 750 | 695,318 | ||||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes | 8.000% | 11/15/19 | 3,400 | 3,327,750 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 809,160 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.375% | 03/15/17 | 2,125 | 2,175,290 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 920,285 | ||||||||||||||||
DaVita HealthCare Partners, Inc., Gtd. Notes | 5.000% | 05/01/25 | 500 | 495,625 | ||||||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 2,705 | 2,779,388 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 5,025 | 5,150,625 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 725 | 752,188 | ||||||||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 300 | 294,000 | ||||||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 240 | 248,251 | ||||||||||||||||
Select Medical Corp., Gtd. Notes(g) | 6.375% | 06/01/21 | 2,600 | 2,496,000 | ||||||||||||||||
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, RegS(e) | 6.250% | 07/01/22 | EUR | 1,100 | 1,287,870 | |||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 500 | 491,250 | ||||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,607,288 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 1,260 | 1,318,274 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 1,059,906 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 275,660 | ||||||||||||||||
| 29,162,927 | ||||||||||||||||||||
Home Builders — 0.9% |
| |||||||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 2,000 | 1,890,000 | ||||||||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 3,500 | 3,718,750 | ||||||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.250% | 04/15/21 | 2,175 | 2,169,562 | ||||||||||||||||
William Lyon Homes, Inc., Gtd. Notes | 8.500% | 11/15/20 | 2,000 | 2,055,000 | ||||||||||||||||
| 9,833,312 | ||||||||||||||||||||
Home Furnishings — 0.1% |
| |||||||||||||||||||
Tempur Sealy International, Inc., Gtd. Notes, 144A | 5.500% | 06/15/26 | 650 | 638,625 | ||||||||||||||||
Housewares — 0.1% |
| |||||||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 670 | 726,314 | ||||||||||||||||
Insurance — 2.9% |
| |||||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 430 | 478,768 | ||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 7.500% | 08/01/16 | 2,475 | 2,486,633 | ||||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 3.300% | 03/01/21 | 3,960 | 4,091,096 | ||||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,075 | 1,040,002 | ||||||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 2.750% | 03/15/23 | 4,760 | 4,918,184 | ||||||||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375% | (a) | 04/15/37 | 1,775 | 1,544,250 | |||||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 3.350% | 05/03/26 | 740 | 788,765 | ||||||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 115 | 132,298 | ||||||||||||||||
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,620,181 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Insurance (continued) |
| |||||||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | $ | 568,648 | |||||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,263,692 | ||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 1,265 | 1,629,044 | ||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 1,265 | 1,496,393 | ||||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 373,248 | ||||||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (a) | 10/16/44 | 2,075 | 2,232,941 | |||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | 639,568 | ||||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 850 | 960,362 | ||||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 158,661 | ||||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (a) | 06/15/37 | 1,015 | 931,263 | |||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 2,310 | 3,138,033 | ||||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | 561,364 | ||||||||||||||
XLIT Ltd. (Ireland), Gtd. Notes, Series E | 6.500% | (a) | 10/29/49 | 1,880 | 1,306,600 | |||||||||||||
| 32,359,994 | ||||||||||||||||||
Leisure Time — 0.1% |
| |||||||||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 8.500% | 10/15/22 | 1,550 | 1,321,375 | ||||||||||||||
Lodging — 0.5% |
| |||||||||||||||||
Boyd Gaming Corp., Gtd. Notes, 144A | 6.375% | 04/01/26 | 575 | 600,875 | ||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,376,296 | ||||||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 3,325 | 3,615,938 | ||||||||||||||
| 5,593,109 | ||||||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||||
CNH Industrial Capital LLC, Gtd. Notes(g) | 4.875% | 04/01/21 | 1,050 | 1,068,375 | ||||||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/98 | 1,100 | 1,253,973 | ||||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,137,023 | ||||||||||||||
| 4,459,371 | ||||||||||||||||||
Media — 3.6% |
| |||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 86,951 | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,957,711 | ||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 2,000 | 2,112,500 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | 5.500% | 05/01/26 | 3,300 | 3,349,500 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | 5.875% | 04/01/24 | 800 | 830,000 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | 5.875% | 05/01/27 | 1,000 | 1,032,500 | ||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., | 5.125% | 12/15/21 | 700 | 665,000 | ||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., | 7.750% | 07/15/25 | 1,500 | 1,563,750 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.384% | 10/23/35 | 710 | 840,771 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 855 | 1,020,888 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 225 | 267,528 | ||||||||||||||
Comcast Corp., Gtd. Notes | 3.150% | 03/01/26 | 1,190 | 1,266,622 | ||||||||||||||
DISH DBS Corp., Gtd. Notes | 4.250% | 04/01/18 | 2,850 | 2,907,000 | ||||||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 6.125% | 01/31/46 | 495 | 546,614 | ||||||||||||||
Historic TW, Inc., Gtd. Notes | 6.625% | 05/15/29 | 1,837 | 2,395,951 | ||||||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes | 8.250% | 02/01/30 | 2,250 | 2,334,375 | ||||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.375% | 07/28/17 | 1,035 | 1,074,806 | ||||||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 324,665 | ||||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | 5.000% | 04/15/22 | 1,500 | 1,530,000 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Media (continued) |
| |||||||||||||||
Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A | 5.875% | 03/15/26 | 775 | $ | 790,500 | |||||||||||
Sky PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 224,528 | ||||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,074,756 | ||||||||||||
TEGNA, Inc., Gtd. Notes, 144A | 4.875% | 09/15/21 | 475 | 486,875 | ||||||||||||
Time Warner Cable, Inc., Gtd. Notes | 6.750% | 07/01/18 | 2,620 | 2,872,932 | ||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,547,608 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, RegS | 4.000% | 01/15/25 | EUR | 1,100 | 1,227,371 | |||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A | 5.125% | 02/15/25 | 1,175 | 1,161,781 | ||||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 1,140 | 1,128,600 | ||||||||||||
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 7.250% | 11/15/21 | 1,035 | 1,078,987 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 95 | 78,819 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 475 | 419,335 | ||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), | 6.000% | 04/15/21 | GBP | 945 | 1,292,633 | |||||||||||
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, RegS | 3.750% | 01/15/25 | EUR | 1,000 | 1,082,011 | |||||||||||
| 40,573,868 | ||||||||||||||||
Mining — 0.4% |
| |||||||||||||||
Alcoa, Inc., Sr. Unsec’d. Notes | 5.125% | 10/01/24 | 425 | 423,937 | ||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.750% | (a) | 10/19/75 | 1,730 | 1,838,125 | |||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | 849,823 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 820 | 772,500 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | 1,020,818 | ||||||||||||
| 4,905,203 | ||||||||||||||||
Miscellaneous Manufacturing — 0.5% |
| |||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 500 | 549,964 | ||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 740 | 853,945 | ||||||||||||
General Electric Co., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 194 | 262,379 | ||||||||||||
General Electric Co., Sub. Notes | 5.300% | 02/11/21 | 340 | 394,464 | ||||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 524,569 | ||||||||||||
Pentair Finance SA (United Kingdom), Gtd. Notes | 1.875% | 09/15/17 | 625 | 623,864 | ||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,702,274 | ||||||||||||
| 5,911,459 | ||||||||||||||||
Multi-National — 0.1% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,180 | 1,193,181 | ||||||||||||
Office & Business Equipment — 0.1% |
| |||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.000% | 09/01/23 | 1,150 | 1,158,038 | ||||||||||||
Oil & Gas — 1.1% |
| |||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (i) | 10/10/36 | 2,000 | 755,580 | |||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 340 | 391,718 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 645 | 778,841 | ||||||||||||
Lukoil International Finance BV (Russia), Gtd. Notes, 144A | 6.125% | 11/09/20 | 600 | 654,034 | ||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,650 | 1,514,093 | ||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,645,454 | ||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 1,891,834 | ||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 510 | 571,054 | ||||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 2,525 | 2,530,050 | ||||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A | 6.250% | 04/15/21 | 2,100 | 2,094,750 | ||||||||||||
| 12,827,408 | ||||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 7.000% | 07/15/38 | 450 | 583,189 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Packaging & Containers — 0.6% |
| |||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/23 | EUR | 1,125 | $ | 1,345,231 | ||||||||||
Greif Nevada Holdings, Sr. Unsec’d. Notes, MTN, 144A | 7.375% | 07/15/21 | EUR | 1,470 | 1,902,573 | |||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 2,019,187 | ||||||||||||
WestRock RKT Co., Gtd. Notes | 4.450% | 03/01/19 | 1,165 | 1,231,072 | ||||||||||||
| 6,498,063 | ||||||||||||||||
Pharmaceuticals — 0.9% |
| |||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,020 | 1,068,787 | ||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,715 | 1,792,455 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 875 | 911,599 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,670 | 1,716,294 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 385 | 404,278 | ||||||||||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 625 | 546,875 | ||||||||||||
Johnson & Johnson, Sr. Unsec’d. Notes | 3.550% | 03/01/36 | 270 | 298,296 | ||||||||||||
Johnson & Johnson, Sr. Unsec’d. Notes | 3.700% | 03/01/46 | 550 | 619,296 | ||||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 4.150% | 05/18/43 | 2,075 | 2,324,409 | ||||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 6.125% | 04/15/25 | 450 | 361,125 | ||||||||||||
| 10,043,414 | ||||||||||||||||
Pipelines — 0.4% |
| |||||||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 4.900% | 05/15/46 | 2,900 | 3,124,243 | ||||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 748,964 | ||||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 539,249 | ||||||||||||
| 4,412,456 | ||||||||||||||||
Real Estate |
| |||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 9,417 | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 2,000 | 2,097,500 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 347,882 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 10.350% | 04/01/19 | 1,685 | 2,052,438 | ||||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A | 5.250% | 12/15/24 | 1,235 | 1,262,787 | ||||||||||||
| 5,760,607 | ||||||||||||||||
Retail — 0.7% |
| |||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 765 | 949,041 | ||||||||||||
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | 4.500% | 08/01/23 | EUR | 1,425 | 1,648,610 | |||||||||||
Landry’s, Inc., Gtd. Notes, 144A | 9.375% | 05/01/20 | 1,616 | 1,696,800 | ||||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 2,200 | 2,367,200 | ||||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A | 8.000% | 06/15/22 | 1,350 | 1,188,000 | ||||||||||||
| 7,849,651 | ||||||||||||||||
Savings & Loans — 0.2% |
| |||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | 1,724,096 | ||||||||||||
Semiconductors — 0.6% |
| |||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 3.750% | 06/01/18 | 1,925 | 1,963,500 | ||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 4.625% | 06/01/23 | 3,250 | 3,306,875 | ||||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,750 | 1,757,682 | ||||||||||||
| �� | 7,028,057 | |||||||||||||||
Software — 0.8% |
| |||||||||||||||
Fidelity National Information Services, Inc., Gtd. Notes | 5.000% | 10/15/25 | 1,050 | 1,191,989 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 4.500% | 10/15/22 | 2,355 | 2,608,243 | ||||||||||||
First Data Corp., Gtd. Notes, 144A | 7.000% | 12/01/23 | 2,225 | 2,252,812 | ||||||||||||
Infor US, Inc., Gtd. Notes | 6.500% | 05/15/22 | 950 | 897,161 | ||||||||||||
Infor US, Inc., Sr. Sec’d. Notes, 144A | 5.750% | 08/15/20 | 1,350 | 1,414,125 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,137,971 | ||||||||||||
| 9,502,301 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Telecommunications — 2.3% |
| |||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 235 | $ | 288,135 | |||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 103 | 148,139 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 2,320 | 2,373,144 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 300 | 306,898 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 850 | 871,142 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,515 | 1,555,316 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 483 | 528,350 | ||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.125% | 03/11/23 | 1,305 | 1,410,214 | ||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.350% | 05/20/24 | 690 | 762,578 | ||||||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | 14.750% | 12/01/16 | 800 | 839,000 | ||||||||||||
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | 6.625% | 06/01/20 | 1,142 | 1,179,115 | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 2,016 | 1,436,400 | ||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,241,500 | ||||||||||||
Sprint Corp., Gtd. Notes | 7.625% | 02/15/25 | 500 | 395,625 | ||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.500% | 01/15/26 | 1,675 | 1,767,125 | ||||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN | 6.375% | 06/24/19 | GBP | 950 | 1,391,808 | |||||||||||
Verizon Communications, Inc., Sr. Unsec���d. Notes | 4.522% | 09/15/48 | 1,679 | 1,748,343 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,796 | 2,827,986 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 800,359 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,362 | 3,555,490 | ||||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A | 9.125% | 04/30/18 | 200 | 220,963 | ||||||||||||
| 25,647,630 | ||||||||||||||||
Textiles |
| |||||||||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 294 | 309,807 | ||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Silk Bidco AS (Norway), Sr. Sec’d. Notes, RegS | 7.500% | 02/01/22 | EUR | 1,300 | 1,458,911 | |||||||||||
TOTAL CORPORATE BONDS |
| 529,682,582 | ||||||||||||||
| FOREIGN AGENCIES — 1.8% | ||||||||||||||||
CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS | 6.875% | 01/21/18 | 1,100 | 1,181,424 | ||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 744,988 | ||||||||||||
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes | 4.125% | 01/16/25 | 100 | 90,470 | ||||||||||||
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A | 5.375% | 11/04/16 | 790 | 798,714 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 6.510% | 03/07/22 | 1,665 | 1,819,346 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 4.950% | 07/19/22 | 390 | 403,946 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), | 2.125% | 04/13/21 | 600 | 609,927 | ||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), | 9.125% | 07/02/18 | 2,910 | 3,230,682 | ||||||||||||
Korea Development Bank (The) (South Korea), | 4.625% | 11/16/21 | 600 | 679,866 | ||||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS | 4.250% | 11/02/20 | 1,750 | 1,936,149 | ||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), | 4.750% | 07/13/21 | 250 | 282,494 | ||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 10/17/16 | 2,500 | 2,537,500 | ||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 01/20/20 | 1,500 | 1,714,500 | ||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 8.375% | 05/23/21 | 1,575 | 1,625,400 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/24/22 | 1,100 | 1,124,629 | ||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,263,484 | ||||||||||||
TOTAL FOREIGN AGENCIES |
| 20,043,519 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| MUNICIPAL BONDS — 1.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
California — 0.7% |
| |||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | $ | 1,769,895 | |||||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,450,278 | ||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,143,702 | ||||||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,887,606 | ||||||||||||||
| 8,251,481 | ||||||||||||||||||
Colorado — 0.1% |
| |||||||||||||||||
Regional Transportation District, Revenue Bonds, | 5.844% | 11/01/50 | 770 | 1,122,321 | ||||||||||||||
Illinois — 0.2% |
| |||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | 1,961,891 | ||||||||||||||
New Jersey — 0.4% |
| |||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.102% | 01/01/41 | 1,175 | 1,786,764 | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.414% | 01/01/40 | 2,050 | 3,208,947 | ||||||||||||||
| 4,995,711 | ||||||||||||||||||
Ohio — 0.1% |
| |||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | 880,412 | ||||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 542,880 | ||||||||||||||
| 1,423,292 | ||||||||||||||||||
Oregon — 0.1% |
| |||||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, | 5.834% | 11/15/34 | 615 | 840,822 | ||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 800 | 1,051,112 | ||||||||||||||
Tennessee — 0.2% |
| |||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,905,613 | ||||||||||||||
TOTAL MUNICIPAL BONDS |
| 21,552,243 | ||||||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.0% | ||||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 241 | 242,130 | ||||||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.601% | (a) | 08/26/36 | 3,003 | 2,769,295 | |||||||||||||
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A | 2.774% | (a) | 09/25/47 | 1,175 | 1,047,526 | |||||||||||||
CSMC, Series 2015-12R, Class 1A1, 144A(b) | 2.434% | (a) | 10/30/47 | 1,805 | 1,800,337 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(j) | 1.953% | (a) | 02/25/25 | 531 | 531,309 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 3.303% | (a) | 04/25/28 | 1,300 | 1,336,444 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 2.446% | (a) | 12/25/28 | 1,550 | 1,560,324 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 2.703% | (a) | 11/25/28 | 1,450 | 1,458,406 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A | 0.586% | (a) | 01/26/37 | 3,816 | 3,658,671 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A | 0.586% | (a) | 01/26/37 | 1,400 | 1,112,184 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A | 0.586% | (a) | 03/26/37 | 2,980 | 2,819,766 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A | 0.586% | (a) | 03/26/37 | 700 | 537,677 | |||||||||||||
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1 | 0.668% | (a) | 07/19/47 | 2,416 | 1,947,369 | |||||||||||||
LSTAR Securities Investment Ltd., Series 2016-2, Class A, 144A | 2.439% | (a) | 03/01/21 | 2,295 | 2,246,413 | |||||||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(b) | 2.457% | (a) | 12/01/21 | 781 | 766,919 | |||||||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(b) | 2.457% | (a) | 05/01/20 | 6,231 | 6,090,548 | |||||||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.978% | (a) | 07/01/20 | 4,398 | 4,321,397 | |||||||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.439% | (a) | 08/01/20 | 3,121 | 3,063,366 | |||||||||||||
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A | 2.457% | (a) | 10/01/20 | 4,598 | 4,513,257 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A2, 144A(b) | 3.939% | (a) | 11/01/20 | 1,500 | $ | 1,432,500 | ||||||||||||
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A | 2.439% | (a) | 01/01/21 | 6,003 | 5,825,969 | |||||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 47 | 47,040 | ||||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.830% | (a) | 02/25/34 | 978 | 967,509 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1 | 2.707% | (a) | 12/25/34 | 5,534 | 5,344,278 | |||||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | 3.453% | (a) | 07/25/32 | 593 | 573,254 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 199 | 198,131 | ||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 56,212,019 | ||||||||||||||||
| SOVEREIGN BONDS — 4.0% | ||||||||||||||||||
Argentina Bonar Bonds (Argentina), Sr. Unsec’d. Notes | 7.000% | 04/17/17 | 1,060 | 1,085,836 | ||||||||||||||
Argentine Republic Government International Bond (Argentina), | 6.875% | 04/22/21 | 1,175 | 1,253,137 | ||||||||||||||
Argentine Republic Government International Bond (Argentina), | 7.500% | 04/22/26 | 500 | 540,500 | ||||||||||||||
Brazilian Government International Bond (Brazil), Unsec’d. Notes | 11.000% | 06/26/17 | EUR | 2,200 | 2,692,931 | |||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 1,750 | 1,827,875 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, RegS | 7.500% | 05/06/21 | 2,250 | 2,499,750 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 6.850% | 01/27/45 | 600 | 621,000 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 7.450% | 04/30/44 | 290 | 319,000 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 7.500% | 05/06/21 | 600 | 666,600 | ||||||||||||||
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN(e) | 3.800% | 08/08/17 | JPY | 680,000 | 6,181,669 | |||||||||||||
Hungary Government International Bond (Hungary), | 6.000% | 01/11/19 | EUR | 715 | 899,981 | |||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.125% | 02/19/18 | 2,020 | 2,084,398 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 5.375% | 02/21/23 | 436 | 483,223 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 2,776 | 3,160,121 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 1,000 | 1,450,000 | ||||||||||||||
Indonesia Government International Bond (Indonesia), | 2.875% | 07/08/21 | EUR | 825 | 951,401 | |||||||||||||
Indonesia Government International Bond (Indonesia), | 3.375% | 07/30/25 | EUR | 1,625 | 1,846,765 | |||||||||||||
Indonesia Government International Bond (Indonesia), | 5.875% | 03/13/20 | 295 | 328,065 | ||||||||||||||
Italy Government International Bond (Italy), | 3.450% | 03/24/17 | JPY | 170,000 | 1,682,303 | |||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 2.750% | 04/22/23 | EUR | 2,350 | 2,816,558 | |||||||||||||
Mexico Government International Bond (Mexico), | 4.750% | 03/08/44 | 462 | 497,805 | ||||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 450 | 474,750 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 3.974% | (i) | 05/31/18 | 395 | $ | 381,869 | ||||||||||||||
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes | 9.500% | 02/02/30 | 450 | 769,743 | ||||||||||||||||
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, 144A | 5.125% | 10/15/24 | 800 | 799,768 | ||||||||||||||||
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS | 5.125% | 10/15/24 | 1,300 | 1,299,623 | ||||||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 3.875% | 10/29/35 | EUR | 945 | 1,101,028 | |||||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS | 3.875% | 10/29/35 | EUR | 1,000 | 1,165,109 | |||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.250% | 02/18/24 | 2,300 | 2,590,375 | ||||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.500% | 10/26/22 | 1,300 | 1,475,890 | ||||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.850% | 05/10/23 | 200 | 232,290 | ||||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,712,597 | ||||||||||||||||
TOTAL SOVEREIGN BONDS |
| 45,891,960 | ||||||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% | ||||||||||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 52 | 53,181 | ||||||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 10/01/33-06/01/34 | 1,207 | 1,383,125 | ||||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33-06/01/34 | 776 | 887,751 | ||||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32-09/01/32 | 653 | 755,000 | ||||||||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 69 | 74,839 | ||||||||||||||||
Federal National Mortgage Assoc. | 4.000% | 05/01/19 | 40 | 41,079 | ||||||||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/18-02/01/35 | 276 | 285,924 | ||||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/17-06/01/34 | 1,296 | 1,419,019 | ||||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-11/01/36 | 1,502 | 1,727,989 | ||||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-11/01/33 | 1,171 | 1,380,437 | ||||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32-06/01/32 | 166 | 191,773 | ||||||||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33-07/15/35 | 1,451 | 1,647,953 | ||||||||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32-11/15/34 | 1,776 | 2,100,365 | ||||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32-11/15/33 | 1,167 | 1,338,962 | ||||||||||||||||
Government National Mortgage Assoc. | 7.500% | 10/15/25-02/15/26 | 44 | 48,576 | ||||||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 1,720 | 2,633,845 | ||||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 15,969,818 | ||||||||||||||||||
| U.S. TREASURY OBLIGATIONS — 2.0% | ||||||||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/46 | 545 | 567,502 | ||||||||||||||||
U.S. Treasury Bonds(k)(l) | 2.875% | 05/15/43 | 5,300 | 5,959,808 | ||||||||||||||||
U.S. Treasury Notes | 1.125% | 06/30/21 | 1,485 | 1,492,367 | ||||||||||||||||
U.S. Treasury Notes(k)(l) | 1.625% | 04/30/23 | 9,850 | 10,071,241 | ||||||||||||||||
U.S. Treasury Notes(k) | 2.000% | 02/15/25 | 4,855 | 5,079,544 | ||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 23,170,462 | ||||||||||||||||||
| PREFERRED STOCKS — 0.2% | Shares | |||||||||||||||||||
Banking | ||||||||||||||||||||
Citigroup Capital XIII, 7.008%, (Capital Security, fixed to floating preferred)(a) |
| 45,000 | 1,173,150 | |||||||||||||||||
State Street Corp., 5.35%(a) |
| 35,000 | 939,400 | |||||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,112,550 | ||||||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,019,054,110 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SHORT-TERM INVESTMENTS — 9.4% | Shares | Value (Note 2) | ||||||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 9,352,846 | $ | 86,887,936 | |||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 20,167,181 | 20,167,181 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 107,055,117 | ||||||||||||
TOTAL INVESTMENTS — 99.2% |
| 1,126,109,227 | ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES(o) — 0.8% |
| 8,930,516 | ||||||||||||
NET ASSETS — 100.0% |
| $ | 1,135,039,743 | |||||||||||
See the Glossary for abbreviations used in the semiannual report.
| # | 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 June 30, 2016. |
| (b) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,364,275 and 1.3% of net assets. |
| (c) | Interest rate not available as of June 30, 2016. |
| (d) | Represents security, or a portion thereof, segregated as collateral for OTC swap agreements. |
| (e) | Indicates a security or securities that have been deemed illiquid. |
| (f) | Indicates a restricted security; the aggregate original cost of the restricted securities is $17,478,744. The aggregate value of $16,308,520 is approximately 1.4% of net assets. |
| (g) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $4,916,595; cash collateral of $5,006,241 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (h) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Security may be post maturity. |
| (i) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (j) | Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac. |
| (k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
| (l) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (m) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (n) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (o) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2016:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 3,746 | 5 Year U.S. Treasury Notes | Sep. 2016 | $ | 450,193,881 | $ | 457,626,578 | $ | 7,432,697 | ||||||||||||
| 79 | 10 Year Euro-Bund | Sep. 2016 | 14,475,509 | 14,651,515 | 176,006 | |||||||||||||||
| 1,926 | 10 Year U.S. Treasury Notes | Sep. 2016 | 249,229,570 | 256,127,906 | 6,898,336 | |||||||||||||||
| 453 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2016 | 78,958,703 | 84,427,875 | 5,469,172 | |||||||||||||||
| 19,976,211 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Futures contracts outstanding at June 30, 2016 (continued):
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
| Short Positions: | ||||||||||||||||||||
| 394 | 2 Year U.S. Treasury Notes | Sep. 2016 | $ | 85,876,327 | $ | 86,415,281 | $ | (538,954 | ) | |||||||||||
| 8 | 10 Year U.K. Gilt | Sep. 2016 | 1,308,253 | 1,368,425 | (60,172 | ) | ||||||||||||||
| 160 | 20 Year U.S. Treasury Bonds | Sep. 2016 | 26,234,835 | 27,575,000 | (1,340,165 | ) | ||||||||||||||
| 23 | 30 Year Euro BUXL | Sep. 2016 | 4,822,547 | 5,006,858 | (184,311 | ) | ||||||||||||||
| (2,123,602 | ) | |||||||||||||||||||
| $ | 17,852,609 | |||||||||||||||||||
| Cash of $1,150,000 and U.S. Treasury obligations with a combined market value of $6,983,526 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016. |
Forward foreign currency exchange contracts outstanding at June 30, 2016:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 07/27/16 | Citigroup Global Markets | JPY | 15,301 | $ | 138,061 | $ | 148,294 | $ | 10,233 | |||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 07/22/16 | JPMorgan Chase | MXN | 1,079 | 57,615 | 58,881 | 1,266 | ||||||||||||
| $ | 195,676 | $ | 207,175 | 11,499 | ||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Australian Dollar, | ||||||||||||||||||
Expiring 07/14/16 | JPMorgan Chase | AUD | 559 | $ | 425,963 | $ | 416,949 | $ | 9,014 | |||||||||
British Pound, | ||||||||||||||||||
Expiring 07/27/16 | Citigroup Global Markets | GBP | 3,932 | 5,697,390 | 5,236,164 | 461,226 | ||||||||||||
Euro, | ||||||||||||||||||
Expiring 07/27/16 | BNP Paribas | EUR | 1,250 | 1,404,859 | 1,388,608 | 16,251 | ||||||||||||
Expiring 07/27/16 | Deutsche Bank AG | EUR | 12,532 | 14,164,734 | 13,921,300 | 243,434 | ||||||||||||
Expiring 07/27/16 | JPMorgan Chase | EUR | 240 | 276,286 | 266,311 | 9,975 | ||||||||||||
Expiring 07/27/16 | JPMorgan Chase | EUR | 542 | 606,494 | 601,734 | 4,760 | ||||||||||||
Expiring 07/27/16 | UBS AG | EUR | 1,344 | 1,512,395 | 1,492,488 | 19,907 | ||||||||||||
Hungarian Forint, | ||||||||||||||||||
Expiring 07/22/16 | Citigroup Global Markets | HUF | 219,665 | 804,635 | 772,023 | 32,612 | ||||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 07/22/16 | Citigroup Global Markets | MXN | 17,850 | 1,025,301 | 974,310 | 50,991 | ||||||||||||
Polish Zloty, | ||||||||||||||||||
Expiring 07/22/16 | Citigroup Global Markets | PLN | 2,314 | 610,383 | 586,176 | 24,207 | ||||||||||||
| $ | 26,528,440 | $ | 25,656,063 | 872,377 | ||||||||||||||
| $ | 883,876 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2016:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
| OTC swap agreements: | |||||||||||||||||||||||||
| MXN | 76,000 | 06/20/18 | 6.020% | 28 Day Mexican Interbank Rate(2) | $ | 81,463 | $ | — | $ | 81,463 | Credit Suisse First Boston Corp. | |||||||||||||||
| MXN | 73,100 | 11/09/18 | 5.410% | 28 Day Mexican Interbank Rate(2) | 31,453 | — | 31,453 | Deutsche Bank AG | ||||||||||||||||||
| ZAR | 10,000 | 09/03/33 | 8.970% | 3 Month JIBAR(2) | 41,668 | — | 41,668 | Hong Kong & Shanghai Bank | ||||||||||||||||||
| $ | 154,584 | $ | — | $ | 154,584 | |||||||||||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: | |||||||||||||||||||||||
| EUR | 8,050 | 08/04/16 | 0.078% | 1 Day EUROIS(1) | $ | 4,792 | $ | (28,739 | ) | $ | (33,531 | ) | ||||||||||||
| EUR | 8,000 | 08/01/19 | 0.346% | 1 Day EUROIS(1) | (132,893 | ) | (276,935 | ) | (144,042 | ) | ||||||||||||||
| EUR | 7,020 | 06/28/20 | (0.458% | ) | 1 Day EUROIS(1) | 168 | 2,424 | 2,256 | ||||||||||||||||
| EUR | 2,150 | 06/20/24 | (0.050% | ) | 1 Day EUROIS(1) | (266 | ) | (8,901 | ) | (8,635 | ) | |||||||||||||
| EUR | 2,000 | 07/28/25 | 0.780% | 1 Day EUROIS(1) | (1,907 | ) | (176,732 | ) | (174,825 | ) | ||||||||||||||
| EUR | 3,900 | 02/23/26 | 0.324% | 1 Day EUROIS(1) | (810 | ) | (111,351 | ) | (110,541 | ) | ||||||||||||||
| EUR | 6,810 | 05/09/31 | 1.587% | 6 Month EURIBOR(2) | 607 | 169,227 | 168,620 | |||||||||||||||||
| EUR | 1,750 | 06/29/31 | 0.678% | 6 Month EURIBOR(2) | 186 | (20,911 | ) | (21,097 | ) | |||||||||||||||
| EUR | 705 | 03/04/36 | 0.865% | 1 Day EUROIS(1) | (284 | ) | (38,982 | ) | (38,698 | ) | ||||||||||||||
| EUR | 550 | 04/11/36 | 0.962% | 6 Month EURIBOR(1) | (5 | ) | (12,152 | ) | (12,147 | ) | ||||||||||||||
| EUR | 4,290 | 05/09/46 | 1.357% | 6 Month EURIBOR(1) | 36 | (203,324 | ) | (203,360 | ) | |||||||||||||||
| EUR | 940 | 06/29/46 | 0.792% | 6 Month EURIBOR(1) | 196 | 23,895 | 23,699 | |||||||||||||||||
| GBP | 1,950 | 02/23/21 | 0.639% | 1 Day GBP OIS(1) | 571 | (56,276 | ) | (56,847 | ) | |||||||||||||||
| GBP | 885 | 09/07/25 | 1.477% | 6 Month GBP LIBOR(2) | 32 | 56,614 | 56,582 | |||||||||||||||||
| MXN | 112,800 | 02/09/18 | 4.630% | 28 Day Mexican Interbank Rate(2) | (8,795 | ) | (32,568 | ) | (23,773 | ) | ||||||||||||||
| MXN | 70,000 | 04/18/19 | 5.480% | 28 Day Mexican Interbank Rate(2) | (36,283 | ) | 30,280 | 66,563 | ||||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370% | 28 Day Mexican Interbank Rate(2) | (47,258 | ) | 98,295 | 145,553 | ||||||||||||||||
| MXN | 38,000 | 08/13/24 | 6.120% | 28 Day Mexican Interbank Rate(2) | (8,237 | ) | 29,958 | 38,195 | ||||||||||||||||
| MXN | 38,100 | 12/27/24 | 5.795% | 28 Day Mexican Interbank Rate(2) | 8,681 | (22,413 | ) | (31,094 | ) | |||||||||||||||
| MXN | 13,900 | 07/27/34 | 6.720% | 28 Day Mexican Interbank Rate(2) | 941 | 7,490 | 6,549 | |||||||||||||||||
| 1,575 | 03/11/20 | 1.824% | 3 Month LIBOR(1) | 28 | (55,029 | ) | (55,057 | ) | ||||||||||||||||
| 135,870 | 12/31/21 | 1.787% | 3 Month LIBOR(1) | (151,223 | ) | (5,586,807 | ) | (5,435,584 | ) | |||||||||||||||
| 17,000 | 12/31/21 | 1.850% | 3 Month LIBOR(1) | 242 | (757,435 | ) | (757,677 | ) | ||||||||||||||||
| 51,250 | 05/31/22 | 1.741% | 3 Month LIBOR(1) | 375,423 | (2,013,094 | ) | (2,388,517 | ) | ||||||||||||||||
| 29,120 | 05/31/22 | 2.237% | 3 Month LIBOR(1) | (77,974 | ) | (1,982,119 | ) | (1,904,145 | ) | |||||||||||||||
| 22,700 | 08/31/22 | 1.788% | 3 Month LIBOR(1) | 273 | (968,014 | ) | (968,287 | ) | ||||||||||||||||
| 87,900 | 08/31/22 | 2.013% | 3 Month LIBOR(1) | (161,643 | ) | (4,946,642 | ) | (4,784,999 | ) | |||||||||||||||
| 12,360 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 217 | (677,104 | ) | (677,321 | ) | ||||||||||||||||
| 5,800 | 12/31/22 | 1.405% | 3 Month LIBOR(1) | 181 | (106,950 | ) | (107,131 | ) | ||||||||||||||||
| 4,400 | 12/31/22 | 1.406% | 3 Month LIBOR(1) | 174 | (81,546 | ) | (81,720 | ) | ||||||||||||||||
| 8,700 | 12/31/22 | 1.409% | 3 Month LIBOR(1) | 197 | (162,613 | ) | (162,810 | ) | ||||||||||||||||
| 2,400 | 12/31/22 | 1.412% | 3 Month LIBOR(1) | 163 | (45,271 | ) | (45,434 | ) | ||||||||||||||||
| 12,100 | 12/31/22 | 1.416% | 3 Month LIBOR(1) | 216 | (231,633 | ) | (231,849 | ) | ||||||||||||||||
| 4,850 | 12/31/22 | 1.495% | 3 Month LIBOR(1) | 177 | (117,288 | ) | (117,465 | ) | ||||||||||||||||
| 10,495 | 05/31/23 | 1.394% | 3 Month LIBOR(1) | 207 | (150,775 | ) | (150,982 | ) | ||||||||||||||||
| 10,495 | 05/31/23 | 1.395% | 3 Month LIBOR(1) | 208 | (151,519 | ) | (151,727 | ) | ||||||||||||||||
| 20,990 | 05/31/23 | 1.399% | 3 Month LIBOR(1) | (2,291 | ) | (308,228 | ) | (305,937 | ) | |||||||||||||||
| 10,290 | 05/31/23 | 1.513% | 3 Month LIBOR(1) | 206 | (227,497 | ) | (227,703 | ) | ||||||||||||||||
| 19,980 | 05/31/23 | 1.578% | 3 Month LIBOR(1) | (18,314 | ) | (526,851 | ) | (508,537 | ) | |||||||||||||||
| 3,950 | 05/31/23 | 1.584% | 3 Month LIBOR(1) | 172 | (105,562 | ) | (105,734 | ) | ||||||||||||||||
| ZAR | 63,800 | 08/26/20 | 7.855% | 3 Month JIBAR(2) | (14,698 | ) | 4,757 | 19,455 | ||||||||||||||||
| ZAR | 20,000 | 10/22/23 | 7.625% | 3 Month JIBAR(2) | 3,049 | (38,148 | ) | (41,197 | ) | |||||||||||||||
| ZAR | 38,300 | 11/14/23 | 8.190% | 3 Month JIBAR(2) | (36,838 | ) | 7,289 | 44,127 | ||||||||||||||||
| ZAR | 1,800 | 01/12/25 | 7.430% | 3 Month JIBAR(2) | 921 | (6,199 | ) | (7,120 | ) | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2016 (continued):
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements (continued): | |||||||||||||||||||||||
| ZAR | 14,500 | 01/13/25 | 7.440% | 3 Month JIBAR(2) | $ | 27,681 | $ | (49,332 | ) | $ | (77,013 | ) | ||||||||||||
| ZAR | 8,100 | 01/11/26 | 9.330% | 3 Month JIBAR(2) | 513 | 37,039 | 36,526 | |||||||||||||||||
| ZAR | 8,300 | 01/11/26 | 9.330% | 3 Month JIBAR(2) | 525 | 37,954 | 37,429 | |||||||||||||||||
| $ | (272,736 | ) | $ | (19,779,718 | ) | $ | (19,506,982 | ) | ||||||||||||||||
| (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 June 30, 2016:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2016(5) | Value at Trade Date | Value at June 30, 2016 | Unrealized | |||||||||||||||||||
Centrally cleared credit default swaps on corporate issues—Sell Protection(2): |
| |||||||||||||||||||||||||
Citigroup, Inc. | 06/20/18 | 5.000% | 5,450 | 1.726 | % | $ | 348,357 | $ | 343,372 | $(4,985) | ||||||||||||||||
General Motors Co. | 06/20/19 | 5.000% | 3,640 | 1.166 | % | 409,756 | 402,941 | (6,815) | ||||||||||||||||||
General Motors Co. | 06/20/21 | 5.000% | 1,300 | 1.777 | % | 195,696 | 191,907 | (3,789) | ||||||||||||||||||
| $ | 953,809 | $ | 938,220 | $(15,589) | ||||||||||||||||||||||
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at June 30, 2016(3) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.26.V1 | 06/20/21 | 5.000% | 13,900 | $ | (298,850 | ) | $ | (447,406 | ) | $ | (148,556 | ) | ||||||||||||
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b): |
| |||||||||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 177 | $ | 7 | $ | — | $ | 7 | Goldman Sachs & Co. | ||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 149 | 6 | — | 6 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 225 | 9 | — | 9 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 252 | 11 | — | 11 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 135 | 6 | — | 6 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 310 | 13 | — | 13 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/29/16 | 1.500% | 547 | 23 | — | 23 | Goldman Sachs & Co. | |||||||||||||||||||
Bank of America Prime Mortgage | 07/29/16 | 1.500% | 800 | 33 | — | 33 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 07/29/16 | 1.500% | 503 | 21 | — | 21 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 07/29/16 | 1.500% | 154 | 6 | — | 6 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/29/16 | 1.500% | 635 | 26 | — | 26 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/29/16 | 1.500% | 449 | 19 | — | 19 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/29/16 | 1.500% | 176 | 7 | — | 7 | Goldman Sachs & Co. | |||||||||||||||||||
Citibank Mortgage | 07/29/16 | 1.500% | 195 | 8 | — | 8 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Commercial Mortgage Trust | 07/22/16 | 1.500% | 42 | 57 | — | 57 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Commercial Mortgage Trust | 07/22/16 | 1.500% | 337 | 449 | — | 449 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Mortgage Loan Trust | 07/29/16 | 1.500% | 166 | 7 | — | 7 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Mortgage Loan Trust | 07/29/16 | 1.500% | 160 | 7 | — | 7 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 116 | 155 | — | 155 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 52 | 69 | — | 69 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 56 | 75 | — | 75 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 718 | 957 | — | 957 | Goldman Sachs & Co. | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Credit default swap agreements outstanding at June 30, 2016 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b) (continued): | ||||||||||||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 465 | $ | 620 | $ | — | $ | 620 | Goldman Sachs & Co. | ||||||||||||||||
COMM Mortgage Trust | 07/22/16 | 1.500% | 433 | 577 | — | 577 | Goldman Sachs & Co. | |||||||||||||||||||
Commercial Mortgage Pass Through Certificate | 07/22/16 | 1.500% | 93 | 124 | — | 124 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 07/29/16 | 1.500% | 421 | 18 | — | 18 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/01/16 | 1.500% | 446 | 573 | — | 573 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/01/16 | 1.500% | 1,501 | 1,933 | — | 1,933 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/01/16 | 1.500% | 127 | 163 | — | 163 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 130 | 173 | — | 173 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 373 | 498 | — | 498 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 213 | 283 | — | 283 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 254 | 338 | — | 338 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 1,334 | 1,779 | — | 1,779 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 107 | 142 | — | 142 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 88 | 118 | — | 118 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 157 | 210 | — | 210 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/22/16 | 1.500% | 429 | 571 | — | 571 | Goldman Sachs & Co. | |||||||||||||||||||
GSAMP Home Equity | 07/29/16 | 1.500% | 219 | 9 | — | 9 | Goldman Sachs & Co. | |||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 07/22/16 | 1.500% | 222 | 296 | — | 296 | Goldman Sachs & Co. | |||||||||||||||||||
Lehman Home Equity | 07/29/16 | 1.500% | 479 | 20 | — | 20 | Goldman Sachs & Co. | |||||||||||||||||||
LNR CDO Ltd. | 07/11/16 | 1.500% | 2,304 | 3,104 | — | 3,104 | Goldman Sachs & Co. | |||||||||||||||||||
Long Beach Home Equity | 07/29/16 | 1.500% | 329 | 14 | — | 14 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/22/16 | 1.500% | 98 | 130 | — | 130 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/22/16 | 1.500% | 84 | 112 | — | 112 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/22/16 | 1.500% | 452 | 602 | — | 602 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley Home Equity | 07/29/16 | 1.500% | 303 | 13 | — | 13 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 07/29/16 | 1.500% | 366 | 15 | — | 15 | Goldman Sachs & Co. | |||||||||||||||||||
Option One Home Equity | 07/29/16 | 1.500% | 918 | 38 | — | 38 | Goldman Sachs & Co. | |||||||||||||||||||
Option One Home Equity | 07/29/16 | 1.500% | 407 | 17 | — | 17 | Goldman Sachs & Co. | |||||||||||||||||||
Wells Fargo Home Equity | 07/29/16 | 1.500% | 115 | 5 | — | 5 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 07/22/16 | 1.500% | 61 | 81 | — | 81 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 07/22/16 | 1.500% | 856 | 1,141 | — | 1,141 | Goldman Sachs & Co. | |||||||||||||||||||
WMC Home Equity | 07/29/16 | 1.500% | 560 | 23 | — | 23 | Goldman Sachs & Co. | |||||||||||||||||||
| $ | 15,711 | $ | — | $ | 15,711 | |||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2016(5) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC credit default swaps on corporate issues—Buy Protection(1): |
| |||||||||||||||||||||||||||||
American International Group, Inc. | 03/20/18 | 3.700% | 3,700 | 0.307 | % | $ | (220,336 | ) | $ | — | $ | (220,336 | ) | Deutsche Bank AG | ||||||||||||||||
R.R. Donnelley & Sons Co. | 09/20/16 | 1.000% | 4,750 | 0.359 | % | (8,373 | ) | 229,661 | (238,034 | ) | JPMorgan Chase | |||||||||||||||||||
| $ | (228,709 | ) | $ | 229,661 | $ | (458,370 | ) | |||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Credit default swap agreements outstanding at June 30, 2016 (continued):
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2016(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 | 1.022 | % | $ | (6,568 | ) | $ | (18,430 | ) | $ | 11,862 | JPMorgan Chase | ||||||||||||||||
Petroleo Brasileriro SA | 06/20/18 | 1.000% | 2,250 | 4.242 | % | (137,789 | ) | (172,518 | ) | 34,729 | Morgan Stanley | |||||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 9,680 | 1.413 | % | (158,410 | ) | 44,911 | (203,321 | ) | JPMorgan Chase | |||||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 2,000 | 1.413 | % | (32,729 | ) | 5,761 | (38,490 | ) | JPMorgan Chase | |||||||||||||||||||
| $ | (335,496 | ) | $ | (140,276 | ) | $ | (195,220 | ) | ||||||||||||||||||||||
Cash of $8,201,000 and U.S. Treasury obligations with a combined market value of $14,121,835 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.
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 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) | 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 the reporting date 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 June 30, 2016:
| Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| OTC currency swap agreements: | |||||||||||||||||||||||||||||
| 502 | 3 Month LIBOR | JPY | 50,000 | 3 Month JPY LIBOR minus 54.00 bps | Barclays Capital Group | 10/12/16 | $ | 17,935 | $ | — | $ | 17,935 | ||||||||||||||||||
| 278 | 3 Month LIBOR | EUR | 240 | 3 Month EURIBOR minus 24.50 bps | Citigroup Global Markets | 01/16/17 | 12,995 | — | 12,995 | |||||||||||||||||||||
| 1,541 | | 3 Month LIBOR plus 432 bps | | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 383,720 | 10,186 | 373,534 | |||||||||||||||||||
| 5,882 | 3 Month LIBOR | JPY | 600,000 | 3 Month JPY LIBOR minus 31.25 bps | Deutsche Bank AG | 05/14/17 | 56,916 | — | 56,916 | |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Currency swap agreements outstanding at June 30, 2016 (continued):
| Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
| OTC currency swap agreements (continued): |
| ||||||||||||||||||||||||||||||
| 1,157 | 3 Month LIBOR | EUR | 900 | 3 Month EURIBOR minus 31.75 bps | Hong Kong & Shanghai Bank | 09/28/17 | $ | 157,808 | $ | — | $ | 157,808 | ||||||||||||||||||||
| JPY | 265,000 | | 3 Month JPY LIBOR minus 43.35 bps | | 2,250 | 3 Month LIBOR | JPMorgan Chase | 11/26/16 | 317,983 | — | 317,983 | |||||||||||||||||||||
| JPY | 1,060,000 | | 3 Month JPY LIBOR minus 42.10 bps | | 8,979 | 3 Month LIBOR | JPMorgan Chase | 11/28/16 | 1,291,059 | — | 1,291,059 | |||||||||||||||||||||
| 13,099 | 3 Month LIBOR | EUR | 11,400 | 3 Month EURIBOR minus 26.95 bps | JPMorgan Chase | 02/17/17 | 455,554 | — | 455,554 | |||||||||||||||||||||||
| 1,003 | 3 Month LIBOR | EUR | 900 | (0.613)% | JPMorgan Chase | 02/22/20 | 1,721 | — | 1,721 | |||||||||||||||||||||||
| 2,348 | 3 Month LIBOR | JPY | 264,000 | 3 Month JPY LIBOR minus 99.25 bps | JPMorgan Chase | 04/03/20 | 8,331 | — | 8,331 | |||||||||||||||||||||||
| 17,098 | 3 Month LIBOR | JPY | 1,920,000 | 3 Month JPY LIBOR minus 98.63 bps | JPMorgan Chase | 04/06/20 | 56,709 | — | 56,709 | |||||||||||||||||||||||
| 719 | 3 Month LIBOR | EUR | 640 | (0.443)% | JPMorgan Chase | 08/22/21 | 1,982 | — | 1,982 | |||||||||||||||||||||||
| 2,250 | 3 Month LIBOR | JPY | 265,000 | 3 Month JPY LIBOR minus 69.88 bps | JPMorgan Chase | 11/26/24 | (372,374 | ) | — | (372,374 | ) | |||||||||||||||||||||
| 8,979 | 3 Month LIBOR | JPY | 1,060,000 | 3 Month JPY LIBOR minus 67.32 bps | JPMorgan Chase | 11/28/24 | (1,531,965 | ) | — | (1,531,965 | ) | |||||||||||||||||||||
| $ | 858,374 | $ | 10,186 | $ | 848,188 | |||||||||||||||||||||||||||
Total return swap agreements outstanding at June 30, 2016:
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreements: |
| |||||||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 2,400 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | $ | 168,941 | $ | — | $ | 168,941 | |||||||||||||
| Deutsche Bank AG | 09/08/16 | 2,400 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 133,692 | — | 133,692 | ||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,200 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 52,811 | — | 52,811 | ||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,200 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 37,953 | — | 37,953 | ||||||||||||||||
| Credit Suisse First Boston Corp. | 01/12/41 | 6,054 | Pay variable payments based on 1 Month LIBOR and receives fixed payments based on the IOS.FN30.450.10 Index | (69,876 | ) | (17,336 | ) | (52,540 | ) | |||||||||||||
| $ | 323,521 | $ | (17,336 | ) | $ | 340,857 | ||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| 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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 48,016,019 | $ | — | ||||||
Non-Residential Mortgage-Backed Securities | — | 25,585,557 | — | |||||||||
Residential Mortgage-Backed Securities | — | 61,641,792 | — | |||||||||
Bank Loans | — | 34,774,011 | 4,258,260 | |||||||||
Commercial Mortgage-Backed Securities | — | 130,143,318 | — | |||||||||
Corporate Bonds | — | 529,682,582 | — | |||||||||
Foreign Agencies | — | 20,043,519 | — | |||||||||
Municipal Bonds | — | 21,552,243 | — | |||||||||
Residential Mortgage-Backed Securities | — | 46,121,715 | 10,090,304 | |||||||||
Sovereign Bonds | — | 45,891,960 | — | |||||||||
U.S. Government Agency Obligations | — | 15,969,818 | — | |||||||||
U.S. Treasury Obligations | — | 23,170,462 | — | |||||||||
Preferred Stocks | 2,112,550 | — | — | |||||||||
Affiliated Mutual Funds | 107,055,117 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 17,852,609 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | 883,876 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (19,506,982 | ) | — | ||||||||
OTC Interest Rate Swap Agreements | — | 154,584 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | (164,145 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (564,205 | ) | 15,711 | ||||||||
OTC Currency Swap Agreements | — | 858,374 | — | |||||||||
OTC Total Return Swap Agreements | — | 323,521 | — | |||||||||
Total | $ | 127,020,276 | $ | 984,578,019 | $ | 14,364,275 | ||||||
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
| Bank Loans | Residential Mortgage-Backed Securities | Credit Default Swaps | ||||||||||
Balance as of 12/31/15 | $ | — | $ | 18,076,943 | $ | 2,839 | ||||||
Realized gain (loss) | 74 | 30,513 | — | |||||||||
Change in unrealized appreciation (depreciation)** | 25,516 | (56,938 | ) | 12,872 | ||||||||
Purchases | 4,235,000 | 595,239 | — | |||||||||
Sales | (3,875 | ) | (3,752,298 | ) | — | |||||||
Accrued discount/premium | 1,545 | 11,765 | — | |||||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | (4,814,920 | ) | — | ||||||||
Balance as of 06/30/16 | $ | 4,258,260 | $ | 10,090,304 | $ | 15,711 | ||||||
| * | 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, $(15,710) was relating to securities held at the reporting period end. |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 June 30, 2016 | Valuation Methodology | Unobservable Inputs | |||||||
Bank Loans | $ | 4,258,260 | Market Approach | Single Broker Indicative Quote | ||||||
Credit Default Swap Agreements | 15,711 | Model Pricing | Discretionary Volatility Factor and/or Discount Rate | |||||||
Residential Mortgage-Backed Securities | 10,090,304 | Market Approach | Single Broker Indicative Quote | |||||||
| $ | 14,364,275 | |||||||||
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 | |||||||||
Residential Mortgage-Backed Securities | 4,814,920 | L3 to L2 | Single Broker Indicative Quote to Evaluated Bid | |||||||||
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:
Commercial Mortgage-Backed Securities | 11.5 | % | ||
Banks | 10.9 | |||
Residential Mortgage-Backed Securities | 10.4 | |||
Affiliated Mutual Funds (including 0.4% of collateral for securities on loan) | 9.4 | |||
Collateralized Loan Obligations | 4.2 | |||
Sovereign Bonds | 4.0 | |||
Electric | 4.0 | |||
Media | 3.6 | |||
Insurance | 2.9 | |||
Healthcare-Services | 2.6 | |||
Telecommunications | 2.5 | |||
Non-Residential Mortgage-Backed Securities | 2.3 | |||
U.S. Treasury Obligations | 2.0 | |||
Municipal Bonds | 1.9 | |||
Chemicals | 1.8 | |||
Foreign Agencies | 1.8 | |||
Commercial Services | 1.4 | |||
Technology | 1.4 | |||
U.S. Government Agency Obligations | 1.4 | |||
Oil & Gas | 1.1 | |||
Food | 1.1 | |||
Diversified Financial Services | 1.0 | |||
Pharmaceuticals | 0.9 | |||
Home Builders | 0.9 | |||
Software | 0.8 | |||
Retail | 0.8 | |||
Auto Manufacturers | 0.8 | |||
Computers | 0.7 | |||
Healthcare-Products | 0.7 | |||
Semiconductors | 0.6 | |||
Airlines | 0.6 | |||
Packaging & Containers | 0.6 | |||
Healthcare & Pharmaceutical | 0.6 | |||
Building Materials | 0.5 | |||
Miscellaneous Manufacturing | 0.5 | |||
Real Estate Investment Trusts (REITs) | 0.5 |
Lodging | 0.5 | % | ||
Agriculture | 0.5 | |||
Mining | 0.4 | |||
Beverages | 0.4 | |||
Machinery-Diversified | 0.4 | |||
Pipelines | 0.4 | |||
Forest Products & Paper | 0.3 | |||
Entertainment | 0.3 | |||
Biotechnology | 0.3 | |||
Aerospace & Defense | 0.3 | |||
Environmental Control | 0.2 | |||
Banking | 0.2 | |||
Apparel | 0.2 | |||
Transportation Services | 0.2 | |||
Savings & Loans | 0.2 | |||
Consumer | 0.1 | |||
Gaming | 0.1 | |||
Gas | 0.1 | |||
Energy – Alternate Sources | 0.1 | |||
Transportation | 0.1 | |||
Auto Parts & Equipment | 0.1 | |||
Retailers | 0.1 | |||
Automotive | 0.1 | |||
Leisure Time | 0.1 | |||
Multi-National | 0.1 | |||
Office & Business Equipment | 0.1 | |||
Electronics | 0.1 | |||
Diversified Manufacturing | 0.1 | |||
Supermarkets | 0.1 | |||
Housewares | 0.1 | |||
Home Furnishings | 0.1 | |||
Oil & Gas Services | 0.1 | |||
| 99.2 | ||||
Other assets in excess of liabilities | 0.8 | |||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 June 30, 2016 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 | |||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 164,145 | * | |||||
Credit contracts | Premiums paid for OTC swap agreements | 280,333 | Premiums received for OTC swap agreements | 190,948 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 62,302 | Unrealized depreciation on OTC swap agreements | 700,181 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 883,876 | — | — | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 19,976,211 | * | Due from/to broker — variation margin futures | 2,123,602 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 645,554 | * | Due from/to broker — variation margin swaps | 20,152,536 | * | ||||||
Interest rate contracts | Premiums paid for OTC swap agreements | 10,186 | Premiums received for OTC swap agreements | 17,336 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 3,300,508 | Unrealized depreciation on OTC swap agreements | 1,956,879 | ||||||||
Total | $ | 25,158,970 | $ | 25,305,627 | ||||||||
| * | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures contracts 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 six months ended June 30, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Forward Foreign Currency Exchange Contracts** | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | (518,630 | ) | $ | 265,120 | $ | — | $ | — | $ | — | $ | (1,081,499 | ) | $ | (1,335,009 | ) | |||||||||||
Foreign exchange contracts | — | — | — | — | 5,848,446 | — | 5,848,446 | |||||||||||||||||||||
Interest rate contracts | 158,325 | (261,208 | ) | 21,473,253 | 94,614 | — | (2,819,103 | ) | 18,645,881 | |||||||||||||||||||
Total | $ | (360,305 | ) | $ | 3,912 | $ | 21,473,253 | $ | 94,614 | $ | 5,848,446 | $ | (3,900,602 | ) | $ | 23,159,318 | ||||||||||||
| * | 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 (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Foreign Currency Exchange Contracts** | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | 357,855 | $ | (209,859 | ) | $ | — | $ | — | $ | 599,284 | $ | 747,280 | |||||||||||
Foreign exchange contracts | — | — | — | 521,590 | — | 521,590 | ||||||||||||||||||
Interest rate contracts | 428,204 | (284,376 | ) | 18,430,766 | — | (19,101,219 | ) | (526,625 | ) | |||||||||||||||
Total | $ | 786,059 | $ | (494,235 | ) | $ | 18,430,766 | $ | 521,590 | $ | (18,501,935 | ) | $ | 742,245 | ||||||||||
| * | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
| ** | Included in net unrealized appreciation (depreciation) on foreign currency transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||
| $854,359 | $231,743 | $791,752,840 | $114,662,177 | $5,861,222 | ||||
Forward Foreign | Interest Rate | Credit Default | Credit Default | Currency | ||||
| $24,065,580 | $675,683 | $22,350 | $60,090 | $59,493 | ||||
Total | ||||||||
| $11,217 | ||||||||
| (1) | Cost. |
| (2) | Value at Trade Date. |
| (3) | Value at Settlement Date. |
| (4) | Notional Amount in USD (000). |
Offsetting of over-the-counter (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 | Net Amount | ||||||||||||
Barclays Capital Group | $ | 17,935 | $ | — | $ | — | $ | 17,935 | ||||||||
BNP Paribas | 16,251 | — | — | 16,251 | ||||||||||||
Citigroup Global Markets | 975,984 | — | (975,984 | ) | — | |||||||||||
Credit Suisse First Boston Corp. | 81,463 | (69,876 | ) | (11,587 | ) | — | ||||||||||
Deutsche Bank AG | 725,200 | (220,336 | ) | (271,027 | ) | 233,837 | ||||||||||
Goldman & Sachs Co. | 15,711 | — | — | 15,711 | ||||||||||||
JPMorgan Chase | 2,450,549 | (2,402,614 | ) | — | 47,935 | |||||||||||
Hong Kong & Shanghai Bank | 199,476 | — | — | 199,476 | ||||||||||||
Morgan Stanley | 34,729 | (34,729 | ) | — | — | |||||||||||
UBS AG | 19,907 | — | — | 19,907 | ||||||||||||
| $ | 4,537,205 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged | Net Amount | ||||||||||||
Barclays Capital Group | $ | — | $ | — | $ | — | $ | — | ||||||||
BNP Paribas | — | — | — | — | ||||||||||||
Citigroup Global Markets | — | — | — | — | ||||||||||||
Credit Suisse First Boston Corp. | (69,876 | ) | 69,876 | — | — | |||||||||||
Deutsche Bank AG | (220,336 | ) | 220,336 | — | — | |||||||||||
Goldman & Sachs Co. | — | — | — | — | ||||||||||||
JPMorgan Chase | (2,402,614 | ) | 2,402,614 | — | — | |||||||||||
Hong Kong & Shanghai Bank | — | — | — | — | ||||||||||||
Morgan Stanley | (172,518 | ) | 34,729 | — | (137,789 | ) | ||||||||||
UBS AG | — | — | — | — | ||||||||||||
| $ | (2,865,344 | ) | ||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $4,916,595: | ||||
Unaffiliated investments (cost $980,472,097) | $ | 1,019,054,110 | ||
Affiliated investments (cost $111,112,817) | 107,055,117 | |||
Cash | 151,250 | |||
Foreign currency, at value (cost $423,167) | 423,848 | |||
Dividends and interest receivable | 9,752,458 | |||
Deposit with broker for futures and centrally cleared swaps | 9,351,000 | |||
Unrealized appreciation on OTC swap agreements | 3,362,810 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 883,876 | |||
Receivable for investments sold | 541,029 | |||
Premium paid for OTC swap agreements | 290,519 | |||
Due from broker—variation margin swaps | 55,421 | |||
Tax reclaim receivable | 52,846 | |||
Receivable for Series shares sold | 2,770 | |||
Prepaid expenses | 1,150 | |||
Total Assets | 1,150,978,204 | |||
| LIABILITIES | ||||
Payable for investments purchased | 7,019,595 | |||
Payable to broker for collateral for securities on loan | 5,006,241 | |||
Unrealized depreciation on OTC swap agreements | 2,657,060 | |||
Management fee payable | 370,024 | |||
Accrued expenses and other liabilities | 252,562 | |||
Due to broker—variation margin futures | 236,245 | |||
Premium received for OTC swap agreements | 208,284 | |||
Payable for Series shares repurchased | 186,075 | |||
Deferred trustees’ fees | 1,395 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 15,938,461 | |||
| NET ASSETS | $ | 1,135,039,743 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 963,843,504 | ||
Retained earnings | 171,196,239 | |||
Net assets, June 30, 2016 | $ | 1,135,039,743 | ||
Net asset value and redemption price per share $1,135,039,743 / 91,333,054 outstanding shares of beneficial interest | $ | 12.43 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Interest income (net of foreign withholding taxes of $2,048) | $ | 21,388,480 | ||
Affiliated dividend income | 676,337 | |||
Affiliated income from securities lending, net | 80,604 | |||
Unaffiliated dividend income | 47,225 | |||
Total income | 22,192,646 | |||
| EXPENSES | ||||
Management fee | 2,203,792 | |||
Shareholders’ reports | 152,000 | |||
Custodian and accounting fees | 97,000 | |||
Audit fee | 25,000 | |||
Trustees’ fees | 10,000 | |||
Legal fees and expenses | 9,000 | |||
Insurance expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 10,359 | |||
Total expenses | 2,520,151 | |||
| NET INVESTMENT INCOME (LOSS) | 19,672,495 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (2,564,774 | ) | ||
Futures transactions | 21,473,253 | |||
Options written transactions | 3,912 | |||
Forward rate agreement transactions | 94,614 | |||
Swap agreement transactions | (3,900,602 | ) | ||
Foreign currency transactions | 7,903 | |||
| 15,114,306 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $186,229) | 38,192,225 | |||
Futures | 18,430,766 | |||
Options written | (494,235 | ) | ||
Swap agreements | (18,501,935 | ) | ||
Foreign currencies | 526,203 | |||
| 38,153,024 | ||||
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 53,267,330 | |||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 72,939,825 | ||
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 19,672,495 | $ | 37,422,495 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 15,114,306 | 6,161,154 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 38,153,024 | (45,769,143 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 72,939,825 | (2,185,494 | ) | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [1,233,605 and 8,670,539 shares, respectively] | 14,837,897 | 101,626,083 | ||||||
Series shares repurchased [3,133,673 and 7,014,473 shares, respectively] | (37,652,548 | ) | (82,418,630 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (22,814,651 | ) | 19,207,453 | |||||
| Capital Contributions (Note 4) | 20,597 | — | ||||||
| TOTAL INCREASE (DECREASE) | 50,145,771 | 17,021,959 | ||||||
| NET ASSETS: | ||||||||
Beginning of period | 1,084,893,972 | 1,067,872,013 | ||||||
End of period | $ | 1,135,039,743 | $ | 1,084,893,972 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| LONG-TERM INVESTMENTS — 97.3% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.8% |
| |||||||
Boeing Co. (The) | 216,936 | $ | 28,173,478 | |||||
United Technologies Corp. | 342,940 | 35,168,497 | ||||||
| 63,341,975 | ||||||||
Automobiles — 0.5% | ||||||||
Tesla Motors, Inc.*(a) | 90,083 | 19,122,819 | ||||||
Banks — 6.1% | ||||||||
Bank of America Corp. | 2,536,469 | 33,658,944 | ||||||
Citigroup, Inc. | 947,408 | 40,160,625 | ||||||
JPMorgan Chase & Co. | 949,886 | 59,025,916 | ||||||
PNC Financial Services Group, Inc. (The) | 385,281 | 31,358,020 | ||||||
Wells Fargo & Co. | 1,106,578 | 52,374,337 | ||||||
| 216,577,842 | ||||||||
Beverages — 0.7% | ||||||||
Monster Beverage Corp.* | 165,275 | 26,561,345 | ||||||
Biotechnology — 6.1% | ||||||||
AbbVie, Inc. | 316,310 | 19,582,752 | ||||||
Alexion Pharmaceuticals, Inc.* | 253,230 | 29,567,135 | ||||||
Biogen, Inc.* | 49,997 | 12,090,275 | ||||||
BioMarin Pharmaceutical, Inc.* | 252,029 | 19,607,856 | ||||||
Celgene Corp.* | 409,276 | 40,366,892 | ||||||
Regeneron Pharmaceuticals, Inc.* | 68,317 | 23,858,346 | ||||||
Shire PLC, ADR | 384,544 | 70,786,859 | ||||||
| 215,860,115 | ||||||||
Capital Markets — 1.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 224,319 | 33,329,317 | ||||||
Morgan Stanley | 607,206 | 15,775,212 | ||||||
| 49,104,529 | ||||||||
Chemicals — 1.2% | ||||||||
Dow Chemical Co. (The) | 341,726 | 16,987,200 | ||||||
FMC Corp. | 537,139 | 24,874,907 | ||||||
| 41,862,107 | ||||||||
Communications Equipment — 0.3% |
| |||||||
Palo Alto Networks, Inc.* | 100,725 | 12,352,914 | ||||||
Consumer Finance — 1.6% | ||||||||
Capital One Financial Corp. | 478,764 | 30,406,302 | ||||||
SLM Corp.* | 4,118,457 | 25,452,064 | ||||||
| 55,858,366 | ||||||||
Diversified Financial Services — 0.5% |
| |||||||
Voya Financial, Inc. | 690,597 | 17,099,182 | ||||||
Electric Utilities — 2.5% | ||||||||
FirstEnergy Corp. | 1,070,948 | 37,386,795 | ||||||
PG&E Corp. | 811,534 | 51,873,253 | ||||||
| 89,260,048 | ||||||||
Electrical Equipment — 1.0% | ||||||||
Eaton Corp. PLC | 584,169 | 34,892,414 | ||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
Flextronics International Ltd.* | 2,332,017 | 27,517,801 | ||||||
Energy Equipment & Services — 1.5% |
| |||||||
Halliburton Co. | 1,141,382 | 51,693,191 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing — 1.9% | ||||||||
Costco Wholesale Corp. | 240,931 | $ | 37,835,804 | |||||
Kroger Co. (The) | 758,324 | 27,898,740 | ||||||
| 65,734,544 | ||||||||
Food Products — 2.7% | ||||||||
ConAgra Foods, Inc. | 924,110 | 44,181,699 | ||||||
Mondelez International, Inc. (Class A Stock) | 1,137,174 | 51,752,789 | ||||||
| 95,934,488 | ||||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
Zimmer Biomet Holdings, Inc. | 269,499 | 32,442,290 | ||||||
Health Care Providers & Services — 0.9% |
| |||||||
Laboratory Corp. of America Holdings* | 239,850 | 31,245,259 | ||||||
Hotels, Restaurants & Leisure — 3.9% |
| |||||||
Carnival Corp. | 776,610 | 34,326,162 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 621,251 | 41,288,341 | ||||||
McDonald’s Corp. | 247,546 | 29,789,686 | ||||||
Starbucks Corp. | 602,807 | 34,432,336 | ||||||
| 139,836,525 | ||||||||
Household Products — 1.3% | ||||||||
Procter & Gamble Co. (The) | 550,472 | 46,608,464 | ||||||
Industrial Conglomerates — 1.2% | ||||||||
General Electric Co. | 1,309,466 | 41,221,990 | ||||||
Insurance — 2.0% | ||||||||
Chubb Ltd. | 344,194 | 44,989,598 | ||||||
MetLife, Inc. | 616,042 | 24,536,953 | ||||||
| 69,526,551 | ||||||||
Internet & Catalog Retail — 5.5% | ||||||||
Amazon.com, Inc.* | 173,835 | 124,399,803 | ||||||
Netflix, Inc.* | 394,594 | 36,097,459 | ||||||
Priceline Group, Inc. (The)* | 28,086 | 35,062,843 | ||||||
| 195,560,105 | ||||||||
Internet Software & Services — 9.7% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 529,337 | 42,098,171 | ||||||
Alphabet, Inc. (Class A Stock)* | 74,560 | 52,455,197 | ||||||
Alphabet, Inc. (Class C Stock)* | 75,955 | 52,568,455 | ||||||
eBay, Inc.* | 917,680 | 21,482,889 | ||||||
Facebook, Inc. (Class A Stock)* | 992,643 | 113,439,242 | ||||||
Tencent Holdings Ltd. (China) | 2,622,314 | 60,155,027 | ||||||
| 342,198,981 | ||||||||
IT Services — 3.1% | ||||||||
MasterCard, Inc. (Class A Stock) | 395,716 | 34,846,751 | ||||||
Visa, Inc. (Class A Stock)(a) | 1,029,071 | 76,326,196 | ||||||
| 111,172,947 | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Illumina, Inc.* | 70,770 | 9,934,693 | ||||||
Media — 2.0% | ||||||||
Comcast Corp. (Class A Stock) | 551,070 | 35,924,253 | ||||||
Walt Disney Co. (The) | 352,973 | 34,527,819 | ||||||
| 70,452,072 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Multiline Retail — 1.0% | ||||||||
Target Corp. | 495,063 | $ | 34,565,299 | |||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
Chevron Corp. | 505,812 | 53,024,272 | ||||||
Noble Energy, Inc. | 813,947 | 29,196,279 | ||||||
Occidental Petroleum Corp. | 618,390 | 46,725,548 | ||||||
Suncor Energy, Inc. (Canada) | 1,287,374 | 35,713,057 | ||||||
| 164,659,156 | ||||||||
Pharmaceuticals — 8.4% | ||||||||
Allergan PLC* | 335,638 | 77,562,586 | ||||||
Bristol-Myers Squibb Co. | 752,353 | 55,335,563 | ||||||
Merck & Co., Inc. | 661,902 | 38,132,174 | ||||||
Novo Nordisk A/S (Denmark), ADR | 576,932 | 31,027,403 | ||||||
Pfizer, Inc. | 1,430,321 | 50,361,602 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 930,996 | 46,763,929 | ||||||
| 299,183,257 | ||||||||
Real Estate Investment Trusts (REITs) — 0.8% |
| |||||||
American Tower Corp. | 254,408 | 28,903,293 | ||||||
Road & Rail — 0.4% | ||||||||
Ryder System, Inc. | 251,200 | 15,358,368 | ||||||
Semiconductors & Semiconductor Equipment — 2.2% |
| |||||||
NXP Semiconductors NV (Netherlands)* | 241,698 | 18,934,621 | ||||||
QUALCOMM, Inc. | 332,977 | 17,837,578 | ||||||
Texas Instruments, Inc. | 631,243 | 39,547,374 | ||||||
| 76,319,573 | ||||||||
Software — 9.1% | ||||||||
Adobe Systems, Inc.* | 538,190 | 51,553,220 | ||||||
Microsoft Corp. | 1,574,369 | 80,560,462 | ||||||
PTC, Inc.* | 872,770 | 32,798,696 | ||||||
Red Hat, Inc.* | 495,847 | 35,998,492 | ||||||
salesforce.com, Inc.* | 868,870 | 68,996,967 | ||||||
Splunk, Inc.* | 457,707 | 24,798,565 | ||||||
Workday, Inc. (Class A Stock)*(a) | 369,025 | 27,555,097 | ||||||
| 322,261,499 | ||||||||
Specialty Retail — 3.5% | ||||||||
Home Depot, Inc. (The) | 293,163 | 37,433,984 | ||||||
Industria de Diseno Textil SA (Spain), ADR | 3,195,593 | 53,238,579 | ||||||
O’Reilly Automotive, Inc.* | 118,654 | 32,167,099 | ||||||
| 122,839,662 | ||||||||
Technology Hardware, Storage & Peripherals — 2.2% |
| |||||||
Apple, Inc. | 828,426 | 79,197,526 | ||||||
Textiles, Apparel & Luxury Goods — 2.6% |
| |||||||
adidas AG (Germany), ADR | 199,355 | 14,291,760 | ||||||
Coach, Inc. | 803,207 | 32,722,653 | ||||||
NIKE, Inc. (Class B Stock) | 827,764 | 45,692,573 | ||||||
| 92,706,986 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Wireless Telecommunication Services — 1.0% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 1,137,940 | $ | 35,150,967 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 3,444,119,143 | ||||||
| SHORT-TERM INVESTMENT — 6.0% | ||||||||
AFFILIATED MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 214,386,877 | 214,386,877 | ||||||
TOTAL INVESTMENTS — 103.3% |
| 3,658,506,020 | ||||||
LIABILITIES IN EXCESS OF |
| (118,276,398 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,540,229,622 | |||||
See the Glossary for abbreviations used in the semiannual 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 $131,124,392; cash collateral of $131,778,076 (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 Ultra Short Bond 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.
A63
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 63,341,975 | $ | — | $ | — | ||||||
Automobiles | 19,122,819 | — | — | |||||||||
Banks | 216,577,842 | — | — | |||||||||
Beverages | 26,561,345 | — | — | |||||||||
Biotechnology | 215,860,115 | — | — | |||||||||
Capital Markets | 49,104,529 | — | — | |||||||||
Chemicals | 41,862,107 | — | — | |||||||||
Communications Equipment | 12,352,914 | — | — | |||||||||
Consumer Finance | 55,858,366 | — | — | |||||||||
Diversified Financial Services | 17,099,182 | — | — | |||||||||
Electric Utilities | 89,260,048 | — | — | |||||||||
Electrical Equipment | 34,892,414 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 27,517,801 | — | — | |||||||||
Energy Equipment & Services | 51,693,191 | — | — | |||||||||
Food & Staples Retailing | 65,734,544 | — | — | |||||||||
Food Products | 95,934,488 | — | — | |||||||||
Health Care Equipment & Supplies | 32,442,290 | — | — | |||||||||
Health Care Providers & Services | 31,245,259 | — | — | |||||||||
Hotels, Restaurants & Leisure | 139,836,525 | — | — | |||||||||
Household Products | 46,608,464 | — | — | |||||||||
Industrial Conglomerates | 41,221,990 | — | — | |||||||||
Insurance | 69,526,551 | — | — | |||||||||
Internet & Catalog Retail | 195,560,105 | — | — | |||||||||
Internet Software & Services | 282,043,954 | 60,155,027 | — | |||||||||
IT Services | 111,172,947 | — | — | |||||||||
Life Sciences Tools & Services | 9,934,693 | — | — | |||||||||
Media | 70,452,072 | — | — | |||||||||
Multiline Retail | 34,565,299 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 164,659,156 | — | — | |||||||||
Pharmaceuticals | 299,183,257 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 28,903,293 | — | — | |||||||||
Road & Rail | 15,358,368 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 76,319,573 | — | — | |||||||||
Software | 322,261,499 | — | — | |||||||||
Specialty Retail | 122,839,662 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 79,197,526 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 92,706,986 | — | — | |||||||||
Wireless Telecommunication Services | 35,150,967 | — | — | |||||||||
Affiliated Mutual Fund | 214,386,877 | — | — | |||||||||
Total | $ | 3,598,350,993 | $ | 60,155,027 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:
Internet Software & Services | 9.7 | % | ||
Software | 9.1 | |||
Pharmaceuticals | 8.4 | |||
Banks | 6.1 | |||
Biotechnology | 6.1 | |||
Affiliated Mutual Fund (including 3.7% of collateral for securities on loan) | 6.0 | |||
Internet & Catalog Retail | 5.5 | |||
Oil, Gas & Consumable Fuels | 4.7 | |||
Hotels, Restaurants & Leisure | 3.9 | |||
Specialty Retail | 3.5 | |||
IT Services | 3.1 |
Food Products | 2.7 | % | ||
Textiles, Apparel & Luxury Goods | 2.6 | |||
Electric Utilities | 2.5 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Media | 2.0 | |||
Insurance | 2.0 | |||
Food & Staples Retailing | 1.9 | |||
Aerospace & Defense | 1.8 | |||
Consumer Finance | 1.6 | |||
Energy Equipment & Services | 1.5 | |||
Capital Markets | 1.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Industry table (cont.) | ||||
Household Products | 1.3 | % | ||
Chemicals | 1.2 | |||
Industrial Conglomerates | 1.2 | |||
Wireless Telecommunication Services | 1.0 | |||
Electrical Equipment | 1.0 | |||
Multiline Retail | 1.0 | |||
Health Care Equipment & Supplies | 0.9 | |||
Health Care Providers & Services | 0.9 | |||
Real Estate Investment Trusts (REITs) | 0.8 | |||
Electronic Equipment, Instruments & Components | 0.8 | |||
Beverages | 0.7 | % | ||
Automobiles | 0.5 | |||
Diversified Financial Services | 0.5 | |||
Road & Rail | 0.4 | |||
Communications Equipment | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
| 103.3 | ||||
Liabilities in excess of other assets | (3.3 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $131,124,392: | ||||
Unaffiliated investments (cost $2,604,414,197) | $ | 3,444,119,143 | ||
Affiliated investments (cost $214,386,877) | 214,386,877 | |||
Receivable for investments sold | 23,032,947 | |||
Dividends receivable | 4,896,712 | |||
Tax reclaim receivable | 1,782,711 | |||
Receivable for Series shares sold | 5,394 | |||
Prepaid expenses | 4,453 | |||
Total assets | 3,688,228,237 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 131,778,076 | |||
Payable for investments purchased | 14,055,086 | |||
Management fee payable | 1,318,456 | |||
Payable for Series shares repurchased | 610,852 | |||
Accrued expenses | 234,127 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 398 | |||
Deferred trustees’ fees | 325 | |||
Administration fee payable | 315 | |||
Total liabilities | 147,998,615 | |||
| NET ASSETS | $ | 3,540,229,622 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,777,219,339 | ||
Retained earnings | 1,763,010,283 | |||
Net assets, June 30, 2016 | $ | 3,540,229,622 | ||
| Class I: | ||||
Net asset value and redemption price per share $3,538,447,263 / 94,381,338 outstanding shares of beneficial interest | $ | 37.49 | ||
| Class II: | ||||
Net asset value and redemption price per share $1,782,359 / 47,698 outstanding shares of beneficial interest | $ | 37.37 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| INCOME | ||||
| NET INVESTMENT INCOME (LOSS) | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $346,625) | $ | 25,133,022 | ||
Affiliated income from securities lending, net | 1,145,321 | |||
Affiliated dividend income | 200,967 | |||
Total income | 26,479,310 | |||
| EXPENSES | ||||
Management fee | 7,935,368 | |||
Distribution fee—Class II | 2,232 | |||
Administration fee—Class II | 1,339 | |||
Custodian and accounting fees | 214,000 | |||
Shareholders’ reports | 121,000 | |||
Insurance expenses | 26,000 | |||
Trustees’ fees | 22,000 | |||
Audit fee | 14,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 19,430 | |||
Total expenses | 8,370,369 | |||
| NET INVESTMENT INCOME (LOSS) | 18,108,941 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 32,959,674 | |||
Foreign currency transactions | (210 | ) | ||
| 32,959,464 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (248,799,038 | ) | ||
Foreign currencies | 39,798 | |||
| (248,759,240 | ) | |||
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (215,799,776 | ) | ||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (197,690,835 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 18,108,941 | $ | 34,018,287 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 32,959,464 | 164,739,137 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (248,759,240 | ) | (104,802,733 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (197,690,835 | ) | 93,954,691 | |||||
| SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 4,599,024 | 11,599,955 | ||||||
Series shares repurchased | (118,111,957 | ) | (277,235,158 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (113,512,933 | ) | (265,635,203 | ) | ||||
Capital Contributions (Note 4) | 3,315,979 | — | ||||||
| TOTAL INCREASE (DECREASE) | (307,887,789 | ) | (171,680,512 | ) | ||||
| NET ASSETS: | ||||||||
Beginning of period | 3,848,117,411 | 4,019,797,923 | ||||||
End of period | $ | 3,540,229,622 | $ | 3,848,117,411 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| LONG-TERM INVESTMENTS — 95.5% | ||||||||
| COMMON STOCKS — 59.4% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.4% |
| |||||||
Boeing Co. (The) | 79,400 | $ | 10,311,678 | |||||
BWX Technologies, Inc. | 120,000 | 4,292,400 | ||||||
General Dynamics Corp. | 112,600 | 15,678,424 | ||||||
Huntington Ingalls Industries, Inc. | 68,300 | 11,476,449 | ||||||
Safran SA (France) | 3,623 | 243,980 | ||||||
Spirit AeroSystems Holdings, Inc. (Class A Stock)* | 201,500 | 8,664,500 | ||||||
Textron, Inc. | 33,700 | 1,232,072 | ||||||
Thales SA (France) | 1,229 | 102,062 | ||||||
United Technologies Corp. | 19,400 | 1,989,470 | ||||||
| 53,991,035 | ||||||||
Air Freight & Logistics — 0.4% |
| |||||||
Deutsche Post AG (Germany) | 7,511 | 211,605 | ||||||
FedEx Corp. | 107,700 | 16,346,706 | ||||||
Royal Mail PLC (United Kingdom) | 6,963 | 46,781 | ||||||
| 16,605,092 | ||||||||
Airlines — 0.5% |
| |||||||
ANA Holdings, Inc. (Japan) | 12,000 | 34,195 | ||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 312,000 | 457,724 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 6,346 | 31,421 | ||||||
Japan Airlines Co. Ltd. (Japan) | 900 | 28,955 | ||||||
Ryanair Holdings PLC (Ireland), ADR | 3,385 | 235,393 | ||||||
Singapore Airlines Ltd. (Singapore) | 2,100 | 16,676 | ||||||
Southwest Airlines Co. | 375,100 | 14,707,671 | ||||||
United Continental Holdings, Inc.* | 106,900 | 4,387,176 | ||||||
| 19,899,211 | ||||||||
Auto Components |
| |||||||
Cie Generale des Etablissements Michelin (France) | 5,692 | 536,420 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 15,500 | 713,689 | ||||||
Sumitomo Rubber Industries Ltd. (Japan) | 1,300 | 17,404 | ||||||
Valeo SA (France) | 11,510 | 510,978 | ||||||
| 1,778,491 | ||||||||
Automobiles — 0.8% |
| |||||||
Bayerische Motoren Werke AG (Germany) | 2,570 | 187,033 | ||||||
Daimler AG (Germany) | 445 | 26,628 | ||||||
Ferrari NV (Italy) | 952 | 39,082 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) | 6,980 | 42,965 | ||||||
Ford Motor Co. | 925,500 | 11,633,535 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 4,500 | 154,680 | ||||||
General Motors Co. | 538,200 | 15,231,060 | ||||||
Mazda Motor Corp. (Japan) | 12,900 | 170,709 | ||||||
Mitsubishi Motors Corp. (Japan) | 5,300 | 24,467 | ||||||
Nissan Motor Co. Ltd. (Japan) | 19,600 | 174,917 | ||||||
Peugeot SA (France)* | 1,072 | 12,849 | ||||||
Renault SA (France) | 9,259 | 699,035 | ||||||
Suzuki Motor Corp. (Japan) | 2,900 | 78,526 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles (continued) |
| |||||||
Toyota Motor Corp. (Japan) | 19,900 | $ | 981,041 | |||||
Volkswagen AG (Germany) | 246 | 32,610 | ||||||
| 29,489,137 | ||||||||
Banks — 3.6% |
| |||||||
Aozora Bank Ltd. (Japan) | 13,000 | 45,097 | ||||||
Banco Santander SA (Spain) | 13,182 | 51,155 | ||||||
Bank of America Corp. | 2,059,000 | 27,322,930 | ||||||
BNP Paribas SA (France) | 21,671 | 950,397 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 8,500 | 25,614 | ||||||
Citigroup, Inc. | 616,100 | 26,116,479 | ||||||
Commonwealth Bank of Australia (Australia) | 4,684 | 262,914 | ||||||
Concordia Financial Group Ltd. (Japan)* | 9,400 | 36,302 | ||||||
Credit Agricole SA (France) | 81,889 | 688,438 | ||||||
Danske Bank A/S (Denmark) | 30,073 | 791,533 | ||||||
DBS Group Holdings Ltd. (Singapore) | 28,300 | 333,683 | ||||||
Erste Group Bank AG (Austria) | 3,281 | 74,702 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 9,000 | 29,675 | ||||||
HSBC Holdings PLC (United Kingdom) | 257,329 | 1,594,304 | ||||||
ING Groep NV (Netherlands), CVA | 46,296 | 478,976 | ||||||
Intesa Sanpaolo SpA (Italy) | 98,988 | 188,544 | ||||||
Intesa Sanpaolo SpA, RSP (Italy) | 10,151 | 18,172 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 3,100 | 36,452 | ||||||
JPMorgan Chase & Co. | 612,894 | 38,085,233 | ||||||
Kyushu Financial Group, Inc. (Japan) | 2,800 | 13,879 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 34,514 | 24,998 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 4,200 | 18,828 | ||||||
Mizrahi Tefahot Bank Ltd. (Israel) | 1,616 | 18,634 | ||||||
Mizuho Financial Group, Inc. (Japan) | 186,700 | 268,672 | ||||||
National Australia Bank Ltd. (Australia) | 20,319 | 390,114 | ||||||
PNC Financial Services Group, Inc. (The) | 175,300 | 14,267,667 | ||||||
Resona Holdings, Inc. (Japan) | 7,000 | 25,584 | ||||||
Societe Generale SA (France) | 23,642 | 739,665 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 33,300 | 961,540 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 208,000 | 676,793 | ||||||
SunTrust Banks, Inc. | 219,600 | 9,021,168 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 11,584 | 140,636 | ||||||
Wells Fargo & Co. | 305,512 | 14,459,883 | ||||||
Westpac Banking Corp. (Australia) | 4,332 | 96,065 | ||||||
| 138,254,726 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Beverages — 1.0% |
| |||||||
Anheuser-Busch InBev NV (Belgium) | 2,940 | $ | 388,777 | |||||
Asahi Group Holdings Ltd. (Japan) | 3,000 | 97,004 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 47,215 | 291,459 | ||||||
Coca-Cola Co. (The) | 57,400 | 2,601,942 | ||||||
Coca-Cola European Partners PLC (United Kingdom)* | 1,692 | 60,631 | ||||||
Coca-Cola HBC AG (Switzerland) | 2,390 | 48,361 | ||||||
Diageo PLC (United Kingdom) | 23,031 | 643,389 | ||||||
Heineken NV (Netherlands) | 2,686 | 246,366 | ||||||
PepsiCo, Inc. | 320,120 | 33,913,513 | ||||||
SABMiller PLC (United Kingdom) | 307 | 17,904 | ||||||
| 38,309,346 | ||||||||
Biotechnology — 2.1% |
| |||||||
Actelion Ltd. (Switzerland) | 1,213 | 204,266 | ||||||
Amgen, Inc. | 153,408 | 23,341,027 | ||||||
Biogen Idec, Inc.* | 59,300 | 14,339,926 | ||||||
Celgene Corp.* | 194,600 | 19,193,398 | ||||||
CSL Ltd. (Australia) | 3,345 | 282,093 | ||||||
Gilead Sciences, Inc. | 274,100 | 22,865,422 | ||||||
Shire PLC (Ireland) | 7,012 | 433,362 | ||||||
| 80,659,494 | ||||||||
Building Products — 0.5% |
| |||||||
Asahi Glass Co. Ltd. (Japan) | 8,000 | 43,415 | ||||||
Assa Abloy AB (Sweden) (Class B Stock) | 7,756 | 159,563 | ||||||
Cie de Saint-Gobain (France) | 13,509 | 512,069 | ||||||
Continental Building Products, Inc.* | 49,500 | 1,100,385 | ||||||
Masco Corp. | 430,700 | 13,325,858 | ||||||
Universal Forest Products, Inc. | 24,800 | 2,298,712 | ||||||
| 17,440,002 | ||||||||
Capital Markets — 1.3% |
| |||||||
3i Group PLC (United Kingdom) | 96,321 | 706,720 | ||||||
Ameriprise Financial, Inc. | 55,300 | 4,968,705 | ||||||
Franklin Resources, Inc. | 192,700 | 6,430,399 | ||||||
Goldman Sachs Group, Inc. (The) | 119,800 | 17,799,884 | ||||||
Invesco Ltd. | 258,000 | 6,589,320 | ||||||
Macquarie Group Ltd. (Australia) | 15,522 | 807,991 | ||||||
Mediobanca SpA (Italy) | 4,422 | 25,479 | ||||||
Morgan Stanley | 205,200 | 5,331,096 | ||||||
Partners Group Holding AG (Switzerland) | 132 | 56,571 | ||||||
Raymond James Financial, Inc.(a) | 142,400 | 7,020,320 | ||||||
SBI Holdings, Inc. (Japan) | 48,000 | 477,990 | ||||||
| 50,214,475 | ||||||||
Chemicals — 1.1% |
| |||||||
Air Products & Chemicals, Inc. | 97,900 | 13,905,716 | ||||||
Asahi Kasei Corp. (Japan) | 9,000 | 62,631 | ||||||
BASF SE (Germany) | 2,238 | 171,608 | ||||||
Chr Hansen Holding A/S (Denmark) | 1,152 | 75,658 | ||||||
Covestro AG (Germany), 144A | 551 | 24,542 | ||||||
Daicel Corp. (Japan) | 22,400 | 232,110 | ||||||
GCP Applied Technologies, Inc.* | 46,200 | 1,203,048 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) |
| |||||||
Givaudan SA (Switzerland) | 29 | $ | 58,392 | |||||
Hitachi Chemical Co. Ltd. (Japan) | 800 | 14,941 | ||||||
K+S AG (Germany) | 6,091 | 124,697 | ||||||
Kaneka Corp. (Japan) | 3,000 | 20,017 | ||||||
Kuraray Co. Ltd. (Japan) | 3,900 | 46,533 | ||||||
LyondellBasell Industries NV (Class A Stock) | 200,100 | 14,891,442 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 15,500 | 71,052 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 4,000 | 20,868 | ||||||
Mitsui Chemicals, Inc. (Japan) | 9,000 | 33,073 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 4,900 | 287,083 | ||||||
Sika AG (Switzerland) | 26 | 109,019 | ||||||
Solvay SA (Belgium) | 565 | 52,776 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 12,000 | 49,513 | ||||||
Teijin Ltd. (Japan) | 7,000 | 23,195 | ||||||
Toray Industries, Inc. (Japan) | 11,000 | 93,862 | ||||||
Westlake Chemical Corp. | 178,500 | 7,661,220 | ||||||
Yara International ASA (Norway) | 20,992 | 666,849 | ||||||
| 39,899,845 | ||||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Brambles Ltd. (Australia) | 12,290 | 114,744 | ||||||
Herman Miller, Inc. | 25,900 | 774,151 | ||||||
ISS A/S (Denmark) | 15,658 | 588,902 | ||||||
Secom Co. Ltd. (Japan) | 1,600 | 118,293 | ||||||
Steelcase, Inc. (Class A Stock) | 135,100 | 1,833,307 | ||||||
| 3,429,397 | ||||||||
Communications Equipment — 0.8% |
| |||||||
Cisco Systems, Inc. | 973,600 | 27,932,584 | ||||||
Juniper Networks, Inc. | 41,600 | 935,584 | ||||||
NETGEAR, Inc.* | 18,500 | 879,490 | ||||||
| 29,747,658 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 1,553 | 42,598 | ||||||
EMCOR Group, Inc. | 42,200 | 2,078,772 | ||||||
Hochtief AG (Germany) | 163 | 21,045 | ||||||
Kajima Corp. (Japan) | 62,000 | 430,697 | ||||||
Obayashi Corp. (Japan) | 74,200 | 790,001 | ||||||
Shimizu Corp. (Japan) | 6,000 | 56,214 | ||||||
Skanska AB (Sweden) (Class B Stock) | 7,492 | 156,875 | ||||||
Taisei Corp. (Japan) | 8,000 | 65,734 | ||||||
Vinci SA (France) | 3,878 | 273,659 | ||||||
| 3,915,595 | ||||||||
Construction Materials |
| |||||||
Fletcher Building Ltd. (New Zealand) | 5,381 | 33,099 | ||||||
HeidelbergCement AG (Germany) | 1,101 | 82,941 | ||||||
| 116,040 | ||||||||
Consumer Finance — 0.2% |
| |||||||
Navient Corp. | 730,800 | 8,733,060 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Containers & Packaging — 0.1% |
| |||||||
Amcor Ltd. (Australia) | 13,389 | $ | 150,541 | |||||
Greif, Inc. (Class A Stock) | 46,000 | 1,714,420 | ||||||
Rexam PLC (United Kingdom) | 5,479 | 47,787 | ||||||
| 1,912,748 | ||||||||
Diversified Financial Services — 0.8% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 214,000 | 30,985,060 | ||||||
Eurazeo SA (France) | 3,127 | 185,513 | ||||||
Japan Exchange Group, Inc. (Japan) | 4,200 | 48,356 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 66,700 | 256,300 | ||||||
ORIX Corp. (Japan) | 10,400 | 134,581 | ||||||
| 31,609,810 | ||||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
AT&T, Inc. | 948,820 | 40,998,512 | ||||||
Deutsche Telekom AG (Germany)(a) | 25,214 | 429,958 | ||||||
Koninklijke KPN NV (Netherlands) | 26,523 | 94,540 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 21,300 | 998,862 | ||||||
Orange SA (France) | 15,413 | 250,624 | ||||||
Spark New Zealand Ltd. (New Zealand) | 199,243 | 506,405 | ||||||
Telecom Italia SpA (Italy) | 46,997 | 30,237 | ||||||
Telefonica SA (Spain) | 34,542 | 327,937 | ||||||
TPG Telecom Ltd. (Australia) | 3,510 | 31,474 | ||||||
Verizon Communications, Inc. | 708,888 | 39,584,306 | ||||||
| 83,252,855 | ||||||||
Electric Utilities — 1.7% |
| |||||||
American Electric Power Co., Inc. | 162,800 | 11,410,652 | ||||||
AusNet Services (Australia) | 20,657 | 25,442 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 5,000 | 43,110 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 4,900 | 69,732 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 2,100 | 26,698 | ||||||
CLP Holdings Ltd. (Hong Kong) | 22,500 | 229,842 | ||||||
EDP-Energias de Portugal SA (Portugal) | 28,232 | 86,435 | ||||||
Electricite de France (France) | 13,900 | 168,541 | ||||||
Endesa SA (Spain) | 2,451 | 49,181 | ||||||
Enel SpA (Italy) | 90,243 | 400,631 | ||||||
Entergy Corp. | 71,000 | 5,775,850 | ||||||
Exelon Corp. | 513,200 | 18,659,952 | ||||||
FirstEnergy Corp. | 372,500 | 13,003,975 | ||||||
Fortum OYJ (Finland) | 3,382 | 54,337 | ||||||
Hokuriku Electric Power Co. (Japan) | 1,700 | 21,065 | ||||||
Iberdrola SA (Spain) | 28,204 | 192,396 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 5,300 | 51,618 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 3,200 | 32,094 | ||||||
PPL Corp. | 394,300 | 14,884,825 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) |
| |||||||
Red Electrica Corp. SA (Spain) | 569 | $ | 50,843 | |||||
Shikoku Electric Power Co., Inc. (Japan) | 1,200 | 14,214 | ||||||
SSE PLC (United Kingdom) | 7,818 | 162,718 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 3,500 | 44,172 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 11,200 | 47,432 | ||||||
| 65,505,755 | ||||||||
Electrical Equipment — 0.8% |
| |||||||
ABB Ltd. (Switzerland) | 48,361 | 957,166 | ||||||
Eaton Corp. PLC | 233,500 | 13,946,955 | ||||||
Emerson Electric Co.(a) | 214,800 | 11,203,968 | ||||||
OSRAM Licht AG (Germany) | 692 | 35,954 | ||||||
Regal Beloit Corp. | 45,700 | 2,515,785 | ||||||
Vestas Wind Systems A/S (Denmark) | 1,735 | 117,927 | ||||||
| 28,777,755 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Hexagon AB (Sweden) (Class B Stock) | 2,001 | 73,228 | ||||||
Hitachi High-Technologies Corp. (Japan) | 500 | 13,684 | ||||||
Hitachi Ltd. (Japan) | 7,000 | 29,329 | ||||||
Ingenico Group SA (France) | 427 | 49,492 | ||||||
Jabil Circuit, Inc. | 87,700 | 1,619,819 | ||||||
TDK Corp. (Japan) | 13,600 | 761,278 | ||||||
| 2,546,830 | ||||||||
Energy Equipment & Services — 0.2% |
| |||||||
Ensco PLC (Class A Stock) | 730,400 | 7,092,184 | ||||||
Food & Staples Retailing — 1.7% |
| |||||||
ICA Gruppen AB (Sweden) | 20,199 | 676,973 | ||||||
J. Sainsbury PLC (United Kingdom) | 208,860 | 650,642 | ||||||
Koninklijke Ahold NV (Netherlands) | 6,495 | 143,427 | ||||||
Kroger Co. (The) | 458,800 | 16,879,252 | ||||||
METRO AG (Germany) | 22,147 | 681,158 | ||||||
Wal-Mart Stores, Inc. | 362,600 | 26,477,052 | ||||||
Walgreens Boots Alliance, Inc. | 243,400 | 20,267,918 | ||||||
| 65,776,422 | ||||||||
Food Products — 1.1% |
| |||||||
Blue Buffalo Pet Products, Inc.* | 47,800 | 1,115,652 | ||||||
Bunge Ltd. | 148,800 | 8,801,520 | ||||||
ConAgra Foods, Inc. | 206,600 | 9,877,546 | ||||||
Lindt & Spruengli AG (Switzerland) | 1 | 71,463 | ||||||
Marine Harvest ASA (Norway) | 2,963 | 49,978 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 800 | 82,204 | ||||||
Nestle SA (Switzerland) | 24,565 | 1,903,255 | ||||||
Orkla ASA (Norway) | 20,558 | 182,834 | ||||||
Pilgrim’s Pride Corp. | 38,700 | 986,076 | ||||||
Tyson Foods, Inc. (Class A Stock) | 246,300 | 16,450,377 | ||||||
WH Group Ltd. (Hong Kong), 144A | 904,000 | 715,964 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products (continued) |
| |||||||
Wilmar International Ltd. (Singapore) | 209,000 | $ | 508,769 | |||||
| 40,745,638 | ||||||||
Gas Utilities — 0.1% |
| |||||||
Gas Natural SDG SA (Spain) | 2,684 | 53,352 | ||||||
Tokyo Gas Co. Ltd. (Japan) | 15,000 | 61,931 | ||||||
UGI Corp. | 117,000 | 5,294,250 | ||||||
| 5,409,533 | ||||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
Abbott Laboratories | 423,300 | 16,639,923 | ||||||
Becton Dickinson and Co. | 90,500 | 15,347,895 | ||||||
C.R. Bard, Inc. | 38,300 | 9,006,628 | ||||||
Edwards Lifesciences Corp.* | 9,400 | 937,462 | ||||||
Hill-Rom Holdings, Inc. | 24,100 | 1,215,845 | ||||||
Hologic, Inc.* | 297,000 | 10,276,200 | ||||||
Medtronic PLC | 124,800 | 10,828,896 | ||||||
Sysmex Corp. (Japan) | 500 | 34,429 | ||||||
| 64,287,278 | ||||||||
Health Care Providers & Services — 2.0% |
| |||||||
Alfresa Holdings Corp. (Japan) | 34,300 | 716,599 | ||||||
Anthem, Inc. | 113,900 | 14,959,626 | ||||||
Express Scripts Holding Co.* | 227,000 | 17,206,600 | ||||||
Fresenius SE & Co. KGaA (Germany) | 244 | 17,929 | ||||||
HCA Holdings, Inc.* | 91,900 | 7,077,219 | ||||||
McKesson Corp. | 28,200 | 5,263,530 | ||||||
Medipal Holdings Corp. (Japan) | 42,400 | 697,091 | ||||||
Ramsay Health Care Ltd. (Australia) | 1,076 | 58,153 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 2,922 | 19,503 | ||||||
Sonic Healthcare Ltd. (Australia) | 3,021 | 48,992 | ||||||
UnitedHealth Group, Inc. | 199,400 | 28,155,280 | ||||||
| 74,220,522 | ||||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 4,201 | 43,703 | ||||||
Bloomin’ Brands, Inc. | 143,100 | 2,557,197 | ||||||
Compass Group PLC (United Kingdom) | 23,433 | 445,824 | ||||||
Extended Stay America, Inc.(a) | 145,700 | 2,178,215 | ||||||
McDonald’s Corp. | 198,400 | 23,875,456 | ||||||
Oriental Land Co. Ltd. (Japan) | 1,600 | 103,599 | ||||||
Paddy Power Betfair PLC (Ireland) | 2,012 | 211,455 | ||||||
Tui AG (Germany) | 3,897 | 44,356 | ||||||
Wyndham Worldwide Corp. | 163,000 | 11,610,490 | ||||||
Yum! Brands, Inc. | 125,900 | 10,439,628 | ||||||
| 51,509,923 | ||||||||
Household Durables — 0.4% |
| |||||||
Barratt Developments PLC (United Kingdom) | 7,953 | 43,217 | ||||||
Berkeley Group Holdings PLC (United Kingdom) | 5,688 | 192,072 | ||||||
D.R. Horton, Inc. | 394,200 | 12,409,416 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 19,200 | 523,485 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Durables (continued) |
| |||||||
Iida Group Holdings Co. Ltd. (Japan) | 2,000 | $ | 40,958 | |||||
Meritage Homes Corp.* | 41,100 | 1,542,894 | ||||||
Nikon Corp. (Japan) | 6,300 | 85,301 | ||||||
Persimmon PLC (United Kingdom) | 3,351 | 64,982 | ||||||
Sekisui House Ltd. (Japan) | 7,000 | 122,585 | ||||||
Taylor Wimpey PLC (United Kingdom) | 262,670 | 466,001 | ||||||
| 15,490,911 | ||||||||
Household Products — 1.6% |
| |||||||
Colgate-Palmolive Co. | 228,900 | 16,755,480 | ||||||
Henkel AG & Co. KGaA (Germany) | 2,201 | 238,079 | ||||||
Kimberly-Clark Corp. | 39,400 | 5,416,712 | ||||||
Procter & Gamble Co. (The) | 455,505 | 38,567,608 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 6,992 | 701,103 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 7,684 | 246,892 | ||||||
| 61,925,874 | ||||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
AES Corp. | 945,000 | 11,793,600 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1,100 | 25,628 | ||||||
| 11,819,228 | ||||||||
Industrial Conglomerates — 1.1% |
| |||||||
3M Co. | 122,700 | 21,487,224 | ||||||
Carlisle Cos., Inc. | 32,200 | 3,402,896 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 20,520 | 225,729 | ||||||
Danaher Corp. | 30,900 | 3,120,900 | ||||||
DCC PLC (United Kingdom) | 5,866 | 516,208 | ||||||
General Electric Co. | 387,592 | 12,201,396 | ||||||
NWS Holdings Ltd. (Hong Kong) | 18,000 | 28,492 | ||||||
Siemens AG (Germany) | 7,232 | 742,160 | ||||||
| 41,725,005 | ||||||||
Insurance — 1.4% |
| |||||||
Aflac, Inc. | 154,600 | 11,155,936 | ||||||
AIA Group Ltd. (Hong Kong) | 7,400 | 44,502 | ||||||
Allianz SE (Germany) | 7,928 | 1,130,993 | ||||||
Allstate Corp. (The) | 222,900 | 15,591,855 | ||||||
American Financial Group, Inc. | 15,500 | 1,145,915 | ||||||
Assicurazioni Generali SpA (Italy) | 1,889 | 22,276 | ||||||
AXA SA (France) | 15,016 | 296,907 | ||||||
Hannover Rueck SE (Germany) | 6,802 | 712,699 | ||||||
Legal & General Group PLC (United Kingdom) | 131,827 | 337,492 | ||||||
Mapfre SA (Spain) | 8,291 | 18,208 | ||||||
Medibank Pvt Ltd. (Australia) | 33,000 | 73,180 | ||||||
MetLife, Inc. | 384,600 | 15,318,618 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 4,100 | 106,231 | ||||||
NN Group NV (Netherlands) | 23,317 | 641,883 | ||||||
Poste Italiane SpA (Italy), 144A | 4,046 | 26,865 | ||||||
SCOR SE (France) | 1,788 | 52,863 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) |
| |||||||
Swiss Life Holding AG (Switzerland) | 247 | $ | 57,081 | |||||
Swiss Re AG (Switzerland) | 10,410 | 909,214 | ||||||
Travelers Cos., Inc. (The) | 37,200 | 4,428,288 | ||||||
| 52,071,006 | ||||||||
Internet & Catalog Retail — 0.8% |
| |||||||
Amazon.com, Inc.* | 44,000 | 31,487,280 | ||||||
Start Today Co. Ltd. (Japan) | 500 | 26,429 | ||||||
| 31,513,709 | ||||||||
Internet Software & Services — 2.8% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 33,900 | 23,849,667 | ||||||
Alphabet, Inc. (Class C Stock)* | 38,682 | 26,771,812 | ||||||
eBay, Inc.* | 542,100 | 12,690,561 | ||||||
Facebook, Inc. (Class A Stock)* | 368,000 | 42,055,040 | ||||||
Mixi, Inc. (Japan) | 500 | 20,673 | ||||||
| 105,387,753 | ||||||||
IT Services — 1.7% |
| |||||||
Accenture PLC (Class A Stock) | 166,900 | 18,908,101 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 5,242 | 230,957 | ||||||
Atos SE (France) | 8,510 | 701,644 | ||||||
Cap Gemini SA (France) | 1,890 | 163,094 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 256,200 | 14,664,888 | ||||||
Computershare Ltd. (Australia) | 6,189 | 42,796 | ||||||
CSRA, Inc. | 80,000 | 1,874,400 | ||||||
DST Systems, Inc. | 24,700 | 2,875,821 | ||||||
First Data Corp. (Class A Stock)* | 636,900 | 7,050,483 | ||||||
Fiserv, Inc.* | 69,000 | 7,502,370 | ||||||
Leidos Holdings, Inc.(a) | 93,200 | 4,461,484 | ||||||
Nomura Research Institute Ltd. (Japan) | 1,000 | 36,675 | ||||||
Visa, Inc. (Class A Stock)(a) | 87,000 | 6,452,790 | ||||||
| 64,965,503 | ||||||||
Leisure Products |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 1,600 | 41,290 | ||||||
Sankyo Co. Ltd. (Japan) | 12,800 | 479,911 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 2,200 | 23,694 | ||||||
Yamaha Corp. (Japan) | 2,000 | 53,907 | ||||||
| 598,802 | ||||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
QIAGEN NV* | 1,704 | 37,134 | ||||||
VWR Corp.* | 67,100 | 1,939,190 | ||||||
| 1,976,324 | ||||||||
Machinery — 0.4% |
| |||||||
Allison Transmission Holdings, Inc. | 27,900 | 787,617 | ||||||
Amada Co. Ltd. (Japan) | 2,700 | 27,411 | ||||||
ANDRITZ AG (Austria) | 922 | 43,719 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 600 | 15,583 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 4,607 | 109,197 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) |
| |||||||
GEA Group AG (Germany) | 1,414 | $ | 66,743 | |||||
Hoshizaki Electric Co. Ltd. (Japan) | 4,200 | 411,155 | ||||||
Illinois Tool Works, Inc. | 45,100 | 4,697,616 | ||||||
Ingersoll-Rand PLC | 24,600 | 1,566,528 | ||||||
Kone OYJ (Finland) (Class B Stock) | 3,913 | 180,587 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 25,000 | 100,531 | ||||||
Schindler Holding AG (Switzerland) | 155 | 28,208 | ||||||
Schindler Holding AG (Switzerland) (Part. Cert.) | 338 | 61,194 | ||||||
Terex Corp. | 116,800 | 2,372,208 | ||||||
Volvo AB (Sweden) (Class B Stock) | 18,271 | 181,510 | ||||||
Wabash National Corp.*(a) | 221,900 | 2,818,130 | ||||||
| 13,467,937 | ||||||||
Marine |
| |||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 28 | 35,290 | ||||||
Media — 1.2% | ||||||||
Comcast Corp. (Class A Stock) | 426,473 | 27,801,775 | ||||||
Hakuhodo DY Holdings, Inc. (Japan) | 16,100 | 192,971 | ||||||
News Corp. (Class A Stock) | 63,600 | 721,860 | ||||||
ProSiebenSat.1 Media AG (Germany)* | 1,699 | 74,318 | ||||||
RELX PLC (United Kingdom) | 1,066 | 19,630 | ||||||
RTL Group SA (Luxembourg) | 300 | 24,501 | ||||||
TEGNA, Inc. | 41,200 | 954,604 | ||||||
Time Warner, Inc. | 13,100 | 963,374 | ||||||
Viacom, Inc. (Class B Stock) | 34,000 | 1,409,980 | ||||||
Vivendi SA (France) | 9,108 | 170,400 | ||||||
Walt Disney Co. (The) | 134,200 | 13,127,444 | ||||||
WPP PLC (United Kingdom) | 41,007 | 854,648 | ||||||
| 46,315,505 | ||||||||
Metals & Mining — 0.4% |
| |||||||
Alumina Ltd. (Australia) | 18,022 | 17,715 | ||||||
Anglo American PLC (United Kingdom) | 9,862 | 96,670 | ||||||
BHP Billiton Ltd. (Australia) | 23,976 | 334,136 | ||||||
BHP Billiton PLC (Australia) | 6,611 | 83,676 | ||||||
Boliden AB (Sweden) | 38,065 | 743,946 | ||||||
Fortescue Metals Group Ltd. (Australia) | 186,008 | 497,766 | ||||||
JFE Holdings, Inc. (Japan) | 3,900 | 50,876 | ||||||
Mitsubishi Materials Corp. (Japan) | 12,000 | 28,732 | ||||||
Newmont Mining Corp. | 30,500 | 1,193,160 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 9,800 | 189,724 | ||||||
Nucor Corp. | 108,700 | 5,370,867 | ||||||
Rio Tinto PLC (United Kingdom) | 9,305 | 289,076 | ||||||
Steel Dynamics, Inc. | 292,600 | 7,168,700 | ||||||
Voestalpine AG (Austria) | 9,333 | 314,106 | ||||||
| 16,379,150 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Multi-Utilities — 0.3% |
| |||||||
DTE Energy Co. | 10,700 | $ | 1,060,584 | |||||
E.ON SE (Germany) | 23,905 | 241,318 | ||||||
MDU Resources Group, Inc. | 76,600 | 1,838,400 | ||||||
National Grid PLC (United Kingdom) | 79,503 | 1,169,123 | ||||||
Public Service Enterprise Group, Inc. | 139,300 | 6,492,773 | ||||||
| 10,802,198 | ||||||||
Multiline Retail — 0.7% |
| |||||||
Harvey Norman Holdings Ltd. (Australia) | 6,703 | 23,324 | ||||||
J Front Retailing Co. Ltd. (Japan) | 2,600 | 26,958 | ||||||
Macy’s, Inc. | 388,300 | 13,050,763 | ||||||
Takashimaya Co. Ltd. (Japan) | 3,000 | 21,487 | ||||||
Target Corp. | 202,400 | 14,131,568 | ||||||
| 27,254,100 | ||||||||
Oil, Gas & Consumable Fuels — 3.7% |
| |||||||
BP PLC (United Kingdom) | 135,134 | 791,013 | ||||||
Caltex Australia Ltd. (Australia) | 2,887 | 69,606 | ||||||
Chevron Corp. | 6,856 | 718,714 | ||||||
ConocoPhillips | 128,500 | 5,602,600 | ||||||
EQT Corp. | 171,700 | 13,294,731 | ||||||
Exxon Mobil Corp. | 385,116 | 36,100,774 | ||||||
Galp Energia SGPS SA (Portugal) | 46,405 | 645,419 | ||||||
HollyFrontier Corp. | 84,900 | 2,018,073 | ||||||
Kinder Morgan, Inc. | 840,600 | 15,736,032 | ||||||
Marathon Petroleum Corp. | 259,600 | 9,854,416 | ||||||
Neste OYJ (Finland) | 21,252 | 762,077 | ||||||
OMV AG (Austria) | 1,111 | 31,231 | ||||||
ONEOK, Inc.(a) | 50,500 | 2,396,225 | ||||||
PBF Energy, Inc. (Class A Stock) | 91,500 | 2,175,870 | ||||||
Phillips 66 | 193,300 | 15,336,422 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 32,423 | 890,508 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 28,783 | 795,237 | ||||||
Statoil ASA (Norway) | 8,420 | 145,485 | ||||||
Tesoro Corp. | 160,400 | 12,017,168 | ||||||
Total SA (France) | 17,587 | 843,406 | ||||||
Valero Energy Corp. | 269,100 | 13,724,100 | ||||||
Western Refining, Inc.(a) | 405,400 | 8,363,402 | ||||||
| 142,312,509 | ||||||||
Paper & Forest Products | ||||||||
KapStone Paper & Packaging Corp. | 74,600 | 970,546 | ||||||
Stora Enso OYJ (Finland) (Class R Stock) | 4,222 | 33,954 | ||||||
UPM-Kymmene OYJ (Finland) | 40,344 | 741,153 | ||||||
| 1,745,653 | ||||||||
Personal Products | ||||||||
Kao Corp. (Japan) | 3,900 | 227,144 | ||||||
Pola Orbis Holdings, Inc. (Japan) | 200 | 18,822 | ||||||
Unilever NV (United Kingdom) | 3,991 | 185,621 | ||||||
Unilever PLC (United Kingdom) | 9,943 | 476,423 | ||||||
| 908,010 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals — 3.3% | ||||||||
Allergan PLC* | 5,800 | $ | 1,340,322 | |||||
Astellas Pharma, Inc. (Japan) | 67,500 | 1,058,558 | ||||||
AstraZeneca PLC (United Kingdom) | 5,148 | 307,767 | ||||||
Bayer AG (Germany) | 11,098 | 1,114,631 | ||||||
Bristol-Myers Squibb Co. | 277,500 | 20,410,125 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 45,945 | 986,674 | ||||||
Jazz Pharmaceuticals PLC* | 45,400 | 6,415,474 | ||||||
Johnson & Johnson | 322,298 | 39,094,748 | ||||||
Mallinckrodt PLC* | 199,200 | 12,107,376 | ||||||
Merck & Co., Inc. | 308,600 | 17,778,446 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 2,600 | 46,977 | ||||||
Novartis AG (Switzerland) | 11,745 | 969,415 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 14,287 | 769,396 | ||||||
Orion OYJ (Finland) (Class B Stock) | 782 | 30,365 | ||||||
Pfizer, Inc. | 576,697 | 20,305,502 | ||||||
Roche Holding AG (Switzerland) | 8,079 | 2,131,885 | ||||||
Sanofi (France) | 9,128 | 758,383 | ||||||
Shionogi & Co. Ltd. (Japan) | 2,400 | 131,199 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 13,221 | 669,118 | ||||||
| 126,426,361 | ||||||||
Professional Services — 0.2% |
| |||||||
Experian PLC (Ireland) | 11,510 | 218,369 | ||||||
Intertek Group PLC (United Kingdom) | 1,912 | 89,087 | ||||||
Randstad Holding NV (Netherlands) | 915 | 36,592 | ||||||
Robert Half International, Inc. | 193,300 | 7,376,328 | ||||||
| 7,720,376 | ||||||||
Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
American Tower Corp. | 86,200 | 9,793,182 | ||||||
British Land Co. PLC (The) (United Kingdom) | 11,499 | 93,364 | ||||||
CBL & Associates Properties, Inc. | 321,900 | 2,996,889 | ||||||
Chimera Investment Corp. | 269,900 | 4,237,430 | ||||||
Dexus Property Group (Australia) | 116,212 | 788,576 | ||||||
Franklin Street Properties Corp. | 82,100 | 1,007,367 | ||||||
General Growth Properties, Inc. | 55,100 | 1,643,082 | ||||||
GEO Group, Inc. (The) | 76,200 | 2,604,516 | ||||||
Goodman Group (Australia) | 13,602 | 72,954 | ||||||
GPT Group (Australia) | 130,006 | 528,690 | ||||||
HCP, Inc.(a) | 348,000 | 12,312,240 | ||||||
Intu Properties PLC (United Kingdom) | 7,276 | 28,288 | ||||||
Link REIT (The) (Hong Kong) | 131,000 | 895,805 | ||||||
Nomura Real Estate Master Fund, Inc. (Japan) | 27 | 42,682 | ||||||
Scentre Group (Australia) | 40,709 | 150,785 | ||||||
Segro PLC (United Kingdom) | 5,837 | 32,354 | ||||||
Simon Property Group, Inc. | 33,100 | 7,179,390 | ||||||
Starwood Property Trust, Inc. | 417,300 | 8,646,456 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Stockland (Australia) | 18,117 | $ | 64,234 | |||||
Suntec Real Estate Investment Trust (Singapore) | 18,300 | 24,181 | ||||||
Westfield Corp. (Australia) | 15,133 | 121,559 | ||||||
| 53,264,024 | ||||||||
Real Estate Management & Development — 0.2% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 56,200 | 1,488,176 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 24,100 | 707,745 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 55,561 | 313,851 | ||||||
Hulic Co. Ltd. (Japan) | 1,800 | 18,968 | ||||||
Jones Lang LaSalle, Inc. | 62,500 | 6,090,625 | ||||||
Kerry Properties Ltd. (Hong Kong) | 7,000 | 17,331 | ||||||
Mitsui Fudosan Co. Ltd. (Japan) | 3,000 | 68,852 | ||||||
New World Development Co. Ltd. (Hong Kong) | 62,000 | 63,138 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 70,000 | 427,177 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 6,000 | 28,186 | ||||||
| 9,224,049 | ||||||||
Road & Rail — 0.1% |
| |||||||
Aurizon Holdings Ltd. (Australia) | 16,328 | 59,243 | ||||||
Central Japan Railway Co. (Japan) | 1,900 | 337,941 | ||||||
CSX Corp. | 33,300 | 868,464 | ||||||
East Japan Railway Co. (Japan) | 3,800 | 352,159 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 32,000 | 238,609 | ||||||
West Japan Railway Co. (Japan) | 1,200 | 76,048 | ||||||
| 1,932,464 | ||||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
ARM Holdings PLC (United Kingdom) | 1,651 | 25,078 | ||||||
Intel Corp. | 996,800 | 32,695,040 | ||||||
NXP Semiconductors NV (Netherlands)* | 10,200 | 799,068 | ||||||
QUALCOMM, Inc. | 360,900 | 19,333,413 | ||||||
Texas Instruments, Inc. | 121,600 | 7,618,240 | ||||||
Tokyo Electron Ltd. (Japan) | 3,300 | 278,879 | ||||||
| 60,749,718 | ||||||||
Software — 2.8% |
| |||||||
Adobe Systems, Inc.* | 150,300 | 14,397,237 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 1,000 | 79,680 | ||||||
Citrix Systems, Inc.* | 131,100 | 10,499,799 | ||||||
Konami Holdings Corp. (Japan) | 18,000 | 686,697 | ||||||
Manhattan Associates, Inc.* | 38,600 | 2,475,418 | ||||||
Microsoft Corp. | 1,118,600 | 57,238,762 | ||||||
NICE Ltd. (Israel) | 479 | 30,480 | ||||||
Oracle Corp. | 545,600 | 22,331,408 | ||||||
SAP SE (Germany) | 7,634 | 573,356 | ||||||
| 108,312,837 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail — 1.1% |
| |||||||
ABC-Mart, Inc. (Japan) | 300 | $ | 20,134 | |||||
Bed Bath & Beyond, Inc. | 148,800 | 6,431,136 | ||||||
Dixons Carphone PLC (United Kingdom) | 7,646 | 32,817 | ||||||
Express, Inc.* | 326,300 | 4,734,613 | ||||||
Francesca’s Holdings Corp.* | 66,700 | 737,035 | ||||||
Gap, Inc. (The)(a) | 280,600 | 5,954,332 | ||||||
GNC Holdings, Inc. (Class A Stock) | 251,900 | 6,118,651 | ||||||
Home Depot, Inc. (The) | 87,900 | 11,223,951 | ||||||
Industria de Diseno Textil SA (Spain) | 14,362 | 482,479 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 900 | 109,156 | ||||||
Ross Stores, Inc. | 26,600 | 1,507,954 | ||||||
Shimamura Co. Ltd. (Japan) | 200 | 29,757 | ||||||
Staples, Inc. | 369,600 | 3,185,952 | ||||||
| 40,567,967 | ||||||||
Technology Hardware, Storage & Peripherals — 2.0% |
| |||||||
Apple, Inc. | 606,400 | 57,971,840 | ||||||
Brother Industries Ltd. (Japan) | 1,900 | 20,380 | ||||||
FUJIFILM Holdings Corp. (Japan) | 9,000 | 349,204 | ||||||
Hewlett Packard Enterprise Co. | 282,600 | 5,163,102 | ||||||
HP, Inc. | 639,900 | 8,030,745 | ||||||
NEC Corp. (Japan) | 21,000 | 48,927 | ||||||
Ricoh Co. Ltd. (Japan) | 5,200 | 45,076 | ||||||
Seagate Technology PLC(a) | 150,600 | 3,668,616 | ||||||
| 75,297,890 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
adidas AG (Germany) | 6,761 | 970,541 | ||||||
Michael Kors Holdings Ltd.* | 194,300 | 9,613,964 | ||||||
NIKE, Inc. (Class B Stock) | 142,000 | 7,838,400 | ||||||
Swatch Group AG (The) (Switzerland) | 536 | 30,695 | ||||||
| 18,453,600 | ||||||||
Tobacco — 1.3% |
| |||||||
Altria Group, Inc. | 454,600 | 31,349,216 | ||||||
British American Tobacco PLC (United Kingdom) | 25,849 | 1,675,774 | ||||||
Imperial Brands PLC (United Kingdom) | 7,412 | 401,976 | ||||||
Japan Tobacco, Inc. (Japan) | 15,500 | 624,684 | ||||||
Reynolds American, Inc. | 314,000 | 16,934,020 | ||||||
| 50,985,670 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 2,286 | 32,653 | ||||||
HD Supply Holdings, Inc.* | 95,300 | 3,318,346 | ||||||
ITOCHU Corp. (Japan) | 69,500 | 850,208 | ||||||
Mitsui & Co. Ltd. (Japan) | 9,400 | 112,210 | ||||||
| 4,313,417 | ||||||||
Transportation Infrastructure |
| |||||||
Abertis Infraestructuras SA (Spain) | 4,223 | 62,406 | ||||||
Aena SA (Spain), 144A | 2,383 | 315,869 | ||||||
Atlantia SpA (Italy) | 3,982 | 99,490 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure (continued) |
| |||||||
Auckland International Airport Ltd. (New Zealand) | 7,412 | $ | 34,480 | |||||
Hutchison Port Holdings Trust (Hong Kong) | 39,700 | 18,064 | ||||||
Kamigumi Co. Ltd. (Japan) | 3,000 | 27,728 | ||||||
Sydney Airport (Australia) | 8,331 | 43,502 | ||||||
Transurban Group (Australia) | 24,304 | 218,901 | ||||||
| 820,440 | ||||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 13,600 | 413,573 | ||||||
Millicom International Cellular SA (Luxembourg), SDR | 513 | 31,467 | ||||||
NTT DOCOMO, Inc. (Japan) | 16,700 | 450,375 | ||||||
SoftBank Corp. (Japan) | 7,400 | 418,485 | ||||||
Vodafone Group PLC (United Kingdom) | 204,650 | 623,952 | ||||||
| 1,937,852 | ||||||||
TOTAL COMMON STOCKS |
| 2,261,830,989 | ||||||
| EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE Index Fund | 28,050 | 1,565,470 | ||||||
PREFERRED STOCKS | Shares | Value (Note 2) | ||||||
Automobiles |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 423 | $ | 26,965 | |||||
Volkswagen AG (Germany) (PRFC) | 6,200 | 750,949 | ||||||
| 777,914 | ||||||||
Banks |
| |||||||
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b) | 22,000 | 573,540 | ||||||
Household Products |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 100 | 12,221 | ||||||
TOTAL PREFERRED STOCKS |
| 1,363,675 | ||||||
| Units | ||||||||
| RIGHTS* | ||||||||
Construction & Engineering |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain), | 1,553 | 1,091 | ||||||
| ASSET-BACKED SECURITIES — 4.0% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 1.5% | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.814% | (b) | 04/20/25 | 2,550 | 2,523,569 | |||||||||
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A | 2.029% | (b) | 01/15/28 | 2,500 | 2,474,655 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 2.134% | (b) | 04/28/26 | 1,500 | 1,498,069 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.228% | (b) | 10/15/26 | 2,500 | 2,486,459 | |||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.183% | (b) | 04/18/27 | 1,000 | 993,382 | |||||||||
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 2.168% | (b) | 10/15/26 | 750 | 749,175 | |||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.233% | (b) | 10/17/26 | 250 | 248,749 | |||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 2.163% | (b) | 04/18/27 | 1,250 | 1,238,463 | |||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.828% | (b) | 07/15/24 | 1,200 | 1,186,533 | |||||||||
Benefit Street Partners CLO VII Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A | 2.163% | (b) | 07/18/27 | 750 | 744,256 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.783% | (b) | 04/17/25 | 2,100 | 2,067,499 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.184% | (b) | 04/20/26 | 2,200 | 2,194,500 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.434% | (b) | 04/20/26 | 450 | 437,281 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 2.143% | (b) | 10/18/26 | 500 | 496,677 | |||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 2.104% | (b) | 01/20/26 | 2,300 | 2,288,534 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.033% | (b) | 01/17/26 | 500 | 495,370 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.885% | (b) | 07/22/20 | 124 | 123,233 | |||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 2.098% | (b) | 10/15/26 | 1,250 | 1,241,908 | |||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.083% | (b) | 05/05/27 | 250 | 248,112 | |||||||||
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.280% | 01/25/27 | 1,000 | 997,895 | ||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.168% | (b) | 04/15/27 | 500 | 496,132 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.216% | (b) | 05/15/26 | 300 | 298,311 | |||||||||
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 2.133% | (b) | 04/18/26 | 750 | 744,257 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 2.058% | (b) | 07/25/26 | 3,000 | $ | 2,996,830 | ||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 2.108% | (b) | 04/15/26 | 4,550 | 4,541,171 | |||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 2.083% | (b) | 01/18/27 | 500 | 497,069 | |||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A | 2.738% | (b) | 07/25/23 | 250 | 247,233 | |||||||||
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A | 2.098% | (b) | 04/15/26 | 500 | 498,844 | |||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.785% | (b) | 07/22/25 | 1,200 | 1,188,879 | |||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 1.953% | (b) | 12/15/22 | 325 | 324,650 | |||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.886% | (b) | 02/20/25 | 250 | 248,513 | |||||||||
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.048% | (b) | 07/25/26 | 1,000 | 987,868 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.113% | (b) | 07/17/26 | 800 | 798,927 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 495,502 | ||||||||||
Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.132% | (b) | 05/07/26 | 1,250 | 1,247,969 | |||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.678% | (b) | 04/15/25 | 3,200 | 3,146,618 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.278% | (b) | 08/17/22 | 500 | 497,676 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.334% | (b) | 10/20/23 | 1,100 | 1,099,020 | |||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 2.255% | (b) | 01/22/27 | 2,250 | 2,249,386 | |||||||||
Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.134% | (b) | 04/20/27 | 250 | 248,411 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.748% | (b) | 07/15/25 | 2,700 | 2,672,544 | |||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 2.264% | (b) | 04/20/26 | 3,000 | 2,984,152 | |||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.768% | (b) | 04/15/24 | 1,850 | 1,829,110 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.134% | (b) | 04/20/26 | 1,850 | 1,837,997 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 497,332 | ||||||||||
| 57,408,720 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 2.1% | ||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.242% | (b) | 05/15/20 | 3,900 | 3,891,881 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.197% | (b) | 04/08/19 | 3,629 | 3,635,126 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.147% | (b) | 10/08/19 | 3,900 | 3,905,096 | |||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,700 | 1,704,181 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 6,000 | 6,081,161 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 4,700 | 4,783,958 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 2,000 | 2,040,223 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 3,200 | 3,268,868 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 5,400 | 5,512,890 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 3,300 | 3,317,342 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c) | 0.942% | (b) | 05/15/20 | 1,800 | 1,788,252 | |||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A | 1.292% | (b) | 05/17/21 | 2,300 | 2,292,193 | |||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 4,300 | 4,393,568 | ||||||||||
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 3,400 | 3,468,901 | ||||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 3,000 | 3,026,193 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,700 | 4,698,609 | ||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.142% | (b) | 12/17/18 | 1,469 | 1,469,997 | |||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.192% | (b) | 12/17/18 | 2,240 | 2,241,480 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,813 | 1,813,891 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 2,044 | 2,061,006 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A | 3.080% | 03/21/33 | 3,621 | 3,703,526 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,795 | 5,829,278 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 740 | 731,494 | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,700 | 1,711,158 | ||||||||||
| 77,370,272 | ||||||||||||||
Residential Mortgage-Backed Securities — 0.4% | ||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.103% | (b) | 03/25/33 | 183 | 173,341 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.873% | (b) | 07/25/35 | 302 | 287,297 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.836% | (b) | 07/25/34 | 284 | $ | 267,951 | ||||||||
GSAMP Trust, Series 2004-HE2, Class A3C | 1.613% | (b) | 09/25/34 | 522 | 514,446 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.248% | (b) | 06/25/34 | 474 | 457,937 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.653% | (b) | 05/25/33 | 322 | 305,143 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 1.398% | (b) | 06/25/34 | 715 | 672,662 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.503% | (b) | 12/27/33 | 589 | 568,223 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.353% | (b) | 07/25/32 | 263 | 252,731 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.728% | (b) | 09/25/32 | 3,613 | 3,443,541 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.218% | (b) | 02/25/34 | 655 | 605,730 | |||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 2,442 | 2,442,468 | ||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,705 | 1,688,511 | ||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 4,444 | 4,428,587 | ||||||||||
| 16,108,568 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 150,887,560 | ||||||||||||
| BANK LOANS(b) — 0.2% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 162 | 162,010 | ||||||||||
Food | ||||||||||||||
ARAMARK Corp. | 3.250% | 02/24/21 | 468 | 467,351 | ||||||||||
Health Care & Pharmaceutical | ||||||||||||||
RPI Finance Trust (Luxembourg) | 3.500% | 11/09/20 | 1,546 | 1,545,166 | ||||||||||
Media & Entertainment | ||||||||||||||
Nielsen Finance LLC | 2.696% | 05/30/17 | 753 | 752,137 | ||||||||||
Technology — 0.2% | ||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 4.250% | 02/01/23 | 1,342 | 1,340,520 | ||||||||||
Dell Int’l LLC(d) | —% | (e) | 12/31/18 | 600 | 582,000 | |||||||||
Dell Int’l LLC | —% | (e) | 09/30/23 | 815 | 811,830 | |||||||||
First Data Corp. | 4.452% | 03/24/21 | 1,141 | 1,135,797 | ||||||||||
TransUnion LLC | 3.500% | 04/09/21 | 489 | 483,253 | ||||||||||
Western Digital Corp. | 6.250% | 04/28/23 | 1,095 | 1,097,396 | ||||||||||
| 5,450,796 | ||||||||||||||
Telecommunications | ||||||||||||||
T-Mobile USA, Inc. | 3.500% | 11/09/22 | 1,030 | 1,032,400 | ||||||||||
TOTAL BANK LOANS |
| 9,409,860 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.7% | ||||||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 4,000 | 4,181,716 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 49 | 49,149 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.739% | (b) | 04/10/49 | 5,211 | 5,312,859 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.901% | (b) | 12/10/49 | 1,000 | 1,029,329 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,150,228 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,984,044 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 | 3.356% | 07/10/47 | 2,800 | 3,002,803 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4 | 3.462% | 09/15/48 | 4,900 | 5,265,752 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 5,000 | 5,156,368 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3 | 3.050% | 04/10/49 | 6,500 | 6,765,717 | ||||||||||
Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class AMFX | 5.366% | (b) | 12/11/49 | 6,000 | 6,103,072 | |||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 644 | 645,551 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 1,030,749 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,700 | 1,784,975 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,791,003 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 3,028,415 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Commercial Mortgage Trust, Series 2014-CR20, Class A3 | 3.326% | 11/10/47 | 5,000 | $ | 5,349,960 | |||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,382,934 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR27, Class A3 | 3.349% | 10/10/48 | 6,100 | 6,481,843 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 3,000 | 3,194,511 | ||||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.673% | (b) | 09/10/35 | 1,100 | 1,195,358 | |||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,515 | 2,792,227 | |||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 6,500 | 7,057,895 | |||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (b) | 11/25/25 | 3,900 | 4,159,991 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,710,179 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 2,000 | 2,073,885 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.584% | (b) | 05/25/22 | 24,733 | 1,745,328 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.620% | (b) | 06/25/22 | 7,001 | 502,488 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 5,800 | 6,360,036 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 2,400 | 2,665,095 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 7,520 | 8,191,762 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2 | 3.329% | 05/25/25 | 5,615 | 6,186,685 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.369% | (b) | 03/25/26 | 28,045 | 2,939,113 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.610% | (b) | 08/25/16 | 3,248 | 710 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.894% | (b) | 05/25/19 | 18,791 | 792,576 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.818% | (b) | 07/25/19 | 20,159 | 869,386 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (b) | 05/25/25 | 2,500 | 2,704,039 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 4,000 | 4,198,510 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC32, Class A3 | 3.498% | 07/10/48 | 5,800 | 6,272,592 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,400 | 1,498,731 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 6,000 | 6,205,759 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,385 | 1,415,906 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,754,587 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | 4,075,331 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 2,012 | 2,081,055 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,445,859 | ||||||||||
Merrill Lynch-Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,453 | 1,463,477 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,572,009 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 5,000 | 5,387,282 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 | 5.439% | 02/12/44 | 133 | 132,994 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 118 | 117,937 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,769,745 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 4,079,440 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,884,119 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 3,703 | $ | 3,756,853 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 1,209 | 1,238,811 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3 | 3.354% | 09/15/57 | 6,000 | 6,392,386 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 178,381,114 | ||||||||||||
| CORPORATE BONDS — 10.3% | ||||||||||||||
Agriculture — 0.1% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,500 | 1,678,110 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 46 | 82,751 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 84 | 155,667 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 930 | 1,087,425 | ||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,067,777 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 3.500% | 08/04/16 | 465 | 465,962 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 325 | 385,321 | ||||||||||
| 5,923,013 | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 05/01/27 | 3,112 | 3,130,987 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 38 | 38,461 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 547 | 624,921 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 628 | 669,090 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 10/29/24 | 615 | 645,561 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 288 | 335,016 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 408 | 431,323 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 828 | 882,197 | ||||||||||
| 6,757,556 | ||||||||||||||
Auto Manufacturers — 0.3% | ||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,355 | 1,434,244 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.134% | 08/04/25 | 295 | 316,285 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN | 4.389% | 01/08/26 | 1,345 | 1,468,267 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,395 | 1,549,640 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 760 | 871,498 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A | 2.850% | 01/15/21 | 4,705 | 4,915,365 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 450 | 454,516 | ||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 4.250% | 11/15/19 | 715 | 729,300 | ||||||||||
| 11,739,115 | ||||||||||||||
Banks — 3.0% | ||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.375% | 03/16/26 | 2,310 | 2,423,952 | ||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,570 | 2,719,099 | ||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (b) | 12/31/49 | 445 | 472,813 | |||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 07/29/49 | 2,200 | 2,186,250 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 2,330 | 2,697,716 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,130,155 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 780 | 802,735 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 975 | 1,040,611 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 4,108,712 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 870 | 870,418 | ||||||||||
Bank of America Corp., Sub. Notes | 5.750% | 08/15/16 | 1,775 | 1,783,431 | ||||||||||
Bank of America Corp., Sub. Notes, GMTN | 4.450% | 03/03/26 | 3,880 | 4,058,232 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banks (continued) | ||||||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 2,000 | $ | 2,038,622 | |||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 930 | 955,079 | ||||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 410 | 523,192 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,590 | 1,605,423 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 4,560 | 4,757,384 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/29/49 | 2,205 | 2,148,276 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (b) | 12/29/49 | 1,375 | 1,395,625 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (b) | 12/29/49 | 625 | 642,187 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 2,440 | 2,568,559 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.500% | 01/14/22 | 2,450 | 2,708,093 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 710 | 1,107,339 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,965 | 2,024,168 | ||||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,270 | 1,266,283 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 4,040 | 4,053,906 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 1,014,563 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 649,174 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/29/49 | 2,215 | 2,190,458 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a) | 3.500% | 01/23/25 | 4,100 | 4,212,783 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,010 | 1,063,026 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,319,031 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,202,675 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 349,408 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 104 | 128,288 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,095,872 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,130,989 | ||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (b) | 12/29/49 | 1,275 | 1,314,844 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,040,000 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,193,553 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,775 | 3,908,397 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 515 | 565,459 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f) | 6.875% | 02/06/12 | 1,715 | 115,763 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f) | 6.875% | 05/02/18 | 700 | 49,000 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,870 | 2,091,920 | ||||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 3,080 | 3,156,852 | ||||||||||||
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, GMTN | 6.400% | 08/28/17 | 20 | 21,103 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 07/29/49 | 840 | 806,400 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,400 | 1,596,203 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 940 | 995,624 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 1,345 | 1,373,753 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 1,290 | 1,473,019 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 105 | 113,796 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,569,954 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 780 | 1,056,293 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,825 | 4,001,398 | ||||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 800,000 | |||||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 3,370 | 3,798,509 | ||||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A | 1.875% | 09/17/18 | 2,110 | 2,131,488 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 2.400% | 10/26/22 | 1,095 | 1,118,161 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 4.375% | 02/11/20 | 800 | 873,346 | ||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 465 | 474,641 | ||||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 515 | 522,751 | ||||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | �� | 291,119 | |||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,235,807 | ||||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 1,120 | 1,165,512 | ||||||||||||
| 113,299,192 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Beverages — 0.1% | ||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 855 | $ | 960,787 | |||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.900% | 02/01/46 | 225 | 263,664 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 2,008,088 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 398,437 | ||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.250% | 05/01/23 | 1,400 | 1,456,000 | ||||||||||
| 5,086,976 | ||||||||||||||
Biotechnology — 0.1% | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 1,834 | 1,916,187 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 3.500% | 02/01/25 | 1,460 | 1,556,477 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 185 | 231,529 | ||||||||||
| 3,704,193 | ||||||||||||||
Building Materials — 0.1% | ||||||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | 826,410 | ||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 1,400 | 1,424,500 | ||||||||||
| 2,250,910 | ||||||||||||||
Chemicals — 0.2% | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | 794,471 | ||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,500 | 1,676,250 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 551,687 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 45 | 47,654 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 347 | 542,594 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 1,185 | 1,156,509 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 1,000 | 1,082,384 | ||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 55 | 53,930 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 345 | 381,547 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 1,135 | 1,258,856 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 575,990 | ||||||||||
| 8,121,872 | ||||||||||||||
Commercial Services — 0.1% | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,302 | 1,380,116 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 420 | 556,458 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 380 | 517,702 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 485 | 481,363 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.375% | 05/15/20 | 168 | 174,720 | ||||||||||
| 3,110,359 | ||||||||||||||
Computers — 0.2% | ||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.450% | 02/09/45 | 890 | 836,290 | ||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 1,085 | 1,111,485 | ||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 920 | 946,930 | ||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.450% | 10/05/17 | 3,925 | 3,975,868 | ||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A | 2.850% | 10/05/18 | 735 | 752,684 | ||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 605 | 605,381 | ||||||||||
| 8,228,638 | ||||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 775 | 780,813 | ||||||||||
American Express Co., Sr. Unsec’d. Notes | 2.650% | 12/02/22 | 1,060 | 1,073,856 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 330 | 350,605 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,175 | 1,280,862 | ||||||||||
Capital One Bank USA NA, Sub. Notes | 3.375% | 02/15/23 | 1,560 | 1,593,386 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Diversified Financial Services (continued) | ||||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | $ | 914,035 | |||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 2.342% | 11/15/20 | 766 | 789,103 | ||||||||||
GE Capital International Funding Co., Gtd. Notes, 144A | 4.418% | 11/15/35 | 3,270 | 3,667,586 | ||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 556,043 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 259,500 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 820 | 821,415 | ||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 475 | 496,029 | ||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 1,155 | 1,279,939 | ||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,700 | 2,707,390 | ||||||||||
| 16,570,562 | ||||||||||||||
Electric — 0.5% | ||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 175 | 175,664 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | 751,034 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 310 | 411,070 | ||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 1,245 | 1,270,973 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 842,015 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 220 | 277,359 | ||||||||||
Dominion Resources, Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 3,210 | 3,396,931 | ||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 550 | 749,489 | ||||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 613,870 | ||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 455 | 455,569 | ||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 345 | 332,925 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 820,347 | ||||||||||
Emera US Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 990 | 1,013,007 | ||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 674,028 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,425 | 1,565,293 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 386,782 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 295 | 388,528 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 169,709 | ||||||||||
Nevada Power Co., Gen. Ref. Mtge. | 6.500% | 05/15/18 | 1,260 | 1,382,881 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 667,822 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 350 | 396,184 | ||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 7.250% | 05/15/26 | 895 | 890,525 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 155,906 | ||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 709,085 | ||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 860 | 893,252 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 551,656 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 199 | 205,697 | ||||||||||
| 20,147,601 | ||||||||||||||
Engineering & Construction | ||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 740 | 294,520 | ||||||||||
Entertainment | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.375% | 11/01/18 | 1,000 | 1,026,250 | ||||||||||
Food — 0.1% | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 3.000% | 06/01/26 | 1,630 | 1,643,330 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 4.375% | 06/01/46 | 475 | 502,323 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 815 | 934,741 | ||||||||||
| 3,080,394 | ||||||||||||||
Food Service | ||||||||||||||
Aramark Services, Inc., Gtd. Notes | 5.125% | 01/15/24 | 275 | 280,500 | ||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 290 | 328,458 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,595 | 1,890,532 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 510 | 574,866 | ||||||||||
| 2,793,856 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Gas | ||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 65 | $ | 70,425 | |||||||||
Healthcare – Products — 0.3% | ||||||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 1,025 | 1,104,070 | ||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,205 | 3,493,851 | ||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,269 | 1,435,417 | ||||||||||
St Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 4,910 | 4,966,097 | ||||||||||
| 10,999,435 | ||||||||||||||
Healthcare – Services — 0.4% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | 686,621 | ||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,380 | 1,871,719 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | 409,092 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 360 | 375,705 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 221 | 224,178 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 797,581 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | 829,944 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,665 | 1,710,787 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 4.250% | 10/15/19 | 555 | 578,587 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 1,100 | 1,138,500 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 400 | 418,000 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 190 | 196,532 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 445 | 484,838 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 5,305 | 5,642,663 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 720 | 753,299 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 195 | 204,175 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 593,730 | ||||||||||
| 16,915,951 | ||||||||||||||
Home Builders | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 457,177 | ||||||||||
Housewares — 0.1% | ||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 795 | 861,821 | ||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,700 | 1,822,456 | ||||||||||
| 2,684,277 | ||||||||||||||
Insurance — 0.7% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 584,543 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,980 | 1,915,539 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 1,030 | 1,151,328 | ||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 2,455 | 2,574,176 | ||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375% | (b) | 04/15/37 | 1,300 | 1,131,000 | |||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 3.350% | 05/03/26 | 945 | 1,007,275 | ||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 130 | 149,555 | ||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 755 | 858,658 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 365 | 442,062 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 850 | 1,063,358 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 1,272 | 1,499,956 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 705 | 907,886 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 605 | 715,666 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 213,285 | ||||||||||
New York Life Global Funding, Sec’d. Notes, 144A | 1.950% | 02/11/20 | 3,030 | 3,067,814 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 901,802 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (b) | 10/16/44 | 1,925 | 2,071,523 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 473,280 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 680 | 768,290 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,379,747 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 137,507 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 735 | 674,362 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Insurance (continued) | ||||||||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 710 | $ | 730,776 | |||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,450 | 1,969,761 | ||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | 4.300% | 08/25/45 | 885 | 1,007,697 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 392,955 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 512,710 | ||||||||||
| 28,302,511 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 1,000 | 1,071,900 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 598,554 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 1,017,940 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,800 | 3,054,422 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 495,109 | ||||||||||
| 6,237,925 | ||||||||||||||
Machinery – Diversified — 0.1% | ||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,255 | 1,349,125 | ||||||||||
SPX FLOW, Inc., Gtd. Notes | 6.875% | 09/01/17 | 625 | 650,781 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,373,801 | ||||||||||
| 3,373,707 | ||||||||||||||
Media — 0.4% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 515 | 639,236 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 120,394 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,520 | 1,504,610 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 1,000 | 1,056,250 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 880 | 893,200 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a) | 6.384% | 10/23/35 | 875 | 1,036,162 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.484% | 10/23/45 | 1,050 | 1,253,722 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A | 6.834% | 10/23/55 | 280 | 332,924 | ||||||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 363,669 | ||||||||||
Comcast Corp., Gtd. Notes | 6.400% | 05/15/38 | 530 | 729,534 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 678,813 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 1,300 | 1,349,998 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,710 | 1,770,149 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 257,920 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,843,640 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 90 | 123,447 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,484 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 200 | 176,562 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 425 | 426,120 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,076,400 | ||||||||||
| 15,674,234 | ||||||||||||||
Mining — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 920 | 1,069,014 | ||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.250% | (b) | 10/19/75 | 1,135 | 1,195,155 | |||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 530 | 499,299 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 425 | 469,455 | ||||||||||
| 3,232,923 | ||||||||||||||
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 | 4.125% | 10/09/42 | 190 | 208,986 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 280 | 323,114 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes, GMTN | 6.000% | 08/07/19 | 264 | 302,418 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes, GMTN | 6.875% | 01/10/39 | 650 | 981,142 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Miscellaneous Manufacturing (continued) | ||||||||||||||
General Electric Co., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 298 | $ | 403,036 | |||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,300 | 1,326,000 | ||||||||||
| 4,773,796 | ||||||||||||||
Oil & Gas — 0.5% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (h) | 10/10/36 | 2,000 | 755,580 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 325 | 374,437 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 885 | 1,068,642 | ||||||||||
ConocoPhillips Co., Gtd. Notes(a) | 4.950% | 03/15/26 | 2,250 | 2,551,324 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 275 | 256,540 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes(a) | 5.600% | 07/15/41 | 125 | 120,773 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.850% | 12/15/25 | 550 | 606,697 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,700 | 1,978,246 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 1,020 | 1,022,638 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,995 | 2,128,649 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,070 | 981,867 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 490 | 497,172 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,500 | 1,621,572 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 550 | 615,843 | ||||||||||
Shell International Finance BV (Netherlands), Gtd. Notes | 3.250% | 05/11/25 | 2,880 | 3,021,370 | ||||||||||
| 17,601,350 | ||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/21 | 2,200 | 2,367,772 | ||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,845 | 3,061,886 | ||||||||||
| 5,429,658 | ||||||||||||||
Packaging & Containers — 0.1% | ||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 630 | 662,681 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes | 4.500% | 01/15/23 | 1,100 | 1,122,000 | ||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 800 | 888,050 | ||||||||||
| 2,672,731 | ||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,175 | 1,231,200 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,910 | 1,996,261 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 1,000 | 1,041,828 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,810 | 1,860,175 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 435 | 456,782 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 445 | 499,392 | ||||||||||
Johnson & Johnson, Sr. Unsec’d. Notes | 3.550% | 03/01/36 | 320 | 353,537 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 420 | 439,160 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,380 | 1,462,339 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,325 | 1,596,936 | ||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 77,072 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 120 | 118,903 | ||||||||||
| 11,133,585 | ||||||||||||||
Pipelines — 0.2% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 717 | 702,660 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 675 | 696,926 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.900% | 03/15/35 | 250 | 220,867 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 820 | 755,722 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,345 | 1,402,813 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.950% | 02/15/27 | 1,705 | 1,808,369 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 510 | 538,317 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,430 | 1,298,949 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 151,762 | ||||||||||
| 7,576,385 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Real Estate | ||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | $ | 84,758 | |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 765 | 863,494 | ||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 715 | 720,601 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 295 | 296,901 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | 246,193 | ||||||||||
| 2,127,189 | ||||||||||||||
Retail — 0.3% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 820 | 1,017,272 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 225 | 280,875 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 3.000% | 04/01/26 | 730 | 775,824 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 755 | 874,882 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,450 | 1,560,200 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 385 | 528,241 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 360 | 370,116 | ||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 2,620 | 2,830,763 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 5.625% | 12/01/25 | 1,375 | 1,440,313 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 345 | 382,281 | ||||||||||
| 10,060,767 | ||||||||||||||
Savings & Loans | ||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,497,647 | ||||||||||
Semiconductors | ||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,500 | 1,567,500 | ||||||||||
Software — 0.2% | ||||||||||||||
Fidelity National Information Services, Inc., Gtd. Notes | 3.625% | 10/15/20 | 2,210 | 2,336,235 | ||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,650 | 1,693,374 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 2.375% | 02/12/22 | 3,085 | 3,183,834 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 3.125% | 11/03/25 | 1,380 | 1,478,016 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 978,442 | ||||||||||
| 9,669,901 | ||||||||||||||
Telecommunications — 0.5% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 280 | 343,309 | ||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 7 | 10,068 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,460 | 3,539,258 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 430 | 439,887 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 875 | 896,764 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,000 | 1,026,611 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 860 | 927,907 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 815 | 891,522 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.375% | 12/15/30 | 400 | 616,272 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 2,025 | 2,108,633 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,056 | 2,079,521 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes(a) | 4.862% | 08/21/46 | 1,256 | 1,372,917 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,127 | 3,306,965 | ||||||||||
| 17,559,634 | ||||||||||||||
Transportation — 0.1% | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 916,794 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 931,923 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 121,208 | ||||||||||
| 1,969,925 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 394,088,898 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| FOREIGN AGENCIES — 0.6% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 800 | $ | 859,762 | |||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 674,831 | ||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,410 | 1,425,750 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 450,133 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 350 | 362,516 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 580 | 633,766 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A | 2.125% | 04/13/21 | 800 | 813,236 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes, GMTN | 2.750% | 10/01/20 | 3,525 | 3,754,946 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 3,158 | 3,170,042 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 1,110 | 1,175,379 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | 12/01/23 | 350 | 412,125 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 1,030 | 1,058,531 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,620 | 1,625,284 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,263,484 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 684,874 | ||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 3,100 | 3,158,826 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 21,523,485 | ||||||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||||||
California — 0.2% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 2,023,580 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,921,866 | ||||||||||
State of California, GO, BABs(a) | 7.500% | 04/01/34 | 475 | 720,499 | ||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 387,663 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 339,167 | ||||||||||
| 5,392,775 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 991,141 | ||||||||||
Illinois | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | 1,464,310 | ||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,674,914 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,480,752 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 576,385 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 361,920 | ||||||||||
| 938,305 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 445 | 608,399 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 722,639 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,385,900 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 14,659,135 | ||||||||||||
| SOVEREIGN BONDS — 0.5% | ||||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 1,475 | 1,540,637 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 500 | 536,750 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 601,750 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 2,280 | $ | 2,595,488 | |||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 1,500 | 2,175,000 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 1,120 | 1,216,027 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 03/13/20 | 1,135 | 1,262,215 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 01/15/24 | 950 | 1,098,645 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 700 | 737,800 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 1,083,965 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 600 | 633,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 515 | 552,337 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 620 | 686,650 | ||||||||||
Province of Manitoba (Canada), Sr. Unsec’d. Notes | 2.125% | 06/22/26 | 1,395 | 1,386,760 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 4.875% | 01/22/24 | 190 | 209,494 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS | 6.125% | 01/22/44 | 400 | 498,880 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,710 | 1,939,431 | ||||||||||
TOTAL SOVEREIGN BONDS |
| 18,754,829 | ||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 154 | 154,551 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,346 | 1,127,042 | ||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 07/26/36 | 2,037 | 2,035,306 | |||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.608% | (b) | 08/26/36 | 1,287 | 1,186,841 | |||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.953% | (b) | 02/25/35 | 686 | 659,213 | |||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.051% | (b) | 03/25/35 | 247 | 227,457 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.888% | (b) | 02/25/37 | 578 | 551,908 | |||||||||
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d) | 2.434% | (b) | 10/30/47 | 903 | 900,168 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(i) | 2.403% | (b) | 11/25/24 | 2,049 | 2,057,380 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i) | 1.953% | (b) | 02/25/25 | 478 | 478,178 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i) | 1.603% | (b) | 05/25/25 | 3,418 | 3,413,748 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i) | 2.603% | (b) | 09/25/28 | 1,454 | 1,471,269 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i) | 2.653% | (b) | 10/25/28 | 1,926 | 1,946,066 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i) | 1.353% | (b) | 10/25/27 | 8,040 | 8,037,766 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i) | 1.803% | (b) | 04/25/28 | 2,331 | 2,335,391 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i) | 1.903% | (b) | 07/25/28 | 3,658 | 3,669,854 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i) | 2.446% | (b) | 12/25/28 | 1,725 | 1,736,489 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i) | 2.703% | (b) | 11/25/28 | 1,600 | 1,609,276 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.948% | (b) | 07/25/35 | 323 | 322,146 | |||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d) | 3.539% | (b) | 09/01/21 | 3,860 | 3,821,758 | |||||||||
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d) | 2.457% | (b) | 12/01/21 | 781 | 766,919 | |||||||||
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A | 2.457% | (b) | 03/01/20 | 3,342 | 3,273,537 | |||||||||
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A(d) | 2.457% | (b) | 04/01/20 | 1,075 | 1,053,013 | |||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d) | 2.457% | (b) | 04/01/20 | 1,842 | 1,807,601 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d) | 2.457% | (b) | 05/01/20 | 5,353 | 5,232,725 | |||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A | 2.978% | (b) | 07/01/20 | 1,759 | 1,728,559 | |||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.457% | (b) | 08/01/20 | 1,807 | 1,773,528 | |||||||||
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A | 2.457% | (b) | 10/01/20 | 1,894 | 1,859,462 | |||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d) | 2.457% | (b) | 11/01/20 | 947 | 926,090 | |||||||||
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A | 2.439% | (b) | 01/01/21 | 3,777 | 3,665,345 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 47 | 47,040 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.830% | (b) | 02/25/34 | 279 | $ | 276,431 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 66 | 66,044 | ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 60,218,101 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.3% | ||||||||||||||
Federal Home Loan Banks | 5.500% | 07/15/36 | 1,080 | 1,558,186 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 7,500 | 7,751,130 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 864 | 896,759 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.598% | (b) | 12/01/35 | 281 | 295,096 | |||||||||
Federal Home Loan Mortgage Corp. | 2.710% | (b) | 06/01/36 | 425 | 448,967 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 6,000 | 6,222,918 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-06/01/45 | 14,383 | 15,014,661 | ||||||||||
Federal Home Loan Mortgage Corp.(j) | 3.500% | TBA | 24,500 | 25,805,860 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 12/01/25-06/01/42 | 2,797 | 2,977,620 | ||||||||||
Federal Home Loan Mortgage Corp.(j) | 4.000% | TBA | 25,000 | 26,744,218 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-01/01/42 | 5,268 | 5,641,640 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 10,448 | 11,421,259 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-06/01/39 | 2,745 | 3,004,019 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 2,976 | 3,343,068 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,528 | 1,755,564 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31-10/01/32 | 197 | 219,972 | ||||||||||
Federal National Mortgage Assoc. | 2.322% | (b) | 06/01/37 | 138 | 138,381 | |||||||||
Federal National Mortgage Assoc. | 2.432% | (b) | 07/01/33 | 265 | 278,039 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 17,750 | 18,363,958 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 3,454 | 3,549,753 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 50,000 | 51,794,910 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27-07/01/43 | 31,819 | 33,234,489 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 29,000 | 30,563,280 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-07/01/43 | 38,352 | 40,662,629 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 13,250 | 14,193,682 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41-09/01/44 | 11,101 | 11,914,438 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 500 | 545,779 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-07/01/42 | 8,152 | 8,958,355 | ||||||||||
Federal National Mortgage Assoc.(j) | 5.000% | TBA | 7,000 | 7,777,120 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-02/01/36 | 3,008 | 3,344,195 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/16-08/01/37 | 4,438 | 5,008,139 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-05/01/38 | 4,081 | 4,696,283 | ||||||||||
Federal National Mortgage Assoc. | 6.250% | 05/15/29 | 1,415 | 2,060,735 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-09/01/37 | 1,525 | 1,785,013 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 171 | 200,282 | ||||||||||
Federal National Mortgage Assoc.(k) | 7.125% | 01/15/30 | 3,270 | 5,130,254 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 18,468 | ||||||||||
Financing Corp., Strips Principal, Series A-P | 1.282% | (h) | 10/06/17 | 906 | 897,933 | |||||||||
Government National Mortgage Assoc.(j) | 3.000% | TBA | 24,500 | 25,600,127 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,314 | 2,418,988 | ||||||||||
Government National Mortgage Assoc.(j) | 3.500% | TBA | 42,000 | 44,554,220 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43 | 743 | 791,352 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 5,000 | 5,344,531 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-05/20/41 | 982 | 1,057,187 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,200,927 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-02/20/41 | 6,240 | 6,833,346 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 289 | 321,787 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32-02/15/36 | 1,952 | 2,228,887 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33-10/15/34 | 1,026 | 1,196,137 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-07/15/35 | 1,180 | 1,376,200 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-04/15/25 | 33 | 37,027 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Hashemite Kingdom of Jordan Government AID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 5,450 | $ | 5,806,615 | |||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 12/04/23-04/26/24 | 1,340 | 1,695,216 | ||||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.633% | (h) | 11/01/24 | 100 | 84,127 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 1.657% | (h) | 10/15/20 | 1,105 | 1,051,599 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 1.725% | (h) | 10/15/19 | 1,882 | 1,821,637 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (h) | 01/15/30 | 950 | 683,394 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.967% | (h) | 04/15/30 | 2,100 | 1,513,336 | |||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 2,375 | 3,636,849 | ||||||||||||
Ukraine Government AID Bond, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 1,245 | 1,274,445 | ||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 469,744,986 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 1.5% | ||||||||||||||||
U.S. Treasury Bonds(k) | 2.500% | 02/15/45 | 4,500 | 4,685,099 | ||||||||||||
U.S. Treasury Bonds | 2.750% | 11/15/42 | 710 | 781,055 | ||||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43 | 2,245 | 2,524,485 | ||||||||||||
U.S. Treasury Bonds(l) | 3.000% | 11/15/44 | 1,535 | 1,764,891 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/21 | 10,512 | 10,771,079 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.000% | 02/15/46 | 1,797 | 1,940,144 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 2.375% | 01/15/25 | 5,648 | 6,743,145 | ||||||||||||
U.S. Treasury Notes | 1.125% | 06/30/21 | 30 | 30,149 | ||||||||||||
U.S. Treasury Notes | 1.375% | 06/30/23 | 60 | 60,309 | ||||||||||||
U.S. Treasury Notes(l) | 2.125% | 12/31/22 | 1,260 | 1,328,463 | ||||||||||||
U.S. Treasury Strips Coupon(l) | 2.184% | (h) | 02/15/28 | 5,465 | 4,444,362 | |||||||||||
U.S. Treasury Strips Coupon | 2.241% | (h) | 05/15/28 | 2,735 | 2,210,244 | |||||||||||
U.S. Treasury Strips Coupon | 2.280% | (h) | 02/15/29 | 2,735 | 2,173,548 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (h) | 05/15/29 | 5,640 | 4,449,644 | |||||||||||
U.S. Treasury Strips Coupon | 2.752% | (h) | 08/15/30 | 5,005 | 3,825,607 | |||||||||||
U.S. Treasury Strips Coupon | 2.972% | (h) | 02/15/37 | 5,955 | 3,793,716 | |||||||||||
U.S. Treasury Strips Principal(l) | 2.474% | (h) | 05/15/43 | 2,210 | 1,158,794 | |||||||||||
U.S. Treasury Strips Principal | 2.543% | (h) | 02/15/45 | 1,905 | 946,454 | |||||||||||
U.S. Treasury Strips Principal | 2.873% | (h) | 05/15/45 | 2,185 | 1,077,544 | |||||||||||
U.S. Treasury Strips Principal | 3.628% | (h) | 05/15/44 | 2,525 | 1,290,641 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 55,999,373 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,638,428,566 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 11.9% | Shares | |||||||||||||||
AFFILIATED MUTUAL FUNDS — 11.9% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 13,877,669 | 128,923,548 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund |
| 323,594,897 | 323,594,897 | |||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 452,518,445 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| U.S. TREASURY OBLIGATION | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Bill | 0.242% | (o) | 09/15/16 | 150 | $ | 149,936 | ||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 452,668,381 | ||||||||||||
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.4% |
| 4,091,096,947 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — SHORT — (0.1)% | ||||||||||||||
Federal National Mortgage Assoc.(j) (proceeds received $2,098,907) | 3.500% | TBA | 2,000,000 | (2,110,313 | ) | |||||||||
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3% |
| 4,088,986,634 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (7.3)% |
| (281,363,759 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 3,807,622,875 | |||||||||||
See the Glossary for abbreviations used in the semiannual report.
| # | Principal 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 $38,042,457; cash collateral of $38,995,211 (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 June 30, 2016. |
| (c) | Indicates a security or securities that have been deemed illiquid. |
| (d) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $15,090,274 and 0.4% of net assets. |
| (e) | Interest rate not available as of June 30, 2016. |
| (f) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (g) | Indicates a restricted security; the aggregate original cost of the restricted securities is $4,629,518. The aggregate value of $4,501,754 is approximately 0.1% of net assets. |
| (h) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (i) | Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac. |
| (j) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $63,000,000 is approximately 1.7% of net assets. |
| (k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (l) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
| (m) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (n) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (o) | Rate quoted represents yield-to-maturity as of purchase date. |
| (p) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2016:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 330 | 2 Year U.S. Treasury Notes | Sep. 2016 | $ | 71,878,765 | $ | 72,378,281 | $ | 499,516 | ||||||||||||
| 893 | 5 Year U.S. Treasury Notes | Sep. 2016 | 107,890,812 | 109,092,508 | 1,201,696 | |||||||||||||||
| 406 | 10 Year U.S. Treasury Notes | Sep. 2016 | 52,899,397 | 53,991,656 | 1,092,259 | |||||||||||||||
| 580 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2016 | 101,451,525 | 108,097,500 | 6,645,975 | |||||||||||||||
| 2 | ASX SPI 200 Index | Sep. 2016 | 192,511 | 193,013 | 502 | |||||||||||||||
| 21 | Mini MSCI EAFE Index | Sep. 2016 | 1,699,749 | 1,695,960 | (3,789 | ) | ||||||||||||||
| 9,436,159 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Futures contracts outstanding at June 30, 2016 (continued):
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
| Short Position: | ||||||||||||||||||||
| 611 | 20 Year U.S. Treasury Bonds | Sep. 2016 | $ | 99,263,674 | $ | 105,302,031 | $ | (6,038,357 | ) | |||||||||||
| $ | 3,397,802 | |||||||||||||||||||
| A U.S. Treasury Obligation with a market value of $149,936 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $2,823,483 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016. |
Interest rate swap agreements outstanding at June 30, 2016:
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
| 2,720 | 07/11/18 | 0.947% | 3 Month LIBOR(1) | $ | 157 | $ | (11,397 | ) | $ | (11,554 | ) | |||||||||||||
| 30,050 | 01/06/21 | 1.750% | 3 Month LIBOR(2) | 228 | 1,081,282 | 1,081,054 | ||||||||||||||||||
| 24,740 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (50,182 | ) | (1,631,373 | ) | (1,581,191 | ) | |||||||||||||||
| 9,730 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 202 | (651,138 | ) | (651,340 | ) | ||||||||||||||||
| 26,415 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 292 | (1,227,270 | ) | (1,227,562 | ) | ||||||||||||||||
| 8,160 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 194 | (447,020 | ) | (447,214 | ) | ||||||||||||||||
| 2,300 | 12/31/22 | 1.405% | 3 Month LIBOR(1) | 163 | (42,411 | ) | (42,574 | ) | ||||||||||||||||
| 1,600 | 12/31/22 | 1.406% | 3 Month LIBOR(1) | 159 | (29,653 | ) | (29,812 | ) | ||||||||||||||||
| 3,400 | 12/31/22 | 1.409% | 3 Month LIBOR(1) | 168 | (63,550 | ) | (63,718 | ) | ||||||||||||||||
| 900 | 12/31/22 | 1.412% | 3 Month LIBOR(1) | 155 | (16,977 | ) | (17,132 | ) | ||||||||||||||||
| 1,350 | 12/31/22 | 1.495% | 3 Month LIBOR(1) | 158 | (32,647 | ) | (32,805 | ) | ||||||||||||||||
| 7,420 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 203 | (586,398 | ) | (586,601 | ) | ||||||||||||||||
| 34,470 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 349 | (2,728,390 | ) | (2,728,739 | ) | ||||||||||||||||
| $ | (47,754 | ) | $ | (6,386,942 | ) | $ | (6,339,188 | ) | ||||||||||||||||
| (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 June 30, 2016:
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2016(3) | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally cleared credit default swaps on corporate issues—Sell Protection (2): |
| |||||||||||||||||||||||||||
General Motors Co. | 06/20/19 | 5.000% | 4,370 | 1.179 | % | $ | 491,932 | $ | 483,750 | $ | (8,182 | ) | ||||||||||||||||
General Motors Co. | 06/20/21 | 5.000% | 1,560 | 1.819 | % | 234,836 | 230,289 | (4,547 | ) | |||||||||||||||||||
| $ | 726,768 | $ | 714,039 | $ | (12,729 | ) | ||||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at June 30, 2016(5) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swap on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 51,500 | $ | (969,274 | ) | $ | (459,366 | ) | $ | 509,908 | |||||||||||||
U.S Treasury Obligations with a combined market value of $10,502,503 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.
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.
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| (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 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) | 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 an emerging country as of the reporting date 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. |
| (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) | 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 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. |
Total return swap agreements outstanding at June 30, 2016:
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreements: | ||||||||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 2,800 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | $ | 157,069 | $ | — | $ | 157,069 | |||||||||||||
| Deutsche Bank AG | 09/08/16 | 2,800 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 198,192 | — | 198,192 | ||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,400 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 62,160 | — | 62,160 | ||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,400 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 44,826 | — | 44,826 | ||||||||||||||||
| $ | 462,247 | $ | — | $ | 462,247 | |||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,172,536,514 | $ | 89,294,475 | $ | — | ||||||
Exchange Traded Fund | 1,565,470 | — | — | |||||||||
Preferred Stocks | 573,540 | 790,135 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | — | 57,408,720 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 77,370,272 | — | |||||||||
Residential Mortgage-Backed Securities | — | 16,108,568 | — | |||||||||
Bank Loans | — | 8,827,860 | 582,000 | |||||||||
Commercial Mortgage-Backed Securities | — | 178,381,114 | — | |||||||||
Corporate Bonds | — | 394,088,898 | — | |||||||||
Foreign Agencies | — | 21,523,485 | — | |||||||||
Municipal Bonds | — | 14,659,135 | — | |||||||||
Sovereign Bonds | — | 18,754,829 | — | |||||||||
Residential Mortgage-Backed Securities | — | 45,709,827 | 14,508,274 | |||||||||
U.S. Government Agency Obligations | — | 469,744,986 | — | |||||||||
U.S. Treasury Obligations | — | 56,149,309 | — | |||||||||
Rights – Spain | 1,091 | — | — | |||||||||
Affiliated Mutual Funds | 452,518,445 | — | — | |||||||||
U.S. Government Agency Obligation — Short | — | (2,110,313 | ) | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 3,397,802 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (6,339,188 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreements | — | 497,179 | — | |||||||||
OTC Total Return Swap Agreements | — | 462,247 | — | |||||||||
Total | $ | 2,630,592,862 | $ | 1,441,321,538 | $ | 15,090,274 | ||||||
| * | 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 June 30, 2016 were as follows:
U.S. Government Agency Obligations | 12.3 | % | ||
Affiliated Mutual Funds (including 1.0% of collateral for securities on loan) | 11.9 | |||
Banks | 6.6 | |||
Commercial Mortgage-Backed Securities | 4.7 | |||
Oil, Gas & Consumable Fuels | 3.7 | |||
Pharmaceuticals | 3.6 | |||
Software | 3.0 | |||
Internet Software & Services | 2.8 | |||
Biotechnology | 2.2 | |||
Diversified Telecommunication Services | 2.2 | |||
Insurance | 2.1 | |||
Non-Residential Mortgage-Backed Securities | 2.1 | |||
Residential Mortgage-Backed Securities | 2.0 | |||
Technology Hardware, Storage & Peripherals | 2.0 | |||
Health Care Providers & Services | 2.0 | |||
Food & Staples Retailing | 1.7 | |||
Electric Utilities | 1.7 | |||
IT Services | 1.7 | |||
Health Care Equipment & Supplies | 1.7 | |||
Media | 1.6 | |||
Household Products | 1.6 | |||
Semiconductors & Semiconductor Equipment | 1.6 | |||
Collateralized Loan Obligations | 1.5 |
U.S. Treasury Obligations | 1.5 | % | ||
Real Estate Investment Trusts (REITs) | 1.5 | |||
Aerospace & Defense | 1.4 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Tobacco | 1.3 | |||
Capital Markets | 1.3 | |||
Chemicals | 1.3 | |||
Diversified Financial Services | 1.2 | |||
Beverages | 1.1 | |||
Industrial Conglomerates | 1.1 | |||
Food Products | 1.1 | |||
Specialty Retail | 1.1 | |||
Internet & Catalog Retail | 0.8 | |||
Automobiles | 0.8 | |||
Communications Equipment | 0.8 | |||
Electrical Equipment | 0.8 | |||
Multiline Retail | 0.7 | |||
Airlines | 0.7 | |||
Foreign Agencies | 0.6 | |||
Electric | 0.5 | |||
Sovereign Bonds | 0.5 | |||
Telecommunications | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Oil & Gas | 0.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Industry table (cont.) | ||||
Building Products | 0.5 | % | ||
Healthcare – Services | 0.4 | |||
Air Freight & Logistics | 0.4 | |||
Metals & Mining | 0.4 | |||
Household Durables | 0.4 | |||
Municipal Bonds | 0.4 | |||
Machinery | 0.4 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Auto Manufacturers | 0.3 | |||
Healthcare – Products | 0.3 | |||
Multi-Utilities | 0.3 | |||
Retail | 0.3 | |||
Real Estate Management & Development | 0.2 | |||
Consumer Finance | 0.2 | |||
Computers | 0.2 | |||
Professional Services | 0.2 | |||
Pipelines | 0.2 | |||
Energy Equipment & Services | 0.2 | |||
Lodging | 0.2 | |||
Technology | 0.2 | |||
Agriculture | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Gas Utilities | 0.1 | % | ||
Miscellaneous Manufacturing | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Construction & Engineering | 0.1 | |||
Food | 0.1 | |||
Commercial Services & Supplies | 0.1 | |||
Machinery – Diversified | 0.1 | |||
Mining | 0.1 | |||
Commercial Services | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Housewares | 0.1 | |||
Packaging & Containers | 0.1 | |||
Electronic Equipment, Instruments & Components | 0.1 | |||
Building Materials | 0.1 | |||
Life Sciences Tools & Services | 0.1 | |||
Transportation | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Road & Rail | 0.1 | |||
Containers & Packaging | 0.1 | |||
U.S. Government Agency Obligation – Short | (0.1 | ) | ||
| 107.3 | ||||
Liabilities in excess of other assets | (7.3 | ) | ||
| 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 June 30, 2016 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 | |||||||||
Credit contracts | Due from/to broker — variation margin swaps | $ | 509,908 | * | Due from/to broker — variation margin swaps | $ | 12,729 | * | ||||
Equity contracts | Unaffiliated investments | 1,091 | — | — | ||||||||
Equity contracts | Due from/to broker — variation margin futures | 502 | * | Due from/to broker — variation margin futures | 3,789 | * | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 462,247 | — | — | ||||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 1,081,054 | * | Due from/to broker — variation margin swaps | 7,420,242 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin futures | 9,439,446 | * | Due from/to broker — variation margin futures | 6,038,357 | * | ||||||
Total | $ | 11,494,248 | $ | 13,475,117 | ||||||||
| * | 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 six months ended June 30, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (373,764 | ) | $ | (373,764 | ) | ||||||||||
Equity contracts | (135 | ) | — | — | 4,474 | — | 4,339 | |||||||||||||||||
Interest rate contracts | — | (843,772 | ) | (576,573 | ) | 5,080,812 | (508,158 | ) | 3,152,309 | |||||||||||||||
| $ | (135 | ) | $ | (843,772 | ) | $ | (576,573 | ) | $ | 5,085,286 | $ | (881,922 | ) | $ | 2,782,884 | |||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights** | Options Purchased** | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (30,033 | ) | $ | (30,033 | ) | ||||||||||
Equity contracts | (150 | ) | — | — | (38,560 | ) | — | (38,710 | ) | |||||||||||||||
Interest rate contracts | — | 409,545 | (241,909 | ) | 2,933,446 | (4,167,294 | ) | (1,066,212 | ) | |||||||||||||||
| $ | (150 | ) | $ | 409,545 | $ | (241,909 | ) | $ | 2,894,886 | $ | (4,197,327 | ) | $ | (1,134,955 | ) | |||||||||
| ** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures— | Futures— | |||
| $199,106 | $432,733 | $379,076,060 | $118,975,047 |
Interest Rate Swap | Credit Default | Credit Default | Total Return | |||
| $206,585 | $51,500 | $5,350 | $5,600 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000) |
| (3) | Value at Trade Date. |
Offsetting of OTC derivative assets and liabilities:
The Fund 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 | Net Amount | ||||||||||||
Deutsche Bank AG | $ | 462,247 | $ | — | $ | — | $ | 462,247 | ||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged | Net Amount | ||||||||||||
Deutsche Bank AG | $ | — | $ | — | $ | — | $ | — | ||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $38,042,457: | ||||
Unaffiliated investments (cost $3,185,052,936) | $ | 3,638,578,502 | ||
Affiliated investments (cost $459,903,380) | 452,518,445 | |||
Cash | 35,294 | |||
Foreign currency, at value (cost $863,359) | 858,238 | |||
Receivable for investments sold | 200,384,137 | |||
Dividends and interest receivable | 10,368,569 | |||
Tax reclaim receivable | 624,183 | |||
Unrealized appreciation on OTC swap agreements | 462,247 | |||
Due from broker—variation margin swaps | 12,434 | |||
Receivable for Series shares sold | 688 | |||
Prepaid expenses | 4,297 | |||
Total Assets | 4,303,847,034 | |||
| LIABILITIES | ||||
Payable for investments purchased | 452,328,866 | |||
Payable to broker for collateral for securities on loan | 38,995,211 | |||
Securities sold short, at value (proceeds received $2,098,907) | 2,110,313 | |||
Management fee payable | 1,864,761 | |||
Payable for Series shares repurchased | 604,187 | |||
Accrued expenses and other liabilities | 310,954 | |||
Due to broker—variation margin futures | 8,887 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 496,224,159 | |||
| NET ASSETS | $ | 3,807,622,875 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,149,028,387 | ||
Retained earnings | 1,658,594,488 | |||
Net assets, June 30, 2016 | $ | 3,807,622,875 | ||
Net asset value and redemption price per share $3,807,622,875 / 153,615,191 outstanding shares of beneficial interest | $ | 24.79 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $403,330, of which $6,800 is reimbursable by an affiliate) | $ | 27,826,868 | ||
Interest income | 17,698,547 | |||
Affiliated dividend income | 1,521,050 | |||
Affiliated income from securities lending, net | 259,120 | |||
Total income | 47,305,585 | |||
| EXPENSES | ||||
Management fee | 11,125,575 | |||
Custodian and accounting fees | 283,000 | |||
Shareholders’ reports | 111,000 | |||
Insurance expenses | 25,000 | |||
Trustees’ fees | 22,000 | |||
Audit fee | 21,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 29,397 | |||
Total expenses | 11,630,972 | |||
| NET INVESTMENT INCOME (LOSS) | 35,674,613 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 41,948,264 | |||
Futures transactions | 5,085,286 | |||
Short sales transactions | (347,838 | ) | ||
Options written transactions | (576,573 | ) | ||
Swap agreement transactions | (881,922 | ) | ||
Foreign currency transactions | 3,111 | |||
| 45,230,328 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $276,325) | 46,367,723 | |||
Futures | 2,894,886 | |||
Options written | (241,909 | ) | ||
Swap agreements | (4,197,327 | ) | ||
Foreign currencies | (5,898 | ) | ||
| 44,817,475 | ||||
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 90,047,803 | |||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 125,722,416 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 35,674,613 | $ | 67,622,207 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 45,230,328 | 227,213,152 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 44,817,475 | (255,176,199 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 125,722,416 | 39,659,160 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [789,107 and 441,580 shares, respectively] | 19,305,594 | 10,576,788 | ||||||
Series shares repurchased [4,554,681 and 9,397,959 shares, respectively] | (109,422,998 | ) | (225,231,619 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (90,117,404 | ) | (214,654,831 | ) | ||||
Capital Contributions (Note 4) | 3,201,924 | — | ||||||
| TOTAL INCREASE (DECREASE) | 38,806,936 | (174,995,671 | ) | |||||
| NET ASSETS: | ||||||||
Beginning of period | 3,768,815,939 | 3,943,811,610 | ||||||
End of period | $ | 3,807,622,875 | $ | 3,768,815,939 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| LONG-TERM INVESTMENTS — 91.9% | ||||||||
| COMMON STOCKS — 91.9% | Shares | Value (Note 2) | ||||||
Australia — 1.2% |
| |||||||
AGL Energy Ltd. | 60,000 | $ | 871,388 | |||||
Arrium Ltd.*(a) | 894,400 | 14,577 | ||||||
Asaleo Care Ltd. | 733,400 | 1,160,412 | ||||||
Ausdrill Ltd.* | 123,200 | 66,685 | ||||||
Bendigo & Adelaide Bank Ltd. | 93,400 | 676,262 | ||||||
Bradken Ltd.* | 98,900 | 74,523 | ||||||
Challenger Ltd. | 102,500 | 669,658 | ||||||
CSR Ltd. | 452,900 | 1,245,094 | ||||||
Downer EDI Ltd. | 182,200 | 523,247 | ||||||
Lend Lease Group | 96,000 | 911,921 | ||||||
Macquarie Group Ltd. | 45,228 | 2,354,323 | ||||||
Metcash Ltd. | 276,300 | 396,011 | ||||||
Mineral Resources Ltd. | 49,900 | 314,168 | ||||||
Myer Holdings Ltd. | 567,600 | 479,017 | ||||||
National Australia Bank Ltd. | 33,588 | 644,871 | ||||||
Primary Health Care Ltd. | 139,400 | 415,198 | ||||||
Qantas Airways Ltd.* | 387,619 | 821,103 | ||||||
| 11,638,458 | ||||||||
Austria — 0.2% | ||||||||
OMV AG | 36,200 | 1,017,611 | ||||||
Voestalpine AG | 21,800 | 733,688 | ||||||
| 1,751,299 | ||||||||
Belgium — 0.2% |
| |||||||
AGFA-Gevaert NV* | 86,100 | 279,507 | ||||||
Delhaize Group | 15,200 | 1,605,649 | ||||||
| 1,885,156 | ||||||||
Canada — 1.6% |
| |||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 57,058 | 2,450,232 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 110,643 | 3,658,964 | ||||||
Canadian Natural Resources Ltd. | 125,900 | 3,881,497 | ||||||
Canadian Pacific Railway Ltd. | 23,150 | 2,981,489 | ||||||
Suncor Energy, Inc. | 70,416 | 1,953,411 | ||||||
| 14,925,593 | ||||||||
China — 1.2% |
| |||||||
Baidu, Inc., ADR* | 16,003 | 2,642,895 | ||||||
China Overseas Land & Investment Ltd. | 954,000 | 3,041,210 | ||||||
NetEase, Inc., ADR | 15,587 | 3,011,720 | ||||||
Shougang Fushan Resources Group Ltd. | 956,000 | 171,157 | ||||||
Tencent Holdings Ltd. | 113,100 | 2,594,477 | ||||||
Universal Health International Group Holding Ltd. | 2,473,000 | 142,700 | ||||||
| 11,604,159 | ||||||||
Denmark — 0.4% |
| |||||||
Novo Nordisk A/S (Class B Stock) | 59,113 | 3,183,406 | ||||||
TDC A/S | 39,500 | 193,569 | ||||||
Vestas Wind Systems A/S | 5,725 | 389,125 | ||||||
| 3,766,100 | ||||||||
Finland — 0.6% |
| |||||||
Kone OYJ (Class B Stock) | 44,752 | 2,065,329 | ||||||
Sampo OYJ (Class A Stock) | 58,134 | 2,377,477 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Finland (continued) |
| |||||||
Tieto OYJ | 20,400 | $ | 558,705 | |||||
UPM-Kymmene OYJ | 57,300 | 1,052,650 | ||||||
| 6,054,161 | ||||||||
France — 3.9% |
| |||||||
Alstom SA* | 26,800 | 618,776 | ||||||
Arkema SA | 6,400 | 489,300 | ||||||
Atos SE | 5,500 | 453,471 | ||||||
AXA SA | 46,300 | 915,476 | ||||||
BNP Paribas SA | 16,000 | 701,691 | ||||||
Cap Gemini SA | 43,346 | 3,740,464 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,130,892 | ||||||
CNP Assurances | 46,700 | 689,004 | ||||||
Credit Agricole SA | 78,500 | 659,947 | ||||||
Electricite de France SA | 61,800 | 749,342 | ||||||
Engie SA | 35,200 | 565,197 | ||||||
JCDecaux SA | 55,951 | 1,886,499 | ||||||
Orange SA | 59,200 | 962,626 | ||||||
Renault SA | 12,300 | 928,624 | ||||||
Safran SA | 31,984 | 2,153,870 | ||||||
Sanofi | 36,100 | 2,999,299 | ||||||
SCOR SE | 22,000 | 650,434 | ||||||
Societe Generale SA | 21,300 | 666,393 | ||||||
Thales SA | 5,600 | 465,050 | ||||||
Total SA | 105,298 | 5,049,695 | ||||||
Total SA, ADR | 90,450 | 4,350,645 | ||||||
Valeo SA | 75,203 | 3,338,583 | ||||||
Vinci SA | 38,305 | 2,703,075 | ||||||
| 36,868,353 | ||||||||
Germany — 2.0% |
| |||||||
Allianz SE | 9,800 | 1,398,049 | ||||||
Aurubis AG | 14,200 | 645,716 | ||||||
BASF SE | 13,500 | 1,035,168 | ||||||
Bayer AG | 19,100 | 1,918,315 | ||||||
Bayerische Motoren Werke AG | 12,200 | 887,860 | ||||||
Continental AG | 8,079 | 1,528,769 | ||||||
Daimler AG | 27,600 | 1,651,545 | ||||||
Deutsche Bank AG | 27,100 | 374,608 | ||||||
Deutsche Lufthansa AG* | 54,200 | 637,260 | ||||||
E.ON SE | 46,000 | 464,364 | ||||||
Evonik Industries AG | 36,500 | 1,088,017 | ||||||
Hannover Rueck SE | 4,500 | 471,501 | ||||||
Metro AG | 39,500 | 1,214,872 | ||||||
Muenchener Rueckversicherungs AG | 6,800 | 1,140,331 | ||||||
Rational AG | 2,182 | 1,009,811 | ||||||
Rheinmetall AG | 13,300 | 791,071 | ||||||
Stada Arzneimittel AG | 15,300 | 792,959 | ||||||
Volkswagen AG | 7,400 | 980,969 | ||||||
Wincor Nixdorf AG* | 13,000 | 694,651 | ||||||
| 18,725,836 | ||||||||
Hong Kong — 0.9% |
| |||||||
AIA Group Ltd. | 564,800 | 3,396,552 | ||||||
China Resources Cement Holdings Ltd. | 1,046,000 | 337,217 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hong Kong (continued) |
| |||||||
Huabao International Holdings Ltd.* | 1,045,000 | $ | 373,146 | |||||
Kingboard Chemical Holdings Ltd. | 216,000 | 430,604 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,244,000 | 929,362 | ||||||
PCCW Ltd. | 870,000 | 584,597 | ||||||
Singamas Container Holdings Ltd. | 2,676,000 | 256,739 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 884,552 | ||||||
WH Group Ltd., 144A | 681,500 | 539,745 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 873,912 | ||||||
| 8,606,426 | ||||||||
India — 0.8% |
| |||||||
HDFC Bank Ltd., ADR | 70,637 | 4,686,765 | ||||||
Tata Motors Ltd., ADR* | 69,213 | 2,399,615 | ||||||
| 7,086,380 | ||||||||
Ireland — 1.3% |
| |||||||
Experian PLC | 166,388 | 3,156,740 | ||||||
Paddy Power Betfair PLC | 18,617 | 1,956,588 | ||||||
Ryanair Holdings PLC, ADR | 41,506 | 2,886,327 | ||||||
Smurfit Kappa Group PLC | 35,200 | 775,050 | ||||||
XL Group PLC | 99,302 | 3,307,750 | ||||||
| 12,082,455 | ||||||||
Israel — 0.5% |
| |||||||
Bank Hapoalim BM | 200,200 | 1,008,585 | ||||||
Elbit Systems Ltd. | 7,700 | 697,283 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 824,947 | ||||||
Teva Pharmaceutical Industries Ltd., ADR | 35,257 | 1,770,959 | ||||||
| 4,301,774 | ||||||||
Italy — 0.2% |
| |||||||
Astaldi SpA | 62,200 | 251,979 | ||||||
Enel SpA | 302,800 | 1,344,271 | ||||||
Mediobanca SpA | 87,600 | 504,735 | ||||||
| 2,100,985 | ||||||||
Japan — 6.9% |
| |||||||
Aisan Industry Co. Ltd. | 68,400 | 442,581 | ||||||
Alpine Electronics, Inc. | 51,500 | 504,712 | ||||||
Aoyama Trading Co. Ltd. | 9,900 | 365,076 | ||||||
Aozora Bank Ltd. | 156,000 | 541,162 | ||||||
Asahi Kasei Corp. | 76,000 | 528,887 | ||||||
Astellas Pharma, Inc. | 75,600 | 1,185,585 | ||||||
Calsonic Kansei Corp. | 105,000 | 797,972 | ||||||
Concordia Financial Group Ltd. | 121,000 | 467,291 | ||||||
Daihatsu Motor Co. Ltd. | 60,500 | 788,074 | ||||||
Daikin Industries Ltd. | 36,400 | 3,059,230 | ||||||
Enplas Corp. | 18,500 | 487,718 | ||||||
Fuji Heavy Industries Ltd. | 59,874 | 2,058,072 | ||||||
Fujikura Ltd. | 254,000 | 1,173,160 | ||||||
Fujitec Co. Ltd. | 77,100 | 665,759 | ||||||
Heiwa Corp. | 34,800 | 705,853 | ||||||
Isuzu Motors Ltd. | 64,500 | 794,445 | ||||||
ITOCHU Corp. | 37,100 | 453,852 | ||||||
Japan Airlines Co. Ltd. | 28,000 | 900,833 | ||||||
Kaneka Corp. | 74,000 | 493,747 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) |
| |||||||
Kao Corp. | 52,300 | $ | 3,046,065 | |||||
KDDI Corp. | 27,100 | 824,104 | ||||||
Keihin Corp. | 54,300 | 837,841 | ||||||
Keyence Corp. | 4,400 | 3,002,246 | ||||||
Komori Corp. | 40,000 | 447,732 | ||||||
Konica Minolta, Inc. | 129,600 | 944,079 | ||||||
Kureha Corp. | 255,000 | 894,999 | ||||||
KYORIN Holdings, Inc. | 37,400 | 733,373 | ||||||
Kyowa Exeo Corp. | 66,900 | 836,969 | ||||||
Makita Corp. | 35,300 | 2,343,817 | ||||||
Marubeni Corp. | 109,700 | 495,596 | ||||||
Mitsubishi Corp. | 39,200 | 690,208 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 234,000 | 1,220,758 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 202,800 | 909,123 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 860,126 | ||||||
Murata Manufacturing Co. Ltd. | 16,200 | 1,816,257 | ||||||
Nippon Prologis REIT, Inc. | 837 | 2,044,770 | ||||||
Nippon Telegraph & Telephone Corp. | 51,200 | 2,401,020 | ||||||
Nishi-Nippon City Bank Ltd. (The) | 243,000 | 426,916 | ||||||
Nissan Motor Co. Ltd. | 140,100 | 1,250,297 | ||||||
Nisshinbo Holdings, Inc. | 81,000 | 733,887 | ||||||
Nitori Holdings Co. Ltd. | 20,900 | 2,534,837 | ||||||
NTT DOCOMO, Inc. | 39,300 | 1,059,864 | ||||||
ORIX Corp. | 197,800 | 2,559,624 | ||||||
Resona Holdings, Inc. | 416,800 | 1,523,368 | ||||||
Ricoh Co. Ltd. | 66,500 | 576,454 | ||||||
Sankyu, Inc. | 126,000 | 676,339 | ||||||
Sawai Pharmaceutical Co. Ltd. | 6,000 | 465,114 | ||||||
Seino Holdings Co. Ltd. | 52,600 | 482,201 | ||||||
Shimachu Co. Ltd. | 30,700 | 668,848 | ||||||
Shimano, Inc. | 13,100 | 2,002,958 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 698,466 | ||||||
SMC Corp. | 4,900 | 1,205,528 | ||||||
Sumitomo Corp. | 67,100 | 676,361 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,900 | 978,865 | ||||||
Sumitomo Osaka Cement Co. Ltd. | 184,500 | 791,696 | ||||||
Toagosei Co. Ltd. | 73,500 | 678,086 | ||||||
Toho Holdings Co. Ltd. | 36,900 | 889,185 | ||||||
Towa Pharmaceutical Co. Ltd. | 9,400 | 490,843 | ||||||
Toyo Tire & Rubber Co. Ltd. | 35,200 | 383,726 | ||||||
Toyoda Gosei Co. Ltd. | 33,200 | 591,270 | ||||||
Tsubakimoto Chain Co. | 85,000 | 525,390 | ||||||
Tsumura & Co. | 21,600 | 585,872 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 564,390 | ||||||
| 64,783,477 | ||||||||
Liechtenstein |
| |||||||
VP Bank AG | 1,765 | 161,756 | ||||||
Mexico — 0.3% |
| |||||||
Wal-Mart de Mexico SAB de CV | 1,137,700 | 2,736,820 | ||||||
Netherlands — 3.0% |
| |||||||
Aegon NV | 95,000 | 376,422 | ||||||
ING Groep NV, CVA | 58,400 | 604,204 | ||||||
Koninklijke Ahold NV | 54,100 | 1,194,672 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Netherlands (continued) |
| |||||||
NN Group NV | 46,800 | $ | 1,288,336 | |||||
NXP Semiconductors NV* | 161,796 | 12,675,099 | ||||||
Royal Dutch Shell PLC (Class A Stock), ADR | 117,600 | 6,493,872 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 88,916 | 2,439,014 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 94,000 | 2,597,100 | ||||||
| 27,668,719 | ||||||||
New Zealand — 0.2% |
| |||||||
Air New Zealand Ltd. | 606,600 | 909,132 | ||||||
Fletcher Building Ltd. | 88,500 | 544,368 | ||||||
Spark New Zealand Ltd. | 185,600 | 471,730 | ||||||
| 1,925,230 | ||||||||
Norway — 0.3% |
| |||||||
DNB ASA | 50,500 | 604,475 | ||||||
Fred Olsen Energy ASA* | 12,600 | 38,248 | ||||||
Salmar ASA | 34,100 | 1,014,758 | ||||||
Statoil ASA | 37,300 | 644,486 | ||||||
Yara International ASA | 23,200 | 736,990 | ||||||
| 3,038,957 | ||||||||
Singapore — 0.2% |
| |||||||
DBS Group Holdings Ltd. | 81,200 | 957,423 | ||||||
Wilmar International Ltd. | 222,100 | 540,659 | ||||||
| 1,498,082 | ||||||||
South Africa — 0.4% |
| |||||||
Bid Corp. Ltd.* | 74,286 | 1,392,106 | ||||||
Bidvest Group Ltd. (The) | 74,286 | 700,818 | ||||||
Discovery Ltd. | 95,264 | 795,802 | ||||||
Mondi PLC | 30,200 | 565,421 | ||||||
| 3,454,147 | ||||||||
South Korea — 0.3% |
| |||||||
Samsung Electronics Co. Ltd. | 1,988 | 2,475,758 | ||||||
Spain — 1.0% |
| |||||||
Amadeus IT Holding SA (Class A Stock) | 44,216 | 1,948,110 | ||||||
Banco Santander SA | 94,600 | 367,114 | ||||||
Distribuidora Internacional de Alimentacion SA | 100,600 | 587,194 | ||||||
Gas Natural SDG SA | 47,300 | 940,216 | ||||||
Iberdrola SA | 150,200 | 1,024,604 | ||||||
Industria de Diseno Textil SA | 91,439 | 3,071,811 | ||||||
Mapfre SA | 219,300 | 481,621 | ||||||
Repsol SA | 57,200 | 733,243 | ||||||
| 9,153,913 | ||||||||
Sweden — 0.9% |
| |||||||
Atlas Copco AB (Class A Stock) | 76,590 | 1,989,207 | ||||||
Boliden AB | 42,300 | 826,715 | ||||||
Hexagon AB (Class B Stock) | 56,508 | 2,067,964 | ||||||
Nordea Bank AB | 83,600 | 709,233 | ||||||
Swedbank AB (Class A Stock) | 29,700 | 623,792 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 127,200 | 977,221 | ||||||
TeliaSonera AB | 196,000 | 928,154 | ||||||
| 8,122,286 | ||||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Switzerland — 3.2% |
| |||||||
Actelion Ltd.* | 24,281 | $ | 4,088,862 | |||||
Aryzta AG | 18,700 | 691,075 | ||||||
Baloise Holding AG | 10,300 | 1,147,218 | ||||||
Bucher Industries AG | 4,680 | 1,095,608 | ||||||
Cembra Money Bank AG | 18,100 | 1,265,937 | ||||||
Credit Suisse Group AG* | 113,100 | 1,204,789 | ||||||
Geberit AG | 4,475 | 1,694,962 | ||||||
Georg Fischer AG | 1,100 | 879,349 | ||||||
Helvetia Holding AG | 1,400 | 728,348 | ||||||
Partners Group Holding AG | 7,878 | 3,376,239 | ||||||
SGS SA | 1,001 | 2,293,042 | ||||||
Swiss Life Holding AG* | 7,200 | 1,663,905 | ||||||
Swiss Re AG | 25,500 | 2,227,181 | ||||||
TE Connectivity Ltd. | 39,450 | 2,252,989 | ||||||
UBS Group AG | 47,400 | 615,043 | ||||||
Wolseley PLC | 54,334 | 2,813,626 | ||||||
Zurich Insurance Group AG* | 6,700 | 1,657,464 | ||||||
| 29,695,637 | ||||||||
Taiwan — 0.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 853,000 | 4,298,862 | ||||||
United Kingdom — 5.2% |
| |||||||
3i Group PLC | 120,600 | 884,859 | ||||||
ARM Holdings PLC | 70,231 | 1,066,795 | ||||||
AstraZeneca PLC | 15,900 | 950,563 | ||||||
Aviva PLC | 129,800 | 684,217 | ||||||
BAE Systems PLC | 344,400 | 2,411,006 | ||||||
Barclays PLC | 266,300 | 495,290 | ||||||
Barratt Developments PLC | 109,300 | 593,942 | ||||||
Beazley PLC | 129,500 | 629,598 | ||||||
Bellway PLC | 25,400 | 644,339 | ||||||
Berkeley Group Holdings PLC | 20,500 | 692,241 | ||||||
Bovis Homes Group PLC | 66,300 | 647,000 | ||||||
BP PLC | 317,500 | 1,858,501 | ||||||
BT Group PLC | 100,400 | 551,861 | ||||||
Carillion PLC | 145,900 | 455,626 | ||||||
Centrica PLC | 220,400 | 666,491 | ||||||
Compass Group PLC | 235,623 | 4,482,843 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 686,663 | ||||||
Debenhams PLC | 301,400 | 222,734 | ||||||
easyJet PLC | 25,500 | 370,558 | ||||||
GlaxoSmithKline PLC | 52,400 | 1,125,296 | ||||||
Go-Ahead Group PLC | 15,200 | 396,721 | ||||||
Home Retail Group PLC | 16,300 | 33,380 | ||||||
HSBC Holdings PLC | 196,000 | 1,214,335 | ||||||
IG Group Holdings PLC | 163,312 | 1,768,397 | ||||||
Imperial Brands PLC | 10,600 | 574,870 | ||||||
Intermediate Capital Group PLC | 59,800 | 391,804 | ||||||
Interserve PLC | 82,200 | 284,790 | ||||||
J. Sainsbury PLC | 536,900 | 1,672,554 | ||||||
Johnson Matthey PLC | 63,440 | 2,379,471 | ||||||
Keller Group PLC | 48,200 | 582,355 | ||||||
Lloyds Banking Group PLC | 1,133,000 | 820,625 | ||||||
Man Group PLC | 308,300 | 479,004 | ||||||
Meggitt PLC | 155,200 | 843,584 | ||||||
Micro Focus International PLC | 70,434 | 1,519,555 | ||||||
Mitie Group PLC | 247,100 | 818,833 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) |
| |||||||
National Express Group PLC | 197,400 | $ | 779,102 | |||||
Old Mutual PLC | 194,100 | 524,357 | ||||||
Premier Foods PLC* | 357,756 | 196,459 | ||||||
QinetiQ Group PLC | 214,000 | 635,268 | ||||||
Reckitt Benckiser Group PLC | 31,134 | 3,121,873 | ||||||
Relx PLC | 185,568 | 3,417,145 | ||||||
Royal Mail PLC | 85,300 | 573,095 | ||||||
Smiths Group PLC | 32,000 | 494,505 | ||||||
St. James’s Place PLC | 142,152 | 1,499,111 | ||||||
Vesuvius PLC | 81,100 | 309,890 | ||||||
WM Morrison Supermarkets PLC | 344,100 | 863,835 | ||||||
WPP PLC | 129,577 | 2,700,581 | ||||||
| 49,015,922 | ||||||||
United States — 54.5% |
| |||||||
AbbVie, Inc. | 3,700 | 229,067 | ||||||
Adobe Systems, Inc.* | 68,005 | 6,514,199 | ||||||
AES Corp. | 374,000 | 4,667,520 | ||||||
Aetna, Inc. | 36,300 | 4,433,319 | ||||||
Akamai Technologies, Inc.* | 112,637 | 6,299,787 | ||||||
Alexion Pharmaceuticals, Inc.* | 54,869 | 6,406,504 | ||||||
Alphabet, Inc. (Class A Stock)* | 7,994 | 5,624,019 | ||||||
Alphabet, Inc. (Class C Stock)* | 11,244 | 7,781,972 | ||||||
Amazon.com, Inc.* | 18,829 | 13,474,409 | ||||||
American Express Co. | 61,250 | 3,721,550 | ||||||
Ameriprise Financial, Inc. | 42,350 | 3,805,147 | ||||||
Amgen, Inc. | 7,300 | 1,110,695 | ||||||
Amphenol Corp. (Class A Stock) | 156,780 | 8,988,197 | ||||||
ANSYS, Inc.* | 58,229 | 5,284,282 | ||||||
Apache Corp.(b) | 47,500 | 2,644,325 | ||||||
Apple, Inc. | 25,700 | 2,456,920 | ||||||
Applied Materials, Inc. | 102,750 | 2,462,918 | ||||||
Bank of America Corp. | 186,650 | 2,476,846 | ||||||
Bank of New York Mellon Corp. (The) | 132,600 | 5,151,510 | ||||||
Boeing Co. (The) | 28,900 | 3,753,243 | ||||||
Bristol-Myers Squibb Co. | 141,806 | 10,429,831 | ||||||
Bunge Ltd. | 30,900 | 1,827,735 | ||||||
Carnival Corp. | 64,900 | 2,868,580 | ||||||
CenterPoint Energy, Inc. | 38,450 | 922,800 | ||||||
Charles Schwab Corp. (The) | 110,680 | 2,801,311 | ||||||
Cisco Systems, Inc. | 160,650 | 4,609,048 | ||||||
Citigroup, Inc. | 83,050 | 3,520,489 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 111,352 | 6,373,788 | ||||||
Comcast Corp. (Class A Stock) | 76,550 | 4,990,294 | ||||||
Costco Wholesale Corp. | 68,205 | 10,710,913 | ||||||
Cummins, Inc. | 15,200 | 1,709,088 | ||||||
Danaher Corp. | 113,479 | 11,461,379 | ||||||
DaVita HealthCare Partners, Inc.* | 84,519 | 6,535,009 | ||||||
E.I. du Pont de Nemours & Co. | 48,650 | 3,152,520 | ||||||
Ecolab, Inc. | 82,464 | 9,780,230 | ||||||
Entergy Corp. | 25,300 | 2,058,155 | ||||||
EQT Corp. | 25,450 | 1,970,594 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 110,428 | 10,051,157 | ||||||
Exelon Corp. | 110,350 | 4,012,326 | ||||||
Express Scripts Holding Co.* | 112,167 | 8,502,259 | ||||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) |
| |||||||
Exxon Mobil Corp. | 62,250 | $ | 5,835,315 | |||||
Facebook, Inc. (Class A Stock)* | 107,613 | 12,298,014 | ||||||
Fastenal Co. | 131,884 | 5,854,331 | ||||||
Fifth Third Bancorp | 180,600 | 3,176,754 | ||||||
FirstEnergy Corp. | 77,500 | 2,705,525 | ||||||
FleetCor Technologies, Inc.* | 44,369 | 6,350,535 | ||||||
General Electric Co. | 297,700 | 9,371,596 | ||||||
General Motors Co. | 56,450 | 1,597,535 | ||||||
Genpact Ltd.* | 279,339 | 7,497,459 | ||||||
Gilead Sciences, Inc. | 20,550 | 1,714,281 | ||||||
Hess Corp. | 25,700 | 1,544,570 | ||||||
Hologic, Inc.* | 66,650 | 2,306,090 | ||||||
Illinois Tool Works, Inc. | 28,150 | 2,932,104 | ||||||
International Paper Co. | 56,450 | 2,392,351 | ||||||
Intuitive Surgical, Inc.* | 15,236 | 10,077,243 | ||||||
Invesco Ltd. | 64,950 | 1,658,823 | ||||||
Johnson & Johnson | 50,600 | 6,137,780 | ||||||
Johnson Controls, Inc. | 69,850 | 3,091,561 | ||||||
JPMorgan Chase & Co. | 136,400 | 8,475,896 | ||||||
Juniper Networks, Inc. | 43,450 | 977,191 | ||||||
Kohl’s Corp.(b) | 43,250 | 1,640,040 | ||||||
Las Vegas Sands Corp. | 37,800 | 1,643,922 | ||||||
Loews Corp. | 70,100 | 2,880,409 | ||||||
Lowe’s Cos., Inc. | 45,100 | 3,570,567 | ||||||
Marsh & McLennan Cos., Inc. | 78,500 | 5,374,110 | ||||||
Mattel, Inc. | 96,950 | 3,033,566 | ||||||
Mead Johnson Nutrition Co. | 99,538 | 9,033,073 | ||||||
Medtronic PLC | 72,121 | 6,257,939 | ||||||
Merck & Co., Inc. | 79,650 | 4,588,636 | ||||||
MetLife, Inc. | 124,350 | 4,952,860 | ||||||
Microsoft Corp. | 135,650 | 6,941,210 | ||||||
Morgan Stanley | 207,300 | 5,385,654 | ||||||
National Instruments Corp. | 70,391 | 1,928,713 | ||||||
NetSuite, Inc.*(b) | 77,675 | 5,654,740 | ||||||
News Corp. (Class A Stock) | 155,300 | 1,762,655 | ||||||
Occidental Petroleum Corp. | 42,800 | 3,233,968 | ||||||
PayPal Holdings, Inc. | 64,030 | 2,337,735 | ||||||
PepsiCo, Inc. | 41,500 | 4,396,510 | ||||||
Pfizer, Inc. | 274,200 | 9,654,582 | ||||||
PG&E Corp. | 134,400 | 8,590,848 | ||||||
Philip Morris International, Inc. | 55,050 | 5,599,686 | ||||||
Procter & Gamble Co. (The) | 51,050 | 4,322,403 | ||||||
QUALCOMM, Inc. | 51,300 | 2,748,141 | ||||||
Raytheon Co. | 17,950 | 2,440,303 | ||||||
salesforce.com, inc.* | 121,374 | 9,638,309 | ||||||
SBA Communications Corp. (Class A Stock)* | 64,146 | 6,923,919 | ||||||
Southwest Airlines Co. | 52,050 | 2,040,881 | ||||||
Starbucks Corp. | 201,384 | 11,503,054 | ||||||
T-Mobile U.S., Inc.* | 34,050 | 1,473,344 | ||||||
Texas Instruments, Inc. | 50,750 | 3,179,488 | ||||||
Thermo Fisher Scientific, Inc. | 28,500 | 4,211,160 | ||||||
TripAdvisor, Inc.* | 133,939 | 8,612,278 | ||||||
Twenty-First Century Fox (Class B Stock) | 154,400 | 4,207,400 | ||||||
Tyco International PLC | 75,650 | 3,222,690 | ||||||
Tyson Foods, Inc. (Class A Stock) | 52,450 | 3,503,135 | ||||||
U.S. Bancorp | 32,850 | 1,324,841 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) |
| |||||||
Under Armour, Inc. (Class A Stock)*(b) | 75,384 | $ | 3,025,160 | |||||
Under Armour, Inc. (Class C Stock)*(b) | 117,639 | 4,282,060 | ||||||
United Technologies Corp. | 33,650 | 3,450,807 | ||||||
Vereit, Inc. | 117,500 | 1,191,450 | ||||||
Visa, Inc. (Class A Stock)(b) | 168,033 | 12,463,008 | ||||||
Vulcan Materials Co. | 14,650 | 1,763,274 | ||||||
Wabtec Corp. | 85,168 | 5,981,349 | ||||||
Wal-Mart Stores, Inc. | 39,100 | 2,855,082 | ||||||
Wells Fargo & Co. | 56,150 | 2,657,580 | ||||||
Weyerhaeuser Co. | 81,250 | 2,418,813 | ||||||
| 509,470,241 | ||||||||
TOTAL COMMON STOCKS |
| 858,896,942 | ||||||
| RIGHTS* | ||||||||
| Units | ||||||||
Spain |
| |||||||
Repsol SA, expiring 07/01/16 (cost $18,773) | 57,200 | 18,599 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 858,915,541 | ||||||
| SHORT-TERM INVESTMENT — 3.5% | ||||||||
| Shares | ||||||||
AFFILIATED MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund | 32,578,587 | 32,578,587 | ||||||
TOTAL INVESTMENTS — 95.4% |
| 891,494,128 | ||||||
OTHER ASSETS IN EXCESS OF |
| 42,916,686 | ||||||
NET ASSETS — 100.0% |
| $ | 934,410,814 | |||||
See Glossary for abbreviations used in the semiannual report.
| * | Non-income producing security. |
| (a) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,577 and 0.0% of net assets. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $11,076,589; cash collateral of $11,288,864 (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) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund. |
| (d) | 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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 11,623,881 | $ | 14,577 | ||||||
Austria | — | 1,751,299 | — | |||||||||
Belgium | — | 1,885,156 | — | |||||||||
Canada | 14,925,593 | — | — | |||||||||
China | 5,654,615 | 5,949,544 | — | |||||||||
Denmark | — | 3,766,100 | — | |||||||||
Finland | — | 6,054,161 | — | |||||||||
France | 4,350,645 | 32,517,708 | — | |||||||||
Germany | 694,651 | 18,031,185 | — | |||||||||
Hong Kong | — | 8,606,426 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
India | $ | 7,086,380 | $ | — | $ | — | ||||||
Ireland | 6,194,077 | 5,888,378 | — | |||||||||
Israel | 1,770,959 | 2,530,815 | — | |||||||||
Italy | — | 2,100,985 | — | |||||||||
Japan | 467,291 | 64,316,186 | — | |||||||||
Liechtenstein | — | 161,756 | — | |||||||||
Mexico | 2,736,820 | — | — | |||||||||
Netherlands | 19,168,971 | 8,499,748 | — | |||||||||
New Zealand | — | 1,925,230 | — | |||||||||
Norway | — | 3,038,957 | — | |||||||||
Singapore | — | 1,498,082 | — | |||||||||
South Africa | 1,392,106 | 2,062,041 | — | |||||||||
South Korea | — | 2,475,758 | — | |||||||||
Spain | — | 9,153,913 | — | |||||||||
Sweden | — | 8,122,286 | — | |||||||||
Switzerland | 2,252,989 | 27,442,648 | — | |||||||||
Taiwan | — | 4,298,862 | — | |||||||||
United Kingdom | 481,249 | 48,534,673 | — | |||||||||
United States | 509,470,241 | — | — | |||||||||
Rights – Spain | 18,599 | — | — | |||||||||
Affiliated Mutual Fund | 32,578,587 | — | — | |||||||||
Total | $ | 609,243,773 | $ | 282,235,778 | $ | 14,577 | ||||||
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:
Pharmaceuticals | 5.1 | % | ||
Oil, Gas & Consumable Fuels | 4.9 | |||
Banks | 4.7 | |||
Insurance | 4.5 | |||
IT Services | 4.4 | |||
Internet Software & Services | 4.3 | |||
Software | 3.7 | |||
Affiliated Mutual Fund (including 1.2% of collateral for securities on loan) | 3.5 | |||
Capital Markets | 3.2 | |||
Semiconductors & Semiconductor Equipment | 2.9 | |||
Food & Staples Retailing | 2.8 | |||
Industrial Conglomerates | 2.6 | |||
Machinery | 2.4 | |||
Chemicals | 2.4 | |||
Hotels, Restaurants & Leisure | 2.4 | |||
Internet & Catalog Retail | 2.3 | |||
Health Care Providers & Services | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.1 | |||
Media | 2.1 | |||
Health Care Equipment & Supplies | 2.0 | |||
Food Products | 2.0 | |||
Aerospace & Defense | 1.8 | |||
Personal Products | 1.5 | |||
Automobiles | 1.5 | |||
Biotechnology | 1.4 | |||
Diversified Telecommunication Services | 1.3 | |||
Auto Components | 1.3 | |||
Multi-Utilities | 1.3 | |||
Electric Utilities | 1.2 | |||
Trading Companies & Distributors | 1.2 | |||
Specialty Retail | 1.0 | |||
Airlines | 0.9 |
Textiles, Apparel & Luxury Goods | 0.9 | % | ||
Technology Hardware, Storage & Peripherals | 0.9 | |||
Real Estate Management & Development | 0.8 | |||
Household Products | 0.8 | |||
Communications Equipment | 0.7 | |||
Tobacco | 0.7 | |||
Household Durables | 0.7 | |||
Leisure Products | 0.6 | |||
Real Estate Investment Trusts (REITs) | 0.6 | |||
Professional Services | 0.6 | |||
Road & Rail | 0.6 | |||
Construction & Engineering | 0.5 | |||
Diversified Financial Services | 0.5 | |||
Consumer Finance | 0.5 | |||
Commercial Services & Supplies | 0.5 | |||
Building Products | 0.5 | |||
Construction Materials | 0.5 | |||
Independent Power & Renewable Electricity Producers | 0.5 | |||
Beverages | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Wireless Telecommunication Services | 0.4 | |||
Containers & Packaging | 0.4 | |||
Paper & Forest Products | 0.3 | |||
Metals & Mining | 0.3 | |||
Multiline Retail | 0.3 | |||
Electrical Equipment | 0.2 | |||
Gas Utilities | 0.1 | |||
Air Freight & Logistics | 0.1 | |||
| 95.4 | ||||
Other assets in excess of liabilities | 4.6 | |||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 June 30, 2016 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 | $ | 18,599 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:
For the six months ended June 30,2016, the Portfolio did not have any realized gain (loss) on derivatives recognized in income.
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights* | |||
Equity contracts | $ | 403 | ||
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $11,076,589: | ||||
Unaffiliated investments (cost $743,926,794) | $ | 858,915,541 | ||
Affiliated investments (cost $32,578,587) | 32,578,587 | |||
Foreign currency, at value (cost $3,327,786) | 3,319,084 | |||
Receivable for investments sold | 52,543,507 | |||
Tax reclaim receivable | 1,681,535 | |||
Dividends receivable | 1,508,076 | |||
Receivable for Series shares sold | 293 | |||
Prepaid expenses | 812 | |||
Total Assets | 950,547,435 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 11,288,864 | |||
Payable for investments purchased | 4,000,357 | |||
Management fee payable | 571,874 | |||
Accrued expenses and other liabilities | 181,071 | |||
Payable for Series shares repurchased | 91,643 | |||
Payable to custodian | 1,832 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 16,136,621 | |||
| NET ASSETS | $ | 934,410,814 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 734,032,754 | ||
Retained earnings | 200,378,060 | |||
Net assets, June 30, 2016 | $ | 934,410,814 | ||
Net asset value and redemption price per share $934,410,814 / 35,738,109 outstanding shares of beneficial interest | $ | 26.15 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $948,739, of which $8,165 is reimbursable by an affiliate) | $ | 11,412,294 | ||
Affiliated income from securities lending, net | 275,063 | |||
Affiliated dividend income | 67,225 | |||
Total income | 11,754,582 | |||
| EXPENSES | ||||
Management fee | 3,447,550 | |||
Custodian and accounting fees | 163,000 | |||
Shareholders’ reports | 57,000 | |||
Audit fee | 14,000 | |||
Trustees’ fees | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 5,000 | |||
Miscellaneous | 25,838 | |||
Total expenses | 3,732,388 | |||
Less: Management fee waiver | (50,556 | ) | ||
Net expenses | 3,681,832 | |||
| NET INVESTMENT INCOME (LOSS) | 8,072,750 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (5,621,973 | ) | ||
Foreign currency transactions | 38,555 | |||
| (5,583,418 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (10,586,906 | ) | ||
Foreign currencies | (18,591 | ) | ||
| (10,605,497 | ) | |||
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (16,188,915 | ) | ||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,116,165 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 8,072,750 | $ | 10,401,170 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (5,583,418 | ) | 30,378,029 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (10,605,497 | ) | (12,947,986 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (8,116,165 | ) | 27,831,213 | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [81,893 and 10,575,719 shares, respectively] | 2,099,436 | 267,851,761 | ||||||
Series shares repurchased [1,005,053 and 1,878,916 shares, respectively] | (25,667,548 | ) | (49,569,010 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (23,568,112 | ) | 218,282,751 | |||||
Capital Contributions (Note 4) | 808,056 | — | ||||||
| TOTAL INCREASE (DECREASE) | (30,876,221 | ) | 246,113,964 | |||||
| NET ASSETS: | ||||||||
Beginning of period | 965,287,035 | 719,173,071 | ||||||
End of period | $ | 934,410,814 | $ | 965,287,035 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
LONG-TERM INVESTMENTS — 100.8% ASSET-BACKED SECURITIES — 5.9% | 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 | 2.228% | (a) | 10/15/26 | 750 | $ | 745,938 | ||||||||||
Babson CLO Ltd., Series 2013-IA, Class A, 144A | 1.734% | (a) | 04/20/25 | 1,750 | 1,732,736 | |||||||||||
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A | 2.233% | (a) | 10/17/26 | 750 | 746,247 | |||||||||||
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A | 2.163% | (a) | 04/18/27 | 500 | 495,385 | |||||||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A | 2.108% | (a) | 01/15/26 | 600 | 595,008 | |||||||||||
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A | 2.033% | (a) | 01/17/26 | 250 | 247,685 | |||||||||||
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A | 2.098% | (a) | 10/15/26 | 3,250 | 3,228,960 | |||||||||||
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A | 2.098% | (a) | 04/15/26 | 250 | 249,422 | |||||||||||
OZLM Funding Ltd., Series 2012-1A, Class A1R, 144A | 2.155% | (a) | 07/22/27 | 500 | 497,070 | |||||||||||
Regatta IV Funding Ltd., Series 2014-1A, Class A1, 144A | 2.048% | (a) | 07/25/26 | 250 | 246,967 | |||||||||||
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A | 2.044% | (a) | 10/20/23 | 500 | 498,899 | |||||||||||
Shackleton V CLO Ltd., Series 2014-5A, Class A, 144A | 2.132% | (a) | 05/07/26 | 750 | 748,781 | |||||||||||
Silver Spring CLO Ltd., Series 2014-1A, Class A, 144A | 2.078% | (a) | 10/15/26 | 1,489 | 1,466,705 | |||||||||||
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A | 2.154% | (a) | 07/20/27 | 750 | 744,806 | |||||||||||
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A | 2.264% | (a) | 04/20/26 | 1,500 | 1,492,076 | |||||||||||
| 13,736,685 | ||||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.1% | ||||||||||||||||
Small Business Administration Participation Certificates, Series 1996-20J, Class 1 | 7.200% | 10/01/16 | 47 | 47,809 | ||||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | 7.150% | 01/01/17 | 60 | 61,288 | ||||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 44 | 44,737 | ||||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 156 | 163,117 | ||||||||||||
| 316,951 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 14,053,636 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 27.5% | ||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-4, Class AM | 5.675% | 07/10/46 | 1,034 | 1,032,544 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3 | 3.515% | 09/10/58 | 700 | 756,768 | ||||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,047 | 1,049,677 | ||||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 1,030,749 | ||||||||||||
Commercial Mortgage Trust, Series 2015-CR24, Class A3 | 3.214% | 08/10/55 | 1,600 | 1,691,979 | ||||||||||||
Commercial Mortgage Trust, Series 2015-CR25, Class A3 | 3.505% | 08/10/48 | 1,000 | 1,077,830 | ||||||||||||
Fannie Mae-Aces, Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 211,168 | ||||||||||||
Fannie Mae-Aces, Series 2012-M13, Class A2 | 2.377% | 05/25/22 | 1,850 | 1,926,507 | ||||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (a) | 12/25/23 | 2,650 | 2,942,108 | |||||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 | 2.465% | 09/25/24 | 550 | 568,923 | ||||||||||||
Fannie Mae-Aces, Series 2015-M3, Class AB2 | 2.625% | 10/25/24 | 2,730 | 2,831,909 | ||||||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | 01/25/25 | 1,600 | 1,701,081 | ||||||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (a) | 04/25/27 | 1,600 | 1,737,328 | |||||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (a) | 11/25/25 | 1,500 | 1,599,997 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 272,893 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | 4.317% | 11/25/19 | 1,100 | 1,203,951 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.795% | (a) | 06/25/20 | 17,978 | 863,829 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO | 1.840% | (a) | 03/25/22 | 17,741 | 1,406,820 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.584% | (a) | 05/25/22 | 9,037 | 637,716 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.620% | (a) | 06/25/22 | 9,590 | 688,339 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | 2.573% | 09/25/22 | 2,000 | $ | 2,101,486 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 1.013% | (a) | 10/25/22 | 27,169 | 1,221,216 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2 | 3.310% | (a) | 05/25/23 | 2,730 | 2,997,211 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 | 3.060% | (a) | 07/25/23 | 3,600 | 3,894,207 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2 | 3.389% | 03/25/24 | 3,200 | 3,536,893 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 4,000 | 4,357,320 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2 | 2.811% | 01/25/25 | 3,200 | 3,395,126 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,000 | 4,316,618 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3 | 3.511% | 04/25/30 | 400 | 442,994 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO | 1.610% | (a) | 08/25/16 | 1,768 | 387 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.894% | (a) | 05/25/19 | 7,986 | 336,845 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.818% | (a) | 07/25/19 | 7,680 | 331,194 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | 05/25/25 | 2,600 | 2,812,201 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 | 3.003% | 01/15/47 | 1,700 | 1,763,278 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3 | 3.322% | 07/15/48 | 1,600 | 1,692,645 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A3 | 5.927% | (a) | 06/15/49 | 156 | 158,179 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,755,686 | ||||||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM | 5.456% | (a) | 07/12/46 | 1,200 | 1,201,004 | |||||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM | 5.204% | 12/12/49 | 1,500 | 1,513,905 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 1,600 | 1,723,930 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM | 5.795% | (a) | 07/15/45 | 1,000 | 999,111 | |||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 65,783,552 | ||||||||||||||
| CORPORATE BOND — 1.0% | ||||||||||||||||
Diversified Financial Services | ||||||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 4.300% | 12/15/21 | 2,160 | 2,469,517 | ||||||||||||
| FOREIGN AGENCY — 0.4% | ||||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 820 | 881,256 | ||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% | ||||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 87 | 89,062 | ||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | 16 | 15,733 | ||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 180 | 182,299 | ||||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | 18 | 18,324 | ||||||||||||
Merrill Lynch Mortgage Investors Trust Series, Series 2003-E, Class A1 | 1.073% | (a) | 10/25/28 | 35 | 33,473 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.830% | (a) | 02/25/34 | 161 | 158,948 | |||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 497,839 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 55.0% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 1,000 | $ | 1,034,109 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 864 | 896,759 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.743% | (a) | 05/01/34 | 284 | 299,245 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 3,000 | 3,104,337 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29-06/01/45 | 1,733 | 1,814,807 | ||||||||||
Federal Home Loan Mortgage Corp.(b) | 3.500% | TBA | 2,000 | 2,105,938 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 2,000 | 2,108,438 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26-08/01/43 | 4,633 | 4,898,571 | ||||||||||
Federal Home Loan Mortgage Corp.(b) | 4.000% | TBA | 3,750 | 4,013,672 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 3,000 | 3,208,125 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 2,641 | 2,833,496 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 2,505 | 2,745,115 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33-05/01/34 | 1,094 | 1,219,360 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37-05/01/38 | 656 | 737,840 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34-08/01/39 | 490 | 559,974 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 80 | 91,969 | ||||||||||
Federal National Mortgage Assoc. | 2.289% | (a) | 07/01/33 | 807 | 854,176 | |||||||||
Federal National Mortgage Assoc. | 2.456% | (a) | 06/01/34 | 265 | 281,369 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 6,000 | 6,207,535 | ||||||||||
Federal National Mortgage Assoc. | 2.518% | (a) | 08/01/33 | 539 | 569,586 | |||||||||
Federal National Mortgage Assoc. | 2.547% | (a) | 04/01/34 | 238 | 250,350 | |||||||||
Federal National Mortgage Assoc. | 2.617% | (a) | 04/01/34 | 128 | 133,827 | |||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 13,750 | 14,243,600 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/28-02/01/31 | 3,640 | 3,820,391 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 14,750 | 15,545,116 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/27-06/01/39 | 1,217 | 1,289,361 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 2,000 | 2,142,443 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40-09/01/44 | 4,106 | 4,412,008 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 3,362 | 3,717,661 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18-05/01/36 | 1,718 | 1,878,740 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/17-11/01/35 | 4,749 | 5,387,687 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21-05/01/38 | 776 | 886,981 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32-10/01/37 | 1,258 | 1,511,816 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31-01/01/36 | 153 | 176,521 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 10/01/23-02/01/26 | 7 | 7,154 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25-04/01/25 | 25 | 29,088 | ||||||||||
Financing Corp. Strips Principal, Series 4-P, PO | 1.390% | (c) | 10/06/17 | 2,700 | 2,677,774 | |||||||||
Government National Mortgage Assoc.(b) | 3.000% | TBA | 2,500 | 2,613,916 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 3,500 | 3,652,373 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,776 | 2,902,786 | ||||||||||
Government National Mortgage Assoc.(b) | 3.500% | TBA | 7,500 | 7,960,254 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 3,500 | 3,709,863 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 363 | 389,780 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41-03/20/41 | 1,909 | 2,084,383 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33-04/15/34 | 673 | 759,221 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34-03/15/36 | 583 | 669,026 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32-08/15/32 | 193 | 230,087 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23-08/15/28 | 374 | 411,848 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25-02/15/26 | 63 | 69,762 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24-04/15/25 | 127 | 144,124 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 1,520 | 1,619,460 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,040 | 1,133,912 | ||||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 1.220% | (c) | 07/15/20 | 740 | 706,454 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 1.734% | (c) | 10/15/19 | 3,300 | 3,194,156 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 3.001% | (c) | 04/15/30 | 635 | 457,604 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 6.750% | 11/01/25 | 510 | 704,997 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 400 | 612,522 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 131,721,467 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| U.S. TREASURY OBLIGATIONS — 10.8% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
U.S. Treasury Bonds(d) | 2.500% | 02/15/45-02/15/46 | 2,115 | $ | 2,202,206 | |||||||||||
U.S. Treasury Bonds | 2.500% | 05/15/46 | 605 | 630,452 | ||||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 950 | 1,091,943 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/21 | 3,694 | 3,785,132 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.000% | 02/15/46 | 631 | 681,230 | ||||||||||||
U.S. Treasury Notes(d) | 1.000% | 03/15/18 | 655 | 659,503 | ||||||||||||
U.S. Treasury Notes | 1.125% | 06/30/21 | 290 | 291,439 | ||||||||||||
U.S. Treasury Notes | 1.625% | 04/30/23 | 2,710 | 2,770,869 | ||||||||||||
U.S. Treasury Notes | 2.000% | 02/15/25 | 1,030 | 1,077,638 | ||||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21-05/15/25 | 4,365 | 4,602,743 | ||||||||||||
U.S. Treasury Strips Coupon | 2.037% | (c) | 02/15/22 | 1,690 | 1,576,767 | |||||||||||
U.S. Treasury Strips Coupon | 2.184% | (c) | 02/15/28 | 550 | 447,283 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (c) | 05/15/29 | 565 | 445,753 | |||||||||||
U.S. Treasury Strips Coupon(e) | 2.404% | (c) | 08/15/21 | 2,525 | 2,384,373 | |||||||||||
U.S. Treasury Strips Coupon | 4.138% | (c) | 02/15/42 | 3,725 | 2,003,983 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.351% | (c) | 05/15/43 | 595 | 311,983 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.543% | (c) | 02/15/45 | 515 | 255,865 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.952% | (c) | 05/15/45 | 800 | 394,524 | |||||||||||
U.S. Treasury Strips Principal, PO | 3.005% | (c) | 11/15/44 | 715 | 358,031 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 25,971,717 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 241,378,984 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 27.2% | ||||||||||||||||
| Shares | ||||||||||||||||
AFFILIATED MUTUAL FUNDS | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 4,050,491 | 37,629,057 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund |
| 27,573,669 | 27,573,669 | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 65,202,726 | ||||||||||||||
TOTAL INVESTMENTS 128.0% |
| 306,581,710 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(g) — (28.0)% |
| (67,072,460 | ) | |||||||||||||
NET ASSETS — 100.0% |
| $ | 239,509,250 | |||||||||||||
See the Glossary for abbreviations used in the semiannual report.
| # | 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 June 30, 2016. |
| (b) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar principal amount of $15,750,000 is approximately 6.6% of net assets. |
| (c) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (d) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| (g) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2016:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: |
| |||||||||||||||||||
| 59 | 2 Year U.S. Treasury Notes | Sep. 2016 | $ | 12,849,174 | $ | 12,940,359 | $ | 91,185 | ||||||||||||
| 151 | 5 Year U.S. Treasury Notes | Sep. 2016 | 18,391,698 | 18,446,773 | 55,075 | |||||||||||||||
| 132 | 10 Year U.S. Treasury Notes | Sep. 2016 | 17,155,369 | 17,553,938 | 398,569 | |||||||||||||||
| 151 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2016 | 26,397,325 | 28,142,625 | 1,745,300 | |||||||||||||||
| 2,290,129 | ||||||||||||||||||||
| Short Position: | ||||||||||||||||||||
| 176 | 20 Year U.S. Treasury Bonds | Sep. 2016 | 28,595,035 | 30,332,500 | (1,737,465 | ) | ||||||||||||||
| $ | 552,664 | |||||||||||||||||||
| Cash of $100,000 and a U.S. Treasury Obligation with a market value of $844,210 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016. |
Interest rate swap agreements outstanding at June 30, 2016:
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Centrally cleared swap agreements: |
| |||||||||||||||||||||
| 19,280 | 01/06/21 | 1.750% | 3 Month LIBOR(2) | $ | 200 | $ | 693,748 | $ | 693,548 | |||||||||||||
| 5,100 | 01/13/22 | 2.351% | 3 Month LIBOR(1) | 180 | (359,517 | ) | (359,697 | ) | ||||||||||||||
| 4,850 | 01/13/22 | 2.480% | 3 Month LIBOR(1) | 179 | (375,994 | ) | (376,173 | ) | ||||||||||||||
| 1,710 | 01/22/22 | 2.467% | 3 Month LIBOR(1) | 161 | (131,800 | ) | (131,961 | ) | ||||||||||||||
| 5,470 | 05/31/22 | 2.217% | 3 Month LIBOR(1) | 179 | (366,056 | ) | (366,235 | ) | ||||||||||||||
| 11,780 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 213 | (547,312 | ) | (547,525 | ) | ||||||||||||||
| 3,600 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 169 | (197,215 | ) | (197,384 | ) | ||||||||||||||
| 8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) | 220 | (1,082,802 | ) | (1,083,022 | ) | ||||||||||||||
| 5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) | 111 | (609,672 | ) | (609,783 | ) | ||||||||||||||
| 1,860 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 163 | (146,995 | ) | (147,158 | ) | ||||||||||||||
| 1,630 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 23 | (129,019 | ) | (129,042 | ) | ||||||||||||||
| $ | 1,798 | $ | (3,252,634 | ) | $ | (3,254,432 | ) | |||||||||||||||
U.S. Treasury Obligations with a combined market value of $1,443,880 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2016.
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at June 30, 2016:
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreements: |
| |||||||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | $ | 56,096 | $ | — | $ | 56,096 | |||||||||||||
| Deutsche Bank AG | 09/08/16 | 1,000 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 70,783 | — | 70,783 | ||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 500 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | 16,009 | — | 16,009 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Total return swap agreements outstanding at June 30, 2016 (continued):
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreements (continued): |
| |||||||||||||||||||||
| Deutsche Bank AG | 09/08/16 | 500 | Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip | $ | 22,200 | $ | — | $ | 22,200 | |||||||||||||
| $ | 165,088 | $ | — | $ | 165,088 | |||||||||||||||||
| (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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 13,736,685 | $ | — | ||||||
Non-Residential Mortgage-Backed Securities | — | 316,951 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 65,783,552 | — | |||||||||
Corporate Bond | — | 2,469,517 | — | |||||||||
Foreign Agency | — | 881,256 | — | |||||||||
Residential Mortgage-Backed Securities | — | 497,839 | — | |||||||||
U.S. Government Agency Obligations | — | 131,721,467 | — | |||||||||
U.S. Treasury Obligations | — | 25,971,717 | — | |||||||||
Affiliated Mutual Funds | 65,202,726 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 552,664 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (3,254,432 | ) | — | ||||||||
OTC Total Return Swap Agreements | — | 165,088 | — | |||||||||
Total | $ | 65,755,390 | $ | 238,289,640 | $ | — | ||||||
| * | 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 June 30, 2016 were as follows:
U.S. Government Agency Obligations | 55.0 | % | ||
Commercial Mortgage-Backed Securities | 27.5 | |||
Affiliated Mutual Funds | 27.2 | |||
U.S. Treasury Obligations | 10.8 | |||
Collateralized Loan Obligations | 5.8 | |||
Diversified Financial Services | 1.0 | |||
Foreign Agency | 0.4 |
Residential Mortgage-Backed Securities | 0.2 | % | ||
Non-Residential Mortgage-Backed Securities | 0.1 | |||
| 128.0 | ||||
Liabilities in excess of other assets | (28.0 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 June 30, 2016 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 | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 2,290,129 | * | Due from/to broker — variation margin futures | $ | 1,737,465 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 693,548 | * | Due from/to broker — variation margin swaps | 3,947,980 | * | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 165,088 | — | — | ||||||||
Total | $ | 3,148,765 | $ | 5,685,445 | ||||||||
| * | 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 six months ended June 30, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Swaps | Total | ||||||||||||||||||
Interest rate contracts | $ | (384,680 | ) | $ | (157,665 | ) | $ | 2,071,033 | $ | 2,325 | $ | 565,809 | $ | 2,096,822 | ||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | 214,775 | $ | (127,080 | ) | $ | 383,621 | $ | (2,256,576 | ) | $ | (1,785,260 | ) | |||||||
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Interest Rate | ||||
| $104,646 | $220,320 | $95,916,078 | $41,084,922 | $99,165 |
Total Return |
| $2,000 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
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 | Net Amount | ||||||||||||
Deutsche Bank AG | $ | 165,088 | $ | — | $ | — | $ | 165,088 | ||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged | Net Amount | ||||||||||||
Deutsche Bank AG | $ | — | $ | — | $ | — | $ | — | ||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $233,892,743) | $ | 241,378,984 | ||
Affiliated investments (cost $67,106,829) | 65,202,726 | |||
Deposit with broker for futures | 100,000 | |||
Receivable for investments sold | 71,092,476 | |||
Dividends and interest receivable | 739,109 | |||
Unrealized appreciation on OTC swap agreements | 165,088 | |||
Due from broker—variation margin swaps | 33,256 | |||
Receivable for Series shares sold | 748 | |||
Prepaid expenses | 367 | |||
Total Assets | 378,712,754 | |||
| LIABILITIES | ||||
Payable for investments purchased | 138,968,452 | |||
Accrued expenses and other liabilities | 104,117 | |||
Management fee payable | 78,099 | |||
Payable for Series shares repurchased | 42,394 | |||
Due to broker—variation margin futures | 8,941 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 521 | |||
Total Liabilities | 139,203,504 | |||
| NET ASSETS | $ | 239,509,250 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 212,553,096 | ||
Retained earnings | 26,956,154 | |||
Net assets, June 30, 2016 | $ | 239,509,250 | ||
Net asset value and redemption price per share $239,509,250 / 19,008,235 outstanding shares of beneficial interest | $ | 12.60 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Interest income | $ | 2,249,176 | ||
Affiliated dividend income | 320,326 | |||
Affiliated income from securities lending, net | 4,702 | |||
Total income | 2,574,204 | |||
| EXPENSES | ||||
Management fee | 469,670 | |||
Shareholders’ reports | 52,000 | |||
Custodian and accounting fees | 40,000 | |||
Audit fee | 17,000 | |||
Trustees’ fees | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 2,000 | |||
Loan interest expense | 38 | |||
Miscellaneous | 8,643 | |||
Total expenses | 606,351 | |||
| NET INVESTMENT INCOME (LOSS) | 1,967,853 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 2,973,434 | |||
Futures transactions | 2,071,033 | |||
Options written transactions | (157,665 | ) | ||
Forward rate agreement transactions | 2,325 | |||
Swap agreement transactions | 565,809 | |||
| 5,454,936 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $80,652) | 6,050,073 | |||
Futures | 383,621 | |||
Options written | (127,080 | ) | ||
Swap agreements | (2,256,576 | ) | ||
| 4,050,038 | ||||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 9,504,974 | |||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 11,472,827 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,967,853 | $ | 4,806,869 | ||||
Net realized gain (loss) on investment transactions | 5,454,936 | 1,519,137 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,050,038 | (3,732,049 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 11,472,827 | 2,593,957 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [439,515 and 446,808 shares, respectively] | 5,402,445 | 5,381,539 | ||||||
Series shares repurchased [746,818 and 9,585,972 shares, respectively] | (9,192,690 | ) | (115,358,336 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (3,790,245 | ) | (109,976,797 | ) | ||||
| Capital Contributions (Note 4) | 28,977 | — | ||||||
| TOTAL INCREASE (DECREASE) | 7,711,559 | (107,382,840 | ) | |||||
| NET ASSETS: | ||||||||
Beginning of period | 231,797,691 | 339,180,531 | ||||||
End of period | $ | 239,509,250 | $ | 231,797,691 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| LONG-TERM INVESTMENTS — 96.8% | ||||||||
| COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.6% | ||||||||
Boeing Co. (The) | 101,536 | $ | 13,186,480 | |||||
General Dynamics Corp. | 49,000 | 6,822,760 | ||||||
Honeywell International, Inc. | 128,250 | 14,918,040 | ||||||
L-3 Communications Holdings, Inc. | 13,000 | 1,906,970 | ||||||
Lockheed Martin Corp. | 43,898 | 10,894,167 | ||||||
Northrop Grumman Corp. | 30,326 | 6,740,863 | ||||||
Raytheon Co. | 50,118 | 6,813,542 | ||||||
Rockwell Collins, Inc.(a) | 22,100 | 1,881,594 | ||||||
Textron, Inc. | 45,400 | 1,659,824 | ||||||
TransDigm Group, Inc.*(a) | 8,300 | 2,188,627 | ||||||
United Technologies Corp. | 129,900 | 13,321,245 | ||||||
| 80,334,112 | ||||||||
Air Freight & Logistics — 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 24,100 | 1,789,425 | ||||||
Expeditors International of Washington, Inc. | 30,300 | 1,485,912 | ||||||
FedEx Corp. | 43,040 | 6,532,611 | ||||||
United Parcel Service, Inc. (Class B Stock) | 115,600 | 12,452,432 | ||||||
| 22,260,380 | ||||||||
Airlines — 0.5% | ||||||||
Alaska Air Group, Inc. | 18,800 | 1,095,852 | ||||||
American Airlines Group, Inc. | 97,700 | 2,765,887 | ||||||
Delta Air Lines, Inc. | 130,200 | 4,743,186 | ||||||
Southwest Airlines Co. | 106,837 | 4,189,079 | ||||||
United Continental Holdings, Inc.* | 57,700 | 2,368,008 | ||||||
| 15,162,012 | ||||||||
Auto Components — 0.3% | ||||||||
BorgWarner, Inc. | 36,500 | 1,077,480 | ||||||
Delphi Automotive PLC (United Kingdom) | 46,300 | 2,898,380 | ||||||
Goodyear Tire & Rubber Co. (The) | 44,300 | 1,136,738 | ||||||
Johnson Controls, Inc. | 108,300 | 4,793,358 | ||||||
| 9,905,956 | ||||||||
Automobiles — 0.5% | ||||||||
Ford Motor Co. | 649,559 | 8,164,957 | ||||||
General Motors Co. | 235,300 | 6,658,990 | ||||||
Harley-Davidson, Inc.(a) | 30,800 | 1,395,240 | ||||||
| 16,219,187 | ||||||||
Banks — 5.1% | ||||||||
Bank of America Corp. | 1,727,082 | 22,918,378 | ||||||
BB&T Corp. | 136,100 | 4,846,521 | ||||||
Citigroup, Inc. | 493,822 | 20,933,115 | ||||||
Citizens Financial Group, Inc. | 88,500 | 1,768,230 | ||||||
Comerica, Inc. | 29,150 | 1,198,939 | ||||||
Fifth Third Bancorp | 130,749 | 2,299,875 | ||||||
Huntington Bancshares, Inc. | 128,975 | 1,153,037 | ||||||
JPMorgan Chase & Co. | 613,545 | 38,125,686 | ||||||
KeyCorp | 135,800 | 1,500,590 | ||||||
M&T Bank Corp. | 26,900 | 3,180,387 | ||||||
People’s United Financial, Inc.(a) | 50,700 | 743,262 | ||||||
PNC Financial Services Group, Inc. (The) | 83,893 | 6,828,051 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Regions Financial Corp. | 214,512 | $ | 1,825,497 | |||||
SunTrust Banks, Inc. | 84,600 | 3,475,368 | ||||||
U.S. Bancorp | 273,381 | 11,025,456 | ||||||
Wells Fargo & Co. | 770,736 | 36,478,935 | ||||||
Zions Bancorporation | 33,800 | 849,394 | ||||||
| 159,150,721 | ||||||||
Beverages — 2.3% | ||||||||
Brown-Forman Corp. (Class B Stock) | 17,050 | 1,700,908 | ||||||
Coca-Cola Co. (The) | 650,450 | 29,484,899 | ||||||
Constellation Brands, Inc. (Class A Stock) | 29,100 | 4,813,140 | ||||||
Dr. Pepper Snapple Group, Inc. | 31,800 | 3,072,834 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 30,500 | 3,084,465 | ||||||
Monster Beverage Corp.* | 23,800 | 3,824,898 | ||||||
PepsiCo, Inc. | 242,014 | 25,638,963 | ||||||
| 71,620,107 | ||||||||
Biotechnology — 2.8% | ||||||||
AbbVie, Inc. | 269,000 | 16,653,790 | ||||||
Alexion Pharmaceuticals, Inc.* | 37,800 | 4,413,528 | ||||||
Amgen, Inc. | 125,994 | 19,169,987 | ||||||
Biogen, Inc.* | 36,775 | 8,892,931 | ||||||
Celgene Corp.* | 130,900 | 12,910,667 | ||||||
Gilead Sciences, Inc. | 225,000 | 18,769,500 | ||||||
Regeneron Pharmaceuticals, Inc.* | 13,100 | 4,574,913 | ||||||
Vertex Pharmaceuticals, Inc.* | 41,200 | 3,544,024 | ||||||
| 88,929,340 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 16,633 | 1,154,829 | ||||||
Fortune Brands Home & Security, Inc. | 19,700 | 1,142,009 | ||||||
Masco Corp. | 55,400 | 1,714,076 | ||||||
| 4,010,914 | ||||||||
Capital Markets — 1.7% | ||||||||
Affiliated Managers Group, Inc.* | 9,300 | 1,309,161 | ||||||
Ameriprise Financial, Inc. | 28,300 | 2,542,755 | ||||||
Bank of New York Mellon Corp. (The) | 179,989 | 6,992,573 | ||||||
BlackRock, Inc. | 21,050 | 7,210,256 | ||||||
Charles Schwab Corp. (The) | 200,900 | 5,084,779 | ||||||
E*TRADE Financial Corp.* | 47,310 | 1,111,312 | ||||||
Franklin Resources, Inc. | 63,400 | 2,115,658 | ||||||
Goldman Sachs Group, Inc. (The) | 65,800 | 9,776,564 | ||||||
Invesco Ltd. | 70,600 | 1,803,124 | ||||||
Legg Mason, Inc. | 18,300 | 539,667 | ||||||
Morgan Stanley | 253,210 | 6,578,396 | ||||||
Northern Trust Corp. | 36,100 | 2,391,986 | ||||||
State Street Corp. | 66,825 | 3,603,204 | ||||||
T. Rowe Price Group, Inc. | 41,500 | 3,028,255 | ||||||
| 54,087,690 | ||||||||
Chemicals — 1.9% | ||||||||
Air Products & Chemicals, Inc. | 32,500 | 4,616,300 | ||||||
CF Industries Holdings, Inc. | 39,100 | 942,310 | ||||||
Dow Chemical Co. (The) | 187,011 | 9,296,317 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
E.I. du Pont de Nemours & Co. | 145,991 | $ | 9,460,217 | |||||
Eastman Chemical Co. | 24,700 | 1,677,130 | ||||||
Ecolab, Inc. | 44,600 | 5,289,560 | ||||||
FMC Corp. | 22,500 | 1,041,975 | ||||||
International Flavors & Fragrances, Inc.(a) | 13,300 | 1,676,731 | ||||||
LyondellBasell Industries NV (Class A Stock) | 58,000 | 4,316,360 | ||||||
Monsanto Co. | 72,496 | 7,496,811 | ||||||
Mosaic Co. (The) | 56,200 | 1,471,316 | ||||||
PPG Industries, Inc. | 44,700 | 4,655,505 | ||||||
Praxair, Inc. | 47,800 | 5,372,242 | ||||||
Sherwin-Williams Co. (The) | 13,300 | 3,905,811 | ||||||
| 61,218,585 | ||||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp. | 15,000 | 1,471,950 | ||||||
Pitney Bowes, Inc. | 32,200 | 573,160 | ||||||
Republic Services, Inc. | 40,535 | 2,079,851 | ||||||
Stericycle, Inc.* | 14,500 | 1,509,740 | ||||||
Tyco International PLC | 70,900 | 3,020,340 | ||||||
Waste Management, Inc. | 69,630 | 4,614,380 | ||||||
| 13,269,421 | ||||||||
Communications Equipment — 1.0% | ||||||||
Cisco Systems, Inc. | 841,575 | 24,144,787 | ||||||
F5 Networks, Inc.* | 11,800 | 1,343,312 | ||||||
Harris Corp. | 20,900 | 1,743,896 | ||||||
Juniper Networks, Inc. | 60,000 | 1,349,400 | ||||||
Motorola Solutions, Inc. | 26,527 | 1,749,986 | ||||||
| 30,331,381 | ||||||||
Construction & Engineering — 0.1% | ||||||||
Fluor Corp. | 23,700 | 1,167,936 | ||||||
Jacobs Engineering Group, Inc.* | 20,900 | 1,041,029 | ||||||
Quanta Services, Inc.* | 26,200 | 605,744 | ||||||
| 2,814,709 | ||||||||
Construction Materials — 0.2% | ||||||||
Martin Marietta Materials, Inc. | 10,800 | 2,073,600 | ||||||
Vulcan Materials Co. | 22,400 | 2,696,064 | ||||||
| 4,769,664 | ||||||||
Consumer Finance — 0.7% | ||||||||
American Express Co. | 136,500 | 8,293,740 | ||||||
Capital One Financial Corp. | 88,369 | 5,612,315 | ||||||
Discover Financial Services | 69,405 | 3,719,414 | ||||||
Navient Corp. | 57,400 | 685,930 | ||||||
Synchrony Financial* | 139,830 | 3,534,903 | ||||||
| 21,846,302 | ||||||||
Containers & Packaging — 0.3% | ||||||||
Avery Dennison Corp. | 15,000 | 1,121,250 | ||||||
Ball Corp.(a) | 22,600 | 1,633,754 | ||||||
International Paper Co. | 69,667 | 2,952,488 | ||||||
Owens-Illinois, Inc.* | 26,500 | 477,265 | ||||||
Sealed Air Corp. | 33,420 | 1,536,317 | ||||||
WestRock Co. | 42,761 | 1,662,120 | ||||||
| 9,383,194 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 25,025 | $ | 2,533,781 | |||||
LKQ Corp.* | 46,000 | 1,458,200 | ||||||
| 3,991,981 | ||||||||
Diversified Consumer Services | ||||||||
H&R Block, Inc.(a) | 39,700 | 913,100 | ||||||
Diversified Financial Services — 2.1% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 312,500 | 45,246,875 | ||||||
CME Group, Inc. | 56,700 | 5,522,580 | ||||||
Intercontinental Exchange, Inc. | 19,998 | 5,118,688 | ||||||
Leucadia National Corp. | 54,500 | 944,485 | ||||||
Moody’s Corp. | 28,420 | 2,663,238 | ||||||
Nasdaq, Inc. | 19,600 | 1,267,532 | ||||||
S&P Global, Inc. | 44,300 | 4,751,618 | ||||||
| 65,515,016 | ||||||||
Diversified Telecommunication Services — 2.8% |
| |||||||
AT&T, Inc. | 1,026,635 | 44,360,898 | ||||||
CenturyLink, Inc. | 92,085 | 2,671,386 | ||||||
Frontier Communications Corp. | 191,916 | 948,065 | ||||||
Level 3 Communications, Inc.* | 48,400 | 2,492,116 | ||||||
Verizon Communications, Inc. | 681,038 | 38,029,162 | ||||||
| 88,501,627 | ||||||||
Electric Utilities — 2.1% | ||||||||
American Electric Power Co., Inc. | 82,340 | 5,771,211 | ||||||
Duke Energy Corp. | 115,048 | 9,869,968 | ||||||
Edison International | 54,700 | 4,248,549 | ||||||
Entergy Corp. | 30,200 | 2,456,770 | ||||||
Eversource Energy | 53,200 | 3,186,680 | ||||||
Exelon Corp. | 154,173 | 5,605,730 | ||||||
FirstEnergy Corp. | 70,980 | 2,477,912 | ||||||
NextEra Energy, Inc. | 76,775 | 10,011,460 | ||||||
PG&E Corp. | 82,300 | 5,260,616 | ||||||
Pinnacle West Capital Corp. | 19,000 | 1,540,140 | ||||||
PPL Corp. | 112,600 | 4,250,650 | ||||||
Southern Co. (The) | 152,400 | 8,173,212 | ||||||
Xcel Energy, Inc. | 85,095 | 3,810,554 | ||||||
| 66,663,452 | ||||||||
Electrical Equipment — 0.5% | ||||||||
Acuity Brands, Inc. | 6,600 | 1,636,536 | ||||||
AMETEK, Inc. | 39,500 | 1,826,085 | ||||||
Eaton Corp. PLC | 76,861 | 4,590,908 | ||||||
Emerson Electric Co.(a) | 107,700 | 5,617,632 | ||||||
Rockwell Automation, Inc. | 22,100 | 2,537,522 | ||||||
| 16,208,683 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp. (Class A Stock) | 51,800 | 2,969,694 | ||||||
Corning, Inc. | 183,400 | 3,756,032 | ||||||
FLIR Systems, Inc. | 23,000 | 711,850 | ||||||
TE Connectivity Ltd. (Switzerland) | 61,000 | 3,483,710 | ||||||
| 10,921,286 | ||||||||
Energy Equipment & Services — 1.1% |
| |||||||
Baker Hughes, Inc. | 73,148 | 3,301,169 | ||||||
Diamond Offshore Drilling, Inc. | 11,900 | 289,527 | ||||||
FMC Technologies, Inc.* | 37,900 | 1,010,793 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Energy Equipment & Services (continued) |
| |||||||
Halliburton Co. | 143,500 | $ | 6,499,115 | |||||
Helmerich & Payne, Inc. | 18,100 | 1,215,053 | ||||||
National Oilwell Varco, Inc. | 63,100 | 2,123,315 | ||||||
Schlumberger Ltd. | 232,098 | 18,354,310 | ||||||
Transocean Ltd. | 56,000 | 665,840 | ||||||
| 33,459,122 | ||||||||
Food & Staples Retailing — 2.3% | ||||||||
Costco Wholesale Corp. | 73,322 | 11,514,487 | ||||||
CVS Health Corp. | 181,638 | 17,390,022 | ||||||
Kroger Co. (The) | 159,500 | 5,868,005 | ||||||
Sysco Corp. | 88,000 | 4,465,120 | ||||||
Wal-Mart Stores, Inc. | 257,800 | 18,824,556 | ||||||
Walgreens Boots Alliance, Inc. | 144,500 | 12,032,515 | ||||||
Whole Foods Market, Inc. | 54,400 | 1,741,888 | ||||||
| 71,836,593 | ||||||||
Food Products — 1.8% | ||||||||
Archer-Daniels-Midland Co. | 99,538 | 4,269,185 | ||||||
Campbell Soup Co. | 30,100 | 2,002,553 | ||||||
ConAgra Foods, Inc. | 72,600 | 3,471,006 | ||||||
General Mills, Inc. | 99,400 | 7,089,208 | ||||||
Hershey Co. (The) | 24,100 | 2,735,109 | ||||||
Hormel Foods Corp. | 45,400 | 1,661,640 | ||||||
J.M. Smucker Co. (The) | 20,100 | 3,063,441 | ||||||
Kellogg Co. | 42,300 | 3,453,795 | ||||||
Kraft Heinz Co. (The) | 99,337 | 8,789,338 | ||||||
McCormick & Co., Inc. (Non-Voting Shares) | 19,500 | 2,080,065 | ||||||
Mead Johnson Nutrition Co. | 31,193 | 2,830,765 | ||||||
Mondelez International, Inc. (Class A Stock) | 262,211 | 11,933,222 | ||||||
Tyson Foods, Inc. (Class A Stock) | 49,600 | 3,312,784 | ||||||
| 56,692,111 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 20,337 | 1,341,632 | ||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
Abbott Laboratories | 246,950 | 9,707,604 | ||||||
Baxter International, Inc. | 91,700 | 4,146,674 | ||||||
Becton, Dickinson & Co. | 35,354 | 5,995,685 | ||||||
Boston Scientific Corp.* | 225,499 | 5,269,912 | ||||||
C.R. Bard, Inc. | 12,500 | 2,939,500 | ||||||
DENTSPLY SIRONA, Inc. | 38,500 | 2,388,540 | ||||||
Edwards Lifesciences Corp.* | 36,200 | 3,610,226 | ||||||
Hologic, Inc.* | 41,400 | 1,432,440 | ||||||
Intuitive Surgical, Inc.* | 6,290 | 4,160,269 | ||||||
Medtronic PLC | 235,228 | 20,410,733 | ||||||
St. Jude Medical, Inc. | 47,400 | 3,697,200 | ||||||
Stryker Corp. | 52,500 | 6,291,075 | ||||||
Varian Medical Systems, Inc.* | 15,800 | 1,299,234 | ||||||
Zimmer Biomet Holdings, Inc. | 31,386 | 3,778,247 | ||||||
| 75,127,339 | ||||||||
Health Care Providers & Services — 2.7% |
| |||||||
Aetna, Inc. | 58,457 | 7,139,353 | ||||||
AmerisourceBergen Corp. | 32,100 | 2,546,172 | ||||||
Anthem, Inc. | 43,800 | 5,752,692 | ||||||
Cardinal Health, Inc. | 55,175 | 4,304,202 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
Centene Corp.* | 28,600 | $ | 2,041,182 | |||||
Cigna Corp. | 42,800 | 5,477,972 | ||||||
DaVita HealthCare Partners, Inc.* | 28,200 | 2,180,424 | ||||||
Express Scripts Holding Co.* | 106,626 | 8,082,251 | ||||||
HCA Holdings, Inc.* | 51,200 | 3,942,912 | ||||||
Henry Schein, Inc.* | 13,800 | 2,439,840 | ||||||
Humana, Inc. | 24,900 | 4,479,012 | ||||||
Laboratory Corp. of America Holdings* | 17,000 | 2,214,590 | ||||||
McKesson Corp. | 38,307 | 7,150,001 | ||||||
Patterson Cos., Inc. | 14,200 | 680,038 | ||||||
Quest Diagnostics, Inc. | 23,800 | 1,937,558 | ||||||
UnitedHealth Group, Inc. | 159,300 | 22,493,160 | ||||||
Universal Health Services, Inc. (Class B Stock) | 15,100 | 2,024,910 | ||||||
| 84,886,269 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 51,200 | 3,000,320 | ||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
Carnival Corp. | 75,500 | 3,337,100 | ||||||
Chipotle Mexican Grill, Inc.* | 5,120 | 2,062,131 | ||||||
Darden Restaurants, Inc. | 19,250 | 1,219,295 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 31,603 | 2,100,335 | ||||||
McDonald’s Corp. | 148,000 | 17,810,320 | ||||||
Royal Caribbean Cruises Ltd.(a) | 28,800 | 1,933,920 | ||||||
Starbucks Corp. | 246,500 | 14,080,080 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 28,400 | 2,100,180 | ||||||
Wyndham Worldwide Corp. | 19,463 | 1,386,350 | ||||||
Wynn Resorts Ltd. | 12,900 | 1,169,256 | ||||||
Yum! Brands, Inc. | 68,200 | 5,655,144 | ||||||
| 52,854,111 | ||||||||
Household Durables — 0.5% | ||||||||
D.R. Horton, Inc. | 55,000 | 1,731,400 | ||||||
Garmin Ltd. (Switzerland) | 19,300 | 818,706 | ||||||
Harman International Industries, Inc. | 11,700 | 840,294 | ||||||
Leggett & Platt, Inc. | 22,700 | 1,160,197 | ||||||
Lennar Corp. (Class A Stock) | 30,100 | 1,387,610 | ||||||
Mohawk Industries, Inc.* | 10,700 | 2,030,432 | ||||||
Newell Rubbermaid, Inc. | 74,249 | 3,606,274 | ||||||
PulteGroup, Inc. | 52,585 | 1,024,882 | ||||||
Whirlpool Corp. | 13,007 | 2,167,486 | ||||||
| 14,767,281 | ||||||||
Household Products — 2.0% | ||||||||
Church & Dwight Co., Inc. | 22,000 | 2,263,580 | ||||||
Clorox Co. (The) | 21,700 | 3,003,063 | ||||||
Colgate-Palmolive Co. | 149,500 | 10,943,400 | ||||||
Kimberly-Clark Corp. | 60,488 | 8,315,890 | ||||||
Procter & Gamble Co. (The) | 443,406 | 37,543,186 | ||||||
| 62,069,119 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 110,400 | 1,377,792 | ||||||
NRG Energy, Inc. | 51,300 | 768,987 | ||||||
| 2,146,779 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Industrial Conglomerates — 2.5% | ||||||||
3M Co. | 101,200 | $ | 17,722,144 | |||||
Danaher Corp. | 100,000 | 10,100,000 | ||||||
General Electric Co. | 1,540,047 | 48,480,680 | ||||||
Roper Technologies, Inc. | 16,900 | 2,882,464 | ||||||
| 79,185,288 | ||||||||
Insurance — 2.4% | ||||||||
Aflac, Inc. | 70,300 | 5,072,848 | ||||||
Allstate Corp. (The) | 63,888 | 4,468,966 | ||||||
American International Group, Inc. | 187,829 | 9,934,276 | ||||||
Aon PLC | 45,225 | 4,939,927 | ||||||
Arthur J. Gallagher & Co. | 25,600 | 1,218,560 | ||||||
Assurant, Inc. | 10,800 | 932,148 | ||||||
Chubb Ltd. | 77,090 | 10,076,434 | ||||||
Cincinnati Financial Corp. | 25,228 | 1,889,325 | ||||||
Hartford Financial Services Group, Inc. (The) | 66,400 | 2,946,832 | ||||||
Lincoln National Corp. | 40,163 | 1,557,119 | ||||||
Loews Corp. | 44,626 | 1,833,682 | ||||||
Marsh & McLennan Cos., Inc. | 87,500 | 5,990,250 | ||||||
MetLife, Inc. | 183,600 | 7,312,788 | ||||||
Principal Financial Group, Inc. | 46,000 | 1,891,060 | ||||||
Progressive Corp. (The) | 98,000 | 3,283,000 | ||||||
Torchmark Corp. | 18,875 | 1,166,852 | ||||||
Travelers Cos., Inc. (The) | 49,398 | 5,880,338 | ||||||
Unum Group | 40,956 | 1,301,991 | ||||||
Willis Towers Watson PLC | 22,000 | 2,734,820 | ||||||
XL Group PLC (Ireland) | 48,900 | 1,628,859 | ||||||
| 76,060,075 | ||||||||
Internet & Catalog Retail — 2.1% | ||||||||
Amazon.com, Inc.* | 64,500 | 46,157,490 | ||||||
Expedia, Inc. | 19,800 | 2,104,740 | ||||||
Netflix, Inc.* | 71,690 | 6,558,201 | ||||||
Priceline Group, Inc. (The)* | 8,360 | 10,436,708 | ||||||
TripAdvisor, Inc.* | 19,400 | 1,247,420 | ||||||
| 66,504,559 | ||||||||
Internet Software & Services — 4.0% | ||||||||
Akamai Technologies, Inc.* | 29,400 | 1,644,342 | ||||||
Alphabet, Inc. (Class A Stock)* | 48,965 | 34,448,346 | ||||||
Alphabet, Inc. (Class C Stock)* | 49,570 | 34,307,397 | ||||||
eBay, Inc.* | 183,500 | 4,295,735 | ||||||
Facebook, Inc. (Class A Stock)* | 385,000 | 43,997,800 | ||||||
VeriSign, Inc.* | 16,400 | 1,417,944 | ||||||
Yahoo!, Inc.* | 145,700 | 5,472,492 | ||||||
| 125,584,056 | ||||||||
IT Services — 3.6% | ||||||||
Accenture PLC (Class A Stock) | 104,800 | 11,872,792 | ||||||
Alliance Data Systems Corp.* | 9,900 | 1,939,608 | ||||||
Automatic Data Processing, Inc. | 76,600 | 7,037,242 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 102,000 | 5,838,480 | ||||||
CSRA, Inc. | 22,600 | 529,518 | ||||||
Fidelity National Information Services, Inc. | 46,500 | 3,426,120 | ||||||
Fiserv, Inc.* | 37,300 | 4,055,629 | ||||||
Global Payments, Inc. | 23,700 | 1,691,706 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
International Business Machines Corp. | 147,725 | $ | 22,421,701 | |||||
MasterCard, Inc. (Class A Stock) | 163,700 | 14,415,422 | ||||||
Paychex, Inc. | 53,850 | 3,204,075 | ||||||
PayPal Holdings, Inc.* | 183,400 | 6,695,934 | ||||||
Teradata Corp.* | 23,000 | 576,610 | ||||||
Total System Services, Inc. | 28,293 | 1,502,641 | ||||||
Visa, Inc. (Class A Stock)(a) | 318,500 | 23,623,145 | ||||||
Western Union Co. (The) | 83,504 | 1,601,607 | ||||||
Xerox Corp. | 158,711 | 1,506,167 | ||||||
| 111,938,397 | ||||||||
Leisure Products — 0.1% | ||||||||
Hasbro, Inc. | 19,150 | 1,608,409 | ||||||
Mattel, Inc. | 57,181 | 1,789,193 | ||||||
| 3,397,602 | ||||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 54,782 | 2,430,129 | ||||||
Illumina, Inc.* | 23,800 | 3,341,044 | ||||||
PerkinElmer, Inc. | 18,600 | 975,012 | ||||||
Thermo Fisher Scientific, Inc. | 66,400 | 9,811,264 | ||||||
Waters Corp.* | 13,700 | 1,926,905 | ||||||
| 18,484,354 | ||||||||
Machinery — 1.2% | ||||||||
Caterpillar, Inc.(a) | 97,600 | 7,399,056 | ||||||
Cummins, Inc. | 27,200 | 3,058,368 | ||||||
Deere & Co.(a) | 50,150 | 4,064,156 | ||||||
Dover Corp. | 26,400 | 1,830,048 | ||||||
Flowserve Corp. | 21,800 | 984,706 | ||||||
Illinois Tool Works, Inc. | 54,875 | 5,715,780 | ||||||
Ingersoll-Rand PLC | 43,100 | 2,744,608 | ||||||
PACCAR, Inc. | 59,328 | 3,077,343 | ||||||
Parker-Hannifin Corp. | 22,787 | 2,462,135 | ||||||
Pentair PLC (United Kingdom)(a) | 30,707 | 1,789,911 | ||||||
Snap-on, Inc. | 10,000 | 1,578,200 | ||||||
Stanley Black & Decker, Inc. | 25,135 | 2,795,515 | ||||||
Xylem, Inc.(a) | 30,400 | 1,357,360 | ||||||
| 38,857,186 | ||||||||
Media — 2.6% | ||||||||
CBS Corp. (Class B Non-Voting Stock) | 70,768 | 3,852,610 | ||||||
Comcast Corp. (Class A Stock) | 405,846 | 26,457,101 | ||||||
Discovery Communications, Inc. (Class A Stock)* | 24,500 | 618,135 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 39,900 | 951,615 | ||||||
Interpublic Group of Cos., Inc. (The) | 67,762 | 1,565,302 | ||||||
News Corp. (Class A Stock) | 63,025 | 715,334 | ||||||
News Corp. (Class B Stock)(a) | 18,100 | 211,227 | ||||||
Omnicom Group, Inc. | 40,100 | 3,267,749 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock) | 16,400 | 1,021,228 | ||||||
TEGNA, Inc. | 37,000 | 857,290 | ||||||
Time Warner, Inc. | 132,315 | 9,730,445 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 186,700 | 5,050,235 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) | ||||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 72,300 | $ | 1,970,175 | |||||
Viacom, Inc. (Class B Stock) | 57,843 | 2,398,749 | ||||||
Walt Disney Co. (The) | 249,976 | 24,452,652 | ||||||
| 83,119,847 | ||||||||
Metals & Mining — 0.3% | ||||||||
Alcoa, Inc. | 219,576 | 2,035,470 | ||||||
Freeport-McMoRan, Inc. | 203,812 | 2,270,466 | ||||||
Newmont Mining Corp. | 88,803 | 3,473,973 | ||||||
Nucor Corp. | 53,600 | 2,648,376 | ||||||
| 10,428,285 | ||||||||
Multi-Utilities — 1.2% | ||||||||
Ameren Corp. | 40,900 | 2,191,422 | ||||||
CenterPoint Energy, Inc. | 70,910 | 1,701,840 | ||||||
CMS Energy Corp. | 46,600 | 2,137,076 | ||||||
Consolidated Edison, Inc. | 49,200 | 3,957,648 | ||||||
Dominion Resources, Inc.(a) | 99,884 | 7,783,960 | ||||||
DTE Energy Co. | 30,100 | 2,983,512 | ||||||
NiSource, Inc. | 52,900 | 1,402,908 | ||||||
Public Service Enterprise Group, Inc. | 84,900 | 3,957,189 | ||||||
SCANA Corp. | 24,300 | 1,838,538 | ||||||
Sempra Energy | 39,554 | 4,509,947 | ||||||
TECO Energy, Inc. | 39,400 | 1,089,016 | ||||||
WEC Energy Group, Inc. | 52,976 | 3,459,333 | ||||||
| 37,012,389 | ||||||||
Multiline Retail — 0.6% | ||||||||
Dollar General Corp. | 49,100 | 4,615,400 | ||||||
Dollar Tree, Inc.* | 39,447 | 3,717,485 | ||||||
Kohl’s Corp.(a) | 32,200 | 1,221,024 | ||||||
Macy’s, Inc. | 52,920 | 1,778,641 | ||||||
Nordstrom, Inc.(a) | 21,500 | 818,075 | ||||||
Target Corp. | 99,568 | 6,951,838 | ||||||
| 19,102,463 | ||||||||
Oil, Gas & Consumable Fuels — 6.1% |
| |||||||
Anadarko Petroleum Corp. | 85,226 | 4,538,284 | ||||||
Apache Corp.(a) | 63,350 | 3,526,695 | ||||||
Cabot Oil & Gas Corp. | 72,400 | 1,863,576 | ||||||
Chesapeake Energy Corp.* | 77,600 | 332,128 | ||||||
Chevron Corp. | 314,142 | 32,931,506 | ||||||
Cimarex Energy Co. | 16,000 | 1,909,120 | ||||||
Columbia Pipeline Group, Inc. | 65,200 | 1,661,948 | ||||||
Concho Resources, Inc.* | 20,900 | 2,492,743 | ||||||
ConocoPhillips | 207,029 | 9,026,464 | ||||||
Devon Energy Corp. | 81,500 | 2,954,375 | ||||||
EOG Resources, Inc. | 92,200 | 7,691,324 | ||||||
EQT Corp. | 28,400 | 2,199,012 | ||||||
Exxon Mobil Corp. | 692,904 | 64,952,821 | ||||||
Hess Corp. | 43,875 | 2,636,888 | ||||||
Kinder Morgan, Inc. | 306,743 | 5,742,229 | ||||||
Marathon Oil Corp. | 134,694 | 2,021,757 | ||||||
Marathon Petroleum Corp. | 89,394 | 3,393,396 | ||||||
Murphy Oil Corp.(a) | 27,700 | 879,475 | ||||||
Newfield Exploration Co.* | 30,100 | 1,329,818 | ||||||
Noble Energy, Inc. | 71,400 | 2,561,118 | ||||||
Occidental Petroleum Corp. | 127,700 | 9,649,012 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
ONEOK, Inc.(a) | 35,340 | $ | 1,676,883 | |||||
Phillips 66 | 78,364 | 6,217,400 | ||||||
Pioneer Natural Resources Co. | 27,100 | 4,097,791 | ||||||
Range Resources Corp. | 27,300 | 1,177,722 | ||||||
Southwestern Energy Co.*(a) | 63,200 | 795,056 | ||||||
Spectra Energy Corp. | 112,542 | 4,122,413 | ||||||
Tesoro Corp. | 20,000 | 1,498,400 | ||||||
Valero Energy Corp. | 79,800 | 4,069,800 | ||||||
Williams Cos., Inc. (The) | 114,400 | 2,474,472 | ||||||
| 190,423,626 | ||||||||
Personal Products — 0.1% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 37,400 | 3,404,148 | ||||||
Pharmaceuticals — 5.6% | ||||||||
Allergan PLC* | 65,906 | 15,230,217 | ||||||
Bristol-Myers Squibb Co. | 279,740 | 20,574,877 | ||||||
Eli Lilly & Co. | 163,000 | 12,836,250 | ||||||
Endo International PLC* | 34,900 | 544,091 | ||||||
Johnson & Johnson | 460,996 | 55,918,815 | ||||||
Mallinckrodt PLC* | 19,700 | 1,197,366 | ||||||
Merck & Co., Inc. | 464,003 | 26,731,213 | ||||||
Mylan NV* | 69,300 | 2,996,532 | ||||||
Perrigo Co. PLC | 24,600 | 2,230,482 | ||||||
Pfizer, Inc. | 1,010,423 | 35,576,994 | ||||||
Zoetis, Inc. | 76,100 | 3,611,706 | ||||||
| 177,448,543 | ||||||||
Professional Services — 0.3% | ||||||||
Dun & Bradstreet Corp. (The) | 6,200 | 755,408 | ||||||
Equifax, Inc. | 20,200 | 2,593,680 | ||||||
Nielsen Holdings PLC | 60,300 | 3,133,791 | ||||||
Robert Half International, Inc. | 22,000 | 839,520 | ||||||
Verisk Analytics, Inc.* | 24,200 | 1,962,136 | ||||||
| 9,284,535 | ||||||||
Real Estate Investment Trusts (REITs) — 3.1% |
| |||||||
American Tower Corp. | 71,000 | 8,066,310 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 26,274 | 1,160,260 | ||||||
AvalonBay Communities, Inc. | 23,018 | 4,152,217 | ||||||
Boston Properties, Inc. | 25,800 | 3,403,020 | ||||||
Crown Castle International Corp. | 56,000 | 5,680,080 | ||||||
Digital Realty Trust, Inc. | 22,800 | 2,484,972 | ||||||
Equinix, Inc. | 11,555 | 4,480,220 | ||||||
Equity Residential | 61,100 | 4,208,568 | ||||||
Essex Property Trust, Inc. | 11,100 | 2,531,799 | ||||||
Extra Space Storage, Inc. | 20,700 | 1,915,578 | ||||||
Federal Realty Investment Trust | 10,700 | 1,771,385 | ||||||
General Growth Properties, Inc. | 97,600 | 2,910,432 | ||||||
HCP, Inc. | 78,000 | 2,759,640 | ||||||
Host Hotels & Resorts, Inc. | 124,626 | 2,020,188 | ||||||
Iron Mountain, Inc. | 37,230 | 1,482,871 | ||||||
Kimco Realty Corp. | 69,600 | 2,184,048 | ||||||
Macerich Co. (The) | 21,200 | 1,810,268 | ||||||
Prologis, Inc. | 87,928 | 4,311,989 | ||||||
Public Storage | 24,700 | 6,313,073 | ||||||
Realty Income Corp. | 41,900 | 2,906,184 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Simon Property Group, Inc. | 51,761 | $ | 11,226,961 | |||||
SL Green Realty Corp. | 17,100 | 1,820,637 | ||||||
UDR, Inc. | 40,900 | 1,510,028 | ||||||
Ventas, Inc. | 55,904 | 4,070,929 | ||||||
Vornado Realty Trust(a) | 29,757 | 2,979,271 | ||||||
Welltower, Inc. | 59,400 | 4,524,498 | ||||||
Weyerhaeuser Co. | 124,630 | 3,710,235 | ||||||
| 96,395,661 | ||||||||
Real Estate Management & Development |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 48,800 | 1,292,224 | ||||||
Road & Rail — 0.8% | ||||||||
CSX Corp. | 161,272 | 4,205,974 | ||||||
J.B. Hunt Transport Services, Inc. | 14,900 | 1,205,857 | ||||||
Kansas City Southern | 18,500 | 1,666,665 | ||||||
Norfolk Southern Corp. | 50,100 | 4,265,013 | ||||||
Ryder System, Inc. | 9,100 | 556,374 | ||||||
Union Pacific Corp. | 141,300 | 12,328,425 | ||||||
| 24,228,308 | ||||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
Analog Devices, Inc. | 51,500 | 2,916,960 | ||||||
Applied Materials, Inc. | 184,800 | 4,429,656 | ||||||
Broadcom Ltd. (Singapore) | 61,860 | 9,613,044 | ||||||
First Solar, Inc.* | 13,200 | 639,936 | ||||||
Intel Corp. | 787,900 | 25,843,120 | ||||||
KLA-Tencor Corp. | 26,300 | 1,926,475 | ||||||
Lam Research Corp. | 26,750 | 2,248,605 | ||||||
Linear Technology Corp. | 40,600 | 1,889,118 | ||||||
Microchip Technology, Inc.(a) | 34,300 | 1,741,068 | ||||||
Micron Technology, Inc.* | 169,300 | 2,329,568 | ||||||
NVIDIA Corp. | 85,850 | 4,035,809 | ||||||
Qorvo, Inc.* | 22,286 | 1,231,524 | ||||||
QUALCOMM, Inc. | 247,550 | 13,261,253 | ||||||
Skyworks Solutions, Inc. | 32,300 | 2,043,944 | ||||||
Texas Instruments, Inc. | 168,600 | 10,562,790 | ||||||
Xilinx, Inc. | 42,300 | 1,951,299 | ||||||
| 86,664,169 | ||||||||
Software — 4.1% | ||||||||
Activision Blizzard, Inc. | 84,600 | 3,352,698 | ||||||
Adobe Systems, Inc.* | 83,675 | 8,015,228 | ||||||
Autodesk, Inc.* | 38,100 | 2,062,734 | ||||||
CA, Inc. | 49,273 | 1,617,633 | ||||||
Citrix Systems, Inc.* | 26,300 | 2,106,367 | ||||||
Electronic Arts, Inc.* | 52,100 | 3,947,096 | ||||||
Intuit, Inc. | 43,000 | 4,799,230 | ||||||
Microsoft Corp. | 1,317,900 | 67,436,943 | ||||||
Oracle Corp. | 523,595 | 21,430,743 | ||||||
Red Hat, Inc.* | 30,900 | 2,243,340 | ||||||
salesforce.com, inc.* | 104,700 | 8,314,227 | ||||||
Symantec Corp. | 103,711 | 2,130,224 | ||||||
| 127,456,463 | ||||||||
Specialty Retail — 2.5% | ||||||||
Advance Auto Parts, Inc. | 12,400 | 2,004,212 | ||||||
AutoNation, Inc.*(a) | 12,989 | 610,223 | ||||||
AutoZone, Inc.* | 5,080 | 4,032,707 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) | ||||||||
Bed Bath & Beyond, Inc. | 28,100 | $ | 1,214,482 | |||||
Best Buy Co., Inc. | 47,225 | 1,445,085 | ||||||
CarMax, Inc.*(a) | 32,800 | 1,608,184 | ||||||
Foot Locker, Inc. | 21,100 | 1,157,546 | ||||||
Gap, Inc. (The)(a) | 37,187 | 789,108 | ||||||
Home Depot, Inc. (The) | 208,969 | 26,683,252 | ||||||
L. Brands, Inc. | 42,696 | 2,866,183 | ||||||
Lowe’s Cos., Inc. | 148,225 | 11,734,973 | ||||||
O’Reilly Automotive, Inc.* | 16,300 | 4,418,930 | ||||||
Ross Stores, Inc. | 68,400 | 3,877,596 | ||||||
Signet Jewelers Ltd. | 13,500 | 1,112,535 | ||||||
Staples, Inc. | 105,000 | 905,100 | ||||||
Tiffany & Co. | 19,000 | 1,152,160 | ||||||
TJX Cos., Inc. (The) | 112,000 | 8,649,760 | ||||||
Tractor Supply Co. | 22,700 | 2,069,786 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 10,300 | 2,509,492 | ||||||
Urban Outfitters, Inc.* | 15,600 | 429,000 | ||||||
| 79,270,314 | ||||||||
Technology Hardware, Storage & Peripherals — 3.5% |
| |||||||
Apple, Inc. | 916,705 | 87,636,998 | ||||||
EMC Corp. | 323,074 | 8,777,920 | ||||||
Hewlett Packard Enterprise Co. | 284,966 | 5,206,329 | ||||||
HP, Inc. | 289,966 | 3,639,073 | ||||||
NetApp, Inc. | 49,000 | 1,204,910 | ||||||
Seagate Technology PLC(a) | 50,400 | 1,227,744 | ||||||
Western Digital Corp. | 46,968 | 2,219,708 | ||||||
| 109,912,682 | ||||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
Coach, Inc. | 46,800 | 1,906,632 | ||||||
Hanesbrands, Inc. | 65,700 | 1,651,041 | ||||||
Michael Kors Holdings Ltd.* | 30,100 | 1,489,348 | ||||||
NIKE, Inc. (Class B Stock) | 223,600 | 12,342,720 | ||||||
PVH Corp. | 13,900 | 1,309,797 | ||||||
Ralph Lauren Corp. | 10,100 | 905,162 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 28,800 | 1,155,744 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 29,003 | 1,055,709 | ||||||
VF Corp. | 57,244 | 3,519,934 | ||||||
| 25,336,087 | ||||||||
Tobacco — 1.8% | ||||||||
Altria Group, Inc. | 327,900 | 22,611,984 | ||||||
Philip Morris International, Inc. | 258,600 | 26,304,792 | ||||||
Reynolds American, Inc. | 138,984 | 7,495,407 | ||||||
| 56,412,183 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 48,600 | 2,157,354 | ||||||
United Rentals, Inc.* | 15,100 | 1,013,210 | ||||||
W.W. Grainger, Inc.(a) | 9,700 | 2,204,325 | ||||||
| 5,374,889 | ||||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 28,900 | 2,442,339 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,041,230,168 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
| SHORT-TERM INVESTMENTS — 5.3% | Shares | Value (Note 2) | ||||||
| AFFILIATED MUTUAL FUND — 5.2% | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 162,702,676 | $ | 162,702,676 | |||||
| Principal Amount (000)# | ||||||||
| U.S. TREASURY OBLIGATION — 0.1% | ||||||||
U.S. Treasury Bills, | 5,000 | 4,997,850 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 167,700,526 | ||||||
TOTAL INVESTMENTS — 102.1% |
| 3,208,930,694 | ||||||
LIABILITIES IN EXCESS OF OTHER |
| (65,676,438 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,143,254,256 | |||||
See the Glossary for abbreviations used in the semiannual 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 $67,708,803; cash collateral of $69,544,664 (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 Ultra Short Bond 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 June 30, 2016:
| Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 40 | S&P 500 E-Mini | Sep. 2016 | $ | 4,132,110 | $ | 4,180,400 | $ | 48,290 | ||||||||||||
| 178 | S&P 500 Index | Sep. 2016 | 92,742,677 | 93,013,900 | 271,223 | |||||||||||||||
| $ | 319,513 | |||||||||||||||||||
| A U.S. Treasury Obligation with a market value of $4,997,850 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2016. |
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 June 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 80,334,112 | $ | — | $ | — | ||||||
Air Freight & Logistics | 22,260,380 | — | — | |||||||||
Airlines | 15,162,012 | — | — | |||||||||
Auto Components | 9,905,956 | — | — | |||||||||
Automobiles | 16,219,187 | — | — | |||||||||
Banks | 159,150,721 | — | — | |||||||||
Beverages | 71,620,107 | — | — | |||||||||
Biotechnology | 88,929,340 | — | — | |||||||||
Building Products | 4,010,914 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Capital Markets | $ | 54,087,690 | $ | — | $ | — | ||||||
Chemicals | 61,218,585 | — | — | |||||||||
Commercial Services & Supplies | 13,269,421 | — | — | |||||||||
Communications Equipment | 30,331,381 | — | — | |||||||||
Construction & Engineering | 2,814,709 | — | — | |||||||||
Construction Materials | 4,769,664 | — | — | |||||||||
Consumer Finance | 21,846,302 | — | — | |||||||||
Containers & Packaging | 9,383,194 | — | — | |||||||||
Distributors | 3,991,981 | — | — | |||||||||
Diversified Consumer Services | 913,100 | — | — | |||||||||
Diversified Financial Services | 65,515,016 | — | — | |||||||||
Diversified Telecommunication Services | 88,501,627 | — | — | |||||||||
Electric Utilities | 66,663,452 | — | — | |||||||||
Electrical Equipment | 16,208,683 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 10,921,286 | — | — | |||||||||
Energy Equipment & Services | 33,459,122 | — | — | |||||||||
Food & Staples Retailing | 71,836,593 | — | — | |||||||||
Food Products | 56,692,111 | — | — | |||||||||
Gas Utilities | 1,341,632 | — | — | |||||||||
Health Care Equipment & Supplies | 75,127,339 | — | — | |||||||||
Health Care Providers & Services | 84,886,269 | — | — | |||||||||
Health Care Technology | 3,000,320 | — | — | |||||||||
Hotels, Restaurants & Leisure | 52,854,111 | — | — | |||||||||
Household Durables | 14,767,281 | — | — | |||||||||
Household Products | 62,069,119 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 2,146,779 | — | — | |||||||||
Industrial Conglomerates | 79,185,288 | — | — | |||||||||
Insurance | 76,060,075 | — | — | |||||||||
Internet & Catalog Retail | 66,504,559 | — | — | |||||||||
Internet Software & Services | 125,584,056 | — | — | |||||||||
IT Services | 111,938,397 | — | — | |||||||||
Leisure Products | 3,397,602 | — | — | |||||||||
Life Sciences Tools & Services | 18,484,354 | — | — | |||||||||
Machinery | 38,857,186 | — | — | |||||||||
Media | 83,119,847 | — | — | |||||||||
Metals & Mining | 10,428,285 | — | — | |||||||||
Multi-Utilities | 37,012,389 | — | — | |||||||||
Multiline Retail | 19,102,463 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 190,423,626 | — | — | |||||||||
Personal Products | 3,404,148 | — | — | |||||||||
Pharmaceuticals | 177,448,543 | — | — | |||||||||
Professional Services | 9,284,535 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 96,395,661 | — | — | |||||||||
Real Estate Management & Development | 1,292,224 | — | — | |||||||||
Road & Rail | 24,228,308 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 86,664,169 | — | — | |||||||||
Software | 127,456,463 | — | — | |||||||||
Specialty Retail | 79,270,314 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 109,912,682 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 25,336,087 | — | — | |||||||||
Tobacco | 56,412,183 | — | — | |||||||||
Trading Companies & Distributors | 5,374,889 | — | — | |||||||||
Water Utilities | 2,442,339 | — | — | |||||||||
Affiliated Mutual Fund | 162,702,676 | — | — | |||||||||
U.S. Treasury Obligation | — | 4,997,850 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 319,513 | — | — | |||||||||
Total | $ | 3,204,252,357 | $ | 4,997,850 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded 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.
A121
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 (unaudited) | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:
Oil, Gas & Consumable Fuels | 6.1 | % | ||
Pharmaceuticals | 5.6 | |||
Affiliated Mutual Fund (including 2.2% of collateral for securities on loan) | 5.2 | |||
Banks | 5.1 | |||
Software | 4.1 | |||
Internet Software & Services | 4.0 | |||
IT Services | 3.6 | |||
Technology Hardware, Storage & Peripherals | 3.5 | |||
Real Estate Investment Trusts (REITs) | 3.1 | |||
Biotechnology | 2.8 | |||
Diversified Telecommunication Services | 2.8 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Health Care Providers & Services | 2.7 | |||
Media | 2.6 | |||
Aerospace & Defense | 2.6 | |||
Specialty Retail | 2.5 | |||
Industrial Conglomerates | 2.5 | |||
Insurance | 2.4 | |||
Health Care Equipment & Supplies | 2.4 | |||
Food & Staples Retailing | 2.3 | |||
Beverages | 2.3 | |||
Electric Utilities | 2.1 | |||
Internet & Catalog Retail | 2.1 | |||
Diversified Financial Services | 2.1 | |||
Household Products | 2.0 | |||
Chemicals | 1.9 | |||
Food Products | 1.8 | |||
Tobacco | 1.8 | |||
Capital Markets | 1.7 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Machinery | 1.2 | |||
Multi-Utilities | 1.2 |
Energy Equipment & Services | 1.1 | % | ||
Communications Equipment | 1.0 | |||
Textiles, Apparel & Luxury Goods | 0.8 | |||
Road & Rail | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Consumer Finance | 0.7 | |||
Multiline Retail | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Automobiles | 0.5 | |||
Electrical Equipment | 0.5 | |||
Airlines | 0.5 | |||
Household Durables | 0.5 | |||
Commercial Services & Supplies | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Metals & Mining | 0.3 | |||
Auto Components | 0.3 | |||
Containers & Packaging | 0.3 | |||
Professional Services | 0.3 | |||
Trading Companies & Distributors | 0.2 | |||
Construction Materials | 0.2 | |||
Building Products | 0.1 | |||
Distributors | 0.1 | |||
Personal Products | 0.1 | |||
Leisure Products | 0.1 | |||
Health Care Technology | 0.1 | |||
Construction & Engineering | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Water Utilities | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
| 102.1 | ||||
Liabilities in excess of other assets | (2.1 | ) | ||
| 100.0 | % | |||
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 June 30, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Due from/to broker — variation margin futures | $ | 319,513 | * | — | $ | — | |||||
| * | 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 six months ended June 30, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 4,273,918 | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (76,900 | ) | |
For the six months ended June 30, 2016, the Fund’s average value at trade date for futures long postions was $91,226,177.
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2016
| ASSETS | ||||
Investments at value, including securities on loan of $67,708,803: | ||||
Unaffiliated investments (cost $1,118,402,270) | $ | 3,046,228,018 | ||
Affiliated investments (cost $162,702,676) | 162,702,676 | |||
Cash | 1,996 | |||
Dividends and interest receivable | 3,538,570 | |||
Receivable for investments sold | 1,483,879 | |||
Due from broker—variation margin futures | 1,088,100 | |||
Receivable for Series shares sold | 12,844 | |||
Tax reclaim receivable | 494 | |||
Prepaid expenses | 3,845 | |||
Total Assets | 3,215,060,422 | |||
| LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 69,544,664 | |||
Management fee payable | 761,736 | |||
Payable for Series shares repurchased | 747,069 | |||
Payable for investments purchased | 558,608 | |||
Accrued expenses and other liabilities | 193,109 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 71,806,166 | |||
| NET ASSETS | $ | 3,143,254,256 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,202,478,656 | ||
Retained earnings | 1,940,775,600 | |||
Net assets, June 30, 2016 | $ | 3,143,254,256 | ||
Net asset value and redemption price per share $3,143,254,256 / 66,720,325 outstanding shares of beneficial interest | $ | 47.11 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2016
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,848) | $ | 32,766,665 | ||
Affiliated income from securities lending, net | 336,437 | |||
Affiliated dividend income | 216,062 | |||
Interest income | 7,574 | |||
Total income | 33,326,738 | |||
| EXPENSES | ||||
Management fee | 5,240,960 | |||
Custodian and accounting fees | 151,000 | |||
Shareholders’ reports | 56,000 | |||
Insurance expenses | 23,000 | |||
Trustees’ fees | 20,000 | |||
Audit fee | 13,000 | |||
Legal fees and expenses | 12,000 | |||
Commitment fee on syndicated credit agreement | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 9,344 | |||
Total expenses | 5,539,304 | |||
Less: Management fee waiver | (748,698 | ) | ||
Net expenses | 4,790,606 | |||
| NET INVESTMENT INCOME (LOSS) | 28,536,132 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 29,563,530 | |||
Futures transactions | 4,273,918 | |||
| 33,837,448 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 59,419,913 | |||
Futures | (76,900 | ) | ||
| 59,343,013 | ||||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 93,180,461 | |||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 121,716,593 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
| Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
Net investment income (loss) | $ | 28,536,132 | $ | 57,514,806 | ||||
Net realized gain (loss) on investment transactions | 33,837,448 | 152,884,259 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 59,343,013 | (187,558,369 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 121,716,593 | 22,840,696 | ||||||
| DISTRIBUTIONS | (210,338,581 | ) | (93,414,310 | ) | ||||
| SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [2,475,449 and 4,544,250 shares, respectively] | 111,612,058 | 225,562,519 | ||||||
Series shares issued in reinvestment of distributions [4,481,009 and 1,896,737 shares, respectively] | 210,338,581 | 93,414,310 | ||||||
Series shares repurchased [2,183,862 and 11,644,330 shares, respectively] | (104,612,110 | ) | (550,998,022 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 217,338,529 | (232,021,193 | ) | |||||
| CAPTIAL CONTRIBUTIONS (Note 4) | 4,458,724 | — | ||||||
| TOTAL INCREASE (DECREASE) | 133,175,265 | (302,594,807 | ) | |||||
| NET ASSETS: | ||||||||
Beginning of period | 3,010,078,991 | 3,312,673,798 | ||||||
End of period | $ | 3,143,254,256 | $ | 3,010,078,991 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| GLOSSARY | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2016 | |||||
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| EUR | Euro | |
| GBP | British Pound | |
| HUF | Hungarian Forint | |
| JPY | Japanese Yen | |
| MXN | Mexican Peso | |
| PLN | Polish Zloty | |
| ZAR | South African Rand |
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 | |
| BABs | Build America Bonds | |
| bps | Basis Points | |
| CLO | Collateralized Loan Obligation | |
| CMBS | Collateralized Mortgage-Backed Security | |
| 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 | |
| LIBOR | London Interbank Offered Rate | |
| MSCI | Morgan Stanley Capital International | |
| MTN | Medium Term Note | |
| OIS | Overnight Index Swap | |
| OTC | Over-the-counter | |
| PIK | Payment-in-Kind | |
| PO | Principal Only | |
| PRFC | Preference Shares | |
| REIT | Real Estate Investment Trust | |
| REMICS | Real Estate Mortgage Investmemt Conduit Security | |
| RSP | Non-Voting Shares | |
| SDR | Sweden Depositary Receipt | |
| 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 | |
| USOIS | United States Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
| 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 (generally, 4:00 PM Eastern time) 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 the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
B1
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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated 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.
Bank loans traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally 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, a 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
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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 a 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 Portfolios. These are insurance-like products that are called Connecticut Avenue Securities by Fannie Mae and Structured Agency Credit Risk by Freddie Mac. Payments 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does 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 Portfolio does 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 (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Participatory notes/Warrants: The Series Fund may gain exposure to securities in certain foreign markets through investments in participatory notes (“P-notes”). The Series Fund may purchase P-notes pending ability to invest directly in a foreign market due to restrictions applicable to foreign investors or other market factors. P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Series Fund must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.
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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, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. 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.
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 the 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 return any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and the 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, the Selling Participant 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 (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Portfolios may also use futures to gain additional market exposure. Should interest rates move unexpectedly, 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. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns
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or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the 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 (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on written options transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments 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 or financial instrument underlying the written option. OTC options also involve the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal 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.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Swap Agreements: Certain Portfolios may enter 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 a 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 the daily changes in valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains (losses) upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statement 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 are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. 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. 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 entered into CDS contracts to provide a measure of protection
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against defaults or 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 Portfolio’s 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 based on 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 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. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Portfolio’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 agreements 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.
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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, 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 June 30, 2016, 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 may 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. The Portfolio holds such warrants and rights 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.
Payment in kind securities: Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay in kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Securities Lending: The Portfolios may lend their 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 ultra short-term bond 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
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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 (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 Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are 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 sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
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 and economic instability or the level of the governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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 directly to the respective class) and unrealized and realized gains (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.
REITs: Certain Portfolios invest in real estate investment trusts, (“REITs”), which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. These estimates are adjusted periodically when the actual source of distributions is disclosed by the REITs.
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.
Withholding taxes on foreign dividends and interest and foreign capital gains tax are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. 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 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 those 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 Prudential Fixed Income (“PFI”), a business unit of PGIM, Inc., Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”),
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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.
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 through June 30, 2016 | Management Fee effective July 1, 2016 | Effective Management Fee | |||||
Conservative Balanced Portfolio | 0.55% | 0.55% | 0.55 | % | ||||
Diversified Bond Portfolio | 0.40 | 0.40 | 0.40 | |||||
Equity Portfolio | 0.45 | 0.45 | 0.45 | |||||
Flexible Managed Portfolio | 0.60 | 0.60 | 0.60 | |||||
Global Portfolio | 0.75 | 0.75 | 0.74 | ** | ||||
Government Income Portfolio | 0.40 | 0.40 | 0.40 | |||||
Stock Index Portfolio | 0.35% up to $4 billion 0.30% over $4 billion | 0.30% up to $4 billion 0.25% over $4 billion | 0.30 | %* | ||||
| * | 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. |
| ** | PI has contractually agreed, through June 30, 2017, 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. |
At June 30, 2016, 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 | PFI, QMA | |
Diversified Bond Portfolio | PFI | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PFI, QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
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 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, Inc., 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 (loss) on investment
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transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 120,710 | ||
Global Portfolio | 18,351 | |||
| 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, Inc. 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”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. was compensated as follows for these services:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 1,586 | ||
Diversified Bond Portfolio | 974 | |||
Equity Portfolio | 19,858 | |||
Flexible Managed Portfolio | 3,536 | |||
Global Portfolio | 2,073 | |||
In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
The SEC Staff and other regulators are currently reviewing the matter.
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 Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.
The following Portfolios are reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2015 Withholding Tax | 2016 Withholding Tax | ||||||
Conservative Balanced Portfolio | $ | 44,001 | * | $ | 4,550 | |||
Flexible Managed Portfolio | 53,512 | * | 6,800 | |||||
Global Portfolio | 118,399 | * | 8,165 | |||||
| * | Includes amounts from December 2015 reimbursed in 2016. |
B10
| Note 5: | Portfolio Securities |
The aggregate cost of purchases and the proceeds from sales of portfolio securities (excluding government securities and short-term issues) for the six months ended June 30, 2016 were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 2,085,212,904 | $ | 2,009,702,455 | ||||
Diversified Bond Portfolio | 199,073,469 | 137,903,650 | ||||||
Equity Portfolio | 522,126,365 | 586,471,005 | ||||||
Flexible Managed Portfolio | 3,634,022,230 | 3,489,797,192 | ||||||
Global Portfolio | 147,488,325 | 205,541,829 | ||||||
Government Income Portfolio | 952,455,030 | 926,645,390 | ||||||
Stock Index Portfolio | 120,343,633 | 87,695,625 | ||||||
Options written transactions, during the six months ended June 30, 2016, were as follows:
| Conservative Balanced Portfolio | Diversified Bond Portfolio | |||||||||||||||
| Notional Amount (000) | Premiums | Notional Amount (000) | Premiums | |||||||||||||
Balance at beginning of period | 736,300 | $ | 178,078 | 362,120 | $ | 818,728 | ||||||||||
Written options | 276,000 | 279,253 | 867,390 | 1,015,393 | ||||||||||||
Expired options | (856,400 | ) | (150,037 | ) | (608,295 | ) | (1,154,594 | ) | ||||||||
Closed options | (155,900 | ) | (307,294 | ) | (621,215 | ) | (679,527 | ) | ||||||||
Balance at end of period | — | — | — | — | ||||||||||||
| Flexible Managed Portfolio | Government Income Portfolio | |||||||||||||||
| Notional Amount (000) | Premiums | Notional Amount (000) | Premiums | |||||||||||||
Balance at beginning of period | 994,900 | $ | 242,423 | 507,660 | $ | 127,340 | ||||||||||
Written options | 360,980 | 365,290 | 126,020 | 127,213 | ||||||||||||
Expired options | (204,000 | ) | (196,287 | ) | (562,680 | ) | (186,220 | ) | ||||||||
Closed options | (1,151,880 | ) | (411,426 | ) | (71,000 | ) | (68,333 | ) | ||||||||
Balance at end of period | — | — | — | — | ||||||||||||
| Note 6: | Tax Information |
All Portfolios are treated as partnerships 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 is required in the Portfolios’ financial statements for the current reporting 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
B11
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 June 30, 2016, 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 | ||||||
Six months ended June 30, 2016: | ||||||||
Series shares sold | 126,139 | $ | 4,586,024 | |||||
Series shares repurchased | (3,186,730 | ) | (118,032,709 | ) | ||||
Net increase (decrease) in shares outstanding | (3,060,591 | ) | $ | (113,446,685 | ) | |||
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 | ) | |||
Class II | ||||||||
Six months ended June 30, 2016: | ||||||||
Series shares sold | 385 | $ | 13,000 | |||||
Series shares repurchased | (2,185 | ) | (79,248 | ) | ||||
Net increase (decrease) in shares outstanding | (1,800 | ) | $ | (66,248 | ) | |||
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 | ) | |||
| 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 .11% 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 six months ended June 30, 2016. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.
Portfolio | Average Balance Outstanding | Number of Days Outstanding | Weighted Average Interest Rates | Maximum Balance Outstanding | Balance Outstanding at June 30, 2016 | |||||||||||||||
Government Income Portfolio | $ | 275,000 | 3 | 1.67 | % | $ | 275,000 | — | ||||||||||||
| Note 9: | Ownership and Affiliates |
As of June 30, 2016, 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.
B12
| Note 10: | New Accounting Pronouncement |
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.
B13
(unaudited)
| Conservative Balanced Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(a) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .21 | .39 | .36 | .35 | .38 | .36 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .72 | (.30 | ) | 1.46 | 2.51 | 1.43 | .37 | |||||||||||||||||
Total from investment operations | .93 | .09 | 1.82 | 2.86 | 1.81 | .73 | ||||||||||||||||||
Less Distributions | — | — | — | — | (.36 | ) | (.37 | ) | ||||||||||||||||
Capital Contributions(f)(Note 4) | .02 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 23.49 | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | ||||||||||||
Total Return(b) | 4.21 | % | .40 | % | 8.82 | % | 16.09 | % | 11.23 | % | 4.60 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,474.8 | $ | 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 | %(g) | .58 | % | .58 | % | .58 | % | .58 | % | .59 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .58 | %(g) | .58 | % | .58 | % | .58 | % | .58 | % | .59 | % | ||||||||||||
Net investment income (loss) | 1.86 | %(g) | 1.70 | % | 1.66 | % | 1.84 | % | 2.11 | % | 2.12 | % | ||||||||||||
Portfolio turnover rate(d) | 103 | %(h) | 208 | % | 134 | % | 196 | % | 188 | % | 215 | % | ||||||||||||
| Diversified Bond Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(a) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(a) | 2014(a) | 2013 | 2012(a) | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $ | 11.67 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .21 | .41 | .43 | .48 | .54 | .56 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .58 | (.43 | ) | .34 | (.56 | ) | .66 | .30 | ||||||||||||||||
Total from investment operations | .79 | (.02 | ) | .77 | (.08 | ) | 1.20 | .86 | ||||||||||||||||
Less Distributions | — | — | (.12 | ) | (.79 | ) | (1.06 | ) | (.79 | ) | ||||||||||||||
Capital Contributions(f)(Note 4) | — | (e) | — | — | — | — | — | |||||||||||||||||
Net Asset Value, end of period | $ | 12.43 | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | ||||||||||||
Total Return(b) | 6.79 | % | (.17 | )% | 7.09 | % | (.71 | )% | 10.68 | % | 7.51 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,135.0 | $ | 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 | %(g) | .46 | % | .44 | % | .44 | % | .44 | % | .42 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .46 | %(g) | .46 | % | .44 | % | .44 | % | .44 | % | .42 | % | ||||||||||||
Net investment income (loss) | 3.57 | %(g) | 3.48 | % | 3.73 | % | 4.10 | % | 4.57 | % | 4.76 | % | ||||||||||||
Portfolio turnover rate | 28 | %(h) | 81 | % | 50 | % | 111 | % | 144 | % | 167 | % | ||||||||||||
| (a) | Calculated based on average shares outstanding during the period. |
| (b) | 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 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. Total returns for periods less than one full year are not annualized. |
| (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. |
| (e) | Less than $.005 per share. |
| (f) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution. |
| (g) | Annualized. |
| (h) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(unaudited)
| Equity Portfolio | ||||||||||||||||||||||||
| Class I | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(c) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(c) | 2014(c) | 2013 | 2012(c) | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .19 | .34 | .19 | .27 | .27 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.20 | ) | .57 | 2.56 | 8.73 | 2.96 | (.98 | ) | ||||||||||||||||
Total from investment operations | (2.01 | ) | .91 | 2.75 | 9.00 | 3.23 | (.85 | ) | ||||||||||||||||
Less Distributions: | — | — | — | — | (.15 | ) | (.17 | ) | ||||||||||||||||
Capital Contributions(f)(Note 4) | .03 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 37.49 | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | ||||||||||||
Total Return(a) | (5.02 | )% | 2.36 | % | 7.68 | % | 33.57 | % | 13.69 | % | (3.47 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,538.4 | $ | 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 | %(d) | .47 | % | .47 | % | .47 | % | .47 | % | .48 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .47 | %(d) | .47 | % | .47 | % | .47 | % | .47 | % | .48 | % | ||||||||||||
Net investment income (loss) | 1.03 | %(d) | .86 | % | .52 | % | .86 | % | 1.04 | % | .58 | % | ||||||||||||
Portfolio turnover rate | 15 | %(e) | 37 | % | 51 | % | 45 | % | 48 | % | 49 | % | ||||||||||||
| Equity Portfolio | ||||||||||||||||||||||||
| Class II | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(c) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(c) | 2014(c) | 2013 | 2012(c) | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .11 | .18 | .04 | .13 | .17 | .06 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.19 | ) | .58 | 2.57 | 8.82 | 3.00 | (1.03 | ) | ||||||||||||||||
Total from investment operations | (2.08 | ) | .76 | 2.61 | 8.95 | 3.17 | (.97 | ) | ||||||||||||||||
Less Distributions: | — | — | — | — | (.06 | ) | (.04 | ) | ||||||||||||||||
Capital Contributions(f)(Note 4) | .03 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 37.37 | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | ||||||||||||
Total Return(a) | (5.20 | )% | 1.97 | % | 7.24 | % | 33.03 | % | 13.23 | % | (3.87 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1.8 | $ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | $ | 2.0 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .87 | % | .87 | % | .88 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .87 | % | .87 | % | .88 | % | ||||||||||||
Net investment income (loss) | .62 | %(d) | .46 | % | .11 | % | .47 | % | .63 | % | .19 | % | ||||||||||||
Portfolio turnover rate | 15 | %(e) | 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 period 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. Total returns for periods of less than one year are not annualized. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
| (c) | Calculated based on average shares outstanding during the period. |
| (d) | Annualized. |
| (e) | Not annualized. |
| (f) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(unaudited)
| Flexible Managed Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(a) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .23 | .42 | .37 | .36 | .37 | .33 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .59 | (.18 | ) | 1.99 | 3.22 | 1.74 | .34 | |||||||||||||||||
Total from investment operations | .82 | .24 | 2.36 | 3.58 | 2.11 | .67 | ||||||||||||||||||
Less Distributions | — | — | — | — | (.33 | ) | (.31 | ) | ||||||||||||||||
Capital Contributions(g)(Note 4) | .02 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 24.79 | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | ||||||||||||
Total Return(b) | 3.51 | % | 1.01 | % | 11.05 | % | 20.15 | % | 13.37 | % | 4.34 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,807.6 | $ | 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 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Net investment income (loss) | 1.92 | %(e) | 1.74 | % | 1.66 | % | 1.86 | % | 2.05 | % | 2.01 | % | ||||||||||||
Portfolio turnover rate(d) | 109 | %(f) | 213 | % | 161 | % | 210 | % | 214 | % | 246 | % | ||||||||||||
| Global Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(a) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(a) | 2014(a) | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .22 | .34 | .37 | .31 | .36 | .29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.42 | ) | .27 | .44 | 5.03 | 2.57 | (1.56 | ) | ||||||||||||||||
Total from investment operations | (.20 | ) | .61 | .81 | 5.34 | 2.93 | (1.27 | ) | ||||||||||||||||
Less Distributions | — | — | — | — | (.30 | ) | (.28 | ) | ||||||||||||||||
Capital Contributions(g)(Note 4) | .02 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 26.15 | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | ||||||||||||
Total Return(b) | (.68 | )% | 2.37 | % | 3.25 | % | 27.29 | % | 17.52 | % | (6.97 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 934.4 | $ | 965.3 | $ | 719.2 | $ | 744.5 | $ | 611.2 | $ | 564.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .80 | %(e) | .81 | % | .81 | % | .84 | % | .84 | % | .84 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .81 | %(e) | .82 | % | .82 | % | .84 | % | .84 | % | .84 | % | ||||||||||||
Net investment income (loss) | 1.76 | %(e) | 1.28 | % | 1.45 | % | 1.29 | % | 1.82 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 16 | %(f) | 33 | % | 37 | % | 70 | % | 57 | % | 69 | % | ||||||||||||
| (a) | Calculated based on average shares outstanding during the period. |
| (b) | 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 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. Total returns for periods less than one full year are not annualized. |
| (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. |
| (e) | Annualized. |
| (f) | Not annualized. |
| (g) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(unaudited)
| Government Income Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(d) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(d) | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .10 | .18 | .21 | .21 | .25 | .30 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .50 | (.10 | ) | .45 | (.49 | ) | .19 | .60 | ||||||||||||||||
Total from investment operations | .60 | .08 | .66 | (.28 | ) | .44 | .90 | |||||||||||||||||
Less Distributions | — | — | (.04 | ) | (.57 | ) | (.66 | ) | (.56 | ) | ||||||||||||||
Capital Contributions(e)(Note 4) | — | (f) | — | — | — | — | — | |||||||||||||||||
Net Asset Value, end of period | $ | 12.60 | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | ||||||||||||
Total Return(a) | 5.00 | % | .67 | % | 5.86 | % | (2.34 | )% | 3.63 | % | 7.63 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 239.5 | $ | 231.8 | $ | 339.2 | $ | 341.1 | $ | 382.9 | $ | 416.7 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .52 | %(g) | .48 | % | .47 | % | .49 | % | .48 | % | .46 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .52 | %(g) | .48 | % | .47 | % | .49 | % | .48 | % | .46 | % | ||||||||||||
Net investment income (loss) | 1.68 | %(g) | 1.48 | % | 1.73 | % | 1.78 | % | 1.96 | % | 2.48 | % | ||||||||||||
Portfolio turnover rate(c) | 398 | %(h) | 746 | % | 830 | % | 1135 | % | 1154 | % | 1554 | % | ||||||||||||
| Stock Index Portfolio | ||||||||||||||||||||||||
| Six Months Ended June 30, 2016(d) | Year Ended December 31, | |||||||||||||||||||||||
| 2015(d) | 2014(d) | 2013(d) | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .45 | .86 | .79 | .73 | .68 | .54 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.37 | (.26 | ) | 5.20 | 10.64 | 4.19 | .07 | |||||||||||||||||
Total from investment operations | 1.82 | .60 | 5.99 | 11.37 | 4.87 | .61 | ||||||||||||||||||
Less Distributions | (3.37 | ) | (1.34 | ) | (3.68 | ) | — | (.69 | ) | (.51 | ) | |||||||||||||
Capital Contributions(e)(Note 4) | .07 | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 47.11 | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | ||||||||||||
Total Return(a) | 3.91 | % | 1.18 | % | 13.31 | % | 31.89 | % | 15.68 | % | 1.95 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,143.3 | $ | 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 | %(g) | .32 | % | .32 | % | .32 | % | .32 | % | .33 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .37 | %(g) | .37 | % | .37 | % | .37 | % | .37 | % | .38 | % | ||||||||||||
Net investment income (loss) | 1.91 | %(g) | 1.74 | % | 1.67 | % | 1.77 | % | 1.97 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 3 | %(h) | 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 period 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. Total returns for periods less than one full year are not annualized. |
| (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 period. |
| (e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution. |
| (f) | Less than $0.005 per share. |
| (g) | Annualized. |
| (h) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
The Prudential Variable Contract Account — 10
Approval of Advisory Agreements
The VCA-10 Committee
The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.
Annual Approval of VCA-10’s Advisory Agreements
As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with Prudential Investments LLC (“PI”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 7-9, 2016 and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.
In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.
In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-10, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 7-9, 2016.
The Committee determined that the overall arrangements between VCA-10 and PI, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PI and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.
Nature, quality and extent of services
The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PI and Jennison. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PI and Jennison. The Committee noted that Jennison is affiliated with PI.
The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PI and Jennison under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.
Economies of Scale
PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.
The Committee received and discussed information concerning economies of scale that PI may realize as VCA-10’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PI’s investment in VCA-10 over time. The Committee noted that economies of scale, if any, may be shared with VCA-10 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.
The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and Jennison
The Committee considered potential ancillary benefits that might be received by PI and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of VCA-10 / Fees and Expenses
The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2015. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2015. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PI to other funds and the fee charged by other advisers
to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.
The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)1 and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. To the extent that PI deemed appropriate, and for reasons addressed in detail with the Committee, PI may have provided supplemental data compiled by Broadridge for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 3rd Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 4th Quartile | ||||||||
| • | The Committee noted that VCA-10 underperformed its benchmark index over all periods. |
| • | The Committee noted PI’s explanation that the underperformance was attributable to VCA-10’s greater value tilt as compared to many of its peers, especially in light of the fact that growth has outperformed value for much of the past three years; in this regard the Committee also considered PI’s explanation that they expect performance will improve upon a prolonged period of value stock outperformance. |
| • | The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to continue to monitor performance and to renew the agreements. |
| • | The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* * *
After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.
| 1 | Although VCA-10 is classified in the Lipper VA Multi-Cap Core Funds Performance Universe, the Lipper VA Large-Cap Core Funds Performance Universe was utilized because PI believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons. |
The Prudential Variable Contract Account — 11
Approval of Advisory Agreements
The VCA-11 Committee
The Committee of the Prudential Variable Contract Account-11 (“VCA-11”) (the “Committee”) consists of ten individuals, seven of whom are not “interested persons” of VCA-11, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-11 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.
Annual Approval of VCA-11’s Advisory Agreements
As required under the 1940 Act, the Committee determines annually whether to renew VCA-11’s management agreement with Prudential Investments LLC (“PI”) and VCA-11’s subadvisory agreement with PGIM, Inc. (“PGIM”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 7-9, 2016 and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of VCA-11 and its investors.
In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and PGIM. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.
In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-11, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-11 and its investors. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-11. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 7-9, 2016.
The Committee determined that the overall arrangements between VCA-11 and PI, which serves as VCA-11’s investment manager pursuant to a management agreement, and between PI and PGIM, which serves as VCA-11’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-11 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.
Nature, quality and extent of services
The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-11 by PI and PGIM. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-11, as well as the provision of recordkeeping, compliance, and other services to VCA-11. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and interested Committee Members. The Committee also considered the investment subadvisory services provided by PGIM, as well as adherence to VCA-11’s investment restrictions and compliance with applicable VCA-11 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PGIM, and also considered the qualifications, backgrounds and responsibilities of PGIM portfolio managers who are responsible for the day-to-day management of VCA-11’s portfolio. The Committee was provided with information pertaining to PI’s and
PGIM’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and PGIM. The Committee also noted that it received favorable compliance reports from VCA-11’s Chief Compliance Officer (“CCO”) as to both PI and PGIM. The Committee noted that PGIM is affiliated with PI.
The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-11 by PGIM, and that there was a reasonable basis on which to conclude that VCA-11 benefits from the services provided by PI and PGIM under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-11’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.
Economies of Scale
PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.
The Committee received and discussed information concerning economies of scale that PI may realize as VCA-11’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-11, the management fees of VCA-11 compared to those of similarly managed funds and PI’s investment in VCA-11 over time. The Committee noted that economies of scale, if any, may be shared with VCA-11 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-11 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.
The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and PGIM
The Committee considered potential ancillary benefits that might be received by PI and PGIM and their affiliates as a result of their relationship with VCA-11. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-11. The Committee concluded that the potential benefits to be derived by PGIM included those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and PGIM were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of VCA-11 / Fees and Expenses
The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-11 for the one-, three-, five- and ten-year periods ended December 31, 2015. The Committee also considered VCA-11’s actual management fee, as well as VCA-11’s net total expense ratio, for the fiscal year ended December 31, 2015. The Committee considered the management fee for VCA-11 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-11 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-11 represents the actual expense ratio incurred by VCA-11 investors.
The mutual funds included in the Peer Universe (the Lipper VA Money Market Funds Performance Universe) and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed VCA-11 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-11’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 2nd Quartile | 2nd Quartile | 3rd Quartile | 3rd Quartile | |||||
| Actual Management Fees: 4th Quartile | ||||||||
| Net Total Expenses: 4th Quartile | ||||||||
| • | The Committee noted that VCA-11 outperformed its Peer Universe for the one-year period, performed in-line with its Peer Universe over the three-year period, and underperformed for the five- and ten-year periods. |
| • | The Committee noted the challenging money market and interest rate environment since the financial crisis. |
| • | The Committee concluded that, in light of the above, it would be in the best interests of investors to renew the agreements. |
| • | The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* * *
After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-11 and its investors.
The Prudential Series Fund
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio
managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that the Prudential Fixed Income (PFI) unit of PGIM, Inc., PGIM, Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PI and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PFI, Jennison and QMA, each of which are affiliates of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that it had accepted PI’s recommendation to discontinue the existing voluntary waiver of 0.05% of the management fee at each breakpoint level, and to replace it with an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee at each breakpoint level by 0.05%.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2015, except as otherwise
noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2015. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Conservative Balanced Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
| Actual Management Fees: 2nd Quartile | ||||||||
| Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Diversified Bond Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 3rd Quartile | 2nd Quartile | 1st Quartile | 1st Quartile | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period. |
| • | The Board noted that the Portfolio’s recent performance had improved, with the Portfolio outperforming its benchmark index and ranking in the 1st quartile of its Peer Universe during the first quarter of 2016. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Equity Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 3rd Quartile | 4th Quartile | 3rd Quartile | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over the one-year period, although it underperformed its benchmark index over the three-, five- and ten-year periods. |
| • | The Board considered that the Portfolio’s performance had improved over the one-year period. |
| • | The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Flexible Managed Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
| Actual Management Fees: 3rd Quartile | ||||||||
| Net Total Expenses: 2nd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Global Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 2nd Quartile | 1st Quartile | |||||
| Actual Management Fees: 2nd Quartile | ||||||||
| Net Total Expenses: 2nd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board noted that PI had contractually agreed to waive 0.011% of its management fee through June 30, 2017. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Government Income Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Stock Index Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
| Actual Management Fees: 4th Quartile | ||||||||
| Net Total Expenses: 3rd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016. |
| • | The Board accepted PI’s recommendation to incorporate the existing 0.05% contractual management fee waiver into an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee by 0.05% at each breakpoint. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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.
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0228795-00006-00 MD.RS.011
| Item 2 | – | Code of Ethics – Not required, as this is not an annual filing. | ||||
| Item 3 | – | Audit Committee Financial Expert – Not required, as this is not an annual filing. | ||||
| Item 4 | – | Principal Accountant Fees and Services – Not required, as this is not an annual filing. | ||||
| 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 – Not required, as this is not an annual filing. | |||||
| (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: | August 24, 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: | August 24, 2016 | |
| By: | /s/ M. Sadiq Peshimam | |
| M. Sadiq Peshimam | ||
| Treasurer and Principal Financial and Accounting Officer | ||
| Date: | August 24, 2016 | |