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: 811-03623
|
| The Prudential Series Fund |
Exact name of registrant as specified in charter:
|
Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 |
Address of principal executive offices:
|
Deborah A. Docs Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 |
Name and address of agent for service:
Registrant’s telephone number, including area code: 973-367-7521
Date of fiscal year end: 12/31/2010
Date of reporting period: 12/31/2010
Item 1 – Reports to Stockholders
| | |
| | |
| ANNUAL REPORT | | DECEMBER 31, 2010 |
The Prudential Series Fund
| | |
Enroll in e-delivery. Save paper, save time! Make Life Easier with eDelivery You can stop receiving printed reports and start reviewing them online by using eDelivery. To receive your semiannual/annual reports online, go to www.prudential.com/edelivery and enroll. | | n Conservative Balanced Portfolio n Diversified Bond Portfolio n Equity Portfolio n Flexible Managed Portfolio n Global Portfolio n Government Income Portfolio n High Yield Bond Portfolio n Jennison Portfolio n Money Market Portfolio n Natural Resources Portfolio n Small Capitalization Stock Portfolio n Stock Index Portfolio n Value Portfolio |
0172024-00002-00
This report is one of several that provides financial information about certain investment choices available on variable life insurance and variable annuity contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance or variable annuity contract prospectus to determine which portfolios are available to you.
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life or annuity contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call (888)778-2888, and owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. The description is also available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Commission at www.sec.gov and on the Fund’s website.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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 (800)SEC-0330. Form N-Q is also available on the Fund’s website at www.prudential.com or by calling the telephone numbers referenced above.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888)778-2888.
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| | | | |
The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2010 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
| | A1 | Schedule of Investments and Financial Statements |
| | B1 | Notes to Financial Statements |
| | D1 | Report of Independent Registered Public Accounting Firm |
| | E1 | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| | | | |
The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2010 |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Diversification does 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,
Stephen Pelletier
President,
The Prudential Series Fund | January 31, 2011 |
PRESIDENT
STEPHEN PELLETIER
| | |
The Prudential Series Fund, Conservative Balanced Portfolio Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 11.74 | % | | | 4.32 | % | | | 3.87 | % |
Blended Index | | | 10.60 | | | | 4.08 | | | | 3.62 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Conservative Balanced Portfolio returned 11.74%.
The Portfolio seeks total return consistent with a conservatively managed, diversified portfolio. It invests in equity and equity-related securities, debt obligations, and money market instruments. The U.S. stock market gained more in 2010 than the nation’s investment-grade bond market. The Portfolio outperformed the blended index in 2010 as it tactically maintained a larger exposure to stocks than its guideline weight of 50%. It also benefited from the solid performance of its fixed-income portion.
The U.S. stock market posted a gain for the first quarter of 2010, but then pulled back in the spring after the sovereign debt crisis in Europe worsened and the U.S. economy faced the threat of another recession, brought on by weak housing and job markets. However, efforts by some key governments and central banks to keep their economies and financial markets afloat helped push broad stock market indexes past the pullback and into positive territory for the second year in a row. In the United States, stocks also received a dramatic boost in December in reaction to a robust shopping season, the extension of the President Bush-era tax cuts, and a 2.0% cut in payroll taxes.
A low interest-rate environment prevailed in the U.S. bond market during 2010 as the Federal Reserve (the Fed) left its target for the overnight bank lending rate near zero to boost economic growth. It also purchased federal agency debt securities and mortgage-backed securities of federal agencies until the end of March, then began to reinvest their principal payments back into U.S. Treasuries in August to keep downward pressure on rates. The Fed began to buy an additional $600 billion of Treasuries in November. Yet the largest gains in the U.S. bond market for 2010 were in riskier types of bonds that provided more attractive yields, including commercial mortgage-backed securities (made from loans on properties such as hotels) and high-yield corporate “junk” bonds, which are rated below investment grade.
The Portfolio uses derivatives — investment contracts whose value is based on some other instrument, interest rate or index — to gain exposure to different types of debt securities, to adjust exposure to interest rates, or for other purposes intended to help the Portfolio meet its objective. Derivatives exposure did not have a material impact on its performance in 2010.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Blended Index consists of S&P 500 Index (50%), Barclays Capital U.S. Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Prudential Investment Management, Inc., and Quantitative Management Associates LLC are registered investment advisors and Prudential Financial companies.
| | |
The Prudential Series Fund, Diversified Bond Portfolio Subadvised by: Prudential Investment Management, Inc. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 10.57 | % | | | 7.83 | % | | | 6.72 | % |
Barclays Capital U.S. Aggregate Bond Index | | | 6.54 | | | | 5.80 | | | | 5.84 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Diversified Bond Portfolio returned 10.57%.
A low interest-rate environment prevailed in the U.S. bond market during 2010 as the Federal Reserve (the Fed) left its target for the overnight bank lending rate near zero to boost economic growth. It also purchased federal agency debt securities and mortgage-backed securities of federal agencies until the end of March. It then began to reinvest their principal payments back into U.S. Treasury securities in August to keep downward pressure on rates. In November, the Fed also began implementing a plan to buy an additional $600 billion of U.S. Treasury securities. Yet the largest gains in the U.S. bond market for 2010 were in riskier types of bonds that provided more attractive yields, including commercial mortgage-backed securities (made from loans on properties such as hotels) and high yield corporate “junk” bonds, which are rated below investment grade.
The Portfolio outperformed the Barclays Capital U.S. Aggregate Bond Index (the Index) partly because it had a larger exposure to commercial mortgage-backed securities than the Index. The Portfolio also held different types of investments not included in the Index, such as high yield corporate bonds and leveraged bank loans, which are made to below investment-grade companies to finance their operations. It also had exposure to emerging market bonds, debt securities of issuers from economically developing nations (also not included in the Index). This worked well as high yield bonds, leveraged bank loans, and emerging market bonds all gained more than the Index in 2010, reflecting an improving global macroeconomic backdrop and investor demand for assets with attractive yields.
Favorable security selection also helped the Portfolio outperform the Index. Selection among investment-grade corporate bonds in the airlines, insurance, and telecommunications industries worked well, as did selection among asset-backed securities made from pools of home equity loans or credit card receivables. The Portfolio also had a larger exposure than the Index to corporate bonds in the Baa rating category, the best performing rating category in the investment-grade corporate bond sector in 2010. To a lesser extent, the Portfolio benefited from favorable selection among high yield bonds, leveraged bank loans, and emerging market bonds of governments and corporations.
The Portfolio’s foreign exchange strategy was another positive. It benefited from holding positions in currencies of certain developed and developing nations that were favored over the US dollar. By contrast, its interest-rate strategy detracted from its performance in the fourth quarter of 2010. During that time, as bond prices fell (and yields rose), the Portfolio had a longer duration than the Index, which made it more vulnerable to the downturn in the bond market.
The Portfolio uses derivatives — investment contracts whose value is based on some other instrument, interest rate, currencies, or index — to gain exposure to different types of debt securities, to adjust exposure to interest rates, to adjust currency exposure, or for other purposes intended to help the Portfolio meet its objective. During the reporting period, the Portfolio’s exposure to derivatives hedged its other positions as intended and did not have a material impact on its performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays Capital U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Equity Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 11.90 | % | | | 3.31 | % | | | 2.73 | % |
Portfolio: Class II | | | 11.50 | | | | 2.90 | | | | 2.33 | |
Russell 1000® Index | | | 16.10 | | | | 2.59 | | | | 1.83 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2010, the Equity Portfolio Class I shares returned 11.90% and Class II shares returned 11.50%.
Nearly every sector in the Portfolio advanced, with the telecommunication services, materials, and consumer discretionary sectors returning more than 20% for the Portfolio. Utilities, however, was the one area that ended the year with losses for the Portfolio. Consequently the Portfolio underperformed the S&P 500 Index (the Index).
The Portfolio is built from the bottom up, with stocks selected one at a time, based on fundamental analysis of individual companies.
The Portfolio’s financials positions did not gain as much as those held by the Index and were the biggest detriment to the Portfolio relative return. Stock selection in industrials, healthcare, and utilities also detracted from performance versus the Index. Medco Health Solutions the country’s largest pharmacy-benefits manager, was a key detractor, falling on management’s comments that generic launches will likely contribute less to earnings in 2011 than in 2010.
Stock selection contributed positively to relative return in information technology. Baidu, China’s premier Internet search engine, advanced more than 100%. Cloud-computing pioneer VMware, used product cycles to upgrade customers to bigger license agreements and increased its share in the market of servers not yet virtualized. NetApp a provider of products that simplify storing, managing, protecting, and archiving enterprise data rose on growth in the storage business spurred by increased digital content. The strong launch of a new computer tablet, international opportunities, and long-term growth in personal computers made 2010 another good year for Apple.
Other sources of relative gain included security selection in materials, consumer staples, and telecommunication services and an overweight in consumer discretionary. The largest detractor in the Portfolio was H&R Block. The investment team continues to believe the current stock price overly discounts its intrinsic value.
Although the energy sector made a meaningful contribution to return, the Portfolio finished flat with the Index in this sector. The Portfolio continues to invest in companies it believes are undervalued, generate a good amount of free cash flow, possess a combination of organic (meaning growth not through acquisitions) reserve and production growth, and have competitive unit cost structures. With the global economic recovery continuing to gain steam, the investment team believes demand for oil will increase and constrain supply, pushing oil prices higher.
The Portfolio no longer holds a position in Medco Health Solutions.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment advisor and a Prudential Financial company.
| | |
The Prudential Series Fund, Flexible Managed Portfolio Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates, LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 12.03 | % | | | 3.81 | % | | | 3.54 | % |
Blended Index | | | 11.78 | | | | 3.90 | | | | 3.35 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Flexible Managed Portfolio returned 12.03%.
The Portfolio seeks total return consistent with an aggressively managed, diversified portfolio. It invests in equity and equity-related securities, debt obligations, and money market instruments. The U.S. stock market gained more in 2010 than the nation’s investment-grade bond market. The Portfolio outperformed the blended index in 2010 by tactically maintaining a larger exposure to stocks than its guideline weight of 60%, even though the portion of the Portfolio invested in stocks gained less than the S&P 500 Index. The Portfolio also benefited from the solid performance of its fixed-income portion.
The U.S. stock market posted a gain for the first quarter of 2010, but then pulled back in the spring after the sovereign debt crisis in Europe worsened and the U.S. economy faced the threat of another recession, brought on by weak housing and job markets. However, efforts by some key governments and central banks to keep their economies and financial markets afloat helped push broad stock market indexes past the pullback and into positive territory for the second year in a row. In the United States, stocks also received a dramatic boost in December in reaction to a robust shopping season, the extension of the President Bush-era tax cuts, and a 2.0% cut in payroll taxes.
A low interest-rate environment prevailed in the U.S. bond market during 2010 as the Federal Reserve (the Fed) left its target for the overnight bank lending rate near zero to boost economic growth. It also purchased federal agency debt securities and mortgage-backed securities of federal agencies until the end of March, then began to reinvest their principal payments back into U.S. Treasuries in August to keep downward pressure on rates. The Fed began to buy an additional $600 billion of Treasuries in November. Yet the largest gains in the U.S. bond market for 2010 were in riskier types of bonds that provided more attractive yields, including commercial mortgage-backed securities (made from loans on properties such as hotels) and high-yield corporate “junk” bonds, which are rated below investment grade.
The Portfolio uses derivatives — investment contracts whose value is based on some other instrument, interest rate or index — to gain exposure to different types of debt securities, to adjust exposure to interest rates, or for other purposes intended to help the Portfolio meet its objective.
Derivatives exposure did not have a material impact on its performance in 2010.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Blended Index consists of S&P 500 Index (60%), Barclays Capital U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Global Portfolio Subadvised by: LSV Asset Management, Marsico Capital Management, LLC, Quantitative Management Associates LLC, T. Rowe Price
Associates, Inc., William Blair & Company LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 12.74 | % | | | 2.25 | % | | | 1.63 | % |
MSCI World Index (GD) | | | 12.34 | | | | 2.99 | | | | 2.82 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the 12-month period ended December 31, 2010, the Global Portfolio returned 12.74%.
The Portfolio is co-managed by four specialist firms: William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), Marsico Capital Management, LLC (U.S. growth stocks), and T. Rowe Price Associates, Inc. (U.S. value stocks). The Portfolio seeks long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad. Quantitative Management Associates LLC presently provides only Advice Services to the Portfolio. Advice Services includes investment advice, asset allocation advice and research services other than day-to-day management of the Portfolio.
The year 2010 was generally good for investors. As is often the case in the early stages of an economic recovery, stocks of smaller firms performed better than those of large companies and growth stocks outperformed value stocks, albeit modestly. Consumer discretionary stocks led the U.S. market, followed by industrials. Developed country stocks outside the United States were generally only modestly positive due to economic concerns (with the exception of strong-performing Nordic countries), while emerging markets stocks had a very good year. Countries going through a financial crisis such as Greece, Ireland, and Spain saw substantial declines in their equity markets. Strong commodity prices also reflected the global economic recovery. The MSCI World Index (GD) (the Index) gained 12.34%.
Strong relative performance within their respective investment categories by William Blair and Marsico Capital Management made the largest contributions to the Portfolio’s modest outperformance of the Index. William Blair benefited from strong security selection and non-benchmark exposures to emerging market countries China and India. Marsico Capital Management’s large cap growth strategy benefited from an underweight exposure to the materials sector and an overweight exposure to healthcare stocks. Also strong security selection within the consumer discretionary, information technology, and materials sectors contributed positively to results.
T. Rowe Price’s large cap value strategy detracted from performance as its emphasis on larger market cap companies relative to its style-specific benchmark index was not rewarded in 2010. Security selection also detracted from performance, particularly within the energy, utilities, financials, and industrials sectors. Its allocation to different sectors of the stock market, however, had a positive impact on its results, as an overweight exposure to energy, and underweight exposures to the financials and utilities sectors helped.
The LSV Asset Management portion underperformed its style-specific benchmark index as underweight exposures to the consumer discretionary and materials sectors and an overweight exposure to energy detracted from results. In addition, stock selection within the utilities, consumer discretionary, and industrials sectors hurt relative performance.
The use of derivative instruments is not a principal strategy of the four co-managers with regard to the Portfolio. The type of derivatives employed most often are equity futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of currency exposure in the Portfolio). The use of these derivative instruments in 2010 did not have a material impact on the Portfolio’s performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Government Income Portfolio Subadvised by: Prudential Investment Management, Inc. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 6.99 | % | | | 5.68 | % | | | 5.62 | % |
Barclays Capital Government Bond Index | | | 5.52 | | | | 5.45 | | | | 5.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Government Income Portfolio returned 6.99%.
A low interest-rate environment prevailed in the U.S. bond market during 2010 as the Federal Reserve (the Fed) left its target for the overnight bank lending rate near zero to boost economic growth. It also purchased federal agency debt securities and mortgage-backed securities of federal agencies until the end of March. It then began to reinvest their principal payments back into U.S. Treasury securities in August to keep downward pressure on rates. In November, the Fed also began implementing a plan to buy an additional $600 billion of U.S. Treasury securities. Yet the largest gains in the U.S. bond market for 2010 were in riskier types of bonds that provided more attractive yields such as commercial mortgage-backed securities (CMBS), which are made from loans on properties such as hotels and office buildings.
The Portfolio invests primarily in intermediate- and long-term U.S. Treasury securities and debt obligations issued by federal agencies or by instrumentalities established, sponsored, or guaranteed by the federal government. It outperformed the Barclays Capital U.S. Government Bond Index (the Index) due to its investment in shares of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund that gained in value.
Another positive was the Portfolio’s allocation to different sectors of the U.S. bond market, which continued to include certain types of bonds not found in the Index. For example, the Portfolio held CMBS, which gained strongly as previously mentioned. Yet the positive impact was partially offset due to its focus on higher quality CMBS that gained less than lower-quality, higher-yielding CMBS in 2010.
The Portfolio also benefited from favorable security selection among residential mortgage-backed securities of federal agencies, which are not in the Index, and U.S. Treasury securities. In the residential mortgage-backed sector, it emphasized securities with 30-year stated maturities, with higher coupon rates, and older “seasoned” securities. In the Treasury sector, it emphasized Treasury securities that had been in existence for some years and STRIPS (Separate Trading of Registered Interest and Principal Securities). The Portfolio also took advantage of pricing inefficiencies between futures contracts based on Treasury securities and newly issued Treasury securities. It also used futures contracts based on Treasury securities to hedge its duration, a measure of the Portfolio’s sensitivity to changes in the level of interest rates.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays Capital Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, High Yield Bond Portfolio Subadvised by: Prudential Investment Management, Inc. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 14.05 | % | | | 8.10 | % | | | 7.84 | % |
Barclays Capital U.S. High Yield 1% Issuer Capped Index | | | 14.79 | | | | 8.74 | | | | 9.05 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the High Yield Bond Portfolio returned 14.05%.
It was another banner year for high yield corporate bonds. The market for these below investment-grade corporate bonds, commonly called “junk” bonds, gained 14.79% in 2010, according to the Barclays Capital U.S. High Yield 1% Issuer Capped Index (the Index). This was the second consecutive year that high yield bonds scored a double-digit gain.
High yield bond prices rallied partly as investors sought them for their attractive yields in the low interest-rate environment fostered by the Federal Reserve (the Fed). It left its target for the overnight bank lending rate near zero to stimulate growth as the U.S. economy continued to battle high unemployment and a weak housing market. The Fed also purchased government securities and mortgage-backed securities of federal agencies to exert more downward pressure on rates. The performance of high yield bonds also reflected improving corporate fundamentals and strong earnings growth in many industries.
All three major industries of the high yield corporate bond market posted gains for the year led by financial institutions and followed by industrials and utilities. All sub-industries also ended 2010 in the black. From the perspective of credit ratings, the lowest categories (Ca-D and Caa) outperformed the higher categories (B and Ba) as investors were willing to accept greater credit risk to earn a higher yield.
The Portfolio gained, reflecting bullish conditions in the high yield market, but it underperformed the Index in 2010. Compared to the Index, it had a smaller exposure to the financial institutions industry, which gained more than the Index, and a larger exposure to more defensive sub-industries such as healthcare and media cable, which gained less than the Index. The negative impact of its industry allocation strategy was partially offset by positive security selection, particularly within the utilities industry and the automotive and media sub-industries.
The Portfolio maintained a modest allocation to very short-term investments to meet its need for liquidity. This subtracted from its performance as these investments provided meager returns, while high yield bond prices rose sharply. The Portfolio also invested sparingly in derivatives instruments, primarily using selected credit default swaps to take advantage of attractive opportunities caused by pricing inefficiencies in the high yield market. Its derivatives exposure did not have a material impact on its performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays Capital U.S. High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Jennison Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 11.95 | % | | | 2.74 | % | | | 0.56 | % |
Portfolio: Class II | | | 11.45 | | | | 2.33 | | | | 0.15 | |
Russell 1000® Growth Index | | | 16.71 | | | | 3.75 | | | | 0.02 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
The Russell 1000® Growth Index is a trademark/service of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
In the year ended December 31, 2010, the Jennison Portfolio Class I shares returned 11.95% and Class II shares returned 11.45%.
The Portfolio underperformed its benchmark, the Russell 1000® Growth Index.
The Portfolio is built from the bottom up, with stocks selected one at a time, based on fundamental analysis of individual companies.
The Portfolio generated double-digit returns, but underperformed, primarily due to holdings in the financials and healthcare sectors. In addition, while the Portfolio had many holdings with large returns, these positions had small portfolio weights. In healthcare, stock selection and an overweight position were detrimental, especially earlier in the period when uncertainty about U.S. regulatory reform and Europe’s sovereign debt crisis took a toll. Baxter International, a medical equipment company, fell on weakness in its blood plasma business, while Gilead Sciences, a biotechnology company, declined on concerns that healthcare reforms and exposure to European markets would reduce its growth rate.
Although a relatively small weight in the Portfolio, financials holdings detracted from return, reflecting in part exposure to industries most likely to be affected by yet undefined regulation. Charles Schwab declined, as low interest rates precipitated fee waivers on money market funds and reduced income on cash balances, reducing the company’s material earnings power.
Holdings in consumer staples failed to keep pace, as the benchmark’s tobacco constituents not held in the Portfolio outperformed dramatically.
Underweight positions in industrials, materials, and energy detracted from relative performance, as well.
Stock selection contributed positively to return in information technology. Baidu, China’s premier Internet search engine advanced more than 100%. A cloud-computing pioneer used product cycles to upgrade customers to bigger license agreements and increased its share in the market of servers not yet virtualized. The increased acceptance of “software as a service,” another type of cloud-based opportunity, helped another holding both expand to new markets and deepen relationships with existing customers. NetApp, a provider of products that simplify storing, managing, protecting, and archiving enterprise data rose on growth in the storage business spurred by increased digital content. The strong launch of a new computer tablet, international opportunities, and secular or long-term growth in personal computers made 2010 another good year for Apple.
Security selection was also beneficial in energy, where an oil services and equipment company, Schlumberger, advanced. An overweight position in consumer discretionary also worked well.
The Portfolio no longer holds positions in Baxter International and Gilead Sciences.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Money Market Portfolio Subadvised by: Prudential Investment Management, Inc. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | | | | | |
Average Annual Total
Return Percentages | | 7-Day*
Current
Net Yield | | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 0.02 | % | | | 0.03 | % | | | 2.55 | % | | | 2.30 | % |
Lipper (VIP) Money Market Funds Avg. | | | N/A | | | | 0.01 | | | | 2.34 | | | | 2.11 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
7-DAY CURRENT NET YIELD*
For the year ended December 31, 2010, the Money Market Portfolio had a total return of 0.03%.
Prudential Fixed Income, a unit of Prudential Investment Management, Inc., manages the Portfolio, which performed in line with the 0.01% return of the Lipper (VIP) Money Market Funds Average in 2010. On December 28, 2010, the Portfolio’s 7-day current yield was 0.02%, down from 0.05% on December 29, 2009.
Economic growth began to slow in the United States early in the year as the effects of a massive governmental stimulus initiative began to fade, while the nation’s unemployment rate remained high. The Federal Reserve (the Fed) left its target for the overnight bank lending rate near zero to boost growth. Increasingly concerned about deflation risk, the Fed also tried to aid the economy through quantitative easing (it purchased government debt securities and mortgage-backed securities of federal agencies to boost their prices and push down their yields). It hoped this would lower interest rates on business and consumer loans to encourage borrowing and, therefore, encourage economic growth. Indeed, some government reports released late in the year indicated a modest improvement in economic conditions.
As short-term rates hovered near zero, the London interbank offered rate (LIBOR) began to rise in the spring of 2010, reflecting investor concern about sovereign credit risk in the euro zone. As sovereign credit risk dissipated, the upturn in LIBOR reversed and ultimately leveled off during the remainder of the reporting period.
The Portfolio’s total return and 7-Day Current Yield reflected the low interest-rate environment in the United States. It continued to diversify by investing primarily in money market securities of highly rated corporate issuers, highly rated banks, and government agencies. Additionally, it entered into repurchase agreements collateralized by U.S. government securities or debt securities guaranteed by the Federal Deposit Insurance Corp. In these transactions, a party agrees to sell a debt security to the Portfolio and then repurchase the debt security at an agreed-upon price on a stated date. (This creates a fixed return for the Portfolio and is, in effect, a loan by the Portfolio.) It also benefited from its holdings of floating-rate debt securities linked to LIBOR as their rates reset higher during the spring.
The Portfolio is managed in compliance with the revision to money-market fund regulations that took effect during the first half of 2010. The rules were designed to strengthen regulatory standards governing money market funds by increasing liquidity requirements and reducing interest-rate risk.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| * | Source: iMoneyNet, Inc. based on 318 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/28/2010. |
The Lipper Variable Insurance Products (VIP) Funds Averages are calculated by Lipper Analytical Services, Inc., and reflect the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
An investment in a Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Fund.
| | |
The Prudential Series Fund, Natural Resources Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | | | | | |
Average Annual Total
Return Percentages | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Portfolio: Class I | | | 27.98 | % | | | 14.06 | % | | | 18.80 | % | | | N/A | |
Portfolio: Class II | | | 27.48 | | | | 13.61 | | | | N/A | | | | 20.25 | |
Lipper (VIP) Natural Resources Funds Avg. | | | 20.42 | | | | 9.15 | | | | 14.39 | | | | 14.31 | |
Lipper (VUF) Natural Resources Funds Index | | | 20.20 | | | | 8.87 | | | | N/A | | | | 14.14 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | | | | 3.63 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio (Class I) inception: 5/1/1988. Portfolio (Class II) inception: 4/28/2005. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would
$10,000 INVESTED OVER 10 YEARS1
significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
In the year ended December 31, 2010, the Natural Resources Portfolio Class I shares returned 27.98% and Class II shares returned 27.48%.
The metals and mining industry within the materials sector made the most substantial contribution to the Portfolio’s performance. Commodity prices for precious metals increased substantially as inflation concerns re-emerged and additional quantitative easing by the Federal Reserve became increasingly likely. One of the Portfolio’s primary individual contributors to performance was Semafo, a Canadian based mining company with gold production and exploration activities in West Africa. Increased expectations for one of the company’s mines drove the stock price higher. Despite this appreciation, Jennison thinks the company’s ultimate growth potential is not reflected in its current valuation. Another holding from the metals and mining industry, a silver producer, also made a significant positive contribution to return. In addition to the reasons mentioned above for commodity price appreciation, increased industrial demand and the introduction of silver-backed exchange traded funds (ETFs) also helped drive silver prices higher.
Among the key detractors from the Portfolio’s performance were natural gas producers, likely reflecting concerns that continued weak natural gas prices could impede earnings growth. While investors are focused on weak gas prices, Jennison remains comfortable with its positions, and thinks production growth for these holdings should continue to outpace other exploration and production companies and do not believe production and reserve growth potential is properly reflected in the stock prices.
The investment team continues to consider long-term supply and demand imbalances for oil, natural gas, gold, copper, and other metals to continue. The most easily-exploited producing areas for many commodities have largely been tapped, so it becomes costlier to both develop new production and extend the life of existing areas. In the investment team’s view, it is the costs of incremental production that will keep prices higher than expected over the long term.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
The Lipper Variable Insurance Products (VIP) Natural Resources Funds Averages are calculated by Lipper Analytical Services, Inc., and reflect the investment return of certain portfolios underlying variable life and annuity products. The Lipper Variable Underlying Funds (VUF) Natural Resources Funds Index consists of an equal dollar-weighted composite of the 10 largest funds in the Lipper VUF Natural Resources Fund classification. The index is rebalanced quarterly. Natural Resources Funds are deemed as funds that invest primarily in the equity securities of domestic and foreign companies engaged in natural resources. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns are net of investment fees and fund expenses, but not product charges. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Small Capitalization Stock Portfolio Subadvised by: Quantitative Management Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 25.93 | % | | | 4.40 | % | | | 7.26 | % |
S&P SmallCap 600 Index | | | 26.31 | | | | 4.64 | | | | 7.66 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Small Capitalization Stock Portfolio returned 25.93%.
Quantitative Management Associates LLC (QMA) manages the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of the S&P SmallCap 600 Index. Small capitalization means the total value of the stock outstanding is generally less than $1 billion. The shares that the Portfolio invests in are more volatile than those of large, well-established companies.
The Portfolio posted a gain for 2010, reflecting a strong rally in small-cap stocks. However, the Portfolio slightly underperformed the S&P SmallCap 600 Index for the year, though it benefited from income it earned by lending some of its securities to other portfolios.
The U.S. stock market posted a gain for the first quarter of 2010, but then pulled back in the spring after the sovereign debt crisis in Europe worsened and the U.S. economy faced the threat of another recession, brought on by weak housing and job markets. However, efforts by some key governments and central banks to keep their economies and financial markets afloat helped push broad stock market indexes past the pullback and into positive territory for the second year in a row. In the United States, stocks also received a dramatic boost in December in reaction to a robust shopping season, the extension of the President Bush-era tax cuts, and a 2.0% cut in payroll taxes.
Although stocks of small, medium, and large companies posted double-digit returns for 2010 as measured by S&P indexes, the S&P SmallCap 600 Index gained much more than the large-cap S&P 500 Index. The small-cap rally, which began in late August, was fueled by a combination of factors. Anticipation that the Federal Reserve would begin another round of bond purchases later in the year, to support the economic recovery in the United States, helped investors to become more comfortable in taking on the additional risk of purchasing stocks of small companies. Earnings and sales growth of small-cap stocks outstripped that of large-cap stocks for much of the year, and small caps benefited from a mergers-and-acquisitions boom.
During the year, the Portfolio also had a small exposure to derivative instruments that enhanced its liquidity but did not have a material impact on its performance. The use of derivatives is not a principal strategy of the Portfolio.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Stock Index Portfolio Subadvised by: Quantitative Management Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 14.59 | % | | | 2.04 | % | | | 1.14 | % |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the Stock Index Portfolio returned 14.59%.
Quantitative Management Associates LLC (QMA) manages the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of the S&P 500 Index. However, the Portfolio cannot hold shares of Prudential Financial, Inc. because of compliance restrictions.
Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P 500 Index. It underperformed the S&P 500 Index by a modest amount in 2010.
The U.S. stock market posted a gain for the first quarter of 2010, but then pulled back in the spring after the sovereign debt crisis in Europe worsened and the U.S. economy faced the threat of another recession, brought on by weak housing and job markets. However, efforts by some key governments and central banks to keep their economies and financial markets afloat helped push broad stock market indexes past the pullback and into positive territory for the second year in a row. In the United States, stocks also received a dramatic boost in December in reaction to a robust shopping season, the extension of the President Bush-era tax cuts, and a 2.0% cut in payroll taxes.
All sectors of the S&P 500 Index ended the year positive, with eight posting double-digit gains. The more cyclical sectors, those expected to derive the most benefit from the global economic recovery, led the pack. Returns ranged from a 27.7% gain for the consumer discretionary sector to a 2.9% gain for the healthcare sector.
The use of derivatives is not a principal investment strategy of the Portfolio. It had small positions in derivative instruments based on the S&P 500 Index to enhance the liquidity of the Portfolio. This exposure did not have a material impact on the Portfolio’s performance in 2010.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, Value Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | | | | | |
Average Annual
Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Portfolio: Class I | | | 13.86 | % | | | 2.91 | % | | | 4.36 | % | | | N/A | |
Portfolio: Class II | | | 13.39 | | | | 2.49 | | | | N/A | | | | 3.88 | |
Russell 1000® Value Index | | | 15.51 | | | | 1.28 | | | | 3.26 | | | | 3.51 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | | | | 2.00 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio (Class I) inception: 2/19/1988. Portfolio (Class II) inception: 5/14/2001. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance
$10,000 INVESTED OVER 10 YEARS1
beginning the closest month-end date to the Portfolio’s inception (Class II). The Russell 1000® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
In the year ended December 31, 2010, the Value Portfolio Class I shares returned 13.86% and Class II shares returned 13.39%.
The telecommunication services, materials, and consumer discretionary sectors recorded strong gains for the Portfolio. Utilities and healthcare were the weakest sectors for the Portfolio. The Portfolio underperformed the Russell 1000® Value Index (the Index).
The Portfolio is built from the bottom up, with stocks selected one at a time based on fundamental analysis of individual companies.
Although energy positions made a meaningful contribution to the Portfolio’s return, they failed to keep pace with those held by the Index, and were the biggest detriment to relative return. The Portfolio’s overweight in the sector mitigated the negative impact from stock selection. Jennison continues to invest in companies it believes are undervalued, generate a good amount of free cash flow, possess a combination of organic reserve and production growth, and have competitive unit cost structures. With the global economic recovery continuing to gain steam, the investment team believes demand for oil will increase and constrain supply, pushing oil prices higher.
A combination of security selection and an overweight stance in information technology was a sizable source of underperformance. Symantec, a large provider of Internet security, storage, and systems management products was among the largest detractors. The company missed fiscal first-quarter earnings and issued lackluster second-quarter guidance. However, the investment team is encouraged by the company’s fiscal second quarter, which demonstrated improvement in its gross revenue, controlled costs, strong cash flow, and improved execution.
Stock selection in utilities and financials and a smaller exposure to industrials also detracted from relative return.
The consumer discretionary sector was a substantial source of positive relative return, where media holdings in Liberty Global and Time Warner and auto components company, Lear, were key contributors. Liberty Global advanced 55% and with its free cash flow repurchased stock that amounted to 10% of the company’s capitalization in 2010. The largest detractor in the Portfolio was H&R Block. The investment team continues to believe the current stock price overly discounts its intrinsic value.
The Portfolio solidly outperformed the Index in telecommunication services. Stock selection in healthcare, consumer staples, and materials also worked well.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2010 |
| | | | |
| Conservative Balanced | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Exxon Mobil Corp. | | | 1.7% | |
Apple, Inc. | | | 1.4% | |
Microsoft Corp. | | | 1.0% | |
| Federal National Mortgage Association, 5.000%, TBA 30 YR | | | 1.0% | |
General Electric Co. | | | 0.9% | |
| | | | |
| Diversified Bond | |
| Allocation | | | (% of Net Assets | ) |
| Corporate Bonds | | | 43.2% | |
| Commercial Mortgage-Backed Securities | | | 17.4% | |
| U.S. Government Mortgage-Backed Securities | | | 8.4% | |
| Non-Residential Mortgage-Backed Securities | | | 7.9% | |
| Residential Mortgage-Backed Securities | | | 4.8% | |
| | | | |
| Equity | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Occidental Petroleum Corp. | | | 2.9% | |
Apple, Inc. | | | 2.8% | |
Amazon.com, Inc. | | | 2.3% | |
Apache Corp. | | | 2.3% | |
Schlumberger Ltd. (Netherlands) | | | 2.1% | |
| | | | |
| Flexible Managed | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Exxon Mobil Corp. | | | 2.2% | |
| Apple, Inc. | | | 1.7% | |
Microsoft Corp. | | | 1.5% | |
Chevron Corp. | | | 1.4% | |
General Electric Co. | | | 1.4% | |
| | | | |
| Global | |
| Top Five Countries | | | (% of Net Assets | ) |
| United States | | | 47.2% | |
| Japan | | | 8.8% | |
United Kingdom | | | 7.9% | |
France | | | 5.1% | |
Switzerland | | | 3.2% | |
| | | | |
| Government Income | |
| Allocation | | | (% of Net Assets | ) |
| Mortgage-Backed Securities | | | 40.1% | |
| U.S Treasury Securities | | | 36.6% | |
| Commercial Mortgage-Backed Securities | | | 9.9% | |
| U.S. Government Agency Obligations | | | 5.0% | |
| Collateralized Mortgage Obligations | | | 2.8% | |
| | | | | |
| | | | |
| High Yield Bond | |
| Allocation | | | (% of Net Assets | ) |
Corporate Bonds | | | 86.7% | |
Bank Loans | | | 5.6% | |
Preferred Stocks | | | 0.2% | |
| Common Stocks | | | 0.2% | |
| Collateralized Mortgage Obligations | | | 0.1% | |
| | | | |
| Jennison | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Apple, Inc. | | | 5.0% | |
Amazon.com, Inc. | | | 4.7% | |
| International Business Machines Corp. | | | 3.3% | |
| Schlumberger Ltd. | | | 3.2% | |
Google, Inc. (Class A Stock) | | | 2.9% | |
| | | | |
| Natural Resources | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Pacific Rubiales Energy Corp. (Canada) | | | 2.6% | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 2.6% | |
Schlumberger Ltd. | | | 2.3% | |
| Halliburton Co. | | | 2.2% | |
National Oilwell Varco, Inc. | | | 2.2% | |
| | | | |
| Small Capitalization Stock | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Oil States International, Inc. | | | 0.7% | |
| Cypress Semicinductor Corp. | | | 0.6% | |
| Varian Semiconductor Equipment Associates, Inc. | | | 0.6% | |
| Salix Pharmaceuticals Ltd. | | | 0.5% | |
| iShares S&P SmallCap 600 Index Fund | | | 0.5% | |
| | | | |
| Stock Index | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Exxon Mobil Corp. | | | 3.2% | |
| Apple, Inc. | | | 2.5% | |
Microsoft Corp. | | | 1.8% | |
| General Electric Co. | | | 1.7% | |
Chevron Corp. | | | 1.6% | |
| | | | |
| Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| CA, Inc. | | | 3.0% | |
| Flextronics International Ltd. | | | 2.7% | |
Comcast Corp. (Class A Stock) | | | 2.6% | |
| Liberty Global, Inc., Ser. C | | | 2.5% | |
Lear Corp. | | | 2.5% | |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
| | |
The Prudential Series Fund Fees and Expenses — unaudited | | December 31, 2010 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2010 through December 31, 2010.
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 the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning
Account Value
July 1, 2010 | | | Ending
Account Value
December 31, 2010 | | | Annualized Expense
Ratio based on the
Six-Month period | | | Expenses Paid
During the
Six-Month period* | |
| Conservative Balanced (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,129.50 | | | | 0.59 | % | | $ | 3.17 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.23 | | | | 0.59 | % | | $ | 3.01 | |
| Diversified Bond (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,042.70 | | | | 0.48 | % | | $ | 2.47 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.79 | | | | 0.48 | % | | $ | 2.45 | |
| Equity (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,245.00 | | | | 0.49 | % | | $ | 2.77 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.74 | | | | 0.49 | % | | $ | 2.50 | |
| Equity (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,242.50 | | | | 0.89 | % | | $ | 5.03 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.72 | | | | 0.89 | % | | $ | 4.53 | |
| Flexible Managed (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,150.10 | | | | 0.64 | % | | $ | 3.47 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.98 | | | | 0.64 | % | | $ | 3.26 | |
| Global (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,246.00 | | | | 0.90 | % | | $ | 5.10 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.67 | | | | 0.90 | % | | $ | 4.58 | |
| Government Income (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,012.30 | | | | 0.53 | % | | $ | 2.69 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.53 | | | | 0.53 | % | | $ | 2.70 | |
| High Yield Bond (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,097.90 | | | | 0.59 | % | | $ | 3.12 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.23 | | | | 0.59 | % | | $ | 3.01 | |
| Jennison (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,251.20 | | | | 0.64 | % | | $ | 3.63 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.98 | | | | 0.64 | % | | $ | 3.26 | |
| Jennison (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,248.50 | | | | 1.04 | % | | $ | 5.89 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.96 | | | | 1.04 | % | | $ | 5.30 | |
Money Market
(Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,000.20 | | | | 0.26 | % | | $ | 1.31 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,023.89 | | | | 0.26 | % | | $ | 1.33 | |
| | |
The Prudential Series Fund Fees and Expenses — unaudited (continued) | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning
Account Value
July 1, 2010 | | | Ending
Account Value
December 31, 2010 | | | Annualized Expense
Ratio based on the
Six-Month period | | | Expenses Paid
During the
Six-Month period* | |
| Natural Resources (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,420.90 | | | | 0.50 | % | | $ | 3.05 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.68 | | | | 0.50 | % | | $ | 2.55 | |
| Natural Resources (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,418.10 | | | | 0.90 | % | | $ | 5.49 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.67 | | | | 0.90 | % | | $ | 4.58 | |
| Small Capitalization Stock (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,272.70 | | | | 0.48 | % | | $ | 2.75 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.79 | | | | 0.48 | % | | $ | 2.45 | |
| Stock Index (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,230.20 | | | | 0.34 | % | | $ | 1.91 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,023.49 | | | | 0.34 | % | | $ | 1.73 | |
| Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,225.90 | | | | 0.45 | % | | $ | 2.52 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.94 | | | | 0.45 | % | | $ | 2.29 | |
| Value (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,222.70 | | | | 0.85 | % | | $ | 4.76 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.92 | | | | 0.85 | % | | $ | 4.33 | |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2010, and divided by the 365 days in the Portfolio's fiscal year ended December 31, 2010 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 90.3% | | | | |
| COMMON STOCKS — 54.1% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 1.4% | | | | | | | | |
BAE Systems PLC (United Kingdom) | | | 36,415 | | | $ | 187,355 | |
Boeing Co. (The) | | | 76,100 | | | | 4,966,286 | |
General Dynamics Corp. | | | 41,300 | | | | 2,930,648 | |
Goodrich Corp. | | | 13,100 | | | | 1,153,717 | |
Honeywell International, Inc. | | | 79,412 | | | | 4,221,542 | |
ITT Corp. | | | 19,300 | | | | 1,005,723 | |
L-3 Communications Holdings, Inc. | | | 11,900 | | | | 838,831 | |
Lockheed Martin Corp. | | | 31,500 | | | | 2,202,165 | |
Northrop Grumman Corp. | | | 32,062 | | | | 2,076,976 | |
Precision Castparts Corp. | | | 14,000 | | | | 1,948,940 | |
Raytheon Co. | | | 39,700 | | | | 1,839,698 | |
Rockwell Collins, Inc. | | | 16,600 | | | | 967,116 | |
Safran SA (France) | | | 4,270 | | | | 151,210 | |
United Technologies Corp. | | | 96,700 | | | | 7,612,224 | |
| | | | | | |
|
|
|
| | | | | | | | 32,102,431 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.6% | | | | | | | | |
C.H. Robinson Worldwide, Inc. | | | 16,800 | | | | 1,347,192 | |
Expeditors International of Washington, Inc. | | | 22,700 | | | | 1,239,420 | |
FedEx Corp. | | | 32,500 | | | | 3,022,825 | |
United Parcel Service, Inc.
(Class B Stock) | | | 102,100 | | | | 7,410,418 | |
| | | | | | |
|
|
|
| | | | | | | | 13,019,855 | |
| | | | | | |
|
|
|
Airlines — 0.1% | | | | | | | | |
Cathay Pacific Airways Ltd. (Hong Kong) | | | 32,000 | | | | 88,308 | |
Deutsche Lufthansa AG (Germany)(a) | | | 1,011 | | | | 22,096 | |
Qantas Airways Ltd. (Australia)(a) | | | 11,900 | | | | 30,915 | |
Singapore Airlines Ltd. (Singapore) | | | 8,000 | | | | 95,375 | |
Southwest Airlines Co. | | | 79,300 | | | | 1,029,314 | |
| | | | | | |
|
|
|
| | | | | | | | 1,266,008 | |
| | | | | | |
|
|
|
Auto Components — 0.1% | | | | | | | | |
Goodyear Tire & Rubber Co. (The)(a) | | | 25,600 | | | | 303,360 | |
Johnson Controls, Inc. | | | 71,400 | | | | 2,727,480 | |
Toyota Industries Corp. (Japan) | | | 200 | | | | 6,210 | |
| | | | | | |
|
|
|
| | | | | | | | 3,037,050 | |
| | | | | | |
|
|
|
Automobiles — 0.4% | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 906 | | | | 71,249 | |
Daimler AG (Germany)(a) | | | 2,646 | | | | 179,375 | |
Fiat SpA (Italy) | | | 264 | | | | 5,444 | |
Ford Motor Co.(a)(b) | | | 380,485 | | | | 6,388,343 | |
Fuji Heavy Industries Ltd. (Japan) | | | 11,000 | | | | 85,355 | |
Harley-Davidson, Inc. | | | 25,000 | | | | 866,750 | |
Honda Motor Co. Ltd. (Japan) | | | 4,000 | | | | 158,394 | |
Isuzu Motors Ltd. (Japan) | | | 9,000 | | | | 40,904 | |
Nissan Motor Co. Ltd. (Japan) | | | 12,100 | | | | 115,203 | |
Peugeot SA (France)(a) | | | 1,521 | | | | 57,744 | |
Renault SA (France)(a) | | | 1,061 | | | | 61,675 | |
Toyota Motor Corp. (Japan) | | | 2,200 | | | | 87,252 | |
Volkswagen AG (Germany) | | | 68 | | | | 9,623 | |
| | | | | | |
|
|
|
| | | | | | | | 8,127,311 | |
| | | | | | |
|
|
|
Beverages — 1.4% | | | | | | | | |
Anheuser-Busch InBev NV (Belgium) | | | 1,249 | | | | 71,435 | |
Asahi Breweries Ltd. (Japan) | | | 1,300 | | | | 25,187 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Beverages (continued) | | | | | | | | |
Brown-Forman Corp. (Class B Stock) | | | 9,900 | | | $ | 689,238 | |
Coca-Cola Co. (The) | | | 239,200 | | | | 15,732,184 | |
Coca-Cola Enterprises, Inc. | | | 34,100 | | | | 853,523 | |
Coca-Cola West Co. Ltd. (Japan) | | | 5,900 | | | | 106,896 | |
Constellation Brands, Inc.
(Class A Stock)(a) | | | 19,400 | | | | 429,710 | |
Diageo PLC (United Kingdom) | | | 5,522 | | | | 102,020 | |
Dr Pepper Snapple Group, Inc. | | | 24,700 | | | | 868,452 | |
Heineken Holding NV (Netherlands) | | | 1,098 | | | | 47,723 | |
Molson Coors Brewing Co.
(Class B Stock) | | | 17,100 | | | | 858,249 | |
PepsiCo, Inc. | | | 164,907 | | | | 10,773,374 | |
| | | | | | |
|
|
|
| | | | | | | | 30,557,991 | |
| | | | | | |
|
|
|
Biotechnology — 0.7% | | | | | | | | |
Amgen, Inc.(a) | | | 97,420 | | | | 5,348,358 | |
Biogen Idec, Inc.(a) | | | 25,990 | | | | 1,742,630 | |
Celgene Corp.(a) | | | 48,000 | | | | 2,838,720 | |
Cephalon, Inc.(a)(b) | | | 7,900 | | | | 487,588 | |
Genzyme Corp.(a) | | | 26,400 | | | | 1,879,680 | |
Gilead Sciences, Inc.(a) | | | 85,600 | | | | 3,102,144 | |
| | | | | | |
|
|
|
| | | | | | | | 15,399,120 | |
| | | | | | |
|
|
|
Building Products | | | | | | | | |
Asahi Glass Co. Ltd. (Japan) | | | 4,000 | | | | 46,754 | |
Geberit AG (Switzerland) | | | 147 | | | | 33,991 | |
Masco Corp. | | | 35,500 | | | | 449,430 | |
| | | | | | |
|
|
|
| | | | | | | | 530,175 | |
| | | | | | |
|
|
|
Capital Markets — 1.4% | | | | | | | | |
3i Group PLC (United Kingdom) | | | 17,614 | | | | 90,212 | |
Ameriprise Financial, Inc. | | | 27,920 | | | | 1,606,796 | |
Bank of New York Mellon Corp. (The) | | | 126,658 | | | | 3,825,072 | |
Charles Schwab Corp. (The) | | | 100,150 | | | | 1,713,567 | |
Credit Suisse Group AG (Switzerland) | | | 3,142 | | | | 126,587 | |
Deutsche Bank AG (Germany) | | | 4,511 | | | | 235,698 | |
E*Trade Financial Corp.(a) | | | 17,420 | | | | 278,720 | |
Federated Investors, Inc.
(Class B Stock)(b) | | | 10,800 | | | | 282,636 | |
Franklin Resources, Inc. | | | 16,200 | | | | 1,801,602 | |
Goldman Sachs Group, Inc. (The) | | | 53,100 | | | | 8,929,296 | |
Invesco Ltd. | | | 48,300 | | | | 1,162,098 | |
Janus Capital Group, Inc. | | | 18,600 | | | | 241,242 | |
Legg Mason, Inc.(b) | | | 17,800 | | | | 645,606 | |
Macquarie Group Ltd. (Australia) | | | 2,147 | | | | 81,272 | |
Morgan Stanley | | | 154,780 | | | | 4,211,564 | |
Northern Trust Corp. | | | 26,200 | | | | 1,451,742 | |
State Street Corp. | | | 53,700 | | | | 2,488,458 | |
T. Rowe Price Group, Inc. | | | 27,800 | | | | 1,794,212 | |
| | | | | | |
|
|
|
| | | | | | | | 30,966,380 | |
| | | | | | |
|
|
|
Chemicals — 1.2% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 21,900 | | | | 1,991,805 | |
Air Water, Inc. (Japan) | | | 2,000 | | | | 25,545 | |
Airgas, Inc. | | | 7,600 | | | | 474,696 | |
Asahi Kasei Corp. (Japan) | | | 18,000 | | | | 117,502 | |
BASF SE (Germany) | | | 3,137 | | | | 250,262 | |
CF Industries Holdings, Inc. | | | 7,200 | | | | 973,080 | |
Dow Chemical Co. (The) | | | 119,731 | | | | 4,087,616 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Chemicals (continued) | | | | | | | | |
E.I. du Pont de Nemours & Co. | | | 93,920 | | | $ | 4,684,730 | |
Eastman Chemical Co. | | | 7,800 | | | | 655,824 | |
Ecolab, Inc. | | | 23,900 | | | | 1,205,038 | |
FMC Corp. | | | 8,100 | | | | 647,109 | |
Incitec Pivot Ltd. (Australia) | | | 3,308 | | | | 13,398 | |
International Flavors & Fragrances, Inc. | | | 8,200 | | | | 455,838 | |
Israel Chemicals Ltd. (Israel) | | | 2,407 | | | | 41,262 | |
K+S AG (Germany) | | | 1,552 | | | | 116,888 | |
Lanxess AG (Germany) | | | 974 | | | | 76,923 | |
Linde AG (Germany) | | | 217 | | | | 32,927 | |
Mitsubishi Chemical Holdings Corp. (Japan) | | | 23,000 | | | | 156,091 | |
Monsanto Co. | | | 55,794 | | | | 3,885,494 | |
Novozymes A/S (Denmark)
(Class B Stock) | | | 334 | | | | 46,525 | |
PPG Industries, Inc. | | | 17,200 | | | | 1,446,004 | |
Praxair, Inc. | | | 31,800 | | | | 3,035,946 | |
Sherwin-Williams Co. (The) | | | 9,800 | | | | 820,750 | |
Sigma-Aldrich Corp. | | | 12,200 | | | | 812,032 | |
Teijin Ltd. (Japan) | | | 4,000 | | | | 17,096 | |
Ube Industries Ltd. (Japan) | | | 3,000 | | | | 9,016 | |
Yara International ASA (Norway) | | | 1,989 | | | | 115,044 | |
| | | | | | |
|
|
|
| | | | | | | | 26,194,441 | |
| | | | | | |
|
|
|
Commercial Banks — 1.7% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | 9,474 | | | | 226,261 | |
Banco Bilbao Vizcaya Argentaria SA (Spain) | | | 6,735 | | | | 68,040 | |
Banco Santander SA (Spain) | | | 12,774 | | | | 135,331 | |
Bank of Cyprus Public Co. Ltd. (Cyprus) | | | 2,747 | | | | 9,471 | |
Barclays PLC (United Kingdom) | | | 57,160 | | | | 233,176 | |
BB&T Corp. | | | 72,500 | | | | 1,906,025 | |
Bendigo and Adelaide Bank Ltd. (Australia) | | | 7,308 | | | | 74,372 | |
BNP Paribas (France) | | | 3,887 | | | | 247,297 | |
Chiba Bank Ltd. (The) (Japan) | | | 5,000 | | | | 32,516 | |
Chuo Mitsui Trust Holdings, Inc. (Japan) | | | 22,000 | | | | 91,317 | |
Comerica, Inc. | | | 16,900 | | | | 713,856 | |
Commonwealth Bank of Australia (Australia) | | | 2,529 | | | | 131,325 | |
Dexia SA (Belgium)(a) | | | 2,246 | | | | 7,804 | |
DnB NOR ASA (Norway) | | | 4,598 | | | | 64,537 | |
Fifth Third Bancorp | | | 89,021 | | | | 1,306,828 | |
First Horizon National Corp.(a) | | | 28,587 | | | | 336,755 | |
Hachijuni Bank, Ltd. (The) (Japan) | | | 7,000 | | | | 39,143 | |
HSBC Holdings PLC (United Kingdom) | | | 25,166 | | | | 255,466 | |
Huntington Bancshares, Inc. | | | 80,936 | | | | 556,030 | |
KBC Groep NV (Belgium)(a) | | | 2,237 | | | | 76,228 | |
KeyCorp | | | 92,300 | | | | 816,855 | |
M&T Bank Corp.(b) | | | 11,100 | | | | 966,255 | |
Marshall & Ilsley Corp. | | | 48,500 | | | | 335,620 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | 17,800 | | | | 96,246 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Commercial Banks (continued) | | | | | | | | |
Mizuho Financial Group, Inc. (Japan) | | | 55,000 | | | $ | 103,646 | |
Nordea Bank AB (Sweden) | | | 18,102 | | | | 196,882 | |
PNC Financial Services Group, Inc. | | | 54,433 | | | | 3,305,172 | |
Regions Financial Corp. | | | 129,603 | | | | 907,221 | |
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | | | 16,199 | | | | 135,119 | |
Societe Generale (France) | | | 4,609 | | | | 247,717 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | 7,900 | | | | 281,399 | |
SunTrust Banks, Inc. | | | 52,500 | | | | 1,549,275 | |
Svenska Handelsbanken AB (Sweden)
(Class A Stock) | | | 3,241 | | | | 103,557 | |
Swedbank AB (Sweden)
(Class A Stock)(a) | | | 10,333 | | | | 144,110 | |
U.S. Bancorp | | | 201,785 | | | | 5,442,142 | |
Wells Fargo & Co. | | | 542,064 | | | | 16,798,563 | |
Westpac Banking Corp. (Australia) | | | 5,256 | | | | 119,397 | |
Yamaguchi Financial Group, Inc. (Japan) | | | 9,000 | | | | 91,120 | |
Zions Bancorporation | | | 15,850 | | | | 384,046 | |
| | | | | | |
|
|
|
| | | | | | | | 38,536,120 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 0.3% | | | | | |
Avery Dennison Corp. | | | 11,500 | | | | 486,910 | |
Brambles Ltd. (Australia) | | | 7,524 | | | | 54,792 | |
Cintas Corp. | | | 14,600 | | | | 408,216 | |
Iron Mountain, Inc. | | | 20,800 | | | | 520,208 | |
Pitney Bowes, Inc. | | | 20,700 | | | | 500,526 | |
Republic Services, Inc. (Class A Stock) | | | 34,365 | | | | 1,026,139 | |
RR Donnelley & Sons Co. | | | 21,400 | | | | 373,858 | |
Societe BIC SA (France) | | | 240 | | | | 20,628 | |
Stericycle, Inc.(a) | | | 8,800 | | | | 712,096 | |
Waste Management, Inc. | | | 48,242 | | | | 1,778,683 | |
| | | | | | |
|
|
|
| | | | | | | | 5,882,056 | |
| | | | | | |
|
|
|
Communications Equipment — 1.2% | | | | | |
Cisco Systems, Inc.(a) | | | 581,000 | | | | 11,753,630 | |
F5 Networks, Inc.(a) | | | 7,400 | | | | 963,184 | |
Harris Corp. | | | 14,200 | | | | 643,260 | |
JDS Uniphase Corp.(a) | | | 21,475 | | | | 310,958 | |
Juniper Networks, Inc.(a) | | | 53,500 | | | | 1,975,220 | |
Motorola Solutions, Inc.(a) | | | 241,425 | | | | 2,189,725 | |
Nokia OYJ (Finland) | | | 5,047 | | | | 52,201 | |
QUALCOMM, Inc. | | | 165,400 | | | | 8,185,646 | |
Tellabs, Inc. | | | 41,800 | | | | 283,404 | |
| | | | | | |
|
|
|
| | | | | | | | 26,357,228 | |
| | | | | | |
|
|
|
Computers & Peripherals — 2.3% | | | | | |
Apple, Inc.(a) | | | 94,500 | | | | 30,481,920 | |
Dell, Inc.(a) | | | 174,800 | | | | 2,368,540 | |
EMC Corp.(a) | | | 212,250 | | | | 4,860,525 | |
Hewlett-Packard Co. | | | 237,748 | | | | 10,009,191 | |
Lexmark International, Inc. (Class A Stock)(a) | | | 8,733 | | | | 304,083 | |
Logitech International SA (Switzerland)(a) | | | 416 | | | | 7,920 | |
NetApp, Inc.(a) | | | 36,900 | | | | 2,028,024 | |
QLogic Corp.(a) | | | 12,100 | | | | 205,942 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Computers & Peripherals (continued) | | | | | |
SanDisk Corp.(a) | | | 24,500 | | | $ | 1,221,570 | |
Seiko Epson Corp. (Japan) | | | 500 | | | | 9,114 | |
Western Digital Corp.(a) | | | 24,600 | | | | 833,940 | |
| | | | | | |
|
|
|
| | | | | | | | 52,330,769 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.1% | | | | | |
Balfour Beatty PLC (United Kingdom) | | | 2,320 | | | | 11,318 | |
Fluor Corp. | | | 19,100 | | | | 1,265,566 | |
Jacobs Engineering Group, Inc.(a) | | | 12,700 | | | | 582,295 | |
Quanta Services, Inc.(a)(b) | | | 20,100 | | | | 400,392 | |
Vinci SA (France) | | | 583 | | | | 31,692 | |
| | | | | | |
|
|
|
| | | | | | | | 2,291,263 | |
| | | | | | |
|
|
|
Construction Materials | | | | | | | | |
Imerys SA (France) | | | 124 | | | | 8,266 | |
Vulcan Materials Co. | | | 13,400 | | | | 594,424 | |
| | | | | | |
|
|
|
| | | | | | | | 602,690 | |
| | | | | | |
|
|
|
Consumer Finance — 0.4% | | | | | |
American Express Co. | | | 110,300 | | | | 4,734,076 | |
Capital One Financial Corp. | | | 49,161 | | | | 2,092,292 | |
Discover Financial Services | | | 60,540 | | | | 1,121,806 | |
SLM Corp.(a) | | | 55,700 | | | | 701,263 | |
| | | | | | |
|
|
|
| | | | | | | | 8,649,437 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.1% | | | | | |
Ball Corp. | | | 10,100 | | | | 687,305 | |
Bemis Co., Inc. | | | 11,300 | | | | 369,058 | |
Owens-Illinois, Inc.(a) | | | 17,500 | | | | 537,250 | |
Rexam PLC (United Kingdom) | | | 26,243 | | | | 136,125 | |
Sealed Air Corp. | | | 17,100 | | | | 435,195 | |
| | | | | | |
|
|
|
| | | | | | | | 2,164,933 | |
| | | | | | |
|
|
|
Distributors | | | | | | | | |
Genuine Parts Co.(b) | | | 17,700 | | | | 908,718 | |
Jardine Cycle & Carriage Ltd. (Singapore) | | | 1,000 | | | | 28,519 | |
| | | | | | |
|
|
|
| | | | | | | | 937,237 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.1% | | | | | |
Apollo Group, Inc. (Class A Stock)(a) | | | 13,500 | | | | 533,115 | |
DeVry, Inc. | | | 6,300 | | | | 302,274 | |
H&R Block, Inc. | | | 35,600 | | | | 423,996 | |
| | | | | | |
|
|
|
| | | | | | | | 1,259,385 | |
| | | | | | |
|
|
|
Diversified Financial Services — 2.3% | | | | | |
Bank of America Corp. | | | 1,044,521 | | | | 13,933,910 | |
Citigroup, Inc.(a) | | | 2,996,058 | | | | 14,171,354 | |
CME Group, Inc. (Class A Stock) | | | 6,740 | | | | 2,168,595 | |
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) | | | 6,300 | | | | 142,895 | |
ING Groep NV (Netherlands)(a) | | | 24,470 | | | | 238,052 | |
IntercontinentalExchange, Inc.(a) | | | 7,400 | | | | 881,710 | |
JPMorgan Chase & Co. | | | 408,645 | | | | 17,334,721 | |
Leucadia National Corp. | | | 19,700 | | | | 574,846 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | | | 1,630 | | | | 64,646 | |
Moody’s Corp.(b) | | | 22,500 | | | | 597,150 | |
Nasdaq OMX Group, Inc. (The)(a) | | | 16,600 | | | | 393,586 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Diversified Financial Services (continued) | |
NYSE Euronext | | | 30,200 | | | $ | 905,396 | |
ORIX Corp. (Japan) | | | 1,080 | | | | 106,284 | |
Pohjola Bank PLC (Finland) | | | 1,402 | | | | 16,805 | |
| | | | | | |
|
|
|
| | | | | | | | 51,529,950 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 1.5% | |
AT&T, Inc. | | | 613,268 | | | | 18,017,814 | |
CenturyLink, Inc.(b) | | | 32,007 | | | | 1,477,763 | |
France Telecom SA (France) | | | 6,158 | | | | 128,331 | |
Frontier Communications Corp. | | | 103,890 | | | | 1,010,850 | |
Koninklijke KPN NV (Netherlands) | | | 2,731 | | | | 39,852 | |
Nippon Telegraph & Telephone Corp. (Japan) | | | 4,300 | | | | 194,636 | |
Qwest Communications International, Inc. | | | 164,657 | | | | 1,253,040 | |
Swisscom AG (Switzerland) | | | 195 | | | | 85,737 | |
Tele2 AB (Sweden) (Class B Stock) | | | 449 | | | | 9,320 | |
Telecom Corp. of New Zealand Ltd. (New Zealand) | | | 5,109 | | | | 8,639 | |
Telefonica SA (Spain) | | | 13,721 | | | | 311,062 | |
Telenor ASA (Norway) | | | 3,548 | | | | 57,643 | |
TeliaSonera AB (Sweden) | | | 5,709 | | | | 45,243 | |
Telstra Corp. Ltd. (Australia) | | | 27,198 | | | | 77,612 | |
Verizon Communications, Inc. | | | 295,476 | | | | 10,572,131 | |
Windstream Corp. | | | 46,057 | | | | 642,035 | |
| | | | | | |
|
|
|
| | | | | | | | 33,931,708 | |
| | | | | | |
|
|
|
Electric Utilities — 1.0% | | | | | |
Allegheny Energy, Inc. | | | 16,800 | | | | 407,232 | |
American Electric Power Co., Inc. | | | 48,760 | | | | 1,754,385 | |
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | | | 3,000 | | | | 13,740 | |
Duke Energy Corp. | | | 140,424 | | | | 2,500,951 | |
E.ON AG (Germany) | | | 3,723 | | | | 114,103 | |
Edison International | | | 33,100 | | | | 1,277,660 | |
Enel SpA (Italy) | | | 47,952 | | | | 239,654 | |
Entergy Corp. | | | 19,400 | | | | 1,374,102 | |
Exelon Corp. | | | 67,974 | | | | 2,830,437 | |
FirstEnergy Corp.(b) | | | 32,601 | | | | 1,206,889 | |
Fortum OYJ (Finland) | | | 220 | | | | 6,624 | |
Iberdrola SA (Spain) | | | 3,509 | | | | 27,047 | |
Kansai Electric Power Co., Inc. (The) (Japan) | | | 2,200 | | | | 54,302 | |
NextEra Energy, Inc.(b) | | | 42,300 | | | | 2,199,177 | |
Northeast Utilities | | | 18,200 | | | | 580,216 | |
Pepco Holdings, Inc. | | | 23,800 | | | | 434,350 | |
Pinnacle West Capital Corp. | | | 10,200 | | | | 422,790 | |
PPL Corp. | | | 48,900 | | | | 1,287,048 | |
Progress Energy, Inc. | | | 29,683 | | | | 1,290,617 | |
Southern Co. | | | 84,500 | | | | 3,230,435 | |
SP AusNet (Australia)(c) | | | 25,327 | | | | 22,537 | |
Tohoku Electric Power Co., Inc. (Japan) | | | 5,200 | | | | 115,926 | |
| | | | | | |
|
|
|
| | | | | | | | 21,390,222 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.3% | | | | | |
ABB Ltd. (Switzerland) | | | 4,925 | | | | 109,720 | |
Emerson Electric Co. | | | 78,000 | | | | 4,459,260 | |
Legrand SA (France) | | | 1,293 | | | | 52,656 | |
Mitsubishi Electric Corp. (Japan) | | | 19,000 | | | | 199,384 | |
Rockwell Automation, Inc. | | | 15,300 | | | | 1,097,163 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Electrical Equipment (continued) | | | | | |
Roper Industries, Inc. | | | 9,800 | | | $ | 749,014 | |
Schneider Electric SA (France) | | | 759 | | | | 113,597 | |
Ushio, Inc. (Japan) | | | 300 | | | | 5,720 | |
| | | | | | |
|
|
|
| | | | | | | | 6,786,514 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 0.3% | | | | | |
Amphenol Corp. (Class A Stock) | | | 18,700 | | | | 986,986 | |
Corning, Inc. | | | 162,900 | | | | 3,147,228 | |
FLIR Systems, Inc.(a) | | | 14,900 | | | | 443,275 | |
Hamamatsu Photonics KK (Japan) | | | 1,900 | | | | 69,457 | |
Hitachi High-Technologies Corp. (Japan) | | | 1,600 | | | | 37,404 | |
Hitachi, Ltd. (Japan) | | | 21,000 | | | | 111,997 | |
Jabil Circuit, Inc. | | | 23,600 | | | | 474,124 | |
Keyence Corp. (Japan) | | | 500 | | | | 144,845 | |
Kyocera Corp. (Japan) | | | 500 | | | | 51,053 | |
Molex, Inc. | | | 15,000 | | | | 340,800 | |
Murata Manufacturing Co. Ltd. (Japan) | | | 1,000 | | | | 70,082 | |
| | | | | | |
|
|
|
| | | | | | | | 5,877,251 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.1% | | | | | |
Baker Hughes, Inc. | | | 43,398 | | | | 2,481,064 | |
Cameron International Corp.(a) | | | 24,600 | | | | 1,247,958 | |
Diamond Offshore Drilling, Inc.(b) | | | 7,800 | | | | 521,586 | |
FMC Technologies, Inc.(a) | | | 11,900 | | | | 1,058,029 | |
Halliburton Co. | | | 95,200 | | | | 3,887,016 | |
Helmerich & Payne, Inc. | | | 10,700 | | | | 518,736 | |
Nabors Industries Ltd.(a) | | | 27,700 | | | | 649,842 | |
National Oilwell Varco, Inc. | | | 42,800 | | | | 2,878,300 | |
Petrofac Ltd. (United Kingdom) | | | 2,686 | | | | 66,459 | |
Rowan Cos., Inc.(a)(b) | | | 13,200 | | | | 460,812 | |
Schlumberger Ltd. | | | 140,418 | | | | 11,724,903 | |
| | | | | | |
|
|
|
| | | | | | | | 25,494,705 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.3% | | | | | |
Aeon Co. Ltd. (Japan) | | | 10,900 | | | | 136,401 | |
Costco Wholesale Corp. | | | 44,600 | | | | 3,220,566 | |
CVS Caremark Corp. | | | 141,348 | | | | 4,914,670 | |
Delhaize Group SA (Belgium) | | | 256 | | | | 18,908 | |
Kesko OYJ (Finland) (Class B Stock) | | | 896 | | | | 41,823 | |
Kroger Co. (The) | | | 66,546 | | | | 1,487,968 | |
Metro AG (Germany) | | | 1,520 | | | | 109,440 | |
Safeway, Inc. | | | 40,500 | | | | 910,845 | |
SUPERVALU, Inc. | | | 22,310 | | | | 214,845 | |
Sysco Corp. | | | 60,200 | | | | 1,769,880 | |
Tesco PLC (United Kingdom) | | | 13,265 | | | | 87,896 | |
Walgreen Co. | | | 95,100 | | | | 3,705,096 | |
Wal-Mart Stores, Inc. | | | 205,500 | | | | 11,082,615 | |
Whole Foods Market, Inc.(a)(b) | | | 16,200 | | | | 819,558 | |
Woolworths Ltd. (Australia) | | | 1,200 | | | | 33,102 | |
| | | | | | |
|
|
|
| | | | | | | | 28,553,613 | |
| | | | | | |
|
|
|
Food Products — 1.0% | | | | | |
Archer-Daniels-Midland Co. | | | 65,326 | | | | 1,965,006 | |
Associated British Foods PLC (United Kingdom) | | | 4,274 | | | | 78,696 | |
Campbell Soup Co. | | | 20,400 | | | | 708,900 | |
ConAgra Foods, Inc. | | | 45,100 | | | | 1,018,358 | |
Danone (France) | | | 1,502 | | | | 94,375 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Food Products (continued) | | | | | |
Dean Foods Co.(a) | | | 20,800 | | | $ | 183,872 | |
General Mills, Inc. | | | 66,400 | | | | 2,363,176 | |
H.J. Heinz Co. | | | 32,000 | | | | 1,582,720 | |
Hershey Co. (The) | | | 16,400 | | | | 773,260 | |
Hormel Foods Corp. | | | 7,300 | | | | 374,198 | |
J.M. Smucker Co. (The) | | | 12,500 | | | | 820,625 | |
Kellogg Co. | | | 27,100 | | | | 1,384,268 | |
Kraft Foods, Inc. (Class A Stock) | | | 178,653 | | | | 5,629,356 | |
Lindt & Spruengli AG (Switzerland) | | | 2 | | | | 64,385 | |
McCormick & Co., Inc. | | | 12,800 | | | | 595,584 | |
Mead Johnson Nutrition Co. | | | 21,067 | | | | 1,311,421 | |
Nestle SA (Switzerland) | | | 5,098 | | | | 298,519 | |
Sara Lee Corp. | | | 68,100 | | | | 1,192,431 | |
Tyson Foods, Inc. (Class A Stock) | | | 33,400 | | | | 575,148 | |
Unilever NV (Netherlands) | | | 5,556 | | | | 172,992 | |
Unilever PLC (United Kingdom) | | | 8,116 | | | | 248,390 | |
| | | | | | |
|
|
|
| | | | | | | | 21,435,680 | |
| | | | | | |
|
|
|
Gas Utilities | | | | | |
Enagas (Spain) | | | 1,394 | | | | 27,784 | |
Nicor, Inc. | | | 4,700 | | | | 234,624 | |
ONEOK, Inc. | | | 11,000 | | | | 610,170 | |
Osaka Gas Co. Ltd. (Japan) | | | 13,000 | | | | 50,437 | |
Snam Rete Gas SpA (Italy) | | | 7,046 | | | | 35,026 | |
Tokyo Gas Co. Ltd. (Japan) | | | 6,000 | | | | 26,605 | |
| | | | | | |
|
|
|
| | | | | | | | 984,646 | |
| | | | | | |
|
|
|
Healthcare Equipment & Supplies — 0.9% | | | | | |
Baxter International, Inc. | | | 60,400 | | | | 3,057,448 | |
Becton Dickinson and Co. | | | 24,600 | | | | 2,079,192 | |
Boston Scientific Corp.(a)(b) | | | 160,467 | | | | 1,214,735 | |
C.R. Bard, Inc.(b) | | | 10,200 | | | | 936,054 | |
CareFusion Corp.(a) | | | 22,975 | | | | 590,457 | |
Coloplast A/S (Denmark) (Class B Stock) | | | 792 | | | | 107,625 | |
DENTSPLY International, Inc. | | | 16,200 | | | | 553,554 | |
Intuitive Surgical, Inc.(a) | | | 4,100 | | | | 1,056,775 | |
Medtronic, Inc. | | | 113,500 | | | | 4,209,715 | |
St. Jude Medical, Inc.(a) | | | 33,800 | | | | 1,444,950 | |
Stryker Corp. | | | 34,000 | | | | 1,825,800 | |
Varian Medical Systems, Inc.(a) | | | 13,100 | | | | 907,568 | |
Zimmer Holdings, Inc.(a) | | | 21,000 | | | | 1,127,280 | |
| | | | | | |
|
|
|
| | | | | | | | 19,111,153 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.1% | | | | | |
Aetna, Inc. | | | 44,900 | | | | 1,369,899 | |
AmerisourceBergen Corp.
(Class A Stock) | | | 29,600 | | | | 1,009,952 | |
Cardinal Health, Inc. | | | 37,750 | | | | 1,446,203 | |
CIGNA Corp. | | | 28,400 | | | | 1,041,144 | |
Coventry Health Care, Inc.(a) | | | 17,050 | | | | 450,120 | |
DaVita, Inc.(a) | | | 9,400 | | | | 653,206 | |
Express Scripts, Inc.(a) | | | 56,000 | | | | 3,026,800 | |
Humana, Inc.(a) | | | 16,700 | | | | 914,158 | |
Laboratory Corp. of America Holdings(a)(b) | | | 10,700 | | | | 940,744 | |
McKesson Corp. | | | 27,630 | | | | 1,944,599 | |
Medco Health Solutions, Inc.(a) | | | 45,798 | | | | 2,806,043 | |
Patterson Cos., Inc. | | | 9,000 | | | | 275,670 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Healthcare Providers & Services (continued) | | | | | |
Quest Diagnostics, Inc. | | | 15,500 | | | $ | 836,535 | |
Tenet Healthcare Corp.(a) | | | 44,600 | | | | 298,374 | |
UnitedHealth Group, Inc. | | | 117,200 | | | | 4,232,092 | |
WellPoint, Inc.(a) | | | 42,900 | | | | 2,439,294 | |
| | | | | | |
|
|
|
| | | | | | | | 23,684,833 | |
| | | | | | |
|
|
|
Healthcare Technology | | | | | | | | |
Cerner Corp.(a) | | | 7,100 | | | | 672,654 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 0.9% | | | | | | | | |
Accor SA (France) | | | 1,742 | | | | 77,517 | |
Carnival Corp. | | | 44,300 | | | | 2,042,673 | |
Darden Restaurants, Inc. | | | 13,950 | | | | 647,838 | |
Intercontinental Hotels Group PLC (United Kingdom) | | | 453 | | | | 8,779 | |
International Game Technology | | | 28,200 | | | | 498,858 | |
Marriott International, Inc.
(Class A Stock) | | | 27,628 | | | | 1,147,667 | |
McDonald’s Corp. | | | 110,500 | | | | 8,481,980 | |
OPAP SA (Greece) | | | 726 | | | | 12,554 | |
SJM Holdings Ltd. (Hong Kong) | | | 57,000 | | | | 90,493 | |
Starbucks Corp. | | | 77,200 | | | | 2,480,436 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 18,200 | | | | 1,106,196 | |
Thomas Cook Group PLC (United Kingdom) | | | 24,614 | | | | 72,798 | |
TUI AG (Germany)(a) | | | 1,892 | | | | 26,547 | |
Wyndham Worldwide Corp. | | | 17,620 | | | | 527,895 | |
Wynn Macau Ltd. | | | 38,800 | | | | 86,857 | |
Wynn Resorts Ltd. | | | 6,700 | | | | 695,728 | |
Yum! Brands, Inc. | | | 47,500 | | | | 2,329,875 | |
| | | | | | |
|
|
|
| | | | | | | | 20,334,691 | |
| | | | | | |
|
|
|
Household Durables — 0.2% | | | | | | | | |
D.R. Horton, Inc. | | | 31,100 | | | | 371,023 | |
Fortune Brands, Inc. | | | 16,600 | | | | 1,000,150 | |
Harman International Industries, Inc.(a) | | | 6,400 | | | | 296,320 | |
Leggett & Platt, Inc. | | | 16,800 | | | | 382,368 | |
Lennar Corp. (Class A Stock)(b) | | | 17,200 | | | | 322,500 | |
Newell Rubbermaid, Inc. | | | 30,514 | | | | 554,745 | |
Panasonic Corp. (Japan) | | | 600 | | | | 8,521 | |
Pulte Group, Inc.(a)(b) | | | 33,522 | | | | 252,085 | |
Sekisui Chemical Co. Ltd. (Japan) | | | 5,000 | | | | 35,903 | |
Stanley Black & Decker, Inc. | | | 16,897 | | | | 1,129,902 | |
Whirlpool Corp.(b) | | | 7,926 | | | | 704,067 | |
| | | | | | |
|
|
|
| | | | | | | | 5,057,584 | |
| | | | | | |
|
|
|
Household Products — 1.2% | | | | | | | | |
Clorox Co. | | | 14,500 | | | | 917,560 | |
Colgate-Palmolive Co. | | | 50,300 | | | | 4,042,611 | |
Henkel AG & Co. KGaA (Germany) | | | 883 | | | | 45,564 | |
Kimberly-Clark Corp. | | | 42,700 | | | | 2,691,808 | |
Procter & Gamble Co. (The) | | | 292,625 | | | | 18,824,567 | |
Reckitt Benckiser Group PLC (United Kingdom) | | | 3,822 | | | | 210,049 | |
| | | | | | |
|
|
|
| | | | | | | | 26,732,159 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.1% | |
AES Corp. (The)(a) | | | 74,500 | | | | 907,410 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Independent Power Producers & Energy Traders (continued) | |
Constellation Energy Group, Inc. | | | 21,200 | | | $ | 649,356 | |
NRG Energy, Inc.(a) | | | 27,000 | | | | 527,580 | |
| | | | | | |
|
|
|
| | | | | | | | 2,084,346 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 1.3% | | | | | | | | |
3M Co. | | | 73,700 | | | | 6,360,310 | |
General Electric Co. | | | 1,107,800 | | | | 20,261,662 | |
Hutchison Whampoa, Ltd. (Hong Kong) | | | 5,000 | | | | 51,462 | |
Siemens AG (Germany) | | | 2,235 | | | | 276,862 | |
Smiths Group PLC (United Kingdom) | | | 1,192 | | | | 23,138 | |
Textron, Inc. | | | 24,500 | | | | 579,180 | |
Tyco International Ltd. | | | 50,700 | | | | 2,101,008 | |
| | | | | | |
|
|
|
| | | | | | | | 29,653,622 | |
| | | | | | |
|
|
|
Insurance — 2.0% | | | | | | | | |
ACE Ltd. | | | 34,700 | | | | 2,160,075 | |
Aflac, Inc. | | | 48,400 | | | | 2,731,212 | |
Ageas (Belgium) | | | 5,479 | | | | 12,520 | |
Allianz SE (Germany) | | | 1,891 | | | | 224,723 | |
Allstate Corp. (The) | | | 58,300 | | | | 1,858,604 | |
American International Group, Inc.(a)(b) | | | 13,139 | | | | 757,069 | |
Aon Corp. | | | 31,900 | | | | 1,467,719 | |
Assurant, Inc. | | | 12,100 | | | | 466,092 | |
Aviva PLC (United Kingdom) | | | 27,294 | | | | 167,236 | |
AXA SA (France) | | | 1,270 | | | | 21,129 | |
Berkshire Hathaway, Inc.
(Class B Stock)(a) | | | 178,700 | | | | 14,315,657 | |
Chubb Corp. | | | 33,700 | | | | 2,009,868 | |
Cincinnati Financial Corp. | | | 19,037 | | | | 603,282 | |
Genworth Financial, Inc.
(Class A Stock)(a) | | | 51,200 | | | | 672,768 | |
Hannover Rueckversicherung AG (Germany) | | | 1,890 | | | | 101,366 | |
Hartford Financial Services Group, Inc. (The) | | | 44,300 | | | | 1,173,507 | |
Legal & General Group PLC (United Kingdom) | | | 33,241 | | | | 50,141 | |
Lincoln National Corp. | | | 32,018 | | | | 890,421 | |
Loews Corp. | | | 33,975 | | | | 1,321,967 | |
Marsh & McLennan Cos., Inc. | | | 56,800 | | | | 1,552,912 | |
MetLife, Inc.(b) | | | 92,800 | | | | 4,124,032 | |
Muenchener Rueckversicherungs AG (Germany) | | | 754 | | | | 114,310 | |
Old Mutual PLC (United Kingdom) | | | 60,604 | | | | 116,314 | |
Principal Financial Group, Inc. | | | 35,800 | | | | 1,165,648 | |
Progressive Corp. (The) | | | 71,900 | | | | 1,428,653 | |
RSA Insurance Group PLC (United Kingdom) | | | 39,527 | | | | 77,156 | |
SCOR SE (France) | | | 3,586 | | | | 91,048 | |
Swiss Reinsurance Co. Ltd. (Switzerland) | | | 4,012 | | | | 215,833 | |
Torchmark Corp. | | | 10,000 | | | | 597,400 | |
Travelers Cos., Inc. (The) | | | 49,535 | | | | 2,759,595 | |
Unum Group | | | 37,410 | | | | 906,070 | |
XL Group PLC (Class A Stock) | | | 37,600 | | | | 820,432 | |
| | | | | | |
|
|
|
| | | | | | | | 44,974,759 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Internet & Catalog Retail — 0.4% | | | | | | | | |
Amazon.com, Inc.(a) | | | 35,900 | | | $ | 6,462,000 | |
Dena Co. Ltd. (Japan) | | | 300 | | | | 10,760 | |
Expedia, Inc. | | | 23,300 | | | | 584,597 | |
NetFlix, Inc.(a) | | | 3,500 | | | | 614,950 | |
priceline.com, Inc.(a) | | | 5,000 | | | | 1,997,750 | |
| | | | | | |
|
|
|
| | | | | | | | 9,670,057 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.0% | | | | | | | | |
Akamai Technologies, Inc.(a) | | | 18,300 | | | | 861,015 | |
eBay, Inc.(a)(b) | | | 117,500 | | | | 3,270,025 | |
Google, Inc. (Class A Stock)(a) | | | 25,600 | | | | 15,205,632 | |
Monster Worldwide, Inc.(a)(b) | | | 14,400 | | | | 340,272 | |
VeriSign, Inc.(b) | | | 18,400 | | | | 601,128 | |
Yahoo!, Inc.(a) | | | 135,300 | | | | 2,250,039 | |
| | | | | | |
|
|
|
| | | | | | | | 22,528,111 | |
| | | | | | |
|
|
|
IT Services — 1.6% | | | | | | | | |
Automatic Data Processing, Inc. | | | 50,700 | | | | 2,346,396 | |
Cognizant Technology Solutions Corp. (Class A Stock)(a) | | | 30,200 | | | | 2,213,358 | |
Computer Sciences Corp. | | | 16,400 | | | | 813,440 | |
Fidelity National Information Services, Inc. | | | 25,600 | | | | 701,184 | |
Fiserv, Inc.(a) | | | 15,600 | | | | 913,536 | |
International Business Machines Corp. | | | 129,400 | | | | 18,990,744 | |
Itochu Techno-Solutions Corp. (Japan) | | | 1,400 | | | | 52,506 | |
Mastercard, Inc. (Class A Stock) | | | 10,100 | | | | 2,263,511 | |
Obic Co. Ltd. (Japan) | | | 270 | | | | 55,603 | |
Paychex, Inc. | | | 33,100 | | | | 1,023,121 | |
SAIC, Inc.(a) | | | 29,000 | | | | 459,940 | |
Teradata Corp.(a) | | | 16,800 | | | | 691,488 | |
Total System Services, Inc. | | | 19,096 | | | | 293,697 | |
Visa, Inc. (Class A Stock) | | | 51,300 | | | | 3,610,494 | |
Western Union Co. (The) | | | 70,010 | | | | 1,300,086 | |
| | | | | | |
|
|
|
| | | | | | | | 35,729,104 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.1% | | | | | | | | |
Hasbro, Inc. | | | 13,600 | | | | 641,648 | |
Mattel, Inc. | | | 38,251 | | | | 972,723 | |
Sega Sammy Holdings, Inc. (Japan) | | | 6,500 | | | | 123,691 | |
| | | | | | |
|
|
|
| | | | | | | | 1,738,062 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.3% | | | | | | | | |
Agilent Technologies, Inc.(a) | | | 35,614 | | | | 1,475,488 | |
Life Technologies Corp.(a) | | | 18,201 | | | | 1,010,156 | |
PerkinElmer, Inc. | | | 12,600 | | | | 325,332 | |
Thermo Fisher Scientific, Inc.(a) | | | 43,100 | | | | 2,386,016 | |
Waters Corp.(a) | | | 9,200 | | | | 714,932 | |
| | | | | | |
|
|
|
| | | | | | | | 5,911,924 | |
| | | | | | |
|
|
|
Machinery — 1.2% | | | | | | | | |
Atlas Copco AB (Sweden)
(Class A Stock) | | | 4,821 | | | | 121,642 | |
Atlas Copco AB (Sweden)
(Class B Stock) | | | 2,228 | | | | 50,386 | |
Caterpillar, Inc. | | | 64,300 | | | | 6,022,338 | |
Cosco Corp. Singapore Ltd. (Singapore) | | | 7,000 | | | | 11,673 | |
Cummins, Inc. | | | 20,500 | | | | 2,255,205 | |
Danaher Corp. | | | 55,300 | | | | 2,608,501 | |
Deere & Co. | | | 43,900 | | | | 3,645,895 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Machinery (continued) | | | | | | | | |
Dover Corp. | | | 19,800 | | | $ | 1,157,310 | |
Eaton Corp. | | | 18,400 | | | | 1,867,784 | |
FANUC Corp. (Japan) | | | 900 | | | | 138,231 | |
Flowserve Corp. | | | 5,300 | | | | 631,866 | |
Illinois Tool Works, Inc. | | | 51,200 | | | | 2,734,080 | |
Ingersoll-Rand PLC(b) | | | 33,300 | | | | 1,568,097 | |
Invensys PLC (United Kingdom) | | | 11,647 | | | | 64,318 | |
Komatsu Ltd. (Japan) | | | 3,200 | | | | 96,840 | |
Kone OYJ (Finland) (Class B Stock) | | | 1,372 | | | | 76,270 | |
Metso OYJ (Finland) | | | 415 | | | | 23,181 | |
PACCAR, Inc. | | | 36,943 | | | | 2,121,267 | |
Pall Corp. | | | 12,000 | | | | 594,960 | |
Parker Hannifin Corp. | | | 17,265 | | | | 1,489,969 | |
Scania AB (Sweden) (Class B Stock) | | | 1,976 | | | | 45,451 | |
SKF AB (Sweden) (Class B Stock) | | | 4,912 | | | | 139,933 | |
SMC Corp. (Japan) | | | 500 | | | | 85,663 | |
Snap-On, Inc. | | | 7,000 | | | | 396,060 | |
Yangzijiang Shipbuilding Holdings Ltd. (Singapore) | | | 34,000 | | | | 50,602 | |
| | | | | | |
|
|
|
| | | | | | | | 27,997,522 | |
| | | | | | |
|
|
|
Marine | | | | | | | | |
Kuehne + Nagel International AG (Switzerland) | | | 636 | | | | 88,428 | |
Neptune Orient Lines Ltd. (Singapore)(a) | | | 24,000 | | | | 40,768 | |
Nippon Yusen KK (Japan) | | | 14,000 | | | | 62,076 | |
Orient Overseas International Ltd. (Hong Kong) | | | 9,500 | | | | 92,155 | |
| | | | | | |
|
|
|
| | | | | | | | 283,427 | |
| | | | | | |
|
|
|
Media — 1.7% | | | | | | | | |
British Sky Broadcasting Group PLC (United Kingdom) | | | 2,092 | | | | 24,006 | |
Cablevision Systems Corp. (Class A Stock) | | | 20,800 | | | | 703,872 | |
CBS Corp. (Class B Stock) | | | 72,534 | | | | 1,381,773 | |
Comcast Corp. (Class A Stock) | | | 292,890 | | | | 6,434,793 | |
DIRECTV (Class A Stock)(a) | | | 91,400 | | | | 3,649,602 | |
Discovery Communications, Inc. (Class A Stock)(a)(b) | | | 27,500 | | | | 1,146,750 | |
Fuji Media Holdings, Inc. (Japan) | | | 43 | | | | 68,003 | |
Gannett Co., Inc. | | | 22,500 | | | | 339,525 | |
Interpublic Group of Cos., Inc. (The)(a) | | | 49,500 | | | | 525,690 | |
ITV PLC (United Kingdom)(a) | | | 74,856 | | | | 81,753 | |
McGraw-Hill Cos., Inc. (The) | | | 32,600 | | | | 1,186,966 | |
Meredith Corp. | | | 3,000 | | | | 103,950 | |
News Corp. (Class A Stock) | | | 234,300 | | | | 3,411,408 | |
Omnicom Group, Inc. | | | 32,200 | | | | 1,474,760 | |
Scripps Networks Interactive, Inc. (Class A Stock) | | | 9,600 | | | | 496,800 | |
Societe Television Francaise 1 (France) | | | 3,483 | | | | 60,507 | |
Time Warner, Inc. | | | 117,466 | | | | 3,778,881 | |
Time Warner Cable, Inc. | | | 37,314 | | | | 2,463,843 | |
Viacom, Inc. (Class B Stock) | | | 64,034 | | | | 2,536,387 | |
Vivendi SA (France) | | | 4,866 | | | | 131,350 | |
Walt Disney Co. (The) | | | 196,700 | | | | 7,378,217 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Media (continued) | | | | | | | | |
Washington Post Co. (The) (Class B Stock)(b) | | | 600 | | | $ | 263,700 | |
WPP PLC (United Kingdom) | | | 3,740 | | | | 46,036 | |
| | | | | | |
|
|
|
| | | | | | | | 37,688,572 | |
| | | | | | |
|
|
|
Metals & Mining — 0.7% | | | | | | | | |
AK Steel Holding Corp. | | | 11,900 | | | | 194,803 | |
Alcoa, Inc. | | | 104,240 | | | | 1,604,254 | |
Allegheny Technologies, Inc. | | | 10,200 | | | | 562,836 | |
Alumina Ltd. (Australia) | | | 1,791 | | | | 4,543 | |
Anglo American PLC (United Kingdom) | | | 2,032 | | | | 105,671 | |
BHP Billiton Ltd. (Australia) | | | 11,170 | | | | 516,966 | |
BHP Billiton PLC (Australia) | | | 6,342 | | | | 252,236 | |
Cliffs Natural Resources, Inc. | | | 14,000 | | | | 1,092,140 | |
Daido Steel Co. Ltd. (Japan) | | | 7,000 | | | | 41,126 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 48,894 | | | | 5,871,680 | |
Fresnillo PLC (United Kingdom) | | | 2,425 | | | | 63,064 | |
Mitsubishi Materials Corp. (Japan)(a) | | | 16,000 | | | | 51,041 | |
Newmont Mining Corp. | | | 50,600 | | | | 3,108,358 | |
Nucor Corp. | | | 31,600 | | | | 1,384,712 | |
OZ Minerals Ltd. (Australia) | | | 102,318 | | | | 179,999 | |
Rio Tinto Ltd. (Australia) | | | 2,569 | | | | 224,578 | |
Rio Tinto PLC (United Kingdom) | | | 2,823 | | | | 197,465 | |
Titanium Metals Corp.(a) | | | 5,700 | | | | 97,926 | |
United States Steel Corp. | | | 15,600 | | | | 911,352 | |
Xstrata PLC (United Kingdom) | | | 3,401 | | | | 79,828 | |
| | | | | | |
|
|
|
| | | | | | | | 16,544,578 | |
| | | | | | |
|
|
|
Multiline Retail — 0.5% | | | | | | | | |
Big Lots, Inc.(a) | | | 9,200 | | | | 280,232 | |
Family Dollar Stores, Inc. | | | 14,300 | | | | 710,853 | |
J.C. Penney Co., Inc. | | | 21,800 | | | | 704,358 | |
Kohl’s Corp.(a) | | | 31,900 | | | | 1,733,446 | |
Macy’s, Inc. | | | 44,874 | | | | 1,135,312 | |
Next PLC (United Kingdom) | | | 4,096 | | | | 126,124 | |
Nordstrom, Inc. | | | 15,800 | | | | 669,604 | |
PPR (France) | | | 357 | | | | 56,770 | |
Sears Holdings Corp.(a)(b) | | | 5,042 | | | | 371,848 | |
Target Corp. | | | 75,900 | | | | 4,563,867 | |
| | | | | | |
|
|
|
| | | | | | | | 10,352,414 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.7% | | | | | | | | |
Ameren Corp. | | | 24,500 | | | | 690,655 | |
CenterPoint Energy, Inc. | | | 41,800 | | | | 657,096 | |
Centrica PLC (United Kingdom) | | | 19,763 | | | | 102,174 | |
CMS Energy Corp.(b) | | | 22,300 | | | | 414,780 | |
Consolidated Edison, Inc. | | | 28,100 | | | | 1,392,917 | |
Dominion Resources, Inc. | | | 62,932 | | | | 2,688,455 | |
DTE Energy Co. | | | 16,600 | | | | 752,312 | |
GDF Suez (France) | | | 5,440 | | | | 195,187 | |
Integrys Energy Group, Inc.(b) | | | 8,120 | | | | 393,901 | |
National Grid PLC (United Kingdom) | | | 14,951 | | | | 128,904 | |
NiSource, Inc.(b) | | | 28,000 | | | | 493,360 | |
PG&E Corp. | | | 38,900 | | | | 1,860,976 | |
Public Service Enterprise Group, Inc. | | | 53,400 | | | | 1,698,654 | |
SCANA Corp. | | | 11,300 | | | | 458,780 | |
Sempra Energy | | | 25,619 | | | | 1,344,485 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Multi-Utilities (continued) | | | | | | | | |
TECO Energy, Inc. | | | 20,500 | | | $ | 364,900 | |
Wisconsin Energy Corp. | | | 12,300 | | | | 723,978 | |
Xcel Energy, Inc. | | | 49,310 | | | | 1,161,250 | |
| | | | | | |
|
|
|
| | | | | | | | 15,522,764 | |
| | | | | | |
|
|
|
Office Electronics — 0.1% | | | | | | | | |
Canon, Inc. (Japan) | | | 4,200 | | | | 217,785 | |
Xerox Corp. | | | 145,663 | | | | 1,678,038 | |
| | | | | | |
|
|
|
| | | | | | | | 1,895,823 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 5.3% | | | | | | | | |
Anadarko Petroleum Corp. | | | 51,054 | | | | 3,888,273 | |
Apache Corp. | | | 38,614 | | | | 4,603,947 | |
BP PLC (United Kingdom) | | | 43,391 | | | | 314,947 | |
Cabot Oil & Gas Corp. | | | 11,500 | | | | 435,275 | |
Caltex Australia Ltd. (Australia) | | | 1,126 | | | | 16,550 | |
Chesapeake Energy Corp. | | | 68,300 | | | | 1,769,653 | |
Chevron Corp. | | | 208,822 | | | | 19,055,007 | |
ConocoPhillips | | | 154,477 | | | | 10,519,884 | |
Consol Energy, Inc. | | | 22,500 | | | | 1,096,650 | |
Cosmo Oil Co. Ltd. (Japan) | | | 57,000 | | | | 186,747 | |
Denbury Resources, Inc.(a) | | | 37,900 | | | | 723,511 | |
Devon Energy Corp. | | | 46,600 | | | | 3,658,566 | |
El Paso Corp. | | | 75,136 | | | | 1,033,871 | |
ENI SpA (Italy) | | | 8,825 | | | | 192,696 | |
EOG Resources, Inc. | | | 25,600 | | | | 2,340,096 | |
EQT Corp. | | | 13,700 | | | | 614,308 | |
Exxon Mobil Corp. | | | 524,199 | | | | 38,329,431 | |
Hess Corp. | | | 30,900 | | | | 2,365,086 | |
Idemitsu Kosan Co. Ltd. (Japan) | | | 1,800 | | | | 191,107 | |
JX Holdings, Inc. (Japan) | | | 30,800 | | | | 209,026 | |
Marathon Oil Corp. | | | 73,282 | | | | 2,713,632 | |
Massey Energy Co. | | | 8,800 | | | | 472,120 | |
Murphy Oil Corp. | | | 19,900 | | | | 1,483,545 | |
Newfield Exploration Co.(a) | | | 11,800 | | | | 850,898 | |
Noble Energy, Inc. | | | 18,600 | | | | 1,601,088 | |
Occidental Petroleum Corp. | | | 84,200 | | | | 8,260,020 | |
Peabody Energy Corp. | | | 27,900 | | | | 1,785,042 | |
Pioneer Natural Resources Co. | | | 11,000 | | | | 955,020 | |
QEP Resources, Inc. | | | 16,800 | | | | 610,008 | |
Range Resources Corp. | | | 16,900 | | | | 760,162 | |
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | | | 5,797 | | | | 193,279 | |
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | | | 4,768 | | | | 157,224 | |
Showa Shell Sekiyu KK (Japan) | | | 9,200 | | | | 84,306 | |
Southwestern Energy Co.(a) | | | 37,000 | | | | 1,384,910 | |
Spectra Energy Corp. | | | 65,762 | | | | 1,643,392 | |
Sunoco, Inc. | | | 12,500 | | | | 503,875 | |
Tesoro Corp.(a) | | | 15,000 | | | | 278,100 | |
TonenGeneral Sekiyu K.K. (Japan) | | | 4,000 | | | | 43,749 | |
Total SA (France) | | | 3,771 | | | | 199,805 | |
Valero Energy Corp. | | | 57,100 | | | | 1,320,152 | |
Williams Cos., Inc. (The) | | | 59,700 | | | | 1,475,784 | |
| | | | | | |
|
|
|
| | | | | | | | 118,320,742 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | | | | |
International Paper Co. | | | 46,973 | | | | 1,279,545 | |
MeadWestvaco Corp. | | | 16,514 | | | | 432,006 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Paper & Forest Products (continued) | | | | | | | | |
| | | | | | | | | |
Stora Enso OYJ (Finland) (Class R Stock) | | | 14,697 | | | $ | 150,931 | |
Svenska Cellulosa AB (Sweden) (Class B Stock) | | | 1,331 | | | | 21,017 | |
| | | | | | |
|
|
|
| | | | | | | | 1,883,499 | |
| | | | | | |
|
|
|
Personal Products — 0.1% | | | | | | | | |
Avon Products, Inc. | | | 41,900 | | | | 1,217,614 | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 12,500 | | | | 1,008,750 | |
KAO Corp. (Japan) | | | 5,200 | | | | 140,135 | |
| | | | | | |
|
|
|
| | | | | | | | 2,366,499 | |
| | | | | | |
|
|
|
Pharmaceuticals — 3.0% | | | | | | | | |
Abbott Laboratories | | | 160,000 | | | | 7,665,600 | |
Allergan, Inc. | | | 31,200 | | | | 2,142,504 | |
AstraZeneca PLC (United Kingdom) | | | 6,715 | | | | 305,912 | |
Bayer AG (Germany) | | | 354 | | | | 26,160 | |
Bristol-Myers Squibb Co. | | | 177,070 | | | | 4,688,814 | |
Eli Lilly & Co. | | | 103,900 | | | | 3,640,656 | |
Forest Laboratories, Inc.(a) | | | 31,100 | | | | 994,578 | |
GlaxoSmithKline PLC (United Kingdom) | | | 6,219 | | | | 120,230 | |
Hospira, Inc.(a) | | | 17,460 | | | | 972,347 | |
Johnson & Johnson | | | 284,848 | | | | 17,617,849 | |
Merck & Co., Inc. | | | 319,833 | | | | 11,526,781 | |
Mylan, Inc.(a)(b) | | | 40,000 | | | | 845,200 | |
Novartis AG (Switzerland) | | | 4,794 | | | | 281,744 | |
Novo Nordisk A/S (Denmark) (Class B Stock) | | | 2,533 | | | | 285,630 | |
Orion OYJ (Finland) (Class B Stock) | | | 4,178 | | | | 91,395 | |
Pfizer, Inc. | | | 836,270 | | | | 14,643,088 | |
Roche Holding AG (Switzerland) | | | 1,576 | | | | 230,922 | |
Sanofi-Aventis SA (France) | | | 3,828 | | | | 244,771 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | | | 3,200 | | | | 157,458 | |
Teva Pharmaceutical Industries Ltd. (Israel) | | | 1,502 | | | | 78,730 | |
Watson Pharmaceuticals, Inc.(a) | | | 10,900 | | | | 562,985 | |
| | | | | | |
|
|
|
| | | | | | | | 67,123,354 | |
| | | | | | |
|
|
|
Professional Services — 0.1% | | | | | | | | |
Adecco SA (Switzerland) | | | 1,828 | | | | 119,749 | |
Bureau Veritas SA (France) | | | 308 | | | | 23,345 | |
Dun & Bradstreet Corp. (The) | | | 5,800 | | | | 476,122 | |
Equifax, Inc. | | | 12,700 | | | | 452,120 | |
Robert Half International, Inc. | | | 15,700 | | | | 480,420 | |
| | | | | | |
|
|
|
| | | | | | | | 1,551,756 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 0.8% | | | | | | | | |
Apartment Investment & Management Co. (Class A Stock)(b) | | | 15,633 | | | | 403,957 | |
AvalonBay Communities, Inc. | | | 9,175 | | | | 1,032,646 | |
Boston Properties, Inc. | | | 15,100 | | | | 1,300,110 | |
Dexus Property Group (Australia) | | | 51,104 | | | | 41,554 | |
Equity Residential | | | 31,000 | | | | 1,610,450 | |
GPT Group (Australia) | | | 9,137 | | | | 27,475 | |
HCP, Inc. | | | 35,700 | | | | 1,313,403 | |
Health Care REIT, Inc.(b) | | | 13,300 | | | | 633,612 | |
Host Hotels & Resorts, Inc. | | | 66,782 | | | | 1,193,394 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Real Estate Investment Trusts (continued) | |
Kimco Realty Corp. | | | 39,000 | | | $ | 703,560 | |
Plum Creek Timber Co., Inc.(b) | | | 18,800 | | | | 704,060 | |
ProLogis | | | 51,800 | | | | 747,992 | |
Public Storage(b) | | | 14,400 | | | | 1,460,448 | |
Simon Property Group, Inc. | | | 30,643 | | | | 3,048,672 | |
Stockland (Australia) | | | 43,166 | | | | 158,941 | |
Ventas, Inc.(b) | | | 17,200 | | | | 902,656 | |
Vornado Realty Trust | | | 16,225 | | | | 1,352,029 | |
Weyerhaeuser Co. | | | 56,198 | | | | 1,063,828 | |
| | | | | | |
|
|
|
| | | | | | | | 17,698,787 | |
| | | | | | |
|
|
|
Real Estate Management & Development | | | | | | | | |
CB Richard Ellis Group, Inc.
(Class A Stock)(a) | | | 28,100 | | | | 575,488 | |
Cheung Kong Holdings Ltd.
(Hong Kong) | | | 2,000 | | | | 30,851 | |
Daiwa House Industry Co. Ltd. (Japan) | | | 9,000 | | | | 110,629 | |
Kerry Properties Ltd. (Hong Kong) | | | 10,000 | | | | 52,105 | |
Sun Hung Kai Properties Ltd. (Hong Kong) | | | 6,000 | | | | 99,655 | |
UOL Group Ltd. (Singapore) | | | 6,000 | | | | 22,208 | |
Wheelock & Co. Ltd. (Hong Kong) | | | 19,000 | | | | 76,877 | |
| | | | | | |
|
|
|
| | | | | | | | 967,813 | |
| | | | | | |
|
|
|
Road & Rail — 0.5% | | | | | | | | |
Central Japan Railway Co. (Japan) | | | 19 | | | | 159,133 | |
CSX Corp. | | | 40,600 | | | | 2,623,166 | |
Norfolk Southern Corp. | | | 38,500 | | | | 2,418,570 | |
Ryder System, Inc. | | | 4,900 | | | | 257,936 | |
Union Pacific Corp. | | | 52,400 | | | | 4,855,384 | |
| | | | | | |
|
|
|
| | | | | | | | 10,314,189 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 1.3% | |
Advanced Micro Devices, Inc.(a)(b) | | | 63,200 | | | | 516,976 | |
Altera Corp. | | | 30,800 | | | | 1,095,864 | |
Analog Devices, Inc. | | | 29,700 | | | | 1,118,799 | |
Applied Materials, Inc. | | | 137,900 | | | | 1,937,495 | |
ASM Pacific Technology Ltd. (Netherlands) | | | 8,700 | | | | 109,970 | |
ASML Holding NV (Netherlands) | | | 5,667 | | | | 218,856 | |
Broadcom Corp. (Class A Stock) | | | 46,250 | | | | 2,014,187 | |
First Solar, Inc.(a)(b) | | | 5,200 | | | | 676,728 | |
Intel Corp. | | | 576,400 | | | | 12,121,692 | |
KLA-Tencor Corp. | | | 17,900 | | | | 691,656 | |
Linear Technology Corp. | | | 23,300 | | | | 805,947 | |
LSI Corp.(a) | | | 72,800 | | | | 436,072 | |
MEMC Electronic Materials, Inc.(a) | | | 21,400 | | | | 240,964 | |
Microchip Technology, Inc.(b) | | | 19,700 | | | | 673,937 | |
Micron Technology, Inc.(a)(b) | | | 91,600 | | | | 734,632 | |
National Semiconductor Corp. | | | 23,700 | | | | 326,112 | |
Novellus Systems, Inc.(a) | | | 10,400 | | | | 336,128 | |
NVIDIA Corp.(a)(b) | | | 58,450 | | | | 900,130 | |
Teradyne, Inc.(a)(b) | | | 19,800 | | | | 277,992 | |
Texas Instruments, Inc. | | | 125,600 | | | | 4,082,000 | |
Tokyo Electron Ltd. (Japan) | | | 200 | | | | 12,662 | |
Xilinx, Inc.(b) | | | 27,900 | | | | 808,542 | |
| | | | | | |
|
|
|
| | | | | | | | 30,137,341 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Software — 2.1% | | | | | | | | |
Adobe Systems, Inc.(a) | | | 54,600 | | | $ | 1,680,588 | |
Autodesk, Inc.(a)(b) | | | 23,700 | | | | 905,340 | |
BMC Software, Inc.(a) | | | 17,200 | | | | 810,808 | |
CA, Inc. | | | 41,264 | | | | 1,008,492 | |
Citrix Systems, Inc.(a) | | | 19,400 | | | | 1,327,154 | |
Compuware Corp.(a) | | | 21,200 | | | | 247,404 | |
Dassault Systemes SA (France) | | | 619 | | | | 46,669 | |
Electronic Arts, Inc.(a) | | | 33,000 | | | | 540,540 | |
Intuit, Inc.(a) | | | 31,200 | | | | 1,538,160 | |
McAfee, Inc.(a) | | | 16,400 | | | | 759,484 | |
Microsoft Corp. | | | 784,600 | | | | 21,906,032 | |
Novell, Inc.(a) | | | 35,200 | | | | 208,384 | |
Oracle Corp. | | | 403,100 | | | | 12,617,030 | |
Red Hat, Inc.(a) | | | 18,800 | | | | 858,220 | |
Salesforce.com, Inc.(a)(b) | | | 11,300 | | | | 1,491,600 | |
Symantec Corp.(a) | | | 82,478 | | | | 1,380,682 | |
| | | | | | |
|
|
|
| | | | | | | | 47,326,587 | |
| | | | | | |
|
|
|
Specialty Retail — 1.1% | | | | | | | | |
Abercrombie & Fitch Co. (Class A Stock) | | | 8,700 | | | | 501,381 | |
AutoNation, Inc.(a)(b) | | | 8,274 | | | | 233,327 | |
AutoZone, Inc.(a) | | | 3,100 | | | | 845,029 | |
Bed Bath & Beyond, Inc.(a) | | | 27,300 | | | | 1,341,795 | |
Best Buy Co., Inc. | | | 35,925 | | | | 1,231,868 | |
CarMax, Inc.(a)(b) | | | 23,200 | | | | 739,616 | |
GameStop Corp. (Class A Stock)(a)(b) | | | 13,600 | | | | 311,168 | |
Gap, Inc. (The) | | | 48,300 | | | | 1,069,362 | |
Home Depot, Inc. (The) | | | 170,950 | | | | 5,993,507 | |
Inditex SA (Spain) | | | 1,655 | | | | 123,916 | |
Kingfisher PLC (United Kingdom) | | | 13,824 | | | | 56,770 | |
Limited Brands, Inc. | | | 27,906 | | | | 857,551 | |
Lowe’s Cos., Inc. | | | 144,300 | | | | 3,619,044 | |
O’Reilly Automotive, Inc.(a)(b) | | | 12,900 | | | | 779,418 | |
RadioShack Corp. | | | 11,900 | | | | 220,031 | |
Ross Stores, Inc. | | | 13,300 | | | | 841,225 | |
Staples, Inc. | | | 73,649 | | | | 1,676,988 | |
Tiffany & Co. | | | 11,700 | | | | 728,559 | |
TJX Cos., Inc. | | | 42,800 | | | | 1,899,892 | |
Urban Outfitters, Inc.(a) | | | 13,100 | | | | 469,111 | |
| | | | | | |
|
|
|
| | | | | | | | 23,539,558 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.3% | | | | | |
Adidas AG (Germany) | | | 472 | | | | 30,837 | |
Christian Dior SA (France) | | | 523 | | | | 74,711 | |
Cie Financiere Richemont SA (Switzerland) | | | 3,093 | | | | 181,941 | |
Coach, Inc. | | | 32,800 | | | | 1,814,168 | |
LVMH Moet Hennessy Louis Vuitton SA (France) | | | 532 | | | | 87,514 | |
NIKE, Inc. (Class B Stock) | | | 40,100 | | | | 3,425,342 | |
Nisshinbo Holdings, Inc. (Japan) | | | 4,000 | | | | 43,848 | |
Polo Ralph Lauren Corp. | | | 6,500 | | | | 720,980 | |
V.F. Corp. | | | 9,200 | | | | 792,856 | |
| | | | | | |
|
|
|
| | | | | | | | 7,172,197 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance | | | | | | | | |
Hudson City Bancorp, Inc. | | | 49,900 | | | | 635,726 | |
People’s United Financial, Inc. | | | 37,800 | | | | 529,578 | |
| | | | | | |
|
|
|
| | | | | | | | 1,165,304 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Tobacco — 0.8% | | | | | | | | |
Altria Group, Inc. | | | 214,500 | | | $ | 5,280,990 | |
British American Tobacco PLC (United Kingdom) | | | 3,081 | | | | 118,336 | |
Imperial Tobacco Group PLC (United Kingdom) | | | 1,266 | | | | 38,844 | |
Lorillard, Inc. | | | 15,847 | | | | 1,300,405 | |
Philip Morris International, Inc. | | | 188,400 | | | | 11,027,052 | |
Reynolds American, Inc. | | | 35,600 | | | | 1,161,272 | |
| | | | | | |
|
|
|
| | | | | | | | 18,926,899 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.1% | | | | | |
Fastenal Co.(b) | | | 13,200 | | | | 790,812 | |
ITOCHU Corp. (Japan) | | | 6,800 | | | | 68,846 | |
Mitsubishi Corp. (Japan) | | | 2,600 | | | | 70,388 | |
Noble Group Ltd. (Hong Kong) | | | 6,000 | | | | 10,145 | |
Sumitomo Corp. (Japan) | | | 7,400 | | | | 104,725 | |
W.W. Grainger, Inc. | | | 6,900 | | | | 952,959 | |
| | | | | | |
|
|
|
| | | | | | | | 1,997,875 | |
| | | | | | |
|
|
|
Transportation Infrastructure | | | | | | | | |
Atlantia SpA (Italy) | | | 677 | | | | 13,815 | |
Kamigumi Co. Ltd. (Japan) | | | 3,000 | | | | 25,200 | |
| | | | | | |
|
|
|
| | | | | | | | 39,015 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.2% | | | | | |
American Tower Corp. (Class A Stock)(a) | | | 41,800 | | | | 2,158,552 | |
MetroPCS Communications, Inc.(a) | | | 26,000 | | | | 328,380 | |
Mobistar SA (Belgium) | | | 732 | | | | 47,451 | |
Partner Communications Co. Ltd. (Israel) | | | 1,326 | | | | 26,905 | |
Softbank Corp. (Japan) | | | 1,400 | | | | 48,472 | |
Sprint Nextel Corp.(a) | | | 312,277 | | | | 1,320,932 | |
Vodafone Group PLC (United Kingdom) | | | 177,705 | | | | 459,362 | |
| | | | | | |
|
|
|
| | | | | | | | 4,390,054 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $841,086,444) | | | | 1,209,285,797 | |
| | | | | | |
|
|
|
| PREFERRED STOCKS — 0.1% | |
Automobiles | | | | | | | | |
Volkswagen AG (Germany) | | | 763 | | | | 123,780 | |
| | | | | | |
|
|
|
Banking — 0.1% | | | | | | | | |
Citigroup Capital XIII 7.875% (Capital Security, fixed to floating preferred) | | | 20,000 | | | | 538,200 | |
JPMorgan Chase Capital XXVI 8.00% (Capital Security, fixed to floating preferred) | | | 28,000 | | | | 753,480 | |
| | | | | | |
|
|
|
| | | | | | | | 1,291,680 | |
| | | | | | |
|
|
|
Household Products | | | | | | | | |
Henkel AG & Co. KGaA (Germany) | | | 777 | | | | 48,318 | |
| | | | | | |
|
|
|
Media | | | | | | | | |
ProSiebenSat.1 Media AG (Germany) | | | 1,540 | | | | 46,303 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $1,431,533) | | | | 1,510,081 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES — 1.2% | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities — 0.7% | | | | | | | | | | | | | | | | | | | | |
ARES CLO Funds (Cayman Islands), Ser. 2003-7AW,
Class A1A, 144A(d) | | | A1 | | | | 0.636% | | | | 05/08/15 | | | $ | 1,248 | | | $ | 1,222,663 | |
ARES CLO Funds (Cayman Islands), Ser. 2005-9A,
Class A1A, 144A(d) | | | Aa3 | | | | 0.559% | | | | 04/20/17 | | | | 852 | | | | 796,583 | |
BA Credit Card Trust, Ser. 2006-C5, Class C5(d) | | | A3 | | | | 0.660% | | | | 01/15/16 | | | | 4,159 | | | | 4,012,310 | |
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A,
Class A1, 144A(d) | | | Aa1 | | | | 0.536% | | | | 08/03/19 | | | | 495 | | | | 471,603 | |
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(d) | | | Baa2 | | | | 0.661% | | | | 02/20/15 | | | | 1,500 | | | | 1,456,558 | |
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(d) | | | Aaa | | | | 0.638% | | | | 07/27/16 | | | | 206 | | | | 198,623 | |
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(d) | | | A1 | | | | 0.538% | | | | 07/22/20 | | | | 817 | | | | 763,737 | |
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A,
Class A1, 144A(d) | | | Aaa | | | | 0.549% | | | | 12/15/17 | | | | 2,381 | | | | 2,291,781 | |
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A,
Class A, 144A(d) | | | Aa2 | | | | 0.649% | | | | 07/15/16 | | | | 269 | | | | 260,372 | |
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A,
Class A1, 144A(d) | | | Aaa | | | | 0.529% | | | | 10/19/20 | | | | 1,257 | | | | 1,175,692 | |
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(d) | | | Aaa | | | | 0.556% | | | | 06/01/17 | | | | 500 | | | | 470,000 | |
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A,
Class A1LA, 144A(d) | | | Aaa | | | | 0.701% | | | | 02/15/16 | | | | 1,380 | | | | 1,336,247 | |
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A | | | Aaa | | | | 5.250% | | | | 02/20/21 | | | | 335 | | | | 348,362 | |
Velocity CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(d) | | | Aaa | | | | 0.634% | | | | 08/22/16 | | | | 577 | | | | 544,561 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 15,349,092 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities — 0.5% | | | | | | | | | | | | | | | | | | | | |
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(d) | | | Baa2 | | | | 1.911% | | | | 03/25/33 | | | | 603 | | | | 449,238 | |
CDC Mortgage Capital Trust, Ser. 2003-HE1, Class M2(d) | | | Baa2 | | | | 3.186% | | | | 08/25/33 | | | | 50 | | | | 23,458 | |
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(d) | | | Aa1 | | | | 0.761% | | | | 03/25/34 | | | | 3,240 | | | | 2,637,736 | |
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3 | | | B3 | | | | 5.120% | | | | 07/25/35 | | | | 465 | | | | 420,524 | |
Equity One ABS, Inc., Ser. 2004-3, Class M1 | | | Aa2 | | | | 5.700% | | | | 07/25/34 | | | | 1,025 | | | | 869,440 | |
First Franklin Mortgage Loan Trust, Ser. 2005-FFH1, Class M2(d) | | | C | | | | 0.781% | | | | 06/25/36 | | | | 1,800 | | | | 407,655 | |
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(d) | | | Aa1 | | | | 0.751% | | | | 01/20/35 | | | | 460 | | | | 418,544 | |
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(d) | | | Aa2 | | | | 0.791% | | | | 06/25/34 | | | | 1,245 | | | | 1,044,667 | |
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(d) | | | Aa2 | | | | 1.311% | | | | 12/27/33 | | | | 1,468 | | | | 1,229,505 | |
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(d) | | | B3 | | | | 1.161% | | | | 07/25/32 | | | | 960 | | | | 703,547 | |
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(d) | | | A2 | | | | 1.536% | | | | 09/25/32 | | | | 1,032 | | | | 889,461 | |
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1,
Class M1(d) | | | Aa2 | | | | 1.026% | | | | 02/25/34 | | | | 1,580 | | | | 1,352,134 | |
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3,
Class A3(d) | | | Ca | | | | 0.511% | | | | 05/25/36 | | | | 1,400 | | | | 549,717 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,995,626 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $29,153,614) | | | | 26,344,718 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| BANK LOANS — 0.4% | | | | | | | | | | | | | | | | | | | | |
Cable — 0.1% | | | | | | | | | | | | | | | | | | | | |
Insight Midwest Holding LLC(d)(e) | | | Ba3 | | | | 1.260% | | | | 10/06/13 | | | | 678 | | | | 660,974 | |
UPC Broadband Holdings(d)(e) | | | Ba3 | | | | 4.251% | | | | 12/31/16 | | | | 245 | | | | 241,929 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 902,903 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer | | | | | | | | | | | | | | | | | | | | |
Pilot Travel Centers LLC(d)(e) | | | Ba2 | | | | 5.250% | | | | 06/30/16 | | | | 258 | | | | 261,524 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric | | | | | | | | | | | | | | | | | | | | |
Texas Competitive Electric Holdings Co. LLC(d)(e) | | | B2 | | | | 3.764% | | | | 10/10/14 | | | | 968 | | | | 746,295 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.1% | | | | | | | | | | | | | | | | | | | | |
HCA, Inc.(d)(e) | | | Ba3 | | | | 2.553% | | | | 11/18/13 | | | | 370 | | | | 365,488 | |
HCA, Inc.(d)(e) | | | Ba3 | | | | 3.553% | | | | 03/31/17 | | | | 886 | | | | 883,565 | |
Health Management Associates, Inc. Term B(d)(e) | | | B1 | | | | 2.053% | | | | 02/28/14 | | | | 1,092 | | | | 1,069,721 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
BANK LOANS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Healthcare & Pharmaceutical (continued) | | | | | | | | | | | | | | | | | | | | |
Warner Chilcott Corp.(d)(e) | | | Ba3 | | | | 6.000% | | | | 10/30/14 | | | $ | 343 | | | $ | 343,247 | |
Warner Chilcott Corp.(d)(e) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 170 | | | | 170,730 | |
Warner Chilcott Corp.(d)(e) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 283 | | | | 284,296 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,117,047 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.2% | | | | | | | | | | | | | | | | | | | | |
First Data Corp.(d)(e) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 1,398 | | | | 1,289,371 | |
First Data Corp.(d)(e) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 1,025 | | | | 944,578 | |
Flextronics International Ltd. (Singapore)(d)(e) | | | Ba1 | | | | 2.508% | | | | 10/01/14 | | | | 752 | | | | 740,455 | |
Flextronics International Ltd. (Singapore)(d)(e) | | | Ba1 | | | | 2.511% | | | | 10/01/14 | | | | 216 | | | | 212,774 | |
Sensata Technologies (Netherlands)(d)(e) | | | B3 | | | | 2.038% | | | | 04/27/13 | | | | 332 | | | | 323,197 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,510,375 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $8,929,315) | | | | 8,538,144 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.4% | | | | | | | | | | | | | | | | | |
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 | | | Caa2 | | | | 6.000% | | | | 01/25/36 | | | | 2,844 | | | | 2,112,066 | |
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(d) | | | B2 | | | | 3.180% | | | | 02/25/35 | | | | 709 | | | | 619,822 | |
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(d) | | | Caa1 | | | | 3.039% | | | | 03/25/35 | | | | 709 | | | | 605,515 | |
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(d) | | | Baa1 | | | | 3.051% | | | | 02/25/37 | | | | 1,883 | | | | 1,838,180 | |
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 | | | A1 | | | | 5.250% | | | | 09/25/19 | | | | 1,066 | | | | 1,082,253 | |
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(d) | | | B1 | | | | 2.978% | | | | 07/25/35 | | | | 1,212 | | | | 1,101,277 | |
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1 | | | Aaa | | | | 5.000% | | | | 04/25/19 | | | | 272 | | | | 274,835 | |
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1,
Class 4A3(d) | | | A1 | | | | 2.770% | | | | 02/25/34 | | | | 755 | | | | 714,486 | |
Washington Mutual Alternative Mortgage Pass-Through Certificates,
Ser. 2005-1, Class 3A | | | A+(f) | | | | 5.000% | | | | 03/25/20 | | | | 708 | | | | 626,278 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $10,120,025) | | | | 8,974,712 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.4% | | | | | | | | | | | | | | | | | |
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 | | | Aaa | | | | 4.153% | | | | 11/10/38 | | | | 3,680 | | | | 3,775,538 | |
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A | | | Aaa | | | | 5.600% | | | | 07/10/46 | | | | 2,000 | | | | 2,099,552 | |
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(d) | | | Aaa | | | | 5.658% | | | | 06/10/49 | | | | 5,730 | | | | 5,954,607 | |
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11,
Class A4(d) | | | AAA(f) | | | | 5.456% | | | | 03/11/39 | | | | 1,200 | | | | 1,297,427 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2,
Class A4(d) | | | Aaa | | | | 5.347% | | | | 01/15/46 | | | | 1,000 | | | | 1,073,198 | |
Commercial Mortgage Acceptance Corp., Ser. 1998-C2,
Class F, 144A(d) | | | AA-(f) | | | | 5.440% | | | | 09/15/30 | | | | 890 | | | | 910,769 | |
Commercial Mortgage Pass-Thru Certificate, Ser. 2004-LB2A,
Class X2, I/O, 144A(d) | | | AAA(f) | | | | 0.857% | | | | 03/10/39 | | | | 8,584 | | | | 12,323 | |
Commercial Mortgage Pass-Thru Certificate, Ser. 2006-C8, Class A2B | | | Aaa | | | | 5.248% | | | | 12/10/46 | | | | 3,680 | | | | 3,761,918 | |
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7,
Class A4(d) | | | AAA(f) | | | | 5.764% | | | | 06/10/46 | | | | 4,000 | | | | 4,373,495 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2,
Class A4 | | | Aa2 | | | | 4.832% | | | | 04/15/37 | | | | 900 | | | | 928,897 | |
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(d) | | | AAA(f) | | | | 5.539% | | | | 02/15/39 | | | | 4,330 | | | | 4,659,350 | |
CS First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4 | | | Aaa | | | | 4.283% | | | | 10/15/39 | | | | 1,500 | | | | 1,507,931 | |
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4 | | | AAA(f) | | | | 5.100% | | | | 08/15/38 | | | | 3,000 | | | | 3,206,649 | |
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(d) | | | AAA(f) | | | | 5.818% | | | | 05/15/46 | | | | 2,100 | | | | 2,242,453 | |
GE Commercial Mortgage Corp., Ser. 2004-C2, Class X2, I/O, 144A(d) | | | Aaa | | | | 0.585% | | | | 03/10/40 | | | | 17,244 | | | | 27,653 | |
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 | | | AAA(f) | | | | 4.697% | | | | 05/10/43 | | | | 2,610 | | | | 2,747,614 | |
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5,
Class A5(d) | | | Aaa | | | | 5.224% | | | | 04/10/37 | | | | 1,400 | | | | 1,485,617 | |
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9,
Class A2 | | | Aaa | | | | 5.381% | | | | 03/10/39 | | | | 3,856 | | | | 3,961,686 | |
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(d) | | | Aaa | | | | 5.778% | | | | 08/10/45 | | | | 2,100 | | | | 2,157,281 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP1, Class ASB(d) | | | Aaa | | | | 4.853% | | | | 03/15/46 | | | $ | 2,855 | | | $ | 2,988,091 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP2, Class ASB | | | Aaa | | | | 4.659% | | | | 07/15/42 | | | | 5,193 | | | | 5,427,352 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP4, Class AM(d) | | | Aa2 | | | | 4.999% | | | | 10/15/42 | | | | 1,170 | | | | 1,186,447 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2006-CB16, Class ASB | | | Aaa | | | | 5.523% | | | | 05/12/45 | | | | 2,000 | | | | 2,133,780 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2006-LDP6, Class A4, (d) | | | Aaa | | | | 5.475% | | | | 04/15/43 | | | | 2,436 | | | | 2,609,485 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2006-LDP6, Class X2, I/O(d) | | | Aaa | | | | 0.057% | | | | 04/15/43 | | | | 112,239 | | | | 258,083 | |
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2007-LD11, Class A2(d) | | | Aaa | | | | 5.802% | | | | 06/15/49 | | | | 2,000 | | | | 2,071,268 | |
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(d) | | | AAA(f) | | | | 4.826% | | | | 08/15/29 | | | | 5,000 | | | | 5,168,856 | |
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5 | | | Aaa | | | | 4.739% | | | | 07/15/30 | | | | 695 | | | | 734,287 | |
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(d) | | | AA(f) | | | | 5.263% | | | | 11/15/40 | | | | 1,390 | | | | 1,426,427 | |
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(d) | | | Aaa | | | | 5.661% | | | | 03/15/39 | | | | 1,630 | | | | 1,751,590 | |
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 | | | Aaa | | | | 4.615% | | | | 08/12/39 | | | | 1,900 | | | | 1,970,762 | |
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(d) | | | AAA(f) | | | | 5.656% | | | | 05/12/39 | | | | 3,400 | | | | 3,664,373 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2,
Class A4(d) | | | Aaa | | | | 5.907% | | | | 06/12/46 | | | | 2,210 | | | | 2,418,402 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5,
Class A3 | | | Aaa | | | | 5.364% | | | | 08/12/48 | | | | 440 | | | | 451,227 | |
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(d) | | | Aaa | | | | 5.388% | | | | 03/12/44 | | | | 1,500 | | | | 1,614,558 | |
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(d) | | | AAA(f) | | | | 5.730% | | | | 10/15/42 | | | | 2,600 | | | | 2,853,397 | |
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 | | | AAA(f) | | | | 5.332% | | | | 12/15/43 | | | | 1,580 | | | | 1,673,947 | |
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB | | | Aaa | | | | 5.444% | | | | 02/12/44 | | | | 4,400 | | | | 4,614,471 | |
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(d) | | | AAA(f) | | | | 5.648% | | | | 06/11/42 | | | | 1,040 | | | | 1,110,581 | |
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23,
Class A4(d) | | | Aaa | | | | 5.418% | | | | 01/15/45 | | | | 1,300 | | | | 1,393,053 | |
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25,
Class A4(d) | | | Aaa | | | | 5.737% | | | | 05/15/43 | | | | 5,188 | | | | 5,563,917 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $91,103,527) | | | | 99,268,312 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 12.4% | | | | | | | | | | | | | | | | | | | | |
Aerospace & Defense — 0.1% | | | | | | | | | | | | | | | | | | | | |
Boeing Capital Corp., Sr. Unsec’d. Notes | | | A2 | | | | 6.100% | | | | 03/01/11 | | | | 975 | | | | 983,623 | |
L-3 Communications Corp., Gtd. Notes | | | Baa3 | | | | 4.750% | | | | 07/15/20 | | | | 475 | | | | 466,679 | |
Raytheon Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 3.125% | | | | 10/15/20 | | | | 475 | | | | 437,992 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,888,294 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Airlines — 0.3% | | | | | | | | | | | | | | | | | | | | |
American Airlines, Pass Through Trust, Pass-thru Certs., Ser. 2001-1 | | | B2 | | | | 6.817% | | | | 05/23/11 | | | | 2,420 | | | | 2,442,990 | |
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 1998-1, Class A | | | Baa2 | | | | 6.648% | | | | 09/15/17 | | | | 233 | | | | 242,625 | |
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 2001-1, Class A(e) | | | Baa2 | | | | 6.703% | | | | 06/15/21 | | | | 128 | | | | 135,141 | |
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 2009-2, Class A | | | Baa2 | | | | 7.250% | | | | 11/10/19 | | | | 705 | | | | 786,043 | |
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 2010-1, Class A | | | Baa2 | | | | 4.750% | | | | 01/12/21 | | | | 735 | | | | 735,000 | |
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 2007-1, Class A, | | | Baa1 | | | | 6.821% | | | | 08/10/22 | | | | 406 | | | | 430,656 | |
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,
Ser. 2010-2, Class A(b) | | | Baa2 | | | | 4.950% | | | | 05/23/19 | | | | 695 | | | | 697,606 | |
Southwest Airlines Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.500% | | | | 03/01/12 | | | | 965 | | | | 1,010,357 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,480,418 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Automotive | | | | | | | | | | | | | | | | | | | | |
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN | | | Baa1 | | | | 5.750% | | | | 12/15/14 | | | $ | 495 | | | $ | 520,204 | |
Johnson Controls, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 01/15/16 | | | | 235 | | | | 256,984 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 777,188 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Banking — 2.9% | | | | | | | | | | | | | | | | | | | | |
American Express Co., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 05/20/19 | | | | 4,015 | | | | 4,995,507 | |
Banco Bradesco SA (Brazil), Sub. Notes | | | A2 | | | | 8.750% | | | | 10/24/13 | | | | 1,690 | | | | 1,913,925 | |
Bank of America Corp., Jr. Sub. Notes | | | Ba3 | | | | 8.000% | | | | 12/29/49 | | | | 2,100 | | | | 2,116,380 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | A2 | | | | 4.500% | | | | 04/01/15 | | | | 185 | | | | 188,022 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.650% | | | | 05/01/18 | | | | 105 | | | | 107,286 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | A2 | | | | 6.000% | | | | 09/01/17 | | | | 1,330 | | | | 1,393,847 | |
Bank of America NA, Sub. Notes | | | A1 | | | | 5.300% | | | | 03/15/17 | | | | 850 | | | | 861,418 | |
Bank of America NA, Sub. Notes | | | A1 | | | | 6.000% | | | | 10/15/36 | | | | 805 | | | | 759,678 | |
Bank of Nova Scotia (Canada), Covered Notes, 144A(b) | | | Aaa | | | | 1.650% | | | | 10/29/15 | | | | 4,400 | | | | 4,205,868 | |
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 5.300% | | | | 10/30/15 | | | | 550 | | | | 596,848 | |
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 6.400% | | | | 10/02/17 | | | | 270 | | | | 307,810 | |
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 7.250% | | | | 02/01/18 | | | | 1,135 | | | | 1,345,045 | |
BNP Paribas Home Loan Covered Bonds SA (France),
Covered Notes, 144A | | | Aaa | | | | 2.200% | | | | 11/02/15 | | | | 5,000 | | | | 4,788,600 | |
Capital One Bank Corp., Sub. Notes | | | Baa1 | | | | 6.500% | | | | 06/13/13 | | | | 10 | | | | 10,950 | |
Capital One Capital V, Ltd. Gtd. Notes | | | Baa3 | | | | 10.250% | | | | 08/15/39 | | | | 555 | | | | 593,850 | |
Capital One Capital VI, Ltd. Gtd. Notes | | | Baa3 | | | | 8.875% | | | | 05/15/40 | | | | 1,130 | | | | 1,176,612 | |
Capital One Financial Corp., Sr. Unsec’d. Notes, MTN | | | Baa1 | | | | 5.700% | | | | 09/15/11 | | | | 570 | | | | 588,414 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.875% | | | | 03/05/38 | | | | 790 | | | | 876,299 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 07/15/39 | | | | 415 | | | | 527,937 | |
Citigroup, Inc., Sub. Notes | | | Baa1 | | | | 5.625% | | | | 08/27/12 | | | | 1,900 | | | | 1,993,773 | |
Citigroup, Inc., Sub. Notes | | | Baa1 | | | | 6.125% | | | | 08/25/36 | | | | 725 | | | | 694,700 | |
Citigroup, Inc., Unsec’d. Notes | | | A3 | | | | 8.500% | | | | 05/22/19 | | | | 600 | | | | 744,861 | |
Countrywide Financial Corp., Gtd. Notes, MTN(b) | | | A2 | | | | 5.800% | | | | 06/07/12 | | | | 1,160 | | | | 1,220,432 | |
DEPFA ACS Bank (Ireland), Covered Notes, 144A | | | Aa3 | | | | 5.125% | | | | 03/16/37 | | | | 1,325 | | | | 883,209 | |
Discover Bank, Sub. Notes | | | Ba1 | | | | 7.000% | | | | 04/15/20 | | | | 485 | | | | 521,395 | |
Discover Bank, Sub. Notes | | | Ba1 | | | | 8.700% | | | | 11/18/19 | | | | 900 | | | | 1,059,403 | |
DnB NOR Boligkreditt (Norway), Covered Notes, 144A | | | Aaa | | | | 2.100% | | | | 10/14/15 | | | | 2,165 | | | | 2,058,908 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(b) | | | A1 | | | | 5.450% | | | | 11/01/12 | | | | 580 | | | | 620,325 | |
Goldman Sachs Group, Inc. (The), Sr. Notes | | | A1 | | | | 6.000% | | | | 06/15/20 | | | | 700 | | | | 756,465 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 5.625% | | | | 01/15/17 | | | | 765 | | | | 808,940 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 6.450% | | | | 05/01/36 | | | | 1,770 | | | | 1,738,754 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 6.750% | | | | 10/01/37 | | | | 113 | | | | 115,531 | |
Huntington BancShares, Inc., Sub. Notes | | | Baa3 | | | | 7.000% | | | | 12/15/20 | | | | 150 | | | | 157,934 | |
Inter-American Development Bank (Supranational),
Sr. Unsec’d. Notes(b) | | | Aaa | | | | 2.375% | | | | 08/15/17 | | | | 2,005 | | | | 1,936,946 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(d) | | | Baa1 | | | | 7.900% | | | | 04/29/49 | | | | 2,000 | | | | 2,125,980 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes(b) | | | Aa3 | | | | 4.250% | | | | 10/15/20 | | | | 2,360 | | | | 2,304,894 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | Aa3 | | | | 4.600% | | | | 01/17/11 | | | | 175 | | | | 175,317 | |
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA(b) | | | A2 | | | | 7.000% | | | | 11/01/39 | | | | 1,500 | | | | 1,570,542 | |
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN | | | Aa3 | | | | 5.800% | | | | 01/13/20 | | | | 1,770 | | | | 1,747,636 | |
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.770% | | | | 07/25/11 | | | | 355 | | | | 364,974 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | A2 | | | | 5.300% | | | | 03/01/13 | | | | 30 | | | | 31,969 | |
Morgan Stanley, Sr. Unsec’d. Notes, Ser. E | | | A2 | | | | 5.450% | | | | 01/09/17 | | | | 2,530 | | | | 2,623,650 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.625% | | | | 09/23/19 | | | | 2,110 | | | | 2,151,531 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.950% | | | | 12/28/17 | | | | 600 | | | | 634,824 | |
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(d) | | | Ba1 | | | | 6.346% | | | | 07/25/49 | | | | 800 | | | | 806,150 | |
PNC Funding Corp., Gtd. Notes. | | | A3 | | | | 4.375% | | | | 08/11/20 | | | | 530 | | | | 523,800 | |
PNC Funding Corp., Gtd. Notes. | | | A3 | | | | 6.700% | | | | 06/10/19 | | | | 390 | | | | 449,021 | |
Royal Bank of Scotland Group PLC (United Kingdom),
Sr. Unsec’d. Notes, MTN | | | A1 | | | | 6.400% | | | | 10/21/19 | | | | 1,775 | | | | 1,786,277 | |
Royal Bank of Scotland PLC (The)(United Kingdom),
Gtd. Notes, Ser. 2 | | | Aa3 | | | | 3.400% | | | | 08/23/13 | | | | 95 | | | | 95,965 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Banking (continued) | | | | | | | | | | | | | | | | | | | | |
Sparebanken 1 Boligkreditt (Norway), Covered Notes, 144A | | | Aaa | | | | 1.250% | | | | 10/25/13 | | | $ | 2,160 | | | $ | 2,145,502 | |
USB Capital XIII Trust, Ltd. Gtd. Notes | | | A2 | | | | 6.625% | | | | 12/15/39 | | | | 755 | | | | 771,180 | |
Wells Fargo Bank NA, Sub. Notes | | | Aa3 | | | | 6.450% | | | | 02/01/11 | | | | 90 | | | | 90,418 | |
Wells Fargo Capital XIII, Ltd. Gtd. Notes, Ser. G, MTN(d) | | | Baa3 | | | | 7.700% | | | | 12/29/49 | | | | 1,000 | | | | 1,033,750 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 64,099,252 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Brokerage | | | | | | | | | | | | | | | | | | | | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) | | | NR | | | | 5.250% | | | | 02/06/12 | | | | 1,850 | | | | 427,813 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) | | | NR | | | | 6.875% | | | | 05/02/18 | | | | 700 | | | | 173,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 601,063 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction | | | | | | | | | | | | | | | | | | | | |
Lafarge SA (France), Sr. Unsec’d. Notes(b) | | | Baa3 | | | | 6.150% | | | | 07/15/11 | | | | 1,100 | | | | 1,128,692 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable — 0.5% | | | | | | | | | | | | | | | | | | | | |
Charter Communications Operating LLC, Sec’d. Notes, 144A | | | B1 | | | | 8.000% | | | | 04/30/12 | | | | 1,940 | | | | 2,037,000 | |
Comcast Cable Communications Holdings, Inc., Gtd. Notes | | | Baa1 | | | | 9.455% | | | | 11/15/22 | | | | 115 | | | | 159,112 | |
Comcast Cable Holdings LLC, Gtd. Notes | | | Baa1 | | | | 9.875% | | | | 06/15/22 | | | | 1,440 | | | | 1,904,141 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.400% | | | | 05/15/38 | | | | 310 | | | | 331,286 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.950% | | | | 08/15/37 | | | | 290 | | | | 328,009 | |
COX Communications, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.750% | | | | 03/15/11 | | | | 1,195 | | | | 1,209,376 | |
DIRECTV Holdings LLC, Gtd. Notes | | | Baa2 | | | | 4.750% | | | | 10/01/14 | | | | 1,945 | | | | 2,072,899 | |
DISH DBS Corp., Gtd. Notes | | | Ba3 | | | | 6.375% | | | | 10/01/11 | | | | 1,000 | | | | 1,030,000 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 5.400% | | | | 07/02/12 | | | | 1,680 | | | | 1,783,540 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 7.500% | | | | 04/01/14 | | | | 345 | | | | 395,649 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 11,251,012 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.2% | | | | | | | | | | | | | | | | | | | | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $459,646; purchased 10/10/07)(e)(h) | | | Baa1 | | | | 5.800% | | | | 10/15/12 | | | | 460 | | | | 493,179 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,195,904; purchased 10/10/07)(e)(h) | | | Baa1 | | | | 6.375% | | | | 10/15/17 | | | | 1,198 | | | | 1,329,939 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $386,623; purchased 10/10/07)(e)(h) | | | Baa1 | | | | 7.000% | | | | 10/15/37 | | | | 390 | | | | 419,962 | |
FedEx Corp., Gtd. Notes | | | Baa2 | | | | 7.250% | | | | 02/15/11 | | | | 480 | | | | 483,577 | |
General Electric Co., Sr. Unsec’d. Notes | | | Aa2 | | | | 5.250% | | | | 12/06/17 | | | | 320 | | | | 345,630 | |
United Technologies Corp., Sr. Unsec’d. Notes | | | A2 | | | | 5.375% | | | | 12/15/17 | | | | 515 | | | | 582,400 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,654,687 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 0.4% | | | | | | | | | | | | | | | | | | | | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 4.250% | | | | 11/15/20 | | | | 995 | | | | 953,109 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 02/01/11 | | | | 690 | | | | 692,644 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 7.600% | | | | 05/15/14 | | | | 1,600 | | | | 1,845,421 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 8.550% | | | | 05/15/19 | | | | 1,000 | | | | 1,253,248 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 9.400% | | | | 05/15/39 | | | | 40 | | | | 58,057 | |
ICI Wilmington, Inc., Gtd. Notes | | | Baa1 | | | | 5.625% | | | | 12/01/13 | | | | 780 | | | | 851,656 | |
Potash Corp. of Saskatchewan, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 05/15/19 | | | | 380 | | | | 438,371 | |
PPG Industries, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/40 | | | | 135 | | | | 132,465 | |
PPG Industries, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 03/15/13 | | | | 1,500 | | | | 1,628,037 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.500% | | | | 06/01/25 | | | | 500 | | | | 518,587 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,371,595 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 0.3% | | | | | | | | | | | | | | | | | | | | |
Avon Products, Inc., Sr. Unsec’d. Notes | | | A2 | | | | 5.750% | | | | 03/01/18 | | | | 1,400 | | | | 1,571,146 | |
Fortune Brands, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.375% | | | | 06/15/14 | | | | 2,190 | | | | 2,373,447 | |
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.250% | | | | 04/15/18 | | | | 1,600 | | | | 1,756,816 | |
Whirlpool Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 06/15/11 | | | | 1,045 | | | | 1,068,829 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,770,238 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Electric — 1.1% | | | | | | | | | | | | | | | | | | | | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.250% | | | | 08/01/16 | | | $ | 170 | | | $ | 190,001 | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.375% | | | | 10/15/11 | | | | 1,250 | | | | 1,301,720 | |
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.350% | | | | 10/01/36 | | | | 530 | | | | 572,315 | |
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 | | | A3 | | | | 5.700% | | | | 03/15/13 | | | | 1,070 | | | | 1,160,691 | |
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 | | | A3 | | | | 6.950% | | | | 03/15/33 | | | | 300 | | | | 353,146 | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes,
Ser. 09-C | | | A3 | | | | 5.500% | | | | 12/01/39 | | | | 145 | | | | 151,438 | |
Constellation Energy Group, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 5.150% | | | | 12/01/20 | | | | 285 | | | | 280,582 | |
Consumers Energy Co., First Mtge. Bonds, Ser. D | | | A3 | | | | 5.375% | | | | 04/15/13 | | | | 435 | | | | 469,592 | |
Duke Energy Carolinas LLC, First Mtge. Bonds | | | A1 | | | | 6.050% | | | | 04/15/38 | | | | 530 | | | | 592,641 | |
Duke Energy Carolinas LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.100% | | | | 06/01/37 | | | | 920 | | | | 1,016,785 | |
E.ON International Finance BV (Netherlands), Gtd. Notes, 144A(b) | | | A2 | | | | 6.650% | | | | 04/30/38 | | | | 930 | | | | 1,102,322 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 05/15/35 | | | | 845 | | | | 834,170 | |
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | | | Baa3 | | | | 8.625% | | | | 08/01/15 | | | | 1,160 | | | | 1,367,183 | |
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A | | | A2 | | | | 6.000% | | | | 10/07/39 | | | | 1,260 | | | | 1,130,225 | |
Exelon Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.900% | | | | 06/15/15 | | | | 195 | | | | 207,954 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.250% | | | | 10/01/39 | | | | 1,375 | | | | 1,383,823 | |
Florida Power & Light Co., First Mtge. Bonds | | | Aa3 | | | | 5.950% | | | | 10/01/33 | | | | 380 | | | | 414,983 | |
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B | | | A3 | | | | 5.700% | | | | 06/01/17 | | | | 470 | | | | 530,785 | |
Iberdrola International BV (Netherlands), Gtd. Notes | | | A3 | | | | 6.750% | | | | 09/15/33 | | | | 140 | | | | 144,089 | |
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF | | | Baa2 | | | | 5.050% | | | | 11/15/14 | | | | 575 | | | | 616,980 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | | | A1 | | | | 6.250% | | | | 06/17/14 | | | | 1,555 | | | | 1,706,535 | |
Louisville Gas & Electric Co., First Mtge. Bonds, 144A | | | A2 | | | | 5.125% | | | | 11/15/40 | | | | 420 | | | | 412,659 | |
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 04/01/18 | | | | 210 | | | | 236,638 | |
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.950% | | | | 05/15/37 | | | | 325 | | | | 342,818 | |
Nevada Power Co., Genl. Ref. Mtge., Ser. O | | | Baa3 | | | | 6.500% | | | | 05/15/18 | | | | 1,210 | | | | 1,392,594 | |
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | | | A3 | | | | 4.881% | | | | 08/15/19 | | | | 545 | | | | 578,726 | |
NiSource Finance Corp., Gtd. Notes | | | Baa3 | | | | 5.450% | | | | 09/15/20 | | | | 500 | | | | 515,252 | |
NSTAR, Sr. Unsec’d. Notes | | | A2 | | | | 4.500% | | | | 11/15/19 | | | | 605 | | | | 627,219 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | Baa1 | | | | 6.375% | | | | 01/15/15 | | | | 465 | | | | 527,311 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | Baa1 | | | | 7.000% | | | | 09/01/22 | | | | 545 | | | | 640,196 | |
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | | | A3 | | | | 6.050% | | | | 03/01/34 | | | | 1,610 | | | | 1,762,787 | |
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | | | Baa3 | | | | 7.950% | | | | 05/15/18 | | | | 135 | | | | 151,720 | |
Public Service Electric & Gas Co., Sec’d. Notes, MTN | | | A2 | | | | 5.800% | | | | 05/01/37 | | | | 515 | | | | 555,040 | |
Southern California Edison Co., Ser. 04-F | | | A1 | | | | 4.650% | | | | 04/01/15 | | | | 610 | | | | 664,186 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.613% | | | | 04/01/17 | | | | 263 | | | | 285,400 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 07/01/36 | | | | 445 | | | | 496,995 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 24,717,501 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy – Integrated — 0.2% | | | | | | | | | | | | | | | | | | | | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 4.500% | | | | 10/01/20 | | | | 860 | | | | 857,926 | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 5.250% | | | | 11/07/13 | | | | 960 | | | | 1,039,692 | |
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes, Ser. WI | | | Baa2 | | | | 6.750% | | | | 11/15/39 | | | | 975 | | | | 1,135,869 | |
Hess Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 01/15/40 | | | | 390 | | | | 408,784 | |
TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A | | | Baa2 | | | | 7.500% | | | | 07/18/16 | | | | 1,365 | | | | 1,513,444 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,955,715 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy – Other — 0.3% | | | | | | | | | | | | | | | | | | | | |
Anadarko Petroleum Corp., Unsec’d. Notes | | | Ba1 | | | | 6.200% | | | | 03/15/40 | | | | 295 | | | | 287,974 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.375% | | | | 09/15/17 | | | | 180 | | | | 196,075 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 8.700% | | | | 03/15/19 | | | | 225 | | | | 274,772 | |
Apache Corp., Sr. Unsec’d. Notes | | | A3 | | | | 5.100% | | | | 09/01/40 | | | | 375 | | | | 364,364 | |
Devon Financing Corp. ULC (Canada), Gtd. Notes | | | Baa1 | | | | 7.875% | | | | 09/30/31 | | | | 280 | | | | 369,162 | |
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A | | | A1 | | | | 5.888% | | | | 06/15/19 | | | | 786 | | | | 841,353 | |
Nexen, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa3 | | | | 6.400% | | | | 05/15/37 | | | | 195 | | | | 188,932 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.875% | | | | 05/01/18 | | | | 1,450 | | | | 1,541,501 | |
Valero Energy Corp., Gtd. Notes | | | Baa2 | | | | 6.625% | | | | 06/15/37 | | | | 250 | | | | 253,908 | |
Weatherford International Ltd. (Bermuda), Gtd. Notes | | | Baa2 | | | | 5.125% | | | | 09/15/20 | | | | 685 | | | | 681,597 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Energy – Other (continued) | | | | | | | | | | | | | | | | | | | | |
Weatherford International Ltd. (Switzerland), Gtd. Notes | | | Baa2 | | | | 6.500% | | | | 08/01/36 | | | $ | 25 | | | $ | 25,533 | |
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A | | | Baa1 | | | | 5.000% | | | | 11/15/13 | | | | 1,660 | | | | 1,783,613 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,808,784 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Foods — 0.6% | | | | | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 6.875% | | | | 11/15/19 | | | | 1,100 | | | | 1,311,226 | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 8.000% | | | | 11/15/39 | | | | 1,160 | | | | 1,549,818 | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 8.200% | | | | 01/15/39 | | | | 230 | | | | 312,018 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | Baa2 | | | | 5.350% | | | | 04/15/14 | | | | 1,000 | | | | 1,051,114 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | Baa2 | | | | 8.500% | | | | 06/15/19 | | | | 860 | | | | 1,008,372 | |
Cargill, Inc., Sr. Unsec’d. Notes, 144A
(original cost $646,913; purchased 11/19/07)(e)(h) | | | A2 | | | | 6.000% | | | | 11/27/17 | | | | 650 | | | | 735,520 | |
Delhaize Group SA (Belgium), Gtd. Notes, 144A | | | Baa3 | | | | 5.700% | | | | 10/01/40 | | | | 936 | | | | 890,968 | |
Delhaize Group SA (Belgium), Gtd. Notes | | | Baa3 | | | | 6.500% | | | | 06/15/17 | | | | 460 | | | | 521,490 | |
General Mills, Inc., Sr. Unsec’d. Notes(b) | | | Baa1 | | | | 6.000% | | | | 02/15/12 | | | | 684 | | | | 721,223 | |
H.J. Heinz Finance Co., Gtd. Notes, 144A | | | Baa2 | | | | 7.125% | | | | 08/01/39 | | | | 405 | | | | 476,247 | |
Kraft Foods, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.500% | | | | 02/09/40 | | | | 1,660 | | | | 1,860,244 | |
Kroger Co. (The), Gtd. Notes | | | Baa2 | | | | 6.750% | | | | 04/15/12 | | | | 215 | | | | 229,520 | |
Kroger Co. (The), Gtd. Notes | | | Baa2 | | | | 6.800% | | | | 04/01/11 | | | | 575 | | | | 583,433 | |
Tyson Foods, Inc., Gtd. Notes | | | Ba2 | | | | 7.350% | | | | 04/01/16 | | | | 785 | | | | 861,047 | |
Yum! Brands, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 04/15/11 | | | | 235 | | | | 240,202 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 12,352,442 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.4% | | | | | | | | | | | | | | | | | | | | |
Abbott Laboratories, Sr. Unsec’d. Notes | | | A1 | | | | 5.875% | | | | 05/15/16 | | | | 1,100 | | | | 1,269,843 | |
AmerisourceBergen Corp., Gtd. Notes(b) | | | Baa3 | | | | 5.625% | | | | 09/15/12 | | | | 915 | | | | 977,367 | |
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes | | | A1 | | | | 6.450% | | | | 09/15/37 | | | | 480 | | | | 569,859 | |
Becton, Dickinson and Co., Sr. Unsec’d. Notes | | | A2 | | | | 5.000% | | | | 11/12/40 | | | | 420 | | | | 413,569 | |
Genentech, Inc., Sr. Unsec’d. Notes | | | AA-(f) | | | | 4.750% | | | | 07/15/15 | | | | 270 | | | | 297,295 | |
HCA, Inc., Sec’d. Notes | | | B2 | | | | 9.250% | | | | 11/15/16 | | | | 1,925 | | | | 2,053,734 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | Baa2 | | | | 5.625% | | | | 12/15/15 | | | | 560 | | | | 613,826 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 5.750% | | | | 11/15/36 | | | | 280 | | | | 308,104 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 5.950% | | | | 12/01/28 | | | | 205 | | | | 234,495 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 6.000% | | | | 09/15/17 | | | | 842 | | | | 983,950 | |
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 08/15/19 | | | | 440 | | | | 487,229 | |
Wyeth, Gtd. Notes | | | A1 | | | | 6.450% | | | | 02/01/24 | | | | 60 | | | | 70,681 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,279,952 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare Insurance — 0.3% | | | | | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 06/15/11 | | | | 430 | | | | 439,525 | |
Aetna, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.625% | | | | 06/15/36 | | | | 480 | | | | 527,605 | |
CIGNA Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.150% | | | | 11/15/36 | | | | 640 | | | | 661,139 | |
Coventry Health Care, Inc., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.125% | | | | 01/15/15 | | | | 1,200 | | | | 1,249,537 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.250% | | | | 03/15/11 | | | | 1,470 | | | | 1,482,457 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.000% | | | | 06/15/17 | | | | 115 | | | | 128,249 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 06/15/37 | | | | 400 | | | | 441,665 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.625% | | | | 11/15/37 | | | | 410 | | | | 459,958 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.000% | | | | 12/15/14 | | | | 1,085 | | | | 1,177,170 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.250% | | | | 01/15/16 | | | | 335 | | | | 368,343 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,935,648 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Insurance — 0.9% | | | | | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Holdings Ltd. (Switzerland), Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/20 | | | | 480 | | | | 461,215 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 4.250% | | | | 05/15/13 | | | | 655 | | | | 677,826 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.400% | | | | 12/15/20 | | | | 910 | | | | 954,780 | |
AXA SA (France), Sub. Notes | | | A3 | | | | 8.600% | | | | 12/15/30 | | | | 230 | | | | 257,721 | |
Axis Specialty Finance LLC, Gtd. Notes | | | Baa1 | | | | 5.875% | | | | 06/01/20 | | | | 990 | | | | 988,450 | |
Berkshire Hathaway Finance Corp., Gtd. Notes(i) | | | Aa2 | | | | 5.750% | | | | 01/15/40 | | | | 805 | | | | 845,950 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Insurance (continued) | | | | | | | | | | | | | | | | | | | | |
Chubb Corp., Jr. Sub. Notes(d) | | | A3 | | | | 6.375% | | | | 03/29/67 | | | $ | 1,260 | | | $ | 1,313,550 | |
Liberty Mutual Group, Inc., Bonds, 144A | | | Baa2 | | | | 7.000% | | | | 03/15/34 | | | | 910 | | | | 860,194 | |
Lincoln National Corp., Jr. Sub. Notes(d) | | | Ba1 | | | | 6.050% | | | | 04/20/67 | | | | 250 | | | | 230,625 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.300% | | | | 10/09/37 | | | | 476 | | | | 479,017 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 7.000% | | | | 06/15/40 | | | | 660 | | | | 717,732 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 8.750% | | | | 07/01/19 | | | | 505 | | | | 631,678 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 5.700% | | | | 06/15/35 | | | | 1,185 | | | | 1,209,595 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.125% | | | | 12/01/11 | | | | 435 | | | | 456,235 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.375% | | | | 06/15/34 | | | | 85 | | | | 92,789 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.750% | | | | 06/01/16 | | | | 270 | | | | 313,190 | |
New York Life Insurance Co., Sub. Notes, 144A | | | Aa2 | | | | 6.750% | | | | 11/15/39 | | | | 650 | | | | 766,414 | |
Northwestern Mutual Life Insurance, Notes, 144A | | | Aa2 | | | | 6.063% | | | | 03/30/40 | | | | 350 | | | | 386,590 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | Baa1 | | | | 6.350% | | | | 04/01/13 | | | | 1,000 | | | | 1,070,860 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | Baa1 | | | | 6.375% | | | | 04/30/20 | | | | 640 | | | | 666,134 | |
Pacific Life Insurance Co., Sub. Notes, 144A
(original cost $869,582; purchased 06/16/09)(h) | | | A3 | | | | 9.250% | | | | 06/15/39 | | | | 870 | | | | 1,130,595 | |
Progressive Corp. (The), Jr. Sub. Notes(d) | | | A2 | | | | 6.700% | | | | 06/15/37 | | | | 715 | | | | 734,663 | |
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A | | | Aa2 | | | | 6.850% | | | | 12/16/39 | | | | 1,430 | | | | 1,673,103 | |
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | | | A2 | | | | 6.750% | | | | 06/20/36 | | | | 740 | | | | 865,360 | |
Unum Group, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.625% | | | | 09/15/20 | | | | 315 | | | | 316,185 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.600% | | | | 05/15/15 | | | | 705 | | | | 743,029 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.150% | | | | 08/15/19 | | | | 575 | | | | 586,494 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | Baa2 | | | | 5.250% | | | | 09/15/14 | | | | 110 | | | | 113,344 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 19,543,318 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Lodging — 0.2% | | | | | | | | | | | | | | | | | | | | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(b) | | | Ba1 | | | | 6.250% | | | | 02/15/13 | | | | 1,585 | | | | 1,695,950 | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.750% | | | | 05/15/18 | | | | 2,700 | | | | 2,956,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | �� | | | 4,652,450 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.4% | | | | | | | | | | | | | | | | | | | | |
Gannett Co., Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 6.375% | | | | 04/01/12 | | | | 2,500 | | | | 2,575,000 | |
NBC Universal, Inc., Sr. Unsec’d. Notes, 144A | | | Baa2 | | | | 4.375% | | | | 04/01/21 | | | | 835 | | | | 810,457 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.150% | | | | 03/01/37 | | | | 235 | | | | 245,007 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.900% | | | | 08/15/39 | | | | 115 | | | | 131,666 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 7.625% | | | | 11/30/28 | | | | 1,265 | | | | 1,474,148 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 4.700% | | | | 01/15/21 | | | | 280 | | | | 285,087 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 4.875% | | | | 03/15/20 | | | | 425 | | | | 442,618 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 7.250% | | | | 10/15/17 | | | | 745 | | | | 889,245 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 7.625% | | | | 04/15/31 | | | | 155 | | | | 188,431 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 9.150% | | | | 02/01/23 | | | | 625 | | | | 820,160 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.750% | | | | 10/05/37 | | | | 420 | | | | 475,021 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 04/30/36 | | | | 620 | | | | 711,358 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 9,048,198 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Metals — 0.4% | | | | | | | | | | | | | | | | | | | | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | Baa3 | | | | 3.750% | | | | 08/05/15 | | | | 2,440 | | | | 2,460,315 | |
Newmont Mining Corp., Gtd. Notes | | | Baa1 | | | | 6.250% | | | | 10/01/39 | | | | 865 | | | | 940,518 | |
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes | | | BBB+(f) | | | | 4.500% | | | | 05/15/13 | | | | 255 | | | | 273,140 | |
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes | | | BBB+(f) | | | | 5.000% | | | | 06/01/15 | | | | 755 | | | | 822,353 | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 7.500% | | | | 07/27/35 | | | | 120 | | | | 133,176 | |
Teck Resources Ltd. (Canada), Gtd. Notes | | | Baa2 | | | | 3.850% | | | | 08/15/17 | | | | 390 | | | | 395,611 | |
United States Steel Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 5.650% | | | | 06/01/13 | | | | 2,540 | | | | 2,628,900 | |
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes | | | Baa2 | | | | 6.875% | | | | 11/10/39 | | | | 745 | | | | 823,173 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,477,186 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.5% | | | | | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | Aa2 | | | | 5.550% | | | | 05/04/20 | | | | 800 | | | | 845,640 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | Aa2 | | | | 5.875% | | | | 01/14/38 | | | | 970 | | | | 1,006,907 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Captive Finance (continued) | | | | | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i) | | | Aa2 | | | | 6.000% | | | | 08/07/19 | | | $ | 3,010 | | | $ | 3,348,899 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN | | | Aa2 | | | | 6.875% | | | | 01/10/39 | | | | 730 | | | | 843,632 | |
HSBC Finance Corp., Sr. Unsec’d. Notes | | | A3 | | | | 5.700% | | | | 06/01/11 | | | | 585 | | | | 596,330 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | B1 | | | | 6.375% | | | | 03/25/13 | | | | 1,750 | | | | 1,793,750 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.000% | | | | 03/25/20 | | | | 1,000 | | | | 1,013,905 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.450% | | | | 06/15/18 | | | | 2,825 | | | | 2,936,198 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 12,385,261 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Packaging | | | | | | | | | | | | | | | | | | | | |
Sealed Air Corp., Sr. Unsec’d. Notes, 144A | | | Baa3 | | | | 6.875% | | | | 07/15/33 | | | | 450 | | | | 421,941 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Paper — 0.1% | | | | | | | | | | | | | | | | | | | | |
Georgia-Pacific LLC, Gtd. Notes, 144A | | | | | | | | | | | | | | | | | | | | |
(original cost $397,652; purchased 10/27/10)(h) | | | Ba2 | | | | 5.400% | | | | 11/01/20 | | | | 400 | | | | 395,472 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.300% | | | | 11/15/39 | | | | 1,080 | | | | 1,230,598 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.950% | | | | 06/15/18 | | | | 615 | | | | 731,827 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 2,357,897 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.2% | | | | | | | | | | | | | | | | | | | | |
ONEOK Partners LP, Gtd. Notes | | | Baa2 | | | | 6.650% | | | | 10/01/36 | | | | 130 | | | | 140,975 | |
Sempra Energy, Sr. Unsec’d. Notes | | | Baa1 | | | | 6.000% | | | | 02/01/13 | | | | 80 | | | | 86,726 | |
Spectra Energy Capital LLC, Gtd. Notes | | | Baa2 | | | | 6.200% | | | | 04/15/18 | | | | 3,310 | | | | 3,676,298 | |
Spectra Energy Capital LLC, Sr. Unsec’d. Notes | | | Baa2 | | | | 6.250% | | | | 02/15/13 | | | | 205 | | | | 222,323 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,126,322 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Railroads — 0.1% | | | | | | | | | | | | | | | | | | | | |
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.700% | | | | 08/01/28 | | | | 735 | | | | 822,863 | |
CSX Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.150% | | | | 05/01/37 | | | | 690 | | | | 741,862 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.590% | | | | 05/17/25 | | | | 630 | | | | 650,889 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 7.800% | | | | 05/15/27 | | | | 24 | | | | 30,947 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 2,246,561 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.2% | | | | | | | | | | | | | | | | | | | | |
Brandywine Operating Partnership LP, Gtd. Notes | | | Baa3 | | | | 5.750% | | | | 04/01/12 | | | | 391 | | | | 404,879 | |
Mack-Cali Realty LP, Sr. Unsec’d. Notes(b) | | | Baa2 | | | | 7.750% | | | | 08/15/19 | | | | 685 | | | | 797,172 | |
Post Apartment Homes LP, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.450% | | | | 06/01/12 | | | | 545 | | | | 563,316 | |
Post Apartment Homes LP, Sr. Unsec’d. Notes | | | Baa3 | | | | 6.300% | | | | 06/01/13 | | | | 650 | | | | 698,629 | |
ProLogis, Sr. Unsec’d. Notes | | | Baa2 | | | | 6.875% | | | | 03/15/20 | | | | 68 | | | | 72,197 | |
Simon Property Group LP, Sr. Unsec’d. Notes(b) | | | A3 | | | | 6.125% | | | | 05/30/18 | | | | 2,700 | | | | 3,034,657 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,570,850 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 0.3% | | | | | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.750% | | | | 06/01/17 | | | | 1,580 | | | | 1,757,987 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.125% | | | | 09/15/39 | | | | 435 | | | | 464,779 | |
GameStop Corp./GameStop, Inc., Gtd. Notes | | | Ba1 | | | | 8.000% | | | | 10/01/12 | | | | 557 | | | | 569,533 | |
Home Depot, Inc. (The), Sr. Unsec’d. Notes | | | Baa1 | | | | 5.875% | | | | 12/16/36 | | | | 315 | | | | 327,647 | |
Kohl’s Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 12/15/37 | | | | 1,000 | | | | 1,153,122 | |
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | | | A1 | | | | 6.500% | | | | 03/15/29 | | | | 345 | | | | 387,549 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.350% | | | | 03/15/12 | | | | 330 | | | | 340,725 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.875% | | | | 01/15/13 | | | | 2,000 | | | | 2,120,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 7,121,342 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.3% | | | | | | | | | | | | | | | | | | | | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 3.375% | | | | 11/01/15 | | | | 370 | | | | 358,678 | |
Electronic Data Systems Corp., Sr. Unsec’d. Notes | | | A2 | | | | 7.450% | | | | 10/15/29 | | | | 55 | | | | 70,648 | |
Fiserv, Inc., Gtd. Notes | | | Baa2 | | | | 6.125% | | | | 11/20/12 | | | | 960 | | | | 1,038,218 | |
Intuit, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.400% | | | | 03/15/12 | | | | 575 | | | | 602,154 | |
Motorola Solutions, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.000% | | | | 11/01/11 | | | | 48 | | | | 50,552 | |
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes | | | Ba1 | | | | 6.375% | | | | 10/01/11 | | | | 985 | | | | 1,010,856 | |
Xerox Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 4.250% | | | | 02/15/15 | | | | 2,650 | | | | 2,772,865 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,903,971 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Telecommunications — 0.9% | | | | | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | A2 | | | | 6.125% | | | | 03/30/40 | | | $ | 560 | | | $ | 593,869 | |
AT&T Corp., Gtd. Notes | | | A2 | | | | 8.000% | | | | 11/15/31 | | | | 18 | | | | 22,624 | |
AT&T, Inc., Sr. Unsec’d. Notes, 144A | | | A2 | | | | 5.350% | | | | 09/01/40 | | | | 2,098 | | | | 1,973,098 | |
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes | | | A2 | | | | 8.500% | | | | 11/15/18 | | | | 2,400 | | | | 3,140,520 | |
Deutsche Telekom International Finance BV (Netherlands), Gtd. Notes | | | Baa1 | | | | 8.750% | | | | 06/15/30 | | | | 345 | | | | 463,662 | |
Embarq Corp., Sr. Unsec’d. Notes (original cost $349,979; purchased 05/12/06)(e)(h) | | | Baa3 | | | | 7.082% | | | | 06/01/16 | | | | 350 | | | | 387,068 | |
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h) | | | Baa3 | | | | 7.995% | | | | 06/01/36 | | | | 1,645 | | | | 1,796,141 | |
France Telecom SA (France), Sr. Unsec’d. Notes | | | A3 | | | | 8.500% | | | | 03/01/31 | | | | 360 | | | | 489,395 | |
New Cingular Wireless Services, Inc., Gtd. Notes | | | A2 | | | | 8.125% | | | | 05/01/12 | | | | 800 | | | | 873,907 | |
PCCW HKT Capital Ltd. (Virgin Islands (US)),
Gtd. Notes, 144A | | | Baa2 | | | | 8.000% | | | | 11/15/11 | | | | 2,275 | | | | 2,394,160 | |
Qwest Capital Funding, Inc., Gtd. Notes | | | Ba3 | | | | 7.250% | | | | 02/15/11 | | | | 720 | | | | 721,357 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 03/15/12 | | | | 2,000 | | | | 2,162,500 | |
Telecom Italia Capital SA (Luxembourg), Gtd. Notes | | | Baa2 | | | | 5.250% | | | | 11/15/13 | | | | 170 | | | | 177,107 | |
Telecom Italia Capital SA (Luxembourg), Gtd. Notes | | | Baa2 | | | | 7.175% | | | | 06/18/19 | | | | 3,405 | | | | 3,643,122 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 5.877% | | | | 07/15/19 | | | | 325 | | | | 332,070 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 7.045% | | | | 06/20/36 | | | | 210 | | | | 214,867 | |
Telefonos de Mexico SAB de CV (Mexico), Sr. Unsec’d. Notes | | | A3 | | | | 5.500% | | | | 11/15/19 | | | | 255 | | | | 269,195 | |
TELUS Corp. (Canada), Sr. Unsec’d. Notes | | | Baa1 | | | | 8.000% | | | | 06/01/11 | | | | 570 | | | | 585,544 | |
US Cellular Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.700% | | | | 12/15/33 | | | | 255 | | | | 247,697 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.400% | | | | 02/15/38 | | | | 55 | | | | 60,840 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 20,548,743 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.3% | | | | | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 9.700% | | | | 11/10/18 | | | | 3,040 | | | | 4,010,447 | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 9.950% | | | | 11/10/38 | | | | 130 | | | | 183,187 | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 10.200% | | | | 02/06/39 | | | | 850 | | | | 1,228,493 | |
Lorillard Tobacco Co., Gtd. Notes | | | Baa2 | | | | 8.125% | | | | 06/23/19 | | | | 440 | | | | 489,601 | |
Reynolds American, Inc., Gtd. Notes | | | Baa3 | | | | 7.250% | | | | 06/15/37 | | | | 285 | | | | 296,324 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,208,052 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $264,150,089) | | | | 277,684,573 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| FOREIGN AGENCIES — 0.5% | | | | | | | | | | | | | | | | | | | | |
Commonwealth Bank of Australia (Australia), 144A | | | Aaa | | | | 2.700% | | | | 11/25/14 | | | | 7,220 | | | | 7,450,556 | |
Export-Import Bank of Korea (South Korea) | | | A1 | | | | 4.000% | | | | 01/29/21 | | | | 685 | | | | 639,920 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes(b) | | | A1 | | | | 5.125% | | | | 06/29/20 | | | | 365 | | | | 375,828 | |
Pemex Project Funding Master Trust, Gtd. Notes | | | Baa1 | | | | 8.625% | | | | 12/01/23 | | | | 350 | | | | 427,091 | |
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A | | | Baa1 | | | | 6.299% | | | | 05/15/17 | | | | 2,100 | | | | 2,110,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL FOREIGN AGENCIES
(cost $10,796,890) | | | | 11,003,895 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| FOREIGN LOCAL GOVERNMENT | | | | | | | | | | | | | | | | | | | | |
Qatar Government International Bond (Qatar), Sr. Notes, 144A
(cost $728,430) | | | Aa2 | | | | 6.400% | | | | 01/20/40 | | | | 730 | | | | 792,050 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| MORTGAGE-BACKED SECURITIES — 12.3% | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | 4.000% | | | | TBA 30 YR | | | | 1,000 | | | | 992,656 | |
Federal Home Loan Mortgage Corp. | | | | 4.500% | | | | 02/01/19-02/01/39 | | | | 5,235 | | | | 5,481,307 | |
Federal Home Loan Mortgage Corp. | | | | 4.500% | | | | TBA 15 YR | | | | 1,400 | | | | 1,462,344 | |
Federal Home Loan Mortgage Corp. | | | | 4.500% | | | | TBA 30 YR | | | | 9,750 | | | | 9,963,281 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | 5.000% | | | | 07/01/18-05/01/34 | | | $ | 7,612 | | | $ | 8,097,906 | |
Federal Home Loan Mortgage Corp. | | | | 5.000% | | | | TBA 15 YR | | | | 6,000 | | | | 6,335,628 | |
Federal Home Loan Mortgage Corp. | | | | 5.000% | | | | TBA 30 YR | | | | 8,000 | | | | 8,390,000 | |
Federal Home Loan Mortgage Corp.(d) | | | | 5.195% | | | | 12/01/35 | | | | 1,777 | | | | 1,894,098 | |
Federal Home Loan Mortgage Corp.(d) | | | | 5.492% | | | | 06/01/36 | | | | 909 | | | | 952,460 | |
Federal Home Loan Mortgage Corp. | | | | 5.500% | | | | 12/01/33-05/01/38 | | | | 7,557 | | | | 8,100,371 | |
Federal Home Loan Mortgage Corp. | | | | 5.500% | | | | TBA 30 YR | | | | 10,500 | | | | 11,189,063 | |
Federal Home Loan Mortgage Corp. | | | | 6.000% | | | | 03/01/32-12/01/33 | | | | 1,823 | | | | 2,011,186 | |
Federal Home Loan Mortgage Corp. | | | | 6.000% | | | | TBA 30 YR | | | | 3,000 | | | | 3,249,375 | |
Federal Home Loan Mortgage Corp. | | | | 6.500% | | | | 12/01/14-09/01/16 | | | | 172 | | | | 186,478 | |
Federal Home Loan Mortgage Corp. | | | | 7.000% | | | | 05/01/31-10/01/32 | | | | 786 | | | | 895,961 | |
Federal National Mortgage Association(d) | | | | 2.187% | | | | 07/01/33 | | | | 641 | | | | 663,964 | |
Federal National Mortgage Association | | | | 3.500% | | | | TBA 15 YR | | | | 11,000 | | | | 11,075,625 | |
Federal National Mortgage Association | | | | 4.000% | | | | 06/01/19 | | | | 1,394 | | | | 1,452,979 | |
Federal National Mortgage Association | | | | 4.000% | | | | TBA 30 YR | | | | 3,000 | | | | 2,984,064 | |
Federal National Mortgage Association | | | | 4.500% | | | | 11/01/18-08/01/39 | | | | 21,275 | | | | 22,070,496 | |
Federal National Mortgage Association | | | | 4.500% | | | | TBA 30 YR | | | | 9,500 | | | | 9,750,857 | |
Federal National Mortgage Association | | | | 5.000% | | | | 10/01/18-05/01/36 | | | | 12,864 | | | | 13,607,516 | |
Federal National Mortgage Association | | | | 5.000% | | | | TBA 30 YR | | | | 20,750 | | | | 21,813,437 | |
Federal National Mortgage Association | | | | 5.500% | | | | 03/01/16-04/01/37 | | | | 35,475 | | | | 38,200,297 | |
Federal National Mortgage Association(d) | | | | 5.600% | | | | 07/01/37 | | | | 1,044 | | | | 1,107,254 | |
Federal National Mortgage Association(d) | | | | 5.813% | | | | 06/01/37 | | | | 616 | | | | 653,136 | |
Federal National Mortgage Association | | | | 6.000% | | | | 04/01/13-06/01/38 | | | | 19,322 | | | | 21,231,541 | |
Federal National Mortgage Association | | | | 6.000% | | | | TBA 30 YR | | | | 6,500 | | | | 7,064,687 | |
Federal National Mortgage Association | | | | 6.500% | | | | 07/01/17-01/01/37 | | | | 7,585 | | | | 8,518,031 | |
Federal National Mortgage Association | | | | 7.000% | | | | 08/01/11-07/01/32 | | | | 586 | | | | 665,358 | |
Federal National Mortgage Association | | | | 7.500% | | | | 05/01/12-05/01/32 | | | | 255 | | | | 284,634 | |
Government National Mortgage Association | | | | 4.000% | | | | TBA 30 YR | | | | 2,000 | | | | 2,005,938 | |
Government National Mortgage Association | | | | 4.000% | | | | TBA 30 YR | | | | 10,000 | | | | 10,057,890 | |
Government National Mortgage Association | | | | 4.500% | | | | TBA 30 YR | | | | 14,500 | | | | 15,052,812 | |
Government National Mortgage Association | | | | 5.000% | | | | TBA 30 YR | | | | 4,000 | | | | 4,251,900 | |
Government National Mortgage Association | | | | 5.500% | | | | 08/15/33-04/15/36 | | | | 6,258 | | | | 6,829,973 | |
Government National Mortgage Association | | | | 6.000% | | | | 11/15/23-07/15/34 | | | | 2,071 | | | | 2,298,811 | |
Government National Mortgage Association | | | | 6.500% | | | | 10/15/23-09/15/36 | | | | 4,058 | | | | 4,601,103 | |
Government National Mortgage Association | | | | 8.000% | | | | 01/15/24-07/15/24 | | | | 50 | | | | 59,337 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(cost $265,486,491) | | | | 275,503,754 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 0.4% | | | | | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | Aa3 | | | | 6.263% | | | | 04/01/49 | | | | 1,305 | | | | 1,330,461 | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | A1 | | | | 6.395% | | | | 01/01/40 | | | | 970 | | | | 943,238 | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | Aa2 | | | | 6.731% | | | | 07/01/43 | | | | 945 | | | | 942,732 | |
New Jersey State Turnpike Authority, Revenue Bonds,
Ser. F, BABs | | | A3 | | | | 7.414% | | | | 01/01/40 | | | | 1,000 | | | | 1,103,180 | |
New York City Transitional Finance Authority, Revenue Bonds, BABs | | | Aa1 | | | | 5.767% | | | | 08/01/36 | | | | 1,100 | | | | 1,108,569 | |
Ohio State University (The), Revenue Bonds, BABs | | | Aa1 | | | | 4.910% | | | | 06/01/40 | | | | 415 | | | | 378,028 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | Aaa | | | | 4.879% | | | | 12/01/34 | | | | 275 | | | | 261,676 | |
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs | | | Aa2 | | | | 5.834% | | | | 11/15/34 | | | | 425 | | | | 435,710 | |
Pennsylvania Turnpike Commission, Revenue Bonds,
Ser. B, BABs | | | Aa3 | | | | 5.511% | | | | 12/01/45 | | | | 505 | | | | 457,222 | |
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs | | | Aa2 | | | | 5.844% | | | | 11/01/50 | | | | 625 | | | | 626,287 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.300% | | | | 10/01/39 | | | | 1,250 | | | | 1,267,937 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.500% | | | | 04/01/34 | | | | 350 | | | | 362,114 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
MUNICIPAL BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
State of California, General Obligation Unlimited, BABs | | | A1 | | | | 7.550% | | | | 04/01/39 | | | $ | 245 | | | $ | 254,949 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.625% | | | | 03/01/40 | | | | 205 | | | | 216,052 | |
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs | | | Aaa | | | | 5.028% | | | | 04/01/26 | | | | 305 | | | | 300,760 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $10,074,745) | | | | 9,988,915 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3% | | | | | | | | | | | | | | | | | |
Federal Home Loan Banks | | | | 5.500% | | | | 07/15/36 | | | | 950 | | | | 1,046,451 | |
Federal Home Loan Mortgage Corp. | | | | 5.125% | | | | 11/17/17 | | | | 420 | | | | 478,259 | |
Resolution Funding Corp. Interest Strip, Bonds(j) | | | | 3.530% | | | | 04/15/18 | | | | 2,645 | | | | 2,097,308 | |
Tennessee Valley Authority, Notes | | | | 4.500% | | | | 04/01/18 | | | | 1,390 | | | | 1,506,718 | |
Tennessee Valley Authority | | | | 5.880% | | | | 04/01/36 | | | | 85 | | | | 97,699 | |
Tennessee Valley Authority, Bonds, Ser. E | | | | 6.250% | | | | 12/15/17 | | | | 360 | | | | 432,072 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $5,397,030) | | | | 5,658,507 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| U.S. TREASURY SECURITIES — 3.8% | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds(b) | | | | 3.875% | | | | 08/15/40 | | | | 3,280 | | | | 3,021,188 | |
U.S. Treasury Bonds(k) | | | | 6.250% | | | | 08/15/23 | | | | 6,140 | | | | 7,717,212 | |
U.S. Treasury Bonds | | | | 7.250% | | | | 08/15/22 | | | | 2,560 | | | | 3,460,800 | |
U.S. Treasury Bonds | | | | 8.000% | | | | 11/15/21 | | | | 4,550 | | | | 6,435,406 | |
U.S. Treasury Inflation Indexed Note | | | | 1.375% | | | | 01/15/20 | | | | 8,723 | | | | 9,065,087 | |
U.S. Treasury Notes | | | | 0.625% | | | | 12/31/12 | | | | 270 | | | | 270,148 | |
U.S. Treasury Notes(b) | | | | 0.750% | | | | 12/15/13 | | | | 1,630 | | | | 1,618,412 | |
U.S. Treasury Notes(b) | | | | 1.375% | | | | 11/30/15 | | | | 60 | | | | 58,308 | |
U.S. Treasury Notes | | | | 2.125% | | | | 12/31/15 | | | | 100 | | | | 100,531 | |
U.S. Treasury Notes(b) | | | | 2.625% | | | | 11/15/20 | | | | 2,485 | | | | 2,344,053 | |
U.S. Treasury Strips Coupon(l) | | | | 4.200% | | | | 05/15/24 | | | | 9,985 | | | | 5,725,748 | |
U.S. Treasury Strips Coupon(l) | | | | 4.230% | | | | 11/15/24 | | | | 22,405 | | | | 12,476,135 | |
U.S. Treasury Strips Coupon(l) | | | | 4.240% | | | | 08/15/24 | | | | 11,695 | | | | 6,604,272 | |
U.S. Treasury Strips Coupon(l) | | | | 4.640% | | | | 11/15/21 | | | | 2,500 | | | | 1,653,265 | |
U.S. Treasury Strips Coupon(l) | | | | 4.910% | | | | 08/15/22 | | | | 2,150 | | | | 1,362,105 | |
U.S. Treasury Strips Coupon(l) | | | | 5.330% | | | | 11/15/23 | | | | 12,715 | | | | 7,499,116 | |
U.S. Treasury Strips Coupon(l) | | | | 5.400% | | | | 02/15/24 | | | | 10,000 | | | | 5,816,680 | |
U.S. Treasury Strips Principal(j) | | | | 4.090% | | | | 08/15/23 | | | | 6,000 | | | | 3,615,648 | |
U.S. Treasury Strips Principal(j) | | | | 5.000% | | | | 02/15/23 | | | | 8,390 | | | | 5,193,427 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY SECURITIES
(cost $81,481,681) | | | | 84,037,541 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,619,939,814) | | | | 2,018,590,999 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 18.1% | | | | | | | | | | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 0.3% | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bill(m) | | | | 0.190% | | | | 03/17/11 | | | | 2,000 | | | | 1,999,554 | |
U.S. Treasury Bill(m) | | | | 0.180% | | | | 06/16/11 | | | | 4,700 | | | | 4,696,315 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY SECURITIES
(cost $6,695,307) | | | | 6,695,869 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
AFFILIATED MUTUAL FUNDS — 17.8% | | | | | Interest
Rate
| | | Maturity
Date
| | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $139,844,115)(Note 4)(n) | | | | 14,371,773 | | | $ | 129,202,239 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $267,494,045; includes $66,743,616 of cash collateral received for securities on loan)(Note 4)(n)(o) | | | | 267,494,045 | | | | 267,494,045 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $407,338,160) | | | | 396,696,284 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $414,033,467) | | | | 403,392,153 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT— 108.4%
(cost $2,033,973,281) | | | | 2,421,983,152 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | | | Principal
Amount
(000)#
| | | | |
| SECURITY SOLD SHORT — (0.1)% | | | | | | | | | | | | | | | | | | | | |
Mortgage-Backed Security | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp.
(proceeds $1,276,318) | | | | 4.500% | | | | TBA 30 Year | | | $ | (1,250 | ) | | | (1,280,860 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT(p) — 108.3%
(cost $2,032,696,963) | | | | 2,420,702,292 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(q) (8.3)% | | | | (186,043,629 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 2,234,658,663 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| BABs | | Build America Bonds |
| CDO | | Collateralized Debt Obligation |
| CLO | | Collateralized Loan Obligation |
| I/O | | Interest Only |
| MTN | | Medium Term Note |
| NR | | Not Rated by Moody’s or Standard & Poor’s |
| TBA | | To Be Announced |
| † | The ratings reflected are as of December 31, 2010. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $65,131,924; cash collateral of $66,743,616 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Stapled Security—A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (d) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (e) | Indicates a security that has been deemed illiquid. |
| (f) | Standard & Poor’s Rating |
| (g) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (h) | Indicates a restricted security; the aggregate original cost of such securities is $5,974,143. The aggregate value of $6,687,876 is approximately 0.3% of net assets. |
| (i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (j) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2010 |
| (k) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (l) | Rate shown reflects the effective yield at December 31, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (m) | Rate quoted represents yield-to-maturity as of purchase date. |
| (n) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2—Prudential Core Short-Term Bond Fund. |
| (o) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (p) | As of December 31, 2010, 3 securities representing $2,079,431 and 0.1% of the net assets were fair valued in accordance with the policies adopted by the Board of Trustees. |
| (q) | Other liabilities in excess of other assets include net unrealized appreciation (depreciation) on futures contracts and credit default swap agreements as follows: |
Open futures contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
| Long Positions: | | | | | | | | | | | | | | | | | | | | |
| 255 | | | 2 Year U.S. Treasury Notes | | | | Mar. 2011 | | | $ | 55,924,455 | | | $ | 55,821,094 | | | $ | (103,361 | ) |
| 1490 | | | 5 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 177,566,724 | | | | 175,400,937 | | | | (2,165,787 | ) |
| 20 | | | S&P 500 E-mini | | | | Mar. 2011 | | | | 1,236,944 | | | | 1,253,000 | | | | 16,056 | |
| 259 | | | S&P 500 Index | | | | Mar. 2011 | | | | 80,037,802 | | | | 81,131,750 | | | | 1,093,948 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | (1,159,144 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| Short Positions: | | | | | | | | | | | | | | | | | | | | |
| 792 | | | 10 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 97,983,960 | | | | 95,386,500 | | | | 2,597,460 | |
| 202 | | | U.S. Long Bond | | | | Mar. 2011 | | | | 25,545,339 | | | | 24,669,250 | | | | 876,089 | |
| 25 | | | U.S. Ultra Bond | | | | Mar. 2011 | | | | 3,139,251 | | | | 3,177,344 | | | | (38,093 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,435,456 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | 2,276,312 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Credit default swap agreements outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#(2)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Credit Default Swaps on Corporate Issues—Buy Protection(1): | | | | | | | | | | | | |
Barclays Bank PLC | | | 09/20/12 | | | $ | 2,800 | | | | 0.595% | | | Fortune Brands, Inc.,
5.375%, 01/15/16 | | $ | (6,611 | ) | | $ | — | | | $ | (6,611 | ) |
Deutsche Bank AG | | | 09/20/11 | | | | 1,000 | | | | 1.000% | | | DISH DBS Corp.,
6.625%, 10/01/14 | | | (2,993 | ) | | | 5,716 | | | | (8,709 | ) |
Deutsche Bank AG | | | 03/20/12 | | | | 2,000 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, 04/01/12 | | | (114,315 | ) | | | (26,749 | ) | | | (87,566 | ) |
Deutsche Bank AG | | | 12/20/12 | | | | 2,000 | | | | 1.000% | | | Macy’s Retail Holdings, Inc.,
8.000%, 07/15/12 | | | (13,861 | ) | | | 49,401 | | | | (63,262 | ) |
Deutsche Bank AG | | | 06/20/13 | | | | 2,000 | | | | 1.000% | | | United States Steel Corp.,
6.650%, 06/01/37 | | | 64,808 | | | | 80,923 | | | | (16,115 | ) |
Deutsche Bank AG | | | 03/20/14 | | | | 1,585 | | | | 7.050% | | | Starwood Hotels & Resorts Worldwide, Inc.,
7.875%, 05/01/12 | | | (316,569 | ) | | | — | | | | (316,569 | ) |
Deutsche Bank AG | | | 06/20/18 | | | | 2,800 | | | | 1.150% | | | Spectra Energy Capital LLC,
6.250%, 02/15/13 | | | (51,954 | ) | | | — | | | | (51,954 | ) |
JPMorgan Chase Bank | | | 06/20/14 | | | | 1,110 | | | | 0.650% | | | Bunge Ltd. Finance Corp.,
5.350%, 04/15/14 | | | 28,557 | | | | — | | | | 28,557 | |
Merrill Lynch Capital Services, Inc. | | | 09/20/16 | | | | 785 | | | | 1.730% | | | Tyson Foods, Inc.,
7.350%, 04/01/16 | | | 5,228 | | | | — | | | | 5,228 | |
Merrill Lynch Capital Services, Inc. | | | 06/20/18 | | | | 1,800 | | | | 3.050% | | | SLM Corp.,
5.125%, 08/27/12 | | | 76,413 | | | | — | | | | 76,413 | |
Merrill Lynch Capital Services, Inc. | | | 06/20/18 | | | | 2,700 | | | | 1.450% | | | Starwood Hotels & Resorts Worldwide, Inc.,
6.750%, 05/15/18 | | | (8,974 | ) | | | — | | | | (8,974 | ) |
Morgan Stanley Capital Services, Inc. | | | 03/20/12 | | | | 500 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, 04/01/12 | | | (28,579 | ) | | | (9,669 | ) | | | (18,910 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#(2)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Credit Default Swaps on Corporate Issues—Buy Protection(1): (continued) | | | | | | | | | | | | |
Morgan Stanley Capital Services, Inc. | | | 03/20/18 | | | $ | 1,400 | | | | 0.700% | | | Avon Products, Inc.,
6.500%, 03/01/19 | | $ | 974 | | | $ | — | | | $ | 974 | |
Morgan Stanley Capital Services, Inc. | | | 06/20/18 | | | | 1,600 | | | | 1.000% | | | Newell Rubbermaid, Inc.,
0.000%, 07/15/28 | | | 32,887 | | | | — | | | | 32,887 | |
Morgan Stanley Capital Services, Inc. | | | 06/20/18 | | | | 2,700 | | | | 0.970% | | | Simon Property Group LP,
5.250%, 12/01/16 | | | 34,941 | | | | — | | | | 34,941 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | (300,048 | ) | | $ | 99,622 | | | $ | (399,670 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (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) | 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. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value.
Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool.
Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of December 31, 2010 in valuing such Portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities | | $ | — | | | $ | 5,817,230 | | | $ | 9,531,862 | |
Residential Mortgage-Backed Securities | | | — | | | | 10,995,626 | | | | — | |
Bank Loans | | | — | | | | 7,877,170 | | | | 660,974 | |
Collateralized Mortgage Obligations | | | — | | | | 8,974,712 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 99,268,312 | | | | — | |
Common Stocks | | | 1,209,285,797 | | | | — | | | | — | |
Corporate Bonds | | | — | | | | 277,684,573 | | | | — | |
Foreign Agencies | | | — | | | | 11,003,895 | | | | — | |
Foreign Local Government | | | — | | | | 792,050 | | | | — | |
Mortgage-Backed Securities | | | — | | | | 275,503,754 | | | | — | |
Municipal Bonds | | | — | | | | 9,988,915 | | | | — | |
Preferred Stocks | | | 1,510,081 | | | | — | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 5,658,507 | | | | — | |
U.S. Treasury Securities | | | — | | | | 90,733,410 | | | | — | |
Affiliated Mutual Funds | | | 396,696,284 | | | | — | | | | — | |
Security Sold Short | | | — | | | | (1,280,860 | ) | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | 2,276,312 | | | | — | | | | — | |
Credit Default Swaps | | | — | | | | (399,670 | ) | | | — | |
| | |
|
|
| �� |
|
|
| |
|
|
|
Total | | $ | 1,609,768,474 | | | $ | 802,617,624 | | | $ | 10,192,836 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and other liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Affiliated Mutual Funds (including 3.0% of
collateral received for securities on loan) | | | 17.8 | % |
Mortgage-Backed Securities | | | 12.3 | |
Oil, Gas & Consumable Fuels | | | 5.3 | |
Commercial Mortgage-Backed Securities | | | 4.4 | |
U.S. Treasury Securities | | | 4.1 | |
Pharmaceuticals | | | 3.0 | |
Banking | | | 3.0 | |
Insurance | | | 2.9 | |
Computers & Peripherals | | | 2.3 | |
Diversified Financial Services | | | 2.3 | |
Software | | | 2.1 | |
Commercial Banks | | | 1.7 | |
Media | | | 1.7 | |
Chemicals | | | 1.6 | |
IT Services | | | 1.6 | |
Aerospace & Defense | | | 1.5 | |
Diversified Telecommunication Services | | | 1.5 | |
Beverages | | | 1.4 | |
Capital Markets | | | 1.4 | |
Food & Staples Retailing | | | 1.3 | |
Industrial Conglomerates | | | 1.3 | |
Semiconductors & Semiconductor Equipment | | | 1.3 | |
Communications Equipment | | | 1.2 | |
Household Products | | | 1.2 | |
Machinery | | | 1.2 | |
Electric | | | 1.1 | |
Energy Equipment & Services | | | 1.1 | |
Healthcare Providers & Services | | | 1.1 | |
Specialty Retail | | | 1.1 | |
Tobacco | | | 1.1 | |
Electric Utilities | | | 1.0 | |
Food Products | | | 1.0 | |
Internet Software & Services | | | 1.0 | |
Real Estate Investment Trusts | | | 1.0 | |
Healthcare Equipment & Supplies | | | 0.9 | |
Hotels, Restaurants & Leisure | | | 0.9 | |
Telecommunications | | | 0.9 | |
Biotechnology | | | 0.7 | |
Metals & Mining | | | 0.7 | |
Multi-Utilities | | | 0.7 | |
Non-Residential Mortgage-Backed Securities | | | 0.7 | |
Air Freight & Logistics | | | 0.6 | |
Cable | | | 0.6 | |
Foods | | | 0.6 | |
| | | | |
Non-Captive Finance | | | 0.5 | % |
Foreign Agencies | | | 0.5 | |
Healthcare & Pharmaceutical | | | 0.5 | |
Multiline Retail | | | 0.5 | |
Residential Mortgage-Backed Securities | | | 0.5 | |
Road & Rail | | | 0.5 | |
Technology | | | 0.5 | |
Airlines | | | 0.4 | |
Automobiles | | | 0.4 | |
Collateralized Mortgage Obligations | | | 0.4 | |
Consumer Finance | | | 0.4 | |
Internet & Catalog Retail | | | 0.4 | |
Media & Entertainment | | | 0.4 | |
Metals | | | 0.4 | |
Municipal Bonds | | | 0.4 | |
Commercial Services & Supplies | | | 0.3 | |
Consumer | | | 0.3 | |
Electrical Equipment | | | 0.3 | |
Electronic Equipment & Instruments | | | 0.3 | |
Energy – Other | | | 0.3 | |
Healthcare Insurance | | | 0.3 | |
Life Sciences Tools & Services | | | 0.3 | |
Retailers | | | 0.3 | |
Textiles, Apparel & Luxury Goods | | | 0.3 | |
U.S. Government Agency Obligations | | | 0.3 | |
Capital Goods | | | 0.2 | |
Energy – Integrated | | | 0.2 | |
Household Durables | | | 0.2 | |
Lodging | | | 0.2 | |
Pipelines & Other | | | 0.2 | |
Wireless Telecommunication Services | | | 0.2 | |
Auto Components | | | 0.1 | |
Construction & Engineering | | | 0.1 | |
Containers & Packaging | | | 0.1 | |
Diversified Consumer Services | | | 0.1 | |
Independent Power Producers & Energy Traders | | | 0.1 | |
Leisure Equipment & Products | | | 0.1 | |
Office Electronics | | | 0.1 | |
Paper | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
Personal Products | | | 0.1 | |
Professional Services | | | 0.1 | |
Railroads | | | 0.1 | |
Trading Companies & Distributors | | | 0.1 | |
| | |
|
|
|
| | | | 108.4 | |
Security Sold Short | | | (0.1 | ) |
Other liabilities in excess of other assets | | | (8.3 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | | | |
Derivatives not designated as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Credit contracts | |
| Premium paid for swap
agreements |
| | $ | 136,040 | | | Premium received for swap agreements | | $ | 36,418 | |
Credit contracts | |
| Unrealized appreciation
on swap agreements |
| | | 179,000 | | | Unrealized depreciation on swap agreements | | | 578,670 | |
Equity contracts | |
| Due to broker-variation
margin |
| | | 1,110,004 | * | | — | | | — | |
Interest rate contracts | |
| Due to broker-variation
margin |
| | | 3,473,549 | * | | Due to broker-variation margin | | | 2,307,241 | * |
| | | | | | |
|
|
| | | |
|
|
|
Total | | | | | | $ | 4,898,593 | | | | | $ | 2,922,329 | |
| | | | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | Futures
| | | Swaps
| | | Purchased
Options
| | Total
| |
Credit contracts | | $ | — | | | $ | (216,023 | ) | | $— | | $ | (216,023 | ) |
Equity contracts | | | 9,937,632 | | | | — | | | — | | | 9,937,632 | |
Interest rate contracts | | | 1,546,087 | | | | (178,448 | ) | | (21,114) | | | 1,346,525 | |
| | |
|
|
| |
|
|
| |
| |
|
|
|
Total | | $ | 11,483,719 | | | $ | (394,471 | ) | | $(21,114) | | $ | 11,068,134 | |
| | |
|
|
| |
|
|
| |
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | | | | Futures
| | | Swaps
| | Total
| |
Credit contracts | | | | | | $ | — | | | $(544,384) | | $ | (544,384 | ) |
Equity contracts | | | | | | | 179,867 | | | — | | | 179,867 | |
Interest rate contracts | | | | | | | 950,371 | | | 86,063 | | | 1,036,434 | |
| | | | | | |
|
|
| |
| |
|
|
|
Total | | | | | | $ | 1,130,238 | | | $(458,321) | | $ | 671,917 | |
| | | | | | |
|
|
| |
| |
|
|
|
For the year ended December 31, 2010, the Portfolio’s average volume of derivative activities is as follows:
| | | | |
Purchased Options
(Cost)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
|
| $17,552 | | $313,014,608 | | $114,985,190 |
| | |
Interest Rate Swaps
(Notional Amount in USD (000))
| | Credit Default
Swaps as Buyer
(Notional Amount in USD (000))
|
| $13,007 | | $31,818 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $65,131,924: | | | | |
Unaffiliated investments (cost $1,626,635,121) | | $ | 2,025,286,868 | |
Affiliated investments (cost $407,338,160) | | | 396,696,284 | |
Foreign currency, at value (cost $10,753) | | | 10,996 | |
Receivable for investments sold | | | 33,155,813 | |
Dividends and interest receivable | | | 6,982,099 | |
Foreign tax reclaim receivable | | | 225,016 | |
Unrealized appreciation on swap agreements | | | 179,000 | |
Premium paid for swap agreements | | | 136,040 | |
Receivable for Series shares sold | | | 133,147 | |
Prepaid expenses | | | 20,704 | |
| | |
|
|
|
Total Assets | | | 2,462,825,967 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 157,769,211 | |
Collateral for securities on loan | | | 66,743,616 | |
Security sold short, at value (proceeds received $1,276,318) | | | 1,280,860 | |
Management fee payable | | | 1,036,567 | |
Unrealized depreciation on swap agreements | | | 578,670 | |
Accrued expenses and other liabilities | | | 394,985 | |
Due to broker-variation margin | | | 195,949 | |
Payable for Series shares repurchased | | | 109,334 | |
Premium received for swap agreements | | | 36,418 | |
Payable to custodian | | | 20,817 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 228,167,304 | |
| | |
|
|
|
| NET ASSETS | | $ | 2,234,658,663 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,913,324,316 | |
Retained earnings | | | 321,334,347 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 2,234,658,663 | |
| | |
|
|
|
Net asset value and redemption price per share, $2,234,658,663 / 140,056,723 outstanding shares of beneficial interest | | $ | 15.96 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Interest | | $ | 35,544,000 | |
Unaffiliated dividend income (net of foreign withholding taxes of $2,247) | | | 24,692,128 | |
Affiliated dividend income | | | 2,260,849 | |
Affiliated income from securities loaned, net | | | 199,078 | |
| | |
|
|
|
| | | | 62,696,055 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 11,839,424 | |
Shareholders’ reports | | | 382,000 | |
Custodian’s fees and expenses | | | 290,000 | |
Audit fee | | | 36,000 | |
Trustees’ fees | | | 30,000 | |
Insurance expenses | | | 29,000 | |
Legal fees and expenses | | | 15,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Commitment fee on syndicated credit agreement | | | 9,000 | |
Miscellaneous | | | 13,142 | |
| | |
|
|
|
Total expenses | | | 12,654,566 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 50,041,489 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions (including affiliated: $(1,215,307)) | | | 15,229,343 | |
Short sale transactions | | | 13,145 | |
Futures transactions | | | 11,483,719 | |
Swap agreement transactions | | | (394,471 | ) |
Foreign currency transactions | | | (4,547 | ) |
| | |
|
|
|
| | | | 26,327,189 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $7,695,815) | | | 162,498,194 | |
Securities sold short | | | (4,542 | ) |
Futures | | | 1,130,238 | |
Swap agreements | | | (458,321 | ) |
Foreign currencies | | | 12,806 | |
| | |
|
|
|
| | | | 163,178,375 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | 189,505,564 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 239,547,053 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 50,041,489 | | | $ | 52,722,985 | |
Net realized gain (loss) on investments, swaps and foreign currencies | | | 26,327,189 | | | | (41,347,456 | ) |
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | | | 163,178,375 | | | | 352,977,973 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 239,547,053 | | | | 364,353,502 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (52,703,504 | ) | | | (74,120,351 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [812,903 and 1,049,111 shares, respectively] | | | 12,182,009 | | | | 13,537,729 | |
Series shares issued in reinvestment of distributions [3,642,260 and 5,781,619 shares, respectively] | | | 52,703,504 | | | | 74,120,351 | |
Series shares repurchased [10,357,369 and 15,167,586 shares, respectively] | | | (155,802,464 | ) | | | (196,684,797 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (90,916,951 | ) | | | (109,026,717 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 95,926,598 | | | | 181,206,434 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,138,732,065 | | | | 1,957,525,631 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 2,234,658,663 | | | $ | 2,138,732,065 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS — 91.7% ASSET-BACKED SECURITIES — 12.7% | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities — 7.9% | | | | | | | | | | | | | | | | | | | | |
Alfa Diversified Payment Rights Finance Co. SA (Luxembourg),
Ser. 1A, Class A, 144A(a) | | | Ba1 | | | | 1.902% | | | | 03/15/11 | | | $ | 191 | | | $ | 181,213 | |
ARES CLO Funds (Cayman Islands), 144A
Ser. 2003-7AW, Class A1A(a) | | | A1 | | | | 0.636% | | | | 05/08/15 | | | | 730 | | | | 715,889 | |
Ser. 2004-8A, Class A1A(a) | | | Aa3 | | | | 0.718% | | | | 02/26/16 | | | | 1,529 | | | | 1,451,079 | |
Ser. 2005-9A, Class A1A(a) | | | Aa3 | | | | 0.559% | | | | 04/20/17 | | | | 2,982 | | | | 2,788,041 | |
Ser. 2005-10A, Class A2(a) | | | Aa3 | | | | 0.544% | | | | 09/18/17 | | | | 1,718 | | | | 1,622,351 | |
Ser. 2005-10A, Class A3(a) | | | Aa3 | | | | 0.544% | | | | 09/18/17 | | | | 1,461 | | | | 1,379,746 | |
BA Credit Card Trust, Ser. 2006-C5, Class C5(a) | | | A3 | | | | 0.660% | | | | 01/15/16 | | | | 5,750 | | | | 5,547,195 | |
Ballyrock CDO Ltd. (Cayman Islands), Ser. 2005-3A, Class A2, 144A(a) | | | Aa1 | | | | 0.518% | | | | 07/25/17 | | | | 1,496 | | | | 1,406,117 | |
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a) | | | Baa2 | | | | 1.060% | | | | 02/15/17 | | | | 2,100 | | | | 2,050,572 | |
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a) | | | Aa1 | | | | 0.574% | | | | 06/20/17 | | | | 5,750 | | | | 5,271,600 | |
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a) | | | Aa1 | | | | 0.536% | | | | 08/03/19 | | | | 4,951 | | | | 4,716,028 | |
Citibank Credit Card Issuance Trust | | | | | | | | | | | | | | | | | | | | |
Ser. 2003-C4, Class C4 | | | Baa2 | | | | 5.000% | | | | 06/10/15 | | | | 6,500 | | | | 6,834,153 | |
Ser. 2005-C2, Class C2(a) | | | Baa2 | | | | 0.731% | | | | 03/24/17 | | | | 2,320 | | | | 2,177,485 | |
Ser. 2005-C3, Class C3(a) | | | Baa2 | | | | 0.670% | | | | 07/15/14 | | | | 5,280 | | | | 5,174,825 | |
Ser. 2006-C1, Class C1(a) | | | Baa2 | | | | 0.661% | | | | 02/20/15 | | | | 6,320 | | | | 6,136,963 | |
COA Tempus CLO Ltd., Ser. 2010-1A, Class A1, 144A(a)(b) | | | Aaa | | | | 2.189% | | | | 04/20/19 | | | | 2,000 | | | | 2,006,020 | |
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b) | | | Aaa | | | | 0.499% | | | | 04/20/19 | | | | 1,900 | | | | 1,793,790 | |
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(a) | | | Aaa | | | | 0.638% | | | | 07/27/16 | | | | 825 | | | | 794,493 | |
Ford Credit Auto Owner Trust, Ser. 2006-B, Class C | | | Aaa | | | | 5.680% | | | | 06/15/12 | | | | 2,100 | | | | 2,121,687 | |
Four Corners CLO (Cayman Islands), 144A
Ser. 2005-1A, Class A3(a) | | | Aa3 | | | | 0.603% | | | | 03/26/17 | | | | 2,985 | | | | 2,806,272 | |
Ser. 2006-3A, Class A(a) | | | A1 | | | | 0.538% | | | | 07/22/20 | | | | 2,042 | | | | 1,909,344 | |
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a) | | | Baa3 | | | | 1.260% | | | | 05/15/34 | | | | 270 | | | | 86,335 | |
GE Corporate Aircraft Financing LLC, Ser. 2005-1A, Class B, 144A(a) | | | A3 | | | | 0.911% | | | | 08/26/19 | | | | 1,488 | | | | 1,309,824 | |
Granite Ventures Ltd. (Cayman Islands), 144A
Ser. 2005-1A, Class A1(a) | | | Aaa | | | | 0.544% | | | | 05/24/15 | | | | 1,047 | | | | 1,021,881 | |
Ser. 2005-2A, Class A1(a) | | | Aaa | | | | 0.549% | | | | 12/15/17 | | | | 3,125 | | | | 3,007,963 | |
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a) | | | Aa2 | | | | 0.649% | | | | 07/15/16 | | | | 1,884 | | | | 1,822,602 | |
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a) | | | Aa1 | | | | 0.546% | | | | 05/09/18 | | | | 2,764 | | | | 2,623,578 | |
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a) | | | A2 | | | | 0.546% | | | | 11/15/17 | | | | 3,381 | | | | 3,085,555 | |
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a) | | | Aaa | | | | 0.529% | | | | 10/19/20 | | | | 1,451 | | | | 1,356,568 | |
LCM LP (Cayman Islands), 144A
Ser. 2004-2A, Class A(a) | | | Aaa | | | | 0.608% | | | | 10/22/16 | | | | 1,000 | | | | 950,000 | |
Ser. 2005-3A, Class A(a) | | | Aaa | | | | 0.556% | | | | 06/01/17 | | | | 2,500 | | | | 2,350,000 | |
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A | | | A(c) | | | | 3.540% | | | | 10/20/32 | | | | 6,661 | | | | 6,535,851 | |
MBNA Credit Card Master Note Trust | | | | | | | | | | | | | | | | | | | | |
Ser. 2002-C3, Class C3(a) | | | A3 | | | | 1.610% | | | | 10/15/14 | | | | 1,900 | | | | 1,892,502 | |
Ser. 2004-C2, Class C2(a) | | | A3 | | | | 1.160% | | | | 11/15/16 | | | | 9,800 | | | | 9,486,701 | |
Ser. 2006-C1, Class C1(a) | | | A3 | | | | 0.680% | | | | 07/15/15 | | | | 16,600 | | | | 16,146,998 | |
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(a) | | | Aaa | | | | 0.701% | | | | 02/15/16 | | | | 2,097 | | | | 2,031,095 | |
Pacifica CDO Ltd. (Cayman Islands), Ser. 2003-2A, Class A1, 144A(a) | | | Aaa | | | | 0.869% | | | | 07/10/15 | | | | 1,414 | | | | 1,378,283 | |
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A | | | Aa2 | | | | 7.125% | | | | 01/15/13 | | | | 1,670 | | | | 1,745,874 | |
Velocity CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a) | | | Aaa | | | | 0.634% | | | | 08/22/16 | | | | 1,155 | | | | 1,089,122 | |
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b) | | | Aa2 | | | | 0.789% | | | | 01/21/16 | | | | 3,256 | | | | 3,117,968 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 119,923,563 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Residential Mortgage-Backed Securities — 4.8% | | | | | | | | | | | | | | | | | | | | |
ACE Securities Corp., Ser. 2004-FM1, Class M1(a) | | | Aa2 | | | | 1.161% | | | | 09/25/33 | | | $ | 2,025 | | | $ | 1,702,317 | |
Ameriquest Mortgage Securities, Inc. | | | | | | | | | | | | | | | | | | | | |
Ser. 2001-2, Class M3(a) | | | Baa2 | | | | 3.186% | | | | 10/25/31 | | | | 618 | | | | 417,024 | |
Ser. 2003-AR3, Class M6(a) | | | Ba3 | | | | 5.886% | | | | 10/25/33 | | | | 1,600 | | | | 156,314 | |
Ser. 2004-R8, Class M1(a) | | | Aa1 | | | | 0.901% | | | | 09/25/34 | | | | 950 | | | | 797,138 | |
Amortizing Residential Collateral Trust, Ser. 2002-BC7, Class M2(a) | | | CC(c) | | | | 1.611% | | | | 10/25/32 | | | | 134 | | | | 9,458 | |
Argent Securities, Inc. | | | | | | | | | | | | | | | | | | | | |
Ser. 2003-W2, Class M4(a) | | | Baa1 | | | | 5.886% | | | | 09/25/33 | | | | 2,400 | | | | 1,777,385 | |
Ser. 2004-W6, Class M1(a) | | | Aa2 | | | | 0.811% | | | | 05/25/34 | | | | 4,169 | | | | 3,314,689 | |
Ser. 2004-W10, Class A2(a) | | | Aaa | | | | 0.651% | | | | 10/25/34 | | | | 1,802 | | | | 1,684,528 | |
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a) | | | Aa2 | | | | 1.311% | | | | 08/25/33 | | | | 2,478 | | | | 2,077,296 | |
Asset Backed Securities Corp. Home Equity | | | | | | | | | | | | | | | | | | | | |
Ser. 2003-HE3, Class M1(a) | | | Aa3 | | | | 1.505% | | | | 06/15/33 | | | | 1,828 | | | | 1,527,066 | |
Ser. 2004-HE1, Class M1(a) | | | Aa2 | | | | 1.310% | | | | 01/15/34 | | | | 333 | | | | 283,845 | |
Ser. 2004-HE5, Class M1(a) | | | Aa2 | | | | 0.861% | | | | 08/25/34 | | | | 2,600 | | | | 2,147,920 | |
Bear Stearns Asset Backed Securities Trust | | | | | | | | | | | | | | | | | | | | |
Ser. 2004-HE2, Class M1(a) | | | Aa2 | | | | 0.861% | | | | 03/25/34 | | | | 4,892 | | | | 4,096,929 | |
Ser. 2004-HE3, Class M2(a) | | | A2 | | | | 1.986% | | | | 04/25/34 | | | | 2,632 | | | | 2,313,778 | |
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a) | | | Ca | | | | 3.636% | | | | 03/25/33 | | | | 348 | | | | 35,922 | |
Centex Home Equity, Ser. 2004-B, Class AF6 | | | Aaa | | | | 4.186% | | | | 03/25/34 | | | | 1,300 | | | | 1,233,504 | |
Citigroup Mortgage Loan Trust, Inc., Ser. 2004-RES1, Class M3(a) | | | A3 | | | | 1.341% | | | | 11/25/34 | | | | 162 | | | | 81,107 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a) | | | B2 | | | | 2.511% | | | | 08/25/32 | | | | 138 | | | | 52,213 | |
Equity One ABS, Inc., Ser. 2004-3, Class M1 | | | Aa2 | | | | 5.700% | | | | 07/25/34 | | | | 1,296 | | | | 1,099,895 | |
FBR Securitization Trust, Ser. 2005-2, Class M1(a) | | | B2 | | | | 0.741% | | | | 09/25/35 | | | | 3,600 | | | | 2,641,604 | |
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a) | | | Aa3 | | | | 1.311% | | | | 12/25/33 | | | | 351 | | | | 276,782 | |
GSAMP Trust, Ser. 2004-FM1, Class M1(a) | | | Aaa | | | | 1.236% | | | | 11/25/33 | | | | 3,687 | | | | 3,206,210 | |
HSBC Home Equity Loan Trust | | | | | | | | | | | | | | | | | | | | |
Ser. 2006-1, Class M1(a) | | | Aa1 | | | | 0.541% | | | | 01/20/36 | | | | 1,018 | | | | 900,565 | |
Ser. 2006-2, Class A1(a) | | | Aaa | | | | 0.411% | | | | 03/20/36 | | | | 281 | | | | 262,904 | |
Ser. 2006-2, Class A2(a) | | | Aaa | | | | 0.441% | | | | 03/20/36 | | | | 341 | | | | 316,636 | |
IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a) | | | Ca | | | | 0.561% | | | | 03/25/36 | | | | 3,200 | | | | 1,256,563 | |
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a) | | | Aa1 | | | | 1.011% | | | | 02/25/34 | | | | 4,250 | | | | 3,655,871 | |
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a) | | | Aa2 | | | | 1.041% | | | | 02/25/34 | | | | 3,704 | | | | 3,249,623 | |
Merrill Lynch Mortgage Investors, Inc. | | | | | | | | | | | | | | | | | | | | |
Ser. 2004-HE2, Class M1(a) | | | AA+(c) | | | | 1.061% | | | | 08/25/35 | | | | 1,000 | | | | 728,836 | |
Ser. 2004-OPT1, Class A1A(a) | | | AAA(c) | | | | 0.521% | | | | 06/25/35 | | | | 3,032 | | | | 2,487,367 | |
Morgan Stanley ABS Capital I | | | | | | | | | | | | | | | | | | | | |
Ser. 2002-NC6, Class M2(a) | | | B3 | | | | 3.411% | | | | 11/25/32 | | | | 174 | | | | 52,787 | |
Ser. 2003-HE1, Class M1(a) | | | Aa2 | | | | 1.461% | | | | 05/25/33 | | | | 1,925 | | | | 1,594,088 | |
Ser. 2003-HE3, Class M1(a) | | | Aa2 | | | | 1.281% | | | | 10/25/33 | | | | 1,591 | | | | 1,332,340 | |
Ser. 2004-NC1, Class M1(a) | | | Aa2 | | | | 1.311% | | | | 12/27/33 | | | | 1,193 | | | | 998,973 | |
Ser. 2004-OP1, Class M1(a) | | | Aa1 | | | | 0.841% | | | | 11/25/34 | | | | 3,688 | | | | 3,093,657 | |
Ser. 2004-WMC1, Class M1(a) | | | Aa1 | | | | 1.191% | | | | 06/25/34 | | | | 3,176 | | | | 2,765,402 | |
Ser. 2004-WMC2, Class M1(a) | | | Aa1 | | | | 1.176% | | | | 07/25/34 | | | | 2,910 | | | | 2,514,135 | |
New Century Home Equity Loan Trust
Ser. 2003-4, Class M1(a) | | | Aa2 | | | | 1.386% | | | | 10/25/33 | | | | 4,891 | | | | 4,213,255 | |
Ser. 2004-4, Class M1(a) | | | Aa1 | | | | 0.771% | | | | 02/25/35 | | | | 3,048 | | | | 2,672,668 | |
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a) | | | Aa3 | | | | 1.061% | | | | 12/25/34 | | | | 1,155 | | | | 1,080,272 | |
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5 | | | Aaa | | | | 5.221% | | | | 02/25/34 | | | | 1,000 | | | | 950,101 | |
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a) | | | Aaa | | | | 1.386% | | | | 12/25/32 | | | | 690 | | | | 563,311 | |
Securitized Asset Backed Receivables LLC Trust
Ser. 2004-NC1, Class M1(a) | | | Aa2 | | | | 0.781% | | | | 02/25/34 | | | | 4,452 | | | | 3,663,331 | |
Ser. 2006-FR1, Class M1(a) | | | Caa3 | | | | 0.661% | | | | 11/25/35 | | | | 2,000 | | | | 454,144 | |
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a) | | | Aa2 | | | | 1.026% | | | | 02/25/35 | | | | 89 | | | | 76,045 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Residential Mortgage-Backed Securities (continued) | | | | | | | | | | | | | | | | | | | | |
Structured Asset Investment Loan Trust
Ser. 2004-2, Class A4(a) | | | AAA(c) | | | | 0.966% | | | | 03/25/34 | | | $ | 2,297 | | | $ | 1,841,112 | |
Ser. 2004-7, Class A8(a) | | | AAA(c) | | | | 1.461% | | | | 08/25/34 | | | | 1,400 | | | | 1,019,266 | |
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a) | | | CC(c) | | | | 3.261% | | | | 07/25/32 | | | | 1,345 | | | | 998,663 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 73,674,839 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $189,276,535) | | | | 193,598,402 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| BANK LOANS — 2.6% | | | | | | | | | | | | | | | | | | | | |
Cable — 0.4% | | | | | | | | | | | | | | | | | | | | |
Charter Communications Operating LLC(a)(b) | | | Ba1 | | | | 2.270% | | | | 03/06/14 | | | | 273 | | | | 269,442 | |
Charter Communications Operating LLC, Term C, Refi.(a)(b) | | | Ba1 | | | | 3.560% | | | | 09/06/16 | | | | 2,644 | | | | 2,606,780 | |
Insight Midwest Holding LLC(a)(b) | | | Ba3 | | | | 1.260% | | | | 10/06/13 | | | | 1,789 | | | | 1,744,237 | |
UPC Broadband Holdings(a)(b) | | | Ba3 | | | | 4.251% | | | | 12/31/16 | | | | 1,620 | | | | 1,601,059 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,221,518 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.1% | | | | | | | | | | | | | | | | | | | | |
Capital Safety Group Ltd.(a)(b) | | | B3 | | | | 3.011% | | | | 07/20/16 | | | | 1,091 | | | | 987,131 | |
Capital Safety Group Ltd.(a)(b) | | | B3 | | | | 3.011% | | | | 07/20/15 | | | | 409 | | | | 370,369 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,357,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 0.1% | | | | | | | | | | | | | | | | | | | | |
Huish Detergents, Inc.(a)(b) | | | Ba2 | | | | 2.020% | | | | 04/26/14 | | | | 204 | | | | 193,826 | |
Pilot Travel Centers LLC(a)(b) | | | Ba2 | | | | 5.250% | | | | 06/30/16 | | | | 968 | | | | 980,714 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,174,540 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 0.1% | | | | | | | | | | | | | | | | | | | | |
Texas Competitive Electric Holdings Co. LLC(a)(b) | | | B2 | | | | 3.764% | | | | 10/10/14 | | | | 1,935 | | | | 1,492,589 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Gaming — 0.2% | | | | | | | | | | | | | | | | | | | | |
MotorCity Casino Hotel(b) | | | Caa1 | | | | 8.500% | | | | 07/13/12 | | | | 3,229 | | | | 3,229,934 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.8% | | | | | | | | | | | | | | | | | | | | |
HCA, Inc.(a)(b) | | | Ba3 | | | | 2.553% | | | | 11/18/13 | | | | 462 | | | | 456,860 | |
HCA, Inc.(a)(b) | | | Ba3 | | | | 3.553% | | | | 03/31/17 | | | | 1,108 | | | | 1,104,457 | |
Health Management Associates, Inc. Term B(a)(b) | | | B1 | | | | 2.053% | | | | 02/28/14 | | | | 1,859 | | | | 1,821,756 | |
PTS Acquisitions Corp.(a)(b) | | | Ba3 | | | | 2.511% | | | | 04/10/14 | | | | 3,764 | | | | 3,569,051 | |
Royalty Pharma Finance Trust(b) | | | Baa3 | | | | 7.750% | | | | 05/15/15 | | | | 4,000 | | | | 4,120,000 | |
Warner Chilcott Corp.(a)(b) | | | Ba3 | | | | 6.000% | | | | 10/30/14 | | | | 542 | | | | 541,616 | |
Warner Chilcott Corp.(a)(b) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 268 | | | | 269,399 | |
Warner Chilcott Corp.(a)(b) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 446 | | | | 448,597 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 12,331,736 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.4% | | | | | | | | | | | | | | | | | | | | |
American General Financial Services Corp.(b) | | | B1 | | | | 7.250% | | | | 04/21/15 | | | | 3,225 | | | | 3,267,328 | |
International Lease Finance Corp.(a)(b) | | | Ba2 | | | | 6.750% | | | | 03/17/15 | | | | 1,990 | | | | 2,019,884 | |
International Lease Finance Corp.(a)(b) | | | Ba3 | | | | 7.000% | | | | 03/17/16 | | | | 1,460 | | | | 1,481,249 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,768,461 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 0.1% | | | | | | | | | | | | | | | | | | | | |
Neiman Marcus Group, Inc.(a)(b) | | | B2 | | | | 4.303% | | | | 04/06/16 | | | | 1,402 | | | | 1,373,062 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.4% | | | | | | | | | | | | | | | | | | | | |
First Data Corp.(a)(b) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 978 | | | | 901,643 | |
First Data Corp.(a)(b) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 1,864 | | | | 1,719,161 | |
Flextronics International Ltd. (Singapore)(a)(b) | | | Ba1 | | | | 2.508% | | | | 10/01/14 | | | | 2,255 | | | | 2,221,365 | |
Flextronics International Ltd. (Singapore)(a)(b) | | | Ba1 | | | | 2.511% | | | | 10/01/14 | | | | 648 | | | | 638,323 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,480,492 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $39,820,178) | | | | 39,429,832 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 | | | A1 | | | | 5.250% | | | | 09/25/19 | | | $ | 1,319 | | | $ | 1,338,576 | |
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1 | | | Aaa | | | | 5.000% | | | | 04/25/19 | | | | 272 | | | | 274,834 | |
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a) | | | A1 | | | | 2.770% | | | | 02/25/34 | | | | 2,114 | | | | 2,000,560 | |
Washington Mutual Alternative Mortgage Pass-Through Certificates,
Ser. 2005-1, Class 3A | | | A+(c) | | | | 5.000% | | | | 03/25/20 | | | | 1,087 | | | | 960,768 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $4,835,233) | | | | 4,574,738 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.4% | | | | | | | | | | | | | | | | | |
Banc of America Commercial Mortgage, Inc.
Ser. 2006-1, Class A2(a) | | | Aaa | | | | 5.334% | | | | 09/10/45 | | | | 275 | | | | 275,784 | |
Ser. 2006-5, Class A2 | | | Aaa | | | | 5.317% | | | | 09/10/47 | | | | 3,510 | | | | 3,609,854 | |
Ser. 2006-6, Class A2 | | | Aaa | | | | 5.309% | | | | 10/10/45 | | | | 2,800 | | | | 2,851,608 | |
Ser. 2007-1, Class A2 | | | Aaa | | | | 5.381% | | | | 01/15/49 | | | | 5,000 | | | | 5,098,153 | |
Ser. 2007-4, Class A3(a) | | | AAA(c) | | | | 5.809% | | | | 02/10/51 | | | | 6,460 | | | | 6,808,587 | |
Ser. 2007-5, Class A3 | | | AAA(c) | | | | 5.620% | | | | 02/10/51 | | | | 2,445 | | | | 2,571,393 | |
Bear Stearns Commercial Mortgage Securities
Ser. 2005-PWR9, Class A2 | | | Aaa | | | | 4.735% | | | | 09/11/42 | | | | 1,215 | | | | 1,220,811 | |
Ser. 2005-T20, Class A2(a) | | | Aaa | | | | 5.127% | | | | 10/12/42 | | | | 1,911 | | | | 1,930,776 | |
Ser. 2006-PW13, Class A3 | | | AAA(c) | | | | 5.518% | | | | 09/11/41 | | | | 4,024 | | | | 4,220,515 | |
Citigroup Commercial Mortgage Trust
Ser. 2006-C5, Class A2 | | | Aaa | | | | 5.378% | | | | 10/15/49 | | | | 6,481 | | | | 6,670,700 | |
Ser. 2007-C6, Class A3(a) | | | Aaa | | | | 5.698% | | | | 12/10/49 | | | | 4,850 | | | | 5,135,746 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser. 2006-CD2, Class A2 | | | Aaa | | | | 5.408% | | | | 01/15/46 | | | | 70 | | | | 69,667 | |
Ser. 2006-CD2, Class AAB(a) | | | Aaa | | | | 5.377% | | | | 01/15/46 | | | | 3,000 | | | | 3,178,726 | |
Commercial Mortgage Pass-Through Certificates
Ser. 2006-C7, Class A3(a) | | | AAA(c) | | | | 5.702% | | | | 06/10/46 | | | | 2,703 | | | | 2,778,020 | |
Ser. 2006-C7, Class A4(a) | | | AAA(c) | | | | 5.764% | | | | 06/10/46 | | | | 4,000 | | | | 4,373,495 | |
Ser. 2006-C8, Class A2B | | | Aaa | | | | 5.248% | | | | 12/10/46 | | | | 7,363 | | | | 7,527,859 | |
Credit Suisse First Boston Mortgage Securities Corp.
Ser. 2001-CP4, Class B | | | AAA(c) | | | | 6.330% | | | | 12/15/35 | | | | 1,400 | | | | 1,428,520 | |
Ser. 2005-C3, Class A3 | | | Aaa | | | | 4.645% | | | | 07/15/37 | | | | 3,950 | | | | 4,073,071 | |
Credit Suisse Mortgage Capital Certificates
Ser. 2006-C1, Class A4(a) | | | AAA(c) | | | | 5.539% | | | | 02/15/39 | | | | 4,400 | | | | 4,734,674 | |
Ser. 2006-C5, Class A2 | | | Aaa | | | | 5.246% | | | | 12/15/39 | | | | 3,585 | | | | 3,650,150 | |
Ser. 2007-C1, Class A2 | | | Aaa | | | | 5.268% | | | | 02/15/40 | | | | 7,430 | | | | 7,543,699 | |
Ser. 2007-C4, Class A2(a) | | | Aaa | | | | 5.804% | | | | 09/15/39 | | | | 465 | | | | 478,261 | |
First Union National Bank-Bank of America Commercial Mortgage Trust,
Ser. 2001-C1, Class A2 | | | Aaa | | | | 6.136% | | | | 03/15/33 | | | | 204 | | | | 203,620 | |
GE Capital Commercial Mortgage Corp.
Ser. 2006-C1, Class A4(a) | | | AAA(c) | | | | 5.335% | | | | 03/10/44 | | | | 4,300 | | | | 4,629,288 | |
Ser. 2007-C1, Class A2 | | | Aaa | | | | 5.417% | | | | 12/10/49 | | | | 10,717 | | | | 10,931,210 | |
Greenwich Capital Commercial Funding Corp.
Ser. 2005-GG3, Class A2 | | | Aaa | | | | 4.305% | | | | 08/10/42 | | | | 382 | | | | 385,591 | |
Ser. 2005-GG5, Class A2 | | | Aaa | | | | 5.117% | | | | 04/10/37 | | | | 8,812 | | | | 8,879,194 | |
Ser. 2005-GG5, Class A5(a) | | | Aaa | | | | 5.224% | | | | 04/10/37 | | | | 4,900 | | | | 5,199,660 | |
Ser. 2007-GG9, Class A2 | | | Aaa | | | | 5.381% | | | | 03/10/39 | | | | 5,794 | | | | 5,952,433 | |
GS Mortgage Securities Corp. II
Ser. 2006-GG8, Class A2 | | | Aaa | | | | 5.479% | | | | 11/10/39 | | | | 4,000 | | | | 4,072,349 | |
Ser. 2007-GG10, Class A2(a) | | | Aaa | | | | 5.778% | | | | 08/10/45 | | | | 6,920 | | | | 7,108,756 | |
JPMorgan Chase Commercial Mortgage Securities Corp.
Ser. 2005-LDP4, Class AM(a) | | | Aa2 | | | | 4.999% | | | | 10/15/42 | | | | 1,820 | | | | 1,845,585 | |
Ser. 2006-CB14, Class A4(a) | | | Aaa | | | | 5.481% | | | | 12/12/44 | | | | 5,000 | | | | 5,327,719 | |
Ser. 2006-LDP6, Class A4(a) | | | Aaa | | | | 5.475% | | | | 04/15/43 | | | | 1,640 | | | | 1,756,796 | |
Ser. 2006-LDP7, Class A2(a) | | | Aaa | | | | 5.858% | | | | 04/15/45 | | | | 4,146 | | | | 4,192,684 | |
Ser. 2007-LD11, Class A2(a) | | | Aaa | | | | 5.802% | | | | 06/15/49 | | | | 10,590 | | | | 10,967,361 | |
Ser. 2007-LDPX, Class A2 | | | Aaa | | | | 5.434% | | | | 01/15/49 | | | | 4,285 | | | | 4,409,265 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
LB-UBS Commercial Mortgage Trust
Ser. 2004-C8, Class A6(a) | | | Aaa | | | | 4.799% | | | | 12/15/29 | | | $ | 4,200 | | | $ | 4,413,425 | |
Ser. 2005-C7, Class AM(a) | | | AA(c) | | | | 5.263% | | | | 11/15/40 | | | | 2,100 | | | | 2,155,034 | |
Ser. 2006-C3, Class A2 | | | Aaa | | | | 5.532% | | | | 03/15/32 | | | | 230 | | | | 230,766 | |
Ser. 2006-C6, Class AAB | | | Aaa | | | | 5.341% | | | | 09/15/39 | | | | 7,126 | | | | 7,653,245 | |
Ser. 2006-C7, Class A2 | | | AAA(c) | | | | 5.300% | | | | 11/15/38 | | | | 1,875 | | | | 1,913,450 | |
Ser. 2007-C1, Class A2 | | | AAA(c) | | | | 5.318% | | | | 02/15/40 | | | | 6,000 | | | | 6,152,425 | |
Ser. 2007-C6, Class A2 | | | Aaa | | | | 5.845% | | | | 07/15/40 | | | | 3,476 | | | | 3,608,881 | |
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(a) | | | AAA(c) | | | | 5.656% | | | | 05/12/39 | | | | 7,920 | | | | 8,535,833 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust
Ser. 2006-1, Class A4(a) | | | AAA(c) | | | | 5.415% | | | | 02/12/39 | | | | 3,000 | | | | 3,238,546 | |
Ser. 2006-2, Class A4(a) | | | Aaa | | | | 5.907% | | | | 06/12/46 | | | | 2,625 | | | | 2,872,536 | |
Ser. 2006-3, Class ASB(a) | | | Aaa | | | | 5.382% | | | | 07/12/46 | | | | 2,095 | | | | 2,212,183 | |
Ser. 2006-4, Class A2(a) | | | Aaa | | | | 5.112% | | | | 12/12/49 | | | | 4,466 | | | | 4,543,509 | |
Ser. 2007-7, Class A2(a) | | | Aaa | | | | 5.693% | | | | 06/12/50 | | | | 281 | | | | 291,376 | |
Ser. 2007-9, Class A2 | | | AAA(c) | | | | 5.590% | | | | 09/12/49 | | | | 5,364 | | | | 5,589,103 | |
Morgan Stanley Capital I
Ser. 2006-HQ8, Class A4(a) | | | Aaa | | | | 5.388% | | | | 03/12/44 | | | | 5,000 | | | | 5,381,861 | |
Ser. 2006-IQ12, Class A4 | | | AAA(c) | | | | 5.332% | | | | 12/15/43 | | | | 2,475 | | | | 2,622,163 | |
Ser. 2006-IQ12, Class AAB | | | AAA(c) | | | | 5.325% | | | | 12/15/43 | | | | 1,400 | | | | 1,479,551 | |
Ser. 2006-IQ12, Class ANM | | | AAA(c) | | | | 5.310% | | | | 12/15/43 | | | | 5,500 | | | | 5,559,879 | |
Ser. 2006-T23, Class A3(a) | | | AAA(c) | | | | 5.805% | | | | 08/12/41 | | | | 1,318 | | | | 1,405,528 | |
Wachovia Bank Commercial Mortgage Trust
Ser. 2003-C9, Class A3 | | | AAA(c) | | | | 4.608% | | | | 12/15/35 | | | | 2,567 | | | | 2,678,663 | |
Ser. 2005-C20, Class A4(a) | | | Aaa | | | | 5.243% | | | | 07/15/42 | | | | 28 | | | | 27,911 | |
Ser. 2005-C20, Class AMFX(a) | | | Aa1 | | | | 5.179% | | | | 07/15/42 | | | | 2,000 | | | | 2,041,156 | |
Ser. 2006-C23, Class A4(a) | | | Aaa | | | | 5.418% | | | | 01/15/45 | | | | 3,438 | | | | 3,684,088 | |
Ser. 2006-C24, Class A3(a) | | | Aaa | | | | 5.558% | | | | 03/15/45 | | | | 2,050 | | | | 2,213,612 | |
Ser. 2006-C25, Class A4(a) | | | Aaa | | | | 5.737% | | | | 05/15/43 | | | | 6,000 | | | | 6,435,374 | |
Ser. 2006-C27, Class A2 | | | Aaa | | | | 5.624% | | | | 07/15/45 | | | | 4,594 | | | | 4,662,320 | |
Ser. 2006-C28, Class A2 | | | Aaa | | | | 5.500% | | | | 10/15/48 | | | | 430 | | | | 437,443 | |
Ser. 2006-C28, Class A3 | | | Aaa | | | | 5.679% | | | | 10/15/48 | | | | 3,549 | | | | 3,689,274 | |
Ser. 2007-C33, Class A2(a) | | | Aaa | | | | 5.857% | | | | 02/15/51 | | | | 4,865 | | | | 5,058,751 | |
Ser. 2007-C33, Class A3(a) | | | Aaa | | | | 5.902% | | | | 02/15/51 | | | | 4,564 | | | | 4,837,823 | |
Ser. 2007-C34, Class A2 | | | Aaa | | | | 5.569% | | | | 05/15/46 | | | | 3,600 | | | | 3,713,448 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $240,913,328) | | | | 265,430,737 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 43.2% | | | | | | | | | | | | | | | | | | | | |
Aerospace & Defense — 0.3% | | | | | | | | | | | | | | | | | | | | |
L-3 Communications Corp., Gtd. Notes | | | Baa3 | | | | 4.750% | | | | 07/15/20 | | | | 700 | | | | 687,737 | |
L-3 Communications Corp., Gtd. Notes, Ser. B | | | Ba1 | | | | 6.375% | | | | 10/15/15 | | | | 2,520 | | | | 2,595,600 | |
Raytheon Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 3.125% | | | | 10/15/20 | | | | 800 | | | | 737,671 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,021,008 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Airlines — 0.6% | | | | | | | | | | | | | | | | | | | | |
American Airlines Pass Through Trust 2001-01, Pass-thru Certs.,
Ser. 01-1 | | | B2 | | | | 6.817% | | | | 05/23/11 | | | | 2,750 | | | | 2,776,125 | |
Continental Airlines 2001-1 Class A-1 Pass Through Trust,
Pass-thru Certs., Ser. 01A1(b) | | | Baa2 | | | | 6.703% | | | | 06/15/21 | | | | 2 | | | | 2,550 | |
Continental Airlines 2001-1 Class B Pass Through Trust,
Pass-thru Certs., Ser. 011B | | | Ba1 | | | | 7.373% | | | | 12/15/15 | | | | 962 | | | | 959,223 | |
Continental Airlines 2007-1 Class A Pass Through Trust,
Pass-thru Certs., Ser. 071A | | | Baa1 | | | | 5.983% | | | | 04/19/22 | | | | 1,785 | | | | 1,882,699 | |
Continental Airlines 2010-1 Class A Pass Through Trust,
Pass-thru Certs., Ser. A | | | Baa2 | | | | 4.750% | | | | 01/12/21 | | | | 560 | | | | 560,000 | |
Delta Air Lines 2007-1 Class A Pass Through Trust,
Pass-thru Certs., Ser. 071A | | | Baa1 | | | | 6.821% | | | | 08/10/22 | | | | 1,507 | | | | 1,597,733 | |
Delta Air Lines 2010-2 Class A Pass Through Trust,
Pass-thru Certs.(d) | | | Baa2 | | | | 4.950% | | | | 05/23/19 | | | | 805 | | | | 808,019 | |
UAL 2007-1 Pass Through Trust, Pass-thru Certs., Ser. 071A, Class A | | | Baa2 | | | | 6.636% | | | | 07/02/22 | | | | 1,129 | | | | 1,132,323 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 9,718,672 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Automotive — 0.3% | | | | | | | | | | | | | | | | | | | | |
BorgWarner, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 4.625% | | | | 09/15/20 | | | $ | 825 | | | $ | 814,491 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(d) | | | Ba2 | | | | 9.875% | | | | 08/10/11 | | | | 3,100 | | | | 3,226,911 | |
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN | | | Baa1 | | | | 5.750% | | | | 12/15/14 | | | | 660 | | | | 693,605 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,735,007 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Banking — 5.9% | | | | | | | | | | | | | | | | | | | | |
Alfa MTN Markets Ltd. for ABH Financial Ltd. (Cyprus), Notes,
144A, MTN(b) | | | Ba1 | | | | 8.200% | | | | 06/25/12 | | | | 1,500 | | | | 1,590,000 | |
American Express Co., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 05/20/19 | | | | 2,785 | | | | 3,465,128 | |
Bank of America Corp., Jr. Sub. Notes(a) | | | Ba3 | | | | 8.000% | | | | 12/29/49 | | | | 3,500 | | | | 3,527,300 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | A2 | | | | 6.000% | | | | 09/01/17 | | | | 4,590 | | | | 4,810,343 | |
Bank of America NA, Sub. Notes | | | A1 | | | | 5.300% | | | | 03/15/17 | | | | 790 | | | | 800,612 | |
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes | | | Aa3 | | | | 6.750% | | | | 05/22/19 | | | | 1,610 | | | | 1,818,505 | |
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 7.250% | | | | 02/01/18 | | | | 1,575 | | | | 1,866,473 | |
Capital One Financial Corp., Sub. Notes | | | Baa2 | | | | 6.150% | | | | 09/01/16 | | | | 700 | | | | 757,835 | |
Chuo Mitsui Trust & Banking Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A(a) | | | A3 | | | | 5.506% | | | | 12/29/49 | | | | 3,050 | | | | 3,070,356 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 5.375% | | | | 08/09/20 | | | | 2,055 | | | | 2,135,159 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.125% | | | | 11/21/17 | | | | 2,050 | | | | 2,246,566 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 07/15/39 | | | | 4,120 | | | | 5,241,205 | |
Citigroup, Inc., Unsec’d. Notes | | | A3 | | | | 8.500% | | | | 05/22/19 | | | | 1,375 | | | | 1,706,973 | |
Countrywide Financial Corp., Gtd. Notes, MTN | | | A2 | | | | 5.800% | | | | 06/07/12 | | | | 3,670 | | | | 3,861,196 | |
Depfa ACS Bank (Ireland), Covered Notes, 144A | | | Aa3 | | | | 5.125% | | | | 03/16/37 | | | | 3,065 | | | | 2,043,046 | |
Discover Bank, Sub. Notes | | | Ba1 | | | | 7.000% | | | | 04/15/20 | | | | 2,005 | | | | 2,155,459 | |
Goldman Sachs Group, Inc. (The), Sr. Notes(e) | | | A1 | | | | 6.000% | | | | 06/15/20 | | | | 2,420 | | | | 2,615,207 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | A1 | | | | 6.150% | | | | 04/01/18 | | | | 1,355 | | | | 1,492,117 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | A1 | | | | 6.250% | | | | 09/01/17 | | | | 3,195 | | | | 3,525,845 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 6.750% | | | | 10/01/37 | | | | 440 | | | | 449,854 | |
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A | | | A1 | | | | 4.500% | | | | 10/30/15 | | | | 4,035 | | | | 4,097,490 | |
HSBC Holdings PLC (United Kingdom), Sub. Notes | | | A1 | | | | 6.500% | | | | 05/02/36 | | | | 995 | | | | 1,038,859 | |
HSBC Holdings PLC (United Kingdom), Sub. Notes | | | A1 | | | | 6.500% | | | | 09/15/37 | | | | 1,625 | | | | 1,701,765 | |
HSBC Holdings PLC (United Kingdom), Sub. Notes | | | A1 | | | | 6.800% | | | | 06/01/38 | | | | 2,650 | | | | 2,865,490 | |
Huntington Bancshares, Inc., Sub. Notes | | | Baa3 | | | | 7.000% | | | | 12/15/20 | | | | 260 | | | | 273,752 | |
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a) | | | Ba2 | | | | 7.250% | | | | 08/29/49 | | | | 2,380 | | | | 2,374,819 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a) | | | Baa1 | | | | 7.900% | | | | 04/29/49 | | | | 2,180 | | | | 2,317,318 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d) | | | Aa3 | | | | 4.250% | | | | 10/15/20 | | | | 600 | | | | 585,990 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | Aa3 | | | | 4.400% | | | | 07/22/20 | | | | 5,100 | | | | 5,019,655 | |
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a) | | | B2 | | | | 7.378% | | | | 10/29/49 | | | | 1,590 | | | | 1,627,964 | |
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | | | Aa3 | | | | 5.800% | | | | 01/13/20 | | | | 2,650 | | | | 2,616,517 | |
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | | | A2 | | | | 6.050% | | | | 08/15/12 | | | | 1,500 | | | | 1,588,349 | |
Morgan Stanley, Sr. Unsec’d. Notes, Ser. E | | | A2 | | | | 5.450% | | | | 01/09/17 | | | | 4,035 | | | | 4,184,359 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | A2 | | | | 5.500% | | | | 07/24/20 | | | | 2,000 | | | | 2,020,548 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.625% | | | | 09/23/19 | | | | 2,635 | | | | 2,686,865 | |
PNC Funding Corp., Gtd. Notes. | | | A3 | | | | 4.375% | | | | 08/11/20 | | | | 1,000 | | | | 988,302 | |
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2 | | | Aa3 | | | | 3.400% | | | | 08/23/13 | | | | 1,720 | | | | 1,737,470 | |
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN | | | A1 | | | | 6.400% | | | | 10/21/19 | | | | 1,525 | | | | 1,534,688 | |
USB Capital XIII Trust, Ltd. Gtd. Notes | | | A2 | | | | 6.625% | | | | 12/15/39 | | | | 1,975 | | | | 2,017,324 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 90,456,703 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Brokerage | | | | | | | | | | | | | | | | | | | | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f) | | | NR | | | | 6.875% | | | | 05/02/18 | | | | 2,740 | | | | 678,150 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 0.7% | | | | | | | | | | | | | | | | | | | | |
Country Garden Holdings Co. (Cayman Islands), Sr. Unsec’d. Notes, 144A | | | Ba3 | | | | 11.750% | | | | 09/10/14 | | | | 1,220 | | | | 1,348,100 | |
Country Garden Holdings Co. (Cayman Islands), Sr. Unsec’d. Notes, Reg.-S | | | Ba3 | | | | 11.750% | | | | 09/10/14 | | | | 1,000 | | | | 1,105,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Building Materials & Construction (continued) | | | | | | | | | | | | | | | | | | | | |
KB Home, Gtd. Notes | | | B1 | | | | 6.375% | | | | 08/15/11 | | | $ | 447 | | | $ | 453,705 | |
Masco Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 7.125% | | | | 08/15/13 | | | | 2,600 | | | | 2,791,082 | |
Toll Brothers Finance Corp., Gtd. Notes | | | Ba1 | | | | 5.150% | | | | 05/15/15 | | | | 4,695 | | | | 4,799,374 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,497,261 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable — 2.2% | | | | | | | | | | | | | | | | | | | | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | B1 | | | | 8.625% | | | | 09/15/17 | | | | 3,175 | | | | 3,456,781 | |
Cequel Communications Holdings I LLC and Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A | | | B3 | | | | 8.625% | | | | 11/15/17 | | | | 2,300 | | | | 2,403,500 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Sec’d. Notes, 144A | | | B1 | | | | 8.000% | | | | 04/30/12 | | | | 11,930 | | | | 12,526,500 | |
Comcast Cable Communications Holdings, Inc., Gtd. Notes | | | Baa1 | | | | 9.455% | | | | 11/15/22 | | | | 1,065 | | | | 1,473,514 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | Baa2 | | | | 4.750% | | | | 10/01/14 | | | | 3,110 | | | | 3,314,507 | |
TCI Communications, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 7.875% | | | | 02/15/26 | | | | 750 | | | | 887,275 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 5.850% | | | | 05/01/17 | | | | 1,420 | | | | 1,584,433 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 6.750% | | | | 07/01/18 | | | | 5,520 | | | | 6,434,548 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 8.250% | | | | 02/14/14 | | | | 1,115 | | | | 1,294,247 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 33,375,305 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 1.0% | | | | | | | | | | | | | | | | | | | | |
Ashtead Holdings PLC (United Kingdom), Sec’d. Notes, 144A | | | B2 | | | | 8.625% | | | | 08/01/15 | | | | 1,300 | | | | 1,347,125 | |
Hutchison Whampoa International Ltd. (Cayman Islands), Gtd. Notes, Reg.-S | | | A3 | | | | 7.625% | | | | 04/09/19 | | | | 2,165 | | | | 2,596,982 | |
MHP SA (Luxembourg), Gtd. Notes, 144A | | | B3 | | | | 10.250% | | | | 04/29/15 | | | | 2,475 | | | | 2,608,155 | |
Rockwell Automation, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 5.200% | | | | 01/15/98 | | | | 6,500 | | | | 5,546,002 | |
Textron, Inc., Sr. Unsec’d. Notes(d) | | | Baa3 | | | | 7.250% | | | | 10/01/19 | | | | 2,350 | | | | 2,692,985 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 14,791,249 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 1.2% | | | | | | | | | | | | | | | | | | | | |
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa2 | | | | 6.125% | | | | 01/15/41 | | | | 450 | | | | 476,597 | |
CF Industries, Inc., Gtd. Notes | | | B1 | | | | 6.875% | | | | 05/01/18 | | | | 785 | | | | 839,950 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 5.900% | | | | 02/15/15 | | | | 750 | | | | 830,396 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 7.600% | | | | 05/15/14 | | | | 2,050 | | | | 2,364,445 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 8.550% | | | | 05/15/19 | | | | 2,450 | | | | 3,070,458 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 9.400% | | | | 05/15/39 | | | | 1,450 | | | | 2,104,573 | |
INVISTA, Gtd. Notes, 144A (original cost $708,900;
purchased 03/11/10)(b)(g) | | | Ba3 | | | | 9.250% | | | | 05/01/12 | | | | 695 | | | | 707,163 | |
Lyondell Chemical Co., Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 8.000% | | | | 11/01/17 | | | | 2,000 | | | | 2,212,500 | |
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes | | | B1 | | | | 6.500% | | | | 01/15/12 | | | | 1,440 | | | | 1,494,000 | |
Potash Corp. of Saskatchewan, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 05/15/19 | | | | 610 | | | | 703,700 | |
PPG Industries, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/40 | | | | 350 | | | | 343,428 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.875% | | | | 04/01/23 | | | | 3,058 | | | | 3,308,337 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 18,455,547 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 0.4% | | | | | | | | | | | | | | | | | | | | |
Realogy Corp., Gtd. Notes, PIK | | | Caa3 | | | | 11.000% | | | | 04/15/14 | | | | 2 | | | | 1,732 | |
Sealy Mattress Co., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 10.875% | | | | 04/15/16 | | | | 5,260 | | | | 5,943,800 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,945,532 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 3.2% | | | | | | | | | | | | | | | | | | | | |
Constellation Energy Group, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 5.150% | | | | 12/01/20 | | | | 500 | | | | 492,249 | |
Consumers Energy Co., First Mtge. Bonds, Ser. D | | | A3 | | | | 5.375% | | | | 04/15/13 | | | | 1,000 | | | | 1,079,521 | |
EDP Finance BV (Netherlands), Sr. Unsec’d. Notes, 144A | | | A3 | | | | 6.000% | | | | 02/02/18 | | | | 600 | | | | 560,806 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 05/15/35 | | | | 2,325 | | | | 2,295,203 | |
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | | | Baa3 | | | | 8.350% | | | | 08/01/13 | | | | 625 | | | | 700,262 | |
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A | | | A2 | | | | 6.000% | | | | 10/07/39 | | | | 3,200 | | | | 2,870,413 | |
Enersis SA (Chile), Sr. Unsec’d. Notes | | | Baa3 | | | | 7.375% | | | | 01/15/14 | | | | 3,700 | | | | 4,089,288 | |
Exelon Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.900% | | | | 06/15/15 | | | | 500 | | | | 533,216 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.200% | | | | 10/01/17 | | | | 1,930 | | | | 2,160,008 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.250% | | | | 10/01/39 | | | | 1,900 | | | | 1,912,192 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Electric (continued) | | | | | | | | | | | | | | | | | | | | |
Iberdrola International BV (Netherlands), Gtd. Notes | | | A3 | | | | 6.750% | | | | 06/15/12 | | | $ | 750 | | | $ | 801,373 | |
Iberdrola International BV (Netherlands), Gtd. Notes | | | A3 | | | | 6.750% | | | | 09/15/33 | | | | 1,150 | | | | 1,183,587 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | | | A1 | | | | 3.125% | | | | 09/16/15 | | | | 2,175 | | | | 2,108,571 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | | | A1 | | | | 6.250% | | | | 06/17/14 | | | | 5,795 | | | | 6,359,723 | |
Listrindo Capital BV (Netherlands), Gtd. Notes, Reg.-S | | | Ba2 | | | | 9.250% | | | | 01/29/15 | | | | 615 | | | | 693,640 | |
Louisville Gas & Electric Co., First Mtge. Bonds, 144A | | | A2 | | | | 5.125% | | | | 11/15/40 | | | | 650 | | | | 638,639 | |
Mirant Americas Generation LLC, Sr. Unsec’d. Notes | | | B3 | | | | 8.300% | | | | 05/01/11 | | | | 4,205 | | | | 4,268,075 | |
Mirant Mid Atlantic Pass Through Trust A, Pass-thru Certs., Ser. A | | | Ba1 | | | | 8.625% | | | | 06/30/12 | | | | 2,970 | | | | 3,059,380 | |
NiSource Finance Corp., Gtd. Notes | | | Baa3 | | | | 5.450% | | | | 09/15/20 | | | | 1,345 | | | | 1,386,028 | |
North American Energy Alliance LLC/North American Energy Alliance Finance Corp., Sr. Sec’d. Notes, 144A (original cost $1,563,824; purchased 09/22/09)(b)(d)(g) | | | Ba3 | | | | 10.875% | | | | 06/01/16 | | | | 1,600 | | | | 1,776,000 | |
NRG Energy, Inc., Gtd. Notes | | | B1 | | | | 7.250% | | | | 02/01/14 | | | | 1,200 | | | | 1,224,000 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | Baa1 | | | | 6.800% | | | | 09/01/18 | | | | 1,460 | | | | 1,709,032 | |
Star Energy Geothermal Wayang Windu Ltd. (US Virgin Islands),
Sr. Sec’d. Notes, Reg.-S | | | B2 | | | | 11.500% | | | | 02/12/15 | | | | 1,910 | | | | 2,172,625 | |
TransAlta Corp. (Canada), Sr. Unsec’d. Notes | | | Baa2 | | | | 6.650% | | | | 05/15/18 | | | | 1,953 | | | | 2,206,583 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.613% | | | | 04/01/17 | | | | 1,947 | | | | 2,112,826 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 48,393,240 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy - Integrated — 0.6% | | | | | | | | | | | | | | | | | | | | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 4.500% | | | | 10/01/20 | | | | 1,375 | | | | 1,371,685 | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 5.250% | | | | 11/07/13 | | | | 1,510 | | | | 1,635,349 | |
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa2 | | | | 6.750% | | | | 11/15/39 | | | | 3,325 | | | | 3,873,605 | |
Hess Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.600% | | | | 02/15/41 | | | | 1,780 | | | | 1,767,065 | |
Hess Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 01/15/40 | | | | 615 | | | | 644,620 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 9,292,324 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy - Other — 0.6% | | | | | | | | | | | | | | | | | | | | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.375% | | | | 09/15/17 | | | | 540 | | | | 588,226 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 8.700% | | | | 03/15/19 | | | | 250 | | | | 305,302 | |
Anadarko Petroleum Corp., Unsec’d. Notes | | | Ba1 | | | | 6.200% | | | | 03/15/40 | | | | 430 | | | | 419,758 | |
Apache Corp., Sr. Unsec’d. Notes | | | A3 | | | | 5.100% | | | | 09/01/40 | | | | 615 | | | | 597,557 | |
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A | | | A1 | | | | 5.888% | | | | 06/15/19 | | | | 3,585 | | | | 3,836,449 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(d) | | | Ba1 | | | | 6.875% | | | | 05/01/18 | | | | 1,750 | | | | 1,860,432 | |
Precision Drilling Corp. (Canada), Gtd. Notes, 144A(d) | | | Ba2 | | | | 6.625% | | | | 11/15/20 | | | | 1,000 | | | | 1,017,500 | |
Weatherford International Ltd. (Bermuda), Gtd. Notes | | | Baa2 | | | | 5.125% | | | | 09/15/20 | | | | 1,165 | | | | 1,159,212 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 9,784,436 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Foods — 1.9% | | | | | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 6.875% | | | | 11/15/19 | | | | 2,200 | | | | 2,622,453 | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 7.750% | | | | 01/15/19 | | | | 1,640 | | | | 2,040,731 | |
Aramark Corp., Gtd. Notes | | | B3 | | | | 8.500% | | | | 02/01/15 | | | | 3,569 | | | | 3,729,605 | |
Carrols Corp., Gtd. Notes | | | B3 | | | | 9.000% | | | | 01/15/13 | | | | 2,720 | | | | 2,726,800 | |
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A | | | B2 | | | | 9.000% | | | | 02/10/17 | | | | 1,000 | | | | 1,072,800 | |
Kraft Foods, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.125% | | | | 02/01/18 | | | | 2,770 | | | | 3,164,157 | |
Kraft Foods, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.500% | | | | 02/09/40 | | | | 1,005 | | | | 1,126,232 | |
Mead Johnson Nutrition Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 3.500% | | | | 11/01/14 | | | | 1,285 | | | | 1,328,794 | |
New Albertsons, Inc., Unsec’d. Notes(d) | | | B2 | | | | 7.500% | | | | 02/15/11 | | | | 1,500 | | | | 1,507,070 | |
PepsiCo, Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 4.875% | | | | 11/01/40 | | | | 1,375 | | | | 1,334,222 | |
Smithfield Foods, Inc., Sr. Sec’d. Notes, 144A | | | B1 | | | | 10.000% | | | | 07/15/14 | | | | 4,215 | | | | 4,857,787 | |
Tyson Foods, Inc., Gtd. Notes | | | Ba2 | | | | 7.350% | | | | 04/01/16 | | | | 1,000 | | | | 1,096,875 | |
Yum! Brands, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 04/15/11 | | | | 1,705 | | | | 1,742,740 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 28,350,266 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Gaming — 0.6% | | | | | | | | | | | | | | | | | | | | |
Ameristar Casinos, Inc., Gtd. Notes | | | B2 | | | | 9.250% | | | | 06/01/14 | | | $ | 1,640 | | | $ | 1,754,800 | |
Marina District Finance Co., Inc., Sr. Sec’d. Notes, 144A | | | B2 | | | | 9.500% | | | | 10/15/15 | | | | 2,710 | | | | 2,662,575 | |
MGM Resorts International, Sr. Sec’d. Notes | | | B1 | | | | 10.375% | | | | 05/15/14 | | | | 1,115 | | | | 1,251,587 | |
MGM Resorts International, Sr. Sec’d. Notes | | | B1 | | | | 13.000% | | | | 11/15/13 | | | | 2,775 | | | | 3,281,438 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,950,400 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.9% | | | | | | | | | | | | | | | | | | | | |
Apria Healthcare Group, Inc., Sr. Sec’d. Notes(d) | | | B1 | | | | 12.375% | | | | 11/01/14 | | | | 1,650 | | | | 1,815,000 | |
Becton, Dickinson and Co., Sr. Unsec’d. Notes | | | A2 | | | | 5.000% | | | | 11/12/40 | | | | 650 | | | | 640,047 | |
Express Scripts, Inc., Gtd. Notes | | | Baa3 | | | | 6.250% | | | | 06/15/14 | | | | 3,450 | | | | 3,856,969 | |
FMC Finance III SA (Luxembourg), Gtd. Notes | | | Ba2 | | | | 6.875% | | | | 07/15/17 | | | | 1,120 | | | | 1,187,200 | |
Mylan, Inc., Gtd. Notes, 144A | | | B1 | | | | 7.625% | | | | 07/15/17 | | | | 2,030 | | | | 2,159,412 | |
Senior Housing Properties Trust, Sr. Unsec’d. Notes | | | Baa3 | | | | 8.625% | | | | 01/15/12 | | | | 3,500 | | | | 3,657,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 13,316,128 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare Insurance — 1.1% | | | | | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.750% | | | | 12/15/37 | | | | 1,900 | | | | 2,139,155 | |
CIGNA Corp., Sr. Notes | | | Baa2 | | | | 4.375% | | | | 12/15/20 | | | | 745 | | | | 727,241 | |
CIGNA Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.375% | | | | 03/15/17 | | | | 2,125 | | | | 2,248,420 | |
Coventry Health Care, Inc., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.125% | | | | 01/15/15 | | | | 4,025 | | | | 4,191,156 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.000% | | | | 06/15/17 | | | | 2,610 | | | | 2,910,698 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 06/15/37 | | | | 760 | | | | 839,164 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.625% | | | | 11/15/37 | | | | 195 | | | | 218,760 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 02/15/38 | | | | 2,000 | | | | 2,328,426 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.350% | | | | 08/15/20 | | | | 1,140 | | | | 1,131,117 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 16,734,137 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Insurance — 2.8% | | | | | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/20 | | | | 430 | | | | 413,172 | |
Allied World Assurance Co. Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes | | | Baa1 | | | | 7.500% | | | | 08/01/16 | | | | 2,475 | | | | 2,740,362 | |
American International Group, Inc., Sr. Unsec’d. Notes(e) | | | A3 | | | | 4.250% | | | | 05/15/13 | | | | 1,820 | | | | 1,883,423 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 5.050% | | | | 10/01/15 | | | | 315 | | | | 323,366 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.400% | | | | 12/15/20 | | | | 950 | | | | 996,749 | |
American International Group, Inc., Sr. Unsec’d. Notes, MTN(e) | | | A3 | | | | 5.850% | | | | 01/16/18 | | | | 3,700 | | | | 3,815,226 | |
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 12/01/14 | | | | 3,350 | | | | 3,562,263 | |
Chubb Corp., Jr. Sub. Notes(a)(d) | | | A3 | | | | 6.375% | | | | 03/29/67 | | | | 1,775 | | | | 1,850,437 | |
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes | | | Baa1 | | | | 7.000% | | | | 07/15/34 | | | | 1,350 | | | | 1,298,114 | |
Lincoln National Corp., Jr. Sub. Notes(a) | | | Ba1 | | | | 6.050% | | | | 04/20/67 | | | | 350 | | | | 322,875 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 7.000% | | | | 06/15/40 | | | | 1,265 | | | | 1,375,653 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 8.750% | | | | 07/01/19 | | | | 1,265 | | | | 1,582,323 | |
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A(d) | | | A1 | | | | 8.875% | | | | 06/01/39 | | | | 1,200 | | | | 1,606,112 | |
MetLife, Inc., Sr. Unsec’d. Notes(d) | | | A3 | | | | 4.750% | | | | 02/08/21 | | | | 2,820 | | | | 2,879,285 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 7.717% | | | | 02/15/19 | | | | 2,000 | | | | 2,455,462 | |
Northwestern Mutual Life Insurance, Notes, 144A | | | Aa2 | | | | 6.063% | | | | 03/30/40 | | | | 500 | | | | 552,272 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | Baa1 | | | | 6.375% | | | | 04/30/20 | | | | 850 | | | | 884,710 | |
Progressive Corp. (The), Jr. Sub. Notes(a) | | | A2 | | | | 6.700% | | | | 06/15/37 | | | | 1,015 | | | | 1,042,912 | |
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | | | Aa2 | | | | 6.850% | | | | 12/16/39 | | | | 2,310 | | | | 2,702,705 | |
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | | | A2 | | | | 3.900% | | | | 11/01/20 | | | | 825 | | | | 801,435 | |
Unum Group, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.625% | | | | 09/15/20 | | | | 500 | | | | 501,881 | |
XL Capital Finance Europe PLC (United Kingdom), Gtd. Notes | | | Baa2 | | | | 6.500% | | | | 01/15/12 | | | | 6,820 | | | | 7,044,501 | |
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a) | | | Ba1 | | | | 6.500% | | | | 12/31/49 | | | | 1,880 | | | | 1,616,800 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | Baa2 | | | | 5.250% | | | | 09/15/14 | | | | 140 | | | | 144,256 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 42,396,294 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Lodging — 0.9% | | | | | | | | | | | | | | | | | | | | |
Felcor Lodging LP, Sr. Sec’d. Notes(d) | | | B2 | | | | 10.000% | | | | 10/01/14 | | | $ | 2,350 | | | $ | 2,632,000 | |
Host Hotels & Resorts LP, Gtd. Notes, Ser. O | | | Ba1 | | | | 6.375% | | | | 03/15/15 | | | | 4,715 | | | | 4,785,725 | |
Starwood Hotels & Resorts Worldwide, Inc., Gtd. Notes | | | Ba1 | | | | 7.875% | | | | 05/01/12 | | | | 3,060 | | | | 3,258,900 | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(d) | | | Ba1 | | | | 6.250% | | | | 02/15/13 | | | | 980 | | | | 1,048,600 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 5.750% | | | | 02/01/18 | | | | 2,150 | | | | 2,186,197 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 13,911,422 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 4.2% | | | | | | | | | | | | | | | | | | | | |
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A | | | Baa1 | | | | 6.100% | | | | 02/15/18 | | | | 210 | | | | 234,258 | |
CBS Corp., Gtd. Notes | | | Baa3 | | | | 8.200% | | | | 05/15/14 | | | | 4,800 | | | | 5,599,152 | |
CW Media Holdings, Inc. (Canada), Gtd. Notes, PIK, 144A | | | Ba2 | | | | 13.500% | | | | 08/15/15 | | | | 12,253 | | | | 13,906,858 | |
Gannett Co., Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 5.750% | | | | 06/01/11 | | | | 2,240 | | | | 2,268,000 | |
Gannett Co., Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 6.375% | | | | 04/01/12 | | | | 1,100 | | | | 1,133,000 | |
Historic TW, Inc., Gtd. Notes | | | Baa2 | | | | 6.625% | | | | 05/15/29 | | | | 225 | | | | 248,455 | |
Intelsat Subsidiary Holding Co. SA (Bermuda), Gtd. Notes | | | B3 | | | | 8.500% | | | | 01/15/13 | | | | 4,620 | | | | 4,625,775 | |
LIN Television Corp., Gtd. Notes, Ser. B | | | B3 | | | | 6.500% | | | | 05/15/13 | | | | 3,000 | | | | 3,000,000 | |
LIN Television Corp., Gtd. Notes | | | B3 | | | | 6.500% | | | | 05/15/13 | | | | 1,500 | | | | 1,503,750 | |
NBC Universal, Inc., Sr. Unsec’d. Notes, 144A | | | Baa2 | | | | 4.375% | | | | 04/01/21 | | | | 1,350 | | | | 1,310,319 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.150% | | | | 03/01/37 | | | | 435 | | | | 453,523 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.900% | | | | 08/15/39 | | | | 210 | | | | 240,433 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 7.625% | | | | 11/30/28 | | | | 1,415 | | | | 1,648,948 | |
Rainbow National Services LLC, Gtd. Notes, 144A | | | Ba3 | | | | 8.750% | | | | 09/01/12 | | | | 2,285 | | | | 2,290,713 | |
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 4.950% | | | | 04/01/14 | | | | 7,000 | | | | 7,171,794 | |
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.600% | | | | 08/15/16 | | | | 4,750 | | | | 5,456,073 | |
Time Warner Cos., Inc., Gtd. Notes | | | Baa2 | | | | 6.950% | | | | 01/15/28 | | | | 2,153 | | | | 2,423,339 | |
Time Warner Cos., Inc., Gtd. Notes | | | Baa2 | | | | 7.250% | | | | 10/15/17 | | | | 1,440 | | | | 1,718,810 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.375% | | | | 09/15/14 | | | | 860 | | | | 915,573 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.250% | | | | 04/30/16 | | | | 2,470 | | | | 2,810,932 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.750% | | | | 10/05/37 | | | | 1,240 | | | | 1,402,442 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 04/30/36 | | | | 580 | | | | 665,464 | |
Vivendi SA (France), Sr. Unsec’d. Notes, 144A | | | Baa2 | | | | 5.750% | | | | 04/04/13 | | | | 2,000 | | | | 2,157,282 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 63,184,893 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Metals — 2.1% | | | | | | | | | | | | | | | | | | | | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | Baa3 | | | | 3.750% | | | | 08/05/15 | | | | 2,100 | | | | 2,117,484 | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 06/01/18 | | | | 1,550 | | | | 1,651,505 | |
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.375% | | | | 04/01/17 | | | | 2,095 | | | | 2,317,594 | |
Metals USA, Inc., Sr. Sec’d. Notes | | | B3 | | | | 11.125% | | | | 12/01/15 | | | | 2,600 | | | | 2,736,500 | |
Newmont Mining Corp., Gtd. Notes | | | Baa1 | | | | 6.250% | | | | 10/01/39 | | | | 2,025 | | | | 2,201,791 | |
Novelis, Inc. (Canada), Gtd. Notes, 144A(d) | | | B2 | | | | 8.375% | | | | 12/15/17 | | | | 3,525 | | | | 3,648,375 | |
Rio Tinto Finance USA Ltd. (Australia), Gtd. Notes | | | A3 | | | | 9.000% | | | | 05/01/19 | | | | 5,785 | | | | 7,769,521 | |
Teck Resources Ltd. (Canada), Gtd. Notes | | | Baa2 | | | | 3.850% | | | | 08/15/17 | | | | 525 | | | | 532,553 | |
Teck Resources Ltd. (Canada), Sr. Sec’d. Notes | | | Baa2 | | | | 10.250% | | | | 05/15/16 | | | | 287 | | | | 355,162 | |
United States Steel Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 7.000% | | | | 02/01/18 | | | | 2,000 | | | | 2,030,000 | |
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes | | | Baa2 | | | | 6.875% | | | | 11/21/36 | | | | 690 | | | | 758,988 | |
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes | | | Baa2 | | | | 6.875% | | | | 11/10/39 | | | | 1,400 | | | | 1,546,902 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | Baa2 | | | | 5.500% | | | | 11/16/11 | | | | 3,430 | | | | 3,560,144 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 31,226,519 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 2.8% | | | | | | | | | | | | | | | | | | | | |
Ally Financial, Inc., Gtd. Notes | | | B3 | | | | 6.875% | | | | 09/15/11 | | | | 2,260 | | | | 2,322,150 | |
Ally Financial, Inc., Gtd. Notes | | | B3 | | | | 7.250% | | | | 03/02/11 | | | | 1,660 | | | | 1,668,300 | |
American General Finance Corp., Sr. Unsec’d. Notes, MTN | | | B3 | | | | 6.900% | | | | 12/15/17 | | | | 2,000 | | | | 1,615,000 | |
Bosphorus Financial Services Ltd. (Cayman Islands),
Sr. Sec’d. Notes, Reg.-S, MTN (a) | | | Baa2 | | | | 2.086% | | | | 02/15/12 | | | | 695 | | | | 685,257 | |
GATX Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.750% | | | | 10/01/12 | | | | 1,500 | | | | 1,571,294 | |
General Electric Capital Australia Funding Pty Ltd. (Australia), Gtd. Notes, MTN | | | Aa2 | | | | 6.000% | | | | 04/15/15 | | | AUD | 4,440 | | | | 4,355,256 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Captive Finance (continued) | | | | | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | Aa2 | | | | 5.875% | | | | 01/14/38 | | | $ | 1,675 | | | $ | 1,738,732 | |
General Electric Capital Corp., Sr. Unsec’d. Notes,
Ser. G, MTN(h) | | | Aa2 | | | | 6.000% | | | | 08/07/19 | | | | 6,315 | | | | 7,026,012 | |
HSBC Finance Corp., Sr. Sub. Notes, 144A | | | Baa1 | | | | 6.676% | | | | 01/15/21 | | | | 460 | | | | 464,729 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 6.500% | | | | 09/01/14 | | | | 2,875 | | | | 3,047,500 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN | | | B1 | | | | 5.750% | | | | 06/15/11 | | | | 3,105 | | | | 3,120,525 | |
Nelnet, Inc., Jr. Sub. Notes(a) | | | Ba2 | | | | 7.400% | | | | 09/29/36 | | | | 6,100 | | | | 5,417,782 | |
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc.
(Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b) | | | Baa3 | | | | 1.009% | | | | 07/03/33 | | | | 2,607 | | | | 1,590,449 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 5.050% | | | | 11/14/14 | | | | 4,150 | | | | 3,966,089 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.450% | | | | 06/15/18 | | | | 3,200 | | | | 3,325,958 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 41,915,033 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Packaging — 0.7% | | | | | | | | | | | | | | | | | | | | |
Greif, Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 7.750% | | | | 08/01/19 | | | | 3,505 | | | | 3,837,975 | |
Sealed Air Corp., Sr. Unsec’d. Notes, 144A | | | Baa3 | | | | 5.625% | | | | 07/15/13 | | | | 6,600 | | | | 6,974,114 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,812,089 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Paper — 1.2% | | | | | | | | | | | | | | | | | | | | |
Georgia-Pacific LLC, Gtd. Notes, 144A | | | | | | | | | | | | | | | | | | | | |
(original cost $3,280,629; purchased 10/27/10)(g) | | | Ba2 | | | | 5.400% | | | | 11/01/20 | | | | 3,300 | | | | 3,262,641 | |
Georgia-Pacific LLC, Sr. Unsec’d. Notes | | | Ba3 | | | | 8.125% | | | | 05/15/11 | | | | 3,965 | | | | 4,093,862 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.300% | | | | 11/15/39 | | | | 1,000 | | | | 1,139,443 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.950% | | | | 06/15/18 | | | | 2,205 | | | | 2,623,869 | |
MeadWestvaco Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 7.375% | | | | 09/01/19 | | | | 4,400 | | | | 4,640,297 | |
Rock-Tenn Co., Sr. Sec’d. Notes | | | Ba2 | | | | 8.200% | | | | 08/15/11 | | | | 3,000 | | | | 3,082,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 18,842,612 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.3% | | | | | | | | | | | | | | | | | | | | |
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | | | Baa2 | | | | 7.300% | | | | 08/15/33 | | | | 1,550 | | | | 1,725,310 | |
Sempra Energy, Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 06/01/16 | | | | 2,275 | | | | 2,641,070 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,366,380 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Railroads — 0.1% | | | | | | | | | | | | | | | | | | | | |
Union Pacific Corp., Sr. Unsec’d. Notes(d) | | | Baa2 | | | | 5.750% | | | | 11/15/17 | | | | 1,450 | | | | 1,628,072 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 1.1% | | | | | | | | | | | | | | | | | | | | |
Hospitality Properties Trust, Sr. Unsec’d. Notes | | | Baa2 | | | | 7.875% | | | | 08/15/14 | | | | 2,900 | | | | 3,207,664 | |
Omega Healthcare Investors, Inc., Gtd. Notes, 144A | | | Ba2 | | | | 6.750% | | | | 10/15/22 | | | | 1,625 | | | | 1,610,781 | |
Post Apartment Homes LP, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.450% | | | | 06/01/12 | | | | 2,300 | | | | 2,377,296 | |
ProLogis, Sr. Unsec’d. Notes | | | Baa2 | | | | 6.875% | | | | 03/15/20 | | | | 8 | | | | 8,494 | |
Realty Income Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.750% | | | | 08/15/19 | | | | 1,545 | | | | 1,746,002 | |
Simon Property Group LP, Sr. Unsec’d. Notes(d) | | | A3 | | | | 4.200% | | | | 02/01/15 | | | | 765 | | | | 799,907 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | A3 | | | | 6.750% | | | | 05/15/14 | | | | 980 | | | | 1,103,185 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | A3 | | | | 10.350% | | | | 04/01/19 | | | | 1,685 | | | | 2,303,730 | |
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A | | | A2 | | | | 5.750% | | | | 09/02/15 | | | | 4,000 | | | | 4,333,288 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 17,490,347 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 1.1% | | | | | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.125% | | | | 09/15/39 | | | | 2,000 | | | | 2,136,916 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.350% | | | | 03/15/12 | | | | 1,800 | | | | 1,858,500 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.875% | | | | 01/15/13 | | | | 7,800 | | | | 8,268,000 | |
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes | | | B2 | | | | 8.500% | | | | 05/15/16 | | | | 1,640 | | | | 1,758,900 | |
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes | | | Aa2 | | | | 5.000% | | | | 10/25/40 | | | | 2,350 | | | | 2,282,473 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 16,304,789 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 2.0% | | | | | | | | | | | | | | | | | | | | |
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes(d) | | | Ba3 | | | | 8.125% | | | | 12/15/17 | | | | 1,530 | | | | 1,621,800 | |
Amphenol Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 4.750% | | | | 11/15/14 | | | | 2,475 | | | | 2,644,087 | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 3.375% | | | | 11/01/15 | | | | 600 | | | | 581,639 | |
Fiserv, Inc., Gtd. Notes | | | Baa2 | | | | 3.125% | | | | 10/01/15 | | | | 195 | | | | 193,086 | |
Fiserv, Inc., Gtd. Notes | | | Baa2 | | | | 6.125% | | | | 11/20/12 | | | | 1,600 | | | | 1,730,363 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Technology (continued) | | | | | | | | | | | | | | | | | | | | |
Motorola, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.000% | | | | 11/01/11 | | | $ | 121 | | | $ | 127,432 | |
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A | | | B+(c) | | | | 10.000% | | | | 07/15/13 | | | | 1,789 | | | | 2,003,680 | |
Seagate HDD Cayman (Cayman Islands), Gtd. Notes, 144A | | | Ba1 | | | | 6.875% | | | | 05/01/20 | | | | 3,725 | | | | 3,557,375 | |
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes | | | Ba1 | | | | 6.375% | | | | 10/01/11 | | | | 2,115 | | | | 2,170,519 | |
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A | | | Baa3 | | | | 10.000% | | | | 05/01/14 | | | | 2,910 | | | | 3,411,975 | |
Sensata Technologies BV (Netherlands), Gtd. Notes(d) | | | Caa1 | | | | 8.000% | | | | 05/01/14 | | | | 2,586 | | | | 2,715,300 | |
SunGard Data Systems, Inc., Gtd. Notes(d) | | | Caa1 | | | | 10.250% | | | | 08/15/15 | | | | 2,610 | | | | 2,743,763 | |
SunGard Data Systems, Inc., Gtd. Notes | | | Caa1 | | | | 10.625% | | | | 05/15/15 | | | | 2,000 | | | | 2,205,000 | |
SunGard Data Systems, Inc., Sr. Unsec’d. Notes, 144A(d) | | | Caa1 | | | | 7.625% | | | | 11/15/20 | | | | 1,700 | | | | 1,721,250 | |
Xerox Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 4.250% | | | | 02/15/15 | | | | 2,000 | | | | 2,092,728 | |
Xerox Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.500% | | | | 05/15/12 | | | | 870 | | | | 918,905 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 30,438,902 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Telecommunications — 2.0% | | | | | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | A2 | | | | 6.125% | | | | 03/30/40 | | | | 795 | | | | 843,082 | |
AT&T Corp., Gtd. Notes | | | A2 | | | | 8.000% | | | | 11/15/31 | | | | 103 | | | | 129,459 | |
AT&T, Inc., Sr. Unsec’d. Notes, 144A | | | A2 | | | | 5.350% | | | | 09/01/40 | | | | 3,453 | | | | 3,247,429 | |
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | | | Baa2 | | | | 9.875% | | | | 12/15/30 | | | | 328 | | | | 437,169 | |
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A | | | Baa3 | | | | 7.750% | | | | 05/01/17 | | | | 3,000 | | | | 3,277,500 | |
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes | | | A2 | | | | 8.500% | | | | 11/15/18 | | | | 2,960 | | | | 3,873,308 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $5,123,868; purchased 05/12/06-01/12/09)(b)(g) | | | Baa3 | | | | 7.082% | | | | 06/01/16 | | | | 5,600 | | | | 6,193,085 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $1,303,800; purchased 04/22/10)(b)(g) | | | Baa3 | | | | 7.995% | | | | 06/01/36 | | | | 1,250 | | | | 1,364,848 | |
Qwest Capital Funding, Inc., Gtd. Notes | | | Ba3 | | | | 7.250% | | | | 02/15/11 | | | | 1,925 | | | | 1,928,629 | |
Qwest Corp., Sr. Unsec’d. Notes(a) | | | Baa3 | | | | 3.552% | | | | 06/15/13 | | | | 3,750 | | | | 3,918,750 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.375% | | | | 05/01/16 | | | | 1,100 | | | | 1,303,500 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 03/15/12 | | | | 3,300 | | | | 3,568,125 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 5.134% | | | | 04/27/20 | | | | 1,090 | | | | 1,049,388 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 7.045% | | | | 06/20/36 | | | | 5 | | | | 5,116 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 31,139,388 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.4% | | | | | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 9.950% | | | | 11/10/38 | | | | 3,715 | | | | 5,234,925 | |
Lorillard Tobacco Co., Gtd. Notes | | | Baa2 | | | | 8.125% | | | | 06/23/19 | | | | 1,370 | | | | 1,524,440 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,759,365 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $620,845,039) | | | | 657,911,470 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| FOREIGN AGENCIES — 1.7% | | | | | | | | | | | | | | | | | | | | |
DP World Ltd. (United Arab Emirates), Sr. Unsec’d. Notes, 144A | | | Ba1 | | | | 6.850% | | | | 07/02/37 | | | | 190 | | | | 174,714 | |
DP World Ltd. (United Arab Emirates),
Sr. Unsec’d. Notes, Reg.-S, MTN | | | Ba1 | | | | 6.850% | | | | 07/02/37 | | | | 4,470 | | | | 4,110,366 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d Notes | | | A1 | | | | 4.000% | | | | 01/29/21 | | | | 1,190 | | | | 1,111,685 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes(d) | | | A1 | | | | 5.125% | | | | 06/29/20 | | | | 590 | | | | 607,502 | |
GAZ Capital SA For Gazprom (Luxembourg), Sec’d. Notes, 144A | | | Baa1 | | | | 8.125% | | | | 07/31/14 | | | | 2,810 | | | | 3,175,300 | |
GAZ Capital SA For Gazprom (Luxembourg),
Sec’d. Notes, Reg.-S | | | Baa1 | | | | 8.125% | | | | 07/31/14 | | | | 600 | | | | 676,200 | |
GAZ Capital SA For Gazprom (Luxembourg),
Sr. Unsec’d. Notes, 144A | | | Baa1 | | | | 9.250% | | | | 04/23/19 | | | | 4,740 | | | | 5,824,512 | |
GAZ Capital SA For Gazprom (Luxembourg),
Sr. Unsec’d. Notes, Reg.-S | | | Baa1 | | | | 9.250% | | | | 04/23/19 | | | | 2,055 | | | | 2,525,184 | |
Gazprom International SA For Gazprom (Luxembourg),
Gtd. Notes, 144A | | | BBB+(c) | | | | 7.201% | | | | 02/01/20 | | | | 846 | | | | 899,264 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
FOREIGN AGENCIES
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN(d) | | | A1 | | | | 4.500% | | | | 03/23/15 | | | $ | 1,785 | | | $ | 1,835,202 | |
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes | | | A1 | | | | 3.250% | | | | 09/20/16 | | | | 2,250 | | | | 2,148,914 | |
Petroleos de Venezuela SA (Venezuela),
Sr. Unsec’d. Notes, Ser. 2014 | | | NR | | | | 4.900% | | | | 10/28/14 | | | | 1,735 | | | | 1,084,375 | |
Qtel International Finance Ltd. (Bermuda), Gtd. Notes, 144A | | | A2 | | | | 4.750% | | | | 02/16/21 | | | | 1,295 | | | | 1,235,522 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL FOREIGN AGENCIES
(cost $22,887,031) | | | | 25,408,740 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 1.0% | | | | | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | A1 | | | | 6.907% | | | | 10/01/50 | | | | 1,125 | | | | 1,116,833 | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | A1 | | | | 6.395% | | | | 01/01/40 | | | | 1,380 | | | | 1,341,926 | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | Aa2 | | | | 6.731% | | | | 07/01/43 | | | | 1,375 | | | | 1,371,700 | |
New Jersey State Turnpike Authority, Revenue Bonds,
Ser. 2010A, BABs | | | A3 | | | | 7.102% | | | | 01/01/41 | | | | 1,175 | | | | 1,279,410 | |
New Jersey State Turnpike Authority, Revenue Bonds,
Ser. F, BABs | | | A3 | | | | 7.414% | | | | 01/01/40 | | | | 2,050 | | | | 2,261,519 | |
Ohio State University (The), Revenue Bonds, BABs | | | Aa1 | | | | 4.910% | | | | 06/01/40 | | | | 695 | | | | 633,082 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | Aaa | | | | 4.879% | | | | 12/01/34 | | | | 450 | | | | 428,198 | |
Oregon State Department of Transportation, Revenue Bonds,
Ser. A, BABs | | | Aa2 | | | | 5.834% | | | | 11/15/34 | | | | 615 | | | | 630,498 | |
Pennsylvania Turnpike Commission, Revenue Bonds,
Ser. B, BABs | | | Aa3 | | | | 5.511% | | | | 12/01/45 | | | | 800 | | | | 724,312 | |
Regional Transportation District, Revenue Bonds,
Ser. 2010B, BABs | | | Aa2 | | | | 5.844% | | | | 11/01/50 | | | | 1,000 | | | | 1,002,060 | |
State of California, General Obligation Unlimited, BABs(d) | | | A1 | | | | 7.300% | | | | 10/01/39 | | | | 2,280 | | | | 2,312,718 | |
State of California, General Obligation Unlimited, BABs(d) | | | A1 | | | | 7.625% | | | | 03/01/40 | | | | 725 | | | | 764,085 | |
Texas State Transportation Commission, Revenue Bonds,
Ser. B, BABs | | | Aaa | | | | 5.028% | | | | 04/01/26 | | | | 425 | | | | 419,092 | |
University of California, Revenue Bonds, BABs | | | Aa1 | | | | 5.770% | | | | 05/15/43 | | | | 1,400 | | | | 1,323,308 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $15,531,091) | | | | 15,608,741 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| SOVEREIGNS — 2.2% | | | | | | | | | | | | | | | | | | | | |
Argentina Bonos (Argentina), Sr. Unsec’d. Notes | | | B(c) | | | | 7.000% | | | | 10/03/15 | | | | 4,275 | | | | 4,040,706 | |
Hungary Government Bond (Hungary), Bonds
Ser. 15/A | | | Baa3 | | | | 8.000% | | | | 02/12/15 | | | HUF | 693,400 | | | | 3,351,289 | |
Ser. 19/A | | | Baa3 | | | | 6.500% | | | | 06/24/19 | | | HUF | 682,020 | | | | 2,964,155 | |
Jamaica Government International Bond (Jamaica),
Sr. Unsub. Notes | | | B3 | | | | 11.000% | | | | 07/27/12 | | | EUR | 620 | | | | 849,390 | |
Mexican Bonos (Mexico), Bonds
Ser. M 10 | | | Baa1 | | | | 8.000% | | | | 12/17/15 | | | MXN | 32,440 | | | | 2,805,863 | |
Ser. M 30 | | | Baa1 | | | | 10.000% | | | | 11/20/36 | | | MXN | 56,741 | | | | 5,692,018 | |
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands),
Sr. Sec’d. Notes, 144A(i) | | | Baa3 | | | | 3.320% | | | | 05/31/18 | | | | 1,482 | | | | 1,185,799 | |
Poland Government Bond (Poland), Bonds
Ser. 1015 | | | A2 | | | | 6.250% | | | | 10/24/15 | | | PLN | 9,910 | | | | 3,468,148 | |
Ser. 1019 | | | A2 | | | | 5.500% | | | | 10/25/19 | | | PLN | 10,160 | | | | 3,328,478 | |
Qatar Government International Bond (Qatar), Sr. Notes, 144A | | | Aa2 | | | | 6.400% | | | | 01/20/40 | | | | 2,445 | | | | 2,652,825 | |
Ukraine Government International Bond (Ukraine), Sr. Unsec’d. Notes, Reg.-S | | | B2 | | | | 6.385% | | | | 06/26/12 | | | | 1,340 | | | | 1,359,832 | |
Venezuela Government International Bond (Venezuela), Sr. Unsec’d. Notes | | | B2 | | | | 9.250% | | | | 09/15/27 | | | | 3,180 | | | | 2,369,100 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL SOVEREIGNS
(cost $34,700,832) | | | | 34,067,603 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
U.S. GOVERNMENT MORTGAGE-BACKED
SECURITIES — 8.4% | | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | | | 4.500% | | | | TBA 30 YR | | | $ | 10,000 | | | $ | 10,218,750 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.000% | | | | 07/01/19 | | | | 554 | | | | 591,432 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.500% | | | | 10/01/33-06/01/34 | | | | 3,475 | | | | 3,768,333 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.500% | | | | TBA 30 YR | | | | 23,000 | | | | 24,509,375 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.000% | | | | 11/01/33-06/01/34 | | | | 3,443 | | | | 3,789,837 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.000% | | | | TBA 30 YR | | | | 1,500 | | | | 1,624,687 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.500% | | | | 07/01/32-09/01/32 | | | | 1,767 | | | | 1,986,344 | |
Federal Home Loan Mortgage Corp. | | | | | | | 7.000% | | | | 10/01/32 | | | | 261 | | | | 297,720 | |
Federal National Mortgage Association | | | | | | | 4.000% | | | | 05/01/19 | | | | 342 | | | | 356,960 | |
Federal National Mortgage Association | | | | | | | 4.500% | | | | 12/01/18-02/01/35 | | | | 3,045 | | | | 3,218,961 | |
Federal National Mortgage Association | | | | | | | 4.500% | | | | TBA 30 YR | | | | 5,250 | | | | 5,388,631 | |
Federal National Mortgage Association | | | | | | | 5.500% | | | | 03/01/17-09/01/34 | | | | 9,832 | | | | 10,615,236 | |
Federal National Mortgage Association | | | | | | | 6.000% | | | | 09/01/17-11/01/36 | | | | 6,711 | | | | 7,391,278 | |
Federal National Mortgage Association | | | | | | | 6.000% | | | | TBA 30 YR | | | | 23,000 | | | | 24,998,125 | |
Federal National Mortgage Association | | | | | | | 6.500% | | | | 12/01/14-11/01/33 | | | | 3,924 | | | | 4,408,710 | |
Federal National Mortgage Association | | | | | | | 7.000% | | | | 05/01/32-06/01/32 | | | | 363 | | | | 413,291 | |
Government National Mortgage Association | | | | | | | 4.500% | | | | TBA 30 YR | | | | 7,500 | | | | 7,785,937 | |
Government National Mortgage Association | | | | | | | 5.500% | | | | 01/15/33-07/15/35 | | | | 6,068 | | | | 6,590,854 | |
Government National Mortgage Association | | | | | | | 6.000% | | | | 12/15/32-11/15/34 | | | | 5,027 | | | | 5,588,821 | |
Government National Mortgage Association | | | | | | | 6.500% | | | | 09/15/32-11/15/33 | | | | 3,597 | | | | 4,082,222 | |
Government National Mortgage Association | | | | | | | 7.500% | | | | 10/15/25-02/15/26 | | | | 87 | | | | 100,579 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES
(cost $124,043,556) | | | | 127,726,083 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT TREASURY SECURITIES — 2.1% | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | 3.875% | | | | 08/15/40 | | | | 1,710 | | | | 1,575,071 | |
U.S. Treasury Notes(d) | | | | | | | 1.375% | | | | 11/30/15 | | | | 540 | | | | 524,770 | |
U.S. Treasury Notes | | | | | | | 2.125% | | | | 12/31/15 | | | | 805 | | | | 809,276 | |
U.S. Treasury Notes(d) | | | | | | | 2.625% | | | | 11/15/20 | | | | 6,335 | | | | 5,975,685 | |
U.S. Treasury Strips Coupon(j) | | | | | | | 5.000% | | | | 11/15/22 | | | | 37,000 | | | | 23,098,619 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT TREASURY SECURITIES
(cost $32,938,217) | | | | 31,983,421 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | | | Shares
| | | | |
| PREFERRED STOCK — 0.1% | | | | | | | | | | | | | | | | | | | | |
Banking | | | | | | | | | | | | | | | | | | | | |
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a)
(cost $1,125,000) | | | | 45,000 | | | | 1,210,950 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,326,916,040) | | | | 1,396,950,717 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 15.0% | | | | | | | | | | | | | | | | | | | | |
AFFILIATED MUTUAL FUNDS — 14.9% | | | | | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(k)
(cost $164,700,915) | | | | 16,649,555 | | | | 149,679,501 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(k)(l)
(cost $76,436,911; includes $43,659,093 of cash collateral received for securities on loan) | | | | 76,436,911 | | | | 76,436,911 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 226,116,412 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | | | Contract
| | | | |
| Purchased Option — 0.1% | | | | | | | | | | | | | | | | | | | | |
Call Option | | | | | | | | | | | | | | | | | | | | |
U.S. Long Bond Futures, expiring 02/18/11, Strike Price $120.00
(cost $1,688,640) | | | | 500 | | | | 1,742,187 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $242,826,466) | | | | 227,858,599 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, BEFORE WRITTEN OPTION — 106.7%
(cost $1,569,742,506) | | | | 1,624,809,316 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| Written Option | | Contract
| | | Value
(Note 2)
| |
Call Option | | | | | | | | |
U.S. Long Bond Futures, expiring 02/18/11, Strike Price $128.00
(premium received $1,506,673) | | | 500 | | | $ | (218,750 | ) |
| | | | | | |
|
|
|
TOTAL INVESTMENTS, NET OF WRITTEN OPTION(m) — 106.7%
(cost $1,568,235,833) | | | | 1,624,590,566 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (6.7)% | | | | (101,664,969 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,522,925,597 | |
| | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| Reg.-S | | 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. |
| BABs | | Build America Bonds |
| CDO | | Collateralized Debt Obligation |
| CLO | | Collateralized Loan Obligation |
| MTN | | Medium Term Note |
| NR | | Not Rated by Moody’s or Standard & Poor’s |
| PIK | | Payment in Kind |
| TBA | | To Be Announced |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| CHF | | Swiss Franc |
| CLP | | Chilean Peso |
| COP | | Colombian Peso |
| CZK | | Czech Koruna |
| EUR | | Euro |
| GBP | | Pound Sterling |
| HUF | | Hungarian Forint |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| KRW | | South Korean Won |
| MXN | | Mexican Peso |
| NOK | | Norwegian Krone |
| NZD | | New Zealand Dollar |
| PEN | | Peruvian Nuevo Sol |
| PHP | | Philippine Peso |
| PLN | | Polish Zloty |
| RUB | | Russian Rouble |
| SEK | | Swedish Krona |
| SGD | | Singapore Dollar |
| TRY | | Turkish Lira |
| ZAR | | South African Rand |
| † | The ratings reflected are as of December 31, 2010. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Indicates a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Standard & Poor’s Rating. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $42,747,647; cash collateral of $43,659,093 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (f) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (g) | Indicates a restricted security; the aggregate original cost of such securities is $11,981,021. The aggregate value of $13,303,737 is approximately 0.9% of net assets. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (i) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2010. |
| (j) | Rate shown reflects the effective yield at December 31, 2010. |
| (k) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (l) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (m) | As of December 31, 2010, 11 securities representing $20,697,082 and 1.4% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees. |
| (n) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on futures contracts, forward currency contracts, interest rate and credit default swap agreements as follows: |
Open futures contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
Long Positions: | | | | | | | | | | | | | | | | | |
| 563 | | | 2 Year U.S. Treasury Notes | | | | Mar. 2011 | | | $ | 123,109,592 | | | $ | 123,244,219 | | | $ | 134,627 | |
| 1,672 | | | 5 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 196,962,861 | | | | 196,825,750 | | | | (137,111 | ) |
| 48 | | | 10 Year Euro-Bond | | | | Mar. 2011 | | | | 8,045,738 | | | | 8,037,737 | | | | (8,001 | ) |
| 68 | | | 10 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 8,097,005 | | | | 8,189,750 | | | | 92,745 | |
| 45 | | | 10 Year Gilt | | | | Mar. 2011 | | | | 8,314,948 | | | | 8,383,302 | | | | 68,354 | |
| 178 | | | U.S. Long Bond | | | | Mar. 2011 | | | | 22,120,719 | | | | 21,738,250 | | | | (382,469 | ) |
| 87 | | | U.S. Ultra Bond | | | | Mar. 2011 | | | | 11,337,482 | | | | 11,057,156 | | | | (280,326 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | (512,181 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
Forward currency contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | |
Forward Currency Contract
| | Counterparty
| | Notional
Amount (000)
| | | Payable at
Settlement Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
Purchased: | | | | | | | | | | | | | | | | | | |
Australian Dollar
expiring 01/21/11 | | Goldman Sachs Group LP | | AUD | 4,555 | | | $ | 4,479,688 | | | $ | 4,645,422 | | | $ | 165,734 | |
Brazilian Real
expiring 01/18/11 | | Citibank NA | | BRL | 4,058 | | | | 2,316,000 | | | | 2,433,918 | | | | 117,918 | |
Brazilian Real
expiring 01/18/11 | | Citibank NA | | BRL | 4,311 | | | | 2,502,800 | | | | 2,585,941 | | | | 83,141 | |
Brazilian Real
expiring 01/18/11 | | Warburg Dillon Read | | BRL | 3,892 | | | | 2,264,554 | | | | 2,334,347 | | | | 69,793 | |
Canadian Dollar
expiring 01/20/11 | | Citibank NA | | CAD | 11,066 | | | | 10,988,530 | | | | 11,124,692 | | | | 136,162 | |
Chilean Peso
expiring 01/07/11 | | Citibank NA | | CLP | 755,814 | | | | 1,561,600 | | | | 1,614,064 | | | | 52,464 | |
Chilean Peso
expiring 01/07/11 | | Citibank NA | | CLP | 1,123,975 | | | | 2,355,600 | | | | 2,400,281 | | | | 44,681 | |
Chilean Peso
expiring 03/22/11 | | Citibank NA | | CLP | 1,072,993 | | | | 2,275,700 | | | | 2,277,526 | | | | 1,826 | |
Chilean Peso
expiring 03/22/11 | | Goldman Sachs Group LP | | CLP | 949,717 | | | | 2,015,529 | | | | 2,015,863 | | | | 334 | |
Colombian Peso
expiring 02/08/11 | | Citibank NA | | COP | 129,342 | | | | 67,156 | | | | 67,946 | | | | 790 | |
Colombian Peso
expiring 02/08/11 | | Citibank NA | | COP | 4,332,541 | | | | 2,316,000 | | | | 2,275,958 | | | | (40,042 | ) |
Colombian Peso
expiring 12/06/11 | | Citibank NA | | COP | 4,436,129 | | | | 2,300,300 | | | | 2,310,110 | | | | 9,810 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | |
Forward Currency Contract
| | Counterparty
| | Notional
Amount (000)
| | | Payable at
Settlement Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
Czech Koruna
expiring 01/24/11 | | Citibank NA | | CZK | 56,749 | | | $ | 3,034,100 | | | $ | 3,027,863 | | | $ | (6,237 | ) |
Euro
expiring 01/25/11 | | Citibank NA | | EUR | 4,689 | | | | 6,179,239 | | | | 6,265,678 | | | | 86,439 | |
Indian Rupee
expiring 01/07/11 | | Morgan Stanley | | INR | 103,731 | | | | 2,298,500 | | | | 2,316,853 | | | | 18,353 | |
Indian Rupee
expiring 01/07/11 | | UBS AG | | INR | 70,131 | | | | 1,561,600 | | | | 1,566,396 | | | | 4,796 | |
Indian Rupee
expiring 04/07/11 | | Goldman Sachs Group LP | | INR | 173,863 | | | | 3,789,511 | | | | 3,817,755 | | | | 28,244 | |
Japanese Yen
expiring 01/25/11 | | Barclays Capital, Inc. | | JPY | 315,006 | | | | 3,793,800 | | | | 3,881,008 | | | | 87,208 | |
Mexican Peso
expiring 01/20/11 | | Barclays Capital, Inc. | | MXN | 37,456 | | | | 3,035,877 | | | | 3,028,750 | | | | (7,127 | ) |
Mexican Peso
expiring 01/20/11 | | Citibank NA | | MXN | 4,181 | | | | 337,487 | | | | 338,049 | | | | 562 | |
New Zealand Dollar
expiring 01/21/11 | | Citibank NA | | NZD | 5,095 | | | | 3,793,800 | | | | 3,962,561 | | | | 168,761 | |
New Zealand Dollar
expiring 01/21/11 | | Goldman Sachs Group LP | | NZD | 3,012 | | | | 2,276,900 | | | | 2,343,018 | | | | 66,118 | |
New Zealand Dollar
expiring 01/21/11 | | JPMorgan Chase & Co. | | NZD | 5,003 | | | | 3,682,488 | | | | 3,891,268 | | | | 208,780 | |
Norwegian Krone
expiring 01/24/11 | | Goldman Sachs Group LP | | NOK | 67,677 | | | | 11,256,213 | | | | 11,584,335 | | | | 328,122 | |
Peruvian Nuevo Sol
expiring 03/07/11 | | Citibank NA | | PEN | 10,910 | | | | 3,895,656 | | | | 3,876,348 | | | | (19,308 | ) |
Philippine Peso
expiring 03/14/11 | | UBS AG | | PHP | 239,435 | | | | 5,510,590 | | | | 5,464,768 | | | | (45,822 | ) |
Polish Zloty
expiring 01/24/11 | | Citibank NA | | PLN | 15,705 | | | | 5,169,825 | | | | 5,296,518 | | | | 126,693 | |
Polish Zloty
expiring 01/24/11 | | Morgan Stanley | | PLN | 6,893 | | | | 2,276,300 | | | | 2,324,714 | | | | 48,414 | |
Pound Sterling
expiring 01/25/11 | | Barclays Capital, Inc. | | GBP | 299 | | | | 463,687 | | | | 465,801 | | | | 2,114 | |
Russian Rouble
expiring 01/28/11 | | Citibank NA | | RUB | 25,734 | | | | 835,446 | | | | 840,458 | | | | 5,012 | |
Russian Rouble
expiring 01/28/11 | | Goldman Sachs Group LP | | RUB | 25,734 | | | | 834,714 | | | | 840,457 | | | | 5,743 | |
Russian Rouble
expiring 01/28/11 | | Morgan Stanley | | RUB | 25,734 | | | | 834,376 | | | | 840,458 | | | | 6,082 | |
Russian Rouble
expiring 01/28/11 | | UBS AG | | RUB | 25,734 | | | | 834,173 | | | | 840,457 | | | | 6,284 | |
Russian Rouble
expiring 06/06/11 | | Citibank NA | | RUB | 47,419 | | | | 1,519,900 | | | | 1,527,678 | | | | 7,778 | |
Russian Rouble
expiring 06/06/11 | | Citibank NA | | RUB | 243,550 | | | | 7,661,700 | | | | 7,846,294 | | | | 184,594 | |
Singapore Dollar
expiring 01/21/11 | | Goldman Sachs Group LP | | SGD | 10,971 | | | | 8,341,843 | | | | 8,549,279 | | | | 207,436 | |
Singapore Dollar
expiring 01/21/11 | | Morgan Stanley | | SGD | 9,724 | | | | 7,585,200 | | | | 7,577,102 | | | | (8,098 | ) |
South African Rand
expiring 01/28/11 | | Citibank NA | | ZAR | 53,924 | | | | 7,965,133 | | | | 8,150,646 | | | | 185,513 | |
South Korean Won
expiring 01/28/11 | | UBS AG | | KRW | 3,445,137 | | | | 2,973,534 | | | | 3,030,522 | | | | 56,988 | |
South Korean Won
expiring 03/07/11 | | Morgan Stanley | | KRW | 2,620,272 | | | | 2,300,300 | | | | 2,300,947 | | | | 647 | |
Swedish Krona
expiring 01/24/11 | | Goldman Sachs Group LP | | SEK | 83,341 | | | | 12,162,363 | | | | 12,381,346 | | | | 218,983 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | |
Forward Currency Contract
| | Counterparty
| | Notional
Amount (000)
| | | Payable at
Settlement Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
Swiss Franc
expiring 01/24/11 | | Deutsche Bank Securities, Inc. | | CHF | 9,038 | | | $ | 9,316,410 | | | $ | 9,669,286 | | | $ | 352,876 | |
Turkish Lira
expiring 01/28/11 | | Citibank NA | | TRY | 37 | | | | 23,669 | | | | 23,911 | | | | 242 | |
Turkish Lira
expiring 01/28/11 | | Goldman Sachs Group LP | | TRY | 3,530 | | | | 2,275,600 | | | | 2,278,855 | | | | 3,255 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | 163,263,391 | | | | 166,235,447 | | | | 2,972,056 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
Sold: | | | | | | | | | | | | | | | | | | |
Brazilian Real
expiring 01/18/11 | | Citibank NA | | BRL | 4,071 | | | | 2,348,900 | | | | 2,441,723 | | | | (92,823 | ) |
Chilean Peso
expiring 01/07/11 | | Citibank NA | | CLP | 930,072 | | | | 1,874,200 | | | | 1,986,196 | | | | (111,996 | ) |
Chilean Peso
expiring 01/07/11 | | Goldman Sachs Group LP | | CLP | 949,717 | | | | 2,024,984 | | | | 2,028,150 | | | | (3,166 | ) |
Colombian Peso
expiring 02/08/11 | | UBS AG | | COP | 4,461,883 | | | | 2,321,600 | | | | 2,343,903 | | | | (22,303 | ) |
Colombian Peso
expiring 12/06/11 | | Citibank NA | | COP | 4,436,129 | | | | 2,303,286 | | | | 2,310,110 | | | | (6,824 | ) |
Czech Koruna
expiring 01/24/11 | | Goldman Sachs Group LP | | CZK | 2,450 | | | | 127,818 | | | | 130,739 | | | | (2,921 | ) |
Euro
expiring 01/20/11 | | Barclays Capital, Inc. | | EUR | 2,321 | | | | 3,035,877 | | | | 3,100,794 | | | | (64,917 | ) |
Euro
expiring 01/25/11 | | Citibank NA | | EUR | 2,297 | | | | 3,017,100 | | | | 3,069,757 | | | | (52,657 | ) |
Hungarian Forint
expiring 01/24/11 | | Citibank NA | | HUF | 569,543 | | | | 2,728,175 | | | | 2,730,844 | | | | (2,669 | ) |
Hungarian Forint
expiring 01/24/11 | | JPMorgan Chase & Co. | | HUF | 838,583 | | | | 3,945,500 | | | | 4,020,841 | | | | (75,341 | ) |
Indian Rupee
expiring 01/07/11 | | Goldman Sachs Group LP | | INR | 173,863 | | | | 3,840,573 | | | | 3,883,248 | | | | (42,675 | ) |
Japanese Yen
expiring 01/25/11 | | Citibank NA | | JPY | 12,153 | | | | 144,888 | | | | 149,732 | | | | (4,844 | ) |
Japanese Yen
expiring 01/25/11 | | Goldman Sachs Group LP | | JPY | 123,363 | | | | 1,517,000 | | | | 1,519,879 | | | | (2,879 | ) |
Mexican Peso
expiring 01/20/11 | | UBS AG | | MXN | 26,666 | | | | 2,136,531 | | | | 2,156,230 | | | | (19,699 | ) |
New Zealand Dollar
expiring 01/21/11 | | Goldman Sachs Group LP | | NZD | 4,926 | | | | 3,620,600 | | | | 3,831,446 | | | | (210,846 | ) |
Philippine Peso
expiring 03/14/11 | | UBS AG | | PHP | 106,589 | | | | 2,413,700 | | | | 2,432,743 | | | | (19,043 | ) |
Polish Zloty
expiring 01/24/11 | | Goldman Sachs Group LP | | PLN | 9,030 | | | | 3,034,100 | | | | 3,045,583 | | | | (11,483 | ) |
Russian Rouble
expiring 01/28/11 | | UBS AG | | RUB | 101,749 | | | | 3,240,400 | | | | 3,323,018 | | | | (82,618 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | $ | 43,675,232 | | | $ | 44,504,936 | | | | (829,704 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | 2,142,352 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
Interest rate swap agreements outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#
| | | Fixed
Rate
| | | Floating Rate
| | Fair Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Citibank NA(a) | | | 12/31/20 | | | $ | 18,600 | | | | 3.409% | | | 3 month LIBOR | | $ | 85,812 | | | $ | — | | | $ | 85,812 | |
Morgan Stanley Capital Services, Inc.(a) | | | 11/09/15 | | | NZD | 14,550 | | | | 4.610% | | | 3 month New Zealand Bank Bill Rate | | | (10,317 | ) | | | — | | | | (10,317 | ) |
Morgan Stanley Capital Services, Inc.(a) | | | 12/10/20 | | | | 24,300 | | | | 4.903% | | | 3 month LIBOR | | | 117,067 | | | | — | | | | 117,067 | |
Morgan Stanley Capital Services, Inc.(a) | | | 12/14/20 | | | | 16,100 | | | | 4.910% | | | 3 month LIBOR | | | 65,476 | | | | — | | | | 65,476 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | 258,038 | | | $ | — | | | $ | 258,038 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (a) | Portfolio pays the floating rate and receives the fixed rate. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
Credit default swap agreements outstanding as of December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#(2)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Credit Default Swaps on Corporate Issues—Buy Protection(1): | |
Barclays Bank PLC | | | 06/20/11 | | | $ | 2,240 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, due 04/01/12 | | $ | (53,087 | ) | | $ | (16,243 | ) | | $ | (36,844 | ) |
Citibank NA | | | 03/20/12 | | | | 6,900 | | | | 5.000% | | | XL Group PLC,
5.250%, due 09/15/14 | | | (384,475 | ) | | | (170,166 | ) | | | (214,309 | ) |
Citibank NA | | | 06/20/14 | | | | 4,800 | | | | 1.000% | | | CBS Corp.,
4.625%, due 05/15/18 | | | (76,276 | ) | | | 261,658 | | | | (337,934 | ) |
Credit Suisse International | | | 12/20/12 | | | | 1,500 | | | | 1.000% | | | GATX Financial Corp.,
5.500%, due 02/15/12 | | | (6,303 | ) | | | 9,904 | | | | (16,207 | ) |
Credit Suisse International | | | 06/20/14 | | | | 2,500 | | | | 1.000% | | | Centex Corp.,
5.250%, due 06/15/15 | | | 79,605 | | | | (12,084 | ) | | | 91,689 | |
Credit Suisse International | | | 03/20/15 | | | | 4,695 | | | | 1.000% | | | Toll Brothers Financial Corp.,
5.150%, due 05/15/15 | | | 97,484 | | | | 30,919 | | | | 66,565 | |
Deutsche Bank AG | | | 03/20/12 | | | | 1,100 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, due 04/01/12 | | | (62,873 | ) | | | (14,712 | ) | | | (48,161 | ) |
Deutsche Bank AG | | | 12/20/12 | | | | 7,800 | | | | 1.000% | | | Macy’s Retail Holdings, Inc.,
8.000%, due 07/15/12 | | | (54,057 | ) | | | 194,658 | | | | (248,715 | ) |
Deutsche Bank AG | | | 06/20/13 | | | | 3,750 | | | | 1.000% | | | Qwest Corp.,
7.200%, due 11/10/26 | | | (34,067 | ) | | | 46,550 | | | | (80,617 | ) |
Deutsche Bank AG | | | 06/20/13 | | | | 6,600 | | | | 1.000% | | | Sealed Air Corp.,
5.625%, due 07/15/13 | | | (42,618 | ) | | | 69,639 | | | | (112,257 | ) |
Deutsche Bank AG | | | 09/20/13 | | | | 2,600 | | | | 1.000% | | | Masco Corp.,
6.125%, due 10/03/16 | | | 36,210 | | | | 66,875 | | | | (30,665 | ) |
Deutsche Bank AG | | | 03/20/14 | | | | 980 | | | | 7.050% | | | Starwood Hotels &
Resorts Holdings, Inc.,
7.875%, due 05/01/12 | | | (195,733 | ) | | | — | | | | (195,733 | ) |
Deutsche Bank AG | | | 06/20/14 | | | | 7,000 | | | | 1.000% | | | R.R. Donnelley & Sons Co.,
4.950%, due 04/01/14 | | | 165,477 | | | | 391,270 | | | | (225,793 | ) |
Deutsche Bank AG | | | 03/20/18 | | | | 3,700 | | | | 3.700% | | | American International Group, Inc.,
6.250%, due 05/01/36 | | | (349,828 | ) | | | — | | | | (349,828 | ) |
Goldman Sachs International, Inc. | | | 03/20/14 | | | | 3,400 | | | | 0.700% | | | Duke Energy Corp.,
5.650%, due 06/15/13 | | | (47,359 | ) | | | — | | | | (47,359 | ) |
JPMorgan Chase Bank | | | 06/20/14 | | | | 4,150 | | | | 5.000% | | | SLM Corp.,
5.125%, due 08/27/12 | | | (352,012 | ) | | | 561,744 | | | | (913,756 | ) |
JPMorgan Chase Bank | | | 09/20/16 | | | | 4,750 | | | | 1.000% | | | R.R. Donnelley & Sons Co.,
4.950%, due 04/01/14 | | | 340,756 | | | | 483,145 | | | | (142,389 | ) |
JPMorgan Chase Bank | | | 09/20/19 | | | | 4,400 | | | | 1.000% | | | Westvaco Corp.,
7.950%, due 02/15/31 | | | 276,169 | | | | 75,508 | | | | 200,661 | |
Merrill Lynch Capital Services, Inc. | | | 09/20/16 | | | | 1,000 | | | | 1.730% | | | Tyson Foods, Inc.,
7.350%, due 04/01/16 | | | 6,659 | | | | — | | | | 6,659 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | (656,328 | ) | | $ | 1,978,665 | | | $ | (2,634,993 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#(2)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Depreciation
| |
Credit Default Swaps on Credit Indices—Buy Protection(1): | |
Deutsche Bank AG | | | 12/20/15 | | | $ | 35,000 | | | | 1.000% | | | CDX.NA.IG.15.V1,
0.000%, due 12/20/15 | | $ | (255,260 | ) | | $ | (29,288 | ) | | $ | (225,972 | ) |
Morgan Stanley Capital Services, Inc. | | | 06/20/13 | | | EUR | 3,700 | | | | 1.650% | | | Itraxx Euro,
0.000%, due 06/20/13 | | | (108,425 | ) | | | (85,407 | ) | | | (23,018 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | (363,685 | ) | | $ | (114,695 | ) | | $ | (248,990 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (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) | 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. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities | | $ | — | | | $ | 64,191,267 | | | $ | 55,732,296 | |
Residential Mortgage-Backed Securities | | | — | | | | 73,674,839 | | | | — | |
Bank Loans | | | — | | | | 32,208,095 | | | | 7,221,737 | |
Collateralized Mortgage Obligations | | | — | | | | 4,574,738 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 265,430,737 | | | | — | |
Corporate Bonds | | | — | | | | 657,911,470 | | | | — | |
Foreign Agencies | | | — | | | | 25,408,740 | | | | — | |
Municipal Bonds | | | — | | | | 15,608,741 | | | | — | |
Sovereigns | | | — | | | | 32,881,804 | | | | 1,185,799 | |
U.S. Government Mortgage-Backed Securities | | | — | | | | 127,726,083 | | | | — | |
U.S. Government Treasury Securities | | | — | | | | 31,983,421 | | | | — | |
Preferred Stock | | | 1,210,950 | | | | — | | | | — | |
Affiliated Mutual Funds | | | 226,116,412 | | | | — | | | | — | |
Purchased Option | | | 1,742,187 | | | | — | | | | — | |
Written Option | | | (218,750 | ) | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | (512,181 | ) | | | — | | | | — | |
Forward Currency Contracts | | | — | | | | 2,142,352 | | | | — | |
Interest Rate Swap Agreements | | | — | | | | 258,038 | | | | — | |
Credit Default Swap Agreements | | | — | | | | (2,836,624 | ) | | | (47,359 | ) |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 228,338,618 | | | $ | 1,331,163,701 | | | $ | 64,092,473 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | |
| | | Non-Residential
Mortgage-Backed
Securities
| | | Bank
Loans
| | | Sovereigns
| | | Credit
Default
Swaps
| |
Balance as of 12/31/09 | | $ | 3,372,924 | | | $ | — | | | $ | — | | | $ | 23,916 | |
Realized gain (loss) | | | (5,626 | ) | | | — | | | | — | | | | — | ** |
Change in unrealized appreciation (depreciation)*** | | | 411,077 | | | | 626,384 | | | | 2,921 | | | | (22,304 | ) |
Purchases | | | 41,229,397 | | | | — | | | | — | | | | — | |
Sales | | | (4,231,197 | ) | | | (859,773 | ) | | | (125,121 | ) | | | — | |
Accrued discount/premium | | | 165,927 | | | | — | | | | 50,307 | | | | — | |
Transfers into Level 3 | | | 14,789,794 | | | | 7,455,126 | | | | 1,257,692 | | | | (48,971 | ) |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Balance as of 12/31/10 | | $ | 55,732,296 | | | $ | 7,221,737 | | | $ | 1,185,799 | | | $ | (47,359 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| ** | The realized gain incurred during the period for other financial instruments was $10,466. |
| *** | Of which, $1,041,994 was included in Net Assets relating to securities held at the reporting period end. |
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, there were 5 non-residential mortgage-backed securities, 4 bank loans, 1 sovereign security and 1 credit default swap transferred from Level 2 into Level 3 as a result of using a single broker quote.
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Commercial Mortgage-Backed Securities | | | 17.4 | % |
Affiliated Mutual Funds (including 2.9% of collateral received for securities on loan) | | | 14.9 | |
U.S. Government Mortgage-Backed Securities | | | 8.4 | |
Non-Residential Mortgage-Backed Securities | | | 7.9 | |
Banking | | | 6.0 | |
Residential Mortgage-Backed Securities | | | 4.8 | |
Media & Entertainment | | | 4.2 | |
Electric | | | 3.3 | |
Non-Captive Finance | | | 3.2 | |
Insurance | | | 2.8 | |
Cable | | | 2.6 | |
Technology | | | 2.4 | |
Sovereigns | | | 2.2 | |
Metals | | | 2.1 | |
U.S. Government Treasury Securities | | | 2.1 | |
Telecommunications | | | 2.0 | |
Foods | | | 1.9 | |
Foreign Agencies | | | 1.7 | |
Healthcare & Pharmaceutical | | | 1.7 | |
Chemicals | | | 1.2 | |
Paper | | | 1.2 | |
| | | | |
Retailers | | | 1.2 | % |
Capital Goods | | | 1.1 | |
Healthcare Insurance | | | 1.1 | |
Real Estate Investment Trusts | | | 1.1 | |
Municipal Bonds | | | 1.0 | |
Lodging | | | 0.9 | |
Gaming | | | 0.8 | |
Building Materials & Construction | | | 0.7 | |
Packaging | | | 0.7 | |
Airlines | | | 0.6 | |
Energy – Integrated | | | 0.6 | |
Energy – Other | | | 0.6 | |
Consumer | | | 0.5 | |
Tobacco | | | 0.4 | |
Aerospace & Defense | | | 0.3 | |
Automotive | | | 0.3 | |
Collateralized Mortgage Obligations | | | 0.3 | |
Pipelines & Other | | | 0.3 | |
Purchased Option | | | 0.1 | |
Railroads | | | 0.1 | |
| | |
|
|
|
| | | | 106.7 | |
Liabilities in excess of other assets | | | (6.7 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | | | |
Derivatives not designated as
hedging instruments, carried at
fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Credit contracts | | | Premium paid for swap agreements | | | $ | 2,191,870 | | | Premium received for swap agreements | | $ | 327,900 | |
Credit contracts | |
| Unrealized appreciation on
swap agreements |
| | | 365,574 | | | Unrealized depreciation on swap agreements | | | 3,249,557 | |
Foreign exchange contracts | |
| Unrealized appreciation on forward
currency contracts |
| | | 3,098,690 | | | Unrealized depreciation on forward currency contracts | | | 956,338 | |
Interest rate contracts | | | Due from broker-variation margin | | | | 295,726 | * | | Due from broker-variation margin | | | 807,907 | * |
Interest rate contracts | |
| Unrealized appreciation on
swap agreements |
| | | 268,355 | | | Unrealized depreciation on swap agreements | | | 10,317 | |
Interest rate contracts | | | Unaffiliated investments | | | | 1,742,187 | | | Written options outstanding, at value | | | 218,750 | |
| | | | | | |
|
|
| | | |
|
|
|
Total | | | | | | $ | 7,962,402 | | | | | $ | 5,570,769 | |
| | | | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | | | | Purchased
Options
| | | Futures
| | | Forward
Currency
Contracts
| | | Swaps
| | | Total
| |
Credit contracts | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,602,007 | ) | | $ | (2,602,007 | ) |
Foreign exchange contracts | | | | | | | — | | | | — | | | | 571,855 | | | | — | | | | 571,855 | |
Interest rate contracts | | | | | | | (1,795,484 | ) | | | 12,031,095 | | | | — | | | | (266,379 | ) | | | 9,969,232 | |
| | | | | | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | | | | | $ | (1,795,484 | ) | | $ | 12,031,095 | | | $ | 571,855 | | | $ | (2,868,386 | ) | | $ | 7,939,080 | |
| | | | | | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Purchased
Options
| | | Written
Options
| | | Futures
| | | Forward
Currency
Contracts
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 542,686 | | | $ | 542,686 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | 2,264,556 | | | | — | | | | 2,264,556 | |
Interest rate contracts | | | 53,547 | | | | 1,287,923 | | | | 797,512 | | | | — | | | | 967,210 | | | | 3,106,192 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 53,547 | | | $ | 1,287,923 | | | $ | 797,512 | | | $ | 2,264,556 | | | $ | 1,509,896 | | | $ | 5,913,434 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
For the year ended December 31, 2010, the Portfolio’s average volume of derivative activities is as follows:
| | | | | | |
Purchased Options
(Cost)
| | Written Options
(Premium Received)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
|
| $387,892 | | $301,335 | | $316,461,529 | | $32,088,692 |
| | | | | | | | |
Forward Currency
Contracts—Purchased
(Value at Settlement
Date Payable)
| | Forward Currency
Contracts—Sold
(Value at Settlement
Date Receivable)
| | Interest Rate Swaps
(Notional Amount in USD (000))
| | Credit Default
Swaps as Buyer
(Notional Amount in USD (000))
| | Credit Default Swaps as Writer (Notional Amount in USD (000))
|
| $94,156,353 | | $35,524,065 | | $47,724 | | $95,152 | | $668 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $42,747,647: | | | | |
Unaffiliated investments (cost $1,328,604,680) | | $ | 1,398,692,904 | |
Affiliated investments (cost $241,137,826) | | | 226,116,412 | |
Cash | | | 772,387 | |
Receivable for investments sold | | | 21,996,523 | |
Dividends and interest receivable | | | 14,616,598 | |
Unrealized appreciation on forward currency contracts | | | 3,098,690 | |
Premium paid for swap agreements | | | 2,191,870 | |
Due from broker-variation margin | | | 1,070,076 | |
Unrealized appreciation on swap agreements | | | 633,929 | |
Receivable for Series shares sold | | | 29,748 | |
Prepaid expenses | | | 11,771 | |
| | |
|
|
|
Total Assets | | | 1,669,230,908 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 96,788,542 | |
Collateral for securities on loan | | | 43,659,093 | |
Unrealized depreciation on swap agreements | | | 3,259,874 | |
Unrealized depreciation on forward currency contracts | | | 956,338 | |
Management fee payable | | | 516,183 | |
Accrued expenses and other liabilities | | | 489,855 | |
Premium received for swap agreements | | | 327,900 | |
Written options outstanding, at value (premium received $1,506,673) | | | 218,750 | |
Payable for Series shares repurchased | | | 82,737 | |
Deferred trustees’ fees | | | 5,162 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 146,305,311 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,522,925,597 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,424,504,061 | |
Retained earnings | | | 98,421,536 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 1,522,925,597 | |
| | |
|
|
|
Net asset value and redemption price per share, $1,522,925,597 / 130,470,354 outstanding shares of beneficial interest | | $ | 11.67 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Interest | | $ | 69,905,356 | |
Affiliated dividend income | | | 2,072,506 | |
Affiliated income from securities loaned, net | | | 90,743 | |
| | |
|
|
|
| | | | 72,068,605 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 5,860,206 | |
Shareholders’ reports | | | 465,000 | |
Custodian’s fees and expenses | | | 263,000 | �� |
Audit fee | | | 36,000 | |
Trustees’ fees | | | 23,000 | |
Insurance expenses | | | 21,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Legal fees and expenses | | | 10,000 | |
Commitment fee on syndicated credit agreement | | | 8,000 | |
Miscellaneous | | | 10,085 | |
| | |
|
|
|
Total expenses | | | 6,707,291 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 65,361,314 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 25,800,686 | |
Futures transactions | | | 12,031,095 | |
Swap agreement transactions | | | (2,868,386 | ) |
Foreign currency transactions | | | 381,424 | |
| | |
|
|
|
| | | | 35,344,819 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $7,159,308) | | | 38,534,644 | |
Futures | | | 797,512 | |
Swap agreements | | | 1,509,896 | |
Foreign currencies | | | 2,258,700 | |
Written Options | | | 1,287,923 | |
| | |
|
|
|
| | | | 44,388,675 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | 79,733,494 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 145,094,808 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 65,361,314 | | | $ | 57,625,062 | |
Net realized gain on investments, swaps and foreign currencies | | | 35,344,819 | | | | 18,310,042 | |
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | | | 44,388,675 | | | | 148,179,774 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 145,094,808 | | | | 224,114,878 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (80,204,850 | ) | | | (77,854,926 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [10,945,584 and 10,352,324 shares, respectively] | | | 126,200,132 | | | | 113,677,834 | |
Series shares issued in reinvestment of distributions [7,014,688 and 7,526,024 shares, respectively] | | | 80,204,850 | | | | 77,854,926 | |
Series shares repurchased [9,638,967 and 10,529,843 shares, respectively] | | | (111,838,362 | ) | | | (109,159,405 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 94,566,620 | | | | 82,373,355 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 159,456,578 | | | | 228,633,307 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,363,469,019 | | | | 1,134,835,712 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,522,925,597 | | | $ | 1,363,469,019 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| | | | | | |
| | | EQUITY PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.1% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 2.1% | | | | | | | | |
Precision Castparts Corp. | | | 264,457 | | | $ | 36,815,059 | |
United Technologies Corp. | | | 411,599 | | | | 32,401,073 | |
| | | | | | |
|
|
|
| | | | | | | | 69,216,132 | |
| | | | | | |
|
|
|
Auto Components — 1.2% | | | | | | | | |
Lear Corp.* | | | 406,341 | | | | 40,109,920 | |
| | | | | | |
|
|
|
Beverages — 0.9% | | | | | | | | |
Anheuser-Busch InBev NV, ADR (Belgium) | | | 528,337 | | | | 30,162,759 | |
| | | | | | |
|
|
|
Biotechnology — 1.0% | | | | | | | | |
Celgene Corp.* | | | 554,129 | | | | 32,771,189 | |
| | | | | | |
|
|
|
Capital Markets — 4.4% | | | | | | | | |
Bank of New York Mellon Corp. (The) | | | 1,194,178 | | | | 36,064,176 | |
Goldman Sachs Group, Inc. (The) | | | 293,746 | | | | 49,396,327 | |
Morgan Stanley | | | 1,228,800 | | | | 33,435,648 | |
TD Ameritrade Holding Corp.(a) | | | 1,466,600 | | | | 27,850,734 | |
| | | | | | |
|
|
|
| | | | | | | | 146,746,885 | |
| | | | | | |
|
|
|
Chemicals — 1.6% | | | | | | | | |
Dow Chemical Co. (The) | | | 1,123,600 | | | | 38,359,704 | |
Monsanto Co. | | | 227,889 | | | | 15,870,190 | |
| | | | | | |
|
|
|
| | | | | | | | 54,229,894 | |
| | | | | | |
|
|
|
Commercial Banks — 1.2% | | | | | | | | |
Wells Fargo & Co. | | | 1,303,960 | | | | 40,409,720 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 1.0% | | | | | |
Waste Management, Inc. | | | 934,681 | | | | 34,461,689 | |
| | | | | | |
|
|
|
Communications Equipment — 3.6% | | | | | |
Cisco Systems, Inc.* | | | 1,130,378 | | | | 22,867,547 | |
Juniper Networks, Inc.* | | | 1,232,248 | | | | 45,494,596 | |
QUALCOMM, Inc. | | | 1,007,273 | | | | 49,849,941 | |
| | | | | | |
|
|
|
| | | | | | | | 118,212,084 | |
| | | | | | |
|
|
|
Computers & Peripherals — 5.1% | | | | | | | | |
Apple, Inc.* | | | 293,427 | | | | 94,647,813 | |
Hewlett-Packard Co. | | | 364,137 | | | | 15,330,168 | |
NetApp, Inc.* | | | 1,091,661 | | | | 59,997,688 | |
| | | | | | |
|
|
|
| | | | | | | | 169,975,669 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 1.5% | | | | | |
Apollo Group, Inc. (Class A Stock)* | | | 542,950 | | | | 21,441,095 | |
H&R Block, Inc. | | | 2,389,157 | | | | 28,454,860 | |
| | | | | | |
|
|
|
| | | | | | | | 49,895,955 | |
| | | | | | |
|
|
|
Diversified Financial Services — 1.9% | | | | | |
JPMorgan Chase & Co. | | | 829,000 | | | | 35,166,180 | |
Moody’s Corp.(a) | | | 1,071,210 | | | | 28,429,914 | |
| | | | | | |
|
|
|
| | | | | | | | 63,596,094 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 1.6% | | | | | |
Flextronics International Ltd. (Singapore)* | | | 6,579,992 | | | | 51,652,937 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 4.2% | | | | | |
Halliburton Co. | | | 798,363 | | | | 32,597,161 | |
National Oilwell Varco, Inc. | | | 521,470 | | | | 35,068,858 | |
Schlumberger Ltd. (Netherlands) | | | 844,491 | | | | 70,514,998 | |
| | | | | | |
|
|
|
| | | | | | | | 138,181,017 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Food & Staples Retailing — 2.1% | | | | | | | | |
Costco Wholesale Corp. | | | 492,163 | | | $ | 35,539,090 | |
CVS Caremark Corp. | | | 1,009,198 | | | | 35,089,815 | |
| | | | | | |
|
|
|
| | | | | | | | 70,628,905 | |
| | | | | | |
|
|
|
Food Products — 5.7% | | | | | | | | |
Bunge Ltd. (Bermuda)(a) | | | 633,757 | | | | 41,523,759 | |
ConAgra Foods, Inc. | | | 1,267,367 | | | | 28,617,147 | |
Kraft Foods, Inc. (Class A Stock) | | | 1,073,169 | | | | 33,815,555 | |
Mead Johnson Nutrition Co. | | | 535,430 | | | | 33,330,518 | |
Smithfield Foods, Inc.* | | | 1,078,723 | | | | 22,254,055 | |
Tyson Foods, Inc. (Class A Stock)(a) | | | 1,819,256 | | | | 31,327,588 | |
| | | | | | |
|
|
|
| | | | | | | | 190,868,622 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.1% | | | | | |
Express Scripts, Inc.* | | | 682,307 | | | | 36,878,693 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 0.9% | | | | | |
McDonald��s Corp. | | | 368,405 | | | | 28,278,768 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 1.0% | |
Calpine Corp.* | | | 2,454,230 | | | | 32,739,428 | |
| | | | | | |
|
|
|
Insurance — 1.0% | | | | | | | | |
MetLife, Inc. | | | 721,052 | | | | 32,043,551 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 2.3% | | | | | | | | |
Amazon.com, Inc.* | | | 428,181 | | | | 77,072,580 | |
| | | | | | |
|
|
|
Internet Software & Services — 4.0% | | | | | | | | |
Baidu, Inc., ADR (Cayman Islands)* | | | 452,330 | | | | 43,663,415 | |
Google, Inc. (Class A Stock)* | | | 106,685 | | | | 63,367,689 | |
IAC/InterActiveCorp* | | | 926,251 | | | | 26,583,404 | |
| | | | | | |
|
|
|
| | | | | | | | 133,614,508 | |
| | | | | | |
|
|
|
IT Services — 3.7% | | | | | | | | |
International Business Machines Corp. | | | 406,216 | | | | 59,616,260 | |
MasterCard, Inc. (Class A Stock) | | | 161,695 | | | | 36,237,467 | |
Visa, Inc. (Class A Stock) | | | 381,774 | | | | 26,869,254 | |
| | | | | | |
|
|
|
| | | | | | | | 122,722,981 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 1.1% | | | | | |
Agilent Technologies, Inc.* | | | 883,167 | | | | 36,589,609 | |
| | | | | | |
|
|
|
Machinery — 1.8% | | | | | | | | |
Ingersoll-Rand PLC (Ireland) | | | 1,301,908 | | | | 61,306,848 | |
| | | | | | |
|
|
|
Media — 5.1% | | | | | | | | |
Comcast Corp. (Class A Stock) | | | 1,976,764 | | | | 43,429,505 | |
Liberty Global, Inc. (Class C Stock)*(a) | | | 932,945 | | | | 31,617,506 | |
Viacom, Inc. (Class B Stock) | | | 1,062,600 | | | | 42,089,586 | |
Walt Disney Co. (The) | | | 1,401,166 | | | | 52,557,737 | |
| | | | | | |
|
|
|
| | | | | | | | 169,694,334 | |
| | | | | | |
|
|
|
Metals & Mining — 3.1% | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc. | | | 420,360 | | | | 50,481,032 | |
Goldcorp, Inc. (Canada) | | | 351,066 | | | | 16,142,015 | |
Kinross Gold Corp. (Canada)(a) | | | 1,983,500 | | | | 37,607,160 | |
| | | | | | |
|
|
|
| | | | | | | | 104,230,207 | |
| | | | | | |
|
|
|
Multi-Utilities — 1.0% | | | | | | | | |
CenterPoint Energy, Inc. | | | 974,199 | | | | 15,314,408 | |
Sempra Energy | | | 322,446 | | | | 16,921,966 | |
| | | | | | |
|
|
|
| | | | | | | | 32,236,374 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Multiline Retail — 1.6% | | | | | | | | |
Dollar General Corp.*(a) | | | 971,523 | | | $ | 29,796,610 | |
Target Corp. | | | 414,197 | | | | 24,905,666 | |
| | | | | | |
|
|
|
| | | | | | | | 54,702,276 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 11.8% | | | | | | | | |
Anadarko Petroleum Corp. | | | 594,467 | | | | 45,274,607 | |
Apache Corp. | | | 628,005 | | | | 74,877,036 | |
Canadian Natural Resources Ltd. (Canada) | | | 939,000 | | | | 41,710,380 | |
Hess Corp. | | | 333,873 | | | | 25,554,639 | |
Noble Energy, Inc. | | | 476,967 | | | | 41,057,319 | |
Occidental Petroleum Corp. | | | 971,479 | | | | 95,302,090 | |
Southwestern Energy Co.* | | | 819,620 | | | | 30,678,377 | |
Suncor Energy, Inc. (XNYS) (Canada) | | | 44,678 | | | | 1,710,721 | |
Suncor Energy, Inc. (XTSE) (Canada) | | | 933,474 | | | | 35,938,233 | |
| | | | | | |
|
|
|
| | | | | | | | 392,103,402 | |
| | | | | | |
|
|
|
Personal Products — 0.2% | | | | | | | | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 69,121 | | | | 5,578,065 | |
| | | | | | |
|
|
|
Pharmaceuticals — 5.8% | | | | | | | | |
Allergan, Inc. | | | 458,075 | | | | 31,456,010 | |
Merck & Co., Inc. | | | 881,947 | | | | 31,785,370 | |
Pfizer, Inc. | | | 1,798,734 | | | | 31,495,832 | |
Shire PLC, ADR (United Kingdom)(a) | | | 440,852 | | | | 31,908,868 | |
Teva Pharmaceutical Industries Ltd., ADR (Israel) | | | 1,275,532 | | | | 66,493,483 | |
| | | | | | |
|
|
|
| | | | | | | | 193,139,563 | |
| | | | | | |
|
|
|
Road & Rail — 0.8% | | | | | | | | |
CSX Corp. | | | 397,824 | | | | 25,703,409 | |
| | | | | | |
|
|
|
Software — 7.0% | | | | | | | | |
CA, Inc. | | | 2,123,100 | | | | 51,888,564 | |
Oracle Corp. | | | 1,662,132 | | | | 52,024,732 | |
Red Hat, Inc.* | | | 353,993 | | | | 16,159,780 | |
Salesforce.com, Inc.* | | | 208,317 | | | | 27,497,844 | |
Symantec Corp.* | | | 1,361,694 | | | | 22,794,757 | |
VMware, Inc. (Class A Stock)*(a) | | | 686,038 | | | | 60,995,639 | |
| | | | | | |
|
|
|
| | | | | | | | 231,361,316 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 3.8% | | | | | |
Coach, Inc. | | | 708,587 | | | | 39,191,947 | |
NIKE, Inc. (Class B Stock)(a) | | | 595,752 | | | | 50,889,136 | |
Polo Ralph Lauren Corp. | | | 330,109 | | | | 36,615,690 | |
| | | | | | |
|
|
|
| | | | | | | | 126,696,773 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.9% | | | | | |
NII Holdings, Inc.* | | | 676,990 | | | | 30,234,373 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $2,403,284,111) | | | | 3,228,046,529 | |
| | | | | | |
|
|
|
| | | | | | | | |
| SHORT-TERM INVESTMENT — 10.1% | |
| | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
AFFILIATED MONEY MARKET MUTUAL FUND | | | | | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $336,040,976; includes $190,158,833 of cash collateral for securities on loan)(b)(w)(Note 4) | | | 336,040,976 | | | $ | 336,040,976 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 107.2%
(cost $2,739,325,087) | | | | 3,564,087,505 | |
LIABILITIES IN EXCESS
OF OTHER ASSETS — (7.2)% | | | | (237,842,061 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 3,326,245,444 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| XNYS | | New York Stock Exchange |
| XTSE | | Toronto Stock Exchange |
| * | 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 $185,041,941; cash collateral of $190,158,833 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2— | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 3,228,046,529 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 336,040,976 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 3,564,087,505 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 11.8 | % |
Affiliated Money Market Mutual Fund (5.7% represents investments purchased with collateral from securities on loan) | | | 10.1 | |
Software | �� | | 7.0 | |
Pharmaceuticals | | | 5.8 | |
Food Products | | | 5.7 | |
Computers & Peripherals | | | 5.1 | |
Media | | | 5.1 | |
Capital Markets | | | 4.4 | |
Energy Equipment & Services | | | 4.2 | |
Internet Software & Services | | | 4.0 | |
Textiles, Apparel & Luxury Goods | | | 3.8 | |
IT Services | | | 3.7 | |
Communications Equipment | | | 3.6 | |
Metals & Mining | | | 3.1 | |
Internet & Catalog Retail | | | 2.3 | |
Food & Staples Retailing | | | 2.1 | |
Aerospace & Defense | | | 2.1 | |
Diversified Financial Services | | | 1.9 | |
| | | | |
Machinery | | | 1.8 | % |
Multiline Retail | | | 1.6 | |
Chemicals | | | 1.6 | |
Electronic Equipment & Instruments | | | 1.6 | |
Diversified Consumer Services | | | 1.5 | |
Commercial Banks | | | 1.2 | |
Auto Components | | | 1.2 | |
Healthcare Providers & Services | | | 1.1 | |
Life Sciences Tools & Services | | | 1.1 | |
Commercial Services & Supplies | | | 1.0 | |
Biotechnology | | | 1.0 | |
Independent Power Producers & Energy Traders | | | 1.0 | |
Multi-Utilities | | | 1.0 | |
Insurance | | | 1.0 | |
Wireless Telecommunication Services | | | 0.9 | |
Beverages | | | 0.9 | |
Hotels, Restaurants & Leisure | | | 0.9 | |
Road & Rail | | | 0.8 | |
Personal Products | | | 0.2 | |
| | |
|
|
|
| | | | 107.2 | |
Liabilities in excess of other assets | | | (7.2 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $185,041,941: | | | | |
Unaffiliated investments (cost $2,403,284,111) | | $ | 3,228,046,529 | |
Affiliated investments (cost $336,040,976) | | | 336,040,976 | |
Receivable for investments sold | | | 8,485,902 | |
Dividends receivable | | | 2,873,499 | |
Receivable for Series shares sold | | | 357,251 | |
Prepaid expenses | | | 23,169 | |
| | |
|
|
|
Total Assets | | | 3,575,827,326 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 190,158,833 | |
Payable for investments purchased | | | 35,877,897 | |
Payable to custodian | | | 21,147,812 | |
Management fee payable | | | 1,258,979 | |
Payable for Series shares repurchased | | | 675,856 | |
Accrued expenses and other liabilities | | | 459,597 | |
Deferred trustees’ fees | | | 1,383 | |
Affiliated transfer agent fees payable | | | 877 | |
Distribution fee payable | | | 405 | |
Administration fee payable | | | 243 | |
| | |
|
|
|
Total Liabilities | | | 249,581,882 | |
| | |
|
|
|
| NET ASSETS | | $ | 3,326,245,444 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 3,037,896,604 | |
Retained earnings | | | 288,348,840 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 3,326,245,444 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $3,324,318,127 / 134,292,349 outstanding shares of beneficial interest | | $ | 24.75 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $1,927,317 / 77,103 outstanding shares of beneficial interest | | $ | 25.00 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $692,993 foreign withholding tax) | | $ | 36,641,809 | |
Affiliated income from securities lending, net | | | 255,403 | |
Affiliated dividend income | | | 148,700 | |
| | |
|
|
|
| | | | 37,045,912 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 13,942,678 | |
Distribution fee—Class II | | | 2,947 | |
Administration fee—Class II | | | 1,768 | |
Shareholders’ reports | | | 449,000 | |
Custodian’s fees and expenses | | | 369,000 | |
Insurance expenses | | | 41,000 | |
Trustees’ fees | | | 40,000 | |
Audit fee | | | 22,000 | |
Legal fees and expenses | | | 20,000 | |
Commitment fee on syndicated credit agreement | | | 13,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Loan interest expense (Note 8) | | | 56 | |
Miscellaneous | | | 19,309 | |
| | |
|
|
|
Total expenses | | | 14,931,758 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 22,114,154 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 255,885,652 | |
Foreign currency transactions | | | (58,887 | ) |
| | |
|
|
|
| | | | 255,826,765 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 77,325,347 | |
Foreign currencies | | | 997 | |
| | |
|
|
|
| | | | 77,326,344 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 333,153,109 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 355,267,263 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | | | | | | | | |
Net investment income | | $ | 22,114,154 | | | $ | 24,402,578 | |
Net realized gain (loss) on investment and foreign currency transactions | | | 255,826,765 | | | | (317,134,966 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 77,326,344 | | | | 1,193,067,370 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 355,267,263 | | | | 900,334,982 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | | | | | | |
Class I | | | (24,392,657 | ) | | | (43,394,722 | ) |
Class II | | | (1,854 | ) | | | (3,037 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DISTRIBUTIONS | | | (24,394,511 | ) | | | (43,397,759 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (NOTE 7): | | | | | | | | |
Series shares sold | | | 22,052,724 | | | | 26,713,318 | |
Series shares issued in reinvestment of distributions | | | 24,394,511 | | | | 43,397,759 | |
Series shares repurchased | | | (246,614,547 | ) | | | (252,864,006 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (200,167,312 | ) | | | (182,752,929 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 130,705,440 | | | | 674,184,294 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 3,195,540,004 | | | | 2,521,355,710 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 3,326,245,444 | | | $ | 3,195,540,004 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 94.8% | | | | |
| COMMON STOCKS — 64.7% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 1.3% | | | | | | | | |
BAE Systems PLC
(United Kingdom) | | | 29,133 | | | $ | 149,889 | |
General Dynamics Corp. | | | 159,900 | | | | 11,346,504 | |
HEICO Corp. | | | 5,000 | | | | 255,150 | |
Honeywell International, Inc. | | | 147,800 | | | | 7,857,048 | |
ITT Corp. | | | 15,100 | | | | 786,861 | |
L-3 Communications Holdings, Inc. | | | 24,100 | | | | 1,698,809 | |
Northrop Grumman Corp. | | | 79,200 | | | | 5,130,576 | |
Raytheon Co. | | | 164,100 | | | | 7,604,394 | |
Safran SA (France) | | | 3,415 | | | | 120,933 | |
United Technologies Corp. | | | 51,000 | | | | 4,014,720 | |
| | | | | | |
|
|
|
| | | | | | | | 38,964,884 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.6% | | | | | | | | |
Atlas Air Worldwide Holdings, Inc.(a) | | | 15,000 | | | | 837,450 | |
FedEx Corp. | | | 41,300 | | | | 3,841,313 | |
United Parcel Service, Inc.
(Class B Stock) | | | 193,100 | | | | 14,015,198 | |
| | | | | | |
|
|
|
| | | | | | | | 18,693,961 | |
| | | | | | |
|
|
|
Airlines | | | | | | | | |
Cathay Pacific Airways Ltd. (Hong Kong) | | | 26,000 | | | | 71,750 | |
Deutsche Lufthansa AG (Germany)(a) | | | 803 | | | | 17,550 | |
Qantas Airways Ltd. (Australia)(a) | | | 9,425 | | | | 24,485 | |
Singapore Airlines Ltd. (Singapore) | | | 6,000 | | | | 71,532 | |
| | | | | | |
|
|
|
| | | | | | | | 185,317 | |
| | | | | | |
|
|
|
Auto Components — 0.6% | | | | | | | | |
Johnson Controls, Inc. | | | 361,500 | | | | 13,809,300 | |
Toyota Industries Corp. (Japan) | | | 200 | | | | 6,210 | |
TRW Automotive Holdings Corp.(a) | | | 94,800 | | | | 4,995,960 | |
| | | | | | |
|
|
|
| | | | | | | | 18,811,470 | |
| | | | | | |
|
|
|
Automobiles — 0.1% | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 725 | | | | 57,015 | |
Daimler AG (Germany)(a) | | | 2,116 | | | | 143,446 | |
Fiat SpA (Italy) | | | 212 | | | | 4,371 | |
Fuji Heavy Industries Ltd. (Japan) | | | 9,000 | | | | 69,836 | |
Honda Motor Co. Ltd. (Japan) | | | 3,200 | | | | 126,715 | |
Isuzu Motors Ltd. (Japan) | | | 7,000 | | | | 31,814 | |
Nissan Motor Co. Ltd. (Japan) | | | 9,700 | | | | 92,353 | |
Peugeot SA (France)(a) | | | 1,218 | | | | 46,241 | |
Renault SA (France)(a) | | | 849 | | | | 49,352 | |
Thor Industries, Inc. | | | 47,600 | | | | 1,616,496 | |
Toyota Motor Corp. (Japan) | | | 1,800 | | | | 71,388 | |
Volkswagen AG (Germany) | | | 54 | | | | 7,642 | |
| | | | | | |
|
|
|
| | | | | | | | 2,316,669 | |
| | | | | | |
|
|
|
Beverages — 1.7% | | | | | | | | |
Anheuser-Busch InBev NV (Belgium) | | | 999 | | | | 57,137 | |
Asahi Breweries Ltd. (Japan) | | | 1,000 | | | | 19,374 | |
Coca-Cola Co. (The) | | | 407,400 | | | | 26,794,698 | |
Coca-Cola Enterprises, Inc. | | | 54,200 | | | | 1,356,626 | |
Coca-Cola West Co. Ltd. (Japan) | | | 4,800 | | | | 86,966 | |
Diageo PLC (United Kingdom) | | | 4,395 | | | | 81,198 | |
Dr Pepper Snapple Group, Inc. | | | 59,400 | | | | 2,088,504 | |
Heineken Holding NV (Netherlands) | | | 886 | | | | 38,509 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Beverages (continued) | | | | | | | | |
Molson Coors Brewing Co.
(Class B Stock) | | | 102,600 | | | $ | 5,149,494 | |
PepsiCo, Inc. | | | 256,920 | | | | 16,784,584 | |
| | | | | | |
|
|
|
| | | | | | | | 52,457,090 | |
| | | | | | |
|
|
|
Biotechnology — 0.6% | | | | | | | | |
Amgen, Inc.(a) | | | 97,508 | | | | 5,353,189 | |
Biogen Idec, Inc.(a) | | | 27,900 | | | | 1,870,695 | |
Celgene Corp.(a) | | | 181,800 | | | | 10,751,652 | |
| | | | | | |
|
|
|
| | | | | | | | 17,975,536 | |
| | | | | | |
|
|
|
Building Products | | | | | | | | |
Asahi Glass Co. Ltd. (Japan) | | | 3,000 | | | | 35,066 | |
Geberit AG (Switzerland) | | | 117 | | | | 27,054 | |
| | | | | | |
|
|
|
| | | | | | | | 62,120 | |
| | | | | | |
|
|
|
Capital Markets — 1.2% | | | | | | | | |
3i Group PLC (United Kingdom) | | | 14,120 | | | | 72,317 | |
Ameriprise Financial, Inc. | | | 112,100 | | | | 6,451,355 | |
Bank of New York Mellon Corp. (The) | | | 80,800 | | | | 2,440,160 | |
Credit Suisse Group AG (Switzerland) | | | 2,510 | | | | 101,125 | |
Deutsche Bank AG (Germany) | | | 3,607 | | | | 188,464 | |
Franklin Resources, Inc. | | | 33,300 | | | | 3,703,293 | |
Goldman Sachs Group, Inc. (The) | | | 77,700 | | | | 13,066,032 | |
Macquarie Group Ltd. (Australia) | | | 1,723 | | | | 65,222 | |
Morgan Stanley | | | 352,690 | | | | 9,596,695 | |
TICC Capital Corp. | | | 18,500 | | | | 207,385 | |
| | | | | | |
|
|
|
| | | | | | | | 35,892,048 | |
| | | | | | |
|
|
|
Chemicals — 1.7% | | | | | | | | |
Air Water, Inc. (Japan) | | | 1,000 | | | | 12,773 | |
Albemarle Corp. | | | 25,200 | | | | 1,405,656 | |
Asahi Kasei Corp. (Japan) | | | 15,000 | | | | 97,918 | |
BASF SE (Germany) | | | 2,510 | | | | 200,242 | |
Cabot Corp. | | | 57,700 | | | | 2,172,405 | |
Celanese Corp., Ser. A | | | 124,000 | | | | 5,105,080 | |
CF Industries Holdings, Inc. | | | 53,300 | | | | 7,203,495 | |
Cytec Industries, Inc. | | | 10,200 | | | | 541,212 | |
E.I. du Pont de Nemours & Co.(b) | | | 109,600 | | | | 5,466,848 | |
Ecolab, Inc. | | | 114,200 | | | | 5,757,964 | |
Incitec Pivot Ltd. (Australia) | | | 2,587 | | | | 10,478 | |
International Flavors & Fragrances, Inc. | | | 29,300 | | | | 1,628,787 | |
Israel Chemicals Ltd. (Israel) | | | 1,942 | | | | 33,291 | |
K+S AG (Germany) | | | 1,243 | | | | 93,616 | |
Lanxess AG (Germany) | | | 779 | | | | 61,522 | |
Linde AG (Germany) | | | 174 | | | | 26,402 | |
Lubrizol Corp. | | | 25,300 | | | | 2,704,064 | |
Mitsubishi Chemical Holdings Corp. (Japan) | | | 18,000 | | | | 122,158 | |
Mosaic Co. (The) | | | 71,600 | | | | 5,467,376 | |
Nalco Holding Co. | | | 155,400 | | | | 4,963,476 | |
Novozymes A/S (Denmark) (Class B Stock) | | | 265 | | | | 36,913 | |
PolyOne Corp.(a) | | | 22,200 | | | | 277,278 | |
Praxair, Inc.(b) | | | 91,700 | | | | 8,754,599 | |
Teijin Ltd. (Japan) | | | 3,000 | | | | 12,822 | |
Ube Industries Ltd. (Japan) | | | 2,000 | | | | 6,011 | |
Yara International ASA (Norway) | | | 1,593 | | | | 92,139 | |
| | | | | | |
|
|
|
| | | | | | | | 52,254,525 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Commercial Banks — 2.1% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | 7,578 | | | $ | 180,980 | |
Banco Bilbao Vizcaya Argentaria SA (Spain) | | | 5,384 | | | | 54,392 | |
Banco Santander SA (Spain) | | | 10,214 | | | | 108,210 | |
Bank of Cyprus Public Co. Ltd. (Cyprus) | | | 2,154 | | | | 7,426 | |
Barclays PLC (United Kingdom) | | | 45,693 | | | | 186,398 | |
Bendigo and Adelaide Bank Ltd. (Australia) | | | 5,887 | | | | 59,911 | |
BNP Paribas (France) | | | 3,108 | | | | 197,736 | |
Chiba Bank Ltd. (The) (Japan) | | | 4,000 | | | | 26,013 | |
Chuo Mitsui Trust Holdings, Inc. (Japan) | | | 17,000 | | | | 70,563 | |
Commonwealth Bank of Australia (Australia) | | | 2,023 | | | | 105,049 | |
Dexia SA (Belgium)(a) | | | 1,732 | | | | 6,018 | |
DnB NOR ASA (Norway) | | | 3,691 | | | | 51,806 | |
Fifth Third Bancorp | | | 27,300 | | | | 400,764 | |
Fulton Financial Corp. | | | 179,300 | | | | 1,853,962 | |
Hachijuni Bank, Ltd. (The) (Japan) | | | 6,000 | | | | 33,551 | |
HSBC Holdings PLC (United Kingdom) | | | 20,131 | | | | 204,355 | |
Huntington Bancshares, Inc. | | | 192,200 | | | | 1,320,414 | |
KBC Groep NV (Belgium)(a) | | | 1,796 | | | | 61,200 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | 14,200 | | | | 76,780 | |
Mizuho Financial Group, Inc. (Japan) | | | 43,900 | | | | 82,728 | |
Nordea Bank AB (Sweden) | | | 14,461 | | | | 157,282 | |
PNC Financial Services Group, Inc. | | | 161,100 | | | | 9,781,992 | |
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | | | 12,992 | | | | 108,369 | |
Societe Generale (France) | | | 3,687 | | | | 198,163 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | 6,300 | | | | 224,407 | |
Svenska Handelsbanken AB (Sweden) (Class A Stock) | | | 2,597 | | | | 82,980 | |
Swedbank AB (Sweden) (Class A Stock)(a) | | | 8,287 | | | | 115,576 | |
U.S. Bancorp | | | 441,632 | | | | 11,910,815 | |
Wells Fargo & Co. | | | 1,200,112 | | | | 37,191,471 | |
Westpac Banking Corp. (Australia) | | | 4,204 | | | | 95,500 | |
Yamaguchi Financial Group, Inc. (Japan) | | | 8,000 | | | | 80,995 | |
| | | | | | |
|
|
|
| | | | | | | | 65,035,806 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 0.1% | | | | | |
Avery Dennison Corp. | | | 39,900 | | | | 1,689,366 | |
Brambles Ltd. (Australia) | | | 5,990 | | | | 43,621 | |
Republic Services, Inc. | | | 11,100 | | | | 331,446 | |
RR Donnelley & Sons Co. | | | 101,600 | | | | 1,774,952 | |
Societe BIC SA (France) | | | 191 | | | | 16,417 | |
| | | | | | |
|
|
|
| | | | | | | | 3,855,802 | |
| | | | | | |
|
|
|
Communications Equipment — 1.1% | | | | | | | | |
Acme Packet, Inc.(a) | | | 68,300 | | | | 3,630,828 | |
Cisco Systems, Inc.(a) | | | 582,400 | | | | 11,781,952 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Communications Equipment (continued) | | | | | |
Comtech Telecommunications Corp. | | | 14,600 | | | $ | 404,858 | |
F5 Networks, Inc.(a) | | | 34,400 | | | | 4,477,504 | |
Harris Corp. | | | 127,900 | | | | 5,793,870 | |
Juniper Networks, Inc.(a) | | | 92,500 | | | | 3,415,100 | |
Nokia OYJ (Finland) | | | 4,020 | | | | 41,579 | |
QUALCOMM, Inc. | | | 115,400 | | | | 5,711,146 | |
| | | | | | |
|
|
|
| | | | | | | | 35,256,837 | |
| | | | | | |
|
|
|
Computers & Peripherals — 3.1% | | | | | | | | |
Apple, Inc.(a) | | | 165,300 | | | | 53,319,168 | |
Dell, Inc.(a) | | | 344,800 | | | | 4,672,040 | |
EMC Corp.(a) | | | 495,600 | | | | 11,349,240 | |
Hewlett-Packard Co. | | | 616,865 | | | | 25,970,016 | |
Logitech International SA (Switzerland)(a) | | | 311 | | | | 5,921 | |
Seiko Epson Corp. (Japan) | | | 400 | | | | 7,292 | |
| | | | | | |
|
|
|
| | | | | | | | 95,323,677 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.1% | | | | | | | | |
Balfour Beatty PLC (United Kingdom) | | | 1,773 | | | | 8,649 | |
Chicago Bridge & Iron Co. NV (Netherlands) (Class Y Stock)(a) | | | 17,100 | | | | 562,590 | |
KBR, Inc. | | | 36,600 | | | | 1,115,202 | |
Vinci SA (France) | | | 465 | | | | 25,278 | |
| | | | | | |
|
|
|
| | | | | | | | 1,711,719 | |
| | | | | | |
|
|
|
Construction Materials | | | | | | | | |
Imerys SA (France) | | | 98 | | | | 6,533 | |
| | | | | | |
|
|
|
Consumer Finance — 0.6% | | | | | | | | |
American Express Co. | | | 251,200 | | | | 10,781,504 | |
Capital One Financial Corp. | | | 176,100 | | | | 7,494,816 | |
SLM Corp.(a) | | | 85,700 | | | | 1,078,963 | |
| | | | | | |
|
|
|
| | | | | | | | 19,355,283 | |
| | | | | | |
|
|
|
Containers & Packaging | | | | | | | | |
Rexam PLC (United Kingdom) | | | 21,194 | | | | 109,935 | |
| | | | | | |
|
|
|
Distributors — 0.1% | | | | | | | | |
Genuine Parts Co.(b) | | | 16,200 | | | | 831,708 | |
Jardine Cycle & Carriage Ltd. (Singapore) | | | 1,000 | | | | 28,519 | |
LKQ Corp.(a) | | | 50,400 | | | | 1,145,088 | |
| | | | | | |
|
|
|
| | | | | | | | 2,005,315 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.2% | | | | | | | | |
DeVry, Inc. | | | 37,300 | | | | 1,789,654 | |
H&R Block, Inc. | | | 229,100 | | | | 2,728,581 | |
| | | | | | |
|
|
|
| | | | | | | | 4,518,235 | |
| | | | | | |
|
|
|
Diversified Financial Services — 3.1% | | | | | | | | |
Bank of America Corp. | | | 2,555,082 | | | | 34,084,794 | |
Citigroup, Inc.(a) | | | 4,921,700 | | | | 23,279,641 | |
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) | | | 5,000 | | | | 113,408 | |
ING Groep NV (Netherlands)(a) | | | 19,577 | | | | 190,452 | |
JPMorgan Chase & Co. | | | 887,694 | | | | 37,655,979 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | | | 1,330 | | | | 52,748 | |
ORIX Corp. (Japan) | | | 860 | | | | 84,634 | |
Pohjola Bank PLC (Finland) | | | 1,102 | | | | 13,209 | |
| | | | | | |
|
|
|
| | | | | | | | 95,474,865 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Diversified Telecommunication Services — 2.1% | | | | | |
AboveNet, Inc. | | | 4,600 | | | $ | 268,916 | |
AT&T, Inc. | | | 1,209,647 | | | | 35,539,429 | |
France Telecom SA (France) | | | 4,928 | | | | 102,698 | |
Koninklijke KPN NV (Netherlands) | | | 2,187 | | | | 31,914 | |
Nippon Telegraph & Telephone Corp. (Japan) | | | 3,400 | | | | 153,898 | |
Swisscom AG (Switzerland) | | | 157 | | | | 69,029 | |
Tele2 AB (Sweden) (Class B Stock) | | | 342 | | | | 7,099 | |
Telecom Corp. of New Zealand Ltd. (New Zealand) | | | 3,940 | | | | 6,662 | |
Telefonica SA (Spain) | | | 10,977 | | | | 248,854 | |
Telenor ASA (Norway) | | | 2,850 | | | | 46,303 | |
Teliasonera AB (Sweden) | | | 4,550 | | | | 36,058 | |
Telstra Corp. Ltd. (Australia) | | | 21,779 | | | | 62,149 | |
Verizon Communications, Inc. | | | 782,188 | | | | 27,986,687 | |
| | | | | | |
|
|
|
| | | | | | | | 64,559,696 | |
| | | | | | |
|
|
|
Electric Utilities — 0.8% | | | | | | | | |
Cheung Kong Holdings Ltd.
(Hong Kong) | | | 2,000 | | | | 9,160 | |
DPL, Inc. | | | 66,600 | | | | 1,712,286 | |
E.ON AG (Germany) | | | 2,976 | | | | 91,209 | |
Enel SpA (Italy) | | | 38,358 | | | | 191,706 | |
Entergy Corp. | | | 129,300 | | | | 9,158,319 | |
Exelon Corp. | | | 227,500 | | | | 9,473,100 | |
Fortum OYJ (Finland) | | | 171 | | | | 5,148 | |
Iberdrola SA (Spain) | | | 2,802 | | | | 21,598 | |
Kansai Electric Power Co., Inc. (The) (Japan) | | | 1,800 | | | | 44,429 | |
NextEra Energy, Inc.(b) | | | 58,700 | | | | 3,051,813 | |
SP Ausnet (Australia)(c) | | | 20,550 | | | | 18,286 | |
Tohoku Electric Power Co., Inc. (Japan) | | | 4,100 | | | | 91,403 | |
| | | | | | |
|
|
|
| | | | | | | | 23,868,457 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.8% | | | | | | | | |
ABB Ltd. (Switzerland) | | | 3,951 | | | | 88,021 | |
AMETEK, Inc. | | | 33,300 | | | | 1,307,025 | |
Cooper Industries PLC | | | 41,800 | | | | 2,436,522 | |
Emerson Electric Co. | | | 172,200 | | | | 9,844,674 | |
Legrand SA (France) | | | 1,036 | | | | 42,190 | |
Mitsubishi Electric Corp. (Japan) | | | 16,000 | | | | 167,902 | |
Polypore International, Inc.(a) | | | 17,400 | | | | 708,702 | |
Rockwell Automation, Inc. | | | 146,900 | | | | 10,534,199 | |
Schneider Electric SA (France) | | | 610 | | | | 91,297 | |
Ushio, Inc. (Japan) | | | 200 | | | | 3,813 | |
| | | | | | |
|
|
|
| | | | | | | | 25,224,345 | |
| | | | | | |
|
|
|
Electrical Utilities — 0.3% | | | | | | | | |
Duke Energy Corp. | | | 449,300 | | | | 8,002,033 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 0.4% | | | | | |
Corning, Inc. | | | 402,500 | | | | 7,776,300 | |
Hamamatsu Photonics KK (Japan) | | | 1,600 | | | | 58,490 | |
Hitachi High-Technologies Corp. (Japan) | | | 1,300 | | | | 30,390 | |
Hitachi, Ltd. (Japan) | | | 17,000 | | | | 90,664 | |
Ingram Micro, Inc. (Class A Stock)(a) | | | 11,300 | | | | 215,717 | |
Itron, Inc.(a) | | | 28,300 | | | | 1,569,235 | |
Jabil Circuit, Inc. | | | 96,100 | | | | 1,930,649 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Electronic Equipment & Instruments (continued) | | | | | |
Keyence Corp. (Japan) | | | 400 | | | $ | 115,876 | |
Kyocera Corp. (Japan) | | | 400 | | | | 40,843 | |
Murata Manufacturing Co. Ltd. (Japan) | | | 800 | | | | 56,066 | |
| | | | | | |
|
|
|
| | | | | | | | 11,884,230 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.3% | | | | | | | | |
Dril-Quip, Inc.(a) | | | 9,800 | | | | 761,656 | |
Halliburton Co. | | | 421,200 | | | | 17,197,596 | |
Helmerich & Payne, Inc. | | | 67,300 | | | | 3,262,704 | |
McDermott International, Inc.(a) | | | 105,900 | | | | 2,191,071 | |
Nabors Industries Ltd.(a) | | | 151,900 | | | | 3,563,574 | |
Oil States International, Inc.(a) | | | 20,200 | | | | 1,294,618 | |
Petrofac Ltd. (United Kingdom) | | | 2,143 | | | | 53,024 | |
RPC, Inc. | | | 59,250 | | | | 1,073,610 | |
Schlumberger Ltd. | | | 108,900 | | | | 9,093,150 | |
SEACOR Holdings, Inc. | | | 12,700 | | | | 1,283,843 | |
| | | | | | |
|
|
|
| | | | | | | | 39,774,846 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.1% | | | | | | | | |
Aeon Co. Ltd. (Japan) | | | 8,700 | | | | 108,871 | |
CVS Caremark Corp. | | | 107,800 | | | | 3,748,206 | |
Delhaize Group SA (Belgium) | | | 198 | | | | 14,624 | |
Kesko OYJ (Finland) (Class B Stock) | | | 712 | | | | 33,234 | |
Kroger Co. (The) | | | 321,300 | | | | 7,184,268 | |
Metro AG (Germany) | | | 1,218 | | | | 87,696 | |
Tesco PLC (United Kingdom) | | | 10,556 | | | | 69,945 | |
Wal-Mart Stores, Inc. | | | 396,200 | | | | 21,367,066 | |
Woolworths Ltd. (Australia) | | | 955 | | | | 26,344 | |
| | | | | | |
|
|
|
| | | | | | | | 32,640,254 | |
| | | | | | |
|
|
|
Food Products — 1.2% | | | | | | | | |
Archer-Daniels-Midland Co. | | | 185,500 | | | | 5,579,840 | |
Associated British Foods PLC (United Kingdom) | | | 3,426 | | | | 63,082 | |
ConAgra Foods, Inc. | | | 189,400 | | | | 4,276,652 | |
Corn Products International, Inc. | | | 26,000 | | | | 1,196,000 | |
Danone (France) | | | 1,197 | | | | 75,211 | |
Dean Foods Co.(a) | | | 691,800 | | | | 6,115,512 | |
Hormel Foods Corp. | | | 21,800 | | | | 1,117,468 | |
Kraft Foods, Inc. (Class A Stock) | | | 15,400 | | | | 485,254 | |
Lindt & Spruengli AG (Switzerland) | | | 2 | | | | 64,385 | |
Nestle SA (Switzerland) | | | 4,078 | | | | 238,792 | |
Ralcorp Holdings, Inc.(a)(b) | | | 25,800 | | | | 1,677,258 | |
Sara Lee Corp. | | | 113,000 | | | | 1,978,630 | |
Smithfield Foods, Inc.(a) | | | 266,400 | | | | 5,495,832 | |
Tyson Foods, Inc. (Class A Stock) | | | 551,500 | | | | 9,496,830 | |
Unilever NV (Netherlands) | | | 4,435 | | | | 138,088 | |
Unilever PLC (United Kingdom) | | | 6,509 | | | | 199,208 | |
| | | | | | |
|
|
|
| | | | | | | | 38,198,042 | |
| | | | | | |
|
|
|
Gas Utilities — 0.1% | | | | | | | | |
AGL Resources, Inc. | | | 33,300 | | | | 1,193,805 | |
Enagas (Spain) | | | 1,101 | | | | 21,944 | |
Energen Corp. | | | 52,100 | | | | 2,514,346 | |
ONEOK, Inc. | | | 3,800 | | | | 210,786 | |
Osaka Gas Co. Ltd. (Japan) | | | 10,000 | | | | 38,798 | |
Snam Rete Gas SpA (Italy) | | | 5,632 | | | | 27,997 | |
Tokyo Gas Co. Ltd. (Japan) | | | 5,000 | | | | 22,170 | |
| | | | | | |
|
|
|
| | | | | | | | 4,029,846 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Healthcare Equipment & Supplies — 1.3% | | | | | |
Becton, Dickinson & Co. | | | 132,500 | | | $ | 11,198,900 | |
CareFusion Corp.(a) | | | 124,700 | | | | 3,204,790 | |
Coloplast A/S (Denmark) (Class B Stock) | | | 636 | | | | 86,426 | |
Covidien PLC | | | 125,900 | | | | 5,748,594 | |
Intuitive Surgical, Inc.(a) | | | 37,200 | | | | 9,588,300 | |
Medtronic, Inc. | | | 164,600 | | | | 6,105,014 | |
Sirona Dental Systems, Inc.(a) | | | 40,000 | | | | 1,671,200 | |
St. Jude Medical, Inc.(a) | | | 40,100 | | | | 1,714,275 | |
Stryker Corp. | | | 34,400 | | | | 1,847,280 | |
| | | | | | |
|
|
|
| | | | | | | | 41,164,779 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.7% | | | | | |
Aetna, Inc. | | | 293,400 | | | | 8,951,634 | |
Cardinal Health, Inc. | | | 63,400 | | | | 2,428,854 | |
Coventry Health Care, Inc.(a) | | | 120,600 | | | | 3,183,840 | |
Humana, Inc.(a) | | | 67,300 | | | | 3,684,002 | |
Medco Health Solutions, Inc.(a) | | | 186,400 | | | | 11,420,728 | |
UnitedHealth Group, Inc. | | | 420,900 | | | | 15,198,699 | |
WellPoint, Inc.(a) | | | 111,000 | | | | 6,311,460 | |
| | | | | | |
|
|
|
| | | | | | | | 51,179,217 | |
| | | | | | |
|
|
|
Healthcare Technology | | | | | | | | |
SXC Health Solutions Corp. (Canada)(a) | | | 9,400 | | | | 402,884 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.5% | | | | | | | | |
Accor SA (France) | | | 1,389 | | | | 61,809 | |
BJ’s Restaurants, Inc.(a) | | | 3,800 | | | | 134,634 | |
Carnival Corp. | | | 298,700 | | | | 13,773,057 | |
CEC Entertainment, Inc.(a) | | | 19,800 | | | | 768,834 | |
Darden Restaurants, Inc. | | | 41,100 | | | | 1,908,684 | |
Intercontinental Hotels Group PLC (United Kingdom) | | | 341 | | | | 6,608 | |
McDonald’s Corp. | | | 219,500 | | | | 16,848,820 | |
OPAP SA (Greece) | | | 572 | | | | 9,891 | |
SJM Holdings Ltd. (Hong Kong) | | | 45,000 | | | | 71,441 | |
Starbucks Corp. | | | 201,700 | | | | 6,480,621 | |
Thomas Cook Group PLC (United Kingdom) | | | 19,876 | | | | 58,785 | |
TUI AG (Germany)(a) | | | 1,496 | | | | 20,991 | |
Wynn Macau Ltd. | | | 31,200 | | | | 69,844 | |
Yum! Brands, Inc. | | | 102,600 | | | | 5,032,530 | |
| | | | | | |
|
|
|
| | | | | | | | 45,246,549 | |
| | | | | | |
|
|
|
Household Durables | | | | | | | | |
Panasonic Corp. (Japan) | | | 500 | | | | 7,100 | |
Sekisui Chemical Co. Ltd. (Japan) | | | 4,000 | | | | 28,723 | |
Tempur-Pedic International, Inc.(a) | | | 26,800 | | | | 1,073,608 | |
| | | | | | |
|
|
|
| | | | | | | | 1,109,431 | |
| | | | | | |
|
|
|
Household Products — 1.4% | | | | | | | | |
Colgate-Palmolive Co. | | | 61,100 | | | | 4,910,607 | |
Henkel AG & Co. KGaA (Germany) | | | 717 | | | | 36,998 | |
Kimberly-Clark Corp. | | | 106,100 | | | | 6,688,544 | |
Procter & Gamble Co. (The) | | | 500,905 | | | | 32,223,219 | |
Reckitt Benckiser Group PLC (United Kingdom) | | | 3,055 | | | | 167,896 | |
| | | | | | |
|
|
|
| | | | | | | | 44,027,264 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Independent Power Producers & Energy Traders — 0.1% | |
Constellation Energy Group, Inc. | | | 50,100 | | | $ | 1,534,563 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 1.9% | | | | | | | | |
3M Co. | | | 174,200 | | | | 15,033,460 | |
General Electric Co. | | | 2,413,500 | | | | 44,142,915 | |
Hutchison Whampoa, Ltd. (Hong Kong) | | | 4,000 | | | | 41,169 | |
Siemens AG (Germany) | | | 1,787 | | | | 221,366 | |
Smiths Group PLC (United Kingdom) | | | 941 | | | | 18,266 | |
| | | | | | |
|
|
|
| | | | | | | | 59,457,176 | |
| | | | | | |
|
|
|
Insurance — 2.1% | | | | | | | | |
ACE Ltd. | | | 117,800 | | | | 7,333,050 | |
Aflac, Inc. | | | 30,300 | | | | 1,709,829 | |
Ageas (Belgium) | | | 4,254 | | | | 9,721 | |
Allianz SE (Germany) | | | 1,512 | | | | 179,683 | |
Allstate Corp. (The) | | | 114,200 | | | | 3,640,696 | |
Assurant, Inc. | | | 66,000 | | | | 2,542,320 | |
Aviva PLC (United Kingdom) | | | 21,909 | | | | 134,241 | |
AXA SA (France) | | | 1,014 | | | | 16,870 | |
Berkshire Hathaway, Inc. (Class B Stock)(a) | | | 309,900 | | | | 24,826,089 | |
Chubb Corp. (The) | | | 114,300 | | | | 6,816,852 | |
Everest Re Group Ltd. | | | 35,300 | | | | 2,994,146 | |
Hannover Rueckversicherung AG (Germany) | | | 1,517 | | | | 81,361 | |
Legal & General Group PLC (United Kingdom) | | | 26,493 | | | | 39,963 | |
Montpelier Re Holdings Ltd. | | | 37,000 | | | | 737,780 | |
Muenchener Rueckversicherungs AG (Germany) | | | 602 | | | | 91,266 | |
Old Mutual PLC (United Kingdom) | | | 48,553 | | | | 93,185 | |
RSA Insurance Group PLC (United Kingdom) | | | 31,521 | | | | 61,528 | |
SCOR SE (France) | | | 2,878 | | | | 73,072 | |
Swiss Reinsurance Co. Ltd. (Switzerland) | | | 3,207 | | | | 172,526 | |
Transatlantic Holdings, Inc. | | | 15,800 | | | | 815,596 | |
Travelers Cos., Inc. (The) | | | 107,600 | | | | 5,994,396 | |
Unum Group | | | 252,100 | | | | 6,105,862 | |
| | | | | | |
|
|
|
| | | | | | | | 64,470,032 | |
| | | | | | |
|
|
|
Internet & Catalog Retail | | | | | | | | |
Dena Co. Ltd. (Japan) | | | 200 | | | | 7,173 | |
Liberty Media Corp. - Interactive, Ser. A(a) | | | 38,600 | | | | 608,722 | |
priceline.com, Inc.(a) | | | 800 | | | | 319,640 | |
Shutterfly, Inc.(a) | | | 12,200 | | | | 427,366 | |
| | | | | | |
|
|
|
| | | | | | | | 1,362,901 | |
| | | | | | |
|
|
|
Internet Software & Services — 0.9% | | | | | | | | |
Akamai Technologies, Inc.(a) | | | 141,400 | | | | 6,652,870 | |
AOL, Inc.(a) | | | 54,600 | | | | 1,294,566 | |
Google, Inc. (Class A Stock)(a) | | | 30,500 | | | | 18,116,085 | |
VistaPrint NV (Netherlands)(a) | | | 24,400 | | | | 1,122,400 | |
Yahoo!, Inc.(a) | | | 58,000 | | | | 964,540 | |
| | | | | | |
|
|
|
| | | | | | | | 28,150,461 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
IT Services — 1.5% | | | | | | | | |
Computer Sciences Corp. | | | 145,000 | | | $ | 7,192,000 | |
International Business Machines Corp. | | | 165,300 | | | | 24,259,428 | |
Itochu Techno-Solutions Corp. (Japan) | | | 1,200 | | | | 45,006 | |
OBIC Co. Ltd. (Japan) | | | 220 | | | | 45,306 | |
SRA International, Inc. (Class A Stock)(a) | | | 14,800 | | | | 302,660 | |
Visa, Inc. (Class A Stock) | | | 193,800 | | | | 13,639,644 | |
| | | | | | |
|
|
|
| | | | | | | | 45,484,044 | |
| | | | | | |
|
|
|
Leisure Equipment & Products | | | | | | | | |
Sega Sammy Holdings, Inc. (Japan) | | | 5,200 | | | | 98,953 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.8% | | | | | | | | |
Agilent Technologies, Inc.(a) | | | 107,900 | | | | 4,470,297 | |
Bruker Corp.(a) | | | 62,100 | | | | 1,030,860 | |
Life Technologies Corp.(a) | | | 111,600 | | | | 6,193,800 | |
Thermo Fisher Scientific, Inc.(a) | | | 235,900 | | | | 13,059,424 | |
| | | | | | |
|
|
|
| | | | | | | | 24,754,381 | |
| | | | | | |
|
|
|
Machinery — 2.0% | | | | | | | | |
Atlas Copco AB (Sweden) (Class B Stock) | | | 1,782 | | | | 40,300 | |
Atlas Copco AB (Sweden) (Class A Stock) | | | 3,853 | | | | 97,218 | |
Caterpillar, Inc. | | | 8,500 | | | | 796,110 | |
Cosco Corp. Singapore Ltd. (Singapore) | | | 6,000 | | | | 10,005 | |
Danaher Corp. | | | 91,400 | | | | 4,311,338 | |
Deere & Co. | | | 150,800 | | | | 12,523,940 | |
Dover Corp. | | | 126,400 | | | | 7,388,080 | |
Eaton Corp. | | | 121,200 | | | | 12,303,012 | |
FANUC Ltd. (Japan) | | | 700 | | | | 107,513 | |
Gardner Denver, Inc. | | | 7,100 | | | | 488,622 | |
Illinois Tool Works, Inc. | | | 113,700 | | | | 6,071,580 | |
Invensys PLC (United Kingdom) | | | 9,328 | | | | 51,512 | |
Kennametal, Inc. | | | 32,300 | | | | 1,274,558 | |
Komatsu Ltd. (Japan) | | | 2,500 | | | | 75,656 | |
Kone OYJ (Finland) (Class B Stock) | | | 1,101 | | | | 61,205 | |
Metso OYJ (Finland) | | | 327 | | | | 18,265 | |
Oshkosh Corp.(a) | | | 97,700 | | | | 3,442,948 | |
Parker Hannifin Corp. | | | 108,800 | | | | 9,389,440 | |
Scania AB (Sweden) (Class B Stock) | | | 1,576 | | | | 36,250 | |
SKF AB (Sweden) (Class B Stock) | | | 3,942 | | | | 112,300 | |
SMC Corp. (Japan) | | | 400 | | | | 68,531 | |
Timken Co. | | | 19,900 | | | | 949,827 | |
WABCO Holdings, Inc.(a) | | | 6,900 | | | | 420,417 | |
Yangzijiang Shipbuilding Holdings Ltd. (Singapore) | | | 27,000 | | | | 40,184 | |
| | | | | | |
|
|
|
| | | | | | | | 60,078,811 | |
| | | | | | |
|
|
|
Marine | | | | | | | | |
Kuehne + Nagel International AG (Switzerland) | | | 512 | | | | 71,187 | |
Neptune Orient Lines Ltd. (Singapore)(a) | | | 19,000 | | | | 32,275 | |
Nippon Yusen KK (Japan) | | | 11,000 | | | | 48,774 | |
Orient Overseas International Ltd. (Hong Kong) | | | 7,500 | | | | 72,754 | |
| | | | | | |
|
|
|
| | | | | | | | 224,990 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Media — 1.6% | | | | | | | | |
British Sky Broadcasting Group PLC (United Kingdom) | | | 1,673 | | | $ | 19,197 | |
Comcast Corp. (Class A Stock) | | | 674,673 | | | | 14,822,566 | |
DIRECTV (Class A Stock)(a) | | | 64,700 | | | | 2,583,471 | |
Fuji Media Holdings, Inc. (Japan) | | | 35 | | | | 55,352 | |
ITV PLC (United Kingdom)(a) | | | 60,022 | | | | 65,553 | |
Liberty Media Corp. - Starz, Ser. A(a) | | | 18,900 | | | | 1,256,472 | |
News Corp. (Class A Stock) | | | 622,900 | | | | 9,069,424 | |
Societe Television Francaise 1 (France) | | | 2,802 | | | | 48,676 | |
Time Warner, Inc. | | | 337,266 | | | | 10,849,847 | |
Viacom, Inc. (Class B Stock) | | | 150,600 | | | | 5,965,266 | |
Vivendi SA (France) | | | 3,892 | | | | 105,058 | |
Walt Disney Co. (The) | | | 74,600 | | | | 2,798,246 | |
WPP PLC (United Kingdom) | | | 2,996 | | | | 36,878 | |
| | | | | | |
|
|
|
| | | | | | | | 47,676,006 | |
| | | | | | |
|
|
|
Metals & Mining — 0.6% | | | | | | | | |
Alcoa, Inc. | | | 846,500 | | | | 13,027,635 | |
Alumina Ltd. (Australia) | | | 1,408 | | | | 3,571 | |
Anglo American PLC (United Kingdom) | | | 1,625 | | | | 84,505 | |
BHP Billiton Ltd. (Australia) | | | 8,938 | | | | 413,665 | |
BHP Billiton PLC (Australia) | | | 5,073 | | | | 201,765 | |
Daido Steel Co. Ltd. (Japan) | | | 6,000 | | | | 35,251 | |
Fresnillo PLC (United Kingdom) | | | 1,957 | | | | 50,893 | |
Mitsubishi Materials Corp. (Japan)(a) | | | 13,000 | | | | 41,471 | |
Newmont Mining Corp. | | | 26,600 | | | | 1,634,038 | |
OZ Minerals Ltd. (Australia) | | | 81,732 | | | | 143,784 | |
Rio Tinto Ltd. (Australia) | | | 2,057 | | | | 179,820 | |
Rio Tinto PLC (United Kingdom) | | | 2,259 | | | | 158,014 | |
Schnitzer Steel Industries, Inc. (Class A Stock) | | | 42,900 | | | | 2,848,131 | |
Xstrata PLC (Switzerland) | | | 2,722 | | | | 63,891 | |
| | | | | | |
|
|
|
| | | | | | | | 18,886,434 | |
| | | | | | |
|
|
|
Multiline Retail — 1.0% | | | | | | | | |
Dollar Tree, Inc.(a) | | | 35,600 | | | | 1,996,448 | |
Family Dollar Stores, Inc. | | | 21,100 | | | | 1,048,881 | |
Kohl’s Corp.(a) | | | 53,600 | | | | 2,912,624 | |
Macy’s, Inc. | | | 311,600 | | | | 7,883,480 | |
Next PLC (United Kingdom) | | | 3,277 | | | | 100,905 | |
PPR (France) | | | 285 | | | | 45,321 | |
Target Corp. | | | 284,200 | | | | 17,088,946 | |
| | | | | | |
|
|
|
| | | | | | | | 31,076,605 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.4% | | | | | | | | |
Alliant Energy Corp. | | | 22,100 | | | | 812,617 | |
Centrica PLC (United Kingdom) | | | 15,784 | | | | 81,602 | |
GDF Suez (France) | | | 4,370 | | | | 156,795 | |
National Grid PLC (United Kingdom) | | | 11,945 | | | | 102,987 | |
NiSource, Inc.(b) | | | 131,900 | | | | 2,324,078 | |
Public Service Enterprise Group, Inc. | | | 121,200 | | | | 3,855,372 | |
TECO Energy, Inc.(b) | | | 283,200 | | | | 5,040,960 | |
| | | | | | |
|
|
|
| | | | | | | | 12,374,411 | |
| | | | | | |
|
|
|
Office Electronics — 0.3% | | | | | | | | |
Canon, Inc. (Japan) | | | 3,400 | | | | 176,303 | |
Xerox Corp., Common Stock | | | 655,600 | | | | 7,552,512 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Office Electronics (continued) | | | | | | | | |
Zebra Technologies Corp.
(Class A Stock)(a) | | | 25,000 | | | $ | 949,750 | |
| | | | | | |
|
|
|
| | | | | | | | 8,678,565 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 6.1% | | | | | | | | |
BP PLC (United Kingdom) | | | 34,709 | | | | 251,930 | |
Caltex Australia Ltd. (Australia) | | | 890 | | | | 13,081 | |
Chevron Corp. | | | 485,356 | | | | 44,288,735 | |
ConocoPhillips | | | 205,334 | | | | 13,983,245 | |
Continental Resources, Inc./OK(a) | | | 9,800 | | | | 576,730 | |
Cosmo Oil Co. Ltd. (Japan) | | | 45,000 | | | | 147,432 | |
Devon Energy Corp. | | | 144,400 | | | | 11,336,844 | |
El Paso Corp. | | | 305,100 | | | | 4,198,176 | |
ENI SpA (Italy) | | | 7,061 | | | | 154,179 | |
Exxon Mobil Corp. | | | 935,816 | | | | 68,426,866 | |
Frontier Oil Corp(a). | | | 133,300 | | | | 2,400,733 | |
Idemitsu Kosan Co. Ltd. (Japan) | | | 1,400 | | | | 148,639 | |
JX Holdings, Inc. (Japan) | | | 24,700 | | | | 167,628 | |
Marathon Oil Corp. | | | 393,100 | | | | 14,556,493 | |
Occidental Petroleum Corp. | | | 165,500 | | | | 16,235,550 | |
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | | | 4,635 | | | | 154,536 | |
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | | | 3,813 | | | | 125,733 | |
Showa Shell Sekiyu KK (Japan) | | | 7,400 | | | | 67,811 | |
Southern Union Co. | | | 11,700 | | | | 281,619 | |
Southwestern Energy Co.(a) | | | 62,200 | | | | 2,328,146 | |
TonenGeneral Sekiyu KK (Japan) | | | 4,000 | | | | 43,749 | |
Total SA (France) | | | 3,017 | | | | 159,855 | |
Valero Energy Corp. | | | 372,200 | | | | 8,605,264 | |
| | | | | | |
|
|
|
| | | | | | | | 188,652,974 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | | | | |
International Paper Co. | | | 157,200 | | | | 4,282,128 | |
Stora Enso OYJ (Finland) (Class R Stock) | | | 11,770 | | | | 120,873 | |
Svenska Cellulosa AB (Sweden)
(Class B Stock) | | | 1,053 | | | | 16,627 | |
| | | | | | |
|
|
|
| | | | | | | | 4,419,628 | |
| | | | | | |
|
|
|
Personal Products | | | | | | | | |
Herbalife Ltd. | | | 5,300 | | | | 362,361 | |
Kao Corp. (Japan) | | | 4,200 | | | | 113,186 | |
| | | | | | |
|
|
|
| | | | | | | | 475,547 | |
| | | | | | |
|
|
|
Pharmaceuticals — 3.2% | | | | | | | | |
Abbott Laboratories | | | 472,300 | | | | 22,627,893 | |
AstraZeneca PLC (United Kingdom) | | | 5,371 | | | | 244,685 | |
Bayer AG (Germany) | | | 278 | | | | 20,544 | |
Bristol-Myers Squibb Co. | | | 52,800 | | | | 1,398,144 | |
Eli Lilly & Co. | | | 181,900 | | | | 6,373,776 | |
GlaxoSmithKline PLC (United Kingdom) | | | 4,978 | | | | 96,238 | |
Impax Laboratories, Inc.(a) | | | 134,500 | | | | 2,704,795 | |
Johnson & Johnson | | | 334,098 | | | | 20,663,961 | |
Medicines Co. (The)(a) | | | 98,800 | | | | 1,396,044 | |
Merck & Co., Inc. | | | 413,400 | | | | 14,898,936 | |
Novartis AG (Switzerland) | | | 3,828 | | | | 224,972 | |
Novo Nordisk A/S (Denmark) (Class B Stock) | | | 2,026 | | | | 228,459 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Pharmaceuticals (continued) | | | | | | | | |
Orion OYJ (Finland) (Class B Stock) | | | 3,377 | | | $ | 73,873 | |
Par Pharmaceutical Cos., Inc.(a) | | | 35,800 | | | | 1,378,658 | |
Pfizer, Inc. | | | 1,398,197 | | | | 24,482,429 | |
Roche Holding AG (Switzerland) | | | 1,258 | | | | 184,327 | |
Sanofi-Aventis SA (France) | | | 3,058 | | | | 195,536 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | | | 2,500 | | | | 123,014 | |
Teva Pharmaceutical Industries Ltd. (Israel) | | | 1,212 | | | | 63,529 | |
| | | | | | |
|
|
|
| | | | | | | | 97,379,813 | |
| | | | | | |
|
|
|
Professional Services | | | | | | | | |
Adecco SA (Switzerland) | | | 1,466 | | | | 96,035 | |
Bureau Veritas SA (France) | | | 245 | | | | 18,570 | |
| | | | | | |
|
|
|
| | | | | | | | 114,605 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 0.7% | | | | | | | | |
Brandywine Realty Trust | | | 212,300 | | | | 2,473,295 | |
Chimera Investment Corp. | | | 664,100 | | | | 2,729,451 | |
CommonWealth REIT | | | 35,100 | | | | 895,401 | |
Dexus Property Group (Australia) | | | 40,797 | | | | 33,173 | |
Duke Realty Corp. | | | 44,700 | | | | 556,962 | |
GPT Group (Australia) | | | 7,216 | | | | 21,699 | |
Hospitality Properties Trust | | | 193,200 | | | | 4,451,328 | |
Invesco Mortgage Capital, Inc. | | | 27,400 | | | | 598,416 | |
Liberty Property Trust, REIT(b) | | | 17,100 | | | | 545,832 | |
Mack-Cali Realty Corp. | | | 95,200 | | | | 3,147,312 | |
MFA Financial, Inc. | | | 553,000 | | | | 4,512,480 | |
Stockland (Australia) | | | 34,620 | | | | 127,473 | |
| | | | | | |
|
|
|
| | | | | | | | 20,092,822 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.1% | | | | | |
Cheung Kong Holdings Ltd.
(Hong Kong) | | | 1,000 | | | | 15,426 | |
Daiwa House Industry Co. Ltd. (Japan) | | | 7,000 | | | | 86,045 | |
Jones Lang Lasalle, Inc. | | | 31,700 | | | | 2,660,264 | |
Kerry Properties Ltd. (Hong Kong) | | | 7,500 | | | | 39,079 | |
Sun Hung Kai Properties Ltd. (Hong Kong) | | | 4,000 | | | | 66,437 | |
UOL Group Ltd. (Singapore) | | | 5,000 | | | | 18,506 | |
Wheelock & Co. Ltd. (Hong Kong) | | | 16,000 | | | | 64,738 | |
| | | | | | |
|
|
|
| | | | | | | | 2,950,495 | |
| | | | | | |
|
|
|
Road & Rail — 0.6% | | | | | | | | |
Central Japan Railway Co. (Japan) | | | 15 | | | | 125,631 | |
CSX Corp. | | | 128,100 | | | | 8,276,541 | |
Norfolk Southern Corp. | | | 177,900 | | | | 11,175,678 | |
| | | | | | |
|
|
|
| | | | | | | | 19,577,850 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 1.9% | |
Applied Materials, Inc. | | | 232,900 | | | | 3,272,245 | |
ASM Pacific Technology Ltd. (Netherlands) | | | 7,000 | | | | 88,482 | |
ASML Holding NV (Netherlands) | | | 4,533 | | | | 175,061 | |
Broadcom Corp. (Class A Stock) | | | 164,600 | | | | 7,168,330 | |
Intel Corp. | | | 1,405,600 | | | | 29,559,768 | |
LAM Research Corp.(a) | | | 96,600 | | | | 5,001,948 | |
Marvell Technology Group Ltd.(a) | | | 209,600 | | | | 3,888,080 | |
Novellus Systems, Inc.(a) | | | 138,100 | | | | 4,463,392 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Semiconductors & Semiconductor Equipment (continued) | |
Texas Instruments, Inc. | | | 109,500 | | | $ | 3,558,750 | |
Tokyo Electron Ltd. (Japan) | | | 100 | | | | 6,331 | |
| | | | | | |
|
|
|
| | | | | | | | 57,182,387 | |
| | | | | | |
|
|
|
Software — 3.0% | | | | | | | | |
Autodesk, Inc.(a)(b) | | | 226,000 | | | | 8,633,200 | |
Dassault Systemes SA (France) | | | 496 | | | | 37,396 | |
FactSet Research Systems, Inc. | | | 8,600 | | | | 806,336 | |
Intuit, Inc.(a) | | | 253,000 | | | | 12,472,900 | |
Microsoft Corp. | | | 1,700,100 | | | | 47,466,792 | |
Oracle Corp. | | | 462,400 | | | | 14,473,120 | |
Red Hat, Inc.(a) | | | 161,600 | | | | 7,377,040 | |
Synopsys, Inc.(a) | | | 51,800 | | | | 1,393,938 | |
| | | | | | |
|
|
|
| | | | | | | | 92,660,722 | |
| | | | | | |
|
|
|
Specialty Retail — 1.4% | | | | | | | | |
Gap, Inc. (The) | | | 281,500 | | | | 6,232,410 | |
Home Depot, Inc. (The) | | | 224,150 | | | | 7,858,699 | |
Inditex SA (Spain) | | | 1,329 | | | | 99,507 | |
Kingfisher PLC (United Kingdom) | | | 10,986 | | | | 45,115 | |
Limited Brands, Inc. | | | 266,200 | | | | 8,180,326 | |
Ross Stores, Inc. | | | 127,900 | | | | 8,089,675 | |
TJX Cos., Inc. | | | 283,600 | | | | 12,589,004 | |
| | | | | | |
|
|
|
| | | | | | | | 43,094,736 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.8% | |
Adidas AG (Germany) | | | 379 | | | | 24,761 | |
Christian Dior SA (France) | | | 420 | | | | 59,997 | |
Cie Financiere Richemont SA (Switzerland) | | | 2,473 | | | | 145,471 | |
Coach, Inc. | | | 244,600 | | | | 13,528,826 | |
Fossil, Inc.(a) | | | 57,600 | | | | 4,059,648 | |
LVMH Moet Hennessy Louis Vuitton SA (France) | | | 427 | | | | 70,241 | |
NIKE, Inc. (Class B Stock) | | | 21,800 | | | | 1,862,156 | |
Nisshinbo Holdings, Inc. (Japan) | | | 4,000 | | | | 43,848 | |
VF Corp.(b) | | | 63,600 | | | | 5,481,048 | |
| | | | | | |
|
|
|
| | | | | | | | 25,275,996 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance | | | | | | | | |
Washington Federal, Inc. | | | 54,800 | | | | 927,216 | |
| | | | | | |
|
|
|
Tobacco — 1.0% | | | | | | | | |
Altria Group, Inc. | | | 640,000 | | | | 15,756,800 | |
British American Tobacco PLC (United Kingdom) | | | 2,466 | | | | 94,714 | |
Imperial Tobacco Group PLC (United Kingdom) | | | 1,000 | | | | 30,683 | |
Lorillard, Inc. | | | 31,900 | | | | 2,617,714 | |
Philip Morris International, Inc. | | | 140,600 | | | | 8,229,318 | |
Reynolds American, Inc. | | | 163,200 | | | | 5,323,584 | |
| | | | | | |
|
|
|
| | | | | | | | 32,052,813 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.1% | | | | | |
Applied Industrial Technologies, Inc. | | | 11,500 | | | | 373,520 | |
ITOCHU Corp. (Japan) | | | 5,400 | | | | 54,672 | |
Mitsubishi Corp. (Japan) | | | 2,100 | | | | 56,852 | |
Noble Group Ltd. (Hong Kong) | | | 5,000 | | | | 8,454 | |
Sumitomo Corp. (Japan) | | | 5,900 | | | | 83,497 | |
W.W. Grainger, Inc. | | | 26,700 | | | | 3,687,537 | |
| | | | | | |
|
|
|
| | | | | | | | 4,264,532 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Transportation Infrastructure | | | | | | | | |
Atlantia SpA (Italy) | | | 540 | | | $ | 11,019 | |
Kamigumi Co. Ltd. (Japan) | | | 2,000 | | | | 16,800 | |
| | | | | | |
|
|
|
| | | | | | | | 27,819 | |
| | | | | | |
|
|
|
Water Utilities — 0.1% | | | | | | | | |
American Water Works Co., Inc. | | | 148,900 | | | | 3,765,681 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.1% | | | | | |
American Tower Corp. (Class A Stock)(a) | | | 47,300 | | | | 2,442,572 | |
Mobistar SA (Belgium) | | | 588 | | | | 38,117 | |
Partner Communications Co. Ltd. (Israel) | | | 1,070 | | | | 21,710 | |
Softbank Corp. (Japan) | | | 1,100 | | | | 38,085 | |
Vodafone Group PLC (United Kingdom) | | | 142,128 | | | | 367,397 | |
| | | | | | |
|
|
|
| | | | | | | | 2,907,881 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $1,609,805,670) | | | | 1,991,711,350 | |
| | | | | | |
|
|
|
| PREFERRED STOCKS | | | | | | |
Automobiles | | | | | | | | |
Volkswagen AG (Germany) | | | 610 | | | | 98,959 | |
| | | | | | |
|
|
|
Banking | | | | | | | | |
JPMorgan Chase Capital XXVI (Capital Security, fixed to floating preferred)(d) | | | 28,000 | | | | 753,480 | |
Citigroup Capital XII (Capital Security, fixed to floating preferred) | | | 22,000 | | | | 592,020 | |
| | | | | | |
|
|
|
| | | | | | | | 1,345,500 | |
| | | | | | |
|
|
|
Household Products | | | | | | | | |
Henkel AG & Co. KGaA (Germany) | | | 620 | | | | 38,555 | |
| | | | | | |
|
|
|
Media | | | | | | | | |
ProSiebenSat.1 Media AG (Germany) | | | 1,229 | | | | 36,952 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $1,434,963) | | | | 1,519,966 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES — 0.8% | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities — 0.5% | | | | | | | | | | | | | | | | | | | | |
ARES CLO Funds (Cayman Islands), Ser. 2003-7AW, Class A1A, 144A(d) | | | A1 | | | | 0.636% | | | | 05/08/15 | | | $ | 1,267 | | | $ | 1,241,502 | |
ARES CLO Funds (Cayman Islands), Ser. 2005-9A, Class A1A, 144A(d) | | | Aa3 | | | | 0.559% | | | | 04/20/17 | | | | 852 | | | | 796,583 | |
BA Credit Card Trust, Ser. 2006-C5, Class C5(d) | | | A3 | | | | 0.660% | | | | 01/15/16 | | | | 3,209 | | | | 3,095,817 | |
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(d) | | | Aa1 | | | | 0.536% | | | | 08/03/19 | | | | 495 | | | | 471,603 | |
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(d) | | | Baa2 | | | | 0.661% | | | | 02/20/15 | | | | 1,350 | | | | 1,310,902 | |
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(d) | | | Aaa | | | | 0.638% | | | | 07/27/16 | | | | 206 | | | | 198,623 | |
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(d) | | | A1 | | | | 0.538% | | | | 07/22/20 | | | | 1,225 | | | | 1,145,606 | |
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(d) | | | Aaa | | | | 0.549% | | | | 12/15/17 | | | | 2,381 | | | | 2,291,782 | |
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(d) | | | Aa2 | | | | 0.649% | | | | 07/15/16 | | | | 269 | | | | 260,372 | |
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(d) | | | Aaa | | | | 0.529% | | | | 10/19/20 | | | | 1,161 | | | | 1,085,254 | |
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(d) | | | Aaa | | | | 0.608% | | | | 10/22/16 | | | | 1,000 | | | | 950,000 | |
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(d) | | | Aaa | | | | 0.556% | | | | 06/01/17 | | | | 500 | | | | 470,000 | |
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(d) | | | Aaa | | | | 0.701% | | | | 02/15/16 | | | | 1,380 | | | | 1,336,247 | |
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A | | | Aaa | | | | 5.250% | | | | 02/20/21 | | | | 268 | | | | 278,689 | |
Velocity CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(d) | | | Aaa | | | | 0.634% | | | | 08/22/16 | | | | 577 | | | | 544,561 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 15,477,541 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities — 0.3% | | | | | | | | | | | | | | | | | | | | |
Amortizing Residential Collateral Trust, Ser. 2002-BC7, Class M2(d) | | | CC(e) | | | | 1.611% | | | | 10/25/32 | | | | 107 | | | | 7,539 | |
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(d) | | | Baa2 | | | | 1.911% | | | | 03/25/33 | | | | 478 | | | | 356,583 | |
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3 | | | B3 | | | | 5.120% | | | | 07/25/35 | | | | 374 | | | | 338,353 | |
Equity One ABS, Inc., Ser. 2004-3, Class M1 | | | Aa2 | | | | 5.700% | | | | 07/25/34 | | | | 790 | | | | 670,412 | |
First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FFH1, Class M2(d) | | | C | | | | 0.781% | | | | 06/25/36 | | | | 1,450 | | | | 328,389 | |
GSAMP Trust, Ser. 2004-HE2, Class A3C(d) | | | Aaa | | | | 0.841% | | | | 09/25/34 | | | | 757 | | | | 678,433 | |
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(d) | | | Aa1 | | | | 0.751% | | | | 01/20/35 | | | | 371 | | | | 338,055 | |
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(d) | | | Aa2 | | | | 0.791% | | | | 06/25/34 | | | | 1,245 | | | | 1,044,667 | |
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(d) | | | Aa2 | | | | 0.891% | | | | 06/25/34 | | | | 1,232 | | | | 1,012,809 | |
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(d) | | | Aa2 | | | | 1.311% | | | | 12/27/33 | | | | 1,193 | | | | 998,972 | |
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(d) | | | B3 | | | | 1.161% | | | | 07/25/32 | | | | 884 | | | | 648,004 | |
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(d) | | | A2 | | | | 1.536% | | | | 09/25/32 | | | | 786 | | | | 677,684 | |
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC2, Class M2, 144A(d) | | | NR | | | | 2.586% | | | | 04/25/32 | | | | 313 | | | | 145,300 | |
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(d) | | | Aa2 | | | | 1.026% | | | | 02/25/34 | | | | 1,261 | | | | 1,078,626 | |
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(d) | | | Ca | | | | 0.511% | | | | 05/25/36 | | | | 1,100 | | | | 431,920 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,755,746 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $26,715,853) | | | | 24,233,287 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| BANK LOANS — 0.3% | | | | | | | | | | | | | | | | | | | | |
Cable — 0.1% | | | | | | | | | | | | | | | | | | | | |
Insight Midwest Holdings LLC(d)(f) | | | Ba3 | | | | 1.260% | | | | 10/06/13 | | | | 678 | | | | 660,974 | |
UPC Broadband Holdings(d)(f) | | | Ba3 | | | | 4.251% | | | | 12/31/16 | | | | 245 | | | | 241,930 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 902,904 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer | | | | | | | | | | | | | | | | | | | | |
Pilot Travel Centers LLC(d)(f) | | | Ba2 | | | | 5.250% | | | | 06/30/16 | | | | 258 | | | | 261,524 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric | | | | | | | | | | | | | | | | | | | | |
Texas Competitive Electric Holdings Co. LLC(d)(f) | | | B2 | | | | 3.764% | | | | 10/10/14 | | | | 968 | | | | 746,295 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.1% | | | | | | | | | | | | | | | | | | | | |
HCA, Inc.(d)(f) | | | Ba3 | | | | 2.553% | | | | 11/18/13 | | | | 370 | | | | 365,488 | |
HCA, Inc.(d)(f) | | | Ba3 | | | | 3.553% | | | | 03/31/17 | | | | 886 | | | | 883,565 | |
Health Management Association(d)(f) | | | B1 | | | | 2.053% | | | | 02/28/14 | | | | 1,092 | | | | 1,069,721 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
BANK LOANS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Healthcare & Pharmaceutical (continued) | | | | | | | | | | | | | | | | | | | | |
Warner Chilcott Corp.(d)(f) | | | Ba3 | | | | 6.000% | | | | 10/30/14 | | | $ | 343 | | | $ | 343,247 | |
Warner Chilcott Corp.(d)(f) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 170 | | | | 170,730 | |
Warner Chilcott Corp.(d)(f) | | | Ba3 | | | | 6.250% | | | | 04/30/15 | | | | 283 | | | | 284,296 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,117,047 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.1% | | | | | | | | | | | | | | | | | | | | |
First Data Corp.(d)(f) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 1,398 | | | | 1,289,370 | |
First Data Corp.(d)(f) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 1,118 | | | | 1,030,449 | |
Flextronics International Ltd. (Singapore)(d)(f) | | | Ba1 | | | | 2.508% | | | | 10/01/14 | | | | 977 | | | | 962,591 | |
Flextronics International Ltd. (Singapore)(d)(f) | | | Ba1 | | | | 2.511% | | | | 10/01/14 | | | | 281 | | | | 276,607 | |
Sensata Technologies (Netherlands)(d)(f) | | | B3 | | | | 2.038% | | | | 04/27/13 | | | | 332 | | | | 323,197 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,882,214 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $9,307,849) | | | | 8,909,984 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | | | | | | | | | | | | | | | | | | | | |
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 | | | Caa2 | | | | 6.000% | | | | 01/25/36 | | | | 3,413 | | | | 2,534,479 | |
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(d) | | | B2 | | | | 3.180% | | | | 02/25/35 | | | | 775 | | | | 677,672 | |
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(d) | | | Caa1 | | | | 3.039% | | | | 03/25/35 | | | | 586 | | | | 500,559 | |
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(d) | | | Baa1 | | | | 3.051% | | | | 02/25/37 | | | | 1,950 | | | | 1,903,829 | |
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 | | | A1 | | | | 5.250% | | | | 09/25/19 | | | | 842 | | | | 854,410 | |
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(d) | | | B1 | | | | 2.978% | | | | 07/25/35 | | | | 1,308 | | | | 1,188,620 | |
MASTR Alternative Loan Trust, Ser. 2004-4, Class 4A1 | | | Aaa | | | | 5.000% | | | | 04/25/19 | | | | 272 | | | | 274,834 | |
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(d) | | | A1 | | | | 2.770% | | | | 02/25/34 | | | | 604 | | | | 571,589 | |
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A | | | A+(e) | | | | 5.000% | | | | 03/25/20 | | | | 362 | | | | 320,256 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $9,789,279) | | | | 8,826,248 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6% | | | | | | | | | | | | | | | | | | | | |
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 | | | Aaa | | | | 4.153% | | | | 11/10/38 | | | | 2,800 | | | | 2,872,692 | |
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A | | | Aaa | | | | 5.600% | | | | 07/10/46 | | | | 3,700 | | | | 3,884,171 | |
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(d) | | | Aaa | | | | 5.658% | | | | 06/10/49 | | | | 5,900 | | | | 6,131,271 | |
Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3 | | | AAA(e) | | | | 5.620% | | | | 02/10/51 | | | | 1,920 | | | | 2,019,254 | |
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(d) | | | AAA(e) | | | | 5.405% | | | | 12/11/40 | | | | 2,000 | | | | 2,136,833 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(d) | | | Aaa | | | | 5.347% | | | | 01/15/46 | | | | 1,200 | | | | 1,287,838 | |
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A(d) | | | AA-(e) | | | | 5.440% | | | | 09/15/30 | | | | 890 | | | | 910,769 | |
Commercial Mortgage Pass-Through Certificates, Ser. 2004-LB2A, Class X2, I/O, 144A(d) | | | AAA(e) | | | | 0.858% | | | | 03/10/39 | | | | 6,596 | | | | 9,469 | |
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(d) | | | AAA(e) | | | | 5.764% | | | | 06/10/46 | | | | 3,800 | | | | 4,154,820 | |
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B | | | Aaa | | | | 5.248% | | | | 12/10/46 | | | | 984 | | | | 1,005,860 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4 | | | Aaa | | | | 4.835% | | | | 07/15/36 | | | | 880 | | | | 908,253 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4 | | | Aaa | | | | 4.283% | | | | 10/15/39 | | | | 1,400 | | | | 1,407,402 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4 | | | Aa2 | | | | 4.832% | | | | 04/15/37 | | | | 1,900 | | | | 1,961,004 | |
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(d) | | | AAA(e) | | | | 5.539% | | | | 02/15/39 | | | | 2,700 | | | | 2,905,368 | |
CW Capital Cobalt Ltd., Ser. 2007-C2, Class A2 | | | Aaa | | | | 5.334% | | | | 04/15/47 | | | | 684 | | | | 705,450 | |
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(d) | | | AAA(e) | | | | 5.818% | | | | 05/15/46 | | | | 2,200 | | | | 2,349,237 | |
GE Capital Commercial Mortgage Corp., Ser. 2004-C2, Class X2, I/O, 144A(d) | | | Aaa | | | | 0.587% | | | | 03/10/40 | | | | 13,415 | | | | 21,513 | |
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 | | | AAA(e) | | | | 4.697% | | | | 05/10/43 | | | | 2,720 | | | | 2,863,414 | |
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(d) | | | Aaa | | | | 5.224% | | | | 04/10/37 | | | | 8,050 | | | | 8,542,298 | |
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 | | | Aaa | | | | 5.381% | | | | 03/10/39 | | | | 3,856 | | | | 3,961,686 | |
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB(d) | | | AAA(e) | | | | 5.587% | | | | 04/10/38 | | | | 6,650 | | | | 7,043,422 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(d) | | | Aaa | | | | 5.778% | | | | 08/10/45 | | | $ | 2,200 | | | $ | 2,260,009 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(d) | | | Aaa | | | | 4.853% | | | | 03/15/46 | | | | 2,998 | | | | 3,137,496 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB | | | Aaa | | | | 4.659% | | | | 07/15/42 | | | | 5,168 | | | | 5,401,832 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(d) | | | Aa2 | | | | 4.999% | | | | 10/15/42 | | | | 1,270 | | | | 1,287,853 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB | | | Aaa | | | | 5.523% | | | | 05/12/45 | | | | 3,900 | | | | 4,160,871 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class X2, I/O(d) | | | Aaa | | | | 0.059% | | | | 04/15/43 | | | | 102,036 | | | | 234,621 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(d) | | | Aaa | | | | 5.872% | | | | 04/15/45 | | | | 563 | | | | 587,944 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2 | | | Aaa | | | | 5.827% | | | | 02/15/51 | | | | 2,050 | | | | 2,130,468 | |
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(d) | | | AAA(e) | | | | 4.826% | | | | 08/15/29 | | | | 3,910 | | | | 4,042,045 | |
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(d) | | | AA(e) | | | | 5.263% | | | | 11/15/40 | | | | 1,510 | | | | 1,549,572 | |
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(d) | | | Aaa | | | | 5.661% | | | | 03/15/39 | | | | 2,676 | | | | 2,875,617 | |
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 | | | Aaa | | | | 4.615% | | | | 08/12/39 | | | | 2,000 | | | | 2,074,486 | |
Merrill Lynch Mortgage Trust, Ser. 2008-C1, Class A2 | | | Aaa | | | | 5.425% | | | | 02/12/51 | | | | 150 | | | | 155,804 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4 | | | Aaa | | | | 5.907% | | | | 06/12/46 | | | | 1,795 | | | | 1,964,268 | |
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(d) | | | Aaa | | | | 5.388% | | | | 03/12/44 | | | | 1,500 | | | | 1,614,558 | |
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(d) | | | AAA(e) | | | | 5.730% | | | | 10/15/42 | | | | 2,600 | | | | 2,853,397 | |
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 | | | AAA(e) | | | | 5.332% | | | | 12/15/43 | | | | 1,720 | | | | 1,822,271 | |
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB | | | Aaa | | | | 5.444% | | | | 02/12/44 | | | | 4,600 | | | | 4,824,220 | |
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(d) | | | AAA(e) | | | | 5.648% | | | | 06/11/42 | | | | 1,105 | | | | 1,179,992 | |
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(d) | | | Aaa | | | | 5.418% | | | | 01/15/45 | | | | 5,000 | | | | 5,357,895 | |
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(d) | | | Aaa | | | | 5.737% | | | | 05/15/43 | | | | 1,000 | | | | 1,072,562 | |
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C27, Class A2 | | | Aaa | | | | 5.624% | | | | 07/15/45 | | | | 2,757 | | | | 2,797,392 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $102,775,399) | | | | 110,467,197 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 9.3% | | | | | | | | | | | | | | | | | | | | |
Aerospace & Defense — 0.1% | | | | | | | | | | | | | | | | | | | | |
Boeing Capital Corp., Sr. Unsec’d. Notes | | | A2 | | | | 6.100% | | | | 03/01/11 | | | | 925 | | | | 933,181 | |
L-3 Communications Corp., Gtd. Notes | | | Baa3 | | | | 4.750% | | | | 07/15/20 | | | | 515 | | | | 505,978 | |
Raytheon Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 3.125% | | | | 10/15/20 | | | | 525 | | | | 484,097 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,923,256 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Airlines — 0.2% | | | | | | | | | | | | | | | | | | | | |
American Airlines Pass Through Trust 2001-01, Pass-thru Certs., Ser. 01-1 | | | B2 | | | | 6.817% | | | | 05/23/11 | | | | 2,520 | | | | 2,543,940 | |
Continental Airlines 1998-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 981A | | | Baa2 | | | | 6.648% | | | | 09/15/17 | | | | 255 | | | | 265,856 | |
Continental Airlines 2009-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 092A | | | Baa2 | | | | 7.250% | | | | 11/10/19 | | | | 768 | | | | 856,516 | |
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-1, Class A, Pass-thru Certs., Ser. A | | | Baa2 | | | | 4.750% | | | | 01/12/21 | | | | 855 | | | | 855,000 | |
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A | | | Baa1 | | | | 6.821% | | | | 08/10/22 | | | | 423 | | | | 447,882 | |
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-2, Class A, Pass-thru Certs.(b) | | | Baa2 | | | | 4.950% | | | | 05/23/19 | | | | 765 | | | | 767,869 | |
Southwest Airlines Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.500% | | | | 03/01/12 | | | | 1,005 | | | | 1,052,237 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,789,300 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Automotive | | | | | | | | | | | | | | | | | | | | |
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN | | | Baa1 | | | | 5.750% | | | | 12/15/14 | | | | 500 | | | | 525,458 | |
Johnson Controls, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 01/15/16 | | | | 245 | | | | 267,920 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 793,378 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Banking — 2.2% | | | | | | | | | | | | | | | | | | | | |
American Express Co., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 05/20/19 | | | $ | 1,925 | | | $ | 2,395,106 | |
Banco Bradesco SA (Brazil), Sub. Notes | | | A2 | | | | 8.750% | | | | 10/24/13 | | | | 1,760 | | | | 1,993,200 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | A2 | | | | 4.500% | | | | 04/01/15 | | | | 595 | | | | 604,719 | |
Bank of America Corp., Sub. Notes | | | A3 | | | | 5.750% | | | | 08/15/16 | | | | 1,775 | | | | 1,813,052 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | A2 | | | | 6.000% | | | | 09/01/17 | | | | 1,060 | | | | 1,110,885 | |
Bank of America Corp., Jr. Sub. Notes | | | Ba3 | | | | 8.000% | | | | 12/29/49 | | | | 2,200 | | | | 2,217,160 | |
Bank of America NA, Sub. Notes | | | A1 | | | | 5.300% | | | | 03/15/17 | | | | 930 | | | | 942,493 | |
Bank of America NA, Sub. Notes | | | A1 | | | | 6.000% | | | | 10/15/36 | | | | 410 | | | | 386,917 | |
Bank of Nova Scotia (Canada), Covered Notes, 144A(b) | | | Aaa | | | | 1.650% | | | | 10/29/15 | | | | 4,800 | | | | 4,588,219 | |
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 5.300% | | | | 10/30/15 | | | | 515 | | | | 558,867 | |
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 6.400% | | | | 10/02/17 | | | | 330 | | | | 376,213 | |
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | | | Aa3 | | | | 7.250% | | | | 02/01/18 | | | | 1,175 | | | | 1,392,448 | |
BNP Paribas Home Loan Covered Bonds SA (France), Covered Notes, 144A | | | Aaa | | | | 2.200% | | | | 11/02/15 | | | | 3,600 | | | | 3,447,792 | |
Capital One Bank USA NA, Sub. Notes | | | Baa1 | | | | 6.500% | | | | 06/13/13 | | | | 20 | | | | 21,899 | |
Capital One Capital V, Ltd. Gtd. Notes | | | Baa3 | | | | 10.250% | | | | 08/15/39 | | | | 620 | | | | 663,400 | |
Capital One Capital VI, Ltd. Gtd. Notes | | | Baa3 | | | | 8.875% | | | | 05/15/40 | | | | 1,080 | | | | 1,124,550 | |
Capital One Financial Corp., Sr. Unsec’d. Notes, MTN | | | Baa1 | | | | 5.700% | | | | 09/15/11 | | | | 600 | | | | 619,384 | |
Citigroup, Inc., Sub. Notes | | | Baa1 | | | | 5.000% | | | | 09/15/14 | | | | 454 | | | | 469,653 | |
Citigroup, Inc., Sub. Notes | | | Baa1 | | | | 5.625% | | | | 08/27/12 | | | | 2,800 | | | | 2,938,191 | |
Citigroup, Inc., Sub. Notes | | | Baa1 | | | | 6.125% | | | | 08/25/36 | | | | 570 | | | | 546,178 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.875% | | | | 03/05/38 | | | | 520 | | | | 576,804 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 8.125% | | | | 07/15/39 | | | | 430 | | | | 547,019 | |
Citigroup, Inc., Unsec’d. Notes | | | A3 | | | | 8.500% | | | | 05/22/19 | | | | 975 | | | | 1,210,399 | |
Countrywide Financial Corp., Gtd. Notes, MTN(b) | | | A2 | | | | 5.800% | | | | 06/07/12 | | | | 1,190 | | | | 1,251,995 | |
Depfa ACS Bank (Ireland), Covered Notes, 144A | | | Aa3 | | | | 5.125% | | | | 03/16/37 | | | | 1,380 | | | | 919,871 | |
Discover Bank, Sub. Notes | | | Ba1 | | | | 7.000% | | | | 04/15/20 | | | | 570 | | | | 612,774 | |
Discover Bank, Sub. Notes | | | Ba1 | | | | 8.700% | | | | 11/18/19 | | | | 900 | | | | 1,059,403 | |
DnB NOR Boligkreditt (Norway), Covered Notes, 144A | | | Aaa | | | | 2.100% | | | | 10/14/15 | | | | 2,400 | | | | 2,282,393 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | A1 | | | | 5.450% | | | | 11/01/12 | | | | 600 | | | | 641,716 | |
Goldman Sachs Group, Inc. (The), Sr. Notes | | | A1 | | | | 6.000% | | | | 06/15/20 | | | | 1,000 | | | | 1,080,664 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 5.625% | | | | 01/15/17 | | | | 1,190 | | | | 1,258,351 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 6.450% | | | | 05/01/36 | | | | 1,615 | | | | 1,586,490 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | A2 | | | | 6.750% | | | | 10/01/37 | | | | 104 | | | | 106,329 | |
Huntington BancShares, Inc., Sub. Notes | | | Baa3 | | | | 7.000% | | | | 12/15/20 | | | | 170 | | | | 178,992 | |
Inter-American Development Bank (Supranational), Sr. Unsec’d. Notes(b) | | | Aaa | | | | 2.375% | | | | 08/15/17 | | | | 3,145 | | | | 3,038,252 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | Aa3 | | | | 4.250% | | | | 10/15/20 | | | | 2,930 | | | | 2,861,584 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(d) | | | Baa1 | | | | 7.900% | | | | 04/29/49 | | | | 2,000 | | | | 2,125,980 | |
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA | | | A2 | | | | 7.000% | | | | 11/01/39 | | | | 1,500 | | | | 1,570,542 | |
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN | | | Aa3 | | | | 5.800% | | | | 01/13/20 | | | | 1,870 | | | | 1,846,373 | |
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.770% | | | | 07/25/11 | | | | 520 | | | | 534,610 | |
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | | | A2 | | | | 6.400% | | | | 08/28/17 | | | | 35 | | | | 37,004 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | A2 | | | | 5.300% | | | | 03/01/13 | | | | 265 | | | | 282,389 | |
Morgan Stanley, Sr. Unsec’d. Notes, Ser. E | | | A2 | | | | 5.450% | | | | 01/09/17 | | | | 2,345 | | | | 2,431,803 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.625% | | | | 09/23/19 | | | | 1,415 | | | | 1,442,851 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | A2 | | | | 5.950% | | | | 12/28/17 | | | | 620 | | | | 655,985 | |
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(d) | | | Ba1 | | | | 6.346% | | | | 07/25/49 | | | | 800 | | | | 806,150 | |
PNC Funding Corp., Gtd. Notes. | | | A3 | | | | 4.375% | | | | 08/11/20 | | | | 600 | | | | 592,981 | |
PNC Funding Corp., Gtd. Notes. | | | A3 | | | | 6.700% | | | | 06/10/19 | | | | 440 | | | | 506,588 | |
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN | | | A1 | | | | 6.400% | | | | 10/21/19 | | | | 1,775 | | | | 1,786,277 | |
Sparebanken 1 Boligkreditt (Norway), Covered Notes, 144A | | | Aaa | | | | 1.250% | | | | 10/25/13 | | | | 1,820 | | | | 1,807,784 | |
USB Capital XIII Trust, Ltd. Gtd. Notes | | | A2 | | | | 6.625% | | | | 12/15/39 | | | | 775 | | | | 791,608 | |
Wells Fargo Bank NA, Sub. Notes, Ser. AI(g) | | | Aa3 | | | | 4.750% | | | | 02/09/15 | | | | 585 | | | | 620,613 | |
Wells Fargo Bank NA, Sub. Notes | | | Aa3 | | | | 6.450% | | | | 02/01/11 | | | | 65 | | | | 65,302 | |
Wells Fargo Capital XIII, Ltd. Gtd. Notes, Ser. G, MTN(d) | | | Baa3 | | | | 7.700% | | | | 12/29/49 | | | | 1,000 | | | | 1,033,750 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 66,361,952 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Brokerage | | | | | | | | | | | | | | | | | | | | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(h) | | | NR | | | | 5.250% | | | | 02/06/12 | | | $ | 1,715 | | | $ | 396,594 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(h) | | | NR | | | | 6.875% | | | | 05/02/18 | | | | 700 | | | | 173,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 569,844 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction | | | | | | | | | | | | | | | | | | | | |
Lafarge SA (France), Sr. Unsec’d. Notes(b) | | | Baa3 | | | | 6.150% | | | | 07/15/11 | | | | 910 | | | | 933,736 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable — 0.3% | | | | | | | | | | | | | | | | | | | | |
AT&T Broadband LLC, Gtd. Notes | | | Baa1 | | | | 9.455% | | | | 11/15/22 | | | | 255 | | | | 352,813 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Sec’d. Notes, 144A | | | B1 | | | | 8.000% | | | | 04/30/12 | | | | 2,130 | | | | 2,236,500 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.400% | | | | 05/15/38 | | | | 570 | | | | 609,139 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.450% | | | | 03/15/37 | | | | 155 | | | | 165,612 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.500% | | | | 11/15/35 | | | | 450 | | | | 483,647 | |
Comcast Corp., Gtd. Notes | | | Baa1 | | | | 6.950% | | | | 08/15/37 | | | | 605 | | | | 684,296 | |
COX Communications, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.750% | | | | 03/15/11 | | | | 950 | | | | 961,429 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | Baa2 | | | | 4.750% | | | | 10/01/14 | | | | 1,945 | | | | 2,072,899 | |
DISH DBS Corp., Gtd. Notes | | | Ba3 | | | | 6.375% | | | | 10/01/11 | | | | 1,000 | | | | 1,030,000 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 5.400% | | | | 07/02/12 | | | | 1,780 | | | | 1,889,703 | |
Time Warner Cable, Inc., Gtd. Notes | | | Baa2 | | | | 7.500% | | | | 04/01/14 | | | | 345 | | | | 395,649 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,881,687 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.1% | | | | | | | | | | | | | | | | | | | | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $459,646; purchased 10/10/07)(f)(i) | | | Baa1 | | | | 5.800% | | | | 10/15/12 | | | | 460 | | | | 493,179 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,299,722; purchased 10/10/07)(f)(i) | | | Baa1 | | | | 6.375% | | | | 10/15/17 | | | | 1,302 | | | | 1,445,393 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $376,709; purchased 10/10/07)(f)(i) | | | Baa1 | | | | 7.000% | | | | 10/15/37 | | | | 380 | | | | 409,193 | |
FedEx Corp., Gtd. Notes | | | Baa2 | | | | 7.250% | | | | 02/15/11 | | | | 400 | | | | 402,981 | |
General Electric Co., Sr. Unsec’d. Notes | | | Aa2 | | | | 5.250% | | | | 12/06/17 | | | | 200 | | | | 216,019 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 2,966,765 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 0.3% | | | | | | | | | | | | | | | | | | | | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 4.250% | | | | 11/15/20 | | | | 1,225 | | | | 1,173,425 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 02/01/11 | | | | 685 | | | | 687,625 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 7.600% | | | | 05/15/14 | | | | 1,800 | | | | 2,076,098 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | Baa3 | | | | 9.400% | | | | 05/15/39 | | | | 500 | | | | 725,715 | |
ICI Wilmington, Inc., Gtd. Notes | | | Baa1 | | | | 5.625% | | | | 12/01/13 | | | | 720 | | | | 786,144 | |
Potash Corp. of Saskatchewan, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 05/15/19 | | | | 420 | | | | 484,515 | |
PPG Industries, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/40 | | | | 150 | | | | 147,184 | |
PPG Industries, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 03/15/13 | | | | 1,500 | | | | 1,628,037 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.500% | | | | 06/01/25 | | | | 460 | | | | 477,100 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,185,843 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 0.2% | | | | | | | | | | | | | | | | | | | | |
Avon Products, Inc., Sr. Unsec’d. Notes | | | A2 | | | | 5.750% | | | | 03/01/18 | | | | 1,500 | | | | 1,683,371 | |
Fortune Brands, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.375% | | | | 06/15/14 | | | | 2,250 | | | | 2,438,473 | |
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.250% | | | | 04/15/18 | | | | 1,700 | | | | 1,866,617 | |
Whirlpool Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 06/15/11 | | | | 965 | | | | 987,005 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,975,466 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 0.8% | | | | | | | | | | | | | | | | | | | | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.250% | | | | 08/01/16 | | | | 175 | | | | 195,589 | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.375% | | | | 10/15/11 | | | | 1,305 | | | | 1,358,996 | |
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.350% | | | | 10/01/36 | | | | 550 | | | | 593,911 | |
Carolina Power & Light Co., First Mtge. Bonds | | | A1 | | | | 5.250% | | | | 12/15/15 | | | | 525 | | | | 588,609 | |
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 | | | A3 | | | | 5.700% | | | | 03/15/13 | | | | 740 | | | | 802,721 | |
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 | | | A3 | | | | 6.950% | | | | 03/15/33 | | | | 590 | | | | 694,520 | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 05-C | | | A3 | | | | 5.375% | | | | 12/15/15 | | | | 730 | | | | 820,490 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Electric (continued) | | | | | | | | | | | | | | | | | | | | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C | | | A3 | | | | 5.500% | | | | 12/01/39 | | | $ | 220 | | | $ | 229,769 | |
Constellation Energy Group, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 5.150% | | | | 12/01/20 | | | | 305 | | | | 300,272 | |
Consumers Energy Co., First Mtge. Bonds, Ser. D | | | A3 | | | | 5.375% | | | | 04/15/13 | | | | 325 | | | | 350,844 | |
Duke Energy Carolinas LLC, First Mtge. Bonds | | | A1 | | | | 6.050% | | | | 04/15/38 | | | | 550 | | | | 615,005 | |
Duke Energy Carolinas LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.100% | | | | 06/01/37 | | | | 960 | | | | 1,060,993 | |
E.ON International Finance BV (Netherlands), Gtd. Notes, 144A(b) | | | A2 | | | | 6.650% | | | | 04/30/38 | | | | 890 | | | | 1,054,911 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 05/15/35 | | | | 670 | | | | 661,413 | |
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | | | Baa3 | | | | 8.625% | | | | 08/01/15 | | | | 1,295 | | | | 1,526,295 | |
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A | | | A2 | | | | 6.000% | | | | 10/07/39 | | | | 1,280 | | | | 1,148,165 | |
Exelon Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 4.900% | | | | 06/15/15 | | | | 155 | | | | 165,297 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.250% | | | | 10/01/39 | | | | 1,425 | | | | 1,434,144 | |
Florida Power & Light Co., First Mtge. Bonds | | | Aa3 | | | | 5.950% | | | | 10/01/33 | | | | 295 | | | | 322,158 | |
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B | | | A3 | | | | 5.700% | | | | 06/01/17 | | | | 495 | | | | 559,018 | |
Iberdrola International BV (Netherlands), Gtd. Notes | | | A3 | | | | 6.750% | | | | 09/15/33 | | | | 145 | | | | 149,235 | |
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF | | | Baa2 | | | | 5.050% | | | | 11/15/14 | | | | 460 | | | | 493,584 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | | | A1 | | | | 6.250% | | | | 06/17/14 | | | | 1,770 | | | | 1,942,486 | |
Louisville Gas & Electric Co., First Mtge. Bonds, 144A | | | A2 | | | | 5.125% | | | | 11/15/40 | | | | 460 | | | | 451,960 | |
Midamerican Energy Holdings Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 04/01/18 | | | | 205 | | | | 231,004 | |
Midamerican Energy Holdings Co., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.950% | | | | 05/15/37 | | | | 300 | | | | 316,447 | |
National Rural Utilities Cooperative Finance Corp., Sr. Unsec’d. Notes, Ser. C, MTN | | | A2 | | | | 7.250% | | | | 03/01/12 | | | | 90 | | | | 96,480 | |
Nevada Power Co., Genl. Ref. Mtge., Ser. O | | | Baa3 | | | | 6.500% | | | | 05/15/18 | | | | 1,260 | | | | 1,450,139 | |
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | | | A3 | | | | 4.881% | | | | 08/15/19 | | | | 610 | | | | 647,748 | |
NiSource Finance Corp., Gtd. Notes | | | Baa3 | | | | 5.250% | | | | 09/15/17 | | | | 245 | | | | 257,370 | |
NiSource Finance Corp., Gtd. Notes | | | Baa3 | | | | 5.450% | | | | 09/15/20 | | | | 350 | | | | 360,676 | |
NSTAR, Sr. Unsec’d. Notes | | | A2 | | | | 4.500% | | | | 11/15/19 | | | | 615 | | | | 637,586 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | Baa1 | | | | 6.375% | | | | 01/15/15 | | | | 345 | | | | 391,231 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | Baa1 | | | | 7.000% | | | | 09/01/22 | | | | 475 | | | | 557,969 | |
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | | | A3 | | | | 6.050% | | | | 03/01/34 | | | | 1,550 | | | | 1,697,093 | |
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | | | Baa3 | | | | 7.950% | | | | 05/15/18 | | | | 140 | | | | 157,339 | |
Public Service Electric & Gas Co., Sec’d. Notes, MTN | | | A2 | | | | 5.800% | | | | 05/01/37 | | | | 535 | | | | 576,595 | |
Southern California Edison Co., Ser. 04-F | | | A1 | | | | 4.650% | | | | 04/01/15 | | | | 470 | | | | 511,750 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.613% | | | | 04/01/17 | | | | 199 | | | | 215,949 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 07/01/36 | | | | 445 | | | | 496,995 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 26,122,756 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy – Integrated — 0.2% | | | | | | | | | | | | | | | | | | | | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 4.500% | | | | 10/01/20 | | | | 950 | | | | 947,710 | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | | | A2 | | | | 5.250% | | | | 11/07/13 | | | | 1,040 | | | | 1,126,333 | |
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa2 | | | | 6.750% | | | | 11/15/39 | | | | 975 | | | | 1,135,869 | |
Hess Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.000% | | | | 01/15/40 | | | | 400 | | | | 419,265 | |
Marathon Oil Canada Corp. (Canada), Gtd. Notes | | | Baa1 | | | | 8.375% | | | | 05/01/12 | | | | 360 | | | | 391,688 | |
TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A | | | Baa2 | | | | 7.500% | | | | 07/18/16 | | | | 1,425 | | | | 1,579,969 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,600,834 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy – Other — 0.2% | | | | | | | | | | | | | | | | | | | | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.375% | | | | 09/15/17 | | | | 195 | | | | 212,415 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 8.700% | | | | 03/15/19 | | | | 250 | | | | 305,302 | |
Anadarko Petroleum Corp., Unsec’d. Notes | | | Ba1 | | | | 6.200% | | | | 03/15/40 | | | | 315 | | | | 307,497 | |
Apache Corp., Sr. Unsec’d. Notes | | | A3 | | | | 5.100% | | | | 09/01/40 | | | | 415 | | | | 403,229 | |
Devon Financing Corp. ULC (Canada), Gtd. Notes | | | Baa1 | | | | 7.875% | | | | 09/30/31 | | | | 225 | | | | 296,648 | |
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A | | | A1 | | | | 5.888% | | | | 06/15/19 | | | | 872 | | | | 933,190 | |
Nexen, Inc. (Canada), Sr. Unsec’d. Notes | | | Baa3 | | | | 6.400% | | | | 05/15/37 | | | | 200 | | | | 193,777 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.875% | | | | 05/01/18 | | | | 1,500 | | | | 1,594,656 | |
Valero Energy Corp., Gtd. Notes | | | Baa2 | | | | 6.625% | | | | 06/15/37 | | | | 255 | | | | 258,987 | |
Weatherford International Ltd. (Bermuda), Gtd. Notes | | | Baa2 | | | | 5.125% | | | | 09/15/20 | | | | 810 | | | | 805,976 | |
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A | | | Baa1 | | | | 5.000% | | | | 11/15/13 | | | | 1,315 | | | | 1,412,923 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,724,600 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Foods — 0.4% | | | | | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 8.000% | | | | 11/15/39 | | | $ | 1,285 | | | $ | 1,716,824 | |
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes, 144A | | | Baa2 | | | | 8.200% | | | | 01/15/39 | | | | 250 | | | | 339,149 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | Baa2 | | | | 5.350% | | | | 04/15/14 | | | | 1,040 | | | | 1,093,159 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | Baa2 | | | | 8.500% | | | | 06/15/19 | | | | 985 | | | | 1,154,938 | |
Cargill, Inc., Sr. Unsec’d. Notes, 144A
(original cost $666,818; purchased 11/19/07)(f)(i) | | | A2 | | | | 6.000% | | | | 11/27/17 | | | | 670 | | | | 758,152 | |
Delhaize Group SA (Belgium), Gtd. Notes, 144A | | | Baa3 | | | | 5.700% | | | | 10/01/40 | | | | 1,067 | | | | 1,015,666 | |
Delhaize Group SA (Belgium), Gtd. Notes | | | Baa3 | | | | 6.500% | | | | 06/15/17 | | | | 480 | | | | 544,163 | |
General Mills, Inc., Sr. Unsec’d. Notes(b) | | | Baa1 | | | | 6.000% | | | | 02/15/12 | | | | 737 | | | | 777,108 | |
H.J. Heinz Finance Co., Gtd. Notes, 144A | | | Baa2 | | | | 7.125% | | | | 08/01/39 | | | | 450 | | | | 529,163 | |
Kraft Foods, Inc., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.500% | | | | 02/09/40 | | | | 1,710 | | | | 1,916,276 | |
Kroger Co. (The), Gtd. Notes | | | Baa2 | | | | 6.750% | | | | 04/15/12 | | | | 45 | | | | 48,039 | |
Kroger Co. (The), Gtd. Notes | | | Baa2 | | | | 6.800% | | | | 04/01/11 | | | | 670 | | | | 679,826 | |
Tyson Foods, Inc., Gtd. Notes | | | Ba2 | | | | 7.350% | | | | 04/01/16 | | | | 735 | | | | 806,203 | |
Yum! Brands, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 04/15/11 | | | | 180 | | | | 183,984 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 11,562,650 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.3% | | | | | | | | | | | | | | | | | | | | |
Abbott Laboratories, Sr. Unsec’d. Notes | | | A1 | | | | 5.875% | | | | 05/15/16 | | | | 1,145 | | | | 1,321,792 | |
AmerisourceBergen Corp., Gtd. Notes | | | Baa3 | | | | 5.625% | | | | 09/15/12 | | | | 915 | | | | 977,366 | |
Becton, Dickinson and Co., Sr. Unsec’d. Notes | | | A2 | | | | 5.000% | | | | 11/12/40 | | | | 460 | | | | 452,956 | |
Genentech, Inc., Sr. Unsec’d. Notes | | | AA-(e) | | | | 4.750% | | | | 07/15/15 | | | | 280 | | | | 308,306 | |
GlaxoSmithKline Capital, Inc., Gtd. Notes | | | A1 | | | | 6.375% | | | | 05/15/38 | | | | 870 | | | | 1,028,257 | |
HCA, Inc., Sec’d. Notes | | | B2 | | | | 9.250% | | | | 11/15/16 | | | | 1,925 | | | | 2,053,734 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | Baa2 | | | | 5.625% | | | | 12/15/15 | | | | 580 | | | | 635,748 | |
Merck & Co., Inc., Gtd. Notes | | | Aa3 | | | | 6.550% | | | | 09/15/37 | | | | 265 | | | | 322,852 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 5.750% | | | | 11/15/36 | | | | 110 | | | | 121,041 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 5.950% | | | | 12/01/28 | | | | 165 | | | | 188,740 | |
Merck & Co., Inc., Sr. Unsec’d. Notes | | | Aa3 | | | | 6.000% | | | | 09/15/17 | | | | 884 | | | | 1,033,031 | |
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.125% | | | | 08/15/19 | | | | 445 | | | | 492,766 | |
Wyeth, Gtd. Notes | | | A1 | | | | 5.500% | | | | 03/15/13 | | | | 1,210 | | | | 1,322,986 | |
Wyeth, Gtd. Notes | | | A1 | | | | 6.450% | | | | 02/01/24 | | | | 60 | | | | 70,681 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,330,256 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare Insurance — 0.2% | | | | | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.750% | | | | 06/15/11 | | | | 390 | | | | 398,639 | |
Aetna, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.625% | | | | 06/15/36 | | | | 515 | | | | 566,076 | |
CIGNA Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.150% | | | | 11/15/36 | | | | 670 | | | | 692,130 | |
Coventry Health Care, Inc., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.125% | | | | 01/15/15 | | | | 1,290 | | | | 1,343,253 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.250% | | | | 03/15/11 | | | | 1,350 | | | | 1,361,440 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.000% | | | | 06/15/17 | | | | 195 | | | | 217,466 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.500% | | | | 06/15/37 | | | | 420 | | | | 463,748 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.625% | | | | 11/15/37 | | | | 420 | | | | 471,176 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.000% | | | | 12/15/14 | | | | 860 | | | | 933,056 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,446,984 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Insurance — 0.7% | | | | | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes | | | Baa1 | | | | 5.500% | | | | 11/15/20 | | | | 525 | | | | 504,454 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 4.250% | | | | 05/15/13 | | | | 580 | | | | 600,212 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.400% | | | | 12/15/20 | | | | 1,055 | | | | 1,106,915 | |
AXA SA (France), Sub. Notes | | | A3 | | | | 8.600% | | | | 12/15/30 | | | | 155 | | | | 173,682 | |
Axis Specialty Finance LLC, Gtd. Notes | | | Baa1 | | | | 5.875% | | | | 06/01/20 | | | | 1,030 | | | | 1,028,387 | |
Berkshire Hathaway Finance Corp., Gtd. Notes | | | Aa2 | | | | 4.750% | | | | 05/15/12 | | | | 440 | | | | 463,319 | |
Berkshire Hathaway Finance Corp., Gtd. Notes(j) | | | Aa2 | | | | 5.750% | | | | 01/15/40 | | | | 825 | | | | 866,968 | |
Chubb Corp. (The), Jr. Sub. Notes(d) | | | A3 | | | | 6.375% | | | | 03/29/67 | | | | 1,300 | | | | 1,355,250 | |
Liberty Mutual Group, Inc., Bonds, 144A | | | Baa2 | | | | 7.000% | | | | 03/15/34 | | | | 850 | | | | 803,478 | |
Lincoln National Corp., Jr. Sub. Notes(d) | | | Ba1 | | | | 6.050% | | | | 04/20/67 | | | | 260 | | | | 239,850 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.300% | | | �� | 10/09/37 | | | | 492 | | | | 495,118 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 7.000% | | | | 06/15/40 | | | | 705 | | | | 766,668 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Insurance (continued) | | | | | | | | | | | | | | | | | | | | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 8.750% | | | | 07/01/19 | | | $ | 605 | | | $ | 756,763 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 5.700% | | | | 06/15/35 | | | | 1,020 | | | | 1,041,170 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.125% | | | | 12/01/11 | | | | 335 | | | | 351,353 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.375% | | | | 06/15/34 | | | | 400 | | | | 436,655 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.750% | | | | 06/01/16 | | | | 430 | | | | 498,784 | |
New York Life Insurance Co., Sub. Notes, 144A | | | Aa2 | | | | 6.750% | | | | 11/15/39 | | | | 660 | | | | 778,205 | |
Northwestern Mutual Life Insurance, Notes, 144A | | | Aa2 | | | | 6.063% | | | | 03/30/40 | | | | 370 | | | | 408,681 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | Baa1 | | | | 6.350% | | | | 04/01/13 | | | | 1,120 | | | | 1,199,363 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | Baa1 | | | | 6.375% | | | | 04/30/20 | | | | 680 | | | | 707,768 | |
Pacific Life Insurance Co., Sub. Notes, 144A
(original cost $994,522; purchased 06/16/09)(i) | | | A3 | | | | 9.250% | | | | 06/15/39 | | | | 995 | | | | 1,293,036 | |
Progressive Corp. (The), Jr. Sub. Notes(d) | | | A2 | | | | 6.700% | | | | 06/15/37 | | | | 735 | | | | 755,213 | |
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | | | Aa2 | | | | 6.850% | | | | 12/16/39 | | | | 1,450 | | | | 1,696,503 | |
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | | | A2 | | | | 3.900% | | | | 11/01/20 | | | | 310 | | | | 301,145 | |
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | | | A2 | | | | 6.750% | | | | 06/20/36 | | | | 685 | | | | 801,043 | |
Unum Group, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.625% | | | | 09/15/20 | | | | 350 | | | | 351,317 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.600% | | | | 05/15/15 | | | | 555 | | | | 584,938 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.150% | | | | 08/15/19 | | | | 460 | | | | 469,195 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | Baa2 | | | | 5.250% | | | | 09/15/14 | | | | 85 | | | | 87,584 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 20,923,017 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Lodging — 0.2% | | | | | | | | | | | | | | | | | | | | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(b) | | | Ba1 | | | | 6.250% | | | | 02/15/13 | | | | 1,645 | | | | 1,760,150 | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.750% | | | | 05/15/18 | | | | 2,800 | | | | 3,066,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,826,150 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.3% | | | | | | | | | | | | | | | | | | | | |
Gannett Co., Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 6.375% | | | | 04/01/12 | | | | 2,500 | | | | 2,575,000 | |
Historic TW, Inc., Gtd. Notes | | | Baa2 | | | | 9.150% | | | | 02/01/23 | | | | 505 | | | | 662,689 | |
NBC Universal, Inc., Sr. Unsec’d. Notes, 144A | | | Baa2 | | | | 4.375% | | | | 04/01/21 | | | | 915 | | | | 888,106 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.150% | | | | 03/01/37 | | | | 580 | | | | 604,698 | |
News America, Inc., Gtd. Notes | | | Baa1 | | | | 6.900% | | | | 08/15/39 | | | | 280 | | | | 320,577 | |
Time Warner Cos., Inc., Gtd. Notes | | | Baa2 | | | | 7.250% | | | | 10/15/17 | | | | 790 | | | | 942,958 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 4.700% | | | | 01/15/21 | | | | 330 | | | | 335,996 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 4.875% | | | | 03/15/20 | | | | 500 | | | | 520,727 | |
Time Warner, Inc., Gtd. Notes | | | Baa2 | | | | 7.625% | | | | 04/15/31 | | | | 180 | | | | 218,823 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.750% | | | | 10/05/37 | | | | 430 | | | | 486,331 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 04/30/36 | | | | 625 | | | | 717,095 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,273,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Metals — 0.3% | | | | | | | | | | | | | | | | | | | | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | Baa3 | | | | 3.750% | | | | 08/05/15 | | | | 2,695 | | | | 2,717,439 | |
Newmont Mining Corp., Gtd. Notes | | | Baa1 | | | | 6.250% | | | | 10/01/39 | | | | 880 | | | | 956,828 | |
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes | | | BBB+(e) | | | | 4.500% | | | | 05/15/13 | | | | 115 | | | | 123,181 | |
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes | | | BBB+(e) | | | | 5.000% | | | | 06/01/15 | | | | 600 | | | | 653,525 | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 7.500% | | | | 07/27/35 | | | | 125 | | | | 138,725 | |
Teck Resources Ltd. (Canada), Gtd. Notes | | | Baa2 | | | | 3.850% | | | | 08/15/17 | | | | 430 | | | | 436,186 | |
United States Steel Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 5.650% | | | | 06/01/13 | | | | 2,580 | | | | 2,670,300 | |
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes | | | Baa2 | | | | 6.875% | | | | 11/10/39 | | | | 815 | | | | 900,518 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,596,702 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.5% | | | | | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Notes, MTN | | | Aa2 | | | | 3.500% | | | | 08/13/12 | | | | 1,990 | | | | 2,061,642 | |
General Electric Capital Corp., Notes, MTN | | | Aa2 | | | | 4.375% | | | | 09/16/20 | | | | 1,375 | | | | 1,353,216 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | Aa2 | | | | 5.550% | | | | 05/04/20 | | | | 505 | | | | 533,810 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | Aa2 | | | | 5.875% | | | | 01/14/38 | | | | 1,060 | | | | 1,100,332 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. A, MTN(j) | | | Aa2 | | | | 6.125% | | | | 02/22/11 | | | | 950 | | | | 956,955 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(j) | | | Aa2 | | | | 6.000% | | | | 08/07/19 | | | | 920 | | | | 1,023,584 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN | | | Aa2 | | | | 6.875% | | | | 01/10/39 | | | | 1,075 | | | | 1,242,334 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Captive Finance (continued) | | | | | | | | | | | | | | | | | | | | |
HSBC Finance Corp., Sr. Unsec’d. Notes | | | A3 | | | | 5.700% | | | | 06/01/11 | | | $ | 440 | | | $ | 448,522 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | B1 | | | | 6.375% | | | | 03/25/13 | | | | 1,850 | | | | 1,896,250 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.000% | | | | 03/25/20 | | | | 1,050 | | | | 1,064,600 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.450% | | | | 06/15/18 | | | | 2,870 | | | | 2,982,969 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 14,664,214 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Packaging | | | | | | | | | | | | | | | | | | | | |
Sealed Air Corp., Sr. Unsec’d. Notes, 144A | | | Baa3 | | | | 6.875% | | | | 07/15/33 | | | | 515 | | | | 482,888 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Paper — 0.1% | | | | | | | | | | | | | | | | | | | | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $437,417; purchased 10/27/10)(i) | | | Ba2 | | | | 5.400% | | | | 11/01/20 | | | | 440 | | | | 435,019 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.300% | | | | 11/15/39 | | | | 1,080 | | | | 1,230,598 | |
International Paper Co., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.950% | | | | 06/15/18 | | | | 685 | | | | 815,125 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 2,480,742 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.1% | | | | | | | | | | | | | | | | | | | | |
ONEOK Partners LP, Gtd. Notes | | | Baa2 | | | | 6.650% | | | | 10/01/36 | | | | 145 | | | | 157,241 | |
Sempra Energy, Sr. Unsec’d. Notes | | | Baa1 | | | | 6.000% | | | | 02/01/13 | | | | 90 | | | | 97,567 | |
Spectra Energy Capital LLC, Gtd. Notes | | | Baa2 | | | | 6.200% | | | | 04/15/18 | | | | 3,190 | | | | 3,543,018 | |
Spectra Energy Capital LLC, Sr. Unsec’d. Notes | | | Baa2 | | | | 6.250% | | | | 02/15/13 | | | | 235 | | | | 254,858 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,052,684 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Railroads — 0.1% | | | | | | | | | | | | | | | | | | | | |
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | | | A3 | | | | 6.700% | | | | 08/01/28 | | | | 670 | | | | 750,093 | |
CSX Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 6.150% | | | | 05/01/37 | | | | 715 | | | | 768,741 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.590% | | | | 05/17/25 | | | | 525 | | | | 542,408 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 7.800% | | | | 05/15/27 | | | | 18 | | | | 23,210 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 2,084,452 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.2% | | | | | | | | | | | | | | | | | | | | |
Brandywine Operating Partnership LP, Gtd. Notes | | | Baa3 | | | | 5.750% | | | | 04/01/12 | | | | 361 | | | | 373,814 | |
Mack-Cali Realty LP, Sr. Unsec’d. Notes(b) | | | Baa2 | | | | 7.750% | | | | 08/15/19 | | | | 765 | | | | 890,272 | |
Post Apartment Homes LP, Sr. Unsec’d. Notes | | | Baa3 | | | | 5.450% | | | | 06/01/12 | | | | 435 | | | | 449,619 | |
Post Apartment Homes LP, Sr. Unsec’d. Notes | | | Baa3 | | | | 6.300% | | | | 06/01/13 | | | | 660 | | | | 709,377 | |
ProLogis, Sr. Unsec’d. Notes | | | Baa2 | | | | 6.875% | | | | 03/15/20 | | | | 72 | | | | 76,444 | |
Simon Property Group LP, Sr. Unsec’d. Notes(b) | | | A3 | | | | 6.125% | | | | 05/30/18 | | | | 2,800 | | | | 3,147,052 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,646,578 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 0.3% | | | | | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.750% | | | | 08/15/11 | | | | 1,000 | | | | 1,031,013 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 5.750% | | | | 06/01/17 | | | | 1,640 | | | | 1,824,746 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.125% | | | | 09/15/39 | | | | 515 | | | | 550,256 | |
GameStop Corp./GameStop, Inc., Gtd. Notes | | | Ba1 | | | | 8.000% | | | | 10/01/12 | | | | 650 | | | | 664,625 | |
Home Depot, Inc. (The), Sr. Unsec’d. Notes | | | Baa1 | | | | 5.875% | | | | 12/16/36 | | | | 325 | | | | 338,048 | |
Kohl’s Corp., Sr. Unsec’d. Notes | | | Baa1 | | | | 6.875% | | | | 12/15/37 | | | | 1,015 | | | | 1,170,419 | |
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | | | A1 | | | | 6.500% | | | | 03/15/29 | | | | 385 | | | | 432,483 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.350% | | | | 03/15/12 | | | | 390 | | | | 402,675 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | Ba1 | | | | 5.875% | | | | 01/15/13 | | | | 2,000 | | | | 2,120,000 | |
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes | | | Aa2 | | | | 5.000% | | | | 10/25/40 | | | | 1,570 | | | | 1,524,886 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,059,151 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.2% | | | | | | | | | | | | | | | | | | | | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 3.375% | | | | 11/01/15 | | | | 400 | | | | 387,760 | |
Fiserv, Inc., Gtd. Notes | | | Baa2 | | | | 6.125% | | | | 11/20/12 | | | | 1,000 | | | | 1,081,477 | |
HP Enterprise Services LLC, Sr. Unsec’d. Notes | | | A2 | | | | 7.450% | | | | 10/15/29 | | | | 55 | | | | 70,648 | |
Intuit, Inc., Sr. Unsec’d. Notes | | | Baa1 | | | | 5.400% | | | | 03/15/12 | | | | 600 | | | | 628,335 | |
Motorola Solutions, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.000% | | | | 11/01/11 | | | | 49 | | | | 51,605 | |
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes | | | Ba1 | | | | 6.375% | | | | 10/01/11 | | | | 1,000 | | | | 1,026,250 | |
Xerox Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 4.250% | | | | 02/15/15 | | | | 2,720 | | | | 2,846,110 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,092,185 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Telecommunications — 0.6% | | | | | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | A2 | | | | 6.125% | | | | 03/30/40 | | | $ | 590 | | | $ | 625,683 | |
AT&T Corp., Gtd. Notes | | | A2 | | | | 8.000% | | | | 11/15/31 | | | | 7 | | | | 8,798 | |
AT&T, Inc., Sr. Unsec’d. Notes, 144A | | | A2 | | | | 5.350% | | | | 09/01/40 | | | | 1,883 | | | | 1,770,898 | |
AT&T Mobility LLC, Sr. Unsec’d. Notes | | | A2 | | | | 7.125% | | | | 12/15/31 | | | | 505 | | | | 592,251 | |
Deutsche Telekom International Finance BV (Netherlands), Gtd. Notes | | | Baa1 | | | | 8.750% | | | | 06/15/30 | | | | 295 | | | | 396,465 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $349,979; purchased 05/12/06)(f)(i) | | | Baa3 | | | | 7.082% | | | | 06/01/16 | | | | 350 | | | | 387,068 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $1,625,166; purchased 05/12/06-04/10/07)(f)(i) | | | Baa3 | | | | 7.995% | | | | 06/01/36 | | | | 1,600 | | | | 1,747,006 | |
France Telecom SA (France), Sr. Unsec’d. Notes | | | A3 | | | | 8.500% | | | | 03/01/31 | | | | 375 | | | | 509,786 | |
New Cingular Wireless Services, Inc., Gtd. Notes | | | A2 | | | | 8.125% | | | | 05/01/12 | | | | 640 | | | | 699,126 | |
PCCW-HKT Capital Ltd. (Virgin Islands (US)), Gtd. Notes, 144A | | | Baa2 | | | | 8.000% | | | | 11/15/11 | | | | 2,370 | | | | 2,494,136 | |
Qwest Capital Funding, Inc., Gtd. Notes | | | Ba3 | | | | 7.250% | | | | 02/15/11 | | | | 700 | | | | 701,320 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.875% | | | | 03/15/12 | | | | 2,000 | | | | 2,162,500 | |
Telecom Italia Capital SA (Luxembourg), Gtd. Notes | | | Baa2 | | | | 5.250% | | | | 11/15/13 | | | | 320 | | | | 333,378 | |
Telecom Italia Capital SA (Luxembourg), Gtd. Notes | | | Baa2 | | | | 7.175% | | | | 06/18/19 | | | | 2,095 | | | | 2,241,510 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 5.877% | | | | 07/15/19 | | | | 390 | | | | 398,484 | |
Telefonica Emisiones SAU (Spain), Gtd. Notes | | | Baa1 | | | | 7.045% | | | | 06/20/36 | | | | 210 | | | | 214,867 | |
Telefonos de Mexico SAB de CV (Mexico), Sr. Unsec’d. Notes | | | A3 | | | | 5.500% | | | | 11/15/19 | | | | 255 | | | | 269,195 | |
TELUS Corp. (Canada), Sr. Unsec’d. Notes | | | Baa1 | | | | 8.000% | | | | 06/01/11 | | | | 509 | | | | 522,880 | |
United States Cellular Corp., Sr. Unsec’d. Notes | | | Baa2 | | | | 6.700% | | | | 12/15/33 | | | | 275 | | | | 267,125 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | A3 | | | | 6.100% | | | | 04/15/18 | | | | 3,165 | | | | 3,595,193 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 19,937,669 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.2% | | | | | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 9.700% | | | | 11/10/18 | | | | 1,215 | | | | 1,602,860 | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 9.950% | | | | 11/10/38 | | | | 140 | | | | 197,278 | |
Altria Group, Inc., Gtd. Notes | | | Baa1 | | | | 10.200% | | | | 02/06/39 | | | | 790 | | | | 1,141,775 | |
Lorillard Tobacco Co., Gtd. Notes | | | Baa2 | | | | 8.125% | | | | 06/23/19 | | | | 500 | | | | 556,365 | |
Philip Morris International, Inc., Sr. Unsec’d. Notes | | | A2 | | | | 4.875% | | | | 05/16/13 | | | | 860 | | | | 930,995 | |
Reynolds American, Inc., Gtd. Notes | | | Baa3 | | | | 7.250% | | | | 06/15/37 | | | | 320 | | | | 332,714 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,761,987 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $272,011,905) | | | | 286,050,726 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| MORTGAGE-BACKED SECURITIES — 10.1% | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | | | 4.000% | | | | TBA 30 YR | | | | 1,500 | | | | 1,488,984 | |
Federal Home Loan Mortgage Corp. | | | | | | | 4.500% | | | | 02/01/19-07/01/20 | | | | 3,203 | | | | 3,379,582 | |
Federal Home Loan Mortgage Corp. | | | | | | | 4.500% | | | | TBA 30 YR | | | | 11,000 | | | | 11,240,625 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.000% | | | | 07/01/18-05/01/34 | | | | 6,151 | | | | 6,543,630 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.000% | | | | TBA 15 YR | | | | 8,000 | | | | 8,447,504 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.000% | | | | TBA 30 YR | | | | 9,500 | | | | 9,963,125 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.195% | | | | 12/01/35 | | | | 1,651 | | | | 1,759,408 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.492% | | | | 06/01/36 | | | | 1,363 | | | | 1,428,690 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.500% | | | | 12/01/33-05/01/38 | | | | 7,619 | | | | 8,162,623 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.500% | | | | TBA 30 YR | | | | 14,000 | | | | 14,918,750 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.000% | | | | 03/01/32-12/01/33 | | | | 1,823 | | | | 2,011,186 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.000% | | | | TBA 30 YR | | | | 4,000 | | | | 4,332,500 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.500% | | | | 12/01/14 | | | | 132 | | | | 143,980 | |
Federal Home Loan Mortgage Corp. | | | | | | | 7.000% | | | | 01/01/31-10/01/32 | | | | 888 | | | | 1,012,068 | |
Federal National Mortgage Association | | | | | | | 2.187% | | | | 07/01/33 | | | | 525 | | | | 544,047 | |
Federal National Mortgage Association | | | | | | | 3.500% | | | | TBA 15 YR | | | | 17,500 | | | | 17,620,313 | |
Federal National Mortgage Association | | | | | | | 4.000% | | | | 06/01/19 | | | | 1,045 | | | | 1,089,734 | |
Federal National Mortgage Association | | | | | | | 4.000% | | | | TBA 30 YR | | | | 6,000 | | | | 5,968,128 | |
Federal National Mortgage Association | | | | | | | 4.500% | | | | 11/01/18-08/01/39 | | | | 16,706 | | | | 17,360,997 | |
Federal National Mortgage Association | | | | | | | 4.500% | | | | TBA 30 YR | | | | 15,000 | | | | 15,396,090 | |
Federal National Mortgage Association | | | | | | | 5.000% | | | | 10/01/18-02/01/36 | | | | 19,941 | | | | 21,084,906 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES
(continued) | | Moody’s
Ratings
(Unaudited)†
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Federal National Mortgage Association | | | | 5.000% | | | | TBA 30 YR | | | $ | 18,000 | | | $ | 18,922,500 | |
Federal National Mortgage Association | | | | 5.500% | | | | 03/01/16-08/01/37 | | | | 39,739 | | | | 42,782,734 | |
Federal National Mortgage Association | | | | 5.813% | | | | 06/01/37 | | | | 1,146 | | | | 1,214,648 | |
Federal National Mortgage Association | | | | 6.000% | | | | 04/01/13-05/01/38 | | | | 18,670 | | | | 20,484,427 | |
Federal National Mortgage Association | | | | 6.000% | | | | TBA 30 YR | | | | 12,000 | | | | 13,042,500 | |
Federal National Mortgage Association | | | | 6.500% | | | | 07/01/17 -09/01/37 | | | | 8,007 | | | | 8,986,968 | |
Federal National Mortgage Association | | | | 7.000% | | | | 08/01/11-07/01/32 | | | | 544 | | | | 618,513 | |
Federal National Mortgage Association | | | | 7.500% | | | | 06/01/12-05/01/32 | | | | 180 | | | | 205,574 | |
Government National Mortgage Association | | | | 4.000% | | | | TBA 30 YR | | | | 10,000 | | | | 10,057,890 | |
Government National Mortgage Association | | | | 4.000% | | | | TBA 30 YR | | | | 3,500 | | | | 3,510,392 | |
Government National Mortgage Association | | | | 4.500% | | | | TBA 30 YR | | | | 15,500 | | | | 16,090,938 | |
Government National Mortgage Association | | | | 5.000% | | | | TBA 30 YR | | | | 4,500 | | | | 4,783,387 | |
Government National Mortgage Association | | | | 5.500% | | | | 11/15/32-02/15/36 | | | | 7,717 | | | | 8,410,549 | |
Government National Mortgage Association | | | | 6.000% | | | | 02/15/33-10/15/34 | | | | 3,161 | | | | 3,512,224 | |
Government National Mortgage Association | | | | 6.500% | | | | 10/15/23-07/15/35 | | | | 3,489 | | | | 3,958,047 | |
Government National Mortgage Association | | | | 8.000% | | | | 01/15/24-04/15/25 | | | | 87 | | | | 102,475 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(cost $300,503,178) | | | | 310,580,636 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 0.4% | | | | | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | Aa3 | | | | 6.263% | | | | 04/01/49 | | | | 1,325 | | | | 1,350,851 | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | A1 | | | | 6.395% | | | | 01/01/40 | | | | 1,030 | | | | 1,001,582 | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | Aa2 | | | | 6.731% | | | | 07/01/43 | | | | 1,000 | | | | 997,600 | |
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs | | | A3 | | | | 7.414% | | | | 01/01/40 | | | | 1,070 | | | | 1,180,403 | |
New York City Transitional Finance Authority, Revenue Bonds, BABs | | | Aa1 | | | | 5.767% | | | | 08/01/36 | | | | 1,130 | | | | 1,138,803 | |
Ohio State University (The), Revenue Bonds, BABs | | | Aa1 | | | | 4.910% | | | | 06/01/40 | | | | 455 | | | | 414,464 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | Aaa | | | | 4.879% | | | | 12/01/34 | | | | 300 | | | | 285,465 | |
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs | | | Aa2 | | | | 5.834% | | | | 11/15/34 | | | | 445 | | | | 456,214 | |
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs | | | Aa3 | | | | 5.511% | | | | 12/01/45 | | | | 550 | | | | 497,964 | |
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs | | | Aa2 | | | | 5.844% | | | | 11/01/50 | | | | 680 | | | | 681,401 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.300% | | | | 10/01/39 | | | | 1,270 | | | | 1,288,224 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.500% | | | | 04/01/34 | | | | 475 | | | | 491,440 | |
State of California, General Obligation Unlimited, BABs | | | A1 | | | | 7.550% | | | | 04/01/39 | | | | 245 | | | | 254,949 | |
State of California, General Obligation Unlimited, BABs(b) | | | A1 | | | | 7.625% | | | | 03/01/40 | | | | 215 | | | | 226,591 | |
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs | | | Aaa | | | | 5.028% | | | | 04/01/26 | | | | 335 | | | | 330,343 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $10,687,254) | | | | 10,596,294 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| NON-CORPORATE FOREIGN AGENCIES — 0.4% | | | | | | | | | | | | | | | | | | | | |
Commonwealth Bank of Australia (Australia), 144A(b) | | | Aaa | | | | 2.700% | | | | 11/25/14 | | | | 7,435 | | | | 7,672,422 | |
Export-Import Bank of Korea (South Korea) | | | A1 | | | | 4.000% | | | | 01/29/21 | | | | 765 | | | | 714,655 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | | | A1 | | | | 5.125% | | | | 06/29/20 | | | | 400 | | | | 411,866 | |
Pemex Project Funding Master Trust, Gtd. Notes | | | Baa1 | | | | 8.625% | | | | 12/01/23 | | | | 350 | | | | 427,091 | |
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A | | | Baa1 | | | | 6.299% | | | | 05/15/17 | | | | 2,190 | | | | 2,200,950 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL NON-CORPORATE FOREIGN AGENCIES
(cost $11,219,057) | | | | 11,426,984 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| NON-CORPORATE SOVEREIGN | | | | | | | | | | | | | | | | | | | | |
Qatar Government International Bond (Qatar), Sr. Notes, 144A
(cost $738,409) | | | Aa2 | | | | 6.400% | | | | 01/20/40 | | | | 740 | | | | 802,900 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | |
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4% | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | |
Federal Home Loan Banks Federal Home Loan Mortgage Corp.(b) Federal National Mortgage Association, Notes Resolution Funding Corp. Interest Strip, Bonds(k) Tennessee Valley Authority, Bonds, Ser. E Tennessee Valley Authority, Notes Western Corporate Federal Credit Union, Gtd. Notes | | | 5.500% | | | | 07/15/36 | | | $ | 1,080 | | | $ | 1,189,649 | |
| | | 5.125% | | | | 11/17/17 | | | | 630 | | | | 717,389 | |
| | | 4.375% | | | | 10/15/15 | | | | 2,225 | | | | 2,449,155 | |
| | | 3.530% | | | | 04/15/18 | | | | 2,615 | | | | 2,073,520 | |
| | | 6.250% | | | | 12/15/17 | | | | 560 | | | | 672,112 | |
| | | 4.500% | | | | 04/01/18 | | | | 1,445 | | | | 1,566,337 | |
| | | 1.750% | | | | 11/02/12 | | | | 2,610 | | | | 2,657,199 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $10,894,372) | | | | 11,325,361 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 4.5% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds(b) U.S. Treasury Bonds U.S. Treasury Bonds U.S. Treasury Bonds(g) U.S. Treasury Bonds U.S. Treasury Bonds U.S. Treasury Inflation Indexed Bonds U.S. Treasury Notes(b) U.S. Treasury Notes U.S. Treasury Notes(b) U.S. Treasury Notes U.S. Treasury Notes U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(b)(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Coupon(l) U.S. Treasury Strips Principal(b)(k) U.S. Treasury Strips Principal(k) | | | 3.875% | | | | 08/15/40 | | | | 5,265 | | | | 4,849,560 | |
| | | 4.625% | | | | 02/15/40 | | | | 2,895 | | | | 3,032,512 | |
| | | 6.250% | | | | 08/15/23 | | | | 10,495 | | | | 13,190,903 | |
| | | 7.125% | | | | 02/15/23 | | | | 8,200 | | | | 11,013,625 | |
| | | 7.250% | | | | 08/15/22 | | | | 3,180 | | | | 4,298,963 | |
| | | 8.000% | | | | 11/15/21 | | | | 4,820 | | | | 6,817,288 | |
| | | 1.375% | | | | 01/15/20 | | | | 5,623 | | | | 5,843,696 | |
| | | 1.375% | | | | 11/30/15 | | | | 1,690 | | | | 1,642,337 | |
| | | 2.125% | | | | 12/31/15 | | | | 2,525 | | | | 2,538,413 | |
| | | 2.625% | | | | 11/15/20 | | | | 4,060 | | | | 3,829,721 | |
| | | 3.625% | | | | 08/15/19 | | | | 14,985 | | | | 15,654,650 | |
| | | 3.625% | | | | 02/15/20 | | | | 11,675 | | | | 12,116,455 | |
| | | 4.200% | | | | 05/15/24 | | | | 10,845 | | | | 6,218,902 | |
| | | 4.230% | | | | 11/15/24 | | | | 17,475 | | | | 9,730,884 | |
| | | 4.240% | | | | 08/15/24 | | | | 6,520 | | | | 3,681,903 | |
| | | 4.250% | | | | 02/15/25 | | | | 4,500 | | | | 2,471,283 | |
| | | 4.310% | | | | 08/15/25 | | | | 1,055 | | | | 562,441 | |
| | | 4.640% | | | | 11/15/21 | | | | 2,500 | | | | 1,653,265 | |
| | | 4.910% | | | | 08/15/22 | | | | 2,450 | | | | 1,552,166 | |
| | | 5.330% | | | | 11/15/23 | | | | 10,490 | | | | 6,186,845 | |
| | | 5.400% | | | | 02/15/24 | | | | 10,000 | | | | 5,816,680 | |
| | | 5.830% | | | | 05/15/25 | | | | 9,500 | | | | 5,136,726 | |
| | | 4.190% | | | | 11/15/24 | | | | 8,500 | | | | 4,779,694 | |
| | | 5.000% | | | | 02/15/23 | | | | 10,900 | | | | 6,747,122 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS
(cost $136,556,595) | | | | 139,366,034 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $2,502,439,783) | | | | 2,915,816,967 | |
| | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 12.2% | | | | | | | | | | | | | | | | |
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1% | | | | | | | | | | | | | | | | |
U.S. Treasury Bill
(cost $4,396,348)(m) | | | 0.180% | | | | 06/16/11 | | | | 4,400 | | | | 4,396,550 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | |
| | | | | | | | | Shares
| | | | |
| AFFILIATED MUTUAL FUNDS — 12.1% | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $162,356,180)(Note 4)(n) | | | | 16,401,000 | | | | 147,444,987 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $225,972,697; includes $66,672,501 of cash collateral received for
securities on loan)(Note 4)(n)(o) | | | | 225,972,697 | | | | 225,972,697 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $388,328,877) | | | | 373,417,684 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $392,725,225) | | | | 377,814,234 | |
| | | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS(p) — 107.0%
(cost $2,895,165,008) | | | | 3,293,631,201 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(q) — (7.0)% | | | | (216,288,763 | ) |
| | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 3,077,342,438 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| BABs | | Build America Bonds |
| CDO | | Collateralized Debt Obligation |
| CLO | | Collateralized Loan Obligation |
| I/O | | Interest Only |
| MTN | | Medium Term Note |
| NR | | Not Rated by Moody’s or Standard & Poor’s |
| TBA | | To Be Announced |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| † | The ratings reflected are as of December 31, 2010. Ratings of certain bonds may have changed subsequent to that date. |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $65,270,995; cash collateral of $66,672,501 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Stapled Security—A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (d) | Variable rate security. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (e) | Standard & Poor’s Rating. |
| (f) | Indicates a security that has been deemed illiquid. |
| (g) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (h) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (i) | Indicates a restricted security; the aggregate original cost of such securities is $6,209,979. The aggregate value of $6,968,046 is approximately 0.2% of net assets. |
| (j) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (k) | Represents zero-coupon bond. Rate shown reflects the effective yield at December 31, 2010. |
| (l) | Rate shown reflects the effective yield at December 31, 2010. |
| (m) | Rate quoted represents yield-to-maturity as of purchase date. |
| (n) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Taxable Money Market Fund and the Prudential Investment Portfolios 2—Prudential Core Short-Term Bond Fund. |
| (o) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (p) | As of December 31, 2010, 3 securities representing $2,079,431 and 0.1% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees. |
| (q) | Liabilities in excess of other assets includes net unrealized appreciation (depreciation) on futures contracts and credit default swap agreements as follows: |
Open futures contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
Long Positions: | | | | | | | | | | | | | | | | | |
| 286 | | | 2 Year U.S. Treasury Notes | | | | Mar. 2011 | | | $ | 62,710,213 | | | $ | 62,607,188 | | | $ | (103,025 | ) |
| 1,903 | | | 5 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 226,558,195 | | | | 224,018,781 | | | | (2,539,414 | ) |
| 175 | | | S&P 500 Index | | | | Mar. 2011 | | | | 54,071,150 | | | | 54,818,750 | | | | 747,600 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | (1,894,839 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| Short Positions: | | | | | | | | | | | | | | | | | | | | |
| 1,112 | | | 10 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 137,489,086 | | | | 133,926,500 | | | | 3,562,586 | |
| 262 | | | U.S. Long Bond | | | | Mar. 2011 | | | | 33,146,885 | | | | 31,996,750 | | | | 1,150,135 | |
| 74 | | | U.S. Ultra Bond | | | | Mar. 2011 | | | | 9,360,253 | | | | 9,404,938 | | | | (44,685 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,668,036 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | 2,773,197 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
Credit default swap agreements outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#(2)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Credit Default Swaps on Corporate Issues—Buy protection(1) | | | | | | | | | | | | |
Barclays Bank PLC | | | 09/20/12 | | | $ | 2,900 | | | | 0.595% | | | Fortune Brands, Inc.,
5.375%, 01/15/16 | | $ | (6,847 | ) | | $ | — | | | $ | (6,847 | ) |
Deutsche Bank AG | | | 09/20/11 | | | | 1,000 | | | | 1.000% | | | Dish DBS Corp.,
6.625%, 10/01/14 | | | (2,993 | ) | | | 4,943 | | | | (7,936 | ) |
Deutsche Bank AG | | | 03/20/12 | | | | 2,000 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, 04/01/12 | | | (114,315 | ) | | | (37,493 | ) | | | (76,822 | ) |
Deutsche Bank AG | | | 12/20/12 | | | | 2,000 | | | | 1.000% | | | Macy’s Retail Holdings, Inc.,
8.000%, 07/15/12 | | | (13,861 | ) | | | 47,085 | | | | (60,946 | ) |
Deutsche Bank AG | | | 06/20/13 | | | | 2,000 | | | | 1.000% | | | US Steel Corp.,
6.650%, 06/01/37 | | | 64,809 | | | | 78,224 | | | | (13,415 | ) |
Deutsche Bank AG | | | 03/20/14 | | | | 1,645 | | | | 7.050% | | | Starwood Hotels & Resorts Worldwide,
7.875%, 05/01/12 | | | (328,553 | ) | | | — | | | | (328,553 | ) |
Deutsche Bank AG | | | 06/20/18 | | | | 2,200 | | | | 1.150% | | | Spectra Energy Capital LLC,
6.250%, 02/15/13 | | | (40,821 | ) | | | — | | | | (40,821 | ) |
JPMorgan Chase Bank | | | 06/20/14 | | | | 1,150 | | | | 0.650% | | | Bunge Ltd. Finance Corp.,
5.350%, 04/15/14 | | | 29,586 | | | | — | | | | 29,586 | |
Merrill Lynch Capital Services, Inc. | | | 09/20/16 | | | | 735 | | | | 1.730% | | | Tyson Foods, Inc.,
7.350%, 04/01/16 | | | 4,895 | | | | — | | | | 4,895 | |
Merrill Lynch Capital Services, Inc. | | | 06/20/18 | | | | 500 | | | | 1.130% | | | Spectra Energy Capital LLC,
6.250%, 02/15/13 | | | (8,602 | ) | | | — | | | | (8,602 | ) |
Merrill Lynch Capital Services, Inc. | | | 06/20/18 | | | | 2,800 | | | | 1.450% | | | Starwood Hotels & Resorts Worldwide, Inc.,
6.750%, 05/15/18 | | | (9,307 | ) | | | — | | | | (9,307 | ) |
Merrill Lynch Capital Services, Inc. | | | 06/20/18 | | | | 1,800 | | | | 3.050% | | | SLM Corp.,
5.125%, 08/27/12 | | | 76,412 | | | | — | | | | 76,412 | |
Morgan Stanley Capital Services, Inc. | | | 03/20/12 | | | | 500 | | | | 5.000% | | | Gannett Co., Inc.,
6.375%, 04/01/12 | | | (28,579 | ) | | | (9,669 | ) | | | (18,910 | ) |
Morgan Stanley Capital Services, Inc. | | | 03/20/18 | | | | 1,500 | | | | 0.700% | | | Avon Products, Inc.,
6.500%, 03/01/19 | | | 1,044 | | | | — | | | | 1,044 | |
Morgan Stanley Capital Services, Inc. | | | 06/20/18 | | | | 2,800 | | | | 0.970% | | | Simon Property Group L.P.,
5.250%, 12/01/16 | | | 36,235 | | | | — | | | | 36,235 | |
Morgan Stanley Capital Services, Inc. | | | 06/20/18 | | | | 1,700 | | | | 1.000% | | | Newell Rubbermaid, Inc.,
0.000%, 07/15/28 | | | 34,943 | | | | — | | | | 34,943 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | (305,954 | ) | | $ | 83,090 | | | $ | (389,044 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (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) | 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. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
Level 2— | | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools. |
Level 3— | | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,991,711,350 | | | $ | — | | | $ | — | |
Preferred Stocks | | | 1,519,966 | | | | — | | | | — | |
Asset-Backed Securities | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Securities | | | — | | | | 4,685,408 | | | | 10,792,133 | |
Residential Mortgage-Backed Securities | | | — | | | | 8,755,746 | | | | — | |
Bank Loans | | | — | | | | 8,249,010 | | | | 660,974 | |
Collateralized Mortgage Obligations | | | — | | | | 8,826,248 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 110,467,197 | | | | — | |
Corporate Bonds | | | — | | | | 286,050,726 | | | | — | |
Mortgage-Backed Securities | | | — | | | | 310,580,636 | | | | — | |
Municipal Bonds | | | — | | | | 10,596,294 | | | | — | |
Non-Corporate Foreign Agencies | | | — | | | | 11,426,984 | | | | — | |
Non-Corporate Sovereign | | | — | | | | 802,900 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 11,325,361 | | | | — | |
U.S. Government Treasury Obligations | | | — | | | | 143,762,584 | | | | — | |
Affiliated Mutual Funds | | | 373,417,684 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | 2,773,197 | | | | — | | | | — | |
Credit Default Swap Agreements | | | — | | | | (389,044 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 2,369,422,197 | | | $ | 915,140,050 | | | $ | 11,453,107 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Affiliated Mutual Funds (including 2.2% of collateral received for securities on loan) | | | 12.1 | % |
Mortgage-Backed Securities | | | 10.1 | |
Oil, Gas & Consumable Fuels | | | 6.1 | |
U.S. Government Treasury Obligations | | | 4.6 | |
Commercial Mortgage-Backed Securities | | | 3.6 | |
Pharmaceuticals | | | 3.2 | |
Computers & Peripherals | | | 3.1 | |
Diversified Financial Services | | | 3.1 | |
Software | | | 3.0 | |
Insurance | | | 2.8 | |
Banking | | | 2.2 | |
Commercial Banks | | | 2.1 | |
Diversified Telecommunication Services | | | 2.1 | |
Chemicals | | | 2.0 | |
Machinery | | | 2.0 | |
Industrial Conglomerates | | | 1.9 | |
Semiconductors & Semiconductor Equipment | | | 1.9 | |
Beverages | | | 1.7 | |
Healthcare Providers & Services | | | 1.7 | |
Media | | | 1.6 | |
Hotels, Restaurants & Leisure | | | 1.5 | |
IT Services | | | 1.5 | |
Aerospace & Defense | | | 1.4 | |
Household Products | | | 1.4 | |
Specialty Retail | | | 1.4 | |
Energy Equipment & Services | | | 1.3 | |
Healthcare Equipment & Supplies | | | 1.3 | |
Capital Markets | | | 1.2 | |
Food Products | | | 1.2 | |
Tobacco | | | 1.2 | |
Communications Equipment | | | 1.1 | |
Food & Staples Retailing | | | 1.1 | |
Multiline Retail | | | 1.0 | |
Internet Software & Services | | | 0.9 | |
Real Estate Investment Trusts | | | 0.9 | |
Electric | | | 0.8 | |
Electric Utilities | | | 0.8 | |
Electrical Equipment | | | 0.8 | |
Life Sciences Tools & Services | | | 0.8 | |
Textiles, Apparel & Luxury Goods | | | 0.8 | |
Air Freight & Logistics | | | 0.6 | |
Auto Components | | | 0.6 | |
Biotechnology | | | 0.6 | |
Consumer Finance | | | 0.6 | |
| | | | |
Metals & Mining | | | 0.6 | % |
Road & Rail | | | 0.6 | |
Telecommunications | | | 0.6 | |
Non-Captive Finance | | | 0.5 | |
Non-Residential Mortgage-Backed Securities | | | 0.5 | |
Cable | | | 0.4 | |
Electronic Equipment & Instruments | | | 0.4 | |
Foods | | | 0.4 | |
Healthcare & Pharmaceutical | | | 0.4 | |
Multi-Utilities | | | 0.4 | |
Municipal Bonds | | | 0.4 | |
Non-Corporate Foreign Agencies | | | 0.4 | |
U.S. Government Agency Obligations | | | 0.4 | |
Collateralized Mortgage Obligations | | | 0.3 | |
Electrical Utilities | | | 0.3 | |
Media & Entertainment | | | 0.3 | |
Metals | | | 0.3 | |
Office Electronics | | | 0.3 | |
Residential Mortgage-Backed Securities | | | 0.3 | |
Retailers | | | 0.3 | |
Technology | | | 0.3 | |
Airlines | | | 0.2 | |
Consumer | | | 0.2 | |
Diversified Consumer Services | | | 0.2 | |
Energy – Integrated | | | 0.2 | |
Energy – Other | | | 0.2 | |
Healthcare Insurance | | | 0.2 | |
Lodging | | | 0.2 | |
Automobiles | | | 0.1 | |
Capital Goods | | | 0.1 | |
Commercial Services & Supplies | | | 0.1 | |
Construction & Engineering | | | 0.1 | |
Distributors | | | 0.1 | |
Gas Utilities | | | 0.1 | |
Independent Power Producers & Energy Traders | | | 0.1 | |
Paper | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
Pipelines & Other | | | 0.1 | |
Railroads | | | 0.1 | |
Real Estate Management & Development | | | 0.1 | |
Trading Companies & Distributors | | | 0.1 | |
Water Utilities | | | 0.1 | |
Wireless Telecommunication Services | | | 0.1 | |
| | |
|
|
|
| | | | 107.0 | |
Liabilities in excess of other assets | | | (7.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | |
Derivatives not designated as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Credit contracts | | Premium paid for swap agreements | | $ | 130,252 | | | Premium received for swap agreements | | $ | 47,162 | |
Credit contracts | | Unrealized appreciation on
swap agreements | | | 183,115 | | | Unrealized depreciation on swap agreements | | | 572,159 | |
Equity contracts | | Due to broker-variation margin | | | 747,600 | * | | — | | | — | |
Interest rate contracts | | Due to broker-variation margin | | | 4,712,721 | * | | Due to broker-variation margin | | | 2,687,124 | * |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 5,773,688 | | | | | $ | 3,306,445 | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| | | Swaps
| | | Purchased
Options
| | | Total
| |
Credit contracts | | $ | — | | | $ | (210,480 | ) | | $ | — | | | $ | (210,480 | ) |
Equity contracts | | | 7,089,737 | | | | — | | | | — | | | | 7,089,737 | |
Interest rate contracts | | | 2,050,748 | | | | (164,011 | ) | | | (21,891 | ) | | | 1,864,846 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 9,140,485 | | | $ | (374,491 | ) | | $ | (21,891 | ) | | $ | 8,744,103 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | (573,257 | ) | | $ | (573,257 | ) |
Equity contracts | | | (43,763 | ) | | | — | | | | (43,763 | ) |
Interest rate contracts | | | 1,878,263 | | | | 88,356 | | | | 1,966,619 | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,834,500 | | | $ | (484,901 | ) | | $ | 1,349,599 | |
| | |
|
|
| |
|
|
| |
|
|
|
For the year ended December 31, 2010, the Portfolio’s average volume of derivative activities is as follows:
| | | | |
Purchased Options
(Cost)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
|
| $18,202 | | $304,167,866 | | $121,738,865 |
| | |
Interest Rate Swaps
(Notional Amount in USD (000))
| | Credit Default
Swaps as Buyer
(Notional Amount in USD (000))
|
| $13,621 | | $32,288 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $65,270,995: | | | | |
Unaffiliated investments (cost $2,506,836,131) | | $ | 2,920,213,517 | |
Affiliated investments (cost $388,328,877) | | | 373,417,684 | |
Foreign currency, at value (cost $15,203) | | | 15,302 | |
Receivable for investments sold | | | 26,961,045 | |
Dividends and interest receivable | | | 8,562,279 | |
Foreign tax reclaim receivable | | | 311,567 | |
Unrealized appreciation on swap agreements | | | 183,115 | |
Premium paid for swap agreements | | | 130,252 | |
Receivable for Series shares sold | | | 86,595 | |
Prepaid expenses | | | 25,333 | |
| | |
|
|
|
Total Assets | | | 3,329,906,689 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 182,573,745 | |
Collateral for securities on loan | | | 66,672,501 | |
Management fee payable | | | 1,554,168 | |
Unrealized depreciation on swap agreements | | | 572,159 | |
Accrued expenses and other liabilities | | | 549,587 | |
Due to broker-variation margin | | | 326,995 | |
Payable to custodian | | | 189,193 | |
Payable for Series shares repurchased | | | 77,864 | |
Premium received for swap agreements | | | 47,162 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 252,564,251 | |
| | |
|
|
|
| NET ASSETS | | $ | 3,077,342,438 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 3,035,179,984 | |
Retained earnings | | | 42,162,454 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 3,077,342,438 | |
| | |
|
|
|
Net asset value and redemption price per share, $3,077,342,438 / 196,826,222 outstanding shares of beneficial interest | | $ | 15.63 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated interest | | $ | 39,325,052 | |
Unaffiliated dividend income (net of foreign withholding taxes of $10,545) | | | 36,929,907 | |
Affiliated dividend income | | | 2,472,895 | |
Affiliated income from securities loaned, net | | | 155,358 | |
| | |
|
|
|
| | | | 78,883,212 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 17,556,127 | |
Shareholders’ reports | | | 538,000 | |
Custodian’s fees and expenses | | | 344,000 | |
Insurance expenses | | | 49,000 | |
Trustees’ fees | | | 39,000 | |
Audit fee | | | 36,000 | |
Legal fees and expenses | | | 21,000 | |
Commitment fee on syndicated credit agreement | | | 12,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Miscellaneous | | | 9,924 | |
| | |
|
|
|
Total expenses | | | 18,616,051 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 60,267,161 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions (including affiliated: $(510,567)) | | | 155,997,918 | |
Futures transactions | | | 9,140,485 | |
Swap agreement transactions | | | (374,491 | ) |
Foreign currency transactions | | | (16,177 | ) |
| | |
|
|
|
| | | | 164,747,735 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | |
Investments (including affiliated: $7,778,236) | | | 110,616,726 | |
Futures | | | 1,834,500 | |
Swap agreements | | | (484,901 | ) |
Foreign currencies | | | 19,145 | |
| | |
|
|
|
| | | | 111,985,470 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | 276,733,205 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 337,000,366 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | | | | | | | | |
Net investment income | | $ | 60,267,161 | | | $ | 65,778,671 | |
Net realized gain (loss) on investment, swap agreement and foreign currency transactions | | | 164,747,735 | | | | (207,054,132 | ) |
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | | | 111,985,470 | | | | 629,301,176 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 337,000,366 | | | | 488,025,715 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (65,760,146 | ) | | | (91,535,531 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [965,601 and 1,203,125 shares, respectively] | | | 14,188,409 | | | | 15,189,643 | |
Series shares issued in reinvestment of distributions [4,680,438 and 7,405,787 shares, respectively] | | | 65,760,146 | | | | 91,535,531 | |
Series shares repurchased [12,309,724 and 17,489,813 shares, respectively] | | | (179,839,115 | ) | | | (218,829,963 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (99,890,560 | ) | | | (112,104,789 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 171,349,660 | | | | 284,385,395 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,905,992,778 | | | | 2,621,607,383 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 3,077,342,438 | | | $ | 2,905,992,778 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| | | | | | |
| | | GLOBAL PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.1% | |
| COMMON STOCKS — 96.8% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Australia — 3.1% | | | | | | | | |
Bendigo And Adelaide Bank Ltd. | | | 59,300 | | | $ | 603,487 | |
BHP Billiton PLC, ADR | | | 84,518 | | | | 6,803,699 | |
BHP Billiton PLC | | | 78,053 | | | | 3,104,353 | |
BlueScope Steel Ltd. | | | 218,400 | | | | 502,603 | |
Challenger Ltd. | | | 271,400 | | | | 1,304,661 | |
Downer EDI Ltd. | | | 171,400 | | | | 804,662 | |
Goodman Fielder Ltd. | | | 443,900 | | | | 610,657 | |
Metcash Ltd. | | | 211,000 | | | | 886,981 | |
National Australia Bank Ltd. | | | 66,900 | | | | 1,621,677 | |
OneSteel Ltd. | | | 447,200 | | | | 1,184,654 | |
Pacific Brands Ltd.(a) | | | 460,600 | | | | 461,679 | |
TABCORP Holdings Ltd. | | | 132,667 | | | | 964,767 | |
Telstra Corp. Ltd. | | | 392,400 | | | | 1,119,755 | |
| | | | | | |
|
|
|
| | | | | | | | 19,973,635 | |
| | | | | | |
|
|
|
Austria — 0.3% | | | | | | | | |
OMV AG | | | 32,300 | | | | 1,342,362 | |
Voestalpine AG | | | 9,500 | | | | 452,575 | |
| | | | | | |
|
|
|
| | | | | | | | 1,794,937 | |
| | | | | | |
|
|
|
Belgium — 0.8% | | | | | | | | |
AGFA-Gevaert NV(a) | | | 86,100 | | | | 368,180 | |
Anheuser-Busch InBev NV | | | 38,139 | | | | 2,181,323 | |
Colruyt SA | | | 20,166 | | | | 1,025,372 | |
Delhaize Group SA | | | 18,600 | | | | 1,373,755 | |
| | | | | | |
|
|
|
| | | | | | | | 4,948,630 | |
| | | | | | |
|
|
|
Brazil — 1.2% | | | | | | | | |
BR Malls Participacoes SA | | | 100,100 | | | | 1,031,151 | |
Itau Unibanco Holding SA, ADR | | | 119,800 | | | | 2,876,398 | |
OGX Petroleo e Gas Participacoes SA(a) | | | 94,500 | | | | 1,138,554 | |
PDG Realty SA Empreendimentos e Participacoes | | | 161,800 | | | | 990,294 | |
Vale SA, ADR | | | 46,639 | | | | 1,612,310 | |
| | | | | | |
|
|
|
| | | | | | | | 7,648,707 | |
| | | | | | |
|
|
|
Canada — 0.9% | | | | | | | | |
Brookfield Asset Management, Inc. (Class A Stock)(b) | | | 85,146 | | | | 2,834,510 | |
Canadian National Railway Co. | | | 26,500 | | | | 1,768,354 | |
Petrobank Energy & Resources Ltd.(a) | | | 18,670 | | | | 474,120 | |
Tim Hortons, Inc. | | | 14,991 | | | | 619,662 | |
| | | | | | |
|
|
|
| | | | | | | | 5,696,646 | |
| | | | | | |
|
|
|
Chile — 0.2% | | | | | | | | |
Lan Airlines SA | | | 43,564 | | | | 1,360,351 | |
| | | | | | |
|
|
|
China — 1.9% | | | | | | | | |
Baidu, Inc., ADR(a) | | | 53,902 | | | | 5,203,160 | |
China Shenhua Energy Co. Ltd. (Class H Stock) | | | 532,000 | | | | 2,231,268 | |
China Vanke Co. Ltd. (Class B Stock) | | | 494,862 | | | | 611,192 | |
CNOOC Ltd. | | | 991,000 | | | | 2,351,024 | |
Dongfeng Motor Group Co. Ltd. (Class H Stock) | | | 600,000 | | | | 1,034,376 | |
Industrial & Commercial Bank of China (Class H Stock) | | | 142,625 | | | | 106,242 | |
Weichai Power Co. Ltd. (Class H Stock) | | | 175,000 | | | | 1,077,315 | |
| | | | | | |
|
|
|
| | | | | | | | 12,614,577 | |
| | | | | | |
|
|
|
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Colombia — 0.3% | | | | | | | | |
Pacific Rubiales Energy Corp. | | | 41,400 | | | $ | 1,405,260 | |
Petrominerales Ltd. | | | 11,306 | | | | 377,062 | |
| | | | | | |
|
|
|
| | | | | | | | 1,782,322 | |
| | | | | | |
|
|
|
Denmark — 0.8% | | | | | | | | |
Coloplast A/S (Class B Stock) | | | 9,508 | | | | 1,292,040 | |
H Lundbeck A/S | | | 49,400 | | | | 938,751 | |
Novo Nordisk A/S (Class B Stock) | | | 16,566 | | | | 1,868,039 | |
Novozymes A/S (Class B Stock) | | | 6,401 | | | | 891,634 | |
| | | | | | |
|
|
|
| | | | | | | | 4,990,464 | |
| | | | | | |
|
|
|
Finland — 0.6% | | | | | | | | |
Kone OYJ (Class B Stock) | | | 30,843 | | | | 1,714,576 | |
Nokia OYJ | | | 83,800 | | | | 866,746 | |
Tieto OYJ | | | 56,200 | | | | 1,063,424 | |
| | | | | | |
|
|
|
| | | | | | | | 3,644,746 | |
| | | | | | |
|
|
|
France — 5.1% | | | | | | | | |
Air Liquide SA | | | 11,663 | | | | 1,474,999 | |
AXA SA | | | 47,100 | | | | 783,605 | |
BNP Paribas | | | 56,431 | | | | 3,590,234 | |
Casino Guichard Perrachon SA | | | 6,800 | | | | 662,889 | |
Cie Generale des Etablissements Michelin (Class B Stock) | | | 17,860 | | | | 1,281,630 | |
Ciments Francais SA | | | 5,200 | | | | 503,789 | |
Credit Agricole SA | | | 100,900 | | | | 1,281,458 | |
EDF Energies Nouvelles SA | | | 13,031 | | | | 551,309 | |
France Telecom SA | | | 42,900 | | | | 894,025 | |
Lagardere SCA | | | 8,500 | | | | 350,187 | |
L’Oreal SA | | | 18,136 | | | | 2,013,468 | |
LVMH Moet Hennessy Louis Vuitton SA | | | 15,719 | | | | 2,585,770 | |
Rallye SA | | | 13,400 | | | | 576,322 | |
Renault SA(a) | | | 12,300 | | | | 714,992 | |
Sanofi-Aventis SA | | | 43,600 | | | | 2,787,888 | |
Schneider Electric SA | | | 17,732 | | | | 2,653,888 | |
SCOR SE | | | 28,000 | | | | 710,916 | |
Thales SA | | | 14,000 | | | | 489,877 | |
Total SA | | | 43,500 | | | | 2,304,832 | |
Total SA, ADR(b) | | | 64,600 | | | | 3,454,808 | |
Vinci SA | | | 26,881 | | | | 1,461,279 | |
Vivendi SA | | | 86,100 | | | | 2,324,135 | |
| | | | | | |
|
|
|
| | | | | | | | 33,452,300 | |
| | | | | | |
|
|
|
Germany — 2.9% | | | | | | | | |
Allianz SE | | | 18,700 | | | | 2,222,270 | |
Aurubis AG | | | 6,200 | | | | 366,036 | |
BASF SE | | | 41,649 | | | | 3,322,659 | |
Daimler AG(a) | | | 15,473 | | | | 1,048,930 | |
Deutsche Bank AG | | | 26,100 | | | | 1,363,717 | |
E.ON AG | | | 61,700 | | | | 1,890,997 | |
Hannover Rueckversicherung AG | | | 11,800 | | | | 632,866 | |
MTU Aero Engines Holding AG | | | 7,100 | | | | 480,177 | |
Muenchener Rueckversicherungs AG | | | 12,000 | | | | 1,819,251 | |
Rheinmetall AG | | | 8,800 | | | | 707,570 | |
RWE AG | | | 21,600 | | | | 1,440,039 | |
SAP AG | | | 41,632 | | | | 2,119,625 | |
ThyssenKrupp AG | | | 18,900 | | | | 782,565 | |
Vossloh AG | | | 4,300 | | | | 548,755 | |
| | | | | | |
|
|
|
| | | | | | | | 18,745,457 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Greece | | | | | | | | |
Alpha Bank AE(a) | | | 15,700 | | | $ | 79,724 | |
| | | | | | |
|
|
|
Hong Kong — 0.8% | | | | | | | | |
Chaoda Modern Agriculture Holdings Ltd. | | | 966,070 | | | | 724,602 | |
First Pacific Co. Ltd. | | | 32,000 | | | | 28,818 | |
Indofood Sukses Makmur Tbk PT | | | 1,656,000 | | | | 896,004 | |
Jardine Cycle & Carriage Ltd. | | | 50,000 | | | | 1,425,956 | |
Kingboard Chemical Holdings Ltd. | | | 180,000 | | | | 1,077,990 | |
Li & Fung Ltd. | | | 194,000 | | | | 1,125,643 | |
Noble Group Ltd. | | | 1 | | | | 2 | |
| | | | | | |
|
|
|
| | | | | | | | 5,279,015 | |
| | | | | | |
|
|
|
India — 0.3% | | | | | | | | |
ICICI Bank Ltd., ADR | | | 15,351 | | | | 777,375 | |
Infosys Technologies Ltd., ADR | | | 20,052 | | | | 1,525,556 | |
| | | | | | |
|
|
|
| | | | | | | | 2,302,931 | |
| | | | | | |
|
|
|
Indonesia — 0.3% | | | | | | | | |
Bank Rakyat Indonesia Persero Tbk PT | | | 1,179,500 | | | | 1,374,556 | |
Kalbe Farma Tbk PT | | | 1,204,500 | | | | 434,476 | |
| | | | | | |
|
|
|
| | | | | | | | 1,809,032 | |
| | | | | | |
|
|
|
Ireland | | | | | | | | |
Allied Irish Banks PLC(a) | | | 42,100 | | | | 16,878 | |
Bank of Ireland (Governor & Co.)(a) | | | 83,300 | | | | 41,743 | |
Irish Life & Permanent Group Holdings PLC(a) | | | 51,300 | | | | 72,734 | |
| | | | | | |
|
|
|
| | | | | | | | 131,355 | |
| | | | | | |
|
|
|
Israel — 0.6% | | | | | | | | |
Bank Hapoalim BM(a) | | | 176,900 | | | | 920,767 | |
Elbit Systems Ltd. | | | 11,400 | | | | 608,150 | |
Israel Chemicals Ltd. | | | 57,510 | | | | 985,862 | |
Teva Pharmaceutical Industries Ltd., ADR | | | 25,192 | | | | 1,313,259 | |
| | | | | | |
|
|
|
| | | | | | | | 3,828,038 | |
| | | | | | |
|
|
|
Italy — 1.4% | | | | | | | | |
Banco Popolare SC | | | 38,200 | | | | 173,049 | |
Enel SpA | | | 407,300 | | | | 2,035,602 | |
ENI SpA | | | 80,200 | | | | 1,751,190 | |
Finmeccanica SpA | | | 20,900 | | | | 237,535 | |
Fondiaria-Sai SpA | | | 19,900 | | | | 166,602 | |
Saipem SpA | | | 70,804 | | | | 3,485,654 | |
Telecom Italia SpA | | | 796,300 | | | | 1,028,987 | |
| | | | | | |
|
|
|
| | | | | | | | 8,878,619 | |
| | | | | | |
|
|
|
Japan — 8.8% | | | | | | | | |
Alpine Electronics, Inc. | | | 22,700 | | | | 322,928 | |
Aoyama Trading Co. Ltd. | | | 52,100 | | | | 940,739 | |
Astellas Pharma, Inc. | | | 17,000 | | | | 648,048 | |
Canon, Inc. | | | 50,700 | | | | 2,628,981 | |
Circle K Sunkus Co. Ltd. | | | 46,900 | | | | 752,687 | |
COMSYS Holdings Corp. | | | 72,800 | | | | 776,509 | |
Denso Corp. | | | 46,300 | | | | 1,597,889 | |
Fanuc Corp. | | | 15,800 | | | | 2,426,727 | |
Fukuoka Financial Group, Inc. | | | 158,000 | | | | 686,957 | |
Hitachi Capital Corp. | | | 49,400 | | | | 763,604 | |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Japan (continued) | | | | | | | | |
ITOCHU Corp. | | | 87,400 | | | $ | 884,872 | |
Itochu Techno-Solutions Corp. | | | 26,200 | | | | 982,621 | |
JX Holdings, Inc. | | | 101,400 | | | | 688,156 | |
KDDI Corp. | | | 200 | | | | 1,155,315 | |
Keihin Corp. | | | 44,800 | | | | 1,009,780 | |
Keyence Corp. | | | 7,200 | | | | 2,085,774 | |
Kurabo Industries Ltd. | | | 173,100 | | | | 313,409 | |
Kyoei Steel Ltd. | | | 42,800 | | | | 698,485 | |
Kyowa Exeo Corp. | | | 81,900 | | | | 844,320 | |
Marubeni Corp. | | | 238,000 | | | | 1,673,827 | |
Mitsubishi Corp. | | | 18,000 | | | | 487,301 | |
Mitsubishi UFJ Financial Group, Inc. | | | 208,400 | | | | 1,126,833 | |
Mitsui & Co. Ltd. | | | 56,300 | | | | 929,897 | |
Mizuho Financial Group, Inc. | | | 801,800 | | | | 1,510,967 | |
Murata Manufacturing Co. Ltd. | | | 23,200 | | | | 1,625,914 | |
Nichirei Corp. | | | 141,000 | | | | 651,250 | |
Nippon Electric Glass Co. Ltd. | | | 54,000 | | | | 779,505 | |
Nippon Shokubai Co. Ltd. | | | 68,000 | | | | 703,535 | |
Nippon Telegraph & Telephone Corp. | | | 37,000 | | | | 1,674,775 | |
Nissan Shatai Co. Ltd. | | | 95,000 | | | | 829,597 | |
Nitori Co. Ltd. | | | 11,000 | | | | 961,941 | |
NTT DoCoMo, Inc. | | | 1,100 | | | | 1,921,173 | |
Sankyu, Inc. | | | 210,000 | | | | 954,428 | |
Seino Holdings Corp. | | | 65,000 | | | | 446,730 | |
Shimachu Co. Ltd. | | | 30,700 | | | | 718,816 | |
Softbank Corp. | | | 89,500 | | | | 3,098,713 | |
Sony Financial Holdings, Inc. | | | 400 | | | | 1,618,426 | |
Sumitomo Corp. | | | 152,300 | | | | 2,155,348 | |
Sumitomo Mitsui Financial Group, Inc. | | | 165,400 | | | | 5,891,573 | |
Sumitomo Trust & Banking Co. Ltd. (The) | | | 67,000 | | | | 422,515 | |
Takeda Pharmaceutical Co. Ltd. | | | 24,600 | | | | 1,210,457 | |
Toagosei Co. Ltd. | | | 147,000 | | | | 688,016 | |
Toyo Suisan Kaisha Ltd. | | | 31,000 | | | | 689,949 | |
Toyota Tsusho Corp. | | | 48,100 | | | | 847,186 | |
Yahoo! Japan Corp. | | | 5,837 | | | | 2,264,632 | |
Yokohama Rubber Co. Ltd. (The) | | | 158,000 | | | | 817,342 | |
| | | | | | |
|
|
|
| | | | | | | | 56,908,447 | |
| | | | | | |
|
|
|
Liechtenstein | | | | | | | | |
Verwaltungs- und Privat-Bank AG | | | 2,578 | | | | 316,529 | |
| | | | | | |
|
|
|
Malaysia — 0.3% | | | | | | | | |
CIMB Group Holdings Bhd | | | 525,800 | | | | 1,449,424 | |
Kuala Lumpur Kepong Bhd | | | 100,000 | | | | 716,718 | |
| | | | | | |
|
|
|
| | | | | | | | 2,166,142 | |
| | | | | | |
|
|
|
Mexico — 0.5% | | | | | | | | |
America Movil SAB de CV, Ser. L, ADR | | | 39,401 | | | | 2,259,253 | |
Coca-Cola Femsa SAB de CV, ADR | | | 14,179 | | | | 1,168,775 | |
| | | | | | |
|
|
|
| | | | | | | | 3,428,028 | |
| | | | | | |
|
|
|
Netherlands — 2.0% | | | | | | | | |
Aegon NV(a) | | | 56,800 | | | | 347,329 | |
Brit Insurance Holdings NV | | | 56,800 | | | | 922,756 | |
ING Groep NV(a) | | | 87,200 | | | | 848,310 | |
Koninklijke Ahold NV | | | 60,500 | | | | 798,442 | |
Koninklijke DSM NV | | | 31,100 | | | | 1,770,630 | |
Nutreco NV | | | 11,200 | | | | 849,957 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Netherlands (continued) | | | | | | | | |
Royal Dutch Shell PLC (Class B Stock) | | | 147,700 | | | $ | 4,870,370 | |
Royal Dutch Shell PLC, ADR | | | 37,150 | | | | 2,480,877 | |
| | | | | | |
|
|
|
| | | | | | | | 12,888,671 | |
| | | | | | |
|
|
|
New Zealand — 0.1% | | | | | | | | |
Air New Zealand Ltd. | | | 737,900 | | | | 862,456 | |
| | | | | | |
|
|
|
Norway — 0.3% | | | | | | | | |
DnB NOR ASA | | | 54,100 | | | | 759,341 | |
Statoil ASA | | | 45,100 | | | | 1,071,261 | |
| | | | | | |
|
|
|
| | | | | | | | 1,830,602 | |
| | | | | | |
|
|
|
Peru — 0.2% | | | | | | | | |
Credicorp Ltd. | | | 9,204 | | | | 1,094,448 | |
| | | | | | |
|
|
|
Portugal | | | | | | | | |
Banco Espirito Santo SA | | | 43,600 | | | | 167,798 | |
| | | | | | |
|
|
|
Singapore — 0.3% | | | | | | | | |
CapitaMalls Asia Ltd. | | | 847,000 | | | | 1,280,384 | |
M1 Ltd. | | | 226,330 | | | | 414,443 | |
| | | | | | |
|
|
|
| | | | | | | | 1,694,827 | |
| | | | | | |
|
|
|
South Africa — 0.5% | | | | | | | | |
Aspen Pharmacare Holdings Ltd. | | | 72,083 | | | | 1,006,809 | |
MTN Group Ltd. | | | 61,409 | | | | 1,253,070 | |
Truworths International Ltd. | | | 105,100 | | | | 1,143,137 | |
| | | | | | |
|
|
|
| | | | | | | | 3,403,016 | |
| | | | | | |
|
|
|
South Korea — 1.1% | | | | | | | | |
Hyundai Motor Co.(a) | | | 14,476 | | | | 2,213,046 | |
Samsung Electronics Co. Ltd. | | | 6,335 | | | | 5,297,308 | |
| | | | | | |
|
|
|
| | | | | | | | 7,510,354 | |
| | | | | | |
|
|
|
Spain — 1.9% | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA | | | 114,000 | | | | 1,151,684 | |
Banco Espanol de Credito SA | | | 79,800 | | | | 661,152 | |
Banco Santander Chile, ADR(b) | | | 16,225 | | | | 1,516,551 | |
Banco Santander SA | | | 459,215 | | | | 4,865,042 | |
Inditex SA | | | 9,317 | | | | 697,595 | |
Repsol YPF SA | | | 66,100 | | | | 1,841,681 | |
Tecnicas Reunidas SA | | | 12,757 | | | | 811,707 | |
Telefonica SA | | | 34,700 | | | | 786,666 | |
| | | | | | |
|
|
|
| | | | | | | | 12,332,078 | |
| | | | | | |
|
|
|
Sweden — 0.8% | | | | | | | | |
Atlas Copco AB (Class A Stock) | | | 56,136 | | | | 1,416,410 | |
Boliden AB | | | 73,000 | | | | 1,483,738 | |
Hexagon AB (Class B Stock) | | | 37,710 | | | | 808,514 | |
Meda AB (Class A Stock) | | | 76,800 | | | | 584,651 | |
NCC AB (Class B Stock) | | | 15,700 | | | | 345,017 | |
SKF AB (Class B Stock) | | | 29,008 | | | | 826,379 | |
| | | | | | |
|
|
|
| | | | | | | | 5,464,709 | |
| | | | | | |
|
|
|
Switzerland — 3.2% | | | | | | | | |
Baloise Holding AG | | | 14,600 | | | | 1,420,963 | |
CIE Financiere Richemont SA | | | 19,278 | | | | 1,134,000 | |
Clariant AG(a) | | | 42,200 | | | | 854,832 | |
Credit Suisse Group AG | | | 78,468 | | | | 3,161,379 | |
Georg Fischer AG(a) | | | 1,500 | | | | 846,257 | |
Nestle SA | | | 27,215 | | | | 1,593,606 | |
Novartis AG | | | 75,811 | | | | 4,455,416 | |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Switzerland (continued) | | | | | | | | |
Sika AG | | | 238 | | | $ | 522,073 | |
Swiss Reinsurance Co. Ltd. | | | 23,400 | | | | 1,258,845 | |
Swisscom AG | | | 2,050 | | | | 901,342 | |
Zurich Financial Services AG | | | 17,984 | | | | 4,658,529 | |
| | | | | | |
|
|
|
| | | | | | | | 20,807,242 | |
| | | | | | |
|
|
|
Turkey — 0.2% | | | | | | | | |
Turkiye Garanti Bankasi AS | | | 301,160 | | | | 1,525,305 | |
| | | | | | |
|
|
|
United Kingdom — 7.9% | | | | | | | | |
Admiral Group PLC | | | 41,647 | | | | 983,711 | |
Aggreko PLC | | | 26,152 | | | | 604,260 | |
AMEC PLC | | | 83,168 | | | | 1,491,163 | |
Amlin PLC | | | 126,434 | | | | 806,032 | |
Antofagasta PLC | | | 26,126 | | | | 656,612 | |
AstraZeneca PLC | | | 65,200 | | | | 2,970,290 | |
Aviva PLC | | | 118,200 | | | | 724,238 | |
BAE Systems PLC | | | 256,400 | | | | 1,319,177 | |
Barclays PLC | | | 332,700 | | | | 1,357,202 | |
Beazley PLC | | | 360,794 | | | | 646,887 | |
Berendsen PLC | | | 24,300 | | | | 165,410 | |
BG Group PLC | | | 114,187 | | | | 2,307,240 | |
BP PLC | | | 237,100 | | | | 1,720,953 | |
BT Group PLC | | | 602,100 | | | | 1,697,220 | |
Centrica PLC | | | 421,478 | | | | 2,179,016 | |
Compass Group PLC | | | 118,014 | | | | 1,069,007 | |
Drax Group PLC | | | 116,100 | | | | 666,661 | |
DS Smith PLC | | | 230,900 | | | | 727,908 | |
GlaxoSmithKline PLC | | | 231,374 | | | | 4,473,086 | |
Home Retail Group PLC | | | 199,900 | | | | 587,483 | |
John Wood Group PLC | | | 72,742 | | | | 633,969 | |
Johnson Matthey PLC | | | 42,472 | | | | 1,349,516 | |
Kingfisher PLC | | | 136,088 | | | | 558,865 | |
Legal & General Group PLC | | | 624,000 | | | | 941,253 | |
Logica PLC | | | 403,000 | | | | 823,090 | |
Marston’s PLC | | | 339,130 | | | | 605,401 | |
Next PLC | | | 49,090 | | | | 1,511,580 | |
Northern Foods PLC | | | 211,500 | | | | 206,917 | |
Old Mutual PLC | | | 527,200 | | | | 1,011,823 | |
Petrofac Ltd. | | | 74,435 | | | | 1,841,726 | |
Reckitt Benckiser Group PLC | | | 61,763 | | | | 3,394,365 | |
Rexam PLC | | | 125,100 | | | | 648,905 | |
Rolls-Royce Group PLC(a) | | | 160,549 | | | | 1,559,433 | |
Rolls-Royce Group PLC (Class C Stock)(a) | | | 14,032,128 | | | | 21,877 | |
Royal Bank of Scotland Group PLC(a) | | | 263,527 | | | | 160,524 | |
RSA Insurance Group PLC | | | 300,200 | | | | 585,984 | |
Standard Chartered PLC | | | 79,247 | | | | 2,131,910 | |
Tate & Lyle PLC | | | 127,900 | | | | 1,032,931 | |
Thomas Cook Group PLC | | | 164,000 | | | | 485,045 | |
Vodafone Group PLC | | | 1,708,501 | | | | 4,416,424 | |
| | | | | | |
|
|
|
| | | | | | | | 51,075,094 | |
| | | | | | |
|
|
|
United States — 47.2% | | | | | | | | |
3M Co. | | | 33,400 | | | | 2,882,420 | |
Allstate Corp. (The) | | | 9,700 | | | | 309,236 | |
Altria Group, Inc. | | | 35,600 | | | | 876,472 | |
Amazon.com, Inc.(a) | | | 40,392 | | | | 7,270,560 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
United States (continued) | | | | | | | | |
American Express Co. | | | 50,250 | | | $ | 2,156,730 | |
American Tower Corp.
(Class A Stock)(a) | | | 41,907 | | | | 2,164,077 | |
Ameriprise Financial, Inc. | | | 12,050 | | | | 693,477 | |
Amgen, Inc.(a) | | | 24,750 | | | | 1,358,775 | |
Anadarko Petroleum Corp. | | | 72,420 | | | | 5,515,507 | |
Apple, Inc.(a) | | | 29,888 | | | | 9,640,673 | |
AT&T, Inc. | | | 101,900 | | | | 2,993,822 | |
Avon Products, Inc. | | | 33,800 | | | | 982,228 | |
Baker Hughes, Inc. | | | 47,000 | | | | 2,686,990 | |
Bank of America Corp. | | | 290,100 | | | | 3,869,934 | |
Bank of New York Mellon Corp. (The) | | | 27,500 | | | | 830,500 | |
Broadcom Corp. (Class A Stock) | | | 98,679 | | | | 4,297,471 | |
CA, Inc. | | | 21,600 | | | | 527,904 | |
Cablevision Systems Corp.
(Class A Stock) | | | 84,300 | | | | 2,852,712 | |
Chevron Corp. | | | 54,450 | | | | 4,968,562 | |
Citigroup, Inc.(a) | | | 1,153,497 | | | | 5,456,041 | |
Comcast Corp. (Class A Stock) | | | 44,200 | | | | 919,802 | |
Covidien PLC | | | 43,800 | | | | 1,999,908 | |
Cummins, Inc. | | | 20,718 | | | | 2,279,187 | |
Danaher Corp. | | | 68,840 | | | | 3,247,183 | |
Dell, Inc.(a) | | | 117,600 | | | | 1,593,480 | |
Dow Chemical Co. (The) | | | 274,062 | | | | 9,356,477 | |
Eaton Corp. | | | 18,704 | | | | 1,898,643 | |
Entergy Corp. | | | 27,050 | | | | 1,915,951 | |
EOG Resources, Inc. | | | 33,771 | | | | 3,087,007 | |
EQT Corp. | | | 13,650 | | | | 612,066 | |
Estee Lauder Cos., Inc. (The)
(Class A Stock) | | | 23,425 | | | | 1,890,398 | |
Exelon Corp. | | | 51,750 | | | | 2,154,870 | |
Exxon Mobil Corp. | | | 57,850 | | | | 4,229,992 | |
F5 Networks, Inc.(a) | | | 6,538 | | | | 850,986 | |
FedEx Corp. | | | 32,249 | | | | 2,999,480 | |
Fifth Third Bancorp | | | 86,700 | | | | 1,272,756 | |
Ford Motor Co.(a) | | | 131,289 | | | | 2,204,342 | |
Fortune Brands, Inc. | | | 27,600 | | | | 1,662,900 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 21,478 | | | | 2,579,293 | |
General Dynamics Corp. | | | 56,987 | | | | 4,043,798 | |
General Electric Co. | | | 179,900 | | | | 3,290,371 | |
General Motors Co.(a) | | | 45,400 | | | | 1,673,444 | |
Goldman Sachs Group, Inc. (The) | | | 37,421 | | | | 6,292,715 | |
H&R Block, Inc. | | | 104,400 | | | | 1,243,404 | |
Halliburton Co. | | | 35,418 | | | | 1,446,117 | |
Home Depot, Inc. | | | 77,100 | | | | 2,703,126 | |
Honeywell International, Inc. | | | 28,950 | | | | 1,538,982 | |
Illinois Tool Works, Inc. | | | 55,000 | | | | 2,937,000 | |
International Business Machines Corp. | | | 21,400 | | | | 3,140,664 | |
International Paper Co. | | | 76,700 | | | | 2,089,308 | |
Johnson & Johnson | | | 46,700 | | | | 2,888,395 | |
JPMorgan Chase & Co. | | | 114,650 | | | | 4,863,453 | |
Kellogg Co. | | | 19,550 | | | | 998,614 | |
KeyCorp | | | 164,800 | | | | 1,458,480 | |
Kimberly-Clark Corp. | | | 27,900 | | | | 1,758,816 | |
Liberty Media Corp. - Starz, Ser. A(a) | | | 14,700 | | | | 977,256 | |
Lockheed Martin Corp. | | | 10,250 | | | | 716,577 | |
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Lowe’s Cos., Inc. | | | 52,200 | | | $ | 1,309,176 | |
Madison Square Garden, Inc.
(Class A Stock)(a) | | | 24,300 | | | | 626,454 | |
Marsh & McLennan Cos., Inc. | | | 93,100 | | | | 2,545,354 | |
McDonald’s Corp. | | | 84,085 | | | | 6,454,365 | |
Mead Johnson Nutrition Co. | | | 23,484 | | | | 1,461,879 | |
Merck & Co., Inc. | | | 103,400 | | | | 3,726,536 | |
Microsoft Corp. | | | 143,700 | | | | 4,012,104 | |
Monsanto Co. | | | 113,665 | | | | 7,915,630 | |
Morgan Stanley | | | 89,800 | | | | 2,443,458 | |
Murphy Oil Corp. | | | 43,150 | | | | 3,216,832 | |
Newell Rubbermaid, Inc. | | | 46,700 | | | | 849,006 | |
NIKE, Inc. (Class B Stock) | | | 71,389 | | | | 6,098,048 | |
NiSource, Inc.(b) | | | 58,300 | | | | 1,027,246 | |
Nordstrom, Inc. | | | 53,598 | | | | 2,271,483 | |
NRG Energy, Inc.(a) | | | 93,600 | | | | 1,828,944 | |
Nucor Corp. | | | 23,300 | | | | 1,021,006 | |
Oracle Corp. | | | 207,113 | | | | 6,482,637 | |
Pfizer, Inc. | | | 205,900 | | | | 3,605,309 | |
Philip Morris International, Inc. | | | 24,100 | | | | 1,410,573 | |
PNC Financial Services Group, Inc. | | | 73,561 | | | | 4,466,624 | |
PPG Industries, Inc. | | | 52,757 | | | | 4,435,281 | |
Praxair, Inc. | | | 58,903 | | | | 5,623,469 | |
Precision Castparts Corp. | | | 20,013 | | | | 2,786,010 | |
priceline.com, Inc.(a) | | | 10,868 | | | | 4,342,309 | |
Principal Financial Group, Inc. | | | 29,400 | | | | 957,264 | |
Procter & Gamble Co. (The) | | | 30,350 | | | | 1,952,416 | |
Raytheon Co. | | | 29,700 | | | | 1,376,298 | |
Salesforce.com, Inc.(a)(b) | | | 27,630 | | | | 3,647,160 | |
Schlumberger Ltd. | | | 12,500 | | | | 1,043,750 | |
SLM Corp.(a) | | | 71,400 | | | | 898,926 | |
Southwest Airlines Co. | | | 200,000 | | | | 2,596,000 | |
Spectra Energy Corp. | | | 96,100 | | | | 2,401,539 | |
Sprint Nextel Corp.(a) | | | 319,100 | | | | 1,349,793 | |
St Joe Co. (The)(a)(b) | | | 50,800 | | | | 1,109,980 | |
Starbucks Corp. | | | 6,307 | | | | 202,644 | |
State Street Corp. | | | 40,950 | | | | 1,897,623 | |
Tiffany & Co. | | | 51,114 | | | | 3,182,869 | |
Time Warner Cable, Inc. | | | 34,900 | | | | 2,304,447 | |
Time Warner, Inc. | | | 95,400 | | | | 3,069,018 | |
TJX Cos., Inc. | | | 78,013 | | | | 3,462,997 | |
Tyco Electronics Ltd. | | | 51,600 | | | | 1,826,640 | |
Tyco International Ltd. | | | 9,300 | | | | 385,392 | |
U.S. Bancorp | | | 318,487 | | | | 8,589,594 | |
Union Pacific Corp. | | | 107,848 | | | | 9,993,196 | |
Vulcan Materials Co. | | | 36,400 | | | | 1,614,704 | |
Wal-Mart Stores, Inc. | | | 38,550 | | | | 2,079,001 | |
Waste Management, Inc. | | | 34,300 | | | | 1,264,641 | |
Wells Fargo & Co. | | | 182,878 | | | | 5,667,389 | |
Western Union Co. (The) | | | 108,300 | | | | 2,011,131 | |
Weyerhaeuser Co.(b) | | | 126,100 | | | | 2,387,073 | |
Wynn Resorts Ltd. | | | 26,745 | | | | 2,777,201 | |
Yum! Brands, Inc. | | | 58,245 | | | | 2,856,917 | |
| | | | | | |
|
|
|
| | | | | | | | 306,014,668 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $543,922,842) | | | | 628,451,900 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| PREFERRED STOCK — 0.3% | |
| | | Shares
| | | Value
(Note 2)
| |
United States | | | | | | | | |
Wells Fargo & Co
(cost $1,510,954). | | | 63,000 | | | $ | 1,712,970 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $545,433,796) | | | | 630,164,870 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 4.9% | | | | | |
Affiliated Money Market Mutual Fund — 4.8% | | | | | |
Prudential Investment Portfolios 2— Prudential Core Taxable Money Market Fund
(cost $31,035,196; includes $10,802,460 received for securities on loan)(Note 4)(c)(d) | | | 31,035,196 | | | | 31,035,196 | |
| | | | | | |
|
|
|
| | |
| | | Principal
Amount
(000)
| | |
| |
U.S. Government Obligation — 0.1% | | | | | | | | |
U.S. Treasury Bill,
0.202%, 06/02/11
(cost $499,574)(e) | | $ | 500 | | | | 499,677 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $31,534,770) | | | | 31,534,873 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 102.0%
(cost $576,968,566) | | | | 661,699,743 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (2.0)% | | | | (13,180,959 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 648,518,784 | |
| | | | | | |
|
|
|
The following abbreviation is used in portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $10,550,727; cash collateral of $10,802,460 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2-Prudential Core Taxable Money Market Fund. |
| (e) | Rate quoted represents yield-to-maturity as of purchase date. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2— | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | |
Australia | | $ | 19,973,635 | | | $ | — | | | $ | — | |
Austria | | | 1,794,937 | | | | — | | | | — | |
Belgium | | | 4,948,630 | | | | — | | | | — | |
Brazil | | | 7,648,707 | | | | — | | | | — | |
Canada | | | 5,696,646 | | | | — | | | | — | |
Chile | | | 1,360,351 | | | | — | | | | — | |
China | | | 12,614,577 | | | | — | | | | — | |
Colombia | | | 1,782,322 | | | | — | | | | — | |
Denmark | | | 4,990,464 | | | | — | | | | — | |
Finland | | | 3,644,746 | | | | — | | | | — | |
France | | | 33,452,300 | | | | — | | | | — | |
Germany | | | 18,745,457 | | | | — | | | | — | |
Greece | | | 79,724 | | | | — | | | | — | |
Hong Kong | | | 5,279,015 | | | | — | | | | — | |
India | | | 2,302,931 | | | | — | | | | — | |
Indonesia | | | 1,809,032 | | | | — | | | | — | |
Ireland | | | 131,355 | | | | — | | | | — | |
Israel | | | 3,828,038 | | | | — | | | | — | |
Italy | | | 8,878,619 | | | | — | | | | — | |
Japan | | | 56,908,447 | | | | — | | | | — | |
Liechtenstein | | | 316,529 | | | | — | | | | — | |
Malaysia | | | 2,166,142 | | | | — | | | | — | |
Mexico | | | 3,428,028 | | | | — | | | | — | |
Netherlands | | | 12,888,671 | | | | — | | | | — | |
New Zealand | | | 862,456 | | | | — | | | | — | |
Norway | | | 1,830,602 | | | | — | | | | — | |
Peru | | | 1,094,448 | | | | — | | | | — | |
Portugal | | | 167,798 | | | | — | | | | — | |
Singapore | | | 1,694,827 | | | | — | | | | — | |
South Africa | | | 3,403,016 | | | | — | | | | — | |
South Korea | | | 7,510,354 | | | | — | | | | — | |
Spain | | | 12,332,078 | | | | — | | | | — | |
Sweden | | | 5,464,709 | | | | — | | | | — | |
Switzerland | | | 20,807,242 | | | | — | | | | — | |
Turkey | | | 1,525,305 | | | | — | | | | — | |
United Kingdom | | | 51,053,217 | | | | 21,877 | | | | — | |
United States | | | 306,014,668 | | | | — | | | | — | |
Preferred Stock | | | | | | | | | | | | |
United States | | | 1,712,970 | | | | — | | | | — | |
U.S. Government Obligation | | | — | | | | 499,677 | | | | — | |
Affiliated Money Market Mutual Fund | | | 31,035,196 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 661,178,189 | | | $ | 521,554 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| | Fair value of Level 2 investments at 12/31/09 was $287,426,035. $197,726,568 was transferred out of Level 2 into Level 1 at 12/31/10 as a result of no longer using third-party vendor modeling tools due to the lack of significant market movements between the time at which the Portfolio valued its securities and the earlier closing of foreign markets. |
| | It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Commercial Banks | | | 9.7 | % |
Oil, Gas & Consumable Fuels | | | 8.6 | |
Chemicals | | | 6.1 | |
Pharmaceuticals | | | 5.1 | |
Affiliated Money Market Mutual Fund
(including 1.7% of collateral received for securities on loan) | | | 4.8 | |
Insurance | | | 4.0 | |
Metals & Mining | | | 3.3 | |
Machinery | | | 3.1 | |
Wireless Telecommunication Services | | | 2.8 | |
Capital Markets | | | 2.6 | |
Software | | | 2.6 | |
Diversified Financial Services | | | 2.5 | |
Hotels, Restaurants & Leisure | | | 2.4 | |
Specialty Retail | | | 2.4 | |
Aerospace & Defense | | | 2.3 | |
Energy Equipment & Services | | | 2.1 | |
Media | | | 2.1 | |
Road & Rail | | | 2.0 | |
Internet & Catalog Retail | | | 1.9 | |
Computers & Peripherals | | | 1.7 | |
Diversified Telecommunication | | | 1.7 | |
Food Products | | | 1.6 | |
Textiles, Apparel & Luxury Goods | | | 1.6 | |
IT Services | | | 1.5 | |
Semiconductors & Semiconductor Equipment | | | 1.5 | |
Automobiles | | | 1.4 | |
Food & Staples Retailing | | | 1.3 | |
Electric Utilities | | | 1.2 | |
Electronic Equipment & Instruments | | | 1.1 | |
Household Products | | | 1.1 | |
| | | | |
Industrial Conglomerates | | | 1.1 | % |
Internet Software & Services | | | 1.1 | |
Real Estate Management & Development | | | 1.1 | |
Trading Companies & Distributors | | | 1.1 | |
Auto Components | | | 0.9 | |
Personal Products | | | 0.8 | |
Airlines | | | 0.7 | |
Multi-Utilities | | | 0.7 | |
Consumer Finance | | | 0.6 | |
Household Durables | | | 0.6 | |
Multiline Retail | | | 0.6 | |
Air Freight & Logistics | | | 0.5 | |
Beverages | | | 0.5 | |
Construction & Engineering | | | 0.5 | |
Distributors | | | 0.5 | |
Healthcare Equipment & Supplies | | | 0.5 | |
Independent Power Producers & Energy Traders | | | 0.5 | |
Commercial Services & Supplies | | | 0.4 | |
Electrical Equipment | | | 0.4 | |
Office Electronics | | | 0.4 | |
Real Estate Investment Trusts | | | 0.4 | |
Communications Equipment | | | 0.3 | |
Construction Materials | | | 0.3 | |
Paper & Forest Products | | | 0.3 | |
Tobacco | | | 0.3 | |
Biotechnology | | | 0.2 | |
Containers & Packaging | | | 0.2 | |
Diversified Consumer Services | | | 0.2 | |
Healthcare Technology | | | 0.1 | |
U.S. Government Obligation | | | 0.1 | |
| | |
|
|
|
| | | | 102.0 | |
Liabilities in excess of other assets | | | (2.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange 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.
The Portfolio did not hold any derivative instruments as of December 31, 2010, accordingly no derivative positions were presented in the Statement of Assets and Liabilities.
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Warrant
| | | Rights
| | | Forward
Currency
Contracts
| | | Futures
| | | Total
| |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | (380,712 | ) | | $ | — | | | $ | (380,712 | ) |
Equity contracts | | | 7,427 | | | | (51,171 | ) | | | — | | | | 246,784 | | | | 203,040 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 7,427 | | | $ | (51,171 | ) | | $ | (380,712 | ) | | $ | 246,784 | | | $ | (177,672 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
For the year ended December 31, 2010, the Portfolio did not have any unrealized appreciation or (depreciation) on derivatives recognized in income.
For the year ended December 31, 2010, the Portfolio’s average volume of derivative activities are as follows:
| | |
| Forward Currency Contracts - Sold | | Futures Long Position |
(Value at Settlement Date Receivable)
| | (Value at Trade Date)
|
$ 4,476,840 | | $206,369 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $10,550,727: | | | | |
Unaffiliated investments (cost $545,933,370) | | $ | 630,664,547 | |
Affiliated investments (cost $31,035,196) | | | 31,035,196 | |
Foreign currency, at value (cost $1,541,720) | | | 1,592,220 | |
Receivable for investments sold | | | 2,279,218 | |
Foreign tax reclaim receivable | | | 1,171,537 | |
Dividends and interest receivable | | | 575,052 | |
Receivable for Series shares sold | | | 19,097 | |
Prepaid expenses | | | 4,476 | |
| | |
|
|
|
Total Assets | | | 667,341,343 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 10,802,460 | |
Payable for investments purchased | | | 7,069,035 | |
Management fee payable | | | 408,216 | |
Accrued expenses and other liabilities | | | 381,133 | |
Payable for Series shares repurchased | | | 157,226 | |
Due to broker-variation margin | | | 3,612 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 18,822,559 | |
| | |
|
|
|
| NET ASSETS | | $ | 648,518,784 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 687,986,146 | |
Retained earnings | | | (39,467,362 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 648,518,784 | |
| | |
|
|
|
Net asset value and redemption price per share, $648,518,784 / 35,065,273 outstanding shares of beneficial interest | | $ | 18.49 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $805,329) | | $ | 14,822,214 | |
Affiliated income from securities loaned, net | | | 59,978 | |
Affiliated dividend income | | | 45,759 | |
Interest | | | 312 | |
| | |
|
|
|
| | | | 14,928,263 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 4,535,741 | |
Shareholders’ reports | | | 311,000 | |
Custodian’s fees and expenses | | | 286,000 | |
Audit fee | | | 24,000 | |
Trustees’ fees | | | 15,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 12,000 | |
Insurance expenses | | | 9,000 | |
Legal fees and expenses | | | 7,000 | |
Commitment fee on syndicated credit agreement | | | 5,000 | |
Loan interest expense (Note 8) | | | 18 | |
Miscellaneous | | | 35,894 | |
| | |
|
|
|
Total expenses | | | 5,240,653 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 9,687,610 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 35,455,433 | |
Futures transactions | | | 246,784 | |
Foreign currency transactions | | | (711,889 | ) |
| | |
|
|
|
| | | | 34,990,328 | |
| | |
|
|
|
Net change in unrealized appreciation on: | | | | |
Investments | | | 28,926,396 | |
Foreign currencies | | | 198,442 | |
| | |
|
|
|
| | | | 29,124,838 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 64,115,166 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 73,802,776 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS: | | | | | | | | |
Net investment income | | $ | 9,687,610 | | | $ | 9,480,989 | |
Net realized gain (loss) on investments and foreign currencies | | | 34,990,328 | | | | (64,413,262 | ) |
Net change in unrealized appreciation on investments and foreign currencies | | | 29,124,838 | | | | 204,128,534 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 73,802,776 | | | | 149,196,261 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (9,476,827 | ) | | | (15,473,292 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [619,301 and 944,130 shares, respectively] | | | 10,445,077 | | | | 13,276,492 | |
Series shares issued in reinvestment of distributions [613,784 and 1,100,519 shares, respectively] | | | 9,476,827 | | | | 15,473,292 | |
Series shares repurchased [3,317,264 and 4,117,959 shares, respectively] | | | (55,260,539 | ) | | | (55,673,306 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (35,338,635 | ) | | | (26,923,522 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 28,987,314 | | | | 106,799,447 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 619,531,470 | | | | 512,732,023 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 648,518,784 | | | $ | 619,531,470 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| LONG-TERM INVESTMENTS — 97.3% | |
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities — 1.6% | | | | | | | | | | | | | | | | | | | | |
Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8 | | | | | | | 5.650% | | | | 09/20/19 | | | $ | 1,500 | | | $ | 1,705,854 | |
Small Business Administration Participation Certificates,
Ser. 1996-20J, Class 1 | | | | | | | 7.200% | | | | 10/01/16 | | | | 1,441 | | | | 1,554,568 | |
Ser. 1997-20A, Class 1 | | | | | | | 7.150% | | | | 01/01/17 | | | | 1,064 | | | | 1,159,385 | |
Ser. 1997-20G, Class 1 | | | | | | | 6.850% | | | | 07/01/17 | | | | 546 | | | | 596,354 | |
Ser. 1998-20I, Class 1 | | | | | | | 6.000% | | | | 09/01/18 | | | | 1,230 | | | | 1,340,333 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 6,356,494 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Collateralized Mortgage Obligations — 2.8% | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp.,
Ser. 2002-2496, Class PM | | | | | | | 5.500% | | | | 09/15/17 | | | | 1,978 | | | | 2,139,042 | |
Ser. 2002-2501, Class MC | | | | | | | 5.500% | | | | 09/15/17 | | | | 744 | | | | 810,236 | |
Ser. 2002-2513, Class HC | | | | | | | 5.000% | | | | 10/15/17 | | | | 2,339 | | | | 2,533,347 | |
Ser. 2002-2518, Class PV | | | | | | | 5.500% | | | | 06/15/19 | | | | 1,920 | | | | 2,020,461 | |
Federal National Mortgage Association,
Ser. 2002-18, Class PC | | | | | | | 5.500% | | | | 04/25/17 | | | | 2,093 | | | | 2,210,373 | |
Ser. 2002-57, Class ND | | | | | | | 5.500% | | | | 09/25/17 | | | | 821 | | | | 892,107 | |
Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a) | | | | | | | 0.571% | | | | 10/25/28 | | | | 101 | | | | 94,533 | |
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a) | | | | | | | 2.770% | | | | 02/25/34 | | | | 347 | | | | 328,663 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 11,028,762 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Commercial Mortgage-Backed Securities — 9.9% | | | | | | | | | | | | | | | | | | | | |
Banc of America Commercial Mortgage, Inc., Ser. 2007-1, Class A2 | | | | | | | 5.381% | | | | 01/15/49 | | | | 2,510 | | | | 2,559,273 | |
Bear Stearns Commercial Mortgage Securities, Inc.,
Ser. 2004-T16, Class A5 | | | | | | | 4.600% | | | | 02/13/46 | | | | 4,200 | | | | 4,416,664 | |
Ser. 2005-PW10, Class A4(a) | | | | | | | 5.405% | | | | 12/11/40 | | | | 2,000 | | | | 2,136,833 | |
Ser. 2006-PW11, Class A4(a) | | | | | | | 5.456% | | | | 03/11/39 | | | | 860 | | | | 929,823 | |
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4 | | | | | | | 4.832% | | | | 04/15/37 | | | | 2,700 | | | | 2,786,691 | |
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a) | | | | | | | 5.818% | | | | 05/15/46 | | | | 1,300 | | | | 1,388,185 | |
Federal Home Loan Mortgage Corp.,
Ser. 2010-K005, Class A2 | | | | | | | 4.317% | | | | 11/25/19 | | | | 2,600 | | | | 2,653,459 | |
Ser. 2010-K007, Class A2 | | | | | | | 4.224% | | | | 03/25/20 | | | | 3,600 | | | | 3,649,727 | |
Ser. 2010-K009, Class A2 | | | | | | | 3.808% | | | | 08/25/20 | | | | 2,900 | | | | 2,850,997 | |
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 | | | | | | | 5.381% | | | | 03/10/39 | | | | 2,328 | | | | 2,391,868 | |
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(a) | | | | | | | 5.778% | | | | 08/10/45 | | | | 2,000 | | | | 2,054,554 | |
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class ASB(a) | | | | | | | 5.656% | | | | 05/12/39 | | | | 1,570 | | | | 1,652,845 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2 | | | | | | | 5.590% | | | | 09/12/49 | | | | 2,971 | | | | 3,096,456 | |
NCUA Gtd. Notes, Ser. 2010-C1, Class A2 | | | | | | | 2.900% | | | | 10/29/20 | | | | 2,000 | | | | 1,944,555 | |
Wachovia Bank Commercial Mortgage Trust,
Ser. 2006-C25, Class A4(a) | | | | | | | 5.737% | | | | 05/15/43 | | | | 2,000 | | | | 2,145,124 | |
Ser. 2006-C27, Class A2 | | | | | | | 5.624% | | | | 07/15/45 | | | | 2,757 | | | | 2,797,392 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 39,454,446 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Corporate Bonds — 1.1% | | | | | | | | | | | | | | | | | | | | |
Bank of Nova Scotia (Canada), Covered Notes, 144A | | | | | | | 1.650% | | | | 10/29/15 | | | | 1,900 | | | | 1,816,170 | |
BNP Paribas Home Loan Covered Bonds SA (France), Covered Notes, 144A | | | | | | | 2.200% | | | | 11/02/15 | | | | 460 | | | | 440,551 | |
DEPFA ACS Bank (Ireland), Covered Notes, 144A | | | | | | | 5.125% | | | | 03/16/37 | | | | 1,520 | | | | 1,013,191 | |
DNB NOR Boligkreditt (Norway), Covered Notes, 144A | | | | | | | 2.100% | | | | 10/14/15 | | | | 1,000 | | | | 950,997 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,220,909 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Mortgage-Backed Securities — 40.1% | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp.(a) | | | | | | | 2.604% | | | | 05/01/34 | | | | 891 | | | | 928,632 | |
Federal Home Loan Mortgage Corp.(h). | | | | | | | 4.000% | | | | TBA 30 Year | | | | 2,000 | | | | 1,985,312 | |
Federal Home Loan Mortgage Corp.(h) | | | | | | | 4.500% | | | | TBA 15 Year | | | | 3,500 | | | | 3,655,858 | |
Federal Home Loan Mortgage Corp.(h) | | | | | | | 4.500% | | | | TBA 30 Year | | | | 3,000 | | | | 3,065,625 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.000% | | | | 06/01/33-05/01/34 | | | | 6,320 | | | | 6,667,035 | |
Federal Home Loan Mortgage Corp.(h) | | | | | | | 5.000% | | | | TBA 15 Year | | | | 500 | | | | 527,969 | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.500% | | | | 05/01/37-05/01/38 | | | | 2,655 | | | | 2,833,920 | |
Federal Home Loan Mortgage Corp.(h) | | | | | | | 5.500% | | | | TBA 30 Year | | | | 3,000 | | | | 3,196,875 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS
(continued) | |
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities (continued) | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.000% | | | | 09/01/34 | | | $ | 374 | | | $ | 412,383 | |
Federal Home Loan Mortgage Corp.(h) | | | | | | | 6.000% | | | | TBA 30 Year | | | | 2,000 | | | | 2,166,250 | |
Federal Home Loan Mortgage Corp. | | | | | | | 6.500% | | | | 01/01/11-09/01/32 | | | | 235 | | | | 261,870 | |
Federal Home Loan Mortgage Corp. | | | | | | | 7.000% | | | | 09/01/12-10/01/32 | | | | 88 | | | | 98,926 | |
Federal National Mortgage Association(a) | | | | | | | 2.416% | | | | 04/01/34 | | | | 290 | | | | 302,294 | |
Federal National Mortgage Association(a) | | | | | | | 2.471% | | | | 07/01/33 | | | | 2,525 | | | | 2,642,296 | |
Federal National Mortgage Association(a) | | | | | | | 2.554% | | | | 06/01/34 | | | | 685 | | | | 717,143 | |
Federal National Mortgage Association(a) | | | | | | | 2.643% | | | | 08/01/33 | | | | 1,549 | | | | 1,615,272 | |
Federal National Mortgage Association(a) | | | | | | | 2.647% | | | | 04/01/34 | | | | 579 | | | | 604,474 | |
Federal National Mortgage Association(h) | | | | | | | 3.500% | | | | TBA 15 Year | | | | 2,000 | | | | 2,013,750 | |
Federal National Mortgage Association(h) | | | | | | | 4.000% | | | | TBA 30 Year | | | | 30,000 | | | | 29,840,640 | |
Federal National Mortgage Association | | | | | | | 4.500% | | | | 05/01/40 | | | | 9,383 | | | | 9,669,202 | |
Federal National Mortgage Association(h) | | | | | | | 4.500% | | | | TBA 30 Year | | | | 8,000 | | | | 8,211,248 | |
Federal National Mortgage Association | | | | | | | 5.000% | | | | 07/01/18-05/01/36 | | | | 12,145 | | | | 12,894,276 | |
Federal National Mortgage Association(h) | | | | | | | 5.000% | | | | TBA 30 Year | | | | 5,250 | | | | 5,519,063 | |
Federal National Mortgage Association | | | | | | | 5.500% | | | | 01/01/17-11/01/36 | | | | 22,239 | | | | 24,006,464 | |
Federal National Mortgage Association(h) | | | | | | | 5.500% | | | | TBA 30 Year | | | | 6,000 | | | | 6,419,064 | |
Federal National Mortgage Association | | | | | | | 6.000% | | | | 11/01/14-05/01/38 | | | | 7,911 | | | | 8,663,153 | |
Federal National Mortgage Association(h) | | | | | | | 6.000% | | | | TBA 30 Year | | | | 2,000 | | | | 2,173,750 | |
Federal National Mortgage Association | | | | | | | 6.260% | | | | 03/01/11 | | | | 1,087 | | | | 1,086,292 | |
Federal National Mortgage Association | | | | | | | 6.500% | | | | 01/01/15-10/01/37 | | | | 3,846 | | | | 4,313,309 | |
Federal National Mortgage Association | | | | | | | 7.000% | | | | 02/01/12-01/01/36 | | | | 732 | | | | 829,000 | |
Federal National Mortgage Association | | | | | | | 7.500% | | | | 05/01/11-07/01/12 | | | | 16 | | | | 17,261 | |
Federal National Mortgage Association | | | | | | | 8.000% | | | | 03/01/22-02/01/26 | | | | 26 | | | | 29,227 | |
Federal National Mortgage Association | | | | | | | 9.000% | | | | 02/01/25-04/01/25 | | | | 107 | | | | 124,079 | |
Government National Mortgage Association(h) | | | | | | | 4.000% | | | | TBA 30 Year | | | | 1,500 | | | | 1,508,683 | |
Government National Mortgage Association(h) | | | | | | | 4.500% | | | | TBA 30 Year | | | | 3,500 | | | | 3,633,437 | |
Government National Mortgage Association | | | | | | | 5.000% | | | | 07/15/33-04/15/34 | | | | 2,590 | | | | 2,767,342 | |
Government National Mortgage Association | | | | | | | 5.500% | | | | 03/15/34-03/15/36 | | | | 2,151 | | | | 2,338,605 | |
Government National Mortgage Association | | | | | | | 6.500% | | | | 07/15/32-08/15/32 | | | | 497 | | | | 564,565 | |
Government National Mortgage Association | | | | | | | 7.000% | | | | 03/15/23-08/15/28 | | | | 1,196 | | | | 1,365,717 | |
Government National Mortgage Association | | | | | | | 7.500% | | | | 12/15/25-02/15/26 | | | | 222 | | | | 255,660 | |
Government National Mortgage Association | | | | | | | 8.500% | | | | 09/15/24-04/15/25 | | | | 270 | | | | 321,913 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 160,247,834 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Municipal Bond — 0.2% | | | | | | | | | | | | | | | | | | | | |
State of Utah, BABs, Ser. D | | | | | | | 4.554% | | | | 07/01/24 | | | | 630 | | | | 641,731 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
U.S. Government Agency Obligations — 5.0% | | | | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | | | 5.125% | | | | 11/17/17 | | | | 1,270 | | | | 1,446,164 | |
Financing Corp. FICO,
Ser. 1P(b) | | | | | | | 3.310% | | | | 05/11/18 | | | | 4,000 | | | | 3,148,412 | |
Ser. 2P(b) | | | | | | | 3.460% | | | | 11/30/17 | | | | 2,940 | | | | 2,365,792 | |
Ser. 3P(b) | | | | | | | 3.460% | | | | 11/30/17 | | | | 3,640 | | | | 2,929,075 | |
Tennessee Valley Authority | | | | | | | 5.250% | | | | 09/15/39 | | | | 870 | | | | 919,778 | |
Tennessee Valley Authority | | | | | | | 5.500% | | | | 06/15/38 | | | | 465 | | | | 509,302 | |
Tennessee Valley Authority, Notes | | | | | | | 4.500% | | | | 04/01/18 | | | | 805 | | | | 872,596 | |
GMAC, Inc., FDIC Gtd. Notes | | | | | | | 1.750% | | | | 10/30/12 | | | | 4,415 | | | | 4,493,199 | |
Western Corporate Federal Credit Union, Gtd. Notes. | | | | | | | 1.750% | | | | 11/02/12 | | | | 3,405 | | | | 3,466,576 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 20,150,894 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
U.S. Treasury Securities — 36.6% | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | 3.875% | | | | 08/15/40 | | | | 4,495 | | | | 4,140,318 | |
U.S. Treasury Bonds | | | | | | | 4.250% | | | | 11/15/40 | | | | 4,700 | | | | 4,623,625 | |
U.S. Treasury Bonds | | | | | | | 4.625% | | | | 02/15/40 | | | | 3,325 | | | | 3,482,937 | |
U.S. Treasury Bonds | | | | | | | 7.125% | | | | 02/15/23 | | | | 4,000 | | | | 5,372,500 | |
U.S. Treasury Bonds | | | | | | | 7.500% | | | | 11/15/16 | | | | 3,800 | | | | 4,883,889 | |
U.S. Treasury Bonds | | | | | | | 7.500% | | | | 11/15/24 | | | | 775 | | | | 1,085,848 | |
U.S. Treasury Bonds | | | | | | | 8.000% | | | | 11/15/21 | | | | 11,280 | | | | 15,954,150 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS
(continued) | |
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Securities (continued) | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | 0.375% | | | | 09/30/12 | | | $ | 4,615 | | | $ | 4,604,002 | |
U.S. Treasury Notes | | | | | | | 0.625% | | | | 12/31/12 | | | | 2,665 | | | | 2,666,458 | |
U.S. Treasury Notes(c) | | | | | | | 1.125% | | | | 12/15/11 | | | | 1,500 | | | | 1,511,308 | |
U.S. Treasury Notes(d) | | | | | | | 1.375% | | | | 11/30/15 | | | | 9,465 | | | | 9,198,059 | |
U.S. Treasury Notes | | | | | | | 2.125% | | | | 12/31/15 | | | | 13,975 | | | | 14,049,235 | |
U.S. Treasury Notes(d) | | | | | | | 2.625% | | | | 11/15/20 | | | | 1,200 | | | | 1,131,937 | |
U.S. Treasury Notes(d) | | | | | | | 3.125% | | | | 04/30/13 | | | | 27,290 | | | | 28,829,320 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.200% | | | | 05/15/24 | | | | 6,500 | | | | 3,727,328 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.230% | | | | 11/15/24 | | | | 7,690 | | | | 4,282,146 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.240% | | | | 08/15/24 | | | | 10,095 | | | | 5,700,737 | |
U.S. Treasury Strips Coupon(d)(e) | | | | | | | 4.310% | | | | 08/15/25 | | | | 5,500 | | | | 2,932,160 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.640% | | | | 11/15/21 | | | | 5,750 | | | | 3,802,509 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.730% | | | | 02/15/22 | | | | 4,950 | | | | 3,226,247 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.810% | | | | 05/15/22 | | | | 3,000 | | | | 1,929,240 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 4.910% | | | | 08/15/22 | | | | 3,005 | | | | 1,903,779 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 5.000% | | | | 11/15/22 | | | | 4,820 | | | | 3,009,063 | |
U.S. Treasury Strips Coupon(c)(e) | | | | | | | 5.330% | | | | 11/15/23 | | | | 6,935 | | | | 4,090,159 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 5.400% | | | | 02/15/24 | | | | 6,500 | | | | 3,780,842 | |
U.S. Treasury Strips Coupon(e) | | | | | | | 5.830% | | | | 05/15/25 | | | | 6,000 | | | | 3,244,248 | |
U.S. Treasury Strips Coupon(d)(e) | | | | | | | 6.270% | | | | 08/15/26 | | | | 2,665 | | | | 1,336,601 | |
U.S. Treasury Strips Principal(b) | | | | | | | 5.000% | | | | 02/15/23 | | | | 2,770 | | | | 1,714,636 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 146,213,281 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $378,916,490) | | | | 388,314,351 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | | | Shares
| | | | |
| SHORT-TERM INVESTMENTS — 32.2% | | | | | | | | | | | | | | | | | | | | |
AFFILIATED MUTUAL FUNDS | | | | | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $52,856,631) (Note 4)(g) | | | | 5,353,208 | | | | 48,125,341 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $80,584,866; includes $44,258,184 of cash collateral received for securities on loan)(Note 4)(f)(g) | | | | 80,584,866 | | | | 80,584,866 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $133,441,497) | | | | 128,710,207 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 129.5%
(cost $512,357,987) | | | | 517,024,558 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(i) (29.5)% | | | | (117,783,816 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 399,240,742 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| BABs | | Build America Bonds |
| FDIC | | Federal Deposit Insurance Corp. |
| FICO | | Financing Corp. |
| TBA | | To Be Announced |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Indicates a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (b) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2010. |
| (c) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $43,507,543; cash collateral of $44,258,184 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (e) | Rate shown reflects the effective yield at December 31, 2010. |
| (f) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (g) | Prudential Investments LLC, the manager of the Portfolio, also servers as manager of the Prudential Investments Portfolios 2 - Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolio 2-Prudential Core Short-Term Bond Fund. |
| (h) | All or partial principal amount totaling $104,750,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement. |
| (i) | Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures contracts and interest rate swap agreements as follows: |
Open future contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation/
(Depreciation)
| |
| Long Positions: | | | | | | | | | | | | | | | | | | | | |
| 25 | | | 2 Year U.S. Treasury Notes | | | | Mar. 2011 | | | $ | 5,482,970 | | | $ | 5,472,656 | | | $ | (10,314 | ) |
| 842 | | | 5 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 100,274,680 | | | | 99,119,187 | | | | (1,155,493 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | (1,165,807 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| Short Positions: | | | | | | | | | | | | | | | | | | | | |
| 591 | | | 10 Year U.S. Treasury Notes | | | | Mar. 2011 | | | | 72,841,496 | | | | 71,178,562 | | | | 1,662,934 | |
| 333 | | | U.S. Long Bond | | | | Mar. 2011 | | | | 42,112,235 | | | | 40,667,625 | | | | 1,444,610 | |
| 3 | | | U.S. Ultra Bond | | | | Mar. 2011 | | | | 376,965 | | | | 381,281 | | | | (4,316 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,103,228 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | 1,937,421 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Interest rate swap agreements outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)#
| | | Fixed
Rate
| | | Floating Rate
| | Fair
Value
| | | Upfront
Premium
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Citibank, NA(1) | | | 08/10/20 | | | $ | 3,485 | | | | 2.834% | | | 3 month LIBOR | | $ | (102,230 | ) | | $ | — | | | $ | (102,230 | ) |
Citibank, NA(1) | | | 12/31/20 | | | | 4,900 | | | | 3.409% | | | 3 month LIBOR | | | 22,606 | | | | — | | | | 22,606 | |
Citibank, NA(2) | | | 07/16/20 | | | | 1,830 | | | | 3.115% | | | 3 month LIBOR | | | 2,716 | | | | — | | | | 2,716 | |
Citibank, NA(2) | | | 07/19/20 | | | | 1,830 | | | | 3.001% | | | 3 month LIBOR | | | 21,969 | | | | — | | | | 21,969 | |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | (54,939 | ) | | $ | — | | | $ | (54,939 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
LIBOR—London Interbank Offered Rate
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2— | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such Portfolio Securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 6,356,494 | | | $ | — | |
Collateralized Mortgage Obligations | | | — | | | | 11,028,762 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 39,454,446 | | | | — | |
Corporate Bonds | | | — | | | | 4,220,909 | | | | — | |
Mortgage-Backed Securities | | | — | | | | 160,247,834 | | | | — | |
Municipal Bond | | | — | | | | 641,731 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 20,150,894 | | | | — | |
U.S. Treasury Securities | | | — | | | | 146,213,281 | | | | — | |
Affiliated Mutual Funds | | | 128,710,207 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | 1,937,421 | | | | — | | | | — | |
Interest Rate Swaps | | | — | | | | (54,939 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 130,647,628 | | | $ | 388,259,412 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Mortgage-Backed Securities | | | 40.1 | % |
U.S. Treasury Securities | | | 36.6 | |
Affiliated Mutual Funds (including 11.1% of collateral received for securities on loan | | | 32.2 | |
Commercial Mortgage-Backed Securities | | | 9.9 | |
U.S. Government Agency Obligations | | | 5.0 | |
Collateralized Mortgage Obligations | | | 2.8 | |
Asset-Backed Securities | | | 1.6 | |
Corporate Bonds | | | 1.1 | |
Municipal Bond | | | 0.2 | |
| | |
|
|
|
| | | | 129.5 | |
Liabilities in excess of other assets | | | (29.5 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. Detailed discussion about these risks can be found in the Notes to the Financial Statements. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative Instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | | | |
Derivatives not designated as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Interest rate contracts | | | Due to broker–variation margin | | | $ | 3,107,544 | * | | Due to broker–variation margin | | $ | 1,170,123 | * |
Interest rate contracts | |
| Unrealized appreciation on
swap agreements |
| | | 47,291 | | | Unrealized depreciation on swap agreements | | | 102,230 | |
| | | | | | |
|
|
| | | |
|
|
|
Total | | | | | | $ | 3,154,835 | | | | | $ | 1,272,353 | |
| | | | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| | | Swaps
| | | Purchased
Options
| | | Written
Options
| | | Total
| |
Interest rate contracts | | $ | (4,556,780 | ) | | $ | 87,658 | | | $ | (64,695 | ) | | $ | 83,219 | | | $ | (4,450,598 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| | | Swaps
| | | Total
| | | | | | | |
Interest rate contracts | | $ | 1,432,341 | | | $ | (92,926 | ) | | $ | 1,339,415 | | | | | | | | | |
| | |
|
|
| |
|
|
| |
|
|
| | | | | | | | |
For the year ended December 31, 2010, the Portfolio’s average volume of derivative activities are as follows:
| | | | | | | | |
Purchased Options (Cost)
| | Written Options
(Premium Received)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
| | Interest Rate Swaps
(Notional Amount in
USD (000))
|
| $39,728 | | $19,314 | | $77,564,642 | | $86,046,541 | | $21,522 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $43,507,543: | | | | |
Unaffiliated investments (cost $378,916,490) | | $ | 388,314,351 | |
Affiliated investments (cost $133,441,497) | | | 128,710,207 | |
Receivable for investments sold | | | 45,148,314 | |
Dividends and interest receivable | | | 1,509,251 | |
Unrealized appreciation on swap agreements | | | 47,291 | |
Receivable for Series shares sold | | | 3,920 | |
Prepaid expenses | | | 3,398 | |
| | |
|
|
|
Total Assets | | | 563,736,732 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 119,022,080 | |
Collateral for securities on loan | | | 44,258,184 | |
Due to broker-variation margin | | | 377,906 | |
Accrued expenses and other liabilities | | | 220,866 | |
Payable to custodian | | | 196,770 | |
Payable for Series shares repurchased | | | 178,395 | |
Management fee payable | | | 136,453 | |
Unrealized depreciation on swap agreements | | | 102,230 | |
Deferred trustees’ fees | | | 2,229 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 164,495,990 | |
| | |
|
|
|
| NET ASSETS | | $ | 399,240,742 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 383,628,374 | |
Retained earnings | | | 15,612,368 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 399,240,742 | |
| | |
|
|
|
Net asset value and redemption price per share, $399,240,742 / 33,198,768 outstanding shares of beneficial interest | | $ | 12.03 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Interest | | $ | 12,711,445 | |
Affiliated dividend income | | | 755,136 | |
Affiliated income from securities loaned, net | | | 18,186 | |
| | |
|
|
|
| | | | 13,484,767 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,597,621 | |
Shareholders’ reports | | | 249,000 | |
Custodian’s fees and expenses | | | 81,000 | |
Audit fee | | | 29,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Trustees’ fees | | | 11,000 | |
Legal fees and expenses | | | 7,000 | |
Insurance expenses | | | 6,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Miscellaneous | | | 9,057 | |
| | |
|
|
|
Total expenses | | | 2,003,678 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 11,481,089 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 12,988,514 | |
Short sale transactions | | | (236,040 | ) |
Futures transactions | | | (4,556,780 | ) |
Swap agreement transactions | | | 87,658 | |
Written options transactions | | | 83,219 | |
| | |
|
|
|
| | | | 8,366,571 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $2,301,879) | | | 5,415,882 | |
Securities sold short | | | (52,538 | ) |
Futures | | | 1,432,341 | |
Swap agreements | | | (92,926 | ) |
| | |
|
|
|
| | | | 6,702,759 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 15,069,330 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 26,550,419 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS: | | | | | | | | |
Net investment income | | $ | 11,481,089 | | | $ | 11,617,030 | |
Net realized gain on investments | | | 8,366,571 | | | | 9,789,181 | |
Net change in unrealized appreciation (depreciation) on investments | | | 6,702,759 | | | | 6,260,778 | |
| | |
|
|
| |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 26,550,419 | | | | 27,666,989 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (21,211,457 | ) | | | (12,874,743 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [3,844,283 and 1,335,219 shares, respectively] | | | 46,399,951 | | | | 15,539,947 | |
Series shares issued in reinvestment of distributions [1,770,163 and 1,112,755 shares, respectively] | | | 21,211,457 | | | | 12,874,743 | |
Series shares repurchased [4,057,749 and 3,294,616 shares, respectively] | | | (49,100,020 | ) | | | (38,329,997 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 18,511,388 | | | | (9,915,307 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 23,850,350 | | | | 4,876,939 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 375,390,392 | | | | 370,513,453 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 399,240,742 | | | $ | 375,390,392 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS — 92.9% ASSET-BACKED SECURITIES — 0.1% | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Security | | | | | | | | | | | | | | | | | | | | |
Primus CLO Ltd. (Cayman Islands), Ser. 2007-2A, Class A, 144A(a) | | | Aa3 | | | | 0.522% | | | | 07/15/21 | | | $ | 478 | | | $ | 420,078 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities — 0.1% | | | | | | | | | | | | | | | | | | | | |
Argent Securities, Inc., Ser. 2003-W8, Class M1(a) | | | Aa2 | | | | 1.311% | | | | 12/25/33 | | | | 150 | | | | 123,088 | |
Credit-Based Asset Servicing and Securitization LLC,
Ser. 2007-CB1, Class AF2 | | | Ca | | | | 5.369% | | | | 01/25/37 | | | | 600 | | | | 283,609 | |
Morgan Stanley ABS Capital I, Ser. 2007-HE6, Class A2(a) | | | Ca | | | | 0.401% | | | | 05/25/37 | | | | 100 | | | | 39,446 | |
Morgan Stanley Mortgage Loan Trust,
Ser. 2006-12XS, Class A6A | | | Caa3 | | | | 5.726% | | | | 10/25/36 | | | | 464 | | | | 264,140 | |
Structured Asset Securities Corp.,
Ser. 2005-9XS, Class 2A1(a) | | | Caa2 | | | | 0.561% | | | | 06/25/35 | | | | 449 | | | | 312,545 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,022,828 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $1,455,937) | | | | 1,442,906 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| BANK LOANS — 5.6% | | | | | | | | | | | | | | | | | | | | |
Automotive — 0.7% | | | | | | | | | | | | | | | | | | | | |
Ford Motor Co.(a)(b) | | | Baa3 | | | | 3.026% | | | | 12/15/13 | | | | 15,911 | | | | 15,833,676 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable — 0.1% | | | | | | | | | | | | | | | | | | | | |
CSC Holdings, Inc.(a)(b) | | | Baa3 | | | | 1.011% | | | | 03/31/15 | | | | 2,215 | | | | 2,148,915 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods | | | | | | | | | | | | | | | | | | | | |
Capital Safety Group Ltd.(a)(b) | | | B3 | | | | 3.011% | | | | 07/20/15 | | | | 176 | | | | 159,387 | |
Capital Safety Group Ltd.(a)(b) | | | B3 | | | | 3.011% | | | | 07/20/16 | | | | 924 | | | | 836,113 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 995,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 0.5% | | | | | | | | | | | | | | | | | | | | |
Realogy Corp.(b) | | | Caa3 | | | | 13.500% | | | | 10/15/17 | | | | 5,700 | | | | 6,209,437 | |
Visant Corp.(b) | | | Ba3 | | | | 6.966% | | | | 12/22/16 | | | | 4,065 | | | | 4,107,156 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 10,316,593 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 1.3% | | | | | | | | | | | | | | | | | | | | |
Texas Competitive Electric Holdings Co. LLC(a)(b) | | | B2 | | | | 3.764% | | | | 10/10/14 | | | | 11,375 | | | | 8,778,072 | |
Texas Competitive Electric Holdings Co. LLC(a)(b) | | | B2 | | | | 3.764% | | | | 10/10/14 | | | | 24,557 | | | | 18,912,038 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 27,690,110 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Gaming — 0.3% | | | | | | | | | | | | | | | | | | | | |
Harrah’s Operating Co., Inc.(a)(b) | | | Caa1 | | | | 3.288% | | | | 01/28/15 | | | | 2,714 | | | | 2,448,378 | |
Motorcity Casino(a)(b) | | | Caa1 | | | | 8.500% | | | | 07/13/12 | | | | 3,328 | | | | 3,329,806 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 5,778,184 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 1.0% | | | | | | | | | | | | | | | | | | | | |
Royalty Pharma Finance Trust(b) | | | Baa3 | | | | 7.750% | | | | 05/15/15 | | | | 20,481 | | | | 21,095,628 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.1% | | | | | | | | | | | | | | | | | | | | |
New Development Holdings LLC(a)(b) | | | Ba3 | | | | 7.000% | | | | 07/01/17 | | | | 3,253 | | | | 3,301,915 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 1.5% | | | | | | | | | | | | | | | | | | | | |
First Data Corp.(a)(b) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 4,659 | | | | 4,297,902 | |
First Data Corp.(a)(b) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 2,288 | | | | 2,108,531 | |
First Data Corp.(a)(b) | | | B1 | | | | 3.011% | | | | 09/24/14 | | | | 6,155 | | | | 5,672,142 | |
Interactive Data Corp.(a)(b) | | | Ba3 | | | | 6.750% | | | | 01/30/17 | | | | 9,403 | | | | 9,520,209 | |
Spansion LLC(a)(b) | | | BB- (c) | | | | 7.500% | | | | 02/09/15 | | | | 1,395 | | | | 1,407,304 | |
TransUnion LLC(a)(b) | | | Ba3 | | | | 6.750% | | | | 06/15/17 | | | | 9,129 | | | | 9,234,110 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 32,240,198 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Telecommunications — 0.1% | | | | | | | | | | | | | | | | | | | | |
Level 3 Communications, Inc.(a)(b) | | | B1 | | | | 11.660% | | | | 03/13/14 | | | | 1,500 | | | | 1,617,188 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $114,226,199) | | | | 121,017,907 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Adjustable Rate Mortgage Trust, Ser. 2005-7, Class 1A1(a) | | | Ca | | | | 3.021% | | | | 10/25/35 | | | $ | 137 | | | $ | 96,828 | |
American Home Mortgage Assets, Ser. 2006-4, Class 1A12(a) | | | Ca | | | | 0.471% | | | | 10/25/46 | | | | 60 | | | | 32,586 | |
American Home Mortgage Assets, Ser. 2006-5, Class A1(a) | | | Caa3 | | | | 1.248% | | | | 11/25/46 | | | | 471 | | | | 231,934 | |
American Home Mortgage Assets, Ser. 2007-3, Class 22A1 | | | Ca | | | | 6.250% | | | | 06/25/37 | | | | 204 | | | | 120,523 | |
American Home Mortgage Investment Trust, Ser. 2005-2, Class 4A1(a) | | | Ba3 | | | | 1.957% | | | | 09/25/45 | | | | 35 | | | | 30,547 | |
Banc of America Alternative Loan Trust, Ser. 2005-4, Class CB6(a) | | | Caa1 | | | | 0.661% | | | | 05/25/35 | | | | 91 | | | | 67,140 | |
Banc of America Funding Corp., Ser. 2006-B, Class 2A1(a) | | | Caa2 | | | | 5.445% | | | | 03/20/36 | | | | 233 | | | | 174,621 | |
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2005-10, Class A2(a) | | | BB+(c) | | | | 2.871% | | | | 10/25/35 | | | | 500 | | | | 477,816 | |
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2007-3, Class 1A1(a) | | | CCC(c) | | | | 5.326% | | | | 05/25/47 | | | | 69 | | | | 52,107 | |
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-10, Class 22AA(a) | | | CCC(c) | | | | 5.805% | | | | 09/25/37 | | | | 141 | | | | 101,753 | |
Countrywide Alternative Loan Trust, Ser. 2005-43, Class 4A3(a) | | | CC(c) | | | | 5.590% | | | | 10/25/35 | | | | 53 | | | | 36,493 | |
Countrywide Alternative Loan Trust, Ser. 2005-62, Class 2A1(a) | | | Caa3 | | | | 1.328% | | | | 12/25/35 | | | | 121 | | | | 77,259 | |
Countrywide Alternative Loan Trust, Ser. 2006-HY13, Class 4A1(a) | | | CCC(c) | | | | 5.704% | | | | 02/25/37 | | | | 62 | | | | 45,744 | |
Countrywide Alternative Loan Trust, Ser. 2006-OA1, Class 2A1(a) | | | Ca | | | | 0.471% | | | | 03/20/46 | | | | 50 | | | | 28,589 | |
Countrywide Alternative Loan Trust, Ser. 2006-OA9, Class 2A1A(a) | | | Ca | | | | 0.471% | | | | 07/20/46 | | | | 60 | | | | 28,148 | |
Countrywide Alternative Loan Trust, Ser. 2006-OA11, Class A1B(a) | | | Ca | | | | 0.451% | | | | 09/25/46 | | | | 74 | | | | 44,208 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Ser. 2005-2, Class 2A1(a) | | | Caa2 | | | | 0.581% | | | | 03/25/35 | | | | 156 | | | | 98,758 | |
Downey Savings & Loan Association Mortgage Loan Trust, Ser. 2005-AR1, Class 2A1A(a) | | | Caa1 | | | | 0.511% | | | | 03/19/45 | | | | 19 | | | | 13,384 | |
First Horizon Alternative Mortgage Securities, Ser. 2006-FA2, Class 1A5 | | | Caa3 | | | | 6.000% | | | | 05/25/36 | | | | 116 | | | | 93,126 | |
Harborview Mortgage Loan Trust, Ser. 2006-1, Class 2A1A(a) | | | Caa3 | | | | 0.501% | | | | 03/19/36 | | | | 480 | | | | 294,553 | |
Harborview Mortgage Loan Trust, Ser. 2006-5, Class 2A1A(a) | | | Caa3 | | | | 0.441% | | | | 07/19/46 | | | | 62 | | | | 38,407 | |
Harborview Mortgage Loan Trust, Ser. 2006-7, Class 2A1B(a) | | | C | | | | 0.511% | | | | 09/19/46 | | | | 481 | | | | 90,526 | |
IndyMac Index Mortgage Loan Trust, Ser. 2005-AR13, Class 4A1(a) | | | Caa3 | | | | 2.625% | | | | 08/25/35 | | | | 105 | | | | 84,173 | |
IndyMac Index Mortgage Loan Trust, Ser. 2005-AR15, Class A1(a) | | | Caa2 | | | | 5.047% | | | | 09/25/35 | | | | 102 | | | | 85,214 | |
IndyMac Index Mortgage Loan Trust, Ser. 2006-AR12, Class A1(a) | | | Caa2 | | | | 0.451% | | | | 09/25/46 | | | | 51 | | | | 30,516 | |
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A96 | | | CC(c) | | | | 6.000% | | | | 08/25/37 | | | | 67 | | | | 59,311 | |
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A97 | | | CCC(c) | | | | 6.000% | | | | 08/25/37 | | | | 133 | | | | 118,623 | |
Mastr Adjustable Rate Mortgages Trust, Ser. 2006-OA1, Class 1A1(a) | | | Caa2 | | | | 0.471% | | | | 04/25/46 | | | | 36 | | | | 21,193 | |
Residential Accredit Loans, Inc., Ser. 2006-QA2, Class 3A1(a) | | | Ca | | | | 5.500% | | | | 02/25/36 | | | | 375 | | | | 217,954 | |
Residential Accredit Loans, Inc., Ser. 2007-QS4, Class 2A1(a) | | | Ca | | | | 0.591% | | | | 03/25/37 | | | | 250 | | | | 98,628 | |
Residential Asset Securitization Trust, Ser. 2007-A5, Class 2A3 | | | Caa2 | | | | 6.000% | | | | 05/25/37 | | | | 116 | | | | 96,928 | |
Structured Asset Mortgage Investments, Inc., Ser. 2006-AR6, Class 2A1(a) | | | Caa3 | | | | 0.451% | | | | 07/25/46 | | | | 67 | | | | 41,656 | |
SunTrust Alternative Loan Trust, Ser. 2006-1F, Class 3A(a) | | | Ca | | | | 0.611% | | | | 04/25/36 | | | | 181 | | | | 61,694 | |
Thornburg Mortgage Securities Trust, Ser. 2006-5, Class A1(a) | | | B1 | | | | 0.381% | | | | 10/25/46 | | | | 84 | | | | 82,753 | |
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 2A3(a) | | | CCC(c) | | | | 5.708% | | | | 02/25/37 | | | | 59 | | | | 45,513 | |
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 4A1(a) | | | CCC(c) | | | | 4.770% | | | | 02/25/37 | | | | 66 | | | | 51,896 | |
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY2, Class 1A1(a) | | | CCC(c) | | | | 5.286% | | | | 12/25/36 | | | | 67 | | | | 50,831 | |
WaMu Mortgage Pass-Through Certificates, Ser. 2007-OA3, Class 2A1A(a) | | | Caa2 | | | | 1.088% | | | | 04/25/47 | | | | 66 | | | | 43,566 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $3,399,847) | | | | 3,465,499 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 86.7% | | | | | | | | | | | | | | | | | | | | |
Aerospace & Defense — 2.0% | | | | | | | | | | | | | | | | | | | | |
Alliant Techsystems, Inc., Gtd. Notes | | | Ba3 | | | | 6.875% | | | | 09/15/20 | | | | 2,375 | | | | 2,443,281 | |
BE Aerospace, Inc., Sr. Unsec’d. Notes | | | Ba3 | | | | 8.500% | | | | 07/01/18 | | | | 9,650 | | | | 10,566,750 | |
Colt Defense LLC/Colt Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $4,374,500; purchased 01/13/10-03/23/10)(b)(d) | | | B3 | | | | 8.750% | | | | 11/15/17 | | | | 4,325 | | | | 3,200,500 | |
Esterline Technologies Corp., Gtd. Notes | | | Ba3 | | | | 6.625% | | | | 03/01/17 | | | | 750 | | | | 757,500 | |
Esterline Technologies Corp., Gtd. Notes, 144A | | | Ba3 | | | | 7.000% | | | | 08/01/20 | | | | 2,750 | | | | 2,832,500 | |
Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes Co., Gtd. Notes(e) | | | Caa3 | | | | 8.500% | | | | 04/01/15 | | | | 2,525 | | | | 1,874,813 | |
Moog, Inc., Sr. Sub. Notes | | | Ba3 | | | | 6.250% | | | | 01/15/15 | | | | 2,500 | | | | 2,525,000 | |
Moog, Inc., Sr. Sub. Notes | | | Ba3 | | | | 7.250% | | | | 06/15/18 | | | | 3,650 | | | | 3,814,250 | |
TransDigm, Inc., Sr. Sub. Notes, 144A(e) | | | B3 | | | | 7.750% | | | | 12/15/18 | | | | 13,600 | | | | 14,076,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 42,090,594 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Airlines — 0.2% | | | | | | | | | | | | | | | | | | | | |
AMR Corp., Sr. Unsec’d. Notes, Ser. B, MTN | | | CCC+(c) | | | | 10.400% | | | | 03/15/11 | | | $ | 1,000 | | | $ | 1,008,750 | |
AMR Corp., Sr. Unsec’d. Notes, Ser. B, MTN | | | NR | | | | 10.550% | | | | 03/12/21 | | | | 1,425 | | | | 1,339,500 | |
Continental Airlines 1996-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 962A | | | Baa2 | | | | 7.750% | | | | 07/02/14 | | | | 665 | | | | 695,065 | |
Continental Airlines 1998-1 Class B Pass Through Trust, Pass-thru Certs.,
Ser. 981B, Class B(b) | | | Ba2 | | | | 6.748% | | | | 03/15/17 | | | | 531 | | | | 526,544 | |
Continental Airlines 1999-2 Class B Pass Through Trust, Pass-thru Certs.,
Ser. 992B, Class B | | | Ba2 | | | | 7.566% | | | | 03/15/20 | | | | 280 | | | | 281,234 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 3,851,093 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Automotive — 1.8% | | | | | | | | | | | | | | | | | | | | |
American Axle & Manufacturing, Inc., Gtd. Notes(e) | | | B3 | | | | 7.875% | | | | 03/01/17 | | | | 5,175 | | | | 5,297,906 | |
Ford Motor Co., Sr. Unsec’d. Notes(e) | | | Ba3 | | | | 7.450% | | | | 07/16/31 | | | | 3,250 | | | | 3,481,562 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | Ba2 | | | | 7.000% | | | | 04/15/15 | | | | 1,450 | | | | 1,558,187 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | Ba2 | | | | 7.800% | | | | 06/01/12 | | | | 2,540 | | | | 2,700,343 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(e) | | | Ba2 | | | | 8.000% | | | | 12/15/16 | | | | 1,300 | | | | 1,452,697 | |
Lear Corp., Gtd. Notes | | | Ba3 | | | | 7.875% | | | | 03/15/18 | | | | 5,075 | | | | 5,430,250 | |
Lear Corp., Gtd. Notes(e) | | | Ba3 | | | | 8.125% | | | | 03/15/20 | | | | 2,075 | | | | 2,256,563 | |
Navistar International Corp., Gtd. Notes | | | B1 | | | | 8.250% | | | | 11/01/21 | | | | 9,450 | | | | 10,158,750 | |
TRW Automotive, Inc., Gtd. Notes, 144A | | | B2 | | | | 7.250% | | | | 03/15/17 | | | | 2,525 | | | | 2,720,687 | |
TRW Automotive, Inc., Gtd. Notes, 144A | | | B2 | | | | 8.875% | | | | 12/01/17 | | | | 3,350 | | | | 3,752,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 38,808,945 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Banking — 0.7% | | | | | | | | | | | | | | | | | | | | |
BAC Capital Trust VI, Ltd. Gtd. Notes | | | Baa3 | | | | 5.625% | | | | 03/08/35 | | | | 1,400 | | | | 1,185,555 | |
Bank of America Corp., Jr. Sub. Notes(a) | | | Ba3 | | | | 8.000% | | | | 12/29/49 | | | | 8,805 | | | | 8,873,679 | |
BankAmerica Capital II, Ltd. Gtd. Notes, Ser. 2 | | | Baa3 | | | | 8.000% | | | | 12/15/26 | | | | 1,000 | | | | 1,006,250 | |
HBOS PLC (United Kingdom), Sub. Notes, Ser. G, 144A, MTN | | | Baa3 | | | | 6.750% | | | | 05/21/18 | | | | 400 | | | | 374,536 | |
MBNA Capital A, Ltd. Gtd. Notes, Ser. A | | | Baa3 | | | | 8.278% | | | | 12/01/26 | | | | 2,750 | | | | 2,784,375 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 14,224,395 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 0.8% | | | | | | | | | | | | | | | | | | | | |
Building Materials Corp. of America, Sr. Notes, 144A
(original cost $1,488,750; purchased 09/27/10)(d) | | | B1 | | | | 6.875% | | | | 08/15/18 | | | | 1,500 | | | | 1,485,000 | |
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A
(original cost $2,475,000; purchased 02/02/10)(d) | | | Ba2 | | | | 7.000% | | | | 02/15/20 | | | | 2,475 | | | | 2,543,063 | |
D.R. Horton, Inc., Gtd. Notes | | | Ba3 | | | | 6.500% | | | | 04/15/16 | | | | 900 | | | | 924,750 | |
KB Home, Gtd. Notes | | | B1 | | | | 6.375% | | | | 08/15/11 | | | | 2,125 | | | | 2,156,875 | |
Standard Pacific Corp., Gtd. Notes, 144A(e) | | | B3 | | | | 8.375% | | | | 05/15/18 | | | | 2,575 | | | | 2,575,000 | |
Standard Pacific Corp., Gtd. Notes, 144A | | | B3 | | | | 8.375% | | | | 01/15/21 | | | | 1,650 | | | | 1,600,500 | |
Standard Pacific Corp., Gtd. Notes(e) | | | B3 | | | | 10.750% | | | | 09/15/16 | | | | 3,875 | | | | 4,465,937 | |
Standard Pacific Corp., Sec’d. Notes | | | B3 | | | | 8.375% | | | | 05/15/18 | | | | 650 | | | | 650,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 16,401,125 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable — 5.0% | | | | | | | | | | | | | | | | | | | | |
AT&T Broadband LLC, Gtd. Notes | | | Baa1 | | | | 8.375% | | | | 03/15/13 | | | | 100 | (f) | | | 114 | |
Bresnan Broadband Holdings LLC, Gtd. Notes, 144A | | | B3 | | | | 8.000% | | | | 12/15/18 | | | | 1,625 | | | | 1,673,750 | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | B1 | | | | 7.750% | | | | 04/15/18 | | | | 1,975 | | | | 2,068,812 | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | B1 | | | | 8.625% | | | | 09/15/17 | | | | 5,025 | | | | 5,470,969 | |
CCH II LLC/CCH II Capital Corp., Gtd. Notes | | | B2 | | | | 13.500% | | | | 11/30/16 | | | | 2,650 | | | | 3,160,490 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | B2 | | | | 7.875% | | | | 04/30/18 | | | | 1,350 | | | | 1,397,250 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | B2 | | | | 8.125% | | | | 04/30/20 | | | | 1,600 | | | | 1,684,000 | |
Cequel Communications Holdings I LLC and Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A | | | B3 | | | | 8.625% | | | | 11/15/17 | | | | 7,900 | | | | 8,255,500 | |
Charter Communications Operating LLC, Sec’d. Notes, 144A | | | B1 | | | | 8.000% | | | | 04/30/12 | | | | 26,600 | | | | 27,930,000 | |
CSC Holdings LLC, Sr. Unsec’d. Notes(e) | | | Ba3 | | | | 7.625% | | | | 07/15/18 | | | | 1,850 | | | | 2,007,250 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | Ba3 | | | | 8.500% | | | | 06/15/15 | | | | 2,075 | | | | 2,251,375 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | Ba3 | | | | 8.625% | | | | 02/15/19 | | | | 1,105 | | | | 1,248,650 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Cable (Continued) | | | | | | | | | | | | | | | | | | | | |
Echostar DBS Corp., Gtd. Notes | | | Ba3 | | | | 7.125% | | | | 02/01/16 | | | $ | 3,140 | | | $ | 3,242,050 | |
Echostar DBS Corp., Gtd. Notes | | | Ba3 | | | | 7.750% | | | | 05/31/15 | | | | 25 | | | | 26,562 | |
Mediacom Broadband LLC/Mediacom Broadband Corp., Sr. Unsec’d. Notes | | | B3 | | | | 8.500% | | | | 10/15/15 | | | | 1,075 | | | | 1,080,375 | |
Mediacom LLC/Mediacom Capital Corp., Unsec’d. Notes(e) | | | B3 | | | | 9.125% | | | | 08/15/19 | | | | 2,100 | | | | 2,142,000 | |
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | | | B1 | | | | 7.750% | | | | 03/15/16 | | | | 1,550 | | | | 1,600,375 | |
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | | | B1 | | | | 7.750% | | | | 03/15/16 | | | | 2,555 | | | | 2,638,038 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),
Sr. Sec’d. Notes, 144A | | | B1 | | | | 8.125% | | | | 12/01/17 | | | | 2,100 | | | | 2,194,500 | |
UPC Holding BV (Netherlands), Sec’d. Notes, 144A | | | B2 | | | | 9.875% | | | | 04/15/18 | | | | 15,850 | | | | 17,355,750 | |
Videotron Ltee (Canada), Gtd. Notes | | | Ba1 | | | | 6.375% | | | | 12/15/15 | | | | 3,450 | | | | 3,527,625 | |
Videotron Ltee (Canada), Gtd. Notes | | | Ba1 | | | | 6.875% | | | | 01/15/14 | | | | 420 | | | | 425,250 | |
Videotron Ltee (Canada), Gtd. Notes | | | Ba1 | | | | 9.125% | | | | 04/15/18 | | | | 7,350 | | | | 8,195,250 | |
Virgin Media Finance PLC (United Kingdom), Gtd. Notes | | | Ba3 | | | | 8.375% | | | | 10/15/19 | | | | 2,225 | | | | 2,430,812 | |
Virgin Media Finance PLC (United Kingdom), Gtd. Notes, Ser. 1(e) | | | Ba3 | | | | 9.500% | | | | 08/15/16 | | | | 3,700 | | | | 4,181,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 106,187,747 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 6.5% | | | | | | | | | | | | | | | | | | | | |
Actuant Corp., Gtd. Notes | | | Ba2 | | | | 6.875% | | | | 06/15/17 | | | | 4,845 | | | | 4,954,013 | |
Altra Holdings, Inc., Sr. Sec’d. Notes | | | B1 | | | | 8.125% | | | | 12/01/16 | | | | 3,000 | | | | 3,180,000 | |
Amsted Industries, Inc., Sr. Notes, 144A
(original cost $4,517,240; purchased 03/12/10)(b)(d) | | | B1 | | | | 8.125% | | | | 03/15/18 | | | | 4,550 | | | | 4,828,688 | |
Aquilex Holdings LLC/Aquilex Finance Corp., Gtd. Notes | | | Caa1 | | | | 11.125% | | | | 12/15/16 | | | | 3,898 | | | | 3,946,725 | |
Ashtead Capital, Inc., Sec’d. Notes, 144A | | | B2 | | | | 9.000% | | | | 08/15/16 | | | | 8,664 | | | | 9,032,220 | |
Ashtead Holdings PLC (United Kingdom), Sec’d. Notes, 144A(e) | | | B2 | | | | 8.625% | | | | 08/01/15 | | | | 5,325 | | | | 5,518,031 | |
Atkore International, Inc., Sr. Sec’d. Notes, 144A | | | B3 | | | | 9.875% | | | | 01/01/18 | | | | 2,125 | | | | 2,210,000 | |
Brightstar Corp., Gtd. Notes, 144A(e) | | | B1 | | | | 9.500% | | | | 12/01/16 | | | | 3,775 | | | | 3,841,062 | |
Columbus McKinnon Corp., Gtd. Notes | | | B1 | | | | 8.875% | | | | 11/01/13 | | | | 7,300 | | | | 7,409,500 | |
Diversey Holdings, Inc., Sr. Unsec’d. Notes | | | Caa1 | | | | 10.500% | | | | 05/15/20 | | | | 7,927 | | | | 8,682,500 | |
Diversey, Inc., Gtd. Notes | | | B3 | | | | 8.250% | | | | 11/15/19 | | | | 4,715 | | | | 5,115,775 | |
Hertz Corp. (The), Gtd. Notes, 144A(e) | | | B2 | | | | 7.500% | | | | 10/15/18 | | | | 2,825 | | | | 2,930,937 | |
Hertz Corp. (The), Gtd. Notes | | | B2 | | | | 8.875% | | | | 01/01/14 | | | | 10,307 | | | | 10,538,907 | |
Interline Brands, Inc., Gtd. Notes, 144A | | | B2 | | | | 7.000% | | | | 11/15/18 | | | | 6,325 | | | | 6,419,875 | |
NES Rentals Holdings, Inc., Sr. Sec’d. Notes, 144A
(original cost $2,972,490; purchased 04/01/10)(b)(d) | | | Caa2 | | | | 12.250% | | | | 04/15/15 | | | | 3,000 | | | | 2,760,000 | |
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e) | | | Caa1 | | | | 8.500% | | | | 05/01/18 | | | | 8,800 | | | | 9,350,000 | |
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e) | | | Caa2 | | | | 11.750% | | | | 08/01/16 | | | | 1,100 | | | | 1,179,750 | |
RSC Equipment Rental, Inc./RSC Holdings III LLC, Gtd. Notes(e) | | | Caa2 | | | | 10.250% | | | | 11/15/19 | | | | 2,425 | | | | 2,703,875 | |
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Sec’d. Notes, 144A(e) | | | B1 | | | | 10.000% | | | | 07/15/17 | | | | 3,050 | | | | 3,431,250 | |
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes(e) | | | Caa2 | | | | 9.500% | | | | 12/01/14 | | | | 1,980 | | | | 2,079,000 | |
SPX Corp., Gtd. Notes, 144A | | | Ba1 | | | | 6.875% | | | | 09/01/17 | | | | 4,925 | | | | 5,232,813 | |
SPX Corp., Sr. Unsec’d. Notes | | | Ba1 | | | | 7.625% | | | | 12/15/14 | | | | 10,280 | | | | 11,179,500 | |
Stena AB (Sweden), Sr. Unsec’d. Notes | | | Ba3 | | | | 7.000% | | | | 12/01/16 | | | | 250 | | | | 245,000 | |
Terex Corp., Sr. Sub. Notes(e) | | | Caa1 | | | | 8.000% | | | | 11/15/17 | | | | 9,320 | | | | 9,413,200 | |
Trimas Corp., Sr. Sec’d. Notes | | | B-(c) | | | | 9.750% | | | | 12/15/17 | | | | 2,625 | | | | 2,874,375 | |
United Rentals North America, Inc., Gtd. Notes | | | Caa1 | | | | 8.375% | | | | 09/15/20 | | | | 3,725 | | | | 3,790,188 | |
United Rentals North America, Inc., Gtd. Notes | | | B2 | | | | 10.875% | | | | 06/15/16 | | | | 5,950 | | | | 6,797,875 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 139,645,059 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 3.0% | | | | | | | | | | | | | | | | | | | | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes, 144A(e) | | | Caa1 | | | | 9.000% | | | | 11/15/20 | | | | 6,375 | | | | 6,741,563 | |
Huntsman International LLC, Gtd. Notes, 144A(e) | | | B3 | | | | 8.625% | | | | 03/15/21 | | | | 3,225 | | | | 3,483,000 | |
INVISTA, Gtd. Notes, 144A
(original cost $2,720,273; purchased 07/09/09-07/13/09)(b)(d) | | | Ba3 | | | | 9.250% | | | | 05/01/12 | | | | 2,871 | | | | 2,921,242 | |
Koppers, Inc., Gtd. Notes | | | B1 | | | | 7.875% | | | | 12/01/19 | | | | 5,075 | | | | 5,442,938 | |
Lyondell Chemical Co., Sr. Sec’d. Notes, 144A(e) | | | Ba2 | | | | 8.000% | | | | 11/01/17 | | | | 3,871 | | | | 4,282,294 | |
Lyondell Chemical Co., Sr. Sec’d. Notes | | | B2 | | | | 11.000% | | | | 05/01/18 | | | | 9,350 | | | | 10,588,875 | |
Momentive Performance Materials, Inc., Sec’d. Notes, 144A(e) | | | Caa1 | | | | 9.000% | | | | 01/15/21 | | | | 2,950 | | | | 3,112,250 | |
Nalco Co., Sr. Notes, 144A(e) | | | Ba2 | | | | 6.625% | | | | 01/15/19 | | | | 2,975 | | | | 3,041,937 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Chemicals (continued) | | | | | | | | | | | | | | | | | | | | |
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes(e) | | | B1 | | | | 8.375% | | | | 11/01/16 | | | $ | 9,650 | | | $ | 10,277,250 | |
Solutia, Inc., Gtd. Notes | | | B1 | | | | 7.875% | | | | 03/15/20 | | | | 3,775 | | | | 4,039,250 | |
TPC Group LLC, Sr. Sec’d. Notes, 144A | | | B1 | | | | 8.250% | | | | 10/01/17 | | | | 4,550 | | | | 4,766,125 | |
Vertellus Specialties, Inc., Sr. Sec’d. Notes, 144A | | | B1 | | | | 9.375% | | | | 10/01/15 | | | | 4,375 | | | | 4,637,500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 63,334,224 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer — 2.3% | | | | | | | | | | | | | | | | | | | | |
Affinity Group, Inc., Sr. Sec’d. Notes, 144A | | | B3 | | | | 11.500% | | | | 12/01/16 | | | | 3,075 | | | | 3,021,188 | |
American Achievement Corp., Sr. Sec’d. Notes, 144A
(original cost $4,575,000; purchased 10/21/10)(b)(d) | | | B3 | | | | 10.875% | | | | 04/15/16 | | | | 4,575 | | | | 4,689,375 | |
Brickman Group Holdings, Inc., Sr. Notes, 144A | | | B3 | | | | 9.125% | | | | 11/01/18 | | | | 3,895 | | | | 3,943,687 | |
Geo Group, Inc. (The), Gtd. Notes | | | B1 | | | | 7.750% | | | | 10/15/17 | | | | 3,300 | | | | 3,465,000 | |
Mac-Gray Corp., Gtd. Notes | | | B3 | | | | 7.625% | | | | 08/15/15 | | | | 5,650 | | | | 5,551,125 | |
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes | | | B2 | | | | 7.375% | | | | 05/15/20 | | | | 1,625 | | | | 1,726,562 | |
Realogy Corp., Gtd. Notes, PIK | | | Caa3 | | | | 11.000% | | | | 04/15/14 | | | | 520 | | | | 497,774 | |
Realogy Corp., Gtd. Notes | | | Ca | | | | 12.375% | | | | 04/15/15 | | | | 900 | | | | 839,250 | |
Sealy Mattress Co., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 10.875% | | | | 04/15/16 | | | | 2,510 | | | | 2,836,300 | |
Service Corp. International, Sr. Unsec’d. Notes | | | B1 | | | | 7.000% | | | | 06/15/17 | | | | 4,143 | | | | 4,225,860 | |
Service Corp. International, Sr. Unsec’d. Notes | | | B1 | | | | 7.000% | | | | 05/15/19 | | | | 3,125 | | | | 3,125,000 | |
Stewart Enterprises, Inc., Gtd. Notes | | | Ba3 | | | | 6.250% | | | | 02/15/13 | | | | 4,725 | | | | 4,730,906 | |
Visant Corp., Sr. Notes, 144A | | | Caa1 | | | | 10.000% | | | | 10/01/17 | | | | 10,500 | | | | 11,156,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 49,808,277 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 3.5% | | | | | | | | | | | | | | | | | | | | |
AES Corp. (The), Sr. Unsec’d. Notes(e) | | | B1 | | | | 7.750% | | | | 03/01/14 | | | | 3,885 | | | | 4,147,237 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | B1 | | | | 7.750% | | | | 10/15/15 | | | | 3,365 | | | | 3,592,138 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | B1 | | | | 8.000% | | | | 10/15/17 | | | | 550 | | | | 581,625 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | B1 | | | | 8.000% | | | | 06/01/20 | | | | 700 | | | | 742,000 | |
AES Eastern Energy LP, Pass-thru Certs., Ser. 99-A | | | Ba2 | | | | 9.000% | | | | 01/02/17 | | | | 5,020 | | | | 5,245,444 | |
AES Red Oak LLC, Sr. Sec’d. Notes, Ser. A
(original cost $1,610,107; purchased 10/31/03-03/03/09)(b)(d) | | | B2 | | | | 8.540% | | | | 11/30/19 | | | | 1,637 | | | | 1,628,811 | |
Covanta Holding Corp., Sr. Unsec’d. Notes | | | Ba3 | | | | 7.250% | | | | 12/01/20 | | | | 2,000 | | | | 2,027,556 | |
Energy Future Holdings Corp., Sr. Sec’d. Notes | | | Caa3 | | | | 9.750% | | | | 10/15/19 | | | | 2,601 | | | | 2,622,604 | |
Energy Future Intermediate Holding Co. LLC, Sr. Sec’d. Notes(e) | | | B(c) | | | | 9.750% | | | | 10/15/19 | | | | 594 | | | | 598,934 | |
Mirant Americas Generation LLC, Sr. Unsec’d. Notes | | | B3 | | | | 8.300% | | | | 05/01/11 | | | | 1,610 | | | | 1,634,150 | |
Mirant Corp., Sr. Notes, 144A(b) | | | NR | | | | 7.400% | | | | 07/15/49 | | | | 1,825 | | | | 1,825 | |
Mirant Mid Atlantic Pass Through Trust A, Pass-thru Certs., Ser. A | | | Ba1 | | | | 8.625% | | | | 06/30/12 | | | | 107 | | | | 110,647 | |
Mirant Mid Atlantic Pass Through Trust B, Pass-thru Certs., Ser. B | | | Ba1 | | | | 9.125% | | | | 06/30/17 | | | | 9,481 | | | | 10,192,015 | |
Mirant North America LLC, Gtd. Notes | | | NR | | | | 7.375% | | | | 12/31/13 | | | | 1,050 | | | | 1,069,782 | |
North American Energy Alliance LLC/North American Energy Alliance
Finance Corp., Sr. Sec’d. Notes, 144A (original cost $5,451,740;
purchased 09/22/09-10/22/10)(b)(d) | | | Ba3 | | | | 10.875% | | | | 06/01/16 | | | | 5,451 | | | | 6,050,610 | |
NRG Energy, Inc., Gtd. Notes | | | B1 | | | | 7.250% | | | | 02/01/14 | | | | 5,510 | | | | 5,620,200 | |
NRG Energy, Inc., Gtd. Notes | | | B1 | | | | 7.375% | | | | 02/01/16 | | | | 9,945 | | | | 10,193,625 | |
NRG Energy, Inc., Gtd. Notes | | | B1 | | | | 7.375% | | | | 01/15/17 | | | | 925 | | | | 952,750 | |
NRG Energy, Inc., Gtd. Notes, 144A(e) | | | B1 | | | | 8.250% | | | | 09/01/20 | | | | 7,025 | | | | 7,200,625 | |
NSG Holdings LLC/NSG Holdings, Inc., Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 7.750% | | | | 12/15/25 | | | | 800 | | | | 744,000 | |
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. B(b) | | | Ba1 | | | | 9.237% | | | | 07/02/17 | | | | 2,187 | | | | 2,362,279 | |
Sithe/Independence Funding Corp., Sr. Sec’d. Notes, Ser. A
(original cost $6,329,556; purchased 12/22/08-05/28/10)(b)(d) | | | Ba3 | | | | 9.000% | | | | 12/30/13 | | | | 6,609 | | | | 6,855,278 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 74,174,135 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Energy – Other — 5.0% | | | | | | | | | | | | | | | | | | | | |
Cie Generale de Geophysique-Veritas (France), Gtd. Notes | | | Ba3 | | | | 7.500% | | | | 05/15/15 | | | | 2,530 | | | | 2,574,275 | |
Cie Generale de Geophysique-Veritas (France), Gtd. Notes | | | Ba3 | | | | 7.750% | | | | 05/15/17 | | | | 2,150 | | | | 2,203,750 | |
Cie Generale de Geophysique-Veritas (France), Gtd. Notes | | | Ba3 | | | | 9.500% | | | | 05/15/16 | | | | 4,825 | | | | 5,259,250 | |
CITIC Resources Finance 2007 Ltd. (Virgin Islands (US)), Gtd. Notes, 144A | | | Ba3 | | | | 6.750% | | | | 05/15/14 | | | | 25 | | | | 25,938 | |
Denbury Resources, Inc., Gtd. Notes | | | B1 | | | | 7.500% | | | | 12/15/15 | | | | 650 | | | | 672,750 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Energy – Other (continued) | | | | | | | | | | | | | | | | | | | | |
Denbury Resources, Inc., Gtd. Notes | | | B1 | | | | 8.250% | | | | 02/15/20 | | | $ | 2,593 | | | $ | 2,813,405 | |
Denbury Resources, Inc., Gtd. Notes | | | B1 | | | | 9.750% | | | | 03/01/16 | | | | 4,050 | | | | 4,515,750 | |
Forest Oil Corp., Gtd. Notes(e) | | | B1 | | | | 7.250% | | | | 06/15/19 | | | | 7,900 | | | | 8,018,500 | |
Harvest Operations Corp. (Canada), Gtd. Notes, 144A | | | Ba1 | | | | 6.875% | | | | 10/01/17 | | | | 8,350 | | | | 8,600,500 | |
McMoRan Exploration Co., Gtd. Notes | | | Caa1 | | | | 11.875% | | | | 11/15/14 | | | | 6,075 | | | | 6,712,875 | |
Newfield Exploration Co., Sr. Sub. Notes | | | Ba2 | | | | 6.625% | | | | 04/15/16 | | | | 3,435 | | | | 3,529,462 | |
Newfield Exploration Co., Sr. Sub. Notes | | | Ba2 | | | | 6.875% | | | | 02/01/20 | | | | 2,035 | | | | 2,141,837 | |
Newfield Exploration Co., Sr. Sub. Notes | | | Ba2 | | | | 7.125% | | | | 05/15/18 | | | | 325 | | | | 342,062 | |
OPTI Canada, Inc. (Canada), Sr. Sec’d. Notes | | | Caa3 | | | | 7.875% | | | | 12/15/14 | | | | 6,850 | | | | 4,837,813 | |
OPTI Canada, Inc. (Canada), Sr. Sec’d. Notes | | | Caa3 | | | | 8.250% | | | | 12/15/14 | | | | 2,305 | | | | 1,642,313 | |
Parker Drilling Co., Gtd. Notes | | | B1 | | | | 9.125% | | | | 04/01/18 | | | | 875 | | | | 914,375 | |
Petrohawk Energy Corp., Gtd. Notes | | | B3 | | | | 7.250% | | | | 08/15/18 | | | | 5,675 | | | | 5,731,750 | |
Petrohawk Energy Corp., Gtd. Notes | | | B3 | | | | 7.875% | | | | 06/01/15 | | | | 5,525 | | | | 5,752,906 | |
Petroplus Finance Ltd. (Bermuda), Sr. Sec’d. Notes, 144A(e) | | | B2 | | | | 6.750% | | | | 05/01/14 | | | | 5,185 | | | | 4,770,200 | |
Pioneer Natural Resources Co., Gtd. Notes | | | Ba1 | | | | 5.875% | | | | 07/15/16 | | | | 1,950 | | | | 2,004,869 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.650% | | | | 03/15/17 | | | | 9,965 | | | | 10,583,896 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | Ba1 | | | | 6.875% | | | | 05/01/18 | | | | 2,240 | | | | 2,381,353 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | Ba1 | | | | 7.500% | | | | 01/15/20 | | | | 5,000 | | | | 5,490,135 | |
Plains Exploration & Production Co., Gtd. Notes(e) | | | B1 | | | | 7.625% | | | | 06/01/18 | | | | 1,500 | | | | 1,578,750 | |
Plains Exploration & Production Co., Gtd. Notes | | | B1 | | | | 7.750% | | | | 06/15/15 | | | | 2,445 | | | | 2,548,913 | |
Plains Exploration & Production Co., Gtd. Notes | | | B1 | | | | 10.000% | | | | 03/01/16 | | | | 1,800 | | | | 2,011,500 | |
Precision Drilling Corp. (Canada), Gtd. Notes, 144A(e) | | | Ba2 | | | | 6.625% | | | | 11/15/20 | | | | 2,500 | | | | 2,543,750 | |
Range Resources Corp., Gtd. Notes | | | Ba3 | | | | 7.500% | | | | 05/15/16 | | | | 4,100 | | | | 4,253,750 | |
Range Resources Corp., Gtd. Notes | | | Ba3 | | | | 7.500% | | | | 10/01/17 | | | | 3,450 | | | | 3,635,438 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 108,092,065 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Foods — 3.3% | | | | | | | | | | | | | | | | | | | | |
ARAMARK Corp., Gtd. Notes | | | B3 | | | | 8.500% | | | | 02/01/15 | | | | 7,215 | | | | 7,539,675 | |
Bumble Bee Acquisition Corp., Sr. Sec’d. Notes, 144A(e) | | | B2 | | | | 9.000% | | | | 12/15/17 | | | | 5,975 | | | | 6,214,000 | |
Carrols Corp., Gtd. Notes | | | B3 | | | | 9.000% | | | | 01/15/13 | | | | 1,150 | | | | 1,152,875 | |
Cott Beverages, Inc., Gtd. Notes | | | B3 | | | | 8.125% | | | | 09/01/18 | | | | 2,300 | | | | 2,478,250 | |
Darling International, Inc., Gtd. Notes, 144A | | | B2 | | | | 8.500% | | | | 12/15/18 | | | | 1,425 | | | | 1,485,562 | |
Dave & Buster’s, Inc., Gtd. Notes | | | B3 | | | | 11.000% | | | | 06/01/18 | | | | 2,450 | | | | 2,688,875 | |
Del Monte Corp., Gtd. Notes | | | Ba3 | | | | 6.750% | | | | 02/15/15 | | | | 998 | | | | 1,019,208 | |
Del Monte Corp., Gtd. Notes | | | Ba3 | | | | 7.500% | | | | 10/15/19 | | | | 5,450 | | | | 6,356,062 | |
DineEquity, Inc., Sr. Unsec’d. Notes, 144A | | | B3 | | | | 9.500% | | | | 10/30/18 | | | | 1,325 | | | | 1,404,500 | |
Ingles Markets, Inc., Sr. Unsec’d. Notes | | | B1 | | | | 8.875% | | | | 05/15/17 | | | | 7,710 | | | | 8,249,700 | |
Landry’s Restaurants, Inc., Sr. Sec’d. Notes | | | B3 | | | | 11.625% | | | | 12/01/15 | | | | 2,035 | | | | 2,172,363 | |
Michael Foods, Inc., Sr. Notes, 144A
(original cost $5,241,500; purchased 06/22/10-10/14/10)(b)(d) | | | Caa1 | | | | 9.750% | | | | 07/15/18 | | | | 5,050 | | | | 5,517,125 | |
Pilgrim’s Pride Corp., Gtd. Notes, 144A | | | B3 | | | | 7.875% | | | | 12/15/18 | | | | 2,000 | | | | 1,990,000 | |
Smithfield Foods, Inc., Sr. Sec’d. Notes, 144A | | | B1 | | | | 10.000% | | | | 07/15/14 | | | | 6,790 | | | | 7,825,475 | |
Smithfield Foods, Inc., Sr. Unsec’d. Notes | | | Caa1 | | | | 7.750% | | | | 07/01/17 | | | | 720 | | | | 748,800 | |
Stater Brothers Holdings, Inc., Gtd. Notes, 144A(e) | | | B2 | | | | 7.375% | | | | 11/15/18 | | | | 2,525 | | | | 2,588,125 | |
Stater Brothers Holdings, Inc., Gtd. Notes | | | B2 | | | | 7.750% | | | | 04/15/15 | | | | 500 | | | | 513,750 | |
SUPERVALU, Inc., Sr. Unsec’d. Notes | | | B2 | | | | 7.500% | | | | 05/15/12 | | | | 400 | | | | 404,500 | |
SUPERVALU, Inc., Sr. Unsec’d. Notes | | | B2 | | | | 7.500% | | | | 11/15/14 | | | | 200 | | | | 193,000 | |
SUPERVALU, Inc., Sr. Unsec’d. Notes(e) | | | B2 | | | | 8.000% | | | | 05/01/16 | | | | 8,700 | | | | 8,330,250 | |
Tyson Foods, Inc., Gtd. Notes | | | Ba2 | | | | 10.500% | | | | 03/01/14 | | | | 1,300 | | | | 1,537,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 70,409,345 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Gaming — 4.4% | | | | | | | | | | | | | | | | | | | | |
CCM Merger, Inc., Notes, 144A
(original cost $15,804,313; purchased 07/14/05-07/06/10)(d)(e) | | | Caa3 | | | | 8.000% | | | | 08/01/13 | | | | 17,520 | | | | 17,038,200 | |
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes | | | CCC(c) | | | | 10.000% | | | | 12/15/18 | | | | 1,300 | | | | 1,186,250 | |
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes | | | CCC(c) | | | | 10.000% | | | | 12/15/18 | | | | 3,213 | | | | 2,931,863 | |
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes(e) | | | Caa1 | | | | 11.250% | | | | 06/01/17 | | | | 5,175 | | | | 5,821,875 | |
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes, 144A(e) | | | Ca | | | | 12.750% | | | | 04/15/18 | | | | 9,526 | | | | 9,573,630 | |
Marina District Finance Co., Inc., Sr. Sec’d. Notes, 144A | | | B2 | | | | 9.500% | | | | 10/15/15 | | | | 9,050 | | | | 8,891,625 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Gaming (continued) | | | | | | | | | | | | | | | | | | | | |
Marina District Finance Co., Inc., Sr. Sec’d. Notes, 144A | | | B2 | | | | 9.875% | | | | 08/15/18 | | | $ | 2,200 | | | $ | 2,167,000 | |
MGM Resorts International, Gtd. Notes | | | Caa1 | | | | 6.750% | | | | 09/01/12 | | | | 400 | | | | 398,000 | |
MGM Resorts International, Sr. Sec’d. Notes, 144A(e) | | | B1 | | | | 9.000% | | | | 03/15/20 | | | | 3,465 | | | | 3,811,500 | |
MGM Resorts International, Sr. Sec’d. Notes | | | B1 | | | | 10.375% | | | | 05/15/14 | | | | 1,915 | | | | 2,149,587 | |
MGM Resorts International, Sr. Sec’d. Notes(e) | | | B1 | | | | 11.125% | | | | 11/15/17 | | | | 5,670 | | | | 6,520,500 | |
MGM Resorts International, Sr. Sec’d. Notes(e) | | | B1 | | | | 13.000% | | | | 11/15/13 | | | | 10,535 | | | | 12,457,638 | |
Peninsula Gaming LLC, Gtd. Notes | | | B3 | | | | 10.750% | | | | 08/15/17 | | | | 2,175 | | | | 2,343,562 | |
Pinnacle Entertainment, Inc., Gtd. Notes(e) | | | B1 | | | | 8.625% | | | | 08/01/17 | | | | 2,300 | | | | 2,507,000 | |
Pokagon Gaming Authority, Sr. Notes, 144A
(original cost $1,656,000; purchased 11/13/08)(b)(d) | | | B2 | | | | 10.375% | | | | 06/15/14 | | | | 1,800 | | | | 1,876,500 | |
Scientific Games Corp., Sr. Sub. Notes, 144A | | | B1 | | | | 8.125% | | | | 09/15/18 | | | | 1,925 | | | | 1,939,437 | |
Scientific Games International, Inc., Gtd. Notes | | | B1 | | | | 9.250% | | | | 06/15/19 | | | | 1,925 | | | | 1,987,563 | |
Seminole Indian Tribe of Florida, Notes, 144A | | | Ba1 | | | | 7.750% | | | | 10/01/17 | | | | 1,925 | | | | 1,987,562 | |
Station Casinos, Inc., Sr. Sub. Notes(g) | | | NR | | | | 6.500% | | | | 02/01/14 | | | | 3,650 | | | | 365 | |
Station Casinos, Inc., Sr. Sub. Notes(g) | | | NR | | | | 6.625% | | | | 03/15/18 | | | | 2,200 | | | | 220 | |
Station Casinos, Inc., Sr. Unsec’d. Notes(g) | | | NR | | | | 6.000% | | | | 04/01/12 | | | | 2,251 | | | | 225 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., First Mtge. Bonds | | | Ba3 | | | | 7.750% | | | | 08/15/20 | | | | 6,575 | | | | 7,117,438 | |
Yonkers Racing Corp., Sr. Sec’d. Notes, 144A
(original cost $1,026,623; purchased 07/13/09-01/22/10)(b)(d) | | | B1 | | | | 11.375% | | | | 07/15/16 | | | | 1,011 | | | | 1,113,364 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 93,820,904 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 10.7% | | | | | | | | | | | | | | | | | | | | |
Accellent, Inc., Gtd. Notes, 144A | | | Caa2 | | | | 10.000% | | | | 11/01/17 | | | | 18,900 | | | | 17,860,500 | |
Accellent, Inc., Sr. Sec’d. Notes | | | B1 | | | | 8.375% | | | | 02/01/17 | | | | 1,250 | | | | 1,281,250 | |
Alliance HealthCare Services, Inc., Sr. Unsec’d. Notes | | | B(c) | | | | 8.000% | | | | 12/01/16 | | | | 9,675 | | | | 8,925,188 | |
Apria Healthcare Group, Inc., Sr. Sec’d. Notes | | | Ba2 | | | | 11.250% | | | | 11/01/14 | | | | 12,135 | | | | 13,257,488 | |
Apria Healthcare Group, Inc., Sr. Sec’d. Notes(e) | | | B1 | | | | 12.375% | | | | 11/01/14 | | | | 6,200 | | | | 6,820,000 | |
Biomet, Inc., Gtd. Notes | | | B3 | | | | 10.000% | | | | 10/15/17 | | | | 2,125 | | | | 2,321,562 | |
Biomet, Inc., Gtd. Notes, PIK | | | B3 | | | | 10.375% | | | | 10/15/17 | | | | 8,975 | | | | 9,805,188 | |
Biomet, Inc., Gtd. Notes(e) | | | Caa1 | | | | 11.625% | | | | 10/15/17 | | | | 10,410 | | | | 11,503,050 | |
Capella Healthcare, Inc., Gtd. Notes, 144A
(original cost $7,748,995; purchased 06/21/10-11/23/10)(b)(d)(e) | | | B3 | | | | 9.250% | | | | 07/01/17 | | | | 7,555 | | | | 8,008,300 | |
Community Health Systems, Inc., Gtd. Notes | | | B3 | | | | 8.875% | | | | 07/15/15 | | | | 5,920 | | | | 6,216,000 | |
ConvaTec Healthcare E SA (Luxembourg), Sr. Unsec’d. Notes, 144A(e) | | | Caa1 | | | | 10.500% | | | | 12/15/18 | | | | 7,700 | | | | 7,805,875 | |
DaVita, Inc., Gtd. Notes(e) | | | B2 | | | | 6.375% | | | | 11/01/18 | | | | 4,575 | | | | 4,552,125 | |
HCA, Inc., Sec’d. Notes | | | B2 | | | | 9.250% | | | | 11/15/16 | | | | 9,445 | | | | 10,076,634 | |
HCA, Inc., Sec’d. Notes, PIK | | | B2 | | | | 9.625% | | | | 11/15/16 | | | | 12,100 | | | | 12,962,125 | |
HCA, Inc., Sr. Sec’d. Notes | | | Ba3 | | | | 7.875% | | | | 02/15/20 | | | | 800 | | | | 856,000 | |
HCA, Inc., Sr. Unsec’d. Notes(e) | | | Caa1 | | | | 5.750% | | | | 03/15/14 | | | | 3,335 | | | | 3,284,975 | |
HCA, Inc., Sr. Unsec’d. Notes(e) | | | Caa1 | | | | 6.375% | | | | 01/15/15 | | | | 4,300 | | | | 4,224,750 | |
HCA, Inc., Sr. Unsec’d. Notes, MTN | | | Caa1 | | | | 9.000% | | | | 12/15/14 | | | | 4,365 | | | | 4,572,337 | |
Healthsouth Corp., Gtd. Notes | | | B2 | | | | 7.250% | | | | 10/01/18 | | | | 7,850 | | | | 8,007,000 | |
Healthsouth Corp., Gtd. Notes | | | B2 | | | | 7.750% | | | | 09/15/22 | | | | 4,400 | | | | 4,543,000 | |
inVentiv Health, Inc., Gtd. Notes, 144A
(original cost $669,800; purchased 08/19/10-08/24/10)(b)(d) | | | Caa1 | | | | 10.000% | | | | 08/15/18 | | | | 680 | | | | 681,700 | |
MedAssets, Inc., Sr. Notes, 144A | | | B3 | | | | 8.000% | | | | 11/15/18 | | | | 2,250 | | | | 2,261,250 | |
Mylan, Inc., Gtd. Notes, 144A | | | B1 | | | | 7.625% | | | | 07/15/17 | | | | 4,150 | | | | 4,414,562 | |
Mylan, Inc., Gtd. Notes, 144A | | | B1 | | | | 7.875% | | | | 07/15/20 | | | | 3,200 | | | | 3,448,000 | |
Radnet Management, Inc., Sr. Unsec’d. Notes, 144A | | | Caa1 | | | | 10.375% | | | | 04/01/18 | | | | 10,050 | | | | 9,396,750 | |
Res-Care, Inc., Sr. Unsec’d. Notes, 144A | | | B3 | | | | 10.750% | | | | 01/15/19 | | | | 5,400 | | | | 5,562,000 | |
Senior Housing Properties Trust, Sr. Unsec’d. Notes | | | Baa3 | | | | 6.750% | | | | 04/15/20 | | | | 1,875 | | | | 1,980,469 | |
Senior Housing Properties Trust, Sr. Unsec’d. Notes | | | Baa3 | | | | 8.625% | | | | 01/15/12 | | | | 13,191 | | | | 13,784,595 | |
Skilled Healthcare Group, Inc., Gtd. Notes | | | Caa1 | | | | 11.000% | | | | 01/15/14 | | | | 1,794 | | | | 1,847,820 | |
Surgical Care Affiliates, Inc., Sr. Sub. Notes, 144A
(original cost $6,468,500; purchased 06/21/07-06/29/09)(b)(d) | | | Caa1 | | | | 10.000% | | | | 07/15/17 | | | | 7,750 | | | | 7,866,250 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | B1 | | | | 6.750% | | | | 10/01/17 | | | | 1,525 | | | | 1,517,375 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | B1 | | | | 6.875% | | | | 12/01/18 | | | | 6,075 | | | | 6,029,438 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | B1 | | | | 7.000% | | | | 10/01/20 | | | | 4,700 | | | | 4,641,250 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Healthcare & Pharmaceutical (continued) | | | | | | | | | | | | | | | | | | | | |
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC (Ireland),
Gtd. Notes, 144A(e) | | | B3 | | | | 7.750% | | | | 09/15/18 | | | $ | 19,200 | | | $ | 19,392,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 229,706,806 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Insurance | | | | | | | | | | | | | | | | | | | | |
American International Group, Inc., Sr. Unsec’d. Notes, MTN | | | A3 | | | | 5.600% | | | | 10/18/16 | | | | 295 | | | | 303,908 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Lodging — 1.1% | | | | | | | | | | | | | | | | | | | | |
Felcor Lodging LP, Sr. Sec’d. Notes(e) | | | B2 | | | | 10.000% | | | | 10/01/14 | | | | 3,205 | | | | 3,589,600 | |
Host Hotels & Resorts LP, Gtd. Notes, Ser. O | | | Ba1 | | | | 6.375% | | | | 03/15/15 | | | | 10,675 | | | | 10,835,125 | |
Host Hotels & Resorts LP, Gtd. Notes | | | BB+(c) | | | | 6.875% | | | | 11/01/14 | | | | 1,090 | | | | 1,122,700 | |
Host Hotels & Resorts, Inc., Gtd. Notes, 144A | | | Ba1 | | | | 6.000% | | | | 11/01/20 | | | | 6,325 | | | | 6,230,125 | |
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes | | | Ba3 | | | | 11.875% | | | | 07/15/15 | | | | 1,350 | | | | 1,667,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 23,444,800 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 7.2% | | | | | | | | | | | | | | | | | | | | |
AMC Entertainment Holdings, Inc., Sr. Sub. Notes, 144A | | | Caa1 | | | | 9.750% | | | | 12/01/20 | | | | 8,550 | | | | 8,892,000 | |
AMC Entertainment, Inc., Gtd. Notes | | | Caa1 | | | | 8.000% | | | | 03/01/14 | | | | 675 | | | | 681,750 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A | | | B2 | | | | 9.125% | | | | 08/01/18 | | | | 4,700 | | | | 5,058,375 | |
Checkout Holding Corp., Sr. Notes, 144A(e)(h) | | | B3 | | | | 12.200% | | | | 11/15/15 | | | | 3,050 | | | | 1,902,438 | |
Clear Channel Communications, Inc., Gtd. Notes(e) | | | Ca | | | | 10.750% | | | | 08/01/16 | | | | 3,200 | | | | 2,864,000 | |
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e) | | | Ca | | | | 4.900% | | | | 05/15/15 | | | | 8,350 | | | | 6,429,500 | |
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e) | | | Ca | | | | 5.500% | | | | 09/15/14 | | | | 4,435 | | | | 3,681,050 | |
Clear Channel Communications, Inc., Sr. Unsec’d. Notes | | | Ca | | | | 5.500% | | | | 12/15/16 | | | | 2,500 | | | | 1,625,000 | |
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e) | | | Ca | | | | 6.875% | | | | 06/15/18 | | | | 625 | | | | 389,062 | |
Clear Channel Worldwide Holdings, Inc., Gtd. Notes(e) | | | B2 | | | | 9.250% | | | | 12/15/17 | | | | 1,500 | | | | 1,631,250 | |
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, Ser. B | | | B2 | | | | 9.250% | | | | 12/15/17 | | | | 3,700 | | | | 4,051,500 | |
CMP Susquehanna Corp., Gtd. Notes | | | Caa3 | | | | 9.875% | | | | 05/15/14 | | | | 2,550 | | | | 803,250 | |
CW Media Holdings, Inc. (Canada), Gtd. Notes, PIK, 144A | | | Ba2 | | | | 13.500% | | | | 08/15/15 | | | | 24,959 | | | | 28,328,146 | |
Gray Television, Inc., Sr. Sec’d. Notes(e) | | | Caa2 | | | | 10.500% | | | | 06/29/15 | | | | 10,675 | | | | 10,755,062 | |
Intelsat SA (Luxembourg), Gtd. Notes | | | Caa3 | | | | 11.250% | | | | 02/04/17 | | | | 12,450 | | | | 13,570,500 | |
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A(e) | | | B3 | | | | 8.500% | | | | 11/01/19 | | | | 6,125 | | | | 6,660,938 | |
Intelsat SA (Luxembourg), Sr. Unsec’d. Notes(e) | | | Caa3 | | | | 7.625% | | | | 04/15/12 | | | | 1,000 | | | | 1,050,000 | |
Intelsat Subsidiary Holding Co. SA (Bermuda), Gtd. Notes | | | B3 | | | | 8.875% | | | | 01/15/15 | | | | 2,300 | | | | 2,363,250 | |
Lamar Media Corp., Gtd. Notes | | | Ba3 | | | | 9.750% | | | | 04/01/14 | | | | 1,075 | | | | 1,236,250 | |
LIN Television Corp., Gtd. Notes(e) | | | B3 | | | | 6.500% | | | | 05/15/13 | | | | 1,895 | | | | 1,899,738 | |
LIN Television Corp., Gtd. Notes, Ser. B | | | B3 | | | | 6.500% | | | | 05/15/13 | | | | 4,800 | | | | 4,800,000 | |
MediaNews Group, Inc., Sr. Sub. Notes
(original cost $619,916; purchased 01/14/04)(b)(d)(g) | | | NR | | | | 6.375% | | | | 04/01/14 | | | | 625 | | | | 62 | |
MediaNews Group, Inc., Sr. Sub. Notes
(original cost $1,375,000; purchased 04/20/04)(b)(d)(g) | | | NR | | | | 6.875% | | | | 10/01/13 | �� | | | 1,375 | | | | 137 | |
Morris Publishing Group LLC, Sec’d. Notes | | | NR | | | | 10.000% | | | | 09/01/14 | | | | 326 | | | | 317,208 | |
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | | | Caa1 | | | | 7.750% | | | | 10/15/18 | | | | 3,425 | | | | 3,544,875 | |
Rainbow National Services LLC, Gtd. Notes, 144A | | | B1 | | | | 10.375% | | | | 09/01/14 | | | | 205 | | | | 212,688 | |
Salem Communications Corp., Sr. Sec’d. Notes | | | B2 | | | | 9.625% | | | | 12/15/16 | | | | 4,015 | | | | 4,255,900 | |
Sinclair Television Group, Inc., Sec’d. Notes, 144A | | | Ba3 | | | | 9.250% | | | | 11/01/17 | | | | 5,200 | | | | 5,629,000 | |
SSI Investments II/SSI Co.-Issuer LLC, Gtd. Notes | | | Caa1 | | | | 11.125% | | | | 06/01/18 | | | | 13,750 | | | | 14,918,750 | |
Universal City Development Partners Ltd./UCDP Finance, Inc., Gtd. Notes
(original cost $1,779,750; purchased 11/06/09)(b)(d) | | | B3 | | | | 8.875% | | | | 11/15/15 | | | | 1,800 | | | | 1,912,500 | |
Universal City Development Partners Ltd./UCDP Finance, Inc., Gtd. Notes
(original cost $1,136,154; purchased 11/06/09)(b)(d) | | | B3 | | | | 10.875% | | | | 11/15/16 | | | | 1,150 | | | | 1,256,375 | |
Univision Communications, Inc., Gtd. Notes, PIK, 144A | | | Caa2 | | | | 9.750% | | | | 03/15/15 | | | | 6,322 | | | | 6,827,507 | |
WMG Acquisition Corp., Sr. Sec’d. Notes(e) | | | Ba2 | | | | 9.500% | | | | 06/15/16 | | | | 6,775 | | | | 7,266,188 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 154,814,249 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Metals — 2.7% | | | | | | | | | | | | | | | | | | | | |
Aleris International, Inc., Gtd. Notes, PIK(g) | | | NR | | | | 9.000% | | | | 12/15/14 | | | | 2,200 | | | | 9,900 | |
Consol Energy, Inc., Gtd. Notes, 144A | | | B1 | | | | 8.000% | | | | 04/01/17 | | | | 1,575 | | | | 1,677,375 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Sr. Notes, 144A(e) | | | B1 | | | | 6.875% | | | | 02/01/18 | | | | 6,850 | | | | 6,815,750 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Metals (continued) | | | | | | | | | | | | | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes | | | Baa3 | | | | 8.375% | | | | 04/01/17 | | | $ | 4,370 | | | $ | 4,834,312 | |
Metals USA, Inc., Sr. Sec’d. Notes | | | B3 | | | | 11.125% | | | | 12/01/15 | | | | 13,270 | | | | 13,966,675 | |
Novelis, Inc. (Canada), Gtd. Notes, 144A | | | B2 | | | | 8.750% | | | | 12/15/20 | | | | 24,650 | | | | 25,574,375 | |
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., Gtd. Notes | | | B2 | | | | 8.250% | | | | 04/15/18 | | | | 2,475 | | | | 2,549,250 | |
Rain CII Carbon LLC and CII Carbon Corp., Sr. Sec’d. Notes, 144A | | | B1 | | | | 8.000% | | | | 12/01/18 | | | | 3,000 | | | | 3,075,000 | |
United States Steel Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 7.000% | | | | 02/01/18 | | | | 460 | | | | 466,900 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 58,969,537 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 4.8% | | | | | | | | | | | | | | | | | | | | |
Ally Financial, Inc., Gtd. Notes | | | B3 | | | | 6.625% | | | | 05/15/12 | | | | 4,625 | | | | 4,798,438 | |
Ally Financial, Inc., Gtd. Notes, Ser. 8(e) | | | B3 | | | | 6.750% | | | | 12/01/14 | | | | 5,400 | | | | 5,683,500 | |
Ally Financial, Inc., Gtd. Notes(e) | | | B3 | | | | 6.875% | | | | 08/28/12 | | | | 4,925 | | | | 5,146,625 | |
Ally Financial, Inc., Gtd. Notes, 144A | | | B3 | | | | 7.500% | | | | 09/15/20 | | | | 2,875 | | | | 3,015,156 | |
Ally Financial, Inc., Gtd. Notes | | | B3 | | | | 8.000% | | | | 03/15/20 | | | | 4,000 | | | | 4,370,000 | |
Ally Financial, Inc., Gtd. Notes | | | B3 | | | | 8.300% | | | | 02/12/15 | | | | 1,425 | | | | 1,567,500 | |
American General Finance Corp., Sr. Unsec’d. Notes, Ser. H, MTN | | | B3 | | | | 5.375% | | | | 10/01/12 | | | | 5,225 | | | | 4,937,625 | |
American General Finance Corp., Sr. Unsec’d. Notes, Ser. I, MTN | | | B3 | | | | 5.400% | | | | 12/01/15 | | | | 2,425 | | | | 1,912,719 | |
American General Finance Corp., Sr. Unsec’d. Notes, MTN | | | B3 | | | | 6.900% | | | | 12/15/17 | | | | 3,675 | | | | 2,967,563 | |
CIT Group, Inc., Sr. Sec’d. Notes | | | B3 | | | | 7.000% | | | | 05/01/13 | | | | 188 | | | | 191,347 | |
CIT Group, Inc., Sr. Sec’d. Notes(e) | | | B3 | | | | 7.000% | | | | 05/01/14 | | | | 5,231 | | | | 5,283,708 | |
CIT Group, Inc., Sr. Sec’d. Notes | | | B3 | | | | 7.000% | | | | 05/01/15 | | | | 731 | | | | 733,222 | |
CIT Group, Inc., Sr. Sec’d. Notes | | | B3 | | | | 7.000% | | | | 05/01/16 | | | | 12,944 | | | | 12,992,530 | |
CIT Group, Inc., Sr. Sec’d. Notes(e) | | | B3 | | | | 7.000% | | | | 05/01/17 | | | | 12,977 | | | | 13,009,029 | |
HSBC Finance Capital Trust IX, Ltd. Gtd. Notes(a) | | | Baa1 | | | | 5.911% | | | | 11/30/35 | | | | 100 | | | | 92,000 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 6.500% | | | | 09/01/14 | | | | 4,800 | | | | 5,088,000 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 6.750% | | | | 09/01/16 | | | | 1,475 | | | | 1,574,563 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 7.125% | | | | 09/01/18 | | | | 2,000 | | | | 2,125,000 | |
International Lease Finance Corp., Sr. Unsec’d. Notes(e) | | | B1 | | | | 4.750% | | | | 01/13/12 | | | | 2,500 | | | | 2,515,625 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN(e) | | | B1 | | | | 5.300% | | | | 05/01/12 | | | | 1,400 | | | | 1,415,750 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN | | | B1 | | | | 5.450% | | | | 03/24/11 | | | | 1,250 | | | | 1,253,125 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN | | | B1 | | | | 5.750% | | | | 06/15/11 | | | | 2,370 | | | | 2,381,850 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | B1 | | | | 6.375% | | | | 03/25/13 | | | | 4,600 | | | | 4,715,000 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, 144A(e) | | | B1 | | | | 8.625% | | | | 09/15/15 | | | | 585 | | | | 628,875 | |
International Lease Finance Corp., Sr. Unsec’d. Notes, 144A | | | B1 | | | | 8.750% | | | | 03/15/17 | | | | 2,000 | | | | 2,145,000 | |
Jet Equipment Trust, Ser. 94-A, 144A(b) | | | NR | | | | 10.000% | | | | 06/15/12 | | | | 110 | | | | 76,863 | |
Jet Equipment Trust, Sr. Unsec’d. Notes, Ser. 95-B, 144A(b)(g) | | | NR | | | | 7.630% | | | | 08/15/12 | | | | 11 | | | | 109 | |
KKR Group Finance Co., Gtd. Notes, 144A | | | A-(c) | | | | 6.375% | | | | 09/29/20 | | | | 7,000 | | | | 6,970,089 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | Ba1 | | | | 8.000% | | | | 03/25/20 | | | | 4,400 | | | | 4,461,182 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 102,051,993 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Packaging — 2.7% | | | | | | | | | | | | | | | | | | | | |
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A(e) | | | B3 | | | | 9.125% | | | | 10/15/20 | | | | 5,450 | | | | 5,668,000 | |
Berry Plastics Corp., Sec’d. Notes(a)(e) | | | Caa1 | | | | 4.177% | | | | 09/15/14 | | | | 2,025 | | | | 1,852,875 | |
Berry Plastics Corp., Sr. Sec’d. Notes | | | Caa1 | | | | 9.500% | | | | 05/15/18 | | | | 4,225 | | | | 4,235,563 | |
Berry Plastics Corp., Sr. Sec’d. Notes, 144A(e) | | | Caa1 | | | | 9.750% | | | | 01/15/21 | | | | 4,875 | | | | 4,826,250 | |
BWAY Parent Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | | | Caa1 | | | | 10.125% | | | | 11/01/15 | | | | 4,475 | | | | 4,519,750 | |
Exopack Holding Corp., Gtd. Notes | | | B3 | | | | 11.250% | | | | 02/01/14 | | | | 7,845 | | | | 8,139,187 | |
Graham Packaging Co. LP/GPC Capital Corp. I, Gtd. Notes | | | B-(c) | | | | 8.250% | | | | 01/01/17 | | | | 3,550 | | | | 3,692,000 | |
Graham Packaging Co. LP/GPC Capital Corp. I, Gtd. Notes | | | Caa1 | | | | 8.250% | | | | 10/01/18 | | | | 750 | | | | 787,500 | |
Graham Packaging Co. LP/GPC Capital Corp. I, Gtd. Notes(e) | | | Caa1 | | | | 9.875% | | | | 10/15/14 | | | | 3,150 | | | | 3,260,250 | |
Greif, Inc., Sr. Unsec’d. Notes | | | Ba2 | | | | 6.750% | | | | 02/01/17 | | | | 4,970 | | | | 5,193,650 | |
Plastipak Holdings, Inc., Sr. Notes, 144A
(original cost $3,201,500; purchased 03/31/10-05/21/10)(b)(d)(e) | | | B3 | | | | 8.500% | | | | 12/15/15 | | | | 3,175 | | | | 3,270,250 | |
Plastipak Holdings, Inc., Sr. Notes, 144A
(original cost $1,993,876; purchased 07/23/09)(b)(d) | | | B3 | | | | 10.625% | | | | 08/15/19 | | | | 2,040 | | | | 2,292,450 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes, 144A | | | Caa1 | | | | 9.000% | | | | 04/15/19 | | | | 4,125 | | | | 4,274,531 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Packaging (continued) | | | | | | | | | | | | | | | | | | | | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A | | | Ba3 | | | | 7.750% | | | | 10/15/16 | | | $ | 6,175 | | | $ | 6,530,063 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 58,542,319 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Paper — 1.6% | | | | | | | | | | | | | | | | | | | | |
ABI Escrow Corp., Sr. Sec’d. Notes, 144A(e) | | | B1 | | | | 10.250% | | | | 10/15/18 | | | | 4,275 | | | | 4,681,125 | |
Cascades, Inc. (Canada), Gtd. Notes | | | Ba3 | | | | 7.750% | | | | 12/15/17 | | | | 3,900 | | | | 4,065,750 | |
Cascades, Inc. (Canada), Gtd. Notes | | | Ba3 | | | | 7.875% | | | | 01/15/20 | | | | 1,175 | | | | 1,227,875 | |
Domtar Corp., Gtd. Notes, Ser. GLOB | | | Ba2 | | | | 7.125% | | | | 08/15/15 | | | | 338 | | | | 363,350 | |
Domtar Corp., Sr. Unsec’d. Notes(e) | | | Ba2 | | | | 10.750% | | | | 06/01/17 | | | | 1,125 | | | | 1,417,500 | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $167,993; purchased 03/12/08)(d) | | | Ba2 | | | | 7.000% | | | | 01/15/15 | | | | 175 | | | | 181,562 | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $442,680; purchased 07/18/08)(d) | | | Ba2 | | | | 7.125% | | | | 01/15/17 | | | | 476 | | | | 506,940 | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $6,408,340; purchased 04/20/09-05/17/10)(d) | | | Ba2 | | | | 8.250% | | | | 05/01/16 | | | | 6,500 | | | | 7,336,875 | |
Graphic Packaging International, Inc., Gtd. Notes | | | B3 | | | | 7.875% | | | | 10/01/18 | | | | 1,375 | | | | 1,440,313 | |
Graphic Packaging International, Inc., Gtd. Notes | | | B3 | | | | 9.500% | | | | 06/15/17 | | | | 4,525 | | | | 4,937,906 | |
NewPage Corp., Sr. Sec’d. Notes | | | B2 | | | | 11.375% | | | | 12/31/14 | | | | 5,425 | | | | 5,099,500 | |
P.H. Glatfelter Co., Gtd. Notes | | | Ba2 | | | | 7.125% | | | | 05/01/16 | | | | 2,350 | | | | 2,435,188 | |
Rock-Tenn Co., Gtd. Notes | | | Ba2 | | | | 9.250% | | | | 03/15/16 | | | | 845 | | | | 921,050 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 34,614,934 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 1.8% | | | | | | | | | | | | | | | | | | | | |
AmeriGas Partners LP/AmeriGas Eagle Finance Corp., Sr. Unsec’d. Notes | | | Ba3 | | | | 7.125% | | | | 05/20/16 | | | | 2,225 | | | | 2,302,875 | |
Energy Transfer Equity LP, Gtd. Notes | | | Ba2 | | | | 7.500% | | | | 10/15/20 | | | | 4,700 | | | | 4,841,000 | |
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes, 144A | | | Ba3 | | | | 6.500% | | | | 05/01/21 | | | | 4,375 | | | | 4,265,625 | |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes | | | B2 | | | | 8.625% | | | | 06/15/20 | | | | 4,625 | | | | 4,971,875 | |
Inergy LP/Inergy Finance Corp., Gtd. Notes, 144A(e) | | | Ba3 | | | | 7.000% | | | | 10/01/18 | | | | 6,845 | | | | 6,896,337 | |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.,
Gtd. Notes, Ser. B | | | B1 | | | | 8.750% | | | | 04/15/18 | | | | 2,000 | | | | 2,165,000 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
Gtd. Notes, 144A | | | B1 | | | | 7.875% | | | | 10/15/18 | | | | 4,350 | | | | 4,567,500 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | | | B1 | | | | 8.250% | | | | 07/01/16 | | | | 3,725 | | | | 3,929,875 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
Gtd. Notes | | | B1 | | | | 11.250% | | | | 07/15/17 | | | | 4,475 | | | | 5,123,875 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 39,063,962 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.6% | | | | | | | | | | | | | | | | | | | | |
Omega Healthcare Investors, Inc., Gtd. Notes, 144A | | | Ba2 | | | | 6.750% | | | | 10/15/22 | | | | 6,250 | | | | 6,195,313 | |
Omega Healthcare Investors, Inc., Gtd. Notes | | | Ba2 | | | | 7.000% | | | | 01/15/16 | | | | 5,255 | | | | 5,333,825 | |
Omega Healthcare Investors, Inc., Gtd. Notes | | | Ba2 | | | | 7.500% | | | | 02/15/20 | | | | 825 | | | | 867,281 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 12,396,419 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 1.7% | | | | | | | | | | | | | | | | | | | | |
GameStop Corp./GameStop, Inc., Gtd. Notes | | | Ba1 | | | | 8.000% | | | | 10/01/12 | | | | 90 | | | | 92,025 | |
Neiman Marcus Group, Inc. (The), Gtd. Notes, PIK(e) | | | Caa1 | | | | 9.000% | | | | 10/15/15 | | | | 6,091 | | | | 6,380,013 | |
Pantry, Inc., Gtd. Notes | | | Caa1 | | | | 7.750% | | | | 02/15/14 | | | | 6,850 | | | | 6,884,250 | |
QVC, Inc., Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 7.125% | | | | 04/15/17 | | | | 3,510 | | | | 3,676,725 | |
QVC, Inc., Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 7.375% | | | | 10/15/20 | | | | 3,525 | | | | 3,692,438 | |
Rite Aid Corp., Sr. Sec’d. Notes(e) | | | Caa2 | | | | 7.500% | | | | 03/01/17 | | | | 4,315 | | | | 4,147,794 | |
Rite Aid Corp., Sr. Sec’d. Notes(e) | | | Caa2 | | | | 10.375% | | | | 07/15/16 | | | | 355 | | | | 369,200 | |
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes | | | B2 | | | | 8.500% | | | | 05/15/16 | | | | 5,771 | | | | 6,189,397 | |
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes | | | Ba1 | | | | 8.500% | | | | 12/01/17 | | | | 4,950 | | | | 5,321,250 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 36,753,092 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Technology — 9.2% | | | | | | | | | | | | | | | | | | | | |
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes, 144A | | | Ba3 | | | | 7.750% | | | | 08/01/20 | | | $ | 6,900 | | | $ | 7,158,750 | |
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes | | | Ba3 | | | | 8.125% | | | | 12/15/17 | | | | 6,225 | | | | 6,598,500 | |
Avaya, Inc., Gtd. Notes | | | Caa2 | | | | 9.750% | | | | 11/01/15 | | | | 20,275 | | | | 20,629,813 | |
Buccaneer Merger Sub, Inc., Sr. Notes, 144A | | | Caa1 | | | | 9.125% | | | | 01/15/19 | | | | 3,425 | | | | 3,536,313 | |
DuPont Fabros Technology LP, Gtd. Notes | | | Ba2 | | | | 8.500% | | | | 12/15/17 | | | | 7,750 | | | | 8,292,500 | |
Eastman Kodak Co., Sr. Sec’d. Notes, 144A(e) | | | Ba3 | | | | 9.750% | | | | 03/01/18 | | | | 2,500 | | | | 2,550,000 | |
First Data Corp., Gtd. Notes | | | Caa1 | | | | 9.875% | | | | 09/24/15 | | | | 455 | | | | 433,387 | |
First Data Corp., Sr. Notes, 144A | | | Caa1 | | | | 12.625% | | | | 01/15/21 | | | | 2,032 | | | | 1,940,560 | |
First Data Corp., Sr. Sec’d. Notes, 144A | | | Caa1 | | | | 8.250% | | | | 01/15/21 | | | | 2,032 | | | | 1,950,720 | |
Freescale Semiconductor, Inc., Gtd. Notes(e) | | | Caa3 | | | | 10.125% | | | | 12/15/16 | | | | 12,705 | | | | 13,372,012 | |
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A(e) | | | B2 | | | | 9.250% | | | | 04/15/18 | | | | 6,800 | | | | 7,480,000 | |
Interactive Data Corp., Gtd. Notes, 144A | | | Caa1 | | | | 10.250% | | | | 08/01/18 | | | | 8,125 | | | | 8,785,156 | |
Lender Processing Services, Inc., Gtd. Notes | | | Ba2 | | | | 8.125% | | | | 07/01/16 | | | | 4,261 | | | | 4,367,525 | |
Nortel Networks Ltd. (Canada), Gtd. Notes(g) | | | NR | | | | 10.125% | | | | 07/15/13 | | | | 3,050 | | | | 2,577,250 | |
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, Ser. EXcH(a)(e) | | | B3 | | | | 3.039% | | | | 10/15/13 | | | | 1,100 | | | | 1,083,500 | |
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, Ser. ExCH(e) | | | B3 | | | | 7.875% | | | | 10/15/14 | | | | 1,175 | | | | 1,222,000 | |
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A | | | B3 | | | | 9.750% | | | | 08/01/18 | | | | 11,775 | | | | 13,246,875 | |
Seagate HDD Cayman (Cayman Islands), Gtd. Notes, 144A | | | Ba1 | | | | 7.750% | | | | 12/15/18 | | | | 9,225 | | | | 9,340,313 | |
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes(e) | | | Ba1 | | | | 6.800% | | | | 10/01/16 | | | | 3,005 | | | | 3,020,025 | |
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A | | | Baa3 | | | | 10.000% | | | | 05/01/14 | | | | 11,145 | | | | 13,067,512 | |
Sensata Technologies BV (Netherlands), Gtd. Notes(e) | | | Caa1 | | | | 8.000% | | | | 05/01/14 | | | | 545 | | | | 572,250 | |
Spansion LLC, Gtd. Notes, 144A | | | B(c) | | | | 7.875% | | | | 11/15/17 | | | | 2,175 | | | | 2,153,250 | |
SunGard Data Systems, Inc., Gtd. Notes(e) | | | Caa1 | | | | 10.250% | | | | 08/15/15 | | | | 13,050 | | | | 13,718,812 | |
SunGard Data Systems, Inc., Gtd. Notes(e) | | | Caa1 | | | | 10.625% | | | | 05/15/15 | | | | 14,400 | | | | 15,876,000 | |
SunGard Data Systems, Inc., Sr. Unsec’d. Notes, 144A(e) | | | Caa1 | | | | 7.625% | | | | 11/15/20 | | | | 3,900 | | | | 3,948,750 | |
Trans Union LLC/TransUnion Financing Corp., Gtd. Notes, 144A | | | B3 | | | | 11.375% | | | | 06/15/18 | | | | 7,550 | | | | 8,607,000 | |
Unisys Corp., Sr. Sec’d. Notes, 144A | | | Ba1 | | | | 12.750% | | | | 10/15/14 | | | | 3,700 | | | | 4,375,250 | |
Unisys Corp., Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 14.250% | | | | 09/15/15 | | | | 1,125 | | | | 1,341,563 | |
Unisys Corp., Sr. Unsec’d. Notes | | | B2 | | | | 12.500% | | | | 01/15/16 | | | | 6,250 | | | | 6,937,500 | |
WireCo WorldGroup, Sr. Unsec’d. Notes, 144A | | | B3 | | | | 9.500% | | | | 05/15/17 | | | | 8,075 | | | | 8,519,125 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 196,702,211 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Telecommunications — 4.1% | | | | | | | | | | | | | | | | | | | | |
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A | | | B2 | | | | 12.000% | | | | 12/01/15 | | | | 900 | | | | 972,000 | |
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A | | | B2 | | | | 12.000% | | | | 12/01/15 | | | | 15,705 | | | | 16,922,138 | |
Cricket Communications, Inc., Gtd. Notes, 144A | | | B3 | | | | 7.750% | | | | 10/15/20 | | | | 3,700 | | | | 3,524,250 | |
Digicel Ltd. (Bermuda), Sr. Notes, 144A | | | B1 | | | | 8.250% | | | | 09/01/17 | | | | 2,225 | | | | 2,280,625 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 8.250% | | | | 05/01/14 | | | | 400 | | | | 443,000 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 8.250% | | | | 04/15/17 | | | | 3,375 | | | | 3,704,063 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 8.500% | | | | 04/15/20 | | | | 1,925 | | | | 2,103,062 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | Ba2 | | | | 8.750% | | | | 04/15/22 | | | | 5,375 | | | | 5,858,750 | |
GCI, Inc., Sr. Unsec’d. Notes | | | B2 | | | | 8.625% | | | | 11/15/19 | | | | 375 | | | | 405,937 | |
Hawaiian Telcom Communications, Inc., Gtd. Notes, Ser. B
(original cost $1,953,226; purchased 06/28/05)(b)(d)(g) | | | NR | | | | 12.500% | | | | 05/01/15 | | | | 1,950 | | | | 20 | |
MetroPCS Wireless, Inc., Gtd. Notes(e) | | | B2 | | | | 7.875% | | | | 09/01/18 | | | | 4,350 | | | | 4,513,125 | |
Nextel Communications, Inc., Gtd. Notes, Ser. E | | | Ba2 | | | | 6.875% | | | | 10/31/13 | | | | 1,250 | | | | 1,253,125 | |
Northwestern Bell Telephone, Sr. Unsec’d. Notes | | | Baa3 | | | | 7.750% | | | | 05/01/30 | | | | 750 | | | | 750,000 | |
Qwest Communications International, Inc., Gtd. Notes, 144A | | | Ba2 | | | | 7.125% | | | | 04/01/18 | | | | 1,450 | | | | 1,500,750 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.500% | | | | 10/01/14 | | | | 415 | | | | 464,800 | |
Qwest Corp., Sr. Unsec’d. Notes | | | Baa3 | | | | 7.625% | | | | 06/15/15 | | | | 3,444 | | | | 3,883,110 | |
SBA Telecommunications, Inc., Gtd. Notes | | | Ba3 | | | | 8.000% | | | | 08/15/16 | | | | 1,335 | | | | 1,445,137 | |
SBA Telecommunications, Inc., Gtd. Notes | | | Ba3 | | | | 8.250% | | | | 08/15/19 | | | | 1,335 | | | | 1,458,487 | |
Sprint Capital Corp., Gtd. Notes | | | Ba3 | | | | 6.900% | | | | 05/01/19 | | | | 575 | | | | 567,813 | |
Sprint Capital Corp., Gtd. Notes | | | Ba3 | | | | 8.375% | | | | 03/15/12 | | | | 2,400 | | | | 2,538,000 | |
Sprint Nextel Corp., Sr. Unsec’d. Notes | | | Ba3 | | | | 6.000% | | | | 12/01/16 | | | | 3,620 | | | | 3,497,825 | |
Sprint Nextel Corp., Sr. Unsec’d. Notes | | | Ba3 | | | | 8.375% | | | | 08/15/17 | | | | 1,800 | | | | 1,930,500 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | Moody’s
Ratings†
(Unaudited)
| | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Telecommunications (continued) | | | | | | | | | | | | | | | | | | | | |
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A | | | B2 | | | | 11.750% | | | | 07/15/17 | | | $ | 6,300 | | | $ | 7,103,250 | |
Wind Acquisition Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A | | | Ba2 | | | | 7.250% | | | | 02/15/18 | | | | 4,400 | | | | 4,477,000 | |
Wind Acquisition Holdings Finance SA (Luxembourg), Sr. Sec’d. Notes, PIK, 144A | | | B3 | | | | 12.250% | | | | 07/15/17 | | | | 6,670 | | | | 7,736,999 | |
Windstream Corp., Gtd. Notes | | | Ba3 | | | | 7.875% | | | | 11/01/17 | | | | 890 | | | | 935,613 | |
Windstream Corp., Gtd. Notes | | | Ba3 | | | | 8.625% | | | | 08/01/16 | | | | 6,870 | | | | 7,230,675 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 87,500,054 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $1,756,956,909) | | | | 1,855,712,192 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | | | Shares
| | | | |
| COMMON STOCKS — 0.2% | | | | | | | | | | | | | | | | | | | | |
Cable | | | | | | | | | | | | | | | | | | | | |
Adelphia Recovery Trust(b)(i) | | | | 500,000 | | | | 500 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Consumer | | | | | | | | | | | | | | | | | | | | |
IHF Holdings(i) | | | | 18,093 | | | | 181 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric | | | | | | | | | | | | | | | | | | | | |
GenOn Energy, Inc.(i) | | | | 6,350 | | | | 24,193 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.1% | | | | | | | | | | | | | | | | | | | | |
Dex One Corp.(i) | | | | 182,429 | | | | 1,360,920 | |
Virgin Media, Inc. | | | | 8,521 | | | | 232,112 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | 1,593,032 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other | | | | | | | | | |
SemGroup Corp. (Class A Stock)
(original cost $1,133,650; purchased 12/11/09)(b)(d)(i) | | | | 3,493 | | | | 93,997 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.1% | | | | | | | | | |
Xerox Corp. | | | | 137,561 | | | | 1,584,703 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Telecommunications | | | | | | | | | |
Netia SA (Poland)(i) | | | | 238,168 | | | | 418,347 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $27,554,143) | | | | 3,714,953 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| PREFERRED STOCKS — 0.2% | | | | | | | | | |
Building Materials & Construction | | | | | | | | | |
New Millenium Homes LLC
(original cost $0; purchased 09/25/00)(b)(d)(i) | | | | 3,000 | | | | 228,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable | | | | | | | | | |
Adelphia Communications Corp., PIK, 13.000%(b)(i) | | | | 5,000 | | | | 5 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Gaming — 0.2% | | | | | | | | | |
Las Vegas Sands Corp., Ser. A, 10.000%(i) | | | | 40,000 | | | | 4,515,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $4,454,765) | | | | 4,743,005 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | |
| WARRANTS | | | | | | | | Expiration
Date
| | | Units
| | | | |
Pipelines & Other | | | | | | | | | | | | | | | | | | | | |
SemGroup Corp.
(original cost $206,535; purchased 12/11/09)(b)(d)(i) | | | | 11/30/14 | | | | 3,676 | | | | 15,623 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Telecommunications | | | | | | | | | | | | | | | | | | | | |
Hawaiian Telcom Holdco, Inc.
(original cost $113,781; purchased 11/11/10)(b)(d)(i) | | | | 10/28/15 | | | | 19,187 | | | | 95,935 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL WARRANTS
(cost $320,316) | | | | 111,558 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,908,368,116) | | | | 1,990,208,020 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 16.8% | | | | | | | | | | | Shares
| | | Value
(Note 2)
| |
AFFILIATED MUTUAL FUNDS | | | | | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(j) | | | | 507,180 | | | $ | 4,559,548 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $354,191,155; includes $248,668,288 of cash collateral received for securities on loan) (Note 4)(j)(k) | | | | 354,191,155 | | | | 354,191,155 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $359,014,738) | | | | 358,750,703 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS(l) — 109.7%
(cost $2,267,382,854) | | | | 2,348,958,723 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (9.7)% | | | | (207,798,894 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 2,141,159,829 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| CLO | | Collateralized Loan Obligation |
| MTN | | Medium Term Note |
| NR | | Not Rated by Moody’s or Standard & Poor’s |
| PIK | | Payment in Kind |
| † | The ratings reflected are as of December 31, 2010. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Indicates a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Standard & Poor’s Rating. |
| (d) | Indicates a restricted security; the aggregate original cost of such securities is $95,662,788. The aggregate value of $96,254,732 is approximately 4.5% of net assets. |
| (e) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $242,687,838; cash collateral of $248,668,288 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (f) | Amount is actual; not rounded to thousands. |
| (g) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (h) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2010. |
| (i) | Non-income producing security. |
| (j) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (k) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (l) | As of December 31, 2010, 12 securities representing $419,260 and 0.0% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees. |
| (m) | Liabilities in excess of other assets includes net unrealized appreciation (depreciation) on credit default swap agreements as follows: |
Credit default swap agreements outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Notional
Amount
(000)(4)
| | | Fixed
Rate
| | | Reference Entity/Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Depreciation
| |
Credit default swaps on corporate issues—Buy Protection(1): | |
JPMorgan Chase Bank | | | 06/20/13 | | | $ | 5,000 | | | | 6.650% | | | Tenet Healthcare Corp.,
7.375%, 02/01/13 | | $ | (510,749 | ) | | $ | — | | | $ | (510,749 | ) |
| | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
Credit default swap agreements outstanding at December 31, 2010 (continued):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty
| | Termination
Date
| | | Implied Credit
Spread at
December 31,
2010
(Unaudited)(3)
| | | Notional
Amount
(000)(4)
| | | Fixed
Rate
| | Reference Entity/
Obligation
| | Fair
Value
| | | Upfront
Premiums
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
Credit default swaps on corporate issues—Sell Protection(2) | |
Deutsche Bank AG | | | 12/20/14 | | | | 2.261% | | | $ | 9,000 | | | 5.000% | | Ford Motor Co.,
6.500%, 08/01/18 | | $ | 940,849 | | | $ | (1,175,000 | ) | | $ | 2,115,849 | |
Goldman Sachs International | | | 03/20/16 | | | | 4.540% | | | | 3,150 | | | 4.100% | | NRG Energy, Inc.,
7.250%, 02/01/14 | | | (57,361 | ) | | | — | | | | (57,361 | ) |
| | | | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | 883,488 | | | $ | (1,175,000 | ) | | $ | 2,058,488 | |
| | | | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
The Portfolio entered into credit default swaps as the protection seller on corporate issues to take an active short position with respect to the likelihood of a particular issuer’s default.
| (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. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
Level 2— | | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools. |
Level 3— | | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | | | | |
Non-Residential Mortgage-Backed Security | | $ | — | | | $ | — | | | $ | 420,078 | |
Residential Mortgage-Backed Securities | | | — | | | | 1,022,828 | | | | — | |
Bank Loans | | | — | | | | 96,777,864 | | | | 24,240,043 | |
Collateralized Mortgage Obligations | | | — | | | | 3,465,499 | | | | — | |
Corporate Bonds | | | — | | | | 1,855,633,176 | | | | 79,016 | |
Common Stocks | | | 3,714,272 | | | | — | | | | 681 | |
Preferred Stocks | | | 4,515,000 | | | | — | | | | 228,005 | |
Warrants | | | — | | | | 15,623 | | | | 95,935 | |
Affiliated Mutual Funds | | | 358,750,703 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Credit Default Swap Agreements | | | — | | | | 1,547,739 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 366,979,975 | | | $ | 1,958,462,729 | | | $ | 25,063,758 | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Non-Residential
Mortgage-Backed
Security
| | | Bank
Loans
| | | Corporate
Bonds
| | | Common
Stocks
| | | Preferred
Stocks
| | | Warrants
| |
Balance as of 12/31/09 | | $ | 396,789 | | | $ | — | | | $ | 1,825 | | | $ | 90,626 | | | $ | 708,005 | | | $ | 16,546 | |
Realized gain (loss) | | | — | | | | 107,559 | | | | — | | | | — | | | | — | | | | (1,039,826 | ) |
Change in unrealized appreciation (depreciation)** | | | 23,028 | | | | 1,582,841 | | | | 13,351 | | | | — | | | | (480,000 | ) | | | 1,021,976 | |
Purchases | | | — | | | | 8,998,516 | | | | — | | | | — | | | | — | | | | 113,781 | |
Sales | | | (7,008 | ) | | | (1,785,000 | ) | | | (11,337 | ) | | | — | | | | — | | | | — | |
Accrued discount/premium | | | 7,269 | | | | 25,618 | | | | 2,012 | | | | — | | | | — | | | | — | |
Transfers into Level 3 | | | — | | | | 15,310,509 | | | | 73,165 | | | | — | | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | (89,945 | ) | | | — | | | | (16,542 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Balance as of 12/31/10 | | $ | 420,078 | | | $ | 24,240,043 | | | $ | 79,016 | | | $ | 681 | | | $ | 228,005 | | | $ | 95,935 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
| ** | Of which, $1,121,375 was included in Net Assets relating to securities held at the reporting period end. |
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, there were 4 bank loans transferred into Level 3 as a result of using a single broker quote, 5 corporate bonds transferred into Level 3 as a result of the securities being fair valued in accordance with the Board of Trustees’ approved fair valuation procedures, 1 common stock transferred out of Level 3 as a result of being exchange-traded and 1 warrant transferred out of Level 3 as a result of using observable inputs on the formula driven price.
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Affiliated Mutual Funds (including 11.6% of collateral received for securities on loan) | | | 16.8 | % |
Healthcare & Pharmaceutical | | | 11.7 | |
Technology | | | 10.8 | |
Media & Entertainment | | | 7.3 | |
Capital Goods | | | 6.5 | |
Cable | | | 5.1 | |
Energy – Other | | | 5.0 | |
Gaming | | | 4.9 | |
Electric | | | 4.8 | |
Non-Captive Finance | | | 4.8 | |
Telecommunications | | | 4.2 | |
Foods | | | 3.3 | |
Chemicals | | | 3.0 | |
Consumer | | | 2.8 | |
Metals | | | 2.7 | |
Packaging | | | 2.7 | |
Automotive | | | 2.5 | |
Aerospace & Defense | | | 2.0 | |
Pipelines & Other | | | 1.9 | |
Retailers | | | 1.7 | |
Paper | | | 1.6 | |
Lodging | | | 1.1 | |
Building Materials & Construction | | | 0.8 | |
Banking | | | 0.7 | |
Real Estate Investment Trusts | | | 0.6 | |
Airlines | | | 0.2 | |
Collateralized Mortgage Obligations | | | 0.1 | |
Residential Mortgage-Backed Securities | | | 0.1 | |
| | |
|
|
|
| | | | 109.7 | |
Liabilities in excess of other assets | | | (9.7 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are credit risk and equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | |
Derivatives not
designated as hedging
instruments, carried at
fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Credit contracts | | Unrealized appreciation on swap agreements | | $ | 2,115,849 | | | Unrealized depreciation on swap agreements | | $ | 568,110 | |
Credit contracts | | — | | | — | | | Premium received for swap agreements | | | 1,175,000 | |
Equity contracts | | Unaffiliated investments | | | 111,558 | | | — | | | — | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 2,227,407 | | | | | $ | 1,743,110 | |
| | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Swaps
| | | Warrants
| | | Total
| |
Credit contracts | | $ | (25,572 | ) | | $ | — | | | $ | (25,572 | ) |
Equity contracts | | | — | | | | (1,039,826 | ) | | | (1,039,826 | ) |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | (25,572 | ) | | $ | (1,039,826 | ) | | $ | (1,065,398 | ) |
| | |
|
|
| |
|
|
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Swaps
| | | Warrants
| | | Total
| |
Credit contracts | | $ | 1,465,369 | | | $ | — | | | $ | 1,465,369 | |
Equity contracts | | | — | | | | 1,021,049 | | | | 1,021,049 | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,465,369 | | | $ | 1,021,049 | | | $ | 2,486,418 | |
| | |
|
|
| |
|
|
| |
|
|
|
For the year ended December 31, 2010, the Portfolio’s average notional amount for credit default swaps as buyer was $11,900,000 and the average notional amount for credit default swaps as writer was $14,750,000.
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $242,687,838: | | | | |
Unaffiliated investments (cost $1,908,368,116) | | $ | 1,990,208,020 | |
Affiliated investments (cost $359,014,738) | | | 358,750,703 | |
Cash | | | 2,976,985 | |
Dividends and interest receivable | | | 34,978,061 | |
Receivable for investments sold | | | 26,624,141 | |
Unrealized appreciation on swap agreements | | | 2,115,849 | |
Receivable for Series shares sold | | | 61,810 | |
Prepaid expenses | | | 18,220 | |
| | |
|
|
|
Total Assets | | | 2,415,733,789 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 248,668,288 | |
Payable for investments purchased | | | 22,860,667 | |
Premium received for swap agreements | | | 1,175,000 | |
Management fee payable | | | 991,354 | |
Unrealized depreciation on swap agreements | | | 568,110 | |
Accrued expenses and other liabilities | | | 225,982 | |
Payable for Series shares repurchased | | | 78,903 | |
Deferred trustees’ fees | | | 4,779 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 274,573,960 | |
| | |
|
|
|
| NET ASSETS | | $ | 2,141,159,829 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 2,399,605,896 | |
Retained earnings | | | (258,446,067 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 2,141,159,829 | |
| | |
|
|
|
Net asset value and redemption price per share, $2,141,159,829 / 422,987,962 outstanding shares of beneficial interest | | $ | 5.06 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated interest | | $ | 183,575,955 | |
Affiliated income from securities loaned, net | | | 752,798 | |
Affiliated dividend income | | | 209,073 | |
Unaffiliated dividend income | | | 124,740 | |
| | |
|
|
|
| | | | 184,662,566 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 11,171,919 | |
Custodian’s fees and expenses | | | 302,000 | |
Shareholders’ reports | | | 234,000 | |
Audit fee | | | 30,000 | |
Trustees’ fees | | | 29,000 | |
Insurance expenses | | | 28,000 | |
Legal fees and expenses | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 10,000 | |
Commitment fee on syndicated credit agreement | | | 9,000 | |
Miscellaneous | | | 20,814 | |
| | |
|
|
|
Total expenses | | | 11,848,733 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 172,813,833 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND SWAPS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 103,572,271 | |
Swap agreement transactions | | | (25,572 | ) |
| | |
|
|
|
| | | | 103,546,699 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $216,274) | | | (10,798,787 | ) |
Swap agreements | | | 1,465,369 | |
| | |
|
|
|
| | | | (9,333,418 | ) |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND SWAPS | | | 94,213,281 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 267,027,114 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 172,813,833 | | | $ | 149,665,312 | |
Net realized gain (loss) on investments and swaps | | | 103,546,699 | | | | (99,956,237 | ) |
Net change in unrealized appreciation (depreciation) on investments and swaps | | | (9,333,418 | ) | | | 535,313,745 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 267,027,114 | | | | 585,022,820 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (170,579,126 | ) | | | (146,754,201 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [7,760,335 and 4,625,109 shares, respectively] | | | 38,142,981 | | | | 19,572,637 | |
Series shares issued in reinvestment of distributions [34,984,970 and 34,474,693 shares, respectively] | | | 170,579,126 | | | | 146,754,201 | |
Net asset value of shares issued in merger [0 and 33,152,623 shares, respectively] (Note 10) | | | — | | | | 157,806,487 | |
Series shares repurchased [20,666,560 and 14,949,827 shares, respectively] | | | (102,302,303 | ) | | | (63,973,510 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 106,419,804 | | | | 260,159,815 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 202,867,792 | | | | 698,428,434 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,938,292,037 | | | | 1,239,863,603 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 2,141,159,829 | | | $ | 1,938,292,037 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| | | | | | |
| | | JENNISON PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 99.7% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 4.3% | | | | | | | | |
Boeing Co. (The) | | | 221,083 | | | $ | 14,427,876 | |
Precision Castparts Corp. | | | 184,503 | | | | 25,684,663 | |
United Technologies Corp. | | | 257,380 | | | | 20,260,954 | |
| | | | | | |
|
|
|
| | | | | | | | 60,373,493 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 1.5% | | | | | | | | |
C.H. Robinson Worldwide, Inc. | | | 90,458 | | | | 7,253,827 | |
Expeditors International of Washington, Inc. | | | 130,567 | | | | 7,128,958 | |
United Parcel Service, Inc.
(Class B Stock) | | | 87,105 | | | | 6,322,081 | |
| | | | | | |
|
|
|
| | | | | | | | 20,704,866 | |
| | | | | | |
|
|
|
Automobiles — 0.2% | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 43,745 | | | | 3,440,185 | |
| | | | | | |
|
|
|
Beverages — 1.3% | | | | | | | | |
Anheuser-Busch InBev NV (Belgium), ADR(a) | | | 316,469 | | | | 18,067,215 | |
| | | | | | |
|
|
|
Biotechnology — 2.1% | | | | | | | | |
Celgene Corp.(b) | | | 381,515 | | | | 22,562,797 | |
Vertex Pharmaceuticals, Inc.(a)(b) | | | 209,584 | | | | 7,341,728 | |
| | | | | | |
|
|
|
| | | | | | | | 29,904,525 | |
| | | | | | |
|
|
|
Capital Markets — 2.8% | | | | | | | | |
Charles Schwab Corp. (The) | | | 937,680 | | | | 16,043,705 | |
Goldman Sachs Group, Inc. (The) | | | 141,430 | | | | 23,782,869 | |
| | | | | | |
|
|
|
| | | | | | | | 39,826,574 | |
| | | | | | |
|
|
|
Chemicals — 0.9% | | | | | | | | |
Monsanto Co. | | | 185,986 | | | | 12,952,065 | |
| | | | | | |
|
|
|
Communications Equipment — 5.0% | | | | | | | | |
Cisco Systems, Inc.(b) | | | 697,584 | | | | 14,112,124 | |
Juniper Networks, Inc.(a)(b) | | | 804,179 | | | | 29,690,289 | |
QUALCOMM, Inc. | | | 514,952 | | | | 25,484,975 | |
| | | | | | |
|
|
|
| | | | | | | | 69,287,388 | |
| | | | | | |
|
|
|
Computers & Peripherals — 8.0% | | | | | | | | |
Apple, Inc.(b) | | | 216,658 | | | | 69,885,204 | |
Hewlett-Packard Co. | | | 263,867 | | | | 11,108,801 | |
NetApp, Inc.(b) | | | 564,318 | | | | 31,014,917 | |
| | | | | | |
|
|
|
| | | | | | | | 112,008,922 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 3.2% | | | | | | | | |
Schlumberger Ltd. | | | 534,568 | | | | 44,636,428 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 3.1% | | | | | | | | |
Costco Wholesale Corp. | | | 294,569 | | | | 21,270,827 | |
Whole Foods Market, Inc.(a)(b) | | | 433,089 | | | | 21,909,973 | |
| | | | | | |
|
|
|
| | | | | | | | 43,180,800 | |
| | | | | | |
|
|
|
Food Products — 3.2% | | | | | | | | |
Kraft Foods, Inc. (Class A Stock) | | | 494,162 | | | | 15,571,045 | |
Mead Johnson Nutrition Co.
(Class A Stock) | | | 230,409 | | | | 14,342,960 | |
Unilever PLC (United Kingdom) | | | 467,086 | | | | 14,295,133 | |
| | | | | | |
|
|
|
| | | | | | | | 44,209,138 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 2.9% | | | | | |
Express Scripts, Inc.(b) | | | 415,430 | | | | 22,453,991 | |
Medco Health Solutions, Inc.(b) | | | 297,717 | | | | 18,241,121 | |
| | | | | | |
|
|
|
| | | | | | | | 40,695,112 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Hotels Restaurants & Leisure — 4.3% | | | | | | | | |
Marriott International, Inc.
(Class A Stock)(a) | | | 570,700 | | | $ | 23,706,878 | |
McDonald’s Corp. | | | 194,940 | | | | 14,963,594 | |
Starbucks Corp. | | | 649,529 | | | | 20,869,367 | |
| | | | | | |
|
|
|
| | | | | | | | 59,539,839 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 4.9% | | | | | | | | |
Amazon.com, Inc.(b) | | | 365,418 | | | | 65,775,240 | |
priceline.com, Inc.(b) | | | 6,513 | | | | 2,602,269 | |
| | | | | | |
|
|
|
| | | | | | | | 68,377,509 | |
| | | | | | |
|
|
|
Internet Software & Services — 5.5% | | | | | | | | |
Baidu, Inc. (China), ADR(b) | | | 212,546 | | | | 20,517,065 | |
Google, Inc. (Class A Stock)(b) | | | 67,005 | | | | 39,798,960 | |
Mail.Ru Group Ltd. (Russia), GDR, 144A(b) | | | 197,055 | | | | 7,093,980 | |
Tencent Holdings Ltd. (China) | | | 462,061 | | | | 10,040,411 | |
| | | | | | |
|
|
|
| | | | | | | | 77,450,416 | |
| | | | | | |
|
|
|
IT Services — 7.1% | | | | | | | | |
Cognizant Technology Solutions Corp. (Class A Stock)(b) | | | 90,163 | | | | 6,608,046 | |
International Business Machines Corp. | | | 310,141 | | | | 45,516,293 | |
Mastercard, Inc. (Class A Stock) | | | 125,691 | | | | 28,168,610 | |
Visa, Inc. (Class A Stock) | | | 272,006 | | | | 19,143,783 | |
| | | | | | |
|
|
|
| | | | | | | | 99,436,732 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 2.8% | | | | | |
Agilent Technologies, Inc.(b) | | | 596,667 | | | | 24,719,914 | |
Illumina, Inc.(a)(b) | | | 225,692 | | | | 14,295,331 | |
| | | | | | |
|
|
|
| | | | | | | | 39,015,245 | |
| | | | | | |
|
|
|
Machinery — 2.7% | | | | | | | | |
Deere & Co. | | | 232,320 | | | | 19,294,176 | |
Ingersoll-Rand PLC(a) | | | 389,716 | | | | 18,351,726 | |
| | | | | | |
|
|
|
| | | | | | | | 37,645,902 | |
| | | | | | |
|
|
|
Media — 2.6% | | | | | | | | |
Walt Disney Co. (The) | | | 962,117 | | | | 36,089,009 | |
| | | | | | |
|
|
|
Multiline Retail — 2.7% | | | | | | | | |
Dollar General Corp.(a)(b) | | | 454,942 | | | | 13,953,071 | |
Target Corp. | | | 384,329 | | | | 23,109,703 | |
| | | | | | |
|
|
|
| | | | | | | | 37,062,774 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 3.6% | | | | | | | | |
Apache Corp. | | | 211,028 | | | | 25,160,869 | |
Occidental Petroleum Corp. | | | 249,453 | | | | 24,471,339 | |
| | | | | | |
|
|
|
| | | | | | | | 49,632,208 | |
| | | | | | |
|
|
|
Personal Products — 0.5% | | | | | | | | |
Estee Lauder Cos., Inc. (The)
(Class A Stock) | | | 88,576 | | | | 7,148,083 | |
| | | | | | |
|
|
|
Pharmaceuticals — 4.2% | | | | | | | | |
Abbott Laboratories | | | 147,821 | | | | 7,082,104 | |
Allergan, Inc. | | | 232,121 | | | | 15,939,749 | |
Shire PLC (Ireland), ADR | | | 277,067 | | | | 20,054,109 | |
Teva Pharmaceutical Industries Ltd. (Israel), ADR | | | 306,982 | | | | 16,002,972 | |
| | | | | | |
|
|
|
| | | | | | | | 59,078,934 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Road & Rail — 1.1% | | | | | | | | |
Union Pacific Corp. | | | 159,188 | | | $ | 14,750,360 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 2.7% | |
Altera Corp.(a) | | | 430,026 | | | | 15,300,325 | |
Broadcom Corp.
(Class A Stock) | | | 443,696 | | | | 19,322,961 | |
Marvell Technology Group Ltd.(b) | | | 153,348 | | | | 2,844,605 | |
| | | | | | |
|
|
|
| | | | | | | | 37,467,891 | |
| | | | | | |
|
|
|
Software — 6.9% | | | | | | | | |
Oracle Corp. | | | 1,023,891 | | | | 32,047,788 | |
Red Hat, Inc.(b) | | | 293,165 | | | | 13,382,982 | |
Salesforce.com, Inc.(a)(b) | | | 192,459 | | | | 25,404,588 | |
VMware, Inc.
(Class A Stock)(b) | | | 288,159 | | | | 25,620,217 | |
| | | | | | |
|
|
|
| | | | | | | | 96,455,575 | |
| | | | | | |
|
|
|
Specialty Retail — 2.0% | | | | | | | | |
Staples, Inc. | | | 311,822 | | | | 7,100,187 | |
Tiffany & Co. | | | 250,818 | | | | 15,618,437 | |
Urban Outfitters, Inc.(b) | | | 130,773 | | | | 4,682,981 | |
| | | | | | |
|
|
|
| | | | | | | | 27,401,605 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 6.6% | | | | | |
Coach, Inc. | | | 368,560 | | | | 20,385,054 | |
LVMH Moet Hennessy Louis Vuitton SA (France) | | | 13,293 | | | | 2,186,693 | |
NIKE, Inc. (Class B Stock) | | | 433,948 | | | | 37,067,838 | |
Phillips-Van Heusen Corp. | | | 141,608 | | | | 8,922,720 | |
Polo Ralph Lauren Corp. (Class A Stock) | | | 206,386 | | | | 22,892,335 | |
| | | | | | |
|
|
|
| | | | | | | | 91,454,640 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 1.0% | |
American Tower Corp.
(Class A Stock)(b) | | | 258,617 | | | | 13,354,982 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $950,486,521) | | | | 1,390,648,415 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 7.5% | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $105,308,599; includes $97,737,660 of cash collateral received for securities on loan)(Note 4)(c)(d) | | | 105,308,599 | | | | 105,308,599 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 107.2%
(cost $1,055,795,120) | | | | 1,495,957,014 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (7.2)% | | | | (100,628,334 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,395,328,680 | |
| | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| ADR | | American Depositary Receipt |
| GDR | | Global Depositary Receipt |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $95,044,632; cash collateral of $97,737,660 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Non-income producing security. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,390,648,415 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 105,308,599 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,495,957,014 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Computers & Peripherals | | | 8.0 | % |
Affiliated Money Market Mutual Fund (including 7.0% of collateral received for securities on loan) | | | 7.5 | |
IT Services | | | 7.1 | |
Software | | | 6.9 | |
Textiles, Apparel & Luxury Goods | | | 6.6 | |
Internet Software & Services | | | 5.5 | |
Communications Equipment | | | 5.0 | |
Internet & Catalog Retail | | | 4.9 | |
Aerospace & Defense | | | 4.3 | |
Hotels Restaurants & Leisure | | | 4.3 | |
Pharmaceuticals | | | 4.2 | |
Oil, Gas & Consumable Fuels | | | 3.6 | |
Energy Equipment & Services | | | 3.2 | |
Food Products | | | 3.2 | |
Food & Staples Retailing | | | 3.1 | |
Healthcare Providers & Services | | | 2.9 | |
Capital Markets | | | 2.8 | |
Life Sciences Tools & Services | | | 2.8 | |
Machinery | | | 2.7 | |
Multiline Retail | | | 2.7 | |
Semiconductors & Semiconductor Equipment | | | 2.7 | |
Media | | | 2.6 | |
Biotechnology | | | 2.1 | |
Specialty Retail | | | 2.0 | |
Air Freight & Logistics | | | 1.5 | |
Beverages | | | 1.3 | |
Road & Rail | | | 1.1 | |
Wireless Telecommunication Services | | | 1.0 | |
Chemicals | | | 0.9 | |
Personal Products | | | 0.5 | |
Automobiles | | | 0.2 | |
| | |
|
|
|
| | | | 107.2 | |
Liabilities in excess of other assets | | | (7.2 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $95,044,632: | | | | |
Unaffiliated investments (cost $950,486,521) | | $ | 1,390,648,415 | |
Affiliated investments (cost $105,308,599) | | | 105,308,599 | |
Cash | | | 1,606 | |
Receivable for investments sold | | | 2,011,813 | |
Dividends and interest receivable | | | 1,218,486 | |
Foreign tax reclaim receivable | | | 227,705 | |
Receivable for Series shares sold | | | 14,866 | |
Prepaid expenses | | | 9,656 | |
| | |
|
|
|
Total Assets | | | 1,499,441,146 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 97,737,660 | |
Payable for investments purchased | | | 5,075,782 | |
Management fee payable | | | 713,438 | |
Accrued expenses and other liabilities | | | 260,778 | |
Payable for Series shares repurchased | | | 247,496 | |
Shareholder servicing fees payable | | | 63,677 | |
Distribution fee payable | | | 7,101 | |
Administration fee payable | | | 4,261 | |
Deferred trustees’ fees | | | 1,396 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 104,112,466 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,395,328,680 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,767,010,477 | |
Retained earnings | | | (371,681,797 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 1,395,328,680 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $1,362,122,166 / 58,569,281 outstanding shares of beneficial interest | | $ | 23 .26 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $33,206,514 / 1,449,694 outstanding shares of beneficial interest | | $ | 22 .91 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $172,334) | | $ | 11,832,393 | |
Affiliated income from securities loaned, net | | | 143,102 | |
Affiliated dividend income | | | 27,201 | |
| | |
|
|
|
| | | | 12,002,696 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 7,756,986 | |
Distribution fee—Class II | | | 69,040 | |
Administration fee—Class II | | | 41,424 | |
Shareholders’ reports | | | 313,000 | |
Custodian’s fees and expenses | | | 108,000 | |
Trustees’ fees | | | 22,000 | |
Insurance expenses | | | 21,000 | |
Audit fee | | | 19,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 10,000 | |
Commitment fee on syndicated credit agreement | | | 10,000 | |
Legal fees and expenses | | | 8,000 | |
Loan interest expense (Note 8) | | | 507 | |
Miscellaneous | | | 12,207 | |
| | |
|
|
|
Total expenses | | | 8,391,164 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 3,611,532 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 114,637,298 | |
Foreign currency transactions | | | (101,718 | ) |
| | |
|
|
|
| | | | 114,535,580 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on investments | | | 27,395,126 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 141,930,706 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 145,542,238 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS: | | | | | | | | |
Net investment income | | $ | 3,611,532 | | | $ | 5,487,269 | |
Net realized gain on investments and foreign currencies | | | 114,535,580 | | | | 79,995,658 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 27,395,126 | | | | 373,411,919 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 145,542,238 | | | | 458,894,846 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | (5,475,228 | ) | | | (8,584,877 | ) |
Class II | | | (5,201 | ) | | | (43,518 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DISTRIBUTIONS | | | (5,480,429 | ) | | | (8,628,395 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 49,412,042 | | | | 59,834,121 | |
Series shares issued in reinvestment of distributions | | | 5,480,429 | | | | 8,628,395 | |
Net asset value of shares issued in merger (Note 10) | | | 42,323,832 | | | | — | |
Series shares repurchased | | | (160,922,841 | ) | | | (359,926,940 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (63,706,538 | ) | | | (291,464,424 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 76,355,271 | | | | 158,802,027 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,318,973,409 | | | | 1,160,171,382 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,395,328,680 | | | $ | 1,318,973,409 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| | | | | | |
| | | MONEY MARKET PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Certificates of Deposit — 10.5% | | | | | | | | | | | | | | | | | | | | |
Bank of Tokyo Mitsubishi UFJ Ltd. | | | | | | | 0.310% | | | | 01/10/11 | | | $ | 6,000 | | | $ | 6,000,000 | |
BNP Paribas NY(a) | | | | | | | 0.471% | | | | 09/21/11 | | | | 8,000 | | | | 8,000,000 | |
Credit Agricole CIB NY | | | | | | | 0.300% | | | | 02/01/11 | | | | 25,000 | | | | 25,000,000 | |
Credit Agricole CIB NY | | | | | | | 0.320% | | | | 02/14/11 | | | | 3,000 | | | | 2,999,853 | |
Royal Bank of Canada(a) | | | | | | | 0.340% | | | | 02/14/11 | | | | 10,000 | | | | 10,000,000 | |
Royal Bank of Canada(a) | | | | | | | 0.261% | | | | 03/23/11 | | | | 8,000 | | | | 8,000,009 | |
Societe Generale | | | | | | | 0.300% | | | | 02/07/11 | | | | 9,000 | | | | 9,000,000 | |
Svenska Handelsbanken AB | | | | | | | 0.260% | | | | 01/11/11 | | | | 11,000 | | | | 11,000,000 | |
Svenska Handelsbanken AB | | | | | | | 0.270% | | | | 02/04/11 | | | | 9,000 | | | | 9,000,000 | |
Svenska Handelsbanken AB | | | | | | | 0.270% | | | | 02/22/11 | | | | 9,000 | | | | 8,999,870 | |
Toronto Dominion Bank/New York(a) | | | | | | | 0.331% | | | | 10/28/11 | | | | 10,000 | | | | 10,000,000 | |
UBS AG | | | | | | | 0.250% | | | | 01/14/11 | | | | 10,000 | | | | 10,000,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 117,999,732 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Commercial Paper — 44.9% | | | | | | | | | | | | | | | | | | | | |
Abbott Laboratories, 144A(b) | | | | | | | 0.200% | | | | 01/31/11 | | | | 14,000 | | | | 13,997,667 | |
Archer Daniels Midland Co., 144A(b) | | | | | | | 0.250% | | | | 02/25/11 | | | | 10,000 | | | | 9,996,181 | |
BG Energy Finance, Inc., 144A(b) | | | | | | | 0.350% | | | | 02/14/11 | | | | 4,000 | | | | 3,998,289 | |
BG Energy Finance, Inc., 144A(b) | | | | | | | 0.350% | | | | 02/18/11 | | | | 5,000 | | | | 4,997,667 | |
Citigroup Funding, Inc.(b) | | | | | | | 0.280% | | | | 01/04/11 | | | | 10,000 | | | | 9,999,767 | |
Commonwealth Bank of Australia, 144A(b) | | | | | | | 0.260% | | | | 01/12/11 | | | | 14,000 | | | | 13,998,888 | |
Danske Corp., 144A(b) | | | | | | | 0.290% | | | | 01/07/11 | | | | 10,000 | | | | 9,999,517 | |
Danske Corp., 144A(b) | | | | | | | 0.280% | | | | 02/03/11 | | | | 10,000 | | | | 9,997,433 | |
Danske Corp., 144A(b) | | | | | | | 0.290% | | | | 02/10/11 | | | | 5,000 | | | | 4,998,389 | |
Deutsche Bank Financial LLC(b) | | | | | | | 0.270% | | | | 01/24/11 | | | | 30,000 | | | | 29,994,825 | |
DnB NOR Bank ASA, 144A(b) | | | | | | | 0.260% | | | | 02/07/11 | | | | 25,000 | | | | 24,993,319 | |
DnB NOR Bank SA, 144A(a) | | | | | | | 0.381% | | | | 08/29/11 | | | | 6,000 | | | | 6,000,000 | |
Electricite de France, 144A(b) | | | | | | | 0.280% | | | | 01/31/11 | | | | 17,000 | | | | 16,996,033 | |
Electricite de France, 144A(b) | | | | | | | 0.280% | | | | 02/28/11 | | | | 10,000 | | | | 9,995,489 | |
ENI Finance USA, Inc., 144A(b) | | | | | | | 0.270% | | | | 01/10/11 | | | | 8,000 | | | | 7,999,460 | |
ENI Finance USA, Inc., 144A(b) | | | | | | | 0.280% | | | | 02/09/11 | | | | 4,000 | | | | 3,998,787 | |
European Investment Bank(b) | | | | | | | 0.220% | | | | 01/13/11 | | | | 8,000 | | | | 7,999,413 | |
European Investment Bank(b) | | | | | | | 0.320% | | | | 03/22/11 | | | | 16,000 | | | | 15,988,622 | |
European Investment Bank(b) | | | | | | | 0.400% | | | | 03/25/11 | | | | 9,000 | | | | 8,991,700 | |
HSBC Securities (USA), Inc.(b) | | | | | | | 0.250% | | | | 01/03/11 | | | | 4,000 | | | | 3,999,944 | |
International Financial Corp.(b) | | | | | | | 0.230% | | | | 01/12/11 | | | | 30,000 | | | | 29,997,892 | |
JPMorgan Chase & Co.(b) | | | | | | | 0.265% | | | | 02/07/11 | | | | 20,000 | | | | 19,994,553 | |
New York Life Capital Corp., 144A(b) | | | | | | | 0.240% | | | | 01/03/11 | | | | 6,000 | | | | 5,999,920 | |
New York Life Capital Corp., 144A(b) | | | | | | | 0.240% | | | | 01/12/11 | | | | 18,000 | | | | 17,998,680 | |
Nordea North America(b) | | | | | | | 0.260% | | | | 01/04/11 | | | | 8,000 | | | | 7,999,827 | |
Old Line Funding LLC, 144A(b) | | | | | | | 0.250% | | | | 01/04/11 | | | | 3,000 | | | | 2,999,937 | |
Old Line Funding LLC, 144A(b) | | | | | | | 0.250% | | | | 01/14/11 | | | | 7,000 | | | | 6,999,368 | |
Old Line Funding LLC, 144A(b) | | | | | | | 0.270% | | | | 02/02/11 | | | | 13,000 | | | | 12,996,880 | |
Old Line Funding LLC, 144A(b) | | | | | | | 0.270% | | | | 02/08/11 | | | | 9,000 | | | | 8,997,435 | |
Old Line Funding LLC, 144A(b) | | | | | | | 0.270% | | | | 03/01/11 | | | | 1,000 | | | | 999,557 | |
Philip Morris International, Inc., 144A(b) | | | | | | | 0.227% | | | | 01/28/11 | | | | 30,253 | | | | 30,247,858 | |
Procter & Gamble Co. (The), 144A(b) | | | | | | | 0.200% | | | | 01/18/11 | | | | 27,000 | | | | 26,997,450 | |
Prudential PLC, 144A(b) | | | | | | | 0.370% | | | | 02/18/11 | | | | 5,000 | | | | 4,997,533 | |
Prudential PLC, 144A(b) | | | | | | | 0.380% | | | | 03/09/11 | | | | 4,000 | | | | 3,997,171 | |
Reckitt Benckiser TSY, 144A(b) | | | | | | | 0.270% | | | | 01/07/11 | | | | 4,000 | | | | 3,999,820 | |
Reckitt Benckiser TSY, 144A(b) | | | | | | | 0.270% | | | | 01/10/11 | | | | 4,000 | | | | 3,999,730 | |
Reckitt Benckiser TSY, 144A(b) | | | | | | | 0.320% | | | | 02/02/11 | | | | 1,000 | | | | 999,716 | |
Reckitt Benckiser TSY, 144A(b) | | | | | | | 0.320% | | | | 02/04/11 | | | | 4,000 | | | | 3,998,791 | |
Standard Chartered Bank, 144A(b) | | | | | | | 0.300% | | | | 02/01/11 | | | | 13,000 | | | | 12,996,642 | |
Straight-A Funding LLC, 144A(b) | | | | | | | 0.260% | | | | 01/24/11 | | | | 9,000 | | | | 8,998,505 | |
Straight-A Funding LLC, 144A(b) | | | | | | | 0.230% | | | | 01/26/11 | | | | 5,000 | | | | 4,999,201 | |
Straight-A Funding LLC, 144A(b) | | | | | | | 0.260% | | | | 02/03/11 | | | | 4,876 | | | | 4,874,838 | |
Swedbank AB(b) | | | | | | | 0.370% | | | | 01/31/11 | | | | 30,000 | | | | 29,990,750 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Interest
Rate
| | | Maturity
Date
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
| | | | | | | | | | | | | | | | | | | | | |
Commercial Paper (continued) | | | | | | | | | | | | | | | | | | | | |
Toyota Motor Credit Corp., 144A(b) | | | | | | | 0.320% | | | | 01/27/11 | | | $ | 2,000 | | | $ | 1,999,538 | |
Toyota Motor Credit Corp.(b) | | | | | | | 0.290% | | | | 03/03/11 | | | | 11,000 | | | | 10,994,595 | |
U.S. Bank National Association(b) | | | | | | | 0.290% | | | | 01/31/11 | | | | 18,000 | | | | 17,995,650 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 506,013,227 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Other Corporate Obligations — 3.0% | | | | | | | | | | | | | | | | | | | | |
Bank of America N.A., Sr. Notes(a) | | | | | | | 0.361% | | | | 01/27/11 | | | | 20,000 | | | | 20,000,000 | |
General Electric Capital Corp., Gtd., FDIC Gtd. Notes, MTN | | | | | | | 1.800% | | | | 03/11/11 | | | | 6,000 | | | | 6,018,438 | |
Rabobank Nederland NV/New York(a) | | | | | | | 0.352% | | | | 09/13/11 | | | | 8,000 | | | | 8,000,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 34,018,438 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Time Deposit — 1.1% | | | | | | | | | | | | | | | | | | | | |
U.S. Bank National Association (EURO) | | | | | | | 0.250% | | | | 01/03/11 | | | | 12,000 | | | | 12,000,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
U.S. Government Agencies — 29.0% | | | | | | | | | | | | | | | | | | | | |
Federal Farm Credit Bank(a) | | | | | | | 0.171% | | | | 06/28/11 | | | | 5,000 | | | | 4,998,383 | |
Federal Farm Credit Bank(a) | | | | | | | 0.265% | | | | 10/07/11 | | | | 15,000 | | | | 15,003,494 | |
Federal Home Loan Bank | | | | | | | 0.400% | | | | 01/04/11 | | | | 5,000 | | | | 4,999,994 | |
Federal Home Loan Bank | | | | | | | 0.375% | | | | 01/06/11 | | | | 6,000 | | | | 5,999,975 | |
Federal Home Loan Bank(b) | | | �� | | | | 0.170% | | | | 01/12/11 | | | | 9,000 | | | | 8,999,532 | |
Federal Home Loan Bank(a) | | | | | | | 0.166% | | | | 07/20/11 | | | | 15,000 | | | | 14,997,491 | |
Federal Home Loan Bank(a) | | | | | | | 0.166% | | | | 07/25/11 | | | | 4,000 | | | | 3,998,750 | |
Federal Home Loan Bank(a) | | | | | | | 0.172% | | | | 08/12/11 | | | | 10,000 | | | | 9,995,990 | |
Federal Home Loan Bank(a) | | | | | | | 0.166% | | | | 08/25/11 | | | | 17,000 | | | | 16,992,785 | |
Federal Home Loan Bank(a) | | | | | | | 0.231% | | | | 09/26/11 | | | | 10,000 | | | | 10,001,134 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.260% | | | | 01/03/11 | | | | 34,000 | | | | 33,999,544 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.403% | | | | 01/10/11 | | | | 21,143 | | | | 21,140,870 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.240% | | | | 01/11/11 | | | | 30,000 | | | | 29,998,222 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.250% | | | | 01/19/11 | | | | 18,000 | | | | 17,997,915 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.195% | | | | 01/24/11 | | | | 7,000 | | | | 6,999,128 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.240% | | | | 01/31/11 | | | | 30,000 | | | | 29,994,000 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.192% | | | | 04/01/11 | | | | 32,000 | | | | 31,984,650 | |
Federal Home Loan Mortgage Corp.(b) | | | | | | | 0.230% | | | | 04/19/11 | | | | 7,000 | | | | 6,995,170 | |
Federal Home Loan Mortgage Corp., MTN(a) | | | | | | | 0.221% | | | | 09/19/11 | | | | 15,000 | | | | 15,000,020 | |
Federal National Mortgage Association(b) | | | | | | | 0.245% | | | | 01/19/11 | | | | 25,000 | | | | 24,997,187 | |
Federal National Mortgage Association(b) | | | | | | | 0.180% | | | | 02/14/11 | | | | 5,000 | | | | 4,998,900 | |
Federal National Mortgage Association(a) | | | | | | | 0.221% | | | | 09/19/11 | | | | 7,000 | | | | 7,000,266 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 327,093,400 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
U.S. Treasury Securities — 9.4% | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bill(b) | | | | | | | 0.132% | | | | 01/13/11 | | | | 49,000 | | | | 48,997,844 | |
U.S. Treasury Bill(b) | | | | | | | 0.145% | | | | 01/20/11 | | | | 24,000 | | | | 23,998,053 | |
U.S. Treasury Bill(b) | | | | | | | 0.198% | | | | 03/24/11 | | | | 10,000 | | | | 9,995,490 | |
U.S. Treasury Bill(b) | | | | | | | 0.255% | | | | 08/25/11 | | | | 11,000 | | | | 10,981,612 | |
U.S. Treasury Bill(b) | | | | | | | 0.250% | | | | 11/17/11 | | | | 7,000 | | | | 6,984,444 | |
U.S. Treasury Bill(b) | | | | | | | 0.295% | | | | 12/15/11 | | | | 5,000 | | | | 4,985,742 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 105,943,185 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Repurchase Agreement — 2.1% | | | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc.
0.250%, dated 12/31/10, due 01/03/11 in the amount of $23,959,499
(cost $23,959,000)(c) | | | | | | | 0.250% | | | | 01/03/11 | | | | 23,959 | | | | 23,959,000 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 100.0%
(amortized cost $1,127,026,982) | | | | 1,127,026,982 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | | 35,046 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,127,062,028 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| FDIC | | Federal Deposit Insurance Corp. |
| MTN | | Medium Term Note |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2010. |
| (b) | Rate quoted represents yield-to-maturity as of purchase date. |
| (c) | Repurchase agreement is collateralized by U.S. Government Agency issuance. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2— | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such Portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Certificates of Deposit | | $ | — | | | $ | 117,999,732 | | | $ | — | |
Commercial Paper | | | — | | | | 506,013,227 | | | | — | |
Other Corporate Obligations | | | — | | | | 34,018,438 | | | | — | |
Repurchase Agreement | | | — | | | | 23,959,000 | | | | — | |
Time Deposit | | | — | | | | 12,000,000 | | | | — | |
U.S. Government Agencies | | | — | | | | 327,093,400 | | | | — | |
U.S. Treasury Securities | | | — | | | | 105,943,185 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | — | | | $ | 1,127,026,982 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
��
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Commercial Paper | | | 44.9 | % |
U.S. Government Agencies | | | 29.0 | |
Certificates of Deposit | | | 10.5 | |
U.S. Treasury Securities | | | 9.4 | |
Other Corporate Obligations | | | 3.0 | |
Repurchase Agreement | | | 2.1 | |
Time Deposit | | | 1.1 | |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at amortized cost which approximates market value | | $ | 1,127,026,982 | |
Receivable for Series shares sold | | | 403,409 | |
Interest receivable | | | 116,127 | |
Prepaid expenses | | | 9,545 | |
| | |
|
|
|
Total Assets | | | 1,127,556,063 | |
| | |
|
|
|
| LIABILITIES | | | | |
Accrued expenses and other liabilities | | | 316,741 | |
Management fee payable | | | 105,936 | |
Payable for Series shares repurchased | | | 60,322 | |
Payable to custodian | | | 10,159 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 494,035 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,127,062,028 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,127,062,028 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 1,127,062,028 | |
| | |
|
|
|
Net asset value and redemption price per share, $1,127,062,028/112,703,224 outstanding shares of beneficial interest | | $ | 10.00 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Interest | | $ | 3,286,229 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 4,649,233 | |
Shareholders’ reports | | | 304,000 | |
Custodian’s fees and expenses | | | 124,000 | |
Insurance expenses | | | 22,000 | |
Trustees’ fees | | | 21,000 | |
Audit fee | | | 19,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Legal fees and expenses | | | 8,000 | |
Miscellaneous | | | 9,420 | |
| | |
|
|
|
Total expenses | | | 5,167,653 | |
Less: Management fee waiver (Note 3) | | | (2,240,281 | ) |
| | |
|
|
|
Net expenses | | | 2,927,372 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 358,857 | |
| | |
|
|
|
| NET REALIZED GAIN ON INVESTMENT TRANSACTIONS | | | 37,109 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 395,966 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 358,857 | | | $ | 5,551,774 | |
Net realized gain on investments transactions | | | 37,109 | | | | 87,871 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 395,966 | | | | 5,639,645 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (395,966 | ) | | | (5,639,645 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [30,750,286 and 28,709,615 shares, respectively] | | | 307,502,858 | | | | 287,096,151 | |
Series shares issued in reinvestment of distributions [39,595 and 563,962 shares, respectively] | | | 395,966 | | | | 5,639,645 | |
Series shares repurchased [40,424,384 and 55,911,624 shares, respectively] | | | (404,243,840 | ) | | | (559,116,243 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (96,345,016 | ) | | | (266,380,447 | ) |
| | |
|
|
| |
|
|
|
| CAPITAL CONTRIBUTIONS (Note 7) | | | | | | | | |
Proceeds from regulatory settlement | | | 29,738 | | | | — | |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (96,315,278 | ) | | | (266,380,447 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,223,377,306 | | | | 1,489,757,753 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,127,062,028 | | | $ | 1,223,377,306 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 99.0% | | | | |
| COMMON STOCKS — 99.0% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Chemicals — 0.5% | | | | | | | | |
Potash Corp. of Saskatchewan, Inc. | | | 44,485 | | | $ | 6,887,613 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 17.7% | | | | | | | | |
Baker Hughes, Inc. | | | 179,750 | | | | 10,276,308 | |
Cameron International Corp.(a) | | | 564,503 | | | | 28,637,237 | |
Complete Production Services, Inc.(a) | | | 181,923 | | | | 5,375,825 | |
Dresser-Rand Group, Inc.(a) | | | 174,800 | | | | 7,444,732 | |
DRIL-QUIP, Inc.(a) | | | 262,662 | | | | 20,414,091 | |
FMC Technologies, Inc.(a) | | | 199,752 | | | | 17,759,950 | |
Halliburton Co. | | | 730,165 | | | | 29,812,637 | |
Helmerich & Payne, Inc. | | | 221,578 | | | | 10,742,101 | |
Integra Group Holdings (Russia), GDR(a) | | | 749,950 | | | | 2,662,322 | |
Key Energy Services, Inc.(a) | | | 251,815 | | | | 3,268,559 | |
Lufkin Industries, Inc. | | | 55,954 | | | | 3,490,970 | |
Nabors Industries Ltd.(a) | | | 80,522 | | | | 1,889,046 | |
National Oilwell Varco, Inc. | | | 442,500 | | | | 29,758,125 | |
Noble Corp. | | | 297,327 | | | | 10,635,387 | |
OSX Brasil SA (Brazil), 144A(a)(b) | | | 16,500 | | | | 4,800,904 | |
Patterson-UTI Energy, Inc. | | | 194,550 | | | | 4,192,552 | |
Schlumberger Ltd. | | | 380,658 | | | | 31,784,943 | |
Tenaris SA (Luxembourg), ADR(c) | | | 299,470 | | | | 14,668,041 | |
Transocean Ltd.(a)(c) | | | 10,618 | | | | 738,057 | |
Weatherford International Ltd.(a) | | | 113,146 | | | | 2,579,729 | |
| | | | | | |
|
|
|
| | | | | | | | 240,931,516 | |
| | | | | | |
|
|
|
Food Products — 0.1% | | | | | | | | |
Agrenco Ltd. (Brazil), 144A(a)(b) | | | 1,166,700 | | | | 812,473 | |
| | | | | | |
|
|
|
Metals & Mining — 34.2% | | | | | | | | |
African Rainbow Minerals Ltd.
(South Africa) | | | 305,350 | | | | 9,738,753 | |
Agnico-Eagle Mines Ltd. | | | 171,183 | | | | 13,129,736 | |
Alcoa, Inc. | | | 385,205 | | | | 5,928,305 | |
Anatolia Minerals Development Ltd.(a)(c) | | | 554,076 | | | | 4,296,416 | |
AXMIN, Inc. (Canada)(a) | | | 1,556,200 | | | | 211,291 | |
Barrick Gold Corp. | | | 39,952 | | | | 2,124,647 | |
BHP Billiton Ltd. (Australia), ADR(c) | | | 160,520 | | | | 14,915,518 | |
Boliden AB (Sweden) | | | 77,438 | | | | 1,573,941 | |
Century Aluminum Co.(a) | | | 447,197 | | | | 6,944,970 | |
Cia de Minas Buenaventura SA
(Peru), ADR | | | 334,343 | | | | 16,369,433 | |
Cliffs Natural Resources, Inc. | | | 326,830 | | | | 25,496,008 | |
Detour Gold Corp. (Canada)(a) | | | 153,028 | | | | 4,492,495 | |
Eldorado Gold Corp. (Canada) | | | 1,192,788 | | | | 22,193,079 | |
European Goldfields Ltd. (Canada)(a) | | | 658,550 | | | | 9,226,191 | |
First Quantum Minerals Ltd. (Canada)(c) | | | 234,317 | | | | 25,451,309 | |
First Uranium Corp. (South Africa), 144A(a) | | | 400,000 | | | | 539,073 | |
First Uranium Corp. (South Africa)(a)(c) | | | 61,100 | | | | 82,343 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 292,621 | | | | 35,140,856 | |
Fronteer Gold, Inc.(a) | | | 443,500 | | | | 5,202,255 | |
Gabriel Resources Ltd. (Canada)(a)(c) | | | 607,284 | | | | 4,855,585 | |
| | | | | | | | |
| COMMON STOCKS | | | | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Gold Reserve, Inc.(a) | | | 121,100 | | | $ | 220,402 | |
Gold Reserve, Inc. (Canada) (a) | | | 124,300 | | | | 225,023 | |
Goldcorp, Inc. | | | 314,533 | | | | 14,462,227 | |
Hecla Mining Co.(a)(c) | | | 1,209,782 | | | | 13,622,145 | |
Highland Gold Mining Ltd.
(United Kingdom)(a) | | | 195,600 | | | | 574,083 | |
Iamgold Corp. (Canada) | | | 119,296 | | | | 2,129,643 | |
Impala Platinum Holdings Ltd.
(South Africa), ADR | | | 410,231 | | | | 14,518,075 | |
Kinross Gold Corp. | | | 955,785 | | | | 18,121,684 | |
MMX Mineracao e Metalicos SA (Brazil)(a) | | | 1,158,687 | | | | 7,838,587 | |
Nevsun Resources Ltd. (Canada)(a) | | | 1,000,400 | | | | 7,475,583 | |
Newcrest Mining Ltd. (Australia) | | | 361,382 | | | | 14,947,467 | |
Newmont Mining Corp. | | | 218,423 | | | | 13,417,725 | |
Northern Dynasty Minerals Ltd.(a)(c) | | | 345,300 | | | | 4,934,337 | |
Nucor Corp. | | | 45,371 | | | | 1,988,157 | |
Pan American Silver Corp. | | | 289,210 | | | | 11,918,344 | |
Pan American Silver Corp. (Canada) | | | 120,258 | | | | 4,950,377 | |
Platmin Ltd. (South Africa), 144A(a) | | | 129,100 | | | | 115,558 | |
Quadra FNX Mining Ltd. (Canada)(a) | | | 150,162 | | | | 2,529,632 | |
Randgold Resources Ltd. (Jersey Islands), ADR | | | 203,737 | | | | 16,773,667 | |
Rio Tinto PLC
(United Kingdom), ADR(c) | | | 213,701 | | | | 15,313,814 | |
Seabridge Gold, Inc.(a)(c) | | | 124,500 | | | | 3,819,660 | |
SEMAFO, Inc. (Canada), 144A(a) | | | 1,126,530 | | | | 12,179,621 | |
Silver Wheaton Corp.(a)(c) | | | 428,085 | | | | 16,712,438 | |
Southern Copper Corp. | | | 192,302 | | | | 9,372,800 | |
Sterlite Industries India Ltd.
(India), ADR | | | 787,634 | | | | 13,027,466 | |
Tahoe Resources, Inc., 144A(a) | | | 116,000 | | | | 1,714,976 | |
Tahoe Resources, Inc. | | | 55,509 | | | | 820,660 | |
Vale SA (Brazil), ADR | | | 624,665 | | | | 21,594,669 | |
Vedanta Resources PLC
(United Kingdom) | | | 55,730 | | | | 2,186,972 | |
Western Areas NL (Australia)(c) | | | 358,700 | | | | 2,190,260 | |
Xstrata PLC (Switzerland) | | | 343,344 | | | | 8,059,002 | |
| | | | | | |
|
|
|
| | | | | | | | 465,667,258 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 45.8% | | | | | |
Advantage Oil & Gas Ltd.
REG D(Canada)(a) | | | 332,000 | | | | 2,257,186 | |
Alpha Natural Resources, Inc.(a) | | | 408,182 | | | | 24,503,166 | |
Anadarko Petroleum Corp. | | | 309,465 | | | | 23,568,854 | |
Apache Corp. | | | 215,286 | | | | 25,668,550 | |
Bankers Petroleum Ltd. (Canada)(a) | | | 731,400 | | | | 5,590,506 | |
BG Group PLC (United Kingdom) | | | 806,634 | | | | 16,298,685 | |
Brigham Exploration Co.(a) | | | 176,251 | | | | 4,801,077 | |
Cabot Oil & Gas Corp. | | | 313,684 | | | | 11,872,939 | |
Cairn Energy PLC (United Kingdom)(a) | | | 1,761,981 | | | | 11,537,761 | |
Cameco Corp. (Canada) | | | 442,843 | | | | 17,948,882 | |
Canadian Natural Resources Ltd. | | | 463,386 | | | | 20,583,606 | |
Carrizo Oil & Gas, Inc.(a) | | | 170,149 | | | | 5,868,439 | |
Cimarex Energy Co. | | | 110,729 | | | | 9,802,838 | |
Cobalt International Energy, Inc.(a) | | | 330,000 | | | | 4,029,300 | |
Concho Resources, Inc.(a) | | | 325,565 | | | | 28,542,284 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| COMMON STOCKS | | | | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Oil, Gas & Consumable Fuels (continued) | | | | | |
Denbury Resources, Inc.(a)(c) | | | 579,309 | | | $ | 11,059,009 | |
EOG Resources, Inc. | | | 169,211 | | | | 15,467,578 | |
EQT Corp. | | | 267,455 | | | | 11,992,682 | |
Exxon Mobil Corp. | | | 14,736 | | | | 1,077,496 | |
Far East Energy Corp.(a) | | | 4,866,388 | | | | 3,406,472 | |
Forest Oil Corp.(a) | | | 155,986 | | | | 5,922,788 | |
Hess Corp. | | | 130,207 | | | | 9,966,044 | |
HRT Participacoes em Patrole (Brazil)(a) | | | 2,476 | | | | 2,371,590 | |
HRT Particpacoes em Patrole SA (Brazil), 144A(a) | | | 3,700 | | | | 3,543,976 | |
Linc Energy Ltd. (Australia), 144A | | | 1,587,500 | | | | 4,302,784 | |
Meg Energy Corp. (Canada), 144A(a) | | | 131,600 | | | | 6,020,803 | |
Murphy Oil Corp. | | | 176,646 | | | | 13,168,959 | |
Newfield Exploration Co.(a) | | | 294,703 | | | | 21,251,033 | |
Niko Resources Ltd. (Canada) | | | 71,736 | | | | 7,444,152 | |
Noble Energy, Inc. | | | 282,603 | | | | 24,326,466 | |
Occidental Petroleum Corp. | | | 251,839 | | | | 24,705,406 | |
OGX Petroleo e Gas Participacoes SA (Brazil)(a) | | | 2,014,853 | | | | 24,275,337 | |
Oil Search Ltd. (Papua New Guinea) | | | 1,037,391 | | | | 7,469,733 | |
OPTI Canada, Inc. (Canada)(a) | | | 508,148 | | | | 342,411 | |
Pacific Rubiales Energy Corp. (Canada) | | | 1,050,213 | | | | 35,647,882 | |
Petrohawk Energy Corp.(a) | | | 564,984 | | | | 10,310,958 | |
Petroleo Brasileiro SA (Brazil), ADR | | | 305,165 | | | | 11,547,444 | |
Plains Exploration & Production Co.(a) | | | 71,760 | | | | 2,306,366 | |
Range Resources Corp. | | | 324,982 | | | | 14,617,690 | |
Reliance Industries Ltd. (India), GDR, 144A | | | 240,132 | | | | 11,411,073 | |
Rosetta Resources, Inc.(a) | | | 214,071 | | | | 8,057,632 | |
Southwestern Energy Co.(a) | | | 609,248 | | | | 22,804,153 | |
Suncor Energy, Inc. | | | 308,908 | | | | 11,828,087 | |
Sunoco, Inc. | | | 13,883 | | | | 559,624 | |
Talisman Energy, Inc. | | | 746,671 | | | | 16,568,630 | |
Trident Resources Corp. (Canada), | | | | | | | | |
Private Placement (original cost $9,770,532; purchased 6/30/2010)(a)(b)(d) | | | 24,233 | | | | 13,500,943 | |
Ultra Petroleum Corp.(a)(c) | | | 344,097 | | | | 16,437,514 | |
Whiting Petroleum Corp.(a) | | | 145,489 | | | | 17,049,856 | |
Woodside Petroleum Ltd. (Australia) | | | 277,550 | | | | 12,081,832 | |
Zodiac Exploration, Inc. (Canada)(a) | | | 11,600,000 | | | | 8,166,549 | |
| | | | | | |
|
|
|
| | | | | | | | 623,885,025 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 0.3% | |
Yingli Green Energy Holding Co. Ltd. (China), ADR(a)(c) | | | 397,374 | | | | 3,926,055 | |
| | | | | | |
|
|
|
| | | | | | | | |
| COMMON STOCKS | | | | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Transportation Infrastructure — 0.4% | |
LLX Logistica SA (Brazil)(a) | | | 1,186,962 | | | $ | 3,382,127 | |
Portx Operacoes Portuarias SA (Brazil)(a) | | | 1,186,962 | | | | 2,652,788 | |
| | | | | | |
|
|
|
| | | | | | | | 6,034,915 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $746,214,595) | | | | | | | 1,348,144,855 | |
| | | | | | |
|
|
|
| | |
| | | Units
| | | | |
RIGHTS | | | | | | | | |
Oil, Gas & Consumable Fuels | | | | | | | | |
Trident Resources Corp. (Canada), Private Placement (original cost $0; purchased 6/30/2010)(a)(b)(d) | | | 9,007 | | | | — | (e) |
| | | | | | |
|
|
|
WARRANTS | | | | | | | | |
Metals & Mining | | | | | | | | |
Crystallex International Corp. Warrant (Canada), Private Placement, expiring 11/4/14 (original cost $0; purchased 11/04/09)(a)(b)(d) | | | 221,350 | | | | — | (e) |
| | | | | | |
|
|
|
Zodiac Exploration Corp. (Canada), Private Placement, expiring 2/10/12 (original cost $0; purchased 8/08/08)(a)(b)(d) | | | 8,000,000 | | | | — | (e) |
| | | | | | |
|
|
|
TOTAL WARRANTS
(cost $0) | | | | — | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $746,214,595) | | | | 1,348,144,855 | |
| | | | | | |
|
|
|
| | |
| | | Shares
| | | | |
| SHORT-TERM INVESTMENT — 8.5% | |
Affiliated Money Market Mutual Fund | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $115,051,382; includes $103,037,902 of cash collateral received for securities on loan)(Note 4)(f)(g) | | | 115,051,382 | | | $ | 115,051,382 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS(h) — 107.5%
(cost $861,265,977) | | | | 1,463,196,237 | |
| | | | | | |
|
|
|
LIABILITIES IN EXCESS OF
OTHER ASSETS — (7.5)% | | | | (101,790,543 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,361,405,694 | |
| | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
| ADR | | American Depositary Receipt |
| GDR | | Global Depositary Receipt |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (a) | Non-income producing security. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $99,475,965; cash collateral of $103,037,902 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (d) | Indicates a restricted security; the aggregate original cost of such securities is $9,770,532. The aggregate value of $13,500,943 is approximately 1.0% of net assets. |
| (f) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (g) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2-Prudential Core Taxable Money Market Fund. |
| (h) | As of December 31, 2010, 5 securities representing $14,313,416 and 1.1% of the net assets were fair valued in accordance with the policies adopted by the Board of Trustees. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,333,831,439 | | | $ | — | | | $ | 14,313,416 | |
Rights | | | — | | | | — | | | | — | (a) |
Warrants | | | — | | | | — | | | | — | (a) |
Affiliated Money Market Mutual Fund | | | 115,051,382 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,448,882,821 | | | $ | — | | | $ | 14,313,416 | |
| | |
|
|
| |
|
|
| |
|
|
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | |
| | | Common
Stocks
| | | Corporate
Bond
| |
Balance as of 12/31/09 | | $ | 6,058,238 | | | $ | — | |
Realized gain (loss) | | | (2,101,426 | ) | | | (16,958,563 | ) |
Change in unrealized appreciation (depreciation)* | | | 4,734,433 | | | | 16,937,913 | |
Purchases | | | 9,770,532 | | | | — | |
Sales | | | (6,058,238 | ) | | | — | |
Accrued discount/premium | | | — | | | | 20,650 | |
Transfers into Level 3 | | | 1,909,877 | | | | — | |
Transfers out of Level 3 | | | — | | | | — | |
| | |
|
|
| |
|
|
|
Balance as of 12/31/10 | | $ | 14,313,416 | | | $ | — | |
| | |
|
|
| |
|
|
|
| * | Of which, $2,633,007 was included in Net Assets relating to securities held at the reporting period end. |
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.
Fair value of Level 3 Common Stocks of $1,909,877 was transferred into Level 3 at 12/31/10 as a result of a suspended exchange—traded security being fair valued in accordance with the Board of Trustees’ approved fair valuation procedures.
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 45.8 | % |
Metals & Mining | | | 34.2 | |
Energy Equipment & Services | | | 17.7 | |
Affiliated Money Market Mutual Fund (including 7.6% of collateral received for securities on loan) | | | 8.5 | |
Chemicals | | | 0.5 | |
Transportation Infrastructure | | | 0.4 | |
Semiconductors & Semiconductor Equipment | | | 0.3 | |
Food Products | | | 0.1 | |
| | |
|
|
|
| | | | 107.5 | |
Liabilities in excess of other assets | | | (7.5 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | | | |
Derivatives not designated as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | | Fair
Value
| | | Balance Sheet Location
| | Fair Value
| |
Equity contracts | | | Unaffiliated investments | | | $ | — | * | | — | | $ | — | |
| | | | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as
hedging instruments, carried at
fair value
| | Rights
| |
Equity contracts | | $ | 3,847 | |
| | |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated
as hedging instruments, carried at
fair value
| | Warrants
| |
Equity contracts | | $ | — | * |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $99,475,965: | | | | |
Unaffiliated investments (cost $746,214,595) | | $ | 1,348,144,855 | |
Affiliated investments (cost $115,051,382) | | | 115,051,382 | |
Cash | | | 233,009 | |
Foreign currency, at value (cost $9) | | | 9 | |
Receivable for Series shares sold | | | 1,491,328 | |
Dividends and interest receivable | | | 365,910 | |
Foreign tax reclaim receivable | | | 46,203 | |
Prepaid expenses | | | 8,300 | |
| | |
|
|
|
Total Assets | | | 1,465,340,996 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 103,037,902 | |
Management fee payable | | | 504,873 | |
Accrued expenses and other liabilities | | | 215,831 | |
Payable for Series shares repurchased | | | 143,625 | |
Distribution fee payable | | | 20,118 | |
Administration fee payable | | | 12,076 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 103,935,302 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,361,405,694 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 819,675,622 | |
Retained earnings | | | 541,730,072 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 1,361,405,694 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $1,259,493,506 / 26,609,201 outstanding shares of beneficial interest | | $ | 47 .33 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $101,912,188 / 2,169,218 outstanding shares of beneficial interest | | $ | 46 .98 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $205,407) | | $ | 7,762,322 | |
Affiliated income from securities loaned, net | | | 347,521 | |
Affiliated dividend income | | | 38,573 | |
Interest | | | 20,930 | |
| | |
|
|
|
| | | | 8,169,346 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 5,146,607 | |
Distribution fee—Class II | | | 219,860 | |
Administration fee—Class II | | | 131,916 | |
Custodian’s fees and expenses | | | 230,000 | |
Shareholders’ reports | | | 193,000 | |
Trustees’ fees | | | 20,000 | |
Audit fee | | | 19,000 | |
Legal fees and expenses | | | 18,000 | |
Insurance expenses | | | 16,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Commitment fee on syndicated credit agreement | | | 11,000 | |
Loan interest expense (Note 8) | | | 652 | |
Miscellaneous | | | 14,374 | |
| | |
|
|
|
Total expenses | | | 6,031,409 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 2,137,937 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 27,123,900 | |
Foreign currency transactions | | | (421,886 | ) |
| | |
|
|
|
| | | | 26,702,014 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: Investments | | | 265,698,873 | |
Foreign currencies | | | 253 | |
| | |
|
|
|
| | | | 265,699,126 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 292,401,140 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 294,539,077 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | | | | | | | | |
Net investment income | | $ | 2,137,937 | | | $ | 4,539,482 | |
Net realized gain (loss) on investments and foreign currencies | | | 26,702,014 | | | | (66,710,351 | ) |
Net change in unrealized appreciation on investments and foreign currencies | | | 265,699,126 | | | | 594,998,306 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 294,539,077 | | | | 532,827,437 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | (4,476,261 | ) | | | (111,232,160 | ) |
Class II | | | (63,676 | ) | | | (8,100,142 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | (4,539,937 | ) | | | (119,332,302 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 59,180,958 | | | | 70,044,110 | |
Series shares issued in reinvestment of distributions | | | 4,539,937 | | | | 119,332,302 | |
Series shares repurchased | | | (164,454,211 | ) | | | (150,451,214 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (100,733,316 | ) | | | 38,925,198 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 189,265,824 | | | | 452,420,333 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,172,139,870 | | | | 719,719,537 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,361,405,694 | | | $ | 1,172,139,870 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.6% | |
| COMMON STOCKS — 97.1% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 3.0% | | | | | | | | |
AAR Corp.(a)(b) | | | 46,571 | | | $ | 1,279,305 | |
Aerovironment, Inc.(b) | | | 17,814 | | | | 477,950 | |
American Science & Engineering, Inc. | | | 10,716 | | | | 913,325 | |
Applied Signal Technology, Inc. | | | 15,900 | | | | 602,451 | |
Ceradyne, Inc.(b) | | | 29,505 | | | | 930,293 | |
Cubic Corp. | | | 18,773 | | | | 885,147 | |
Curtiss-Wright Corp. | | | 54,702 | | | | 1,816,106 | |
Esterline Technologies Corp.(b) | | | 35,701 | | | | 2,448,731 | |
GenCorp, Inc.(a)(b) | | | 69,975 | | | | 361,771 | |
Moog, Inc. (Class A Stock)(b) | | | 53,894 | | | | 2,144,981 | |
National Presto Industries, Inc. | | | 6,199 | | | | 805,932 | |
Orbital Sciences Corp.(b) | | | 68,740 | | | | 1,177,516 | |
Teledyne Technologies, Inc.(b) | | | 43,096 | | | | 1,894,931 | |
Triumph Group, Inc. | | | 19,543 | | | | 1,747,340 | |
| | | | | | |
|
|
|
| | | | | | | | 17,485,779 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.4% | | | | | | | | |
Forward Air Corp. | | | 34,456 | | | | 977,861 | |
HUB Group, Inc. (Class A Stock)(b) | | | 44,270 | | | | 1,555,648 | |
| | | | | | |
|
|
|
| | | | | | | | 2,533,509 | |
| | | | | | |
|
|
|
Airlines — 0.3% | | | | | | | | |
Allegiant Travel Co. (Class A Stock)(a) | | | 17,794 | | | | 876,177 | |
SkyWest, Inc. | | | 65,260 | | | | 1,019,361 | |
| | | | | | |
|
|
|
| | | | | | | | 1,895,538 | |
| | | | | | |
|
|
|
Auto Components — 0.3% | | | | | | | | |
Drew Industries, Inc. | | | 22,689 | | | | 515,494 | |
Spartan Motors, Inc. | | | 38,583 | | | | 234,971 | |
Standard Motor Products, Inc. | | | 23,099 | | | | 316,456 | |
Superior Industries International, Inc. | | | 27,518 | | | | 583,932 | |
| | | | | | |
|
|
|
| | | | | | | | 1,650,853 | |
| | | | | | |
|
|
|
Automobiles — 0.1% | | | | | | | | |
Winnebago Industries(b) | | | 34,531 | | | | 524,871 | |
| | | | | | |
|
|
|
Beverages — 0.2% | | | | | | | | |
Boston Beer Co., Inc. (Class A Stock)(b) | | | 10,825 | | | | 1,029,349 | |
| | | | | | |
|
|
|
Biotechnology — 1.2% | | | | | | | | |
ArQule, Inc.(b) | | | 44,201 | | | | 259,460 | |
Cubist Pharmaceuticals, Inc.(b) | | | 70,369 | | | | 1,505,897 | |
Emergent Biosolutions, Inc.(b) | | | 25,557 | | | | 599,567 | |
Martek Biosciences Corp.(a)(b) | | | 39,661 | | | | 1,241,389 | |
Regeneron Pharmaceuticals, Inc.(a)(b) | | | 86,193 | | | | 2,829,716 | |
Savient Pharmaceuticals, Inc.(b) | | | 83,358 | | | | 928,608 | |
| | | | | | |
|
|
|
| | | | | | | | 7,364,637 | |
| | | | | | |
|
|
|
Building Products — 1.2% | | | | | | | | |
A.O. Smith Corp. | | | 39,684 | | | | 1,511,167 | |
AAON, Inc. | | | 14,156 | | | | 399,341 | |
Apogee Enterprises, Inc. | | | 33,338 | | | | 449,063 | |
Gibraltar Industries, Inc.(b) | | | 35,868 | | | | 486,729 | |
Griffon Corp.(b) | | | 55,229 | | | | 703,617 | |
NCI Building Systems, Inc.(b) | | | 19,918 | | | | 278,653 | |
Quanex Building Products Corp. | | | 44,588 | | | | 845,834 | |
Simpson Manufacturing Co., Inc. | | | 46,883 | | | | 1,449,153 | |
Universal Forest Products, Inc. | | | 22,864 | | | | 889,410 | |
| | | | | | |
|
|
|
| | | | | | | | 7,012,967 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Capital Markets — 0.9% | | | | | | | | |
Investment Technology Group, Inc.(b) | | | 49,666 | | | $ | 813,032 | |
LaBranche & Co., Inc.(b) | | | 42,686 | | | | 153,670 | |
optionsXpress Holdings, Inc. | | | 50,391 | | | | 789,627 | |
Piper Jaffray Cos.(b) | | | 18,965 | | | | 663,965 | |
Stifel Financial Corp.(a)(b) | | | 41,720 | | | | 2,588,309 | |
SWS Group, Inc. | | | 34,626 | | | | 174,861 | |
TradeStation Group, Inc.(b) | | | 47,404 | | | | 319,977 | |
| | | | | | |
|
|
|
| | | | | | | | 5,503,441 | |
| | | | | | |
|
|
|
Chemicals — 2.0% | | | | | | | | |
A. Schulman, Inc. | | | 37,366 | | | | 855,308 | |
American Vanguard Corp. | | | 25,348 | | | | 216,472 | |
Arch Chemicals, Inc. | | | 29,860 | | | | 1,132,590 | |
Balchem Corp. | | | 33,883 | | | | 1,145,584 | |
Calgon Carbon Corp.(a)(b) | | | 66,754 | | | | 1,009,320 | |
HB Fuller Co. | | | 58,118 | | | | 1,192,581 | |
LSB Industries, Inc.(a)(b) | | | 19,300 | | | | 468,218 | |
OM Group, Inc.(b) | | | 36,656 | | | | 1,411,623 | |
Penford Corp.(b) | | | 13,425 | | | | 82,027 | |
PolyOne Corp.(b) | | | 110,902 | | | | 1,385,166 | |
Quaker Chemical Corp. | | | 13,498 | | | | 562,462 | |
Stepan Co. | | | 9,185 | | | | 700,540 | |
STR Holdings, Inc.(a)(b) | | | 49,000 | | | | 980,000 | |
Zep, Inc. | | | 25,807 | | | | 513,043 | |
| | | | | | |
|
|
|
| | | | | | | | 11,654,934 | |
| | | | | | |
|
|
|
Commercial Banks — 5.8% | | | | | | | | |
Bank of The Ozarks, Inc. | | | 15,518 | | | | 672,705 | |
Boston Private Financial Holdings, Inc. | | | 90,702 | | | | 594,098 | |
City Holding Co.(a) | | | 18,344 | | | | 664,603 | |
Columbia Banking System, Inc. | | | 46,608 | | | | 981,565 | |
Community Bank System, Inc. | | | 39,396 | | | | 1,094,027 | |
First Bancorp (Puerto Rico)(a)(b) | | | 379,089 | | | | 174,381 | |
First Commonwealth Financial Corp. | | | 111,910 | | | | 792,323 | |
First Financial Bancorp(a) | | | 68,803 | | | | 1,271,479 | |
First Financial Bankshares, Inc. | | | 24,793 | | | | 1,268,906 | |
First Midwest Bancorp, Inc. | | | 87,840 | | | | 1,011,917 | |
Glacier Bancorp, Inc. | | | 85,273 | | | | 1,288,475 | |
Hancock Holding Co. | | | 34,992 | | | | 1,219,821 | |
Hanmi Financial Corp.(b) | | | 179,384 | | | | 206,292 | |
Home Bancshares, Inc. | | | 25,952 | | | | 571,723 | |
Independent Bank Corp. | | | 25,106 | | | | 679,117 | |
Nara Bancorp, Inc.(b) | | | 44,982 | | | | 441,723 | |
National Penn Bancshares, Inc. | | | 149,576 | | | | 1,201,095 | |
NBT Bancorp, Inc. | | | 40,910 | | | | 987,977 | |
Old National Bancorp | | | 112,247 | | | | 1,334,617 | |
Pinnacle Financial Partners, Inc.(b) | | | 39,871 | | | | 541,448 | |
PrivateBancorp, Inc. (Class A Stock) | | | 69,449 | | | | 998,677 | |
S&T Bancorp, Inc.(a) | | | 29,373 | | | | 663,536 | |
Signature Bank(a)(b) | | | 48,140 | | | | 2,407,000 | |
Simmons First National Corp.
(Class A Stock) | | | 20,478 | | | | 583,623 | |
Sterling Bancorp | | | 31,754 | | | | 332,464 | |
Sterling Bancshares, Inc. | | | 120,875 | | | | 848,543 | |
Susquehanna Bancshares, Inc. | | | 153,909 | | | | 1,489,839 | |
Texas Capital Bancshares, Inc.(b) | | | 43,600 | | | | 927,372 | |
Tompkins Financial Corp. | | | 9,864 | | | | 386,274 | |
UMB Financial Corp. | | | 35,472 | | | | 1,469,250 | |
Umpqua Holdings Corp. | | | 135,870 | | | | 1,654,897 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Commercial Banks (continued) | | | | | | | | |
United Bankshares, Inc.(a) | | | 45,497 | | | $ | 1,328,512 | |
United Community Banks, Inc.(a)(b) | | | 112,035 | | | | 218,468 | |
Whitney Holding Corp. | | | 114,647 | | | | 1,622,255 | |
Wilmington Trust Corp. | | | 108,500 | | | | 470,890 | |
Wilshire Bancorp, Inc. | | | 23,013 | | | | 175,359 | |
Wintrust Financial Corp. | | | 40,813 | | | | 1,348,053 | |
| | | | | | |
|
|
|
| | | | | | | | 33,923,304 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 2.4% | | | | | | | | |
ABM Industries, Inc. | | | 55,703 | | | | 1,464,989 | |
Consolidated Graphics, Inc.(b) | | | 12,057 | | | | 583,921 | |
G&K Services, Inc. (Class A Stock) | | | 22,219 | | | | 686,789 | |
Geo Group, Inc. (The)(b) | | | 76,473 | | | | 1,885,824 | |
Healthcare Services Group, Inc. | | | 78,176 | | | | 1,271,924 | |
Interface, Inc. (Class A Stock) | | | 76,202 | | | | 1,192,561 | |
Mobile Mini, Inc.(b) | | | 43,197 | | | | 850,549 | |
Standard Register Co. (The) | | | 15,032 | | | | 51,259 | |
Sykes Enterprises, Inc.(b) | | | 48,370 | | | | 979,976 | |
Tetra Tech, Inc.(b) | | | 73,288 | | | | 1,836,597 | |
Unifirst Corp. | | | 17,430 | | | | 959,522 | |
United Stationers, Inc.(b) | | | 27,521 | | | | 1,756,115 | |
Viad Corp. | | | 23,947 | | | | 609,930 | |
| | | | | | |
|
|
|
| | | | | | | | 14,129,956 | |
| | | | | | |
|
|
|
Communications Equipment — 2.3% | | | | | | | | |
Arris Group, Inc.(b) | | | 146,511 | | | | 1,643,853 | |
Bel Fuse, Inc. (Class B Stock) | | | 13,822 | | | | 330,346 | |
Black Box Corp. | | | 20,993 | | | | 803,822 | |
Blue Coat Systems, Inc.(b) | | | 51,250 | | | | 1,530,838 | |
Comtech Telecommunications Corp. | | | 32,759 | | | | 908,407 | |
DG FastChannel, Inc.(b) | | | 28,800 | | | | 831,744 | |
Digi International, Inc.(b) | | | 29,764 | | | | 330,380 | |
EMS Technologies, Inc.(b) | | | 18,133 | | | | 358,671 | |
Harmonic, Inc.(b) | | | 115,524 | | | | 990,041 | |
NETGEAR, Inc.(b) | | | 42,546 | | | | 1,432,949 | |
Network Equipment Technologies, Inc.(b) | | | 35,597 | | | | 164,814 | |
Oplink Communications, Inc.(b) | | | 23,200 | | | | 428,504 | |
PC-Tel, Inc.(b) | | | 21,884 | | | | 131,304 | |
Symmetricom, Inc.(b) | | | 51,447 | | | | 364,759 | |
Tekelec(b) | | | 81,327 | | | | 968,605 | |
Tollgrade Communications, Inc.(b) | | | 12,430 | | | | 115,350 | |
ViaSat, Inc.(a)(b) | | | 48,715 | | | | 2,163,433 | |
| | | | | | |
|
|
|
| | | | | | | | 13,497,820 | |
| | | | | | |
|
|
|
Computers & Peripherals — 0.9% | | | | | | | | |
Avid Technology, Inc.(b) | | | 34,347 | | | | 599,699 | |
Compellent Technologies, Inc.(b) | | | 27,559 | | | | 760,353 | |
Hutchinson Technology, Inc.(b) | | | 27,726 | | | | 102,863 | |
Intermec, Inc.(b) | | | 56,976 | | | | 721,316 | |
Intevac, Inc.(b) | | | 26,544 | | | | 371,881 | |
Novatel Wireless, Inc.(b) | | | 37,516 | | | | 358,278 | |
Stratasys, Inc.(a)(b) | | | 24,498 | | | | 799,615 | |
Super Micro Computer, Inc.(b) | | | 29,700 | | | | 342,738 | |
Synaptics, Inc.(b) | | | 40,479 | | | | 1,189,273 | |
| | | | | | |
|
|
|
| | | | | | | | 5,246,016 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.9% | | | | | | | | |
Comfort Systems USA, Inc. | | | 44,884 | | | | 591,122 | |
Dycom Industries, Inc.(b) | | | 41,631 | | | | 614,057 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Construction & Engineering (continued) | | | | | | | | |
EMCOR Group, Inc.(b) | | | 78,825 | | | $ | 2,284,349 | |
Insituform Technologies, Inc.
(Class A Stock)(b) | | | 46,537 | | | | 1,233,696 | |
Orion Marine Group, Inc.(b) | | | 31,900 | | | | 370,040 | |
| | | | | | |
|
|
|
| | | | | | | | 5,093,264 | |
| | | | | | |
|
|
|
Construction Materials — 0.6% | | | | | | | | |
Eagle Materials, Inc.(a) | | | 52,372 | | | | 1,479,509 | |
Headwaters, Inc.(b) | | | 71,768 | | | | 328,697 | |
Texas Industries, Inc.(a) | | | 33,023 | | | | 1,511,793 | |
| | | | | | |
|
|
|
| | | | | | | | 3,319,999 | |
| | | | | | |
|
|
|
Consumer Finance — 0.8% | | | | | | | | |
Cash America International, Inc. | | | 35,144 | | | | 1,297,868 | |
Ezcorp, Inc. (Class A Stock)(b) | | | 59,111 | | | | 1,603,681 | |
First Cash Financial Services, Inc.(b) | | | 35,925 | | | | 1,113,316 | |
World Acceptance Corp.(a)(b) | | | 18,552 | | | | 979,546 | |
| | | | | | |
|
|
|
| | | | | | | | 4,994,411 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.1% | | | | | | | | |
Myers Industries, Inc. | | | 41,820 | | | | 407,327 | |
| | | | | | |
|
|
|
Distributors — 0.3% | | | | | | | | |
Audiovox Corp. (Class A Stock)(b) | | | 21,957 | | | | 189,489 | |
Pool Corp. | | | 58,955 | | | | 1,328,846 | |
| | | | | | |
|
|
|
| | | | | | | | 1,518,335 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 1.3% | | | | | | | | |
American Public Education, Inc.(a)(b) | | | 21,333 | | | | 794,441 | |
Capella Education Co.(a)(b) | | | 19,686 | | | | 1,310,694 | |
Coinstar, Inc.(a)(b) | | | 37,631 | | | | 2,123,893 | |
Corinthian Colleges, Inc.(a)(b) | | | 100,100 | | | | 521,521 | |
Hillenbrand, Inc. | | | 73,848 | | | | 1,536,777 | |
Pre-Paid Legal Services, Inc.(a)(b) | | | 11,583 | | | | 697,876 | |
Universal Technical Institute, Inc. | | | 24,706 | | | | 544,026 | |
| | | | | | |
|
|
|
| | | | | | | | 7,529,228 | |
| | | | | | |
|
|
|
Diversified Financial Services — 0.4% | | | | | | | | |
Interactive Brokers Group, Inc.
(Class A Stock) | | | 50,100 | | | | 892,782 | |
Portfolio Recovery Associates, Inc.(b) | | | 20,319 | | | | 1,527,989 | |
| | | | | | |
|
|
|
| | | | | | | | 2,420,771 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 0.4% | | | | | |
Atlantic Tele-Network, Inc. | | | 10,800 | | | | 414,072 | |
Cbeyond, Inc.(a)(b) | | | 36,537 | | | | 558,285 | |
General Communication, Inc.
(Class A Stock)(b) | | | 46,224 | | | | 585,196 | |
Neutral Tandem, Inc.(a)(b) | | | 39,252 | | | | 566,799 | |
| | | | | | |
|
|
|
| | | | | | | | 2,124,352 | |
| | | | | | |
|
|
|
Electric Utilities — 1.1% | | | | | | | | |
ALLETE, Inc. | | | 36,997 | | | | 1,378,508 | |
Central Vermont Public Service Corp. | | | 15,578 | | | | 340,535 | |
El Paso Electric Co.(b) | | | 50,508 | | | | 1,390,485 | |
UIL Holdings Corp. | | | 59,811 | | | | 1,791,938 | |
Unisource Energy Corp. | | | 43,251 | | | | 1,550,116 | |
| | | | | | |
|
|
|
| | | | | | | | 6,451,582 | |
| | | | | | |
|
|
|
Electrical Equipment — 1.3% | | | | | | | | |
AZZ, Inc. | | | 14,821 | | | | 592,988 | |
Belden, Inc. | | | 55,712 | | | | 2,051,316 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Electrical Equipment (continued) | | | | | | | | |
Brady Corp. (Class A Stock) | | | 62,422 | | | $ | 2,035,582 | |
Encore Wire Corp.(a) | | | 22,531 | | | | 565,078 | |
II-VI, Inc.(b) | | | 30,131 | | | | 1,396,873 | |
Powell Industries, Inc.(b) | | | 10,572 | | | | 347,607 | |
Vicor Corp.(a) | | | 23,231 | | | | 380,988 | |
| | | | | | |
|
|
|
| | | | | | | | 7,370,432 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 3.8% | |
Agilysys, Inc.(b) | | | 23,232 | | | | 130,796 | |
Anixter International, Inc. | | | 33,464 | | | | 1,998,805 | |
Benchmark Electronics, Inc.(b) | | | 72,210 | | | | 1,311,334 | |
Brightpoint, Inc.(b) | | | 79,931 | | | | 697,798 | |
Checkpoint Systems, Inc.(b) | | | 47,039 | | | | 966,651 | |
Cognex Corp. | | | 47,540 | | | | 1,398,627 | |
CTS Corp. | | | 40,464 | | | | 447,532 | |
Daktronics, Inc. | | | 41,808 | | | | 665,583 | |
DTS, Inc.(b) | | | 20,385 | | | | 999,884 | |
Electro Scientific Industries, Inc.(b) | | | 28,241 | | | | 452,703 | |
FARO Technologies, Inc.(b) | | | 19,184 | | | | 630,003 | |
Gerber Scientific, Inc.(b) | | | 29,795 | | | | 234,487 | |
Insight Enterprises, Inc.(b) | | | 54,835 | | | | 721,629 | |
Littelfuse, Inc. | | | 26,425 | | | | 1,243,560 | |
LoJack Corp.(b) | | | 21,620 | | | | 139,665 | |
Mercury Computer Systems, Inc.(b) | | | 28,908 | | | | 531,329 | |
Methode Electronics, Inc. | | | 43,666 | | | | 566,348 | |
MTS Systems Corp. | | | 18,135 | | | | 679,337 | |
Newport Corp.(b) | | | 43,608 | | | | 757,471 | |
OSI Systems, Inc.(b) | | | 22,100 | | | | 803,556 | |
Park Electrochemical Corp. | | | 24,444 | | | | 733,320 | |
Plexus Corp.(b) | | | 48,020 | | | | 1,485,739 | |
Pulse Electronics Corp. | | | 49,139 | | | | 261,419 | |
RadiSys Corp.(b) | | | 28,735 | | | | 255,741 | |
Rofin-Sinar Technologies, Inc.(b) | | | 33,700 | | | | 1,194,328 | |
Rogers Corp.(b) | | | 18,831 | | | | 720,286 | |
Scansource, Inc.(b) | | | 31,733 | | | | 1,012,283 | |
SYNNEX Corp.(a)(b) | | | 28,050 | | | | 875,160 | |
TTM Technologies, Inc.(b) | | | 51,289 | | | | 764,719 | |
| | | | | | |
|
|
|
| | | | | | | | 22,680,093 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 3.1% | | | | | | | | |
Basic Energy Services, Inc.(b) | | | 27,317 | | | | 450,184 | |
Bristow Group, Inc.(b) | | | 42,955 | | | | 2,033,919 | |
CARBO Ceramics, Inc. | | | 22,498 | | | | 2,329,443 | |
Gulf Island Fabrication, Inc. | | | 16,977 | | | | 478,412 | |
Hornbeck Offshore Services, Inc.(b) | | | 27,615 | | | | 576,601 | |
ION Geophysical Corp.(b) | | | 180,845 | | | | 1,533,566 | |
Lufkin Industries, Inc. | | | 35,658 | | | | 2,224,703 | |
Matrix Service Co.(b) | | | 31,273 | | | | 380,905 | |
Oil States International, Inc.(b) | | | 60,026 | | | | 3,847,066 | |
Pioneer Drilling Co.(b) | | | 64,217 | | | | 565,752 | |
SEACOR Holdings, Inc. | | | 25,271 | | | | 2,554,645 | |
Seahawk Drilling, Inc.(b) | | | 14,097 | | | | 126,168 | |
Tetra Technologies, Inc.(b) | | | 90,341 | | | | 1,072,348 | |
| | | | | | |
|
|
|
| | | | | | | | 18,173,712 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.0% | | | | | | | | |
Andersons, Inc. (The) | | | 21,816 | | | | 793,012 | |
Casey’s General Stores, Inc. | | | 44,865 | | | | 1,907,211 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Food & Staples Retailing (continued) | | | | | | | | |
Nash Finch Co. | | | 14,432 | | | $ | 613,504 | |
Spartan Stores, Inc. | | | 26,788 | | | | 454,057 | |
United Natural Foods, Inc.(b) | | | 57,193 | | | | 2,097,839 | |
| | | | | | |
|
|
|
| | | | | | | | 5,865,623 | |
| | | | | | |
|
|
|
Food Products — 1.8% | | | | | | | | |
Calavo Growers, Inc. | | | 14,290 | | | | 329,385 | |
Cal-Maine Foods, Inc. | | | 15,895 | | | | 501,964 | |
Darling International, Inc.(b) | | | 97,820 | | | | 1,299,050 | |
Diamond Foods, Inc. | | | 26,057 | | | | 1,385,711 | |
Hain Celestial Group, Inc. (The)(b) | | | 50,815 | | | | 1,375,054 | |
J&J Snack Foods Corp. | | | 16,918 | | | | 816,124 | |
Sanderson Farms, Inc. | | | 22,935 | | | | 897,905 | |
Seneca Foods Corp. (Class A Stock)(b) | | | 10,800 | | | | 291,384 | |
Snyders-Lance, Inc. | | | 54,816 | | | | 1,284,887 | |
TreeHouse Foods, Inc.(a)(b) | | | 42,065 | | | | 2,149,101 | |
| | | | | | |
|
|
|
| | | | | | | | 10,330,565 | |
| | | | | | |
|
|
|
Gas Utilities — 1.8% | | | | | | | | |
Laclede Group, Inc. (The) | | | 26,414 | | | | 965,168 | |
New Jersey Resources Corp. | | | 48,904 | | | | 2,108,251 | |
Northwest Natural Gas Co. | | | 31,665 | | | | 1,471,473 | |
Piedmont Natural Gas Co., Inc. | | | 85,603 | | | | 2,393,460 | |
South Jersey Industries, Inc. | | | 35,422 | | | | 1,870,990 | |
Southwest Gas Corp. | | | 54,011 | | | | 1,980,583 | |
| | | | | | |
|
|
|
| | | | | | | | 10,789,925 | |
| | | | | | |
|
|
|
Healthcare Equipment & Supplies — 3.8% | | | | | | | | |
Abaxis, Inc.(b) | | | 26,512 | | | | 711,847 | |
Align Technology, Inc.(a)(b) | | | 80,557 | | | | 1,574,084 | |
American Medical Systems Holdings, Inc.(a)(b) | | | 90,682 | | | | 1,710,263 | |
Analogic Corp. | | | 15,233 | | | | 754,186 | |
Cantel Medical Corp. | | | 15,150 | | | | 354,510 | |
CONMED Corp.(b) | | | 33,349 | | | | 881,414 | |
Cooper Cos., Inc. (The)(a) | | | 54,195 | | | | 3,053,346 | |
CryoLife, Inc.(b) | | | 33,353 | | | | 180,773 | |
Cyberonics, Inc.(b) | | | 28,597 | | | | 887,079 | |
Greatbatch, Inc.(b) | | | 27,644 | | | | 667,603 | |
Haemonetics Corp.(a)(b) | | | 29,397 | | | | 1,857,302 | |
ICU Medical, Inc.(b) | | | 13,992 | | | | 510,708 | |
Integra LifeSciences Holdings Corp.(b) | | | 24,202 | | | | 1,144,755 | |
Invacare Corp. | | | 38,402 | | | | 1,158,204 | |
Kensey Nash Corp.(b) | | | 10,031 | | | | 279,163 | |
Meridian Bioscience, Inc. | | | 48,275 | | | | 1,118,049 | |
Merit Medical Systems, Inc.(b) | | | 33,559 | | | | 531,239 | |
Natus Medical, Inc.(b) | | | 34,225 | | | | 485,311 | |
Neogen Corp.(b) | | | 26,980 | | | | 1,106,989 | |
Palomar Medical Technologies, Inc.(b) | | | 21,977 | | | | 312,293 | |
SurModics, Inc.(b) | | | 20,652 | | | | 245,139 | |
Symmetry Medical, Inc.(b) | | | 42,577 | | | | 393,837 | |
West Pharmaceutical Services, Inc. | | | 39,517 | | | | 1,628,100 | |
Zoll Medical Corp.(b) | | | 25,495 | | | | 949,179 | |
| | | | | | |
|
|
|
| | | | | | | | 22,495,373 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 4.7% | | | | | | | | |
Air Methods Corp.(b) | | | 13,272 | | | | 746,815 | |
Almost Family, Inc.(b) | | | 9,752 | | | | 374,672 | |
Amedisys, Inc.(a)(b) | | | 34,459 | | | | 1,154,376 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A126
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Healthcare Providers & Services (continued) | | | | | |
AMERIGROUP Corp.(a)(b) | | | 58,837 | | | $ | 2,584,121 | |
AMN Healthcare Services, Inc.(b) | | | 46,299 | | | | 284,276 | |
AmSurg Corp. (Class A Stock)(b) | | | 36,674 | | | | 768,320 | |
Bio-Reference Labs, Inc.(a)(b) | | | 29,070 | | | | 644,772 | |
Catalyst Health Solutions, Inc.(a)(b) | | | 46,366 | | | | 2,155,555 | |
Centene Corp.(b) | | | 58,408 | | | | 1,480,059 | |
Chemed Corp. | | | 27,111 | | | | 1,721,820 | |
Corvel Corp.(b) | | | 7,745 | | | | 374,471 | |
Cross Country Healthcare, Inc.(b) | | | 36,863 | | | | 312,230 | |
Ensign Group, Inc. (The) | | | 15,500 | | | | 385,485 | |
Genoptix, Inc.(b) | | | 20,858 | | | | 396,719 | |
Gentiva Health Services, Inc.(b) | | | 35,392 | | | | 941,427 | |
Hanger Orthopedic Group, Inc.(b) | | | 38,509 | | | | 816,006 | |
Healthspring, Inc.(b) | | | 67,920 | | | | 1,801,918 | |
Healthways, Inc.(b) | | | 40,686 | | | | 454,056 | |
HMS Holdings Corp.(b) | | | 32,717 | | | | 2,119,080 | |
IPC The Hospitalist Co., Inc.(b) | | | 19,305 | | | | 753,088 | |
Landauer, Inc. | | | 11,168 | | | | 669,745 | |
LCA-Vision, Inc.(b) | | | 22,117 | | | | 127,173 | |
LHC Group, Inc.(b) | | | 18,598 | | | | 557,940 | |
Magellan Health Services, Inc.(b) | | | 39,841 | | | | 1,883,682 | |
Medcath Corp.(b) | | | 24,204 | | | | 337,646 | |
Molina Healthcare, Inc.(b) | | | 20,115 | | | | 560,203 | |
MWI Veterinary Supply, Inc.(a)(b) | | | 14,756 | | | | 931,841 | |
PharMerica Corp.(b) | | | 34,695 | | | | 397,258 | |
PSS World Medical, Inc.(a)(b) | | | 65,591 | | | | 1,482,357 | |
RehabCare Group, Inc.(b) | | | 29,522 | | | | 699,671 | |
| | | | | | |
|
|
|
| | | | | | | | 27,916,782 | |
| | | | | | |
|
|
|
Healthcare Technology — 0.5% | | | | | | | | |
Computer Programs & Systems, Inc. | | | 13,036 | | | | 610,606 | |
Omnicell, Inc.(b) | | | 39,022 | | | | 563,868 | |
Quality Systems, Inc. | | | 22,667 | | | | 1,582,610 | |
| | | | | | |
|
|
|
| | | | | | | | 2,757,084 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 2.9% | | | | | | | | |
Biglari Holdings, Inc.(b) | | | 1,796 | | | | 736,737 | |
BJ’s Restaurants, Inc.(b) | | | 26,772 | | | | 948,532 | |
Buffalo Wild Wings, Inc.(a)(b) | | | 21,565 | | | | 945,625 | |
California Pizza Kitchen, Inc.(b) | | | 29,144 | | | | 503,608 | |
CEC Entertainment, Inc.(a)(b) | | | 24,407 | | | | 947,724 | |
Cracker Barrel Old Country Store, Inc.(a) | | | 27,678 | | | | 1,515,924 | |
DineEquity, Inc.(b) | | | 18,405 | | | | 908,839 | |
Interval Leisure Group, Inc.(b) | | | 48,036 | | | | 775,301 | |
Jack In The Box, Inc.(b) | | | 62,717 | | | | 1,325,210 | |
Marcus Corp. | | | 25,658 | | | | 340,482 | |
Monarch Casino & Resort, Inc.(b) | | | 13,331 | | | | 166,637 | |
Multimedia Games, Inc.(b) | | | 32,699 | | | | 182,460 | |
O’Charleys, Inc.(b) | | | 22,415 | | | | 161,388 | |
Papa John’s International, Inc.(b) | | | 23,815 | | | | 659,676 | |
Peet’s Coffee & Tea, Inc.(b) | | | 15,194 | | | | 634,198 | |
PF Chang’s China Bistro, Inc.(a) | | | 27,314 | | | | 1,323,636 | |
Pinnacle Entertainment, Inc.(b) | | | 72,813 | | | | 1,020,838 | |
Red Robin Gourmet Burgers, Inc.(b) | | | 18,463 | | | | 396,401 | |
Ruby Tuesday, Inc.(a)(b) | | | 76,884 | | | | 1,004,105 | |
Ruth’s Hospitality Group, Inc.(b) | | | 36,648 | | | | 169,680 | |
Shuffle Master, Inc.(b) | | | 63,559 | | | | 727,751 | |
Sonic Corp.(b) | | | 73,114 | | | | 739,914 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Hotels, Restaurants & Leisure (continued) | | | | | |
Texas Roadhouse, Inc.
(Class A Stock)(a)(b) | | | 68,930 | | | $ | 1,183,528 | |
| | | | | | |
|
|
|
| | | | | | | | 17,318,194 | |
| | | | | | |
|
|
|
Household Durables — 0.9% | | | | | | | | |
Blyth, Inc. | | | 6,483 | | | | 223,534 | |
Ethan Allen Interiors, Inc. | | | 34,099 | | | | 682,321 | |
Helen of Troy Ltd.(b) | | | 36,310 | | | | 1,079,859 | |
Kid Brands, Inc.(b) | | | 25,501 | | | | 218,034 | |
La-Z-Boy, Inc.(b) | | | 61,501 | | | | 554,739 | |
M/I Homes, Inc.(b) | | | 21,970 | | | | 337,899 | |
Meritage Homes Corp.(b) | | | 38,097 | | | | 845,753 | |
Skyline Corp. | | | 8,112 | | | | 211,561 | |
Standard Pacific Corp.(b) | | | 117,822 | | | | 541,981 | |
Universal Electronics, Inc.(b) | | | 17,654 | | | | 500,844 | |
| | | | | | |
|
|
|
| | | | | | | | 5,196,525 | |
| | | | | | |
|
|
|
Household Products — 0.2% | | | | | | | | |
Central Garden and Pet Co.
(Class A Stock)(b) | | | 65,088 | | | | 643,069 | |
WD-40 Co. | | | 19,909 | | | | 801,935 | |
| | | | | | |
|
|
|
| | | | | | | | 1,445,004 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 0.2% | | | | | | | | |
Standex International Corp. | | | 14,870 | | | | 444,762 | |
Tredegar Corp. | | | 27,135 | | | | 525,876 | |
| | | | | | |
|
|
|
| | | | | | | | 970,638 | |
| | | | | | |
|
|
|
Insurance — 2.4% | | | | | | | | |
AMERISAFE, Inc.(b) | | | 21,814 | | | | 381,745 | |
Delphi Financial Group, Inc.
(Class A Stock) | | | 64,396 | | | | 1,857,181 | |
eHealth, Inc.(b) | | | 26,291 | | | | 373,069 | |
Employers Holdings, Inc. | | | 47,215 | | | | 825,318 | |
Horace Mann Educators Corp. | | | 46,800 | | | | 844,272 | |
Infinity Property & Casualty Corp. | | | 14,889 | | | | 920,140 | |
National Financial Partners Corp.(a)(b) | | | 51,754 | | | | 693,504 | |
Navigators Group, Inc. (The)(b) | | | 14,818 | | | | 746,086 | |
Presidential Life Corp. | | | 25,195 | | | | 250,186 | |
ProAssurance Corp.(b) | | | 36,433 | | | | 2,207,840 | |
RLI Corp. | | | 19,605 | | | | 1,030,635 | |
Safety Insurance Group, Inc. | | | 17,860 | | | | 849,600 | |
Selective Insurance Group, Inc. | | | 63,407 | | | | 1,150,837 | |
Stewart Information Services Corp. | | | 21,702 | | | | 250,224 | |
Tower Group, Inc. | | | 49,261 | | | | 1,260,096 | |
United Fire & Casualty Co. | | | 25,161 | | | | 561,594 | |
| | | | | | |
|
|
|
| | | | | | | | 14,202,327 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.6% | | | | | | | | |
Blue Nile, Inc.(a)(b) | | | 17,080 | | | | 974,585 | |
HSN, Inc.(b) | | | 45,865 | | | | 1,405,303 | |
NutriSystem, Inc.(a) | | | 31,728 | | | | 667,240 | |
PetMed Express, Inc.(a) | | | 26,981 | | | | 480,532 | |
| | | | | | |
|
|
|
| | | | | | | | 3,527,660 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.2% | | | | | | | | |
comScore, Inc.(b) | | | 30,177 | | | | 673,249 | |
DealerTrack Holdings, Inc.(b) | | | 48,183 | | | | 967,033 | |
Infospace, Inc.(b) | | | 42,812 | | | | 355,340 | |
j2 Global Communications, Inc.(a)(b) | | | 54,078 | | | | 1,565,558 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A127
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Internet Software & Services (continued) | | | | | | | | |
Knot, Inc. (The)(b) | | | 36,295 | | | $ | 358,594 | |
Liquidity Services, Inc.(b) | | | 20,300 | | | | 285,215 | |
Logmein, Inc.(a)(b) | | | 19,400 | | | | 860,196 | |
Perficient, Inc.(b) | | | 35,214 | | | | 440,175 | |
RightNow Technologies, Inc.(b) | | | 28,000 | | | | 662,760 | |
Stamps.com, Inc. | | | 14,120 | | | | 187,090 | |
United Online, Inc. | | | 101,930 | | | | 672,738 | |
| | | | | | |
|
|
|
| | | | | | | | 7,027,948 | |
| | | | | | |
|
|
|
IT Services — 1.6% | | | | | | | | |
CACI International, Inc.
(Class A Stock)(b) | | | 35,944 | | | | 1,919,410 | |
Ciber, Inc.(b) | | | 82,723 | | | | 387,144 | |
CSG Systems International, Inc.(b) | | | 40,424 | | | | 765,631 | |
Forrester Research, Inc. | | | 17,262 | | | | 609,176 | |
Heartland Payment Systems, Inc. | | | 45,311 | | | | 698,696 | |
iGATE Corp.(a) | | | 34,400 | | | | 678,024 | |
Integral Systems, Inc.(b) | | | 20,826 | | | | 206,386 | |
MAXIMUS, Inc. | | | 20,468 | | | | 1,342,291 | |
NCI, Inc. (Class A Stock)(b) | | | 9,300 | | | | 213,807 | |
StarTek, Inc.(b) | | | 14,065 | | | | 71,309 | |
TeleTech Holdings, Inc.(b) | | | 34,367 | | | | 707,616 | |
Wright Express Corp.(b) | | | 45,476 | | | | 2,091,896 | |
| | | | | | |
|
|
|
| | | | | | | | 9,691,386 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.7% | | | | | | | | |
Arctic Cat, Inc.(b) | | | 14,457 | | | | 211,651 | |
Brunswick Corp. | | | 105,129 | | | | 1,970,117 | |
Callaway Golf Co. | | | 76,380 | | | | 616,387 | |
Jakks Pacific, Inc.(a)(b) | | | 32,715 | | | | 596,067 | |
RC2 Corp.(b) | | | 25,646 | | | | 558,313 | |
Sturm Ruger & Co., Inc.(a) | | | 22,327 | | | | 341,380 | |
| | | | | | |
|
|
|
| | | | | | | | 4,293,915 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.9% | | | | | | | | |
Affymetrix, Inc.(a)(b) | | | 83,800 | | | | 421,514 | |
Cambrex Corp.(b) | | | 34,832 | | | | 180,082 | |
Dionex Corp.(b) | | | 20,736 | | | | 2,447,055 | |
Enzo Biochem, Inc.(b) | | | 40,657 | | | | 214,669 | |
eResearchTechnology, Inc.(b) | | | 51,183 | | | | 376,195 | |
Kendle International, Inc.(b) | | | 17,619 | | | | 191,871 | |
Parexel International Corp.(b) | | | 68,957 | | | | 1,463,957 | |
| | | | | | |
|
|
|
| | | | | | | | 5,295,343 | |
| | | | | | |
|
|
|
Machinery — 3.9% | | | | | | | | |
Actuant Corp. (Class A Stock) | | | 80,864 | | | | 2,152,600 | |
Albany International Corp.
(Class A Stock) | | | 32,904 | | | | 779,496 | |
Astec Industries, Inc.(b) | | | 23,610 | | | | 765,200 | |
Badger Meter, Inc. | | | 17,807 | | | | 787,425 | |
Barnes Group, Inc. | | | 53,816 | | | | 1,112,377 | |
Briggs & Stratton Corp. | | | 59,646 | | | | 1,174,430 | |
Cascade Corp. | | | 10,893 | | | | 515,021 | |
CIRCOR International, Inc. | | | 20,288 | | | | 857,777 | |
CLARCOR, Inc. | | | 59,832 | | | | 2,566,194 | |
EnPro Industries, Inc.(b) | | | 24,478 | | | | 1,017,306 | |
ESCO Technologies, Inc. | | | 31,521 | | | | 1,192,755 | |
Federal Signal Corp. | | | 73,800 | | | | 506,268 | |
John Bean Technologies Corp. | | | 33,447 | | | | 673,288 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Machinery (continued) | | | | | | | | |
Kaydon Corp. | | | 39,667 | | | $ | 1,615,240 | |
Lindsay Corp. | | | 14,879 | | | | 884,259 | |
Lydall, Inc.(b) | | | 20,256 | | | | 163,061 | |
Mueller Industries, Inc. | | | 44,849 | | | | 1,466,562 | |
Robbins & Myers, Inc.(a) | | | 39,097 | | | | 1,398,891 | |
Toro Co. (The) | | | 37,183 | | | | 2,291,960 | |
Watts Water Technologies, Inc.
(Class A Stock) | | | 34,721 | | | | 1,270,441 | |
| | | | | | |
|
|
|
| | | | | | | | 23,190,551 | |
| | | | | | |
|
|
|
Media — 0.6% | | | | | | | | |
Arbitron, Inc. | | | 31,961 | | | | 1,327,021 | |
E.W. Scripps Co. (Class A Stock)(b) | | | 36,401 | | | | 369,470 | |
Live Nation Entertainment, Inc.(a)(b) | | | 177,076 | | | | 2,022,208 | |
| | | | | | |
|
|
|
| | | | | | | | 3,718,699 | |
| | | | | | |
|
|
|
Metals & Mining — 0.9% | | | | | | | | |
A.M. Castle & Co.(b) | | | 19,883 | | | | 366,046 | |
Amcol International Corp. | | | 29,891 | | | | 926,621 | |
Brush Engineered Materials, Inc.(b) | | | 23,978 | | | | 926,510 | |
Century Aluminum Co.(b) | | | 67,063 | | | | 1,041,488 | |
Kaiser Aluminum Corp. | | | 17,600 | | | | 881,584 | |
Olympic Steel, Inc. | | | 10,838 | | | | 310,834 | |
RTI International Metals, Inc.(a)(b) | | | 35,711 | | | | 963,483 | |
| | | | | | |
|
|
|
| | | | | | | | 5,416,566 | |
| | | | | | |
|
|
|
Multiline Retail — 0.1% | | | | | | | | |
Fred’s, Inc. (Class A Stock) | | | 46,466 | | | | 639,372 | |
Tuesday Morning Corp.(b) | | | 43,332 | | | | 228,793 | |
| | | | | | |
|
|
|
| | | | | | | | 868,165 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.6% | | | | | | | | |
Avista Corp. | | | 67,103 | | | | 1,511,159 | |
CH Energy Group, Inc. | | | 18,785 | | | | 918,399 | |
Northwestern Corp. | | | 43,000 | | | | 1,239,690 | |
| | | | | | |
|
|
|
| | | | | | | | 3,669,248 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 2.1% | | | | | | | | |
Contango Oil & Gas Co.(b) | | | 15,300 | | | | 886,329 | |
Gulfport Energy Corp.(b) | | | 37,300 | | | | 807,545 | |
Holly Corp. | | | 52,366 | | | | 2,134,962 | |
Penn Virginia Corp. | | | 53,998 | | | | 908,246 | |
Petroleum Development Corp.(a)(b) | | | 27,826 | | | | 1,174,535 | |
Petroquest Energy, Inc.(b) | | | 65,945 | | | | 496,566 | |
Stone Energy Corp.(a)(b) | | | 57,594 | | | | 1,283,770 | |
Swift Energy Co.(b) | | | 49,444 | | | | 1,935,733 | |
World Fuel Services Corp. | | | 81,947 | | | | 2,963,204 | |
| | | | | | |
|
|
|
| | | | | | | | 12,590,890 | |
| | | | | | |
|
|
|
Paper & Forest Products — 1.0% | | | | | | | | |
Buckeye Technologies, Inc. | | | 46,842 | | | | 984,150 | |
Clearwater Paper Corp.(b) | | | 13,690 | | | | 1,071,927 | |
Deltic Timber Corp. | | | 12,791 | | | | 720,645 | |
Kapstone Paper And Packaging Corp.(b) | | | 45,300 | | | | 693,090 | |
Neenah Paper, Inc. | | | 17,478 | | | | 343,967 | |
Schweitzer-Mauduit International, Inc. | | | 21,388 | | | | 1,345,733 | |
Wausau Paper Corp. | | | 58,167 | | | | 500,818 | |
| | | | | | |
|
|
|
| | | | | | | | 5,660,330 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A128
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Personal Products — 0.1% | | | | | | | | |
Medifast, Inc.(b) | | | 15,900 | | | $ | 459,192 | |
| | | | | | |
|
|
|
Pharmaceuticals — 1.1% | | | | | | | | |
Hi-Tech Pharmacal Co., Inc.(b) | | | 12,100 | | | | 301,895 | |
Par Pharmaceutical Cos., Inc.(b) | | | 42,243 | | | | 1,626,778 | |
Salix Pharmaceuticals Ltd.(a)(b) | | | 68,783 | | | | 3,230,049 | |
ViroPharma, Inc.(b) | | | 92,437 | | | | 1,601,009 | |
| | | | | | |
|
|
|
| | | | | | | | 6,759,731 | |
| | | | | | |
|
|
|
Professional Services — 1.0% | | | | | | | | |
Administaff, Inc. | | | 26,479 | | | | 775,835 | |
CDI Corp. | | | 15,288 | | | | 284,204 | |
Dolan Co. (The)(b) | | | 36,200 | | | | 503,904 | |
Exponent, Inc.(b) | | | 16,440 | | | | 616,993 | |
Heidrick & Struggles International, Inc. | | | 20,814 | | | | 596,321 | |
Kelly Services, Inc. (Class A Stock)(b) | | | 33,539 | | | | 630,533 | |
On Assignment, Inc.(b) | | | 43,286 | | | | 352,781 | |
School Specialty, Inc.(a)(b) | | | 18,997 | | | | 264,628 | |
SFN Group, Inc.(b) | | | 62,705 | | | | 612,001 | |
TrueBlue, Inc.(b) | | | 52,218 | | | | 939,402 | |
Volt Information Sciences, Inc.(b) | | | 14,004 | | | | 121,134 | |
| | | | | | |
|
|
|
| | | | | | | | 5,697,736 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 7.4% | | | | | | | | |
Acadia Realty Trust | | | 47,705 | | | | 870,139 | |
BioMed Realty Trust, Inc. | | | 155,211 | | | | 2,894,685 | |
Cedar Shopping Centers, Inc. | | | 55,766 | | | | 350,768 | |
Colonial Properties Trust | | | 99,639 | | | | 1,798,484 | |
Diamondrock Hospitality Co.(b) | | | 183,370 | | | | 2,200,440 | |
EastGroup Properties, Inc. | | | 32,063 | | | | 1,356,906 | |
Entertainment Properties Trust(a) | | | 55,270 | | | | 2,556,237 | |
Extra Space Storage, Inc. | | | 103,808 | | | | 1,806,259 | |
Franklin Street Properties Corp.(a) | | | 82,402 | | | | 1,174,229 | |
Healthcare Realty Trust, Inc. | | | 76,400 | | | | 1,617,388 | |
Home Properties, Inc.(a) | | | 44,679 | | | | 2,479,238 | |
Inland Real Estate Corp. | | | 89,835 | | | | 790,548 | |
Kilroy Realty Corp.(a) | | | 62,098 | | | | 2,264,714 | |
Kite Realty Group Trust | | | 75,091 | | | | 406,242 | |
LaSalle Hotel Properties | | | 86,672 | | | | 2,288,141 | |
Lexington Realty Trust(a) | | | 147,516 | | | | 1,172,752 | |
LTC Properties, Inc. | | | 31,126 | | | | 874,018 | |
Medical Properties Trust, Inc. | | | 131,966 | | | | 1,429,192 | |
Mid-America Apartment Communities, Inc. | | | 40,616 | | | | 2,578,710 | |
National Retail Properties, Inc.(a) | | | 99,068 | | | | 2,625,302 | |
Parkway Properties, Inc. | | | 25,948 | | | | 454,609 | |
Pennsylvania Real Estate Investment Trust | | | 65,622 | | | | 953,488 | |
Post Properties, Inc. | | | 57,861 | | | | 2,100,354 | |
PS Business Parks, Inc. | | | 22,202 | | | | 1,237,095 | |
Saul Centers, Inc. | | | 13,600 | | | | 643,960 | |
Sovran Self Storage, Inc. | | | 32,797 | | | | 1,207,258 | |
Tanger Factory Outlet Centers | | | 48,092 | | | | 2,461,829 | |
Universal Health Realty Income Trust | | | 14,800 | | | | 540,644 | |
Urstadt Biddle Properties, Inc.
(Class A Stock) | | | 27,350 | | | | 531,958 | |
| | | | | | |
|
|
|
| | | | | | | | 43,665,587 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.1% | | | | | |
Forestar Group, Inc.(a)(b) | | | 41,956 | | | | 809,751 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Road & Rail — 0.8% | | | | | | | | |
Arkansas Best Corp. | | | 29,995 | | | $ | 822,463 | |
Heartland Express, Inc. | | | 60,248 | | | | 965,173 | |
Knight Transportation, Inc. | | | 73,388 | | | | 1,394,372 | |
Old Dominion Freight Line, Inc.(a)(b) | | | 49,733 | | | | 1,590,958 | |
| | | | | | |
|
|
|
| | | | | | | | 4,772,966 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 5.8% | |
Advanced Energy Industries, Inc.(b) | | | 45,697 | | | | 623,307 | |
ATMI, Inc.(b) | | | 37,206 | | | | 741,888 | |
Brooks Automation, Inc.(b) | | | 77,405 | | | | 702,063 | |
Cabot Microelectronics Corp.(b) | | | 27,211 | | | | 1,127,896 | |
Ceva, Inc.(b) | | | 26,100 | | | | 535,050 | |
Cohu, Inc. | | | 28,297 | | | | 469,164 | |
Cymer, Inc.(a)(b) | | | 35,170 | | | | 1,585,112 | |
Cypress Semiconductor Corp.(b) | | | 196,704 | | | | 3,654,760 | |
Diodes, Inc.(a)(b) | | | 42,670 | | | | 1,151,663 | |
DSP Group, Inc.(b) | | | 27,628 | | | | 224,892 | |
Exar Corp.(b) | | | 52,523 | | | | 366,611 | |
FEI Co.(b) | | | 45,312 | | | | 1,196,690 | |
Hittite Microwave Corp.(b) | | | 29,306 | | | | 1,788,838 | |
Kopin Corp.(b) | | | 76,896 | | | | 319,887 | |
Kulicke & Soffa Industries, Inc.(b) | | | 83,532 | | | | 601,430 | |
Micrel, Inc. | | | 58,902 | | | | 765,137 | |
Microsemi Corp.(b) | | | 99,119 | | | | 2,269,825 | |
MKS Instruments, Inc.(a)(b) | | | 59,685 | | | | 1,461,686 | |
Monolithic Power Systems, Inc.(b) | | | 42,500 | | | | 702,100 | |
Pericom Semiconductor Corp.(b) | | | 29,460 | | | | 323,471 | |
Power Integrations, Inc. | | | 33,200 | | | | 1,332,648 | |
Rudolph Technologies, Inc.(b) | | | 37,194 | | | | 306,107 | |
Sigma Designs, Inc.(b) | | | 32,758 | | | | 464,181 | |
Standard Microsystems Corp.(b) | | | 26,876 | | | | 774,835 | |
Supertex, Inc.(b) | | | 15,472 | | | | 374,113 | |
Tessera Technologies, Inc.(b) | | | 59,877 | | | | 1,326,276 | |
TriQuint Semiconductor, Inc.(a)(b) | | | 188,676 | | | | 2,205,623 | |
Ultratech, Inc.(b) | | | 28,911 | | | | 574,751 | |
Varian Semiconductor Equipment Associates, Inc.(b) | | | 87,787 | | | | 3,245,485 | |
Veeco Instruments, Inc.(a)(b) | | | 47,342 | | | | 2,033,812 | |
Volterra Semiconductor Corp.(b) | | | 31,900 | | | | 738,804 | |
| | | | | | |
|
|
|
| | | | | | | | 33,988,105 | |
| | | | | | |
|
|
|
Software — 3.5% | | | | | | | | |
Blackbaud, Inc. | | | 52,083 | | | | 1,348,950 | |
Bottomline Technologies, Inc.(b) | | | 38,300 | | | | 831,493 | |
CommVault Systems, Inc.(b) | | | 51,042 | | | | 1,460,822 | |
Ebix, Inc.(a)(b) | | | 41,257 | | | | 976,553 | |
Epicor Software Corp.(b) | | | 54,874 | | | | 554,227 | |
EPIQ Systems, Inc. | | | 38,717 | | | | 531,584 | |
Interactive Intelligence, Inc.(b) | | | 15,879 | | | | 415,395 | |
JDA Software Group, Inc.(b) | | | 51,889 | | | | 1,452,892 | |
Manhattan Associates, Inc.(b) | | | 25,993 | | | | 793,826 | |
Microstrategy, Inc. (Class A Stock)(a)(b) | | | 10,050 | | | | 858,973 | |
Netscout Systems, Inc.(b) | | | 41,495 | | | | 954,800 | |
Progress Software Corp.(b) | | | 51,365 | | | | 2,173,767 | |
Radiant Systems, Inc.(b) | | | 39,255 | | | | 768,220 | |
Smith Micro Software, Inc.(b) | | | 35,762 | | | | 562,894 | |
Sonic Solutions, Inc.(a)(b) | | | 57,846 | | | | 867,690 | |
Sourcefire, Inc.(b) | | | 33,200 | | | | 860,876 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Software (continued) | | | | | | | | |
Synchronoss Technologies, Inc.(b) | | | 28,400 | | | $ | 758,564 | |
Take-Two Interactive Software, Inc.(b) | | | 100,812 | | | | 1,233,939 | |
Taleo Corp. (Class A Stock)(a)(b) | | | 47,971 | | | | 1,326,398 | |
THQ, Inc.(b) | | | 80,582 | | | | 488,327 | |
Tyler Technologies, Inc.(a)(b) | | | 29,827 | | | | 619,209 | |
Websense, Inc.(a)(b) | | | 49,570 | | | | 1,003,793 | |
| | | | | | |
|
|
|
| | | | | | | | 20,843,192 | |
| | | | | | |
|
|
|
Specialty Retail — 4.1% | | | | | | | | |
Big 5 Sporting Goods Corp. | | | 25,837 | | | | 394,531 | |
Brown Shoe Co., Inc. | | | 52,034 | | | | 724,834 | |
Buckle, Inc. (The)(a) | | | 30,959 | | | | 1,169,321 | |
Cabela’s, Inc.(b) | | | 47,492 | | | | 1,032,951 | |
Cato Corp. (The) (Class A Stock) | | | 35,003 | | | | 959,432 | |
Childrens Place Retail Stores, Inc. (The)(a)(b) | | | 30,865 | | | | 1,532,138 | |
Christopher & Banks Corp. | | | 42,478 | | | | 261,240 | |
Coldwater Creek, Inc.(b) | | | 71,200 | | | | 225,704 | |
Finish Line, Inc. (The)
(Class A Stock)(a) | | | 63,246 | | | | 1,087,199 | |
Genesco, Inc.(b) | | | 28,522 | | | | 1,069,290 | |
Group 1 Automotive, Inc.(a) | | | 28,164 | | | | 1,176,129 | |
Haverty Furniture Cos., Inc. | | | 21,941 | | | | 284,794 | |
Hibbett Sports, Inc.(b) | | | 33,196 | | | | 1,224,932 | |
Hot Topic, Inc. | | | 52,803 | | | | 331,075 | |
Jo-Ann Stores, Inc.(b) | | | 31,230 | | | | 1,880,671 | |
Jos. A. Bank Clothiers, Inc.(a)(b) | | | 32,831 | | | | 1,323,746 | |
Kirkland’s, Inc.(b) | | | 18,600 | | | | 260,958 | |
Lithia Motors, Inc. (Class A Stock) | | | 25,730 | | | | 367,682 | |
Lumber Liquidators Holdings, Inc.(a)(b) | | | 27,622 | | | | 688,064 | |
MarineMax, Inc.(b) | | | 26,242 | | | | 245,363 | |
Men’s Wearhouse, Inc. (The) | | | 62,467 | | | | 1,560,426 | |
Midas, Inc.(b) | | | 16,812 | | | | 136,345 | |
Monro Muffler Brake, Inc. | | | 35,872 | | | | 1,240,812 | |
OfficeMax, Inc.(b) | | | 100,799 | | | | 1,784,142 | |
Pep Boys-Manny Moe & Jack | | | 62,226 | | | | 835,695 | |
Sonic Automotive, Inc. (Class A Stock) | | | 41,847 | | | | 554,054 | |
Stage Stores, Inc. | | | 43,379 | | | | 752,192 | |
Stein Mart, Inc. | | | 31,883 | | | | 294,918 | |
Zale Corp.(a)(b) | | | 27,362 | | | | 116,562 | |
Zumiez, Inc.(b) | | | 24,650 | | | | 662,345 | |
| | | | | | |
|
|
|
| | | | | | | | 24,177,545 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 2.4% | | | | | | | | |
Carter’s, Inc.(b) | | | 68,215 | | | | 2,013,025 | |
CROCS, Inc.(b) | | | 103,443 | | | | 1,770,944 | |
Iconix Brand Group, Inc.(b) | | | 86,031 | | | | 1,661,259 | |
K-Swiss, Inc. (Class A Stock)(b) | | | 32,178 | | | | 401,260 | |
Liz Claiborne, Inc.(b) | | | 112,066 | | | | 802,392 | |
Maidenform Brands, Inc.(b) | | | 27,721 | | | | 658,928 | |
Movado Group, Inc.(b) | | | 20,517 | | | | 331,144 | |
Oxford Industries, Inc. | | | 16,516 | | | | 422,975 | |
Perry Ellis International, Inc.(b) | | | 11,879 | | | | 326,316 | |
Quiksilver, Inc.(b) | | | 153,593 | | | | 778,716 | |
Skechers U.S.A., Inc.
(Class A Stock)(a)(b) | | | 40,076 | | | | 801,520 | |
Steven Madden Ltd.(b) | | | 27,300 | | | | 1,138,956 | |
True Religion Apparel, Inc.(b) | | | 30,164 | | | | 671,451 | |
Volcom, Inc. | | | 20,195 | | | | 381,080 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Textiles, Apparel & Luxury Goods (continued) | |
Wolverine World Wide, Inc. | | | 57,977 | | | $ | 1,848,307 | |
| | | | | | |
|
|
|
| | | | | | | | 14,008,273 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 0.5% | |
Bank Mutual Corp. | | | 54,235 | | | | 259,243 | |
Brookline Bancorp, Inc. | | | 70,032 | | | | 759,847 | |
Dime Community Bancshares, Inc. | | | 32,781 | | | | 478,275 | |
Provident Financial Services, Inc. | | | 61,500 | | | | 930,495 | |
Trustco Bank Corp. NY | | | 91,495 | | | | 580,079 | |
| | | | | | |
|
|
|
| | | | | | | | 3,007,939 | |
| | | | | | |
|
|
|
Tobacco — 0.1% | | | | | | | | |
Alliance One International, Inc.(b) | | | 103,238 | | | | 437,729 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.4% | | | | | |
Applied Industrial Technologies, Inc. | | | 44,828 | | | | 1,456,013 | |
Kaman Corp. | | | 30,822 | | | | 895,996 | |
Lawson Products, Inc. | | | 4,724 | | | | 117,580 | |
| | | | | | |
|
|
|
| | | | | | | | 2,469,589 | |
| | | | | | |
|
|
|
Water Utilities — 0.1% | | | | | | | | |
American States Water Co. | | | 22,076 | | | | 760,960 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.2% | |
NTELOS Holdings Corp. | | | 35,142 | | | | 669,455 | |
USA Mobility, Inc. | | | 26,180 | | | | 465,219 | |
| | | | | | |
|
|
|
| | | | | | | | 1,134,674 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $459,693,707) | | | | 572,768,190 | |
| | | | | | |
|
|
|
EXCHANGE TRADED FUND — 0.5% | | | | | | | | |
iShares S&P SmallCap 600 Index Fund(a)(cost $2,661,353) | | | 45,700 | | | | 3,129,079 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $462,355,060) | | | | 575,897,269 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 17.9% | | | | | |
Affiliated Money Market Mutual Fund — 17.7% | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $104,170,188; includes $91,066,705 of cash collateral received for securities on loan) (Note 4)(c)(d) | | | 104,170,188 | | | | 104,170,188 | |
| | | | | | |
|
|
|
| | |
| | | Principal
Amount
(000)
| | | | |
U. S Government Obligation — 0.2% | | | | | | | | |
U.S. Treasury Bill,
0.196%, 03/17/2011(e)(f)
(cost $1,299,499) | | $ | 1,300 | | | | 1,299,710 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $105,469,687) | | | | | | | 105,469,898 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 115.5%
(cost $567,824,747) | | | | | | | 681,367,167 | |
| | | | | | |
|
|
|
LIABILITIES IN EXCESS OF
OTHER ASSETS(g) — (15.5)% | | | | | | | (91,469,114 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | | | | $ | 589,898,053 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A130
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $87,552,298; cash collateral of $91,066,705 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Non-income producing security. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund. |
| (e) | Security segregated as collateral for futures contracts. |
| (f) | Rate quoted represents yield-to-maturity as of purchase date. |
| (g) | Liabilities in excess of other assets include net unrealized appreciation on financial futures contracts as follows: |
Open futures contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation
| |
| Long Position: | | | | | | | | | | | | | | | | | | | | |
| 183 | | | Russell 2000 | | | | Mar. 2011 | | | $ | 14,133,418 | | | $ | 14,316,090 | | | $ | 182,672 | |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value.
Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool.
Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 572,768,190 | | | $ | — | | | $ | — | |
Exchange Traded Fund | | | 3,129,079 | | | | — | | | | — | |
Affiliated Money Markey Mutual Fund | | | 104,170,188 | | | | — | | | | — | |
U.S. Government Obligation | | | — | | | | 1,299,710 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| | | | 680,067,457 | | | | 1,299,710 | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures contracts | | | 182,672 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 680,250,129 | | | $ | 1,299,710 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A131
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Affiliated Money Market Mutual Fund (including 15.4% of collateral received for securities on loan) | | | 17.7 | % |
Real Estate Investment Trusts | | | 7.4 | |
Commercial Banks | | | 5.8 | |
Semiconductors & Semiconductor Equipment | | | 5.8 | |
Healthcare Providers & Services | | | 4.7 | |
Specialty Retail | | | 4.1 | |
Machinery | | | 3.9 | |
Electronic Equipment & Instruments | | | 3.8 | |
Healthcare Equipment & Supplies | | | 3.8 | |
Software | | | 3.5 | |
Energy Equipment & Services | | | 3.1 | |
Aerospace & Defense | | | 3.0 | |
Hotels, Restaurants & Leisure | | | 2.9 | |
Commercial Services & Supplies | | | 2.4 | |
Insurance | | | 2.4 | |
Textiles, Apparel & Luxury Goods | | | 2.4 | |
Communications Equipment | | | 2.3 | |
Oil, Gas & Consumable Fuels | | | 2.1 | |
Chemicals | | | 2.0 | |
Food Products | | | 1.8 | |
Gas Utilities | | | 1.8 | |
IT Services | | | 1.6 | |
Diversified Consumer Services | | | 1.3 | |
Electrical Equipment | | | 1.3 | |
Biotechnology | | | 1.2 | |
Building Products | | | 1.2 | |
Internet Software & Services | | | 1.2 | |
Electric Utilities | | | 1.1 | |
Pharmaceuticals | | | 1.1 | |
Food & Staples Retailing | | | 1.0 | |
Paper & Forest Products | | | 1.0 | |
Professional Services | | | 1.0 | |
Capital Markets | | | 0.9 | |
| | | | |
Computers & Peripherals | | | 0.9 | % |
Construction & Engineering | | | 0.9 | |
Household Durables | | | 0.9 | |
Life Sciences Tools & Services | | | 0.9 | |
Metals & Mining | | | 0.9 | |
Consumer Finance | | | 0.8 | |
Road & Rail | | | 0.8 | |
Leisure Equipment & Products | | | 0.7 | |
Construction Materials | | | 0.6 | |
Internet & Catalog Retail | | | 0.6 | |
Media | | | 0.6 | |
Multi-Utilities | | | 0.6 | |
Exchange Traded Fund | | | 0.5 | |
Healthcare Technology | | | 0.5 | |
Thrifts & Mortgage Finance | | | 0.5 | |
Air Freight & Logistics | | | 0.4 | |
Diversified Financial Services | | | 0.4 | |
Diversified Telecommunication Services | | | 0.4 | |
Trading Companies & Distributors | | | 0.4 | |
Airlines | | | 0.3 | |
Auto Components | | | 0.3 | |
Distributors | | | 0.3 | |
Beverages | | | 0.2 | |
Household Products | | | 0.2 | |
Industrial Conglomerates | | | 0.2 | |
Treasury Bill | | | 0.2 | |
Wireless Telecommunication Services | | | 0.2 | |
Automobiles | | | 0.1 | |
Containers & Packaging | | | 0.1 | |
Multiline Retail | | | 0.1 | |
Personal Products | | | 0.1 | |
Real Estate Management & Development | | | 0.1 | |
Tobacco | | | 0.1 | |
Water Utilities | | | 0.1 | |
| | |
|
|
|
| | | | 115.5 | |
Liabilities in excess of other assets | | | (15.5 | ) |
| | |
|
|
|
| | | | 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 December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | | | |
Derivatives not designated 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 broker –variation margin | | | $ | 182,672 | * | | — | | $ | — | |
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
For the year ended December 31, 2010, the average value at trade for futures long positions was $8,775,970.
SEE NOTES TO FINANCIAL STATEMENTS.
A132
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $87,552,298: | | | | |
Unaffiliated investments (cost $463,654,559) | | $ | 577,196,979 | |
Affiliated investments (cost $104,170,188) | | | 104,170,188 | |
Cash | | | 485 | |
Dividends and interest receivable | | | 473,937 | |
Receivable for Series shares sold | | | 58,736 | |
Prepaid expenses | | | 4,036 | |
| | |
|
|
|
Total Assets | | | 681,904,361 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 91,066,705 | |
Payable for investments purchased | | | 344,898 | |
Management fee payable | | | 198,249 | |
Accrued expenses and other liabilities | | | 174,299 | |
Payable for Series shares repurchased | | | 126,865 | |
Due to broker-variation margin | | | 94,415 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 92,006,308 | |
| | |
|
|
|
| NET ASSETS | | $ | 589,898,053 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | | 472,546,730 | |
Retained earnings | | | 117,351,323 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 589,898,053 | |
| | |
|
|
|
Net asset value and redemption price per share, $589,898,053 / 34,154,357 outstanding shares of beneficial interest | | $ | 17.27 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income | | $ | 6,510,495 | |
Affiliated income from securities loaned, net | | | 601,685 | |
Affiliated dividend income | | | 24,294 | |
Interest | | | 1,322 | |
| | |
|
|
|
| | | | 7,137,796 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 2,087,075 | |
Shareholders’ reports | | | 181,000 | |
Custodian’s fees and expenses | | | 140,000 | |
Audit fee | | | 19,000 | |
Trustees’ fees | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Insurance expenses | | | 7,000 | |
Legal fees and expenses | | | 7,000 | |
Commitment fee on syndicated credit agreement | | | 4,000 | |
Loan interest expense (Note 8) | | | 47 | |
Miscellaneous | | | 66,193 | |
| | |
|
|
|
Total expenses | | | 2,536,315 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 4,601,481 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 21,561,493 | |
Futures transactions | | | 1,257,874 | |
| | |
|
|
|
| | | | 22,819,367 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 93,849,063 | |
Futures | | | 135,596 | |
| | |
|
|
|
| | | | 93,984,659 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 116,804,026 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 121,405,507 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 4,601,481 | | | $ | 4,331,495 | |
Net realized gain (loss) on investments | | | 22,819,367 | | | | (15,188,855 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 93,984,659 | | | | 110,183,569 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 121,405,507 | | | | 99,326,209 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (4,329,959 | ) | | | (50,038,749 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [1,887,105 and 777,306 shares, respectively] | | | 29,176,634 | | | | 9,044,644 | |
Series shares issued in reinvestment of distributions [301,739 and 4,374,017 shares, respectively] | | | 4,329,959 | | | | 50,038,749 | |
Series shares repurchased [3,616,665 and 4,126,316 shares, respectively] | | | (52,851,604 | ) | | | (48,713,794 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (19,345,011 | ) | | | 10,369,599 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 97,730,537 | | | | 59,657,059 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 492,167,516 | | | | 432,510,457 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 589,898,053 | | | $ | 492,167,516 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A133
| | | | | | |
| | | STOCK INDEX PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.0% | |
| COMMON STOCKS — 98.0% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 2.6% | | | | | | | | |
Boeing Co. (The) | | | 143,736 | | | $ | 9,380,212 | |
General Dynamics Corp. | | | 73,500 | | | | 5,215,560 | |
Goodrich Corp. | | | 23,300 | | | | 2,052,031 | |
Honeywell International, Inc. | | | 152,050 | | | | 8,082,978 | |
ITT Corp. | | | 33,200 | | | | 1,730,052 | |
L-3 Communications Holdings, Inc. | | | 22,800 | | | | 1,607,172 | |
Lockheed Martin Corp. | | | 57,298 | | | | 4,005,703 | |
Northrop Grumman Corp. | | | 58,326 | | | | 3,778,358 | |
Precision Castparts Corp. | | | 26,800 | | | | 3,730,828 | |
Raytheon Co. | | | 74,318 | | | | 3,443,896 | |
Rockwell Collins, Inc. | | | 30,600 | | | | 1,782,756 | |
United Technologies Corp. | | | 180,400 | | | | 14,201,088 | |
| | | | | | |
|
|
|
| | | | | | | | 59,010,634 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 1.1% | | | | | | | | |
C.H. Robinson Worldwide, Inc. | | | 33,400 | | | | 2,678,346 | |
Expeditors International of Washington, Inc. | | | 41,600 | | | | 2,271,360 | |
FedEx Corp. | | | 62,440 | | | | 5,807,544 | |
United Parcel Service, Inc. (Class B Stock) | | | 195,700 | | | | 14,203,906 | |
| | | | | | |
|
|
|
| | | | | | | | 24,961,156 | |
| | | | | | |
|
|
|
Airlines — 0.1% | | | | | | | | |
Southwest Airlines Co. | | | 151,337 | | | | 1,964,354 | |
| | | | | | |
|
|
|
Auto Components — 0.3% | | | | | | | | |
Goodyear Tire & Rubber Co. (The)(a) | | | 47,600 | | | | 564,060 | |
Johnson Controls, Inc. | | | 136,300 | | | | 5,206,660 | |
| | | | | | |
|
|
|
| | | | | | | | 5,770,720 | |
| | | | | | |
|
|
|
Automobiles — 0.6% | | | | | | | | |
Ford Motor Co.(a)(b) | | | 720,959 | | | | 12,104,902 | |
Harley-Davidson, Inc. | | | 48,300 | | | | 1,674,561 | |
| | | | | | |
|
|
|
| | | | | | | | 13,779,463 | |
| | | | | | |
|
|
|
Beverages — 2.5% | | | | | | | | |
Brown-Forman Corp. (Class B Stock) | | | 18,500 | | | | 1,287,970 | |
Coca-Cola Co. (The) | | | 449,300 | | | | 29,550,461 | |
Coca-Cola Enterprises, Inc. | | | 60,600 | | | | 1,516,818 | |
Constellation Brands, Inc. (Class A Stock)(a) | | | 34,100 | | | | 755,315 | |
Dr Pepper Snapple Group, Inc. | | | 44,400 | | | | 1,561,104 | |
Molson Coors Brewing Co. (Class B Stock) | | | 31,100 | | | | 1,560,909 | |
PepsiCo, Inc. | | | 308,239 | | | | 20,137,254 | |
| | | | | | |
|
|
|
| | | | | | | | 56,369,831 | |
| | | | | | |
|
|
|
Biotechnology — 1.3% | | | | | | | | |
Amgen, Inc.(a) | | | 183,664 | | | | 10,083,154 | |
Biogen Idec, Inc.(a) | | | 47,925 | | | | 3,213,371 | |
Celgene Corp.(a) | | | 92,800 | | | | 5,488,192 | |
Cephalon, Inc.(a)(b) | | | 15,400 | | | | 950,488 | |
Genzyme Corp.(a) | | | 47,700 | | | | 3,396,240 | |
Gilead Sciences, Inc.(a) | | | 159,700 | | | | 5,787,528 | |
| | | | | | |
|
|
|
| | | | | | | | 28,918,973 | |
| | | | | | |
|
|
|
Building Products | | | | | | | | |
Masco Corp. | | | 64,400 | | | | 815,304 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Capital Markets — 2.5% | | | | | | | | |
Ameriprise Financial, Inc. | | | 52,800 | | | $ | 3,038,640 | |
Bank of New York Mellon Corp. (The) | | | 239,689 | | | | 7,238,608 | |
Charles Schwab Corp. (The) | | | 195,200 | | | | 3,339,872 | |
E*Trade Financial Corp.(a) | | | 40,010 | | | | 640,160 | |
Federated Investors, Inc. (Class B Stock)(b) | | | 20,800 | | | | 544,336 | |
Franklin Resources, Inc. | | | 30,100 | | | | 3,347,421 | |
Goldman Sachs Group, Inc. (The) | | | 101,300 | | | | 17,034,608 | |
Invesco Ltd. | | | 91,400 | | | | 2,199,084 | |
Janus Capital Group, Inc. | | | 39,000 | | | | 505,830 | |
Legg Mason, Inc.(b) | | | 32,600 | | | | 1,182,402 | |
Morgan Stanley | | | 292,810 | | | | 7,967,360 | |
Northern Trust Corp. | | | 48,200 | | | | 2,670,762 | |
State Street Corp. | | | 99,500 | | | | 4,610,830 | |
T. Rowe Price Group, Inc. | | | 50,600 | | | | 3,265,724 | |
| | | | | | |
|
|
|
| | | | | | | | 57,585,637 | |
| | | | | | |
|
|
|
Chemicals — 2.1% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 40,700 | | | | 3,701,665 | |
Airgas, Inc. | | | 15,200 | | | | 949,392 | |
CF Industries Holdings, Inc. | | | 12,800 | | | | 1,729,920 | |
Dow Chemical Co. (The) | | | 228,261 | | | | 7,792,831 | |
E.I. du Pont de Nemours & Co. | | | 178,391 | | | | 8,898,143 | |
Eastman Chemical Co. | | | 12,800 | | | | 1,076,224 | |
Ecolab, Inc. | | | 46,300 | | | | 2,334,446 | |
FMC Corp. | | | 12,600 | | | | 1,006,614 | |
International Flavors & Fragrances, Inc. | | | 16,100 | | | | 894,999 | |
Monsanto Co. | | | 103,096 | | | | 7,179,605 | |
PPG Industries, Inc. | | | 32,500 | | | | 2,732,275 | |
Praxair, Inc. | | | 61,700 | | | | 5,890,499 | |
Sherwin-Williams Co. (The) | | | 18,400 | | | | 1,541,000 | |
Sigma-Aldrich Corp. | | | 22,400 | | | | 1,490,944 | |
| | | | | | |
|
|
|
| | | | | | | | 47,218,557 | |
| | | | | | |
|
|
|
Commercial Banks — 2.9% | | | | | | | | |
BB&T Corp. | | | 139,700 | | | | 3,672,713 | |
Comerica, Inc. | | | 30,750 | | | | 1,298,880 | |
Fifth Third Bancorp | | | 163,649 | | | | 2,402,368 | |
First Horizon National Corp.(a) | | | 46,945 | | | | 553,012 | |
Huntington Bancshares, Inc. | | | 138,775 | | | | 953,384 | |
KeyCorp | | | 179,700 | | | | 1,590,345 | |
M&T Bank Corp.(b) | | | 21,500 | | | | 1,871,575 | |
Marshall & Ilsley Corp. | | | 105,998 | | | | 733,506 | |
PNC Financial Services Group, Inc. | | | 104,493 | | | | 6,344,815 | |
Regions Financial Corp. | | | 252,212 | | | | 1,765,484 | |
SunTrust Banks, Inc. | | | 100,800 | | | | 2,974,608 | |
U.S. Bancorp | | | 377,781 | | | | 10,188,754 | |
Wells Fargo & Co. | | | 1,025,786 | | | | 31,789,108 | |
Zions Bancorporation | | | 32,300 | | | | 782,629 | |
| | | | | | |
|
|
|
| | | | | | | | 66,921,181 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 0.5% | | | | | |
Avery Dennison Corp. | | | 23,400 | | | | 990,756 | |
Cintas Corp. | | | 26,500 | | | | 740,940 | |
Iron Mountain, Inc. | | | 39,200 | | | | 980,392 | |
Pitney Bowes, Inc. | | | 41,100 | | | | 993,798 | |
Republic Services, Inc. | | | 62,310 | | | | 1,860,577 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Commercial Services & Supplies (continued) | | | | | |
RR Donnelley & Sons Co. | | | 43,300 | | | $ | 756,451 | |
Stericycle, Inc.(a)(b) | | | 14,400 | | | | 1,165,248 | |
Waste Management, Inc. | | | 91,430 | | | | 3,371,024 | |
| | | | | | |
|
|
|
| | | | | | | | 10,859,186 | |
| | | | | | |
|
|
|
Communications Equipment — 2.2% | | | | | | | | |
Cisco Systems, Inc.(a) | | | 1,088,900 | | | | 22,028,447 | |
F5 Networks, Inc.(a) | | | 14,800 | | | | 1,926,368 | |
Harris Corp. | | | 27,600 | | | | 1,250,280 | |
JDS Uniphase Corp.(a) | | | 45,587 | | | | 660,100 | |
Juniper Networks, Inc.(a) | | | 103,900 | | | | 3,835,988 | |
Motorola, Inc.(a) | | | 453,095 | | | | 4,109,571 | |
QUALCOMM, Inc. | | | 312,100 | | | | 15,445,829 | |
Tellabs, Inc. | | | 81,700 | | | | 553,926 | |
| | | | | | |
|
|
|
| | | | | | | | 49,810,509 | |
| | | | | | |
|
|
|
Computers & Peripherals — 4.3% | | | | | | | | |
Apple, Inc.(a) | | | 179,300 | | | | 57,835,008 | |
Dell, Inc.(a) | | | 335,400 | | | | 4,544,670 | |
EMC Corp.(a)(b) | | | 403,874 | | | | 9,248,715 | |
Hewlett-Packard Co. | | | 446,816 | | | | 18,810,954 | |
Lexmark International, Inc. (Class A Stock)(a) | | | 15,514 | | | | 540,197 | |
NetApp, Inc.(a) | | | 66,800 | | | | 3,671,328 | |
QLogic Corp.(a) | | | 24,800 | | | | 422,096 | |
SanDisk Corp.(a) | | | 43,900 | | | | 2,188,854 | |
Western Digital Corp.(a) | | | 45,900 | | | | 1,556,010 | |
| | | | | | |
|
|
|
| | | | | | | | 98,817,832 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.2% | | | | | | | | |
Fluor Corp. | | | 34,100 | | | | 2,259,466 | |
Jacobs Engineering Group, Inc.(a) | | | 23,700 | | | | 1,086,645 | |
Quanta Services, Inc.(a)(b) | | | 35,600 | | | | 709,152 | |
| | | | | | |
|
|
|
| | | | | | | | 4,055,263 | |
| | | | | | |
|
|
|
Construction Materials | | | | | | | | |
Vulcan Materials Co. | | | 22,300 | | | | 989,228 | |
| | | | | | |
|
|
|
Consumer Finance — 0.7% | | | | | | | | |
American Express Co. | | | 208,300 | | | | 8,940,236 | |
Capital One Financial Corp. | | | 93,169 | | | | 3,965,272 | |
Discover Financial Services | | | 110,305 | | | | 2,043,952 | |
SLM Corp.(a) | | | 102,000 | | | | 1,284,180 | |
| | | | | | |
|
|
|
| | | | | | | | 16,233,640 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.2% | | | | | | | | |
Ball Corp. | | | 18,400 | | | | 1,252,120 | |
Bemis Co., Inc. | | | 21,300 | | | | 695,658 | |
Owens-Illinois, Inc.(a) | | | 30,400 | | | | 933,280 | |
Sealed Air Corp. | | | 31,620 | | | | 804,729 | |
| | | | | | |
|
|
|
| | | | | | | | 3,685,787 | |
| | | | | | |
|
|
|
Distributors — 0.1% | | | | | | | | |
Genuine Parts Co.(b) | | | 33,025 | | | | 1,695,504 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.1% | | | | | | | | |
Apollo Group, Inc.
(Class A Stock)(a) | | | 22,700 | | | | 896,423 | |
DeVry, Inc. | | | 13,700 | | | | 657,326 | |
H&R Block, Inc. | | | 66,500 | | | | 792,015 | |
| | | | | | |
|
|
|
| | | | | | | | 2,345,764 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Diversified Financial Services — 4.2% | | | | | | | | |
Bank of America Corp. | | | 1,981,832 | | | $ | 26,437,639 | |
Citigroup, Inc.(a) | | | 5,621,476 | | | | 26,589,581 | |
CME Group, Inc. | | | 13,320 | | | | 4,285,710 | |
IntercontinentalExchange, Inc.(a) | | | 14,800 | | | | 1,763,420 | |
JPMorgan Chase & Co. | | | 768,145 | | | | 32,584,711 | |
Leucadia National Corp. | | | 38,900 | | | | 1,135,102 | |
Moody’s Corp.(b) | | | 38,120 | | | | 1,011,705 | |
Nasdaq OMX Group, Inc. (The)(a) | | | 25,700 | | | | 609,347 | |
NYSE Euronext | | | 53,800 | | | | 1,612,924 | |
| | | | | | |
|
|
|
| | | | | | | | 96,030,139 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 2.7% | | | | | |
AT&T, Inc. | | | 1,160,611 | | | | 34,098,751 | |
CenturyLink, Inc.(b) | | | 55,930 | | | | 2,582,288 | |
Frontier Communications Corp. | | | 177,916 | | | | 1,731,123 | |
Qwest Communications International, Inc. | | | 320,047 | | | | 2,435,558 | |
Verizon Communications, Inc. | | | 556,738 | | | | 19,920,085 | |
Windstream Corp. | | | 90,665 | | | | 1,263,870 | |
| | | | | | |
|
|
|
| | | | | | | | 62,031,675 | |
| | | | | | |
|
|
|
Electric Utilities — 1.8% | | | | | | | | |
Allegheny Energy, Inc. | | | 32,600 | | | | 790,224 | |
American Electric Power Co., Inc. | | | 95,140 | | | | 3,423,137 | |
Duke Energy Corp. | | | 265,482 | | | | 4,728,234 | |
Edison International | | | 63,900 | | | | 2,466,540 | |
Entergy Corp. | | | 38,800 | | | | 2,748,204 | |
Exelon Corp. | | | 133,150 | | | | 5,544,366 | |
FirstEnergy Corp.(b) | | | 58,336 | | | | 2,159,599 | |
NextEra Energy, Inc. | | | 83,900 | | | | 4,361,961 | |
Northeast Utilities | | | 35,700 | | | | 1,138,116 | |
Pepco Holdings, Inc. | | | 42,800 | | | | 781,100 | |
Pinnacle West Capital Corp. | | | 20,900 | | | | 866,305 | |
PPL Corp. | | | 89,600 | | | | 2,358,272 | |
Progress Energy, Inc. | | | 57,114 | | | | 2,483,317 | |
Southern Co. | | | 161,300 | | | | 6,166,499 | |
| | | | | | |
|
|
|
| | | | | | | | 40,015,874 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.5% | | | | | | | | |
Emerson Electric Co. | | | 148,100 | | | | 8,466,877 | |
Rockwell Automation, Inc. | | | 30,300 | | | | 2,172,813 | |
Roper Industries, Inc. | | | 18,900 | | | | 1,444,527 | |
| | | | | | |
|
|
|
| | | | | | | | 12,084,217 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 0.4% | | | | | |
Amphenol Corp. (Class A Stock) | | | 35,000 | | | | 1,847,300 | |
Corning, Inc. | | | 309,300 | | | | 5,975,676 | |
FLIR Systems, Inc.(a) | | | 21,600 | | | | 642,600 | |
Jabil Circuit, Inc. | | | 40,100 | | | | 805,609 | |
Molex, Inc. | | | 26,600 | | | | 604,352 | |
| | | | | | |
|
|
|
| | | | | | | | 9,875,537 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 2.1% | | | | | |
Baker Hughes, Inc. | | | 81,248 | | | | 4,644,948 | |
Cameron International Corp.(a) | | | 45,300 | | | | 2,298,069 | |
Diamond Offshore Drilling, Inc.(b) | | | 12,500 | | | | 835,875 | |
FMC Technologies, Inc.(a) | | | 23,300 | | | | 2,071,603 | |
Halliburton Co. | | | 183,000 | | | | 7,471,890 | |
Helmerich & Payne, Inc. | | | 21,100 | | | | 1,022,928 | |
Nabors Industries Ltd.(a) | | | 56,600 | | | | 1,327,836 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Energy Equipment & Services (continued) | | | | | |
National Oilwell Varco, Inc. | | | 81,800 | | | $ | 5,501,050 | |
Rowan Cos., Inc.(a)(b) | | | 24,100 | | | | 841,331 | |
Schlumberger Ltd. | | | 263,522 | | | | 22,004,087 | |
| | | | | | |
|
|
|
| | | | | | | | 48,019,617 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 2.3% | | | | | |
Costco Wholesale Corp. | | | 83,832 | | | | 6,053,509 | |
CVS Caremark Corp. | | | 266,338 | | | | 9,260,572 | |
Kroger Co. (The) | | | 127,200 | | | | 2,844,192 | |
Safeway, Inc. | | | 68,200 | | | | 1,533,818 | |
SUPERVALU, Inc. | | | 40,408 | | | | 389,129 | |
Sysco Corp. | | | 115,600 | | | | 3,398,640 | |
Walgreen Co. | | | 178,700 | | | | 6,962,152 | |
Wal-Mart Stores, Inc. | | | 383,600 | | | | 20,687,548 | |
Whole Foods Market, Inc.(a)(b) | | | 29,000 | | | | 1,467,110 | |
| | | | | | |
|
|
|
| | | | | | | | 52,596,670 | |
| | | | | | |
|
|
|
Food Products — 1.7% | | | | | |
Archer-Daniels-Midland Co. | | | 125,738 | | | | 3,782,199 | |
Campbell Soup Co. | | | 34,900 | | | | 1,212,775 | |
ConAgra Foods, Inc. | | | 88,100 | | | | 1,989,298 | |
Dean Foods Co.(a) | | | 38,800 | | | | 342,992 | |
General Mills, Inc. | | | 127,300 | | | | 4,530,607 | |
H.J. Heinz Co. | | | 63,750 | | | | 3,153,075 | |
Hershey Co. (The) | | | 31,100 | | | | 1,466,365 | |
Hormel Foods Corp. | | | 13,800 | | | | 707,388 | |
JM Smucker Co. (The) | | | 23,800 | | | | 1,562,470 | |
Kellogg Co. | | | 49,300 | | | | 2,518,244 | |
Kraft Foods, Inc. (Class A Stock) | | | 341,011 | | | | 10,745,257 | |
McCormick & Co., Inc. | | | 27,600 | | | | 1,284,228 | |
Mead Johnson Nutrition Co. (Class A Stock) | | | 38,493 | | | | 2,396,189 | |
Sara Lee Corp. | | | 129,300 | | | | 2,264,043 | |
Tyson Foods, Inc. (Class A Stock) | | | 59,800 | | | | 1,029,756 | |
| | | | | | |
|
|
|
| | | | | | | | 38,984,886 | |
| | | | | | |
|
|
|
Gas Utilities — 0.1% | | | | | |
Nicor, Inc. | | | 10,200 | | | | 509,184 | |
ONEOK, Inc. | | | 19,400 | | | | 1,076,118 | |
| | | | | | |
|
|
|
| | | | | | | | 1,585,302 | |
| | | | | | |
|
|
|
Healthcare Equipment & Supplies — 1.6% | | | | | |
Baxter International, Inc. | | | 114,000 | | | | 5,770,680 | |
Becton, Dickinson & Co. | | | 45,600 | | | | 3,854,112 | |
Boston Scientific Corp.(a) | | | 300,299 | | | | 2,273,263 | |
C.R. Bard, Inc.(b) | | | 19,000 | | | | 1,743,630 | |
CareFusion Corp.(a) | | | 36,237 | | | | 931,291 | |
DENTSPLY International, Inc. | | | 27,100 | | | | 926,007 | |
Intuitive Surgical, Inc.(a) | | | 8,000 | | | | 2,062,000 | |
Medtronic, Inc. | | | 210,800 | | | | 7,818,572 | |
St. Jude Medical, Inc.(a) | | | 66,400 | | | | 2,838,600 | |
Stryker Corp. | | | 63,700 | | | | 3,420,690 | |
Varian Medical Systems, Inc.(a) | | | 23,300 | | | | 1,614,224 | |
Zimmer Holdings, Inc.(a) | | | 40,186 | | | | 2,157,185 | |
| | | | | | |
|
|
|
| | | | | | | | 35,410,254 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.9% | | | | | |
Aetna, Inc. | | | 84,348 | | | | 2,573,457 | |
AmerisourceBergen Corp. | | | 51,900 | | | | 1,770,828 | |
Cardinal Health, Inc. | | | 70,575 | | | | 2,703,728 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Healthcare Providers & Services (continued) | | | | | |
CIGNA Corp. | | | 56,500 | | | $ | 2,071,290 | |
Coventry Health Care, Inc.(a) | | | 32,750 | | | | 864,600 | |
DaVita, Inc.(a) | | | 18,400 | | | | 1,278,616 | |
Express Scripts, Inc.(a) | | | 104,400 | | | | 5,642,820 | |
Humana, Inc.(a) | | | 34,500 | | | | 1,888,530 | |
Laboratory Corp. of America Holdings(a)(b) | | | 19,400 | | | | 1,705,648 | |
McKesson Corp. | | | 48,107 | | | | 3,385,771 | |
Medco Health Solutions, Inc.(a) | | | 85,492 | | | | 5,238,095 | |
Patterson Cos., Inc. | | | 17,100 | | | | 523,773 | |
Quest Diagnostics, Inc.(b) | | | 28,100 | | | | 1,516,557 | |
Tenet Healthcare Corp.(a) | | | 80,000 | | | | 535,200 | |
UnitedHealth Group, Inc. | | | 221,600 | | | | 8,001,976 | |
WellPoint, Inc.(a) | | | 79,000 | | | | 4,491,940 | |
| | | | | | |
|
|
|
| | | | | | | | 44,192,829 | |
| | | | | | |
|
|
|
Healthcare Technology — 0.1% | | | | | | | | |
Cerner Corp.(a) | | | 12,700 | | | | 1,203,198 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.7% | | | | | |
Carnival Corp. | | | 84,900 | | | | 3,914,739 | |
Darden Restaurants, Inc. | | | 29,350 | | | | 1,363,014 | |
International Game Technology | | | 49,100 | | | | 868,579 | |
Marriott International, Inc.
(Class A Stock) | | | 52,203 | | | | 2,168,513 | |
McDonald’s Corp. | | | 208,800 | | | | 16,027,488 | |
Starbucks Corp. | | | 151,100 | | | | 4,854,843 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 35,600 | | | | 2,163,768 | |
Wyndham Worldwide Corp. | | | 32,563 | | | | 975,587 | |
Wynn Resorts Ltd. | | | 13,100 | | | | 1,360,304 | |
Yum! Brands, Inc. | | | 93,300 | | | | 4,576,365 | |
| | | | | | |
|
|
|
| | | | | | | | 38,273,200 | |
| | | | | | |
|
|
|
Household Durables — 0.4% | | | | | | | | |
D.R. Horton, Inc. | | | 49,200 | | | | 586,956 | |
Fortune Brands, Inc. | | | 26,900 | | | | 1,620,725 | |
Harman International Industries, Inc.(a) | | | 14,100 | | | | 652,830 | |
Leggett & Platt, Inc. | | | 28,200 | | | | 641,832 | |
Lennar Corp. (Class A Stock)(b) | | | 29,200 | | | | 547,500 | |
Newell Rubbermaid, Inc. | | | 60,049 | | | | 1,091,691 | |
Pulte Group, Inc.(a)(b) | | | 51,385 | | | | 386,415 | |
Stanley Black & Decker, Inc. | | | 29,635 | | | | 1,981,692 | |
Whirlpool Corp.(b) | | | 14,607 | | | | 1,297,540 | |
| | | | | | |
|
|
|
| | | | | | | | 8,807,181 | |
| | | | | | |
|
|
|
Household Products — 2.2% | | | | | | | | |
Clorox Co. | | | 27,600 | | | | 1,746,528 | |
Colgate-Palmolive Co. | | | 94,300 | | | | 7,578,891 | |
Kimberly-Clark Corp. | | | 81,288 | | | | 5,124,395 | |
Procter & Gamble Co. (The) | | | 549,581 | | | | 35,354,546 | |
| | | | | | |
|
|
|
| | | | | | | | 49,804,360 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.2% | |
AES Corp. (The)(a) | | | 133,100 | | | | 1,621,158 | |
Constellation Energy Group, Inc. | | | 38,950 | | | | 1,193,039 | |
NRG Energy, Inc.(a) | | | 52,600 | | | | 1,027,804 | |
| | | | | | |
|
|
|
| | | | | | | | 3,842,001 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A136
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Industrial Conglomerates — 2.4% | | | | | | | | |
3M Co. | | | 140,200 | | | $ | 12,099,260 | |
General Electric Co. | | | 2,089,800 | | | | 38,222,442 | |
Textron, Inc. | | | 42,100 | | | | 995,244 | |
Tyco International Ltd. | | | 97,500 | | | | 4,040,400 | |
| | | | | | |
|
|
|
| | | | | | | | 55,357,346 | |
| | | | | | |
|
|
|
Insurance — 3.7% | | | | | | | | |
ACE Ltd. | | | 65,400 | | | | 4,071,150 | |
AFLAC, Inc. | | | 96,400 | | | | 5,439,852 | |
Allstate Corp. (The) | | | 111,588 | | | | 3,557,426 | |
American International Group, Inc.(a)(b) | | | 22,829 | | | | 1,315,407 | |
Aon Corp. | | | 61,025 | | | | 2,807,760 | |
Assurant, Inc. | | | 24,500 | | | | 943,740 | |
Berkshire Hathaway, Inc.
(Class B Stock)(a)(b) | | | 339,900 | | | | 27,229,389 | |
Chubb Corp. (The) | | | 63,500 | | | | 3,787,140 | |
Cincinnati Financial Corp. | | | 36,228 | | | | 1,148,065 | |
Genworth Financial, Inc.
(Class A Stock)(a) | | | 105,200 | | | | 1,382,328 | |
Hartford Financial Services Group, Inc. (The) | | | 86,300 | | | | 2,286,087 | |
Lincoln National Corp. | | | 62,963 | | | | 1,751,001 | |
Loews Corp. | | | 63,126 | | | | 2,456,233 | |
Marsh & McLennan Cos., Inc. | | | 110,700 | | | | 3,026,538 | |
MetLife, Inc.(b) | | | 177,000 | | | | 7,865,880 | |
Principal Financial Group, Inc. | | | 65,500 | | | | 2,132,680 | |
Progressive Corp. (The) | | | 131,800 | | | | 2,618,866 | |
Torchmark Corp. | | | 17,300 | | | | 1,033,502 | |
Travelers Cos., Inc. (The) | | | 94,498 | | | | 5,264,484 | |
Unum Group | | | 71,756 | | | | 1,737,930 | |
XL Group PLC (Class A Stock) | | | 72,300 | | | | 1,577,586 | |
| | | | | | |
|
|
|
| | | | | | | | 83,433,044 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.8% | | | | | | | | |
Amazon.com, Inc.(a) | | | 68,600 | | | | 12,348,000 | |
Expedia, Inc. | | | 41,800 | | | | 1,048,762 | |
NetFlix, Inc.(a) | | | 7,300 | | | | 1,282,610 | |
priceline.com, Inc.(a) | | | 9,200 | | | | 3,675,860 | |
| | | | | | |
|
|
|
| | | | | | | | 18,355,232 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.9% | | | | | | | | |
Akamai Technologies, Inc.(a) | | | 33,500 | | | | 1,576,175 | |
eBay, Inc.(a)(b) | | | 226,500 | | | | 6,303,495 | |
Google, Inc. (Class A Stock)(a) | | | 48,750 | | | | 28,956,037 | |
Monster Worldwide, Inc.(a)(b) | | | 25,200 | | | | 595,476 | |
VeriSign, Inc. | | | 35,300 | | | | 1,153,251 | |
Yahoo!, Inc.(a) | | | 257,100 | | | | 4,275,573 | |
| | | | | | |
|
|
|
| | | | | | | | 42,860,007 | |
| | | | | | |
|
|
|
IT Services — 3.0% | | | | | | | | |
Automatic Data Processing, Inc. | | | 96,200 | | | | 4,452,136 | |
Cognizant Technology Solutions Corp. (Class A Stock)(a) | | | 57,900 | | | | 4,243,491 | |
Computer Sciences Corp. | | | 31,900 | | | | 1,582,240 | |
Fidelity National Information Services, Inc. | | | 50,100 | | | | 1,372,239 | |
Fiserv, Inc.(a) | | | 30,200 | | | | 1,768,512 | |
International Business Machines Corp. | | | 242,000 | | | | 35,515,920 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
IT Services (contined) | | | | | | | | |
Mastercard, Inc. (Class A Stock) | | | 19,000 | | | $ | 4,258,090 | |
Paychex, Inc. | | | 63,250 | | | | 1,955,058 | |
SAIC, Inc.(a) | | | 62,200 | | | | 986,492 | |
Teradata Corp.(a) | | | 33,200 | | | | 1,366,512 | |
Total System Services, Inc. | | | 37,093 | | | | 570,490 | |
Visa, Inc. (Class A Stock) | | | 96,700 | | | | 6,805,746 | |
Western Union Co. (The) | | | 128,104 | | | | 2,378,891 | |
| | | | | | |
|
|
|
| | | | | | | | 67,255,817 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.1% | | | | | |
Hasbro, Inc. | | | 27,150 | | | | 1,280,937 | |
Mattel, Inc. | | | 73,281 | | | | 1,863,536 | |
| | | | | | |
|
|
|
| | | | | | | | 3,144,473 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.5% | | | | | |
Agilent Technologies, Inc.(a) | | | 68,282 | | | | 2,828,923 | |
Life Technologies Corp.(a) | | | 37,430 | | | | 2,077,365 | |
PerkinElmer, Inc. | | | 23,200 | | | | 599,024 | |
Thermo Fisher Scientific, Inc.(a) | | | 78,800 | | | | 4,362,368 | |
Waters Corp.(a) | | | 18,600 | | | | 1,445,406 | |
| | | | | | |
|
|
|
| | | | | | | | 11,313,086 | |
| | | | | | |
|
|
|
Machinery — 2.3% | | | | | | | | |
Caterpillar, Inc. | | | 124,100 | | | | 11,623,206 | |
Cummins, Inc. | | | 38,900 | | | | 4,279,389 | |
Danaher Corp. | | | 104,000 | | | | 4,905,680 | |
Deere & Co. | | | 85,800 | | | | 7,125,690 | |
Dover Corp. | | | 38,900 | | | | 2,273,705 | |
Eaton Corp. | | | 34,500 | | | | 3,502,095 | |
Flowserve Corp. | | | 10,700 | | | | 1,275,654 | |
Illinois Tool Works, Inc. | | | 97,800 | | | | 5,222,520 | |
Ingersoll-Rand PLC(b) | | | 59,100 | | | | 2,783,019 | |
PACCAR, Inc. | | | 70,228 | | | | 4,032,492 | |
Pall Corp. | | | 24,200 | | | | 1,199,836 | |
Parker Hannifin Corp. | | | 32,487 | | | | 2,803,628 | |
Snap-On, Inc. | | | 12,700 | | | | 718,566 | |
| | | | | | |
|
|
|
| | | | | | | | 51,745,480 | |
| | | | | | |
|
|
|
Media — 3.1% | | | | | | | | |
Cablevision Systems Corp.
(Class A Stock) | | | 41,800 | | | | 1,414,512 | |
CBS Corp. (Class B Stock) | | | 129,068 | | | | 2,458,745 | |
Comcast Corp. (Class A Stock) | | | 545,546 | | | | 11,985,646 | |
DIRECTV (Class A Stock)(a) | | | 167,600 | | | | 6,692,268 | |
Discovery Communications, Inc.
(Class A Stock)(a)(b) | | | 52,700 | | | | 2,197,590 | |
Gannett Co., Inc. | | | 50,200 | | | | 757,518 | |
Interpublic Group of Cos., Inc. (The)(a) | | | 86,900 | | | | 922,878 | |
McGraw-Hill Cos., Inc. (The) | | | 58,800 | | | | 2,140,908 | |
Meredith Corp. | | | 3,600 | | | | 124,740 | |
News Corp. (Class A Stock) | | | 452,800 | | | | 6,592,768 | |
Omnicom Group, Inc. | | | 59,400 | | | | 2,720,520 | |
Scripps Networks Interactive, Inc.
(Class A Stock) | | | 15,600 | | | | 807,300 | |
Time Warner Cable, Inc. | | | 70,926 | | | | 4,683,244 | |
Time Warner, Inc. | | | 221,940 | | | | 7,139,810 | |
Viacom, Inc. (Class B Stock) | | | 121,768 | | | | 4,823,230 | |
Walt Disney Co. (The) | | | 371,001 | | | | 13,916,248 | |
Washington Post Co. (The)
(Class B Stock)(b) | | | 1,200 | | | | 527,400 | |
| | | | | | |
|
|
|
| | | | | | | | 69,905,325 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A137
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Metals & Mining — 1.2% | | | | | | | | |
AK Steel Holding Corp. | | | 23,900 | | | $ | 391,243 | |
Alcoa, Inc. | | | 204,576 | | | | 3,148,425 | |
Allegheny Technologies, Inc. | | | 15,840 | | | | 874,051 | |
Cliffs Natural Resources, Inc. | | | 27,000 | | | | 2,106,270 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 93,606 | | | | 11,241,144 | |
Newmont Mining Corp. | | | 96,003 | | | | 5,897,464 | |
Nucor Corp. | | | 61,400 | | | | 2,690,548 | |
Titanium Metals Corp.(a) | | | 9,200 | | | | 158,056 | |
United States Steel Corp. | | | 24,640 | | | | 1,439,469 | |
| | | | | | |
|
|
|
| | | | | | | | 27,946,670 | |
| | | | | | |
|
|
|
Multiline Retail — 0.8% | | | | | | | | |
Big Lots, Inc.(a) | | | 15,900 | | | | 484,314 | |
Family Dollar Stores, Inc. | | | 26,300 | | | | 1,307,373 | |
J.C. Penney Co., Inc. | | | 42,500 | | | | 1,373,175 | |
Kohl’s Corp.(a) | | | 61,900 | | | | 3,363,646 | |
Macy’s, Inc. | | | 84,920 | | | | 2,148,476 | |
Nordstrom, Inc. | | | 30,100 | | | | 1,275,638 | |
Sears Holdings Corp.(a)(b) | | | 8,112 | | | | 598,260 | |
Target Corp. | | | 142,368 | | | | 8,560,588 | |
| | | | | | |
|
|
|
| | | | | | | | 19,111,470 | |
| | | | | | |
|
|
|
Multi-Utilities — 1.3% | | | | | | | | |
Ameren Corp. | | | 48,500 | | | | 1,367,215 | |
CenterPoint Energy, Inc. | | | 79,010 | | | | 1,242,037 | |
CMS Energy Corp. | | | 43,900 | | | | 816,540 | |
Consolidated Edison, Inc. | | | 53,900 | | | | 2,671,823 | |
Dominion Resources, Inc. | | | 115,384 | | | | 4,929,204 | |
DTE Energy Co. | | | 33,700 | | | | 1,527,284 | |
Integrys Energy Group, Inc.(b) | | | 16,550 | | | | 802,841 | |
NiSource, Inc.(b) | | | 57,000 | | | | 1,004,340 | |
PG&E Corp. | | | 73,500 | | | | 3,516,240 | |
Public Service Enterprise Group, Inc. | | | 99,400 | | | | 3,161,914 | |
SCANA Corp. | | | 22,200 | | | | 901,320 | |
Sempra Energy | | | 48,554 | | | | 2,548,114 | |
TECO Energy, Inc. | | | 43,400 | | | | 772,520 | |
Wisconsin Energy Corp. | | | 22,600 | | | | 1,330,236 | |
Xcel Energy, Inc. | | | 90,095 | | | | 2,121,737 | |
| | | | | | |
|
|
|
| | | | | | | | 28,713,365 | |
| | | | | | |
|
|
|
Office Electronics — 0.1% | | | | | | | | |
Xerox Corp. | | | 280,311 | | | | 3,229,183 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 9.7% | | | | | | | | |
Anadarko Petroleum Corp. | | | 96,726 | | | | 7,366,652 | |
Apache Corp. | | | 73,150 | | | | 8,721,674 | |
Cabot Oil & Gas Corp. | | | 21,500 | | | | 813,775 | |
Chesapeake Energy Corp. | | | 132,000 | | | | 3,420,120 | |
Chevron Corp. | | | 394,892 | | | | 36,033,895 | |
ConocoPhillips | | | 290,479 | | | | 19,781,620 | |
Consol Energy, Inc. | | | 39,700 | | | | 1,934,978 | |
Denbury Resources, Inc.(a) | | | 69,300 | | | | 1,322,937 | |
Devon Energy Corp. | | | 86,000 | | | | 6,751,860 | |
El Paso Corp. | | | 143,311 | | | | 1,971,959 | |
EOG Resources, Inc. | | | 47,800 | | | | 4,369,398 | |
EQT Corp. | | | 27,300 | | | | 1,224,132 | |
Exxon Mobil Corp. | | | 985,184 | | | | 72,036,654 | |
Hess Corp. | | | 57,000 | | | | 4,362,780 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Oil, Gas & Consumable Fuels (continued) | | | | | |
Marathon Oil Corp. | | | 143,594 | | | $ | 5,317,286 | |
Massey Energy Co. | | | 15,700 | | | | 842,305 | |
Murphy Oil Corp. | | | 38,600 | | | | 2,877,630 | |
Newfield Exploration Co.(a) | | | 23,100 | | | | 1,665,741 | |
Noble Energy, Inc. | | | 34,600 | | | | 2,978,368 | |
Occidental Petroleum Corp. | | | 160,500 | | | | 15,745,050 | |
Peabody Energy Corp. | | | 50,900 | | | | 3,256,582 | |
Pioneer Natural Resources Co. | | | 21,600 | | | | 1,875,312 | |
Qep Resources, Inc. | | | 33,200 | | | | 1,205,492 | |
Range Resources Corp. | | | 32,200 | | | | 1,448,356 | |
Southwestern Energy Co.(a) | | | 69,300 | | | | 2,593,899 | |
Spectra Energy Corp. | | | 129,842 | | | | 3,244,752 | |
Sunoco, Inc. | | | 22,500 | | | | 906,975 | |
Tesoro Corp(a). | | | 31,500 | | | | 584,010 | |
Valero Energy Corp. | | | 112,600 | | | | 2,603,312 | |
Williams Cos., Inc. (The) | | | 117,000 | | | | 2,892,240 | |
| | | | | | |
|
|
|
| | | | | | | | 220,149,744 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | | | | |
International Paper Co. | | | 87,867 | | | | 2,393,497 | |
MeadWestvaco Corp. | | | 36,489 | | | | 954,552 | |
| | | | | | |
|
|
|
| | | | | | | | 3,348,049 | |
| | | | | | |
|
|
|
Personal Products — 0.2% | | | | | | | | |
Avon Products, Inc. | | | 85,100 | | | | 2,473,006 | |
Estee Lauder Cos., Inc. (The)
(Class A Stock) | | | 22,900 | | | | 1,848,030 | |
| | | | | | |
|
|
|
| | | | | | | | 4,321,036 | |
| | | | | | |
|
|
|
Pharmaceuticals — 5.4% | | | | | | | | |
Abbott Laboratories | | | 306,400 | | | | 14,679,624 | |
Allergan, Inc. | | | 58,700 | | | | 4,030,929 | |
Bristol-Myers Squibb Co. | | | 332,540 | | | | 8,805,659 | |
Eli Lilly & Co. | | | 198,800 | | | | 6,965,952 | |
Forest Laboratories, Inc.(a) | | | 57,200 | | | | 1,829,256 | |
Hospira, Inc.(a) | | | 29,920 | | | | 1,666,245 | |
Johnson & Johnson | | | 533,871 | | | | 33,019,922 | |
Merck & Co., Inc. | | | 598,704 | | | | 21,577,286 | |
Mylan, Inc.(a) | | | 73,300 | | | | 1,548,829 | |
Pfizer, Inc. | | | 1,565,373 | | | | 27,409,681 | |
Watson Pharmaceuticals, Inc.(a) | | | 21,100 | | | | 1,089,815 | |
| | | | | | |
|
|
|
| | | | | | | | 122,623,198 | |
| | | | | | |
|
|
|
Professional Services — 0.1% | | | | | | | | |
Dun & Bradstreet Corp. | | | 8,800 | | | | 722,392 | |
Equifax, Inc. | | | 22,800 | | | | 811,680 | |
Robert Half International, Inc. | | | 30,500 | | | | 933,300 | |
| | | | | | |
|
|
|
| | | | | | | | 2,467,372 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 1.4% | | | | | | | | |
Apartment Investment & Management Co. (Class A Stock)(b) | | | 29,974 | | | | 774,528 | |
AvalonBay Communities, Inc. | | | 16,518 | | | | 1,859,101 | |
Boston Properties, Inc. | | | 28,100 | | | | 2,419,410 | |
Equity Residential | | | 56,500 | | | | 2,935,175 | |
HCP, Inc. | | | 65,100 | | | | 2,395,029 | |
Health Care REIT, Inc.(b) | | | 25,700 | | | | 1,224,348 | |
Host Hotels & Resorts, Inc.(b) | | | 129,726 | | | | 2,318,204 | |
Kimco Realty Corp. | | | 76,400 | | | | 1,378,256 | |
Plum Creek Timber Co., Inc.(b) | | | 30,200 | | | | 1,130,990 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Real Estate Investment Trusts (continued) | | | | | |
ProLogis | | | 94,500 | | | $ | 1,364,580 | |
Public Storage(b) | | | 27,600 | | | | 2,799,192 | |
Simon Property Group, Inc. | | | 59,001 | | | | 5,870,009 | |
Ventas, Inc. | | | 32,600 | | | | 1,710,848 | |
Vornado Realty Trust | | | 33,557 | | | | 2,796,305 | |
Weyerhaeuser Co. | | | 102,910 | | | | 1,948,086 | |
| | | | | | |
|
|
|
| | | | | | | | 32,924,061 | |
| | | | | | |
|
|
|
Real Estate Management & Development | | | | | |
CB Richard Ellis Group, Inc.
(Class A Stock)(a) | | | 51,100 | | | | 1,046,528 | |
| | | | | | |
|
|
|
Road & Rail — 0.8% | | | | | | | | |
CSX Corp. | | | 72,424 | | | | 4,679,315 | |
Norfolk Southern Corp. | | | 74,400 | | | | 4,673,808 | |
Ryder System, Inc. | | | 10,700 | | | | 563,248 | |
Union Pacific Corp. | | | 97,400 | | | | 9,025,084 | |
| | | | | | |
|
|
|
| | | | | | | | 18,941,455 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 2.4% | |
Advanced Micro Devices, Inc.(a) | | | 107,600 | | | | 880,168 | |
Altera Corp. | | | 57,500 | | | | 2,045,850 | |
Analog Devices, Inc. | | | 60,200 | | | | 2,267,734 | |
Applied Materials, Inc. | | | 266,900 | | | | 3,749,945 | |
Broadcom Corp. (Class A Stock) | | | 85,950 | | | | 3,743,123 | |
First Solar, Inc.(a)(b) | | | 9,300 | | | | 1,210,302 | |
Intel Corp. | | | 1,095,700 | | | | 23,042,571 | |
KLA-Tencor Corp. | | | 32,000 | | | | 1,236,480 | |
Linear Technology Corp. | | | 46,000 | | | | 1,591,140 | |
LSI Corp.(a) | | | 125,100 | | | | 749,349 | |
MEMC Electronic Materials, Inc.(a) | | | 35,500 | | | | 399,730 | |
Microchip Technology, Inc.(b) | | | 33,500 | | | | 1,146,035 | |
Micron Technology, Inc.(a) | | | 167,700 | | | | 1,344,954 | |
National Semiconductor Corp. | | | 44,500 | | | | 612,320 | |
Novellus Systems, Inc.(a) | | | 20,400 | | | | 659,328 | |
NVIDIA Corp.(a) | | | 102,650 | | | | 1,580,810 | |
Teradyne, Inc.(a)(b) | | | 37,800 | | | | 530,712 | |
Texas Instruments, Inc. | | | 230,900 | | | | 7,504,250 | |
Xilinx, Inc. | | | 44,400 | | | | 1,286,712 | |
| | | | | | |
|
|
|
| | | | | | | | 55,581,513 | |
| | | | | | |
|
|
|
Software — 3.9% | | | | | | | | |
Adobe Systems, Inc.(a) | | | 97,400 | | | | 2,997,972 | |
Autodesk, Inc.(a) | | | 45,400 | | | | 1,734,280 | |
BMC Software, Inc.(a) | | | 32,700 | | | | 1,541,478 | |
CA, Inc. | | | 74,773 | | | | 1,827,452 | |
Citrix Systems, Inc.(a) | | | 37,300 | | | | 2,551,693 | |
Compuware Corp.(a) | | | 39,500 | | | | 460,965 | |
Electronic Arts, Inc.(a) | | | 64,700 | | | | 1,059,786 | |
Intuit, Inc.(a) | | | 59,900 | | | | 2,953,070 | |
McAfee, Inc.(a) | | | 33,700 | | | | 1,560,647 | |
Microsoft Corp. | | | 1,473,600 | | | | 41,142,912 | |
Novell, Inc.(a) | | | 73,100 | | | | 432,752 | |
Oracle Corp. | | | 758,820 | | | | 23,751,066 | |
Red Hat, Inc.(a) | | | 35,600 | | | | 1,625,140 | |
Salesforce.com, Inc.(a)(b) | | | 21,500 | | | | 2,838,000 | |
Symantec Corp.(a) | | | 158,111 | | | | 2,646,778 | |
| | | | | | |
|
|
|
| | | | | | | | 89,123,991 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Specialty Retail — 1.9% | | | | | | | | |
Abercrombie & Fitch Co.
(Class A Stock) | | | 13,700 | | | $ | 789,531 | |
AutoNation, Inc.(a)(b) | | | 11,689 | | | | 329,630 | |
AutoZone, Inc.(a) | | | 5,500 | | | | 1,499,245 | |
Bed Bath & Beyond, Inc.(a) | | | 52,900 | | | | 2,600,035 | |
Best Buy Co., Inc. | | | 64,525 | | | | 2,212,562 | |
CarMax, Inc.(a)(b) | | | 40,000 | | | | 1,275,200 | |
GameStop Corp. (Class A Stock)(a) | | | 33,800 | | | | 773,344 | |
Gap, Inc. (The) | | | 88,287 | | | | 1,954,674 | |
Home Depot, Inc. | | | 319,619 | | | | 11,205,842 | |
Limited Brands, Inc. | | | 54,196 | | | | 1,665,443 | |
Lowe’s Cos., Inc. | | | 272,700 | | | | 6,839,316 | |
O’Reilly Automotive, Inc.(a)(b) | | | 25,200 | | | | 1,522,584 | |
RadioShack Corp. | | | 26,560 | | | | 491,095 | |
Ross Stores, Inc. | | | 24,700 | | | | 1,562,275 | |
Staples, Inc. | | | 142,100 | | | | 3,235,617 | |
Tiffany & Co. | | | 23,200 | | | | 1,444,664 | |
TJX Cos., Inc. | | | 82,600 | | | | 3,666,614 | |
Urban Outfitters, Inc.(a) | | | 23,300 | | | | 834,373 | |
| | | | | | |
|
|
|
| | | | | | | | 43,902,044 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.6% | | | | | |
Coach, Inc. | | | 58,600 | | | | 3,241,166 | |
NIKE, Inc. (Class B Stock) | | | 74,500 | | | | 6,363,790 | |
Polo Ralph Lauren Corp. | | | 12,900 | | | | 1,430,868 | |
VF Corp. | | | 19,136 | | | | 1,649,140 | |
| | | | | | |
|
|
|
| | | | | | | | 12,684,964 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 0.1% | | | | | | | | |
Hudson City Bancorp, Inc. | | | 107,200 | | | | 1,365,728 | |
People’s United Financial, Inc. | | | 69,900 | | | | 979,299 | |
| | | | | | |
|
|
|
| | | | | | | | 2,345,027 | |
| | | | | | |
|
|
|
Tobacco — 1.6% | | | | | | | | |
Altria Group, Inc. | | | 406,800 | | | | 10,015,416 | |
Lorillard, Inc. | | | 29,831 | | | | 2,447,932 | |
Philip Morris International, Inc. | | | 352,100 | | | | 20,608,413 | |
Reynolds American, Inc. | | | 68,400 | | | | 2,231,208 | |
| | | | | | |
|
|
|
| | | | | | | | 35,302,969 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.1% | | | | | |
Fastenal Co.(b) | | | 26,800 | | | | 1,605,588 | |
W.W. Grainger, Inc. | | | 12,400 | | | | 1,712,564 | |
| | | | | | |
|
|
|
| | | | | | | | 3,318,152 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.3% | | | | | |
American Tower Corp.
(Class A Stock)(a) | | | 79,500 | | | | 4,105,380 | |
MetroPCS Communications, Inc.(a) | | | 39,500 | | | | 498,885 | |
Sprint Nextel Corp.(a) | | | 587,022 | | | | 2,483,103 | |
| | | | | | |
|
|
|
| | | | | | | | 7,087,368 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,277,203,274) | | | | 2,232,103,432 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A139
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
SHORT-TERM
INVESTMENTS — 5.7% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Affiliated Money Market Mutual Fund — 5.5% | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $126,368,257; includes $88,599,098 of cash collateral received for securities on loan)
(Note 4)(c)(d) | | | 126,368,257 | | | $ | 126,368,257 | |
| | | | | | |
|
|
|
| | | | | | | | |
| | | Principal
Amount
(000)
| | | Value
(Note 2)
| |
U.S. Government Obligation — 0.2% | | | | | |
U.S. Treasury Bill, 0.11%, 03/17/2011(e)(f)
(cost $4,998,072) | | $ | 5,000 | | | $ | 4,998,885 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $131,366,329) | | | | 131,367,142 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 103.7%
(cost $1,408,569,603) | | | | 2,363,470,574 | |
| | | | | | |
|
|
|
LIABILITIES IN EXCESS OF OTHER
ASSETS(g) — (3.7)% | | | | (85,919,280 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 2,277,551,294 | |
| | | | | | |
|
|
|
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $86,584,103; cash collateral of $88,599,098 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund. |
| (e) | Rate quoted represents yield-to-maturity as of purchase date. |
| (f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (g) | Liabilites in excess of other assets include net unrealized appreciation (depreciation) on financial futures contracts as follows: |
Open futures contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2010
| | | Unrealized
Appreciation
| |
| Long Position: | | | | | | | | | | | | | | | | | | | | |
| 144 | | | S&P 500 Index | | | | Mar. 2011 | | | $ | 44,516,751 | | | $ | 45,108,000 | | | $ | 591,249 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
Level 2— | | other significant observable inputs (including but not limited to quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
Level 3— | | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 2,232,103,432 | | | $ | — | | | $ | — | |
U.S. Government Obligation | | | — | | | | 4,998,885 | | | | — | |
Affiliated Money Market Mutual Fund | | | 126,368,257 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| | | | 2,358,471,689 | | | | 4,998,885 | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures | | | 591,249 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 2,359,062,938 | | | $ | 4,998,885 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 9.7 | % |
Affiliated Money Market Mutual Fund (including 3.9% of collateral received for securities on loan) | | | 5.5 | |
Pharmaceuticals | | | 5.4 | |
Computers & Peripherals | | | 4.3 | |
Diversified Financial Services | | | 4.2 | |
Software | | | 3.9 | |
Insurance | | | 3.7 | |
Media | | | 3.1 | |
IT Services | | | 3.0 | |
Commercial Banks | | | 2.9 | |
Diversified Telecommunication Services | | | 2.7 | |
Aerospace & Defense | | | 2.6 | |
Beverages | | | 2.5 | |
Capital Markets | | | 2.5 | |
Industrial Conglomerates | | | 2.4 | |
Semiconductors & Semiconductor Equipment | | | 2.4 | |
Food & Staples Retailing | | | 2.3 | |
Machinery | | | 2.3 | |
Communications Equipment | | | 2.2 | |
Household Products | | | 2.2 | |
Chemicals | | | 2.1 | |
Energy Equipment & Services | | | 2.1 | |
Healthcare Providers & Services | | | 1.9 | |
Internet Software & Services | | | 1.9 | |
Specialty Retail | | | 1.9 | |
Electric Utilities | | | 1.8 | |
Food Products | | | 1.7 | |
Hotels, Restaurants & Leisure | | | 1.7 | |
Healthcare Equipment & Supplies | | | 1.6 | |
Tobacco | | | 1.6 | |
Real Estate Investment Trusts | | | 1.4 | |
Biotechnology | | | 1.3 | |
| | | | |
Multi-Utilities | | | 1.35 | % |
Metals & Mining | | | 1.2 | |
Air Freight & Logistics | | | 1.1 | |
Internet & Catalog Retail | | | 0.8 | |
Multiline Retail | | | 0.8 | |
Road & Rail | | | 0.8 | |
Consumer Finance | | | 0.7 | |
Automobiles | | | 0.6 | |
Textiles, Apparel & Luxury Goods | | | 0.6 | |
Commercial Services & Supplies | | | 0.5 | |
Electrical Equipment | | | 0.5 | |
Life Sciences Tools & Services | | | 0.5 | |
Electronic Equipment & Instruments | | | 0.4 | |
Household Durables | | | 0.4 | |
Auto Components | | | 0.3 | |
Wireless Telecommunication Services | | | 0.3 | |
Construction & Engineering | | | 0.2 | |
Containers & Packaging | | | 0.2 | |
Independent Power Producers & Energy Traders | | | 0.2 | |
Personal Products | | | 0.2 | |
U.S. Government Obligation | | | 0.2 | |
Airlines | | | 0.1 | |
Distributors | | | 0.1 | |
Diversified Consumer Services | | | 0.1 | |
Gas Utilities | | | 0.1 | |
Healthcare Technology | | | 0.1 | |
Leisure Equipment & Products | | | 0.1 | |
Office Electronics | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
Professional Services | | | 0.1 | |
Thrifts & Mortgage Finance | | | 0.1 | |
Trading Companies & Distributors | | | 0.1 | |
| | |
|
|
|
| | | | 103.7 | |
Liabilities in excess of other liabilities | | | (3.7 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | |
Derivatives not designated as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | Fair
Value
| | | Balance Sheet Location
| | Fair
Value
| |
Equity contracts | | Due to broker -variation margin | | $ | 591,249 | * | | — | | $ | — | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A141
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 3,305,915 | |
| | |
|
|
|
| | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 411,060 | |
| | |
|
|
|
For the year ended December 31, 2010, the average value at trade date for futures long position was $46,129,378.
SEE NOTES TO FINANCIAL STATEMENTS.
A142
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $86,584,103: | | | | |
Unaffiliated investments (cost $1,282,201,346) | | $ | 2,237,102,317 | |
Affiliated investments (cost $126,368,257) | | | 126,368,257 | |
Dividends and interest receivable | | | 2,650,435 | |
Receivable for investments sold | | | 2,558,203 | |
Receivable for Series shares sold | | | 20,783 | |
Prepaid expenses | | | 15,989 | |
Foreign tax reclaim receivable | | | 8,815 | |
| | |
|
|
|
Total Assets | | | 2,368,724,799 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 88,599,098 | |
Payable for investments purchased | | | 1,363,202 | |
Management fee payable | | | 573,437 | |
Accrued expenses and other liabilities | | | 280,441 | |
Payable for Series shares repurchased | | | 214,914 | |
Payable to custodian | | | 87,536 | |
Due to broker-variation margin | | | 54,000 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 91,173,505 | |
| | |
|
|
|
| NET ASSETS | | $ | 2,277,551,294 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | | 1,360,180,169 | |
Retained earnings | | | 917,371,125 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 2,277,551,294 | |
| | |
|
|
|
Net asset value and redemption price per share, $2,277,551,294 / 72,603,349 outstanding shares of beneficial interest | | $ | 31.37 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income | | $ | 43,187,606 | |
Affiliated income from securities loaned, net | | | 271,117 | |
Affiliated dividend income | | | 99,725 | |
Interest | | | 6,935 | |
| | |
|
|
|
| | | | 43,565,383 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 7,407,495 | |
Shareholders’ reports | | | 267,000 | |
Custodian’s fees and expenses | | | 196,000 | |
Insurance expenses | | | 31,000 | |
Trustees’ fees | | | 24,000 | |
Audit fee | | | 19,000 | |
Legal fees and expenses | | | 13,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 9,000 | |
Miscellaneous | | | 16,213 | |
| | |
|
|
|
Total expenses | | | 7,994,708 | |
| | |
|
|
|
Less: Management fee waiver (Note 3) | | | (447,016 | ) |
| | |
|
|
|
Net expenses | | | 7,547,692 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 36,017,691 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 23,017,861 | |
Futures transactions | | | 3,305,915 | |
| | |
|
|
|
| | | | 26,323,776 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 229,292,936 | |
Futures | | | 411,060 | |
| | |
|
|
|
| | | | 229,703,996 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 256,027,772 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 292,045,463 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 36,017,691 | | | $ | 37,746,479 | |
Net realized gain (loss) on investments | | | 26,323,776 | | | | (11,844,336 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 229,703,996 | | | | 413,969,261 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 292,045,463 | | | | 439,871,404 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (37,719,877 | ) | | | (51,594,261 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [2,969,405 and 2,119,324 shares, respectively] | | | 85,912,285 | | | | 48,926,542 | |
Series shares issued in reinvestment of distributions [1,398,068 and 2,201,121 shares, respectively] | | | 37,719,877 | | | | 51,594,261 | |
Series shares repurchased [6,996,110 and 8,851,247 shares, respectively] | | | (198,465,748 | ) | | | (206,536,067 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (74,833,586 | ) | | | (106,015,264 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 179,492,000 | | | | 282,261,879 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,098,059,294 | | | | 1,815,797,415 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 2,277,551,294 | | | $ | 2,098,059,294 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A143
| | | | | | |
| | | VALUE PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.0% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 0.5% | | | | | |
United Technologies Corp. | | | 89,773 | | | $ | 7,066,931 | |
| | | | | | |
|
|
|
Auto Components — 2.5% | | | | | | | | |
Lear Corp.(a) | | | 362,716 | | | | 35,803,696 | |
| | | | | | |
|
|
|
Capital Markets — 6.9% | | | | | |
Bank of New York Mellon Corp. (The) | | | 905,176 | | | | 27,336,315 | |
Goldman Sachs Group, Inc. (The) | | | 93,818 | | | | 15,776,435 | |
Lazard Ltd. (Class A Stock) | | | 375,263 | | | | 14,819,136 | |
Morgan Stanley | | | 815,707 | | | | 22,195,388 | |
TD Ameritrade Holding Corp.(b) | | | 968,189 | | | | 18,385,909 | |
| | | | | | |
|
|
|
| | | | | | | | 98,513,183 | |
| | | | | | |
|
|
|
Chemicals — 1.7% | | | | | | | | |
Dow Chemical Co. (The) | | | 712,857 | | | | 24,336,938 | |
| | | | | | |
|
|
|
Commercial Banks — 2.2% | | | | | | | | |
Wells Fargo & Co. | | | 1,017,449 | | | | 31,530,744 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 1.9% | | | | | |
Waste Management, Inc. | | | 754,744 | | | | 27,827,411 | |
| | | | | | |
|
|
|
Communications Equipment — 2.1% | | | | | | | | |
Motorola Mobility Holdings, Inc.(a) | | | 90,956 | | | | 2,646,820 | |
Motorola, Inc.(a) | | | 1,330,699 | | | | 12,069,440 | |
QUALCOMM, Inc. | | | 324,874 | | | | 16,078,014 | |
| | | | | | |
|
|
|
| | | | | | | | 30,794,274 | |
| | | | | | |
|
|
|
Computers & Peripherals — 2.3% | | | | | | | | |
Dell, Inc.(a) | | | 1,500,075 | | | | 20,326,016 | |
Hewlett-Packard Co. | | | 316,427 | | | | 13,321,577 | |
| | | | | | |
|
|
|
| | | | | | | | 33,647,593 | |
| | | | | | |
|
|
|
Consumer Finance — 1.2% | | | | | | | | |
SLM Corp.(a) | | | 1,401,957 | | | | 17,650,639 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 1.0% | | | | | |
H&R Block, Inc. | | | 1,247,005 | | | | 14,851,830 | |
| | | | | | |
|
|
|
Diversified Financial Services — 3.0% | |
JPMorgan Chase & Co. | | | 690,437 | | | | 29,288,338 | |
Moody’s Corp.(b) | | | 517,230 | | | | 13,727,284 | |
| | | | | | |
|
|
|
| | | | | | | | 43,015,622 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 2.7% | | | | | |
Flextronics International Ltd.(a) | | | 4,930,086 | | | | 38,701,175 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 4.4% | | | | | | | | |
CVS Caremark Corp. | | | 873,271 | | | | 30,363,633 | |
Kroger Co. (The) | | | 627,610 | | | | 14,033,360 | |
Wal-Mart Stores, Inc. | | | 353,251 | | | | 19,050,826 | |
| | | | | | |
|
|
|
| | | | | | | | 63,447,819 | |
| | | | | | |
|
|
|
Food Products — 6.2% | | | | | | | | |
Bunge Ltd.(b) | | | 392,279 | | | | 25,702,120 | |
ConAgra Foods, Inc. | | | 830,724 | | | | 18,757,748 | |
Kraft Foods, Inc. (Class A Stock) | | | 369,299 | | | | 11,636,611 | |
Smithfield Foods, Inc.(a) | | | 934,204 | | | | 19,272,629 | |
Tyson Foods, Inc. (Class A Stock) | | | 774,770 | | | | 13,341,539 | |
| | | | | | |
|
|
|
| | | | | | | | 88,710,647 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 2.2% | | | | | |
Omnicare, Inc.(b) | | | 591,688 | | | | 15,022,958 | |
| | | | | | | | |
COMMON STOCKS
(Continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Healthcare Providers & Services (Continued) | | | | | |
WellPoint, Inc.(a) | | | 291,456 | | | $ | 16,572,188 | |
| | | | | | |
|
|
|
| | | | | | | | 31,595,146 | |
| | | | | | |
|
|
|
Hotels Restaurants & Leisure — 0.9% | | | | | | | | |
International Game Technology | | | 688,426 | | | | 12,178,256 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 1.4% | |
Calpine Corp.(a)(b) | | | 1,472,939 | | | | 19,649,006 | |
| | | | | | |
|
|
|
Insurance — 5.4% | | | | | | | | |
Arch Capital Group, Ltd.(a) | | | 183,860 | | | | 16,188,873 | |
Axis Capital Holdings Ltd. | | | 464,683 | | | | 16,672,826 | |
Berkshire Hathaway, Inc.
(Class B Stock)(a) | | | 127,816 | | | | 10,239,340 | |
MetLife, Inc.(b) | | | 466,962 | | | | 20,751,791 | |
Travelers Cos., Inc. (The) | | | 257,751 | | | | 14,359,308 | |
| | | | | | |
|
|
|
| | | | | | | | 78,212,138 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.5% | | | | | | | | |
IAC/InterActiveCorp(a) | | | 733,498 | | | | 21,051,393 | |
| | | | | | |
|
|
|
Machinery — 1.6% | | | | | | | | |
Ingersoll-Rand PLC(b) | | | 499,670 | | | | 23,529,460 | |
| | | | | | |
|
|
|
Media — 8.8% | | | | | | | | |
Comcast Corp. (Class A Stock) | | | 1,715,341 | | | | 37,686,042 | |
Liberty Global, Inc., Ser. C(a)(b) | | | 1,072,015 | | | | 36,330,588 | |
Time Warner Cable, Inc. | | | 373,579 | | | | 24,667,422 | |
Viacom, Inc. (Class B Stock) | | | 687,597 | | | | 27,235,717 | |
| | | | | | |
|
|
|
| | | | | | | | 125,919,769 | |
| | | | | | |
|
|
|
Metals & Mining — 2.7% | | | | | | | | |
Goldcorp, Inc. (Canada) | | | 300,938 | | | | 13,837,129 | |
Newmont Mining Corp. | | | 408,007 | | | | 25,063,870 | |
| | | | | | |
|
|
|
| | | | | | | | 38,900,999 | |
| | | | | | |
|
|
|
Multi-Utilities — 1.9% | | | | | | | | |
CenterPoint Energy, Inc. | | | 842,378 | | | | 13,242,182 | |
Sempra Energy | | | 276,554 | | | | 14,513,554 | |
| | | | | | |
|
|
|
| | | | | | | | 27,755,736 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 15.9% | | | | | | | | |
Anadarko Petroleum Corp. | | | 305,485 | | | | 23,265,738 | |
Apache Corp. | | | 275,371 | | | | 32,832,484 | |
Canadian Natural Resources Ltd. | | | 566,377 | | | | 25,158,466 | |
Hess Corp. | | | 285,797 | | | | 21,874,902 | |
Murphy Oil Corp. | | | 306,086 | | | | 22,818,711 | |
Noble Energy, Inc. | | | 206,368 | | | | 17,764,158 | |
Occidental Petroleum Corp. | | | 287,432 | | | | 28,197,079 | |
Southwestern Energy Co.(a) | | | 321,588 | | | | 12,037,039 | |
Suncor Energy, Inc. | | | 401,298 | | | | 15,365,700 | |
Williams Cos., Inc. (The) | | | 1,220,723 | | | | 30,176,273 | |
| | | | | | |
|
|
|
| | | | | | | | 229,490,550 | |
| | | | | | |
|
|
|
Pharmaceuticals — 5.8% | | | | | | | | |
Merck & Co., Inc. | | | 439,868 | | | | 15,852,843 | |
Mylan, Inc.(a)(b) | | | 1,662,268 | | | | 35,123,737 | |
Pfizer, Inc. | | | 1,075,800 | | | | 18,837,258 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
| | | | | | |
| | | VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(Continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Pharmaceuticals (Continued) | | | | | | | | |
Teva Pharmaceutical Industries Ltd. (Israel), ADR | | | 269,055 | | | $ | 14,025,837 | |
| | | | | | |
|
|
|
| | | | | | | | 83,839,675 | |
| | | | | | |
|
|
|
Road & Rail — 1.6% | | | | | | | | |
CSX Corp. | | | 345,613 | | | | 22,330,056 | |
| | | | | | |
|
|
|
Software — 5.4% | | | | | | | | |
CA, Inc. | | | 1,765,000 | | | | 43,136,600 | |
Nuance Communications, Inc.(a) | | | 827,639 | | | | 15,046,477 | |
Symantec Corp.(a) | | | 1,199,825 | | | | 20,085,071 | |
| | | | | | |
|
|
|
| | | | | | | | 78,268,148 | |
| | | | | | |
|
|
|
Specialty Retail — 0.5% | | | | | | | | |
Staples, Inc. | | | 311,202 | | | | 7,086,070 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 2.8% | | | | | |
MetroPCS Communications, Inc.(a)(b) | | | 1,696,784 | | | | 21,430,382 | |
NII Holdings, Inc.(a) | | | 434,534 | | | | 19,406,288 | |
| | | | | | |
|
|
|
| | | | | | | | 40,836,670 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,117,577,428) | | | | 1,396,541,574 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 12.0% | |
Affiliated Money Market Mutual Fund — 12.0% | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $173,165,547; includes $127,840,981 of cash collateral received for securities on loan)(Note 4)(c)(d) | | | 173,165,547 | | | | 173,165,547 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 109.0%
(cost $1,290,742,975) | | | | 1,569,707,121 | |
LIABILITIES IN EXCESS OF OTHER
ASSETS — (9.0)% | | | | (129,677,379 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,440,029,742 | |
| | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $124,183,677; cash collateral of $127,840,981 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2- Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| | |
Level 1— | | quoted prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
Level 2— | | other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
Level 3— | | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,396,541,574 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 173,165,547 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,569,707,121 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 15.9 | % |
Affiliated Money Market Mutual Fund (including 8.9% of collateral received for securities on loan) | | | 12.0 | |
Media | | | 8.8 | |
Capital Markets | | | 6.9 | |
Food Products | | | 6.2 | |
Pharmaceuticals | | | 5.8 | |
Insurance | | | 5.4 | |
Software | | | 5.4 | |
Food & Staples Retailing | | | 4.4 | |
Diversified Financial Services | | | 3.0 | |
Wireless Telecommunication Services | | | 2.8 | |
Electronic Equipment & Instruments | | | 2.7 | |
Metals & Mining | | | 2.7 | |
Auto Components | | | 2.5 | |
Computers & Peripherals | | | 2.3 | |
Commercial Banks | | | 2.2 | |
Healthcare Providers & Services | | | 2.2 | |
Communications Equipment | | | 2.1 | |
Commercial Services & Supplies | | | 1.9 | |
Multi-Utilities | | | 1.9 | |
Chemicals | | | 1.7 | |
Machinery | | | 1.6 | |
Road & Rail | | | 1.6 | |
Internet Software & Services | | | 1.5 | |
Independent Power Producers & Energy Traders | | | 1.4 | |
Consumer Finance | | | 1.2 | |
Diversified Consumer Services | | | 1.0 | |
Hotels Restaurants & Leisure | | | 0.9 | |
Aerospace & Defense | | | 0.5 | |
Specialty Retail | | | 0.5 | |
| | |
|
|
|
| | | | 109.0 | |
Liabilities in excess of other assets | | | (9.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A145
| | | | | | |
| | | VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $124,183,677: | | | | |
Unaffiliated investments (cost $1,117,577,428) | | $ | 1,396,541,574 | |
Affiliated investments (cost $173,165,547) | | | 173,165,547 | |
Dividends and interest receivable | | | 1,183,163 | |
Foreign tax reclaim receivable | | | 379,093 | |
Receivable for Series shares sold | | | 11,999 | |
Prepaid expenses | | | 10,926 | |
| | |
|
|
|
Total Assets | | | 1,571,292,302 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 127,840,981 | |
Payable for investments purchased | | | 2,396,693 | |
Management fee payable | | | 482,353 | |
Accrued expenses and other liabilities | | | 262,041 | |
Payable for Series shares repurchased | | | 187,042 | |
Shareholder servicing fees payable | | | 86,638 | |
Payable to custodian | | | 3,571 | |
Distribution fee payable | | | 1,477 | |
Administration fee payable | | | 887 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 131,262,560 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,440,029,742 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,502,158,050 | |
Retained earnings | | | (62,128,308 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 1,440,029,742 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $1,432,893,925 / 84,113,478 outstanding shares of beneficial interest | | $ | 17.04 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $7,135,817 / 416,570 outstanding shares of beneficial interest | | $ | 17.13 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $249,333) | | $ | 18,751,049 | |
Interest | | | 709,151 | |
Affiliated income from securities loaned, net | | | 141,700 | |
Affiliated dividend income | | | 72,920 | |
| | |
|
|
|
| | | | 19,674,820 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 5,173,738 | |
Distribution fee—Class II | | | 13,102 | |
Administration fee—Class II | | | 7,861 | |
Shareholders’ reports | | | 285,000 | |
Custodian’s fees and expenses | | | 125,000 | |
Legal fees and expenses | | | 21,000 | |
Trustees’ fees | | | 19,000 | |
Audit fee | | | 19,000 | |
Insurance expenses | | | 18,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,300) (Note 4) | | | 10,000 | |
Commitment fee on syndicated credit agreement | | | 8,000 | |
Loan interest expense (Note 8) | | | 181 | |
Miscellaneous | | | 10,074 | |
| | |
|
|
|
Total expenses | | | 5,709,956 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 13,964,864 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 65,431,376 | |
Foreign currency transactions | | | (9,886 | ) |
| | |
|
|
|
| | | | 65,421,490 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 84,725,940 | |
Foreign currencies | | | 7,513 | |
| | |
|
|
|
| | | | 84,733,453 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 150,154,943 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 164,119,807 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 13,964,864 | | | $ | 11,666,022 | |
Net realized gain (loss) on investments and foreign currencies | | | 65,421,490 | | | | (132,508,922 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 84,733,453 | | | | 482,225,088 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 164,119,807 | | | | 361,382,188 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | (11,668,725 | ) | | | (20,940,047 | ) |
Class II | | | (16,864 | ) | | | (34,913 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | (11,685,589 | ) | | | (20,974,960 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 23,882,558 | | | | 11,756,400 | |
Series shares issued in reinvestment of distributions | | | 11,685,589 | | | | 20,974,960 | |
Net asset value of shares issued in merger (Note 10) | | | 199,267,637 | | | | — | |
Series shares repurchased | | | (132,638,150 | ) | | | (122,511,338 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 102,197,634 | | | | (89,779,978 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 254,631,852 | | | | 250,627,250 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,185,397,890 | | | | 934,770,640 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,440,029,742 | | | $ | 1,185,397,890 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A146
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of nineteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to thirteen 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 by investing in a mix of equity-related securities, debt obligations and money market instruments.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital by investing in intermediate and long-term debt obligations that are rated investment grade and high quality money market instruments. The types of debt obligations in which the Portfolio can invest include U.S. government securities, mortgage-related securities and corporate bonds.
Equity Portfolio: Capital appreciation by investing primarily in stocks of major, established corporations as well as small companies.
Flexible Managed Portfolio: High total return consistent with an aggressively managed diversified portfolio by investing in a mix of equity and equity-related securities, debt obligations and money market instruments.
Global Portfolio: Long-term growth of capital by investing primarily in equity and equity-related securities of foreign and U.S. companies.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital by investing primarily in intermediate and long-term U.S. government securities, including U.S. treasuries, government agency and mortgage-related securities.
High Yield Bond Portfolio: High total return by investing primarily in medium to lower rated debt securities.
Jennison Portfolio: Long-term growth of capital by investing primarily in equity securities of established companies that the Portfolio manager believes offer above-average growth prospects.
Money Market Portfolio: Maximum current income consistent with the stability of capital and maintenance of liquidity by investing in high quality short-term money market securities issued by the U.S. government and its agencies, as well as commercial paper, asset backed securities, certificates of deposit and other obligations issued by banks, corporations and other companies, that generally mature in 13 months or less.
Natural Resources Portfolio: Long-term growth of capital by investing primarily in stocks of companies that operate within, or do business with, the natural resources sector of the economy.
Small Capitalization Stock Portfolio: Long-term growth of capital that corresponds to the price and yield performance of the Standard & Poor’s Small Capitalization Stock Index (the “S&P 600 SmallCap Index”) by investing primarily in stocks of the S&P 600 SmallCap Index.
Stock Index Portfolio: Investment results that generally correspond to the price and yield performance of the S&P 500 Index by investing primarily in stocks in the S&P 500 Index.
Value Portfolio: Capital appreciation by investing in equity and equity-related securities that are considered to be undervalued.
The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other
B1
factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | | Accounting Policies |
The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.
Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the NASDAQ official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadvisors, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment advisor regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.
The Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. Short-term debt securities that are held in the other Portfolios which mature in more than 60 days are valued at fair value and those short-term debt securities of sufficient credit quality which mature in 60 days or less are valued at amortized cost which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost.
Each Portfolio may hold up to 15% of its net assets (the Money Market Portfolio may hold up to 10% 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.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults 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 Series Fund may by delayed or limited.
B2
Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities - at the current daily rates of exchange.
(ii) purchases and sales of investment securities, income and expenses - at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The 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. 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.
Short Sales: Certain Portfolios of the Series Fund may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Loan Participations: The High Yield Bond and Money Market Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures
B3
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 financial futures contracts.
Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity index futures contracts to gain market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.
Options: Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid on at a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.
With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.
Swap Agreements: Certain Portfolios of the Series Fund 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. The 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. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Certain Portfolios used interest rate swaps to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The 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. This risk may be mitigated by having a master netting arrangement between the Portfolio and the counterparty which may permit the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the
B4
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.
Credit Default Swaps: Credit default swaps 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 (“credit event”) for the referenced party, 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.
The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. Certain Portfolios purchased credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. The Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the notional value of a credit default swap agreement. A master netting arrangement between the Portfolio and the counterparty that 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.
As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that a 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. These potential amounts 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 entered into by the Portfolio 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 issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or 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 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 the indicator of the current status of the payment and/or performance risk. Wider credit spreads and increasing 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 or risk of default or other credit event occurring as defined under the terms of the agreement.
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 there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates. In connection with these agreements, securities in the portfolio may be identified as collateral 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 serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter 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 December 31, 2010, none of the Portfolios have met conditions under such agreements, which give the counterparty the right to call for an early termination.
B5
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.
Warrants and Rights: Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.
Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to broker-dealers. The loans are secured by collateral at least equal at all times to the market value of the securities loaned. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.
For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.
B6
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.
| | | | | | |
Portfolio
| | Management Fee
| | Effective
Management Fee
| |
Conservative Balanced Portfolio | | 0.55% | | | 0.55 | % |
Diversified Bond Portfolio | | 0.40 | | | 0.40 | |
Equity Portfolio | | 0.45 | | | 0.45 | |
Flexible Managed Portfolio | | 0.60 | | | 0.60 | |
Global Portfolio | | 0.75 | | | 0.75 | |
Government Income Portfolio | | 0.40 | | | 0.40 | |
High Yield Bond Portfolio | | 0.55 | | | 0.55 | |
Jennison Portfolio | | 0.60 | | | 0.60 | |
Money Market Portfolio | | 0.40 | | | 0.21 | * |
Natural Resources Portfolio | | 0.45 | | | 0.45 | |
Small Capitalization Stock Portfolio | | 0.40 | | | 0.40 | |
Stock Index Portfolio | | 0.35% up to $4 billion | | | | |
| | | 0.30% over $4 billion** | | | 0.33 | |
Value Portfolio | | 0.40 | | | 0.40 | |
* In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) does not fall below 0.02%. Prior to March 2, 2010, that threshold was 0.05%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2010, the total waiver as a result of this voluntary agreement was $2,240,281 or an annualized 0.19% of the Money Market Portfolio’s average daily net assets.
** Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.
At December 31, 2010, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:
| | |
Portfolio
| | Subadvisor(s)
|
Conservative Balanced Portfolio | | PIM, QMA |
Diversified Bond Portfolio | | PIM |
Equity Portfolio | | Jennison |
Flexible Managed Portfolio | | PIM, QMA |
Global Portfolio | | LSV, Marsico, QMA, T. Rowe & William Blair |
Government Income Portfolio | | PIM |
High Yield Bond Portfolio | | PIM |
Jennison Portfolio | | Jennison |
Money Market Portfolio | | PIM |
Natural Resources Portfolio | | Jennison |
Small Capitalization Stock Portfolio | | QMA |
Stock Index Portfolio | | QMA |
Value Portfolio | | Jennison |
B7
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PI has voluntarily agreed to reimburse the Stock Index Portfolio in order to limit operating expenses (excluding distribution and service (12b-1) fees, interest, taxes, brokerage commissions and certain extraordinary expenses) to an annualized rate of 0.75% of the average daily net assets. Effective July 1, 2010, the expense limitation has been renewed.
PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
| Note 4: | | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2010, PIM was compensated as follows for these services by the Series Fund Portfolios:
| | | | |
Portfolio
| | PIM
| |
Conservative Balanced Portfolio | | $ | 66,850 | |
Diversified Bond Portfolio | | | 29,914 | |
Equity Portfolio | | | 84,421 | |
Flexible Managed Portfolio | | | 52,521 | |
Global Portfolio | | | 19,821 | |
Government Income Portfolio | | | 5,919 | |
High Yield Bond Portfolio | | | 246,661 | |
Jennison Portfolio | | | 47,088 | |
Natural Resources Portfolio | | | 118,570 | |
Small Capitalization Stock Portfolio | | | 205,033 | |
Stock Index Portfolio | | | 90,884 | |
Value Portfolio | | | 48,395 | |
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2 registered under the 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.
B8
| Note 5: | | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2010 were as follows:
| | | | | | | | |
Portfolio
| | Cost of Purchases
| | | Proceeds from Sales
| |
Conservative Balanced Portfolio | | $ | 2,842,124,039 | | | $ | 2,894,200,843 | |
Diversified Bond Portfolio | | | 1,793,668,794 | | | | 1,725,388,474 | |
Equity Portfolio | | | 2,049,970,904 | | | | 2,290,632,814 | |
Flexible Managed Portfolio | | | 4,579,809,900 | | | | 4,641,374,778 | |
Global Portfolio | | | 402,113,648 | | | | 434,914,998 | |
Government Income Portfolio | | | 3,230,574,940 | | | | 3,232,764,318 | |
High Yield Bond Portfolio | | | 1,751,489,886 | | | | 1,727,911,406 | |
Jennison Portfolio | | | 857,132,502 | | | | 957,378,871 | |
Natural Resources Portfolio | | | 308,607,262 | | | | 399,220,684 | |
Small Capitalization Stock Portfolio | | | 76,676,329 | | | | 107,043,926 | |
Stock Index Portfolio | | | 84.905,830 | | | | 171,475,160 | |
Value Portfolio | | | 785,705,725 | | | | 865,460,295 | |
The Diversified Bond and Government Income Portfolios’ written options activity for the year ended December 31, 2010 was as follows:
| | | | | | | | |
Diversified Bond Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2009 | | | — | | | $ | — | |
Options written | | | 500 | | | | 1,506,673 | |
Options terminated in closing purchase transactions | | | — | | | | — | |
Options expired | | | — | | | | — | |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2010 | | | 500 | | | $ | 1,506,673 | |
| | |
|
|
| |
|
|
|
| | | | | | | | |
Government Income Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2009 | | | — | | | $ | — | |
Options written | | | 104 | | | | 150,078 | |
Options terminated in closing purchase transactions | | | (104 | ) | | | (150,078 | ) |
Options expired | | | — | | | | — | |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2010 | | | — | | | $ | — | |
| | |
|
|
| |
|
|
|
After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions 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.
Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.
Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of December 31, 2010, no provision for income tax would be required in the Portfolios’ financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
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
B9
shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2010, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
During the fiscal year ended December 31, 2010, the Money Market Portfolio received $29,738 related to an unaffiliated-third-party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares. This amount is presented in the Statement of Changes in Net Assets. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement.
Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:
Equity Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 915,389 | | | $ | 20,563,535 | |
Series shares issued in reinvestment of distributions | | | 1,145,195 | | | | 24,392,657 | |
Series shares repurchased | | | (11,064,183 | ) | | | (246,443,793 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (9,003,599 | ) | | $ | (201,487,601 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 1,441,609 | | | $ | 26,628,310 | |
Series shares issued in reinvestment of distributions | | | 2,358,409 | | | | 43,394,722 | |
Series shares repurchased | | | (14,177,442 | ) | | | (252,716,612 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (10,377,424 | ) | | $ | (182,693,580 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 65,768 | | | $ | 1,489,189 | |
Series shares issued in reinvestment of distributions | | | 86 | | | | 1,854 | |
Series shares repurchased | | | (7,367 | ) | | | (170,754 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 58,487 | | | $ | 1,320,289 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 4,210 | | | $ | 85,008 | |
Series shares issued in reinvestment of distributions | | | 164 | | | | 3,037 | |
Series shares repurchased | | | (8,224 | ) | | | (147,394 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (3,850 | ) | | $ | (59,349 | ) |
| | |
|
|
| |
|
|
|
Jennison Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 2,130,137 | | | $ | 45,526,481 | |
Series shares issued in reinvestment of distributions | | | 273,898 | | | | 5,475,228 | |
Series shares issued in merger (Note 10) | | | 1,359,502 | | | | 29,433,212 | |
Series shares repurchased | | | (7,410,225 | ) | | | (154,193,607 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (3,646,688 | ) | | $ | (73,758,686 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 3,308,645 | | | $ | 53,907,199 | |
Series shares issued in reinvestment of distributions | | | 502,627 | | | | 8,584,877 | |
Series shares repurchased | | | (19,767,153 | ) | | | (356,448,606 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (15,955,881 | ) | | $ | (293,956,530 | ) |
| | |
|
|
| |
|
|
|
B10
Jennison Portfolio (cont’d):
| | | | | | | | |
Class II
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 189,904 | | | $ | 3,885,561 | |
Series shares issued in reinvestment of distributions | | | 264 | | | | 5,201 | |
Series shares issued in merger (Note 10) | | | 605,762 | | | | 12,890,620 | |
Series shares repurchased | | | (330,701 | ) | | | (6,729,234 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 465,229 | | | $ | 10,052,148 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 348,998 | | | $ | 5,926,922 | |
Series shares issued in reinvestment of distributions | | | 2,583 | | | | 43,518 | |
Series shares repurchased | | | (209,990 | ) | | | (3,478,334 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 141,591 | | | $ | 2,492,106 | |
| | |
|
|
| |
|
|
|
Natural Resources Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 480,166 | | | $ | 18,914,478 | |
Series shares issued in reinvestment of distributions | | | 126,305 | | | | 4,476,261 | |
Series shares repurchased | | | (3,058,129 | ) | | | (114,388,529 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,451,658 | ) | | $ | (90,997,790 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 1,178,414 | | | $ | 30,529,932 | |
Series shares issued in reinvestment of distributions | | | 3,577,747 | | | | 111,232,160 | |
Series shares repurchased | | | (4,281,505 | ) | | | (126,417,832 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 474,656 | | | $ | 15,344,260 | |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 1,032,268 | | | $ | 40,266,480 | |
Series shares issued in reinvestment of distributions | | | 1,807 | | | | 63,676 | |
Series shares repurchased | | | (1,375,362 | ) | | | (50,065,682 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (341,287 | ) | | $ | (9,735,526 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 1,274,171 | | | $ | 39,514,178 | |
Series shares issued in reinvestment of distributions | | | 261,886 | | | | 8,100,142 | |
Series shares repurchased | | | (820,865 | ) | | | (24,033,382 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 715,192 | | | $ | 23,580,938 | |
| | |
|
|
| |
|
|
|
Value Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 1,309,289 | | | $ | 20,376,435 | |
Series shares issued in reinvestment of distributions | | | 788,428 | | | | 11,668,725 | |
Series shares issued in merger (Note 10) | | | 12,308,069 | | | | 199,267,637 | |
Series shares repurchased | | | (8,560,895 | ) | | | (131,705,765 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 5,844,891 | | | $ | 99,607,032 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 832,942 | | | $ | 10,204,405 | |
Series shares issued in reinvestment of distributions | | | 1,669,860 | | | | 20,940,047 | |
Series shares repurchased | | | (10,122,888 | ) | | | (122,171,348 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (7,620,086 | ) | | $ | (91,026,896 | ) |
| | |
|
|
| |
|
|
|
B11
Value Portfolio (cont’d):
| | | | | | | | |
Class II
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 228,500 | | | $ | 3,506,123 | |
Series shares issued in reinvestment of distributions | | | 1,131 | | | | 16,864 | |
Series shares repurchased | | | (59,635 | ) | | | (932,385 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 169,996 | | | $ | 2,590,602 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 114,420 | | | $ | 1,551,995 | |
Series shares issued in reinvestment of distributions | | | 2,764 | | | | 34,913 | |
Series shares repurchased | | | (27,091 | ) | | | (339,990 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 90,093 | | | $ | 1,246,918 | |
| | |
|
|
| |
|
|
|
The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), were a party to a syndicated credit agreement (“SCA”) with two banks. The purpose of the SCA was to provide an alternative source of temporary funding for capital share redemptions. The SCA provided for a commitment of $500 million through October 20, 2010, which was subsequently extended through December 17, 2010 under the same terms. The Funds paid an annualized commitment fee of 0.15% of the unused portion of the SCA. Effective December 17, 2010 the Funds entered into a new Syndicated Credit Agreement (“New SCA”) with a group of banks. The New SCA provides for a commitment of $750 million with an annualized commitment fee of 0.10% of the unused portion. The expiration date of the New SCA is December 16, 2011. Interest on any borrowings under these SCA’s is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The following Portfolios utilized the SCA during the year ended December 31, 2010. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.
| | | | | | | | | | | | | | | | |
Portfolio
| | Approximate
Average
Balance
Outstanding
| | | Number of
Days
Outstanding
| | | Weighted
Average
Interest
Rates
| | | Amount
Outstanding at
December 31,
2010
| |
Equity Portfolio | | $ | 1,423,000 | | | | 1 | | | | 1.42 | % | | $ | — | |
Jennison Portfolio | | | 1,136,545 | | | | 11 | | | | 1.46 | | | | — | |
Global Portfolio | | | 152,667 | | | | 3 | | | | 1.47 | | | | — | |
Natural Resources Portfolio | | | 1,481,636 | | | | 11 | | | | 1.44 | | | | — | |
Small Capitalization Stock Portfolio | | | 406,667 | | | | 3 | | | | 1.38 | | | | — | |
Value Portfolio | | | 495,444 | | | | 9 | | | | 1.46 | | | | — | |
| Note 9: | | Ownership and Affiliates |
As of December 31, 2010, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
On December 7, 2009, The Board of Trustees of the Series Fund approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of the following portfolios for shares of the acquiring portfolios and the assumption of the liabilities of the portfolios. Shareholders approved the Plan at a meeting on March 25, 2010 and the reorganization took place on April 30, 2010.
The purpose of the transactions was to combine two Portfolios with substantially similar investment objectives, policies and restrictions. The Acquiring Portfolios have a lower contractual investment management fee and annualized operating expense ratio as well as stronger historical investment performance.
B12
The acquisitions were accomplished by a tax-free exchange of the following shares on April 30, 2010:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Shares
| | | Acquiring Portfolio
| | Shares
| | | Value
| |
| SP Strategic Partners Focused | | | | | | | | | | | | | | |
| Growth Portfolio: | | | | | | Jennison Portfolio: | | | | | | | | |
Class I | | | 4,278,083 | | | Class I | | | 1,359,502 | | | $ | 29,433,212 | |
Class II | | | 1,956,088 | | | Class II | | | 605,762 | | | | 12,890,620 | |
| SP Davis Value Portfolio: | | | | | | Value Portfolio: | | | | | | | | |
Class I | | | 21,777,884 | | | Class I | | | 12,308,069 | | | | 199,267,637 | |
For financial reporting purposes, assets received and shares issued by the Acquiring Portfolios were recorded at fair value; however, the cost basis of the investments received from the Merged Portfolios was carried forward to reflect the tax-free status of the acquisition. The net assets and net unrealized appreciation immediately before the acquisitions were as follows:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Net Assets
| | | Unrealized
Appreciation
| | | Acquiring Portfolio
| | Net Assets
| |
| SP Strategic Partners Focused Growth Portfolio | | $ | 42,323,832 | | | $ | 8,933,329 | | | Jennison Portfolio | | $ | 1,340,557,644 | |
| SP Davis Value Portfolio | | | 199,267,637 | | | | 55,151,182 | | | Value Portfolio | | | 1,242,235,677 | |
Assuming the acquisitions had been completed on January 1, 2010, the Acquiring Portfolios’ results of operations for the year ended December 31, 2010 were as follows:
| | | | |
| Jennison Portfolio | | | | |
Net investment income | | $ | 3,502,824 | (a) |
Net realized and unrealized gain on investments | | | 141,946,189 | (b) |
| | |
|
|
|
| | | $ | 145,449,013 | |
| | |
|
|
|
| | | | |
| Value Portfolio | | | | |
Net investment income | | $ | 14,414,980 | (c) |
Net realized and unrealized loss on investments | | | 160,246,225 | (d) |
| | |
|
|
|
| | | $ | 174,661,205 | |
| | |
|
|
|
| | (a) | $3,611,532, as reported in the Statement of Operations, less $150,491 Net Investment loss from SP Strategic Partners Focused Growth Portfolio pre-merger, plus $41,783 of pro-forma eliminated expenses. |
| | (b) | $141,930,706, as reported in the Statement of Operations, plus $15,483 Net Realized and Unrealized Gain on Investments from SP Strategic Partners Focused Growth Portfolio pre-merger. |
| | (c) | $13,964,864, as reported in the Statement of Operations, plus $223,596 Net Investment Income from SP Davis Value Portfolio pre-merger, plus $226,520 of pro-forma eliminated expenses. |
| | (d) | $150,154,943, as reported in the Statement of Operations, plus $10,091,282 Net Realized and Unrealized Gain on Investments from SP Davis Value Portfolio pre-merger. |
Because both the Acquiring Portfolios and Merged Portfolios sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the Merged Portfolios that have been included in the Acquiring Portfolios’ Statement of Operations since April 30, 2010.
On March 4, 2009, The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of the following portfolio for shares of the acquiring portfolio and the assumption of the liabilities of the portfolio. Shareholders approved the Plan at a meeting on October 29, 2009 and the reorganization took place on November 13, 2009.
The purpose of the transaction was to combine two Portfolios with the same Investment Manager and with substantially similar investment objectives, policies and restrictions. The Acquiring Portfolio had a lower contractual investment management fee and annualized operating expense ratio as well as stronger historical investment performance.
B13
The acquisition was accomplished by a tax-free exchange of the following shares on November 13, 2009:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Shares
| | | Acquiring Portfolio
| | Shares
| | | Value
| |
| SP PIMCO High Yield Portfolio | | | 18,076,344 | | | High Yield Bond Portfolio | | | 33,152,623 | | | $ | 157,806,487 | |
For financial reporting purposes, assets received and shares issued by High Yield Bond Portfolio were recorded at fair value; however, the cost basis of the investments received from SP PIMCO High Yield Portfolio was carried forward to reflect the tax-free status of the acquisition.
The net assets and net unrealized depreciation immediately before the acquisition were as follows:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Net Assets
| | | Unrealized
Depreciation
| | | Acquiring Portfolio
| | Net Assets
| |
| SP PIMCO High Yield Portfolio | | $ | 157,806,487 | | | $ | (678,204 | ) | | High Yield Bond Portfolio | | $ | 1,723,184,886 | |
Assuming the acquisition had been completed on January 1, 2009, High Yield Bond Portfolio’s results of operations for the year ended December 31, 2009 were as follows:
| | | | |
Net investment income | | $ | 160,453,467 | (a) |
Net realized and unrealized gain on investments | | | 472,349,166 | (b) |
| | |
|
|
|
| | | $ | 632,802,633 | |
| | |
|
|
|
| | (a) | $149,665,312, as reported in the Statement of Operations for the year ended December 31, 2009, plus $10,726,063 Net Investment Income from SP PIMCO High Yield Portfolio pre-merger, plus $62,092 of pro-forma eliminated expenses. |
| | (b) | $435,357,508, as reported in the Statement of Operations for the year ended December 31, 2009, plus $36,991,658 Net Realized and Unrealized Gain on Investments from SP PIMCO High Yield Portfolio pre-merger. |
Because both High Yield Bond Portfolio and SP PIMCO High Yield Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of SP PIMCO High Yield Portfolio that have been included in High Yield Bond Portfolio’s Statement of Operations since November 13, 2009.
B14
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Conservative Balanced Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007(a)
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 14.65 | | | $ | 12.69 | | | $ | 16.69 | | | $ | 16.21 | | | $ | 15.09 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .37 | | | | .39 | | | | .50 | | | | .50 | | | | .48 | |
Net realized and unrealized gain (loss) on investments | | | 1.31 | | | | 2.08 | | | | (3.98 | ) | | | .49 | | | | 1.06 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.68 | | | | 2.47 | | | | (3.48 | ) | | | .99 | | | | 1.54 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.37 | ) | | | (.51 | ) | | | (.52 | ) | | | (.51 | ) | | | (.42 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 15.96 | | | $ | 14.65 | | | $ | 12.69 | | | $ | 16.69 | | | $ | 16.21 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 11.74 | % | | | 20.01 | % | | | (21.41 | )% | | | 6.12 | % | | | 10.44 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2,234.7 | | | $ | 2,138.7 | | | $ | 1,957.5 | | | $ | 2,721.9 | | | $ | 2,770.6 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .59 | % | | | .59 | % | | | .59 | % | | | .59 | % | | | .57 | % |
Net investment income | | | 2.32 | % | | | 2.68 | % | | | 3.12 | % | | | 2.95 | % | | | 2.97 | % |
Portfolio turnover rate | | | 185 | % | | | 250 | % | | | 336 | % | | | 178 | % | | | 114 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | Diversified Bond Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 11.16 | | | $ | 9.89 | | | $ | 10.90 | | | $ | 10.85 | | | $ | 10.96 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .52 | | | | .50 | | | | .54 | | | | .58 | | | | .57 | |
Net realized and unrealized gain (loss) on investments | | | .63 | | | | 1.46 | | | | (.90 | ) | | | .02 | | | | (.05 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.15 | | | | 1.96 | | | | (.36 | ) | | | .60 | | | | .52 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.64 | ) | | | (.69 | ) | | | (.65 | ) | | | (.55 | ) | | | (.63 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 11.67 | | | $ | 11.16 | | | $ | 9.89 | | | $ | 10.90 | | | $ | 10.85 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 10.57 | % | | | 20.51 | % | | | (3.46 | )% | | | 5.71 | % | | | 4.98 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,522.9 | | | $ | 1,363.5 | | | $ | 1,134.8 | | | $ | 1,218.3 | | | $ | 1,150.4 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .46 | % | | | .44 | % | | | .44 | % | | | .44 | % | | | .45 | % |
Net investment income | | | 4.46 | % | | | 4.79 | % | | | 5.07 | % | | | 5.39 | % | | | 5.18 | % |
Portfolio turnover rate | | | 191 | % | | | 401 | % | | | 723 | % | | | 476 | % | | | 393 | % |
| (a) | Calculated based on average shares outstanding during the year. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Equity Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008(c)
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 22.30 | | | $ | 16.40 | | | $ | 29.67 | | | $ | 27.45 | | | $ | 24.64 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .15 | | | | .16 | | | | .29 | | | | .35 | | | | .30 | |
Net realized and unrealized gain (loss) on investments | | | 2.48 | | | | 6.04 | | | | (10.52 | ) | | | 2.21 | | | | 2.80 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.63 | | | | 6.20 | | | | (10.23 | ) | | | 2.56 | | | | 3.10 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.18 | ) | | | (.30 | ) | | | (3.04 | ) | | | (.34 | ) | | | (.29 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 24.75 | | | $ | 22.30 | | | $ | 16.40 | | | $ | 29.67 | | | $ | 27.45 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 11.90 | % | | | 38.17 | % | | | (38.16 | )% | | | 9.32 | % | | | 12.57 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 3,324.3 | | | $ | 3,195.1 | | | $ | 2,521.0 | | | $ | 4,423.9 | | | $ | 4,402.7 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .48 | % | | | .48 | % | | | .48 | % | | | .47 | % | | | .47 | % |
Net investment income | | | .71 | % | | | .90 | % | | | 1.21 | % | | | 1.16 | % | | | 1.10 | % |
Portfolio turnover rate | | | 68 | % | | | 98 | % | | | 67 | % | | | 57 | % | | | 60 | % |
| |
| | | Equity Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008(c)
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 22.46 | | | $ | 16.47 | | | $ | 29.81 | | | $ | 27.52 | | | $ | 24.69 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .04 | | | | .09 | | | | .19 | | | | .28 | | | | .19 | |
Net realized and unrealized gain (loss) on investments | | | 2.54 | | | | 6.07 | | | | (10.61 | ) | | | 2.20 | | | | 2.80 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.58 | | | | 6.16 | | | | (10.42 | ) | | | 2.48 | | | | 2.99 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.04 | ) | | | (.17 | ) | | | (2.92 | ) | | | (.19 | ) | | | (.16 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 25.00 | | | $ | 22.46 | �� | | $ | 16.47 | | | $ | 29.81 | | | $ | 27.52 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 11.50 | % | | | 37.58 | % | | | (38.47 | )% | | | 8.91 | % | | | 12.13 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1.9 | | | $ | .4 | | | $ | .4 | | | $ | 1.3 | | | $ | 1.9 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .88 | % | | | .88 | % | | | .88 | % | | | .87 | % | | | .87 | % |
Net investment income | | | .34 | % | | | .52 | % | | | .78 | % | | | .74 | % | | | .71 | % |
Portfolio turnover rate | | | 68 | % | | | 98 | % | | | 67 | % | | | 57 | % | | | 60 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
| (c) | Calculation based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Flexible Managed Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 14.28 | | | $ | 12.34 | | | $ | 18.30 | | | $ | 18.36 | | | $ | 16.92 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .31 | | | | .34 | | | | .45 | | | | .50 | | | | .44 | |
Net realized and unrealized gain (loss) on investments | | | 1.37 | | | | 2.05 | | | | (4.62 | ) | | | .65 | | | | 1.59 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.68 | | | | 2.39 | | | | (4.17 | ) | | | 1.15 | | | | 2.03 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.33 | ) | | | (.45 | ) | | | (1.79 | ) | | | (1.21 | ) | | | (.59 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 15.63 | | | $ | 14.28 | | | $ | 12.34 | | | $ | 18.30 | | | $ | 18.36 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 12.03 | % | | | 19.95 | % | | | (24.82 | )% | | | 6.30 | % | | | 12.17 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 3,077.3 | | | $ | 2,906.0 | | | $ | 2,621.6 | | | $ | 3,716.3 | | | $ | 3,723.6 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .64 | % | | | .63 | % | | | .64 | % | | | .63 | % | | | .62 | % |
Net investment income | | | 2.06 | % | | | 2.50 | % | | | 2.85 | % | | | 2.53 | % | | | 2.48 | % |
Portfolio turnover rate | | | 205 | % | | | 248 | % | | | 321 | % | | | 212 | % | | | 153 | % |
| |
| | | Global Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 16.68 | | | $ | 13.07 | | | $ | 24.62 | | | $ | 22.53 | | | $ | 18.96 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .28 | | | | .28 | | | | .40 | | | | .36 | | | | .26 | |
Net realized and unrealized gain (loss) on investments | | | 1.79 | | | | 3.75 | | | | (10.38 | ) | | | 2.00 | | | | 3.44 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.07 | | | | 4.03 | | | | (9.98 | ) | | | 2.36 | | | | 3.70 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.26 | ) | | | (.42 | ) | | | (1.57 | ) | | | (.27 | ) | | | (.13 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 18.49 | | | $ | 16.68 | | | $ | 13.07 | | | $ | 24.62 | | | $ | 22.53 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 12.74 | % | | | 31.39 | % | | | (42.92 | )% | | | 10.48 | % | | | 19.65 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 648.5 | | | $ | 619.5 | | | $ | 512.7 | | | $ | 985.0 | | | $ | 932.9 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .87 | % | | | .85 | % | | | .84 | % | | | .81 | % | | | .84 | % |
Net investment income | | | 1.60 | % | | | 1.77 | % | | | 2.01 | % | | | 1.43 | % | | | 1.24 | % |
Portfolio turnover rate | | | 69 | % | | | 50 | % | | | 65 | % | | | 48 | % | | | 50 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Government Income Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 11.86 | | | $ | 11.40 | | | $ | 11.38 | | | $ | 11.26 | | | $ | 11.40 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .35 | | | | .37 | | | | .45 | | | | .53 | | | | .54 | |
Net realized and unrealized gain (loss) on investments | | | .47 | | | | .49 | | | | .03 | | | | .10 | | | | (.13 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .82 | | | | .86 | | | | .48 | | | | .63 | | | | .41 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.65 | ) | | | (.40 | ) | | | (.46 | ) | | | (.51 | ) | | | (.55 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 12.03 | | | $ | 11.86 | | | $ | 11.40 | | | $ | 11.38 | | | $ | 11.26 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 6.99 | % | | | 7.71 | % | | | 4.30 | % | | | 5.70 | % | | | 3.74 | % |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 399.2 | | | $ | 375.4 | | | $ | 370.5 | | | $ | 340.3 | | | $ | 354.3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .50 | % | | | .47 | % | | | .52 | %(c) | | | .52 | % | | | .50 | % |
Net investment income | | | 2.87 | % | | | 3.11 | % | | | 3.98 | %(c) | | | 4.62 | % | | | 4.75 | % |
Portfolio turnover rate | | | 1122 | % | | | 1179 | % | | | 2707 | % | | | 2377 | % | | | 734 | % |
| |
| | | High Yield Bond Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 4.83 | | | $ | 3.61 | | | $ | 5.09 | | | $ | 5.33 | | | $ | 5.23 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .42 | | | | .41 | | | | .41 | | | | .40 | | | | .39 | |
Net realized and unrealized gain (loss) on investments | | | .23 | | | | 1.22 | | | | (1.48 | ) | | | (.26 | ) | | | .13 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .65 | | | | 1.63 | | | | (1.07 | ) | | | .14 | | | | .52 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.42 | ) | | | (.41 | ) | | | (.41 | ) | | | (.38 | ) | | | (.42 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 5.06 | | | $ | 4.83 | | | $ | 3.61 | | | $ | 5.09 | | | $ | 5.33 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 14.05 | % | | | 47.16 | % | | | (22.28 | )% | | | 2.62 | % | | | 10.25 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2,141.2 | | | $ | 1,938.3 | | | $ | 1,239.9 | | | $ | 1,674.0 | | | $ | 1,721.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .58 | % | | | .58 | % | | | .58 | % | | | .58 | % | | | .58 | % |
Net investment income | | | 8.51 | % | | | 9.75 | % | | | 8.78 | % | | | 7.49 | % | | | 7.39 | % |
Portfolio turnover rate | | | 89 | % | | | 84 | % | | | 61 | % | | | 58 | % | | | 49 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (c) | Includes interest expense of 0.03%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Jennison Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010(a)
| | | 2009(a)
| | | 2008(a)
| | | 2007
| | | 2006(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 20.87 | | | $ | 14.69 | | | $ | 23.53 | | | $ | 21.07 | | | $ | 20.76 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .06 | | | | .08 | | | | .10 | | | | .10 | | | | .06 | |
Net realized and unrealized gain (loss) on investments | | | 2.42 | | | | 6.22 | | | | (8.84 | ) | | | 2.43 | | | | .31 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.48 | | | | 6.30 | | | | (8.74 | ) | | | 2.53 | | | | .37 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.09 | ) | | | (.12 | ) | | | (.10 | ) | | | (.07 | ) | | | (.06 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 23.26 | | | $ | 20.87 | | | $ | 14.69 | | | $ | 23.53 | | | $ | 21.07 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 11.95 | % | | | 43.03 | % | | | (37.28 | )% | | | 12.00 | % | | | 1.79 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,362.1 | | | $ | 1,298.7 | | | $ | 1,148.0 | | | $ | 2,100.5 | | | $ | 2,077.3 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .64 | % | | | .64 | % | | | .63 | % | | | .62 | % | | | .63 | % |
Net investment income | | | .29 | % | | | .44 | % | | | .52 | % | | | .42 | % | | | .29 | % |
Portfolio turnover rate | | | 67 | % | | | 76 | % | | | 74 | % | | | 69 | % | | | 67 | % |
| |
| | | Jennison Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010(a)
| | | 2009(a)
| | | 2008(a)
| | | 2007
| | | 2006(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 20.55 | | | $ | 14.46 | | | $ | 23.17 | | | $ | 20.77 | | | $ | 20.49 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (.02 | ) | | | .01 | | | | .02 | | | | — | (d) | | | (.02 | ) |
Net realized and unrealized gain (loss) on investments | | | 2.38 | | | | 6.13 | | | | (8.72) | | | | 2.40 | | | | .30 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.36 | | | | 6.14 | | | | (8.70) | | | | 2.40 | | | | .28 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | (d) | | | (.05 | ) | | | (.01 | ) | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 22.91 | | | $ | 20.55 | | | $ | 14.46 | | | $ | 23.17 | | | $ | 20.77 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 11.50 | % | | | 42.52 | % | | | (37.55 | )% | | | 11.56 | % | | | 1.37 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 33.2 | | | $ | 20.2 | | | $ | 12.2 | | | $ | 21.9 | | | $ | 19.6 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.04 | % | | | 1.04 | % | | | 1.03 | % | | | 1.02 | % | | | 1.03 | % |
Net investment income (loss) | | | (.10) | % | | | .03 | % | | | .12 | % | | | .02 | % | | | (.12) | % |
Portfolio turnover rate | | | 67 | % | | | 76 | % | | | 74 | % | | | 69 | % | | | 67 | % |
| (a) | Calculated based upon average shares outstanding during the year. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (d) | Less than $0.005 per share. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Money Market Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income and realized gains | | | — | (a) | | | .04 | | | | .26 | | | | .49 | | | | .46 | |
Distributions | | | — | (a) | | | (.04 | ) | | | (.26 | ) | | | (.49 | ) | | | (.46 | ) |
Capital contributions | | | — | (a) | | | — | | | | — | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | .03 | % | | | .40 | % | | | 2.65 | % | | | 5.06 | % | | | 4.74 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,127.1 | | | $ | 1,223.4 | | | $ | 1,489.8 | | | $ | 1,289.9 | | | $ | 1,060.5 | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .25 | %(c) | | | .39 | %(c) | | | .43 | % | | | .43 | % | | | .43 | % |
Net investment income | | | .03 | %(c) | | | .41 | %(c) | | | 2.59 | % | | | 4.94 | % | | | 4.68 | % |
| (a) | Less than $0.005 per share. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income ratio would have been .44% and (.16)%, for the year ended December 31, 2010 and .43% and .37% for the year ended December 31, 2009 respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Natural Resources Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010(a)
| | | 2009(a)
| | | 2008(a)
| | | 2007(a)
| | | 2006(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 37.15 | | | $ | 23.70 | | | $ | 56.28 | | | $ | 45.67 | | | $ | 45.46 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .08 | | | | .15 | | | | .22 | | | | .43 | | | | .35 | |
Net realized and unrealized gain (loss) on investments | | | 10.26 | | | | 17.34 | | | | (25.97 | ) | | | 21.09 | | | | 8.65 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 10.34 | | | | 17.49 | | | | (25.75 | ) | | | 21.52 | | | | 9.00 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.16 | ) | | | (4.04 | ) | | | (6.83 | ) | | | (10.91 | ) | | | (8.79 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 47.33 | | | $ | 37.15 | | | $ | 23.70 | | | $ | 56.28 | | | $ | 45.67 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 27.98 | % | | | 77.10 | % | | | (53.00 | )% | | | 48.30 | % | | | 22.20 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,259.5 | | | $ | 1,079.6 | | | $ | 677.4 | | | $ | 1,669.9 | | | $ | 1,193.0 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .50 | % | | | .53 | % | | | .50 | % | | | .48 | % | | | .49 | % |
Net investment income | | | .22 | % | | | .51 | % | | | .47 | % | | | .80 | % | | | .78 | % |
Portfolio turnover rate | | | 28 | % | | | 27 | % | | | 40 | % | | | 39 | % | | | 58 | % |
| |
| | | Natural Resources Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010(a)
| | | 2009(a)
| | | 2008(a)
| | | 2007(a)
| | | 2006(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 36.88 | | | $ | 23.54 | | | $ | 55.92 | | | $ | 45.55 | | | $ | 45.32 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (.07 | ) | | | .03 | | | | .05 | | | | .28 | | | | .18 | |
Net realized and unrealized gain (loss) on investments | | | 10.20 | | | | 17.21 | | | | (25.86 | ) | | | 20.92 | | | | 8.64 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 10.13 | | | | 17.24 | | | | (25.81 | ) | | | 21.20 | | | | 8.82 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.03 | ) | | | (3.90 | ) | | | (6.57 | ) | | | (10.83 | ) | | | (8.59 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 46.98 | | | $ | 36.88 | | | $ | 23.54 | | | $ | 55.92 | | | $ | 45.55 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b): | | | 27.48 | % | | | 76.41 | % | | | (53.19 | )% | | | 47.70 | % | | | 21.72 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 101.9 | | | $ | 92.6 | | | $ | 42.3 | | | $ | 47.9 | | | $ | 16 .9 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .90 | % | | | .93 | % | | | .90 | % | | | .88 | % | | | .89 | % |
Net investment income (loss) | | | (.18 | )% | | | .10 | % | | | .12 | % | | | .51 | % | | | .40 | % |
Portfolio turnover rate | | | 28 | % | | | 27 | % | | | 40 | % | | | 39 | % | | | 58 | % |
| (a) | Calculated based upon average shares outstanding during the year. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Small Capitalization Stock Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 13.83 | | | $ | 12.52 | | | $ | 21.31 | | | $ | 23.29 | | | $ | 21.38 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .13 | | | | .14 | | | | .24 | | | | .21 | | | | .14 | |
Net realized and unrealized gain (loss) on investments | | | 3.43 | | | | 2.70 | | | | (5.92 | ) | | | (.36 | ) | | | 2.95 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 3.56 | | | | 2.84 | | | | (5.68 | ) | | | (.15 | ) | | | 3.09 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.12 | ) | | | (1.53 | ) | | | (3.11 | ) | | | (1.83 | ) | | | (1.18 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 17.27 | | | $ | 13.83 | | | $ | 12.52 | | | $ | 21.31 | | | $ | 23.29 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 25.93 | % | | | 25.18 | % | | | (31.04 | )% | | | (.53 | )% | | | 14.67 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 589.9 | | | $ | 492.2 | | | $ | 432.5 | | | $ | 699.6 | | | $ | 777.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .49 | % | | | .49 | % | | | .47 | % | | | .46 | % | | | .45 | % |
Net investment income | | | .88 | % | | | 1.03 | % | | | 1.33 | % | | | .86 | % | | | .59 | % |
Portfolio turnover rate | | | 15 | % | | | 14 | % | | | 25 | % | | | 16 | % | | | 12 | % |
| |
| | | Stock Index Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 27.89 | | | $ | 22.76 | | | $ | 36.84 | | | $ | 35.64 | | | $ | 31.41 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .48 | | | | .49 | | | | .64 | | | | .68 | | | | .56 | |
Net realized and unrealized gain (loss) on investments | | | 3.51 | | | | 5.32 | | | | (14.02 | ) | | | 1.14 | | | | 4.31 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 3.99 | | | | 5.81 | | | | (13.38 | ) | | | 1.82 | | | | 4.87 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.51 | ) | | | (.68 | ) | | | (.70 | ) | | | (.62 | ) | | | (.64 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 31.37 | | | $ | 27.89 | | | $ | 22.76 | | | $ | 36.84 | | | $ | 35.64 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 14.59 | % | | | 26.07 | % | | | (36.94 | )% | | | 5.10 | % | | | 15.54 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2,277.6 | | | $ | 2,098.1 | | | $ | 1,815.8 | | | $ | 3,122.4 | | | $ | 3,306.4 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .36 | % | | | .37 | % | | | .37 | % | | | .37 | % | | | .37 | % |
Net investment income | | | 1.70 | % | | | 2.06 | % | | | 2.04 | % | | | 1.73 | % | | | 1.61 | % |
Portfolio turnover rate | | | 4 | % | | | 5 | % | | | 4 | % | | | 3 | % | | | 3 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Value Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 15.10 | | | $ | 10.86 | | | $ | 23.44 | | | $ | 26.21 | | | $ | 22.95 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .17 | | | | .14 | | | | .30 | | | | .39 | | | | .36 | |
Net realized and unrealized gain (loss) on investments | | | 1.90 | | | | 4.36 | | | | (8.36 | ) | | | .42 | | | | 4.11 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.07 | | | | 4.50 | | | | (8.06 | ) | | | .81 | | | | 4.47 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.13 | ) | | | (.26 | ) | | | (4.52 | ) | | | (3.58 | ) | | | (1.21 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 17.04 | | | $ | 15.10 | | | $ | 10.86 | | | $ | 23.44 | | | $ | 26.21 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 13.86 | % | | | 41.93 | % | | | (42.29 | )% | | | 3.19 | % | | | 19.94 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,432.9 | | | $ | 1,181.7 | | | $ | 933.1 | | | $ | 1,824.9 | | | $ | 1,975.7 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .44 | % | | | .43 | % | | | .43 | % | | | .43 | % | | | .43 | % |
Net investment income | | | 1.08 | % | | | 1.15 | % | | | 1.46 | % | | | 1.35 | % | | | 1.45 | % |
Portfolio turnover rate | | | 63 | % | | | 51 | % | | | 71 | % | | | 52 | % | | | 49 | % |
| |
| | | Value Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 15.16 | | | $ | 10.91 | | | $ | 23.51 | | | $ | 26.26 | | | $ | 22.98 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .12 | | | | .13 | | | | .21 | | | | .29 | | | | .27 | |
Net realized and unrealized gain (loss) on investments | | | 1.90 | | | | 4.33 | | | | (8.38 | ) | | | .42 | | | | 4.11 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.02 | | | | 4.46 | | | | (8.17 | ) | | | .71 | | | | 4.38 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.05 | ) | | | (.21 | ) | | | (4.43 | ) | | | (3.46 | ) | | | (1.10 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 17.13 | | | $ | 15.16 | | | $ | 10.91 | | | $ | 23.51 | | | $ | 26.26 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 13.39 | % | | | 41.26 | % | | | (42.56 | )% | | | 2.82 | % | | | 19.43 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 7.1 | | | $ | 3.7 | | | $ | 1.7 | | | $ | 2.7 | | | $ | 3.2 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .84 | % | | | .83 | % | | | .83 | % | | | .83 | % | | | .83 | % |
Net investment income | | | .69 | % | | | .74 | % | | | 1.08 | % | | | .96 | % | | | 1.04 | % |
Portfolio turnover rate | | | 63 | % | | | 51 | % | | | 71 | % | | | 52 | % | | | 49 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio and Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the portfolios of investments, as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2010, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 16, 2011
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.
| | | | |
Independent Trustees (1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (43) No. of Portfolios Overseen: 80 | | Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Member of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors of the National Association of Broadcasters Education Foundation (Since 2010); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None |
Saul K. Fenster, Ph.D. (77) No. of Portfolios Overseen: 80 | | President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering. | | Formerly Director (2000-2006) of IDT Corporation. |
Delayne Dedrick Gold (72) No. of Portfolios Overseen: 80 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None |
W. Scott McDonald, Jr. (73) No. of Portfolios Overseen: 80 | | Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd. | | None |
Thomas T. Mooney (69) No. of Portfolios Overseen: 80 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None |
Thomas M. O’Brien (60) No. of Portfolios Overseen: 80 | | President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
F. Don Schwartz (75) No. of Portfolios Overseen: 80 | | Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | | None. |
E1
| | | | |
Interested Trustees (1) | | | | |
Stephen Pelletier (57) No. of Portfolios Overseen: 80 | | President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998). | | None |
Robert F. Gunia (64) No. of Portfolios Overseen: 80 | | Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | | Director (since May 1989) of The Asia Pacific Fund, Inc. |
Timothy S. Cronin (45) Number of Portfolios Overseen: 80 | | Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.
| | |
Fund Officers (a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Kathryn L. Quirk (58) Chief Legal Officer | | Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. |
Deborah A. Docs (53) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Jonathan D. Shain (52) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Claudia DiGiacomo (36) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
John P. Schwartz (39) Assistant Secretary | | Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005). |
Andrew R. French (48) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). |
Timothy J. Knierim (52) Chief Compliance Officer | | Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007). |
Valerie M. Simpson (52) Deputy Chief Compliance Officer | | Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. |
Theresa C. Thompson (48) Deputy Chief Compliance Officer | | Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004). |
Noreen M. Fierro (46) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group. |
Grace C. Torres (51) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. |
M. Sadiq Peshimam (47) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (52) Assistant Treasurer | | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). |
Alan Fu (53) Assistant Treasurer | | Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.
E2
(1) The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Noreen M. Fierro, 2006; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.
E3
Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.
Life insurance and annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
PRST STD
POSTAGES &
FEES PAID VON
HOFFMANN
CORPORATION
The 2010 Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.
Prudential Investments, Prudential, the Prudential logo, and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0172024-00002-00 PSF-AR-A
| | |
| | |
| ANNUAL REPORT | | DECEMBER 31, 2010 |
The Prudential Series Fund
| | |
Enroll in e-delivery. Save paper, save time! Make Life Easier with eDelivery You can stop receiving printed reports and start reviewing them online by using eDelivery. To receive your semiannual/annual reports online, go to www.prudential.com/edelivery and enroll. | | n SP Growth Asset Allocation Portfolio n SP International Growth Portfolio n SP International Value Portfolio n SP Prudential U.S. Emerging Growth Portfolio n SP Small Cap Value Portfolio |
| | |
Please note that inside is a Prospectus Supplement dated January 13, 2011.
This document is separate from and not part of the annual report.
0172280-00002-00
This report is one of several that provide financial information about certain investment choices available on variable life insurance and variable annuity contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance or variable annuity contract prospectus to determine which portfolios are available to you.
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life or annuity contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios and the contract and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call 888-778-2888 and owners of variable life insurance contracts should call 800-778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. The description is also available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended December 31 is available on the website of the Commission at www.sec.gov and on the Fund’s website.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-ends 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 800-SEC-0330. Form N-Q is also available on the Fund’s website at www.prudential.com or by calling the telephone numbers referenced above.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling 888-778-2888.
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| | | | |
The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2010 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
| | A1 | Schedule of Investments and Financial Statements |
| | B1 | Notes to Financial Statements |
| | D1 | Report of Independent Registered Public Accounting Firm |
| | E1 | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| | | | |
The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2010 |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Diversification does 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,
Stephen Pelletier
President,
The Prudential Series Fund | January 31, 2011 |
PRESIDENT
STEPHEN PELLETIER
| | |
The Prudential Series Fund, SP Growth Asset Allocation Portfolio Subadvised by: Quantitative Management Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 13.90 | % | | | 2.44 | % | | | 2.69 | % |
Blended Index | | | 13.83 | | | | 3.72 | | | | 3.48 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the SP Growth Asset Allocation Portfolio returned 13.90%.
The Portfolio is managed for the highest potential return consistent with its specified level of risk tolerance by Quantitative Management Associates LLC and Prudential Investments. The Portfolio invests primarily in one or more mutual funds. The investment team attempts to outperform a blended index (defined below) in two ways. First, Quantitative Management Associates’ asset allocation team can over- or underweight asset classes versus the benchmark to take advantage of the team’s broad macroeconomic views. Second, Prudential Investments selects the underlying portfolios to be responsible for making security level decisions.
Manager allocations contributed positively to performance in 2010. Advanced Series Trust (AST) Marsico Capital Growth Portfolio and PSF International Growth Portfolio were the top contributors to relative results. AST PIMCO Total Return Bond Portfolio, PSF International Value Portfolio, AST Small Cap Growth Portfolio and AST Western Asset Core Plus Bond Portfolio also made strong contributions to performance.
Tactical asset allocation (short-term modifications in allocations to various asset classes) had little impact on performance over the course of the year. An overweight in stocks over bonds detracted from performance during the first half of the year, but helped during the fourth quarter. Non benchmark allocations to high yield bonds and natural resources stocks had a positive impact on results.
The Board of Trustees of the Prudential Series Fund recently approved that the SP Growth Asset Allocation Portfolio merge into the AST BlackRock Global Strategies Portfolio of the Advanced Series Trust. The reorganization transaction is expected to close on or about the close of business, April 29, 2011.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Blended Index consists of Russell 3000 Index (64%), an unmanaged market cap-weighted index that measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market, Barclays Capital U.S. Aggregate Bond Index (20%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) (16%), an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Quantitative Management Associates is a registered investment advisor and Prudential Financial company.
| | |
The Prudential Series Fund, SP International Growth Portfolio Subadvised by: Marsico Capital Management, LLC, William Blair & Company LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 14.01 | % | | | 2.38 | % | | | 0.59 | % |
Portfolio: Class II | | | 13.81 | | | | 1.98 | | | | 0.20 | |
MSCI EAFE® Index (GD) | | | 8.21 | | | | 2.94 | | | | 3.94 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2010, the International Growth Portfolio Class I shares returned 14.01% and the Class II shares returned 13.81%.
The Portfolio is managed by William Blair & Company and Marsico Capital Management, LLC for long-term growth of capital by investments in stocks of companies that are economically tied to countries other than the United States.
The year 2010 was generally good for investors. As is often the case in the beginning of an economic recovery, stocks of smaller firms performed better than those of large companies and growth stocks outperformed value stocks. Developed country stock markets outside of the United States and Canada were mixed. For example, there were strong gains in Nordic nations, some Far East nations, and Australia, while nations most affected by a European sovereign-debt crisis such as Greece and Spain posted losses. Overall, the MSCI EAFE Index (GD)(the Index) was up 8.21% for the year. Meanwhile, emerging market stocks performed well, and commodity prices also reflected the global economic recovery.
Stock selection by both asset managers improved the Portfolio’s return relative to its benchmark. In particular, the managers’ holdings in the energy and consumer discretionary sectors advanced significantly. Country allocation also enhanced the return. Investments in Canada and in emerging markets countries such as China, India, and Taiwan improved relative performance. The Index has no allocation to any of these countries. Both managers routinely invest in Canadian and emerging markets stocks, as they have found significant growth opportunities in these countries.
The Portfolio also benefited from an overweight in consumer discretionary stocks, a sector that was particularly strong in 2010 as global economic conditions stabilized. However, an underweight in Japan detracted from performance relative to the Index. For years, both managers have underweighted Japan, as higher growth opportunities have been difficult to find. This underweight detracted from performance in 2010, when the Japanese market outperformed the average of other international developed country markets by several percentage points.
The Portfolio held some derivatives, but they had no meaningful impact on the Portfolio’s performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
1 The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.
MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, SP International Value Portfolio Subadvised by: LSV Asset Management, Thornburg Investment Management Inc. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 10.81 | % | | | 4.57 | % | | | 3.08 | % |
MSCI EAFE® Index (GD) | | | 8.21 | | | | 2.94 | | | | 3.94 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the SP International Value Portfolio returned 10.81%.
The Portfolio is managed by LSV Asset Management and Thornburg Investment Management. LSV uses proprietary quantitative investment models, whereas Thornburg invests opportunistically using traditional fundamental securities analysis. The overall objective of the Portfolio is capital growth.
The year 2010 was generally good for investors. As is often the case in the beginnings of an economic recovery, stocks of smaller firms performed better than those of large companies and growth stocks outperformed value stocks. Developed country stock markets outside of the United States and Canada were mixed. For example, there were strong gains in Nordic nations, some Far East nations, and Australia, while nations most affected by a European sovereign-debt crisis such as Greece and Spain posted losses. Overall, the MSCI EAFE Index (GD)(the Index) was up 8.21% for the year. Meanwhile, emerging market stocks performed well, and commodity prices also reflected the global economic recovery.
LSV and Thornburg both beat the Index because of their country allocations and asset selection. Macroeconomic trends influenced market performance heavily because investors shifted between more volatile and more defensive securities as their expectations of the future changed. Thornburg thrived in this environment, outperforming in three of the year’s four quarters. LSV started strong, continuing its late 2009 rally through the second quarter of 2010, then fading slightly. Both LSV and Thornburg added value with good stock selection. Thornburg’s impact was more pronounced as its core value strategy identified numerous opportunities in many markets. For the overall Portfolio, selection was strongest in the consumer discretionary, financials, industrials, healthcare, and energy sectors and in France, Japan, and the United Kingdom.
Exposure to non-benchmark countries also proved helpful to the overall Portfolio. In particular, exposures to China, Mexico, and Canada added value. Among the index constituents, an underweight in Japan and an overweight in Denmark also contributed positively to performance. Although Japan outperformed the market as a whole, being underweight was beneficial because the managers were successful in allocating assets to countries that performed even better. Since, as a risk mitigating rule, LSV does not vary significantly from the index weightings or invest in emerging markets, almost all of the effects from country allocation came from the Thornburg segment.
Although both LSV and Thornburg may take some meaningful sector positions (Thornburg more so than LSV), sector weighting differences from the Index did not affect relative results significantly. The benefits from an overweight in the consumer discretionary sector and an underweight in utilities was largely offset by the Portfolio’s overweights in the materials and healthcare sectors.
From time to time, Thornburg will use currency forwards (a form of derivative security) as a tool to hedge some of the currency risk from investing in non-U.S. stocks. This intermittent hedging strategy is not expected to have a significant impact on the performance of the overall Portfolio.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Portfolio: Class I | | | 20.43 | % | | | 6.88 | % | | | 4.70 | % | | | N/A | |
Portfolio: Class II | | | 19.96 | | | | 6.50 | | | | N/A | | | | 5.73 | |
Russell Midcap® Growth Index | | | 26.38 | | | | 4.88 | | | | 3.12 | | | | 4.80 | |
S&P Midcap 400 Index | | | 26.64 | | | | 5.73 | | | | 7.16 | | | | 7.44 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio (Class I) inception: 9/22/2000. Portfolio (Class II) inception: 7/9/2001. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance
$10,000 INVESTED SINCE INCEPTION1
beginning the closest month-end date to the Portfolio’s inception (Class II). The Russell Midcap® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ending December 31, 2010, the SP Prudential Emerging U.S. Growth Portfolio Class I shares returned 20.43% and Class II shares returned 19.96%.
The Portfolio underperformed its benchmark, the Russell Midcap® Growth Index.
Stock selection in the information technology and materials sectors made a positive contribution to relative return.
Within information technology, NetApp a company that provides data management products that simplify the process of storing, managing, protecting, and archiving enterprise data made a significant positive contribution to performance. The company is benefiting from an improving economic environment and increasing digital content, which have prompted businesses to invest in computer and data storage network upgrades. Riverbed Technology, a communications equipment provider also made a significant contribution to performance as shares appreciated 151% during the year. The company is a leader in the wide area network (WAN) space. The company has demonstrated consistent growth, which the investment team expects to continue as cloud computing trends drive significant growth in the WAN market.
Weak stock selection in healthcare, energy, and the specialty retail segment of consumer discretionary detracted the most from relative performance.
The primary detractor from performance this year, after several years of outperformance, was natural gas producer Southwestern Energy. The decline likely reflects concerns that continued weak natural gas prices could impede earnings growth. While investors are focused on weak gas prices, Jennison remains comfortable with this position and expects production growth to continue to outpace other exploration and production companies. Another holding that detracted from return came from the consumer discretionary sector. Shares of Apollo Group, a for-profit education provider have been volatile as an uncertain regulatory environment has created a lower conviction in expectations for future earnings. The investment team decided to eliminate the position in this holding in favor of other investment opportunities it believes to have more stable and potential earnings growth potential.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
1 The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.
Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment advisor and Prudential Financial company.
| | |
The Prudential Series Fund, SP Small Cap Value Portfolio Subadvised by: ClearBridge Advisors, LLC, Goldman Sachs Asset Management L.P. | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
Average Annual Total Return
Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 26.27 | % | | | 4.86 | % | | | 6.52 | % |
Russell 2000® Value Index | | | 24.50 | | | | 3.52 | | | | 8.42 | |
Russell 2500™ Index | | | 26.71 | | | | 4.86 | | | | 6.98 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 2000® Value and Russell 2500TM Index are trademark/service marks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2010, the SP Small-Cap Value Portfolio returned 26.27%.
The Portfolio is managed by Goldman Sachs Asset Management, L.P. (GoldmanSachs) and ClearBridge Advisors, LLC (ClearBridge) for long-term growth of capital by investing in the equity securities of small capitalization companies that are believed to be undervalued in the marketplace. Goldman Sachs focuses on finding opportunities where the intrinsic value of the business is not reflected in the stock price. ClearBridge employs a relative value approach, looking for stocks selling at lower valuations than those of comparable firms.
The U.S. stock market posted a gain for the first quarter of 2010, but pulled back in the spring after the sovereign debt crisis in Europe worsened and the U.S. economy faced the threat of another recession, brought on by weak housing and job markets. However, efforts by some key governments and central banks to keep their economies and financial markets afloat helped push broad stock market indexes past the pullback and into positive territory for the second year in a row. In the United States, stocks also received a dramatic boost in December in reaction to a robust shopping season, the extension of the President Bush-era tax cuts, and a 2.0% cut in payroll taxes. Small-cap stocks outperformed mid- and large-cap stocks for the year, based on Russell U.S. indexes. Growth stocks outperformed value stocks across all market capitalizations.
The Portfolio’s strong absolute gain in 2010 reflected the favorable stock market conditions, and it outperformed the Russell 2000 Value Index (the Index) primarily due to assets held by ClearBridge and Goldman Sachs. Holdings in several industries including leisure, construction and real property, banking, and property and casualty helped the Portfolio’s performance versus the Index. Having a smaller exposure than the Index to the clothing stores industry also worked well as consumers maintained a cautious stance, given the economic uncertainty. However, the Portfolio’s relative performance was constrained by positions in other industries including mining and metals, oil services, medical services, and equity real estate investment trust (REITs).
The Portfolio’s sector weightings also helped it outperform the Index. It benefited from its overweight exposure to the more cyclically oriented industrials sector relative to the Index. An overall underweight position in financials contributed positively, as Goldman’s overweight exposure to the sector was offset by ClearBridge’s underweight position.
Compared to the market, the Portfolio, in aggregate, tends to have less exposure to stocks exhibiting higher volatility, stocks with greater earnings variability, and stocks of heavily indebted firms. Therefore, the Portfolio tends to capture less of the movements in the broad market return than the Index. Accordingly, during periods of heightened market volatility such as occurred in 2010, the Portfolio’s defensive positioning tends to act like a headwind. However, Goldman Sach’s slightly higher sensitivity to market volatility to some extent offset Clearbridge’s lower sensitivity to market volatility in 2010.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| | |
Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2010 |
| | | | |
| SP Growth Asset Allocation | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Advanced Series Trust—Large Cap Value Portfolio | | | 28.7% | |
| Advanced Series Trust—Marisco Capital Growth Portfolio | | | 16.3% | |
| PSF—Jennison Portfolio (Class I) | | | 16.2% | |
| Advanced Series Trust—AST PIMCO Total Return Bond Portfolio | | | 10.7% | |
| PSF—SP International Value Portfolio | | | 7.5% | |
| | | | |
| SP International Growth | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| OGX Petroleo e Gas Participacoes SA (Brazil) | | | 2.5% | |
BASF SE (Germany) | | | 2.2% | |
| Li & Fung Ltd. (Hong Kong) | | | 2.2% | |
Schneider Electric SA (France) | | | 2.1% | |
Nestle SA (Switzerland) | | | 1.9% | |
| | | | |
| SP International Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Novartis AG (Switzerland) | | | 2.1% | |
| Royal Dutch Shell PLC (Class B Stock) (United Kingdom) | | | 1.6% | |
| BNP Paribas (France) | | | 1.3% | |
Komatsu Ltd. (Japan) | | | 1.3% | |
| Novo Nordisk A/S (Class B Stock) (Denmark) | | | 1.3% | |
| | | | |
| SP Prudential U.S. Emerging Growth | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Crown Castle International Corp. | | | 2.1% | |
NII Holdings, Inc. | | | 2.1% | |
| American Tower Corp. (Class A Stock) | | | 2.1% | |
| Southwestern Energy Co. | | | 2.1% | |
| Broadcom Corp. (Class A Stock) | | | 1.8% | |
| | | | |
| SP Small Cap Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Signature Bank | | | 1.5% | |
| Meadowbrook Insurance Group, Inc. | | | 1.2% | |
El Paso Electric Co. | | | 1.0% | |
| BioMed Realty Trust, Inc. | | | 1.0% | |
| Regal-Beloit Corp. | | | 0.9% | |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
| | |
The Prudential Series Fund Fees and Expenses — unaudited | | December 31, 2010 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2010 through December 31, 2010.
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 the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning
Account Value
July 1, 2010 | | | Ending
Account Value
December 31, 2010 | | | Annualized Expense
Ratio Based on the
Six-Month Period | | | Expenses Paid
During the
Six-Month Period* | |
| SP Growth Asset Allocation (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,209.20 | | | | 1.43 | % | | $ | 7.96 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,018.00 | | | | 1.43 | % | | $ | 7.27 | |
| SP International Growth (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,275.20 | | | | 1.14 | % | | $ | 6.54 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.46 | | | | 1.14 | % | | $ | 5.80 | |
| SP International Growth (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,275.00 | | | | 1.54 | % | | $ | 8.83 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,017.44 | | | | 1.54 | % | | $ | 7.83 | |
| SP International Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,237.80 | | | | 1.02 | % | | $ | 5.75 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.06 | | | | 1.02 | % | | $ | 5.19 | |
| SP Prudential U.S. Emerging Growth (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,230.50 | | | | 0.71 | % | | $ | 3.99 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.63 | | | | 0.71 | % | | $ | 3.62 | |
| SP Prudential U.S. Emerging Growth (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,228.20 | | | | 1.11 | % | | $ | 6.23 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.61 | | | | 1.11 | % | | $ | 5.65 | |
| SP Small Cap Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,285.90 | | | | 1.04 | % | | $ | 5.99 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.96 | | | | 1.04 | % | | $ | 5.30 | |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2010, and divided by the 365 days in the Portfolio's fiscal year ended December 31, 2010 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| | | | | | |
| | | SP GROWTH ASSET ALLOCATION PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
LONG-TERM
INVESTMENTS — 99.6% | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
AFFILIATED MUTUAL FUNDS | | | | | | | | |
Advanced Series Trust — | | | | | | | | |
AST Global Real Estate Portfolio | | | 963,864 | | | $ | 7,836,216 | |
AST Large-Cap Value Portfolio | | | 17,555,755 | | | | 233,842,651 | |
AST Marsico Capital Growth Portfolio | | | 6,860,527 | | | | 132,682,594 | |
AST PIMCO Total Return
Bond Portfolio | | | 7,164,853 | | | | 87,124,616 | |
AST Small-Cap Growth Portfolio | | | 1,009,595 | | | | 20,595,730 | |
AST Western Asset Core Plus
Bond Portfolio | | | 3,567,384 | | | | 37,493,207 | |
The Prudential Series Fund — | | | | | | | | |
High Yield Bond Portfolio | | | 1,616,386 | | | | 8,178,911 | |
Jennison Portfolio (Class I) | | | 5,675,242 | | | | 132,006,136 | |
Money Market Portfolio | | | 6,453 | | | | 64,532 | |
Natural Resources Portfolio (Class I) | | | 179,685 | | | | 8,504,512 | |
SP International Growth Portfolio (Class I) | | | 11,795,392 | | | | 61,218,085 | |
SP International Value Portfolio | | | 8,925,083 | | | | 61,315,321 | |
SP Small Cap Value Portfolio | | | 1,648,162 | | | | 20,239,430 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $720,150,690) | | | | 811,101,941 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 0.3% | | | | | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money
Market Fund
(cost $2,594,699) (Note 4) | | | 2,594,699 | | | | 2,594,699 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 99.9%
(cost $722,745,389)(a) | | | | 813,696,640 | |
OTHER ASSETS IN EXCESS OF
LIABILITIES — 0.1% | | | | 653,534 | |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 814,350,174 | |
| | | | | | |
|
|
|
| (a) | Prudential Investments LLC, the manager of the Portfolio, also serve as manager/co-manager of the underlying portfolios in which the Portfolio invests. |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Affiliated Mutual Funds | | $ | 811,101,941 | | | $ | — | | | $ | — | |
Affiliated Money Market
Mutual Fund | | | 2,594,699 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 813,696,640 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The investment allocation of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Investment Type | | | | |
Large/Mid-Cap Growth | | | 32.5 | % |
Large/Mid-Cap Value | | | 28.7 | |
Core Bonds | | | 15.3 | |
International Growth | | | 7.5 | |
International Value | | | 7.5 | |
Small-Cap Growth | | | 2.6 | |
Small-Cap Value | | | 2.5 | |
Sector | | | 2.0 | |
High Yield | | | 1.0 | |
Money Market | | | — | (b) |
| | |
|
|
|
| | | | 99.6 | |
Short-Term Investment | | | 0.3 | |
Other assets in excess of liabilities | | | 0.1 | |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | SP GROWTH ASSET ALLOCATION PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Affiliated investments, at value (cost $722,745,389) | | $ | 813,696,640 | |
Receivable for investments sold | | | 700,000 | |
Receivable for Series shares sold | | | 72,950 | |
Dividends receivable | | | 182 | |
Prepaid expenses | | | 28 | |
| | |
|
|
|
Total Assets | | | 814,469,800 | |
| | |
|
|
|
| LIABILITIES | | | | |
Accrued expenses and other liabilities | | | 80,781 | |
Management fee payable | | | 34,364 | |
Payable for Series shares repurchased | | | 2,932 | |
Affiliated transfer agent fee payable | | | 877 | |
Deferred trustees’ fees | | | 672 | |
| | |
|
|
|
Total Liabilities | | | 119,626 | |
| | |
|
|
|
| NET ASSETS | | $ | 814,350,174 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 807,706,136 | |
Retained earnings | | | 6,644,038 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 814,350,174 | |
| | |
|
|
|
Net asset value and redemption price per share, $814,350,174 / 90,870,195 outstanding shares of beneficial interest | | $ | 8.96 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Affiliated dividend income | | $ | 9,173,610 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 388,050 | |
Shareholders’ reports | | | 74,000 | |
Custodian’s fees and expenses | | | 62,000 | |
Audit fee | | | 19,000 | |
Trustees’ fees | | | 16,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 10,000 | |
Insurance expenses | | | 8,000 | |
Legal fees and expenses | | | 8,000 | |
Commitment fee on syndicated credit agreement | | | 5,000 | |
Miscellaneous | | | 7,958 | |
| | |
|
|
|
Total expenses | | | 598,008 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 8,575,602 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON AFFILIATED INVESTMENTS | | | | |
Net realized gain (loss) on: | | | | |
Net realized loss on investment transactions | | | (19,657,676 | ) |
Net capital gain distributions received | | | 1,739,371 | |
| | |
|
|
|
| | | | (17,918,305 | ) |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on investments | | | 111,271,798 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 93,353,493 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 101,929,095 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 8,575,602 | | | $ | 15,203,300 | |
Net realized loss on investments | | | (17,918,305 | )�� | | | (73,655,656 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 111,271,798 | | | | 226,168,654 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 101,929,095 | | | | 167,716,298 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (15,197,272 | ) | | | (25,712,126 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [2,488,222 and 3,177,301 shares, respectively] | | | 20,353,920 | | | | 21,824,902 | |
Series shares issued in reinvestment of distributions [1,963,472 and 3,748,123 shares, respectively] | | | 15,197,272 | | | | 25,712,126 | |
Series shares repurchased [12,322,780 and 13,490,422 shares, respectively] | | | (100,732,290 | ) | | | (91,581,608 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (65,181,098 | ) | | | (44,044,580 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 21,550,725 | | | | 97,959,592 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 792,799,449 | | | | 694,839,857 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 814,350,174 | | | $ | 792,799,449 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.8% | | | | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Argentina — 0.6% | | | | | | | | |
MercadoLibre, Inc.* | | | 16,329 | | | $ | 1,088,328 | |
| | | | | | |
|
|
|
Bahamas — 0.1% | | | | | | | | |
Petrominerales Ltd. | | | 5,073 | | | | 169,190 | |
| | | | | | |
|
|
|
Belgium — 2.1% | | | | | | | | |
Anheuser-Busch InBev NV | | | 54,399 | | | | 3,111,297 | |
Colruyt SA | | | 9,130 | | | | 464,229 | |
| | | | | | |
|
|
|
| | | | | | | | 3,575,526 | |
| | | | | | |
|
|
|
Bermuda — 0.3% | | | | | | | | |
Credicorp Ltd. | | | 4,166 | | | | 495,379 | |
| | | | | | |
|
|
|
Brazil — 6.1% | | | | | | | | |
Anhanguera Educacional
Participacoes SA | | | 26,200 | | | | 631,325 | |
BR Malls Participacoes SA | | | 238,600 | | | | 2,457,867 | |
OGX Petroleo e Gas
Participacoes SA* | | | 356,000 | | | | 4,289,157 | |
PDG Realty SA Empreendimentos
e Participacoes | | | 394,000 | | | | 2,411,470 | |
Vale SA, ADR(a) | | | 20,959 | | | | 724,553 | |
| | | | | | |
|
|
|
| | | | | | | | 10,514,372 | |
| | | | | | |
|
|
|
Canada — 4.0% | | | | | | | | |
Brookfield Asset Management, Inc. (Class A Stock) | | | 38,329 | | | | 1,275,972 | |
Canadian National Railway Co. (NYSE) | | | 33,682 | | | | 2,238,843 | |
Canadian National Railway Co. (TSX) | | | 11,800 | | | | 787,418 | |
Pacific Rubiales Energy Corp. | | | 18,742 | | | | 636,169 | |
Petrobank Energy & Resources Ltd.* | | | 8,249 | | | | 209,481 | |
Teck Resources Ltd. (Class B Stock) | | | 23,661 | | | | 1,470,395 | |
Tim Hortons, Inc. | | | 6,737 | | | | 278,478 | |
| | | | | | |
|
|
|
| | | | | | | | 6,896,756 | |
| | | | | | |
|
|
|
Cayman Islands — 0.4% | | | | | | | | |
Baidu, Inc., ADR* | | | 8,218 | | | | 793,283 | |
| | | | | | |
|
|
|
Chile — 0.7% | | | | | | | | |
Banco Santander Chile SA, ADR(a) | | | 7,304 | | | | 682,705 | |
Lan Airlines SA | | | 19,611 | | | | 612,383 | |
| | | | | | |
|
|
|
| | | | | | | | 1,295,088 | |
| | | | | | |
|
|
|
China — 2.7% | | | | | | | | |
China Shenhua Energy Co. Ltd.
(Class H Stock) | | | 239,500 | | | | 1,004,490 | |
China Vanke Co. Ltd. (Class B Stock) | | | 220,548 | | | | 272,394 | |
Dongfeng Motor Group Co. Ltd.
(Class H Stock) | | | 278,000 | | | | 479,261 | |
Industrial & Commercial Bank of China Ltd. (Class H Stock) | | | 60,705 | | | | 45,219 | |
Ping An Insurance Group Co. of China Ltd. (Class H Stock) | | | 208,000 | | | | 2,325,443 | |
Weichai Power Co. Ltd. (Class
H Stock) | | | 78,000 | | | | 480,174 | |
| | | | | | |
|
|
|
| | | | | | | | 4,606,981 | |
| | | | | | |
|
|
|
Denmark — 3.6% | | | | | | | | |
Coloplast A/S (Class B Stock) | | | 4,304 | | | | 584,870 | |
Novo Nordisk A/S (Class B Stock) | | | 27,821 | | | | 3,137,191 | |
Novozymes A/S (Class B Stock) | | | 9,600 | | | | 1,337,241 | |
Pandora A/S* | | | 18,432 | | | | 1,110,272 | |
| | | | | | |
|
|
|
| | | | | | | | 6,169,574 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Finland — 0.4% | | | | | | | | |
Kone Oyj (Class B Stock) | | | 13,862 | | | $ | 770,595 | |
| | | | | | |
|
|
|
France — 8.8% | | | | | | | | |
Accor SA | | | 40,133 | | | | 1,785,882 | |
Air Liquide SA | | | 5,252 | | | | 664,211 | |
BNP Paribas | | | 33,174 | | | | 2,110,585 | |
Cie Generale des Etablissements Michelin (Class B Stock) | | | 8,099 | | | | 581,182 | |
EDF Energies Nouvelles SA | | | 5,808 | | | | 245,722 | |
L’Oreal SA | | | 8,164 | | | | 906,372 | |
LVMH Moet Hennessy Louis
Vuitton SA | | | 7,075 | | | | 1,163,835 | |
Pernod-Ricard SA | | | 14,083 | | | | 1,324,121 | |
Publicis Groupe SA | | | 32,097 | | | | 1,672,769 | |
Safran SA | | | 13,666 | | | | 483,943 | |
Schneider Electric SA | | | 23,911 | | | | 3,578,678 | |
Vinci SA | | | 11,976 | | | | 651,028 | |
| | | | | | |
|
|
|
| | | | | | | | 15,168,328 | |
| | | | | | |
|
|
|
Germany — 7.9% | | | | | | | | |
Adidas AG | | | 15,448 | | | | 1,009,251 | |
BASF SE | | | 48,114 | | | | 3,838,421 | |
Daimler AG* | | | 29,486 | | | | 1,998,884 | |
Infineon Technologies AG* | | | 60,612 | | | | 563,978 | |
Metro AG | | | 21,177 | | | | 1,524,751 | |
SAP AG | | | 18,741 | | | | 954,167 | |
Siemens AG | | | 16,750 | | | | 2,074,920 | |
ThyssenKrupp AG | | | 38,199 | | | | 1,581,650 | |
| | | | | | |
|
|
|
| | | | | | | | 13,546,022 | |
| | | | | | |
|
|
|
Hong Kong — 4.2% | | | | | | | | |
CNOOC Ltd. | | | 889,800 | | | | 2,110,940 | |
Hang Lung Properties Ltd. | | | 278,000 | | | | 1,300,085 | |
Li & Fung Ltd. | | | 658,000 | | | | 3,817,903 | |
| | | | | | |
|
|
|
| | | | | | | | 7,228,928 | |
| | | | | | |
|
|
|
India — 2.2% | | | | | | | | |
ICICI Bank Ltd., ADR(a) | | | 62,833 | | | | 3,181,863 | |
Infosys Technologies Ltd., ADR(a) | | | 9,012 | | | | 685,633 | |
| | | | | | |
|
|
|
| | | | | | | | 3,867,496 | |
| | | | | | |
|
|
|
Indonesia — 1.0% | | | | | | | | |
Astra International Tbk PT | | | 89,500 | | | | 541,867 | |
Bank Rakyat Indonesia | | | 531,000 | | | | 618,813 | |
Indofood Sukses Makmur Tbk PT | | | 728,500 | | | | 394,166 | |
Kalbe Farma Tbk PT | | | 520,500 | | | | 187,750 | |
| | | | | | |
|
|
|
| | | | | | | | 1,742,596 | |
| | | | | | |
|
|
|
Israel — 1.9% | | | | | | | | |
Teva Pharmaceutical Industries
Ltd., ADR | | | 61,554 | | | | 3,208,810 | |
| | | | | | |
|
|
|
Italy — 0.9% | | | | | | | | |
Saipem SpA | | | 31,873 | | | | 1,569,096 | |
| | | | | | |
|
|
|
Japan — 13.1% | | | | | | | | |
Canon, Inc. | | | 57,800 | | | | 2,997,143 | |
Daikin Industries Ltd. | | | 18,300 | | | | 649,144 | |
Dena Co. Ltd. | | | 31,700 | | | | 1,136,968 | |
Denso Corp. | | | 20,800 | | | | 717,842 | |
FamilyMart Co. Ltd. | | | 35,100 | | | | 1,322,897 | |
Fanuc Corp. | | | 12,600 | | | | 1,935,238 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Japan (continued) | | | | | | | | |
Honda Motor Co. Ltd. | | | 50,900 | | | $ | 2,015,562 | |
Keyence Corp. | | | 3,200 | | | | 927,011 | |
Komatsu Ltd. | | | 79,000 | | | | 2,390,725 | |
Marubeni Corp. | | | 220,000 | | | | 1,547,235 | |
Mitsubishi UFJ Financial Group, Inc. | | | 94,300 | | | | 509,887 | |
Mizuho Financial Group, Inc. | | | 228,900 | | | | 431,355 | |
Murata Manufacturing Co. Ltd. | | | 10,400 | | | | 728,858 | |
Nitori Holdings Co. Ltd. | | | 4,900 | | | | 428,501 | |
Softbank Corp. | | | 39,900 | | | | 1,381,437 | |
Sony Financial Holdings, Inc. | | | 178 | | | | 720,200 | |
Sumitomo Mitsui Financial Group, Inc. | | | 47,700 | | | | 1,699,081 | |
Yahoo! Japan Corp. | | | 2,628 | | | | 1,019,608 | |
| | | | | | |
|
|
|
| | | | | | | | 22,558,692 | |
| | | | | | |
|
|
|
Luxembourg — 0.9% | | | | | | | | |
Millicom International Cellular SA | | | 15,507 | | | | 1,482,469 | |
| | | | | | |
|
|
|
Malaysia — 0.9% | | | | | | | | |
CIMB Group Holdings Bhd | | | 236,700 | | | | 652,489 | |
Genting Bhd | | | 164,900 | | | | 597,886 | |
Kuala Lumpur Kepong Bhd | | | 45,000 | | | | 322,523 | |
| | | | | | |
|
|
|
| | | | | | | | 1,572,898 | |
| | | | | | |
|
|
|
Mexico — 0.9% | | | | | | | | |
America Movil SAB de CV
(Class L Stock), ADR | | | 17,737 | | | | 1,017,040 | |
Coca-Cola Femsa SAB de CV, ADR | | | 6,326 | | | | 521,452 | |
| | | | | | |
|
|
|
| | | | | | | | 1,538,492 | |
| | | | | | |
|
|
|
Netherlands — 1.2% | | | | | | | | |
Core Laboratories NV(a) | | | 4,988 | | | | 444,181 | |
LyondellBasell Industries NV
(Class A Stock)* | | | 15,535 | | | | 534,404 | |
Sensata Technologies Holding NV* | | | 34,987 | | | | 1,053,459 | |
| | | | | | |
|
|
|
| | | | | | | | 2,032,044 | |
| | | | | | |
|
|
|
Russia — 0.3% | | | | | | | | |
Mail.ru Group Ltd.* | | | 12,573 | | | | 452,628 | |
| | | | | | |
|
|
|
Singapore — 1.4% | | | | | | | | |
CapitaLand Ltd. | | | 429,500 | | | | 1,241,629 | |
CapitaMalls Asia Ltd. | | | 381,000 | | | | 575,946 | |
Jardine Cycle & Carriage Ltd. | | | 23,000 | | | | 655,940 | |
| | | | | | |
|
|
|
| | | | | | | | 2,473,515 | |
| | | | | | |
|
|
|
South Africa — 2.5% | | | | | | | | |
Aspen Pharmacare Holdings Ltd.* | | | 32,133 | | | | 448,813 | |
MTN Group Ltd. | | | 110,024 | | | | 2,245,074 | |
Naspers Ltd. (Class N Stock) | | | 17,995 | | | | 1,059,759 | |
Truworths International Ltd. | | | 47,600 | | | | 517,729 | |
| | | | | | |
|
|
|
| | | | | | | | 4,271,375 | |
| | | | | | |
|
|
|
South Korea — 1.9% | | | | | | | | |
Hyundai Motor Co. | | | 6,499 | | | | 993,547 | |
Samsung Electronics Co. Ltd. | | | 2,845 | | | | 2,378,980 | |
| | | | | | |
|
|
|
| | | | | | | | 3,372,527 | |
| | | | | | |
|
|
|
Spain — 2.5% | | | | | | | | |
Banco Santander SA | | | 102,691 | | | | 1,087,935 | |
Industria de Diseno Textil SA | | | 37,605 | | | | 2,815,614 | |
Tecnicas Reunidas SA | | | 5,620 | | | | 357,591 | |
| | | | | | |
|
|
|
| | | | | | | | 4,261,140 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Sweden — 1.4% | | | | | | | | |
Assa Abloy AB (Class B Stock) | | | 34,601 | | | $ | 974,908 | |
Atlas Copco AB (Class A Stock) | | | 25,157 | | | | 634,755 | |
Hexagon AB (Class B Stock) | | | 16,910 | | | | 362,556 | |
SKF AB (Class B Stock) | | | 13,047 | | | | 371,682 | |
| | | | | | |
|
|
|
| | | | | | | | 2,343,901 | |
| | | | | | |
|
|
|
Switzerland — 6.5% | | | | | | | | |
Compagnie Financiere Richemont SA (Class A Stock) | | | 8,656 | | | | 509,176 | |
Credit Suisse Group AG | | | 20,828 | | | | 839,135 | |
Julius Baer Group Ltd. | | | 33,665 | | | | 1,577,034 | |
Nestle SA | | | 57,019 | | | | 3,338,813 | |
Novartis AG | | | 12,741 | | | | 748,789 | |
Sika AG | | | 105 | | | | 230,326 | |
Swatch Group AG (The) | | | 6,470 | | | | 2,884,167 | |
Zurich Financial Services AG | | | 3,865 | | | | 1,001,180 | |
| | | | | | |
|
|
|
| | | | | | | | 11,128,620 | |
| | | | | | |
|
|
|
Taiwan — 0.3% | | | | | | | | |
HTC Corp. | | | 16,850 | | | | 520,124 | |
| | | | | | |
|
|
|
Turkey — 0.4% | | | | | | | | |
Turkiye Garanti Bankasi A/S | | | 135,570 | | | | 686,630 | |
| | | | | | |
|
|
|
United Kingdom — 15.7% | | | | | | | | |
Admiral Group PLC | | | 18,565 | | | | 438,509 | |
Aggreko PLC | | | 11,754 | | | | 271,584 | |
AMEC PLC | | | 37,438 | | | | 671,246 | |
Amlin PLC | | | 56,361 | | | | 359,308 | |
Antofagasta PLC | | | 11,755 | | | | 295,433 | |
ARM Holdings PLC | | | 81,006 | | | | 534,609 | |
Barclays PLC | | | 363,602 | | | | 1,483,263 | |
BG Group PLC | | | 51,493 | | | | 1,040,457 | |
BHP Billiton PLC | | | 35,048 | | | | 1,393,942 | |
Centrica PLC | | | 186,736 | | | | 965,414 | |
Compass Group PLC | | | 171,191 | | | | 1,550,701 | |
GlaxoSmithKline PLC | | | 50,739 | | | | 980,922 | |
HSBC Holdings PLC | | | 147,939 | | | | 1,501,763 | |
| | | | | | | | | |
Johnson Matthey PLC | | | 19,227 | | | | 610,923 | |
Kingfisher PLC | | | 61,143 | | | | 251,092 | |
NEXT PLC | | | 12,316 | | | | 379,235 | |
Petrofac Ltd. | | | 33,508 | | | | 829,080 | |
Reckitt Benckiser Group PLC | | | 58,560 | | | | 3,218,335 | |
Rolls-Royce Group PLC* | | | 179,189 | | | | 1,740,486 | |
Rolls-Royce Group PLC
(Class C Stock)* | | | 12,831,552 | | | | 20,006 | |
Standard Chartered PLC | | | 94,634 | | | | 2,545,852 | |
Tesco PLC | | | 260,493 | | | | 1,726,061 | |
Tullow Oil PLC | | | 81,199 | | | | 1,596,382 | |
Vodafone Group PLC | | | 459,846 | | | | 1,188,688 | |
Wood Group (John) PLC | | | 32,008 | | | | 278,960 | |
Xstrata PLC | | | 48,883 | | | | 1,147,386 | |
| | | | | | |
|
|
|
| | | | | | | | 27,019,637 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $132,804,840) | | | | 168,421,040 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
| SHORT-TERM INVESTMENT — 4.9% | | | | | |
AFFILIATED MONEY MARKET MUTUAL FUND | | | | | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $8,475,580; includes $5,325,370 of cash collateral for securities on loan)(b)(w)(Note 4) | | | 8,475,580 | | | $ | 8,475,580 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 102.7%
(cost $141,280,420) | | | | 176,896,620 | |
Liabilities in excess of
other assets(x) — (2.7)% | | | | (4,661,303 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 172,235,317 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| NYSE | | New York Stock Exchange |
| TSX | | Toronto Stock Exchange |
| BRL | | Brazilian Real |
| JPY | | Japanese Yen |
| * | 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 $5,225,447; cash collateral of $5,325,370 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series. |
| (x) | Liabilities in excess of other assets includes net unrealized appreciation (depreciation) on forward foreign currency exchange contracts as follows: |
Forward foreign currency exchange contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Appreciation
| |
Brazilian Real, Expiring 01/05/11 | | | Citigroup Global Markets | | | BRL | 48 | | | $ | 28,515 | | | $ | 28,850 | | | $ | 335 | |
Japanese Yen, Expiring 01/06/11 | | | State Street Bank | | | JPY | 1,583 | | | | 19,417 | | | | 19,503 | | | | 86 | |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | $ | 47,932 | | | $ | 48,353 | | | $ | 421 | |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | |
Sale Contracts
| | Counterparty
| | | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Depreciation
| |
Japanese Yen, Expiring 01/05/11 | | | JPMorgan Chase | | | JPY | 8,349 | | | $ | 102,199 | | | $ | 102,829 | | | $ | (630 | ) |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | |
Argentina | | $ | 1,088,328 | | | $ | — | | | $ | — | |
Bahamas | | | 169,190 | | | | — | | | | — | |
Belgium | | | 3,575,526 | | | | — | | | | — | |
Bermuda | | | 495,379 | | | | — | | | | — | |
Brazil | | | 10,514,372 | | | | — | | | | — | |
Canada | | | 6,896,756 | | | | — | | | | — | |
Cayman Islands | | | 793,283 | | | | — | | | | — | |
Chile | | | 1,295,088 | | | | — | | | | — | |
China | | | 4,606,981 | | | | — | | | | — | |
Denmark | | | 6,169,574 | | | | — | | | | — | |
Finland | | | 770,595 | | | | — | | | | — | |
France | | | 15,168,328 | | | | — | | | | — | |
Germany | | | 13,546,022 | | | | — | | | | — | |
Hong Kong | | | 7,228,928 | | | | — | | | | — | |
India | | | 3,867,496 | | | | — | | | | — | |
Indonesia | | | 1,742,596 | | | | — | | | | — | |
Israel | | | 3,208,810 | | | | — | | | | — | |
Italy | | | 1,569,096 | | | | — | | | | — | |
Japan | | | 22,558,692 | | | | — | | | | — | |
Luxembourg | | | 1,482,469 | | | | — | | | | — | |
Malaysia | | | 1,572,898 | | | | — | | | | — | |
Mexico | | | 1,538,492 | | | | — | | | | — | |
Netherlands | | | 2,032,044 | | | | — | | | | — | |
Russia | | | 452,628 | | | | — | | | | — | |
Singapore | | | 2,473,515 | | | | — | | | | — | |
South Africa | | | 4,271,375 | | | | — | | | | — | |
South Korea | | | 3,372,527 | | | | — | | | | — | |
Spain | | | 4,261,140 | | | | — | | | | — | |
Sweden | | | 2,343,901 | | | | — | | | | — | |
Switzerland | | | 11,128,620 | | | | — | | | | — | |
Taiwan | | | 520,124 | | | | — | | | | — | |
Turkey | | | 686,630 | | | | — | | | | — | |
United Kingdom | | | 26,999,631 | | | | 20,006 | | | | — | |
Affiliated Money Market Mutual Fund | | | 8,475,580 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Foreign Forward Currency Contracts | | | — | | | | (209 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 176,876,614 | | | $ | 19,797 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts which are valued at the unrealized appreciation/depreciation on the instrument. |
Fair Value of Level 2 investments at 12/31/09 was $134,184,988. $67,408,839 was transferred out of Level 2 into Level 1 at 12/31/10 as a result of no longer using third-party vendor modeling tools due to the lack of any significant market movements between the time at which the Portfolio valued its securities and the earlier closing of foreign markets.
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Banks | | | 11.8 | % |
Oil, Gas & Consumable Fuels | | | 8.7 | |
Retail & Merchandising | | | 6.5 | |
Metals & Mining | | | 5.5 | |
Real Estate Operation & Development | | | 5.5 | |
Foods | | | 5.3 | |
Affiliated Money Market Mutual Fund (3.1% represents investments purchased with collateral from securities on loan) | | | 4.9 | |
Pharmaceuticals | | | 4.8 | |
Telecommunications | | | 4.3 | |
Machinery | | | 3.5 | |
Distribution/Wholesale | | | 3.5 | |
Automobile Manufacturers | | | 3.2 | |
Chemicals | | | 2.9 | |
Beverages | | | 2.9 | |
Insurance | | | 2.7 | |
Internet Software & Services | | | 2.6 | |
Consumer Products & Services | | | 2.4 | |
Electrical Equipment | | | 2.1 | |
Semiconductors | | | 2.0 | |
Transportation | | | 1.8 | |
Office Equipment | | | 1.7 | |
Electronic Components | | | 1.5 | |
Hotels & Motels | | | 1.3 | |
Aerospace & Defense | | | 1.3 | |
Computer Services & Software | | | 1.3 | |
Diversified Manufacturing | | | 1.2 | |
Auto Parts & Equipment | | | 1.0 | |
Advertising | | | 1.0 | |
Biotechnology | | | 0.8 | |
Holding Companies — Diversified | | | 0.7 | |
Media | | | 0.6 | |
Healthcare Products | | | 0.6 | |
Apparel & Textile | | | 0.6 | |
Construction & Engineering | | | 0.6 | |
Commercial Services | | | 0.5 | |
Building Materials | | | 0.5 | |
Airlines | | | 0.3 | |
Agriculture | | | 0.2 | |
Energy | | | 0.1 | |
| | |
|
|
|
| | | | 102.7 | |
Liabilities in excess of other assets | | | (2.7 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk.
The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 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
| |
Foreign exchange contracts | | Unrealized appreciation on foreign
currency forward contracts | | $ | 421 | | | Unrealized depreciation on foreign currency forward contracts | | $ | 630 | |
| | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | |
|
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
Derivatives not accounted for as hedging instruments, carried at fair value
| | Rights
| | | Forward
Currency
Contracts
| | | Total
|
Foreign exchange contracts | | $ | — | | | $ | 36,657 | | | $36,657 |
Equity contracts | | | 137 | | | | — | | | 137 |
| | |
|
|
| |
|
|
| |
|
Total | | $ | 137 | | | $ | 36,657 | | | $36,794 |
| | |
|
|
| |
|
|
| |
|
| | | | | | | | | | | | |
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | | | | Forward
Currency
Contracts
| | | | |
Foreign exchange contracts | | | | | | $ | (209 | ) | | | | |
| | �� | | | | |
|
|
| | | | |
For the year ended December 31, 2010, the Portfolio's average value at settlement date payable for forward foreign currency exchange purchase contracts was $9,586 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $2,023,999.
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $5,225,447: | | | | |
Unaffiliated investments (cost $132,804,840) | | $ | 168,421,040 | |
Affiliated investments (cost $8,475,580) | | | 8,475,580 | |
Foreign currency, at value (cost $51,909) | | | 55,823 | |
Tax reclaim receivable | | | 974,684 | |
Receivable for investments sold | | | 633,396 | |
Dividends and interest receivable | | | 254,349 | |
Receivable for Series shares sold | | | 3,274 | |
Unrealized appreciation on foreign currency
forward contracts | | | 421 | |
Prepaid expenses | | | 3,788 | |
| | |
|
|
|
Total Assets | | | 178,822,355 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 5,325,370 | |
Payable for investments purchased | | | 682,375 | |
Payable for Series shares repurchased | | | 232,569 | |
Accrued expenses and other liabilities | | | 161,570 | |
Management fee payable | | | 123,848 | |
Payable to custodian | | | 56,389 | |
Distribution fee payable | | | 2,131 | |
Administration fee payable | | | 1,279 | |
Affiliated transfer agent fees payable | | | 877 | |
Unrealized depreciation on foreign currency
forward contracts | | | 630 | |
| | |
|
|
|
Total Liabilities | | | 6,587,038 | |
| | |
|
|
|
| NET ASSETS | | $ | 172,235,317 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 209,580,822 | |
Retained earnings | | | (37,345,505 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 172,235,317 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $162,139,786 / 31,224,469 outstanding shares of beneficial interest | | $ | 5.19 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $10,095,531/1,980,384 outstanding shares of beneficial interest | | $ | 5.10 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $383,628 foreign withholding tax) | | $ | 3,039,414 | |
Affiliated income from securities lending, net | | | 14,800 | |
Affiliated dividend income | | | 13,136 | |
Interest income | | | 92 | |
| | |
|
|
|
| | | | 3,067,442 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,392,997 | |
Distribution fee—Class II | | | 25,310 | |
Administration fee—Class II | | | 15,186 | |
Custodian’s fees and expenses | | | 269,000 | |
Shareholders’ reports | | | 64,000 | |
Audit fee | | | 24,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Trustees’ fees | | | 10,000 | |
Legal fees and expenses | | | 7,000 | |
Insurance expenses | | | 3,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Loan interest expense (Note 8) | | | 74 | |
Miscellaneous | | | 21,164 | |
| | |
|
|
|
Total expenses | | | 1,845,731 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 1,221,711 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 26,663,352 | |
Foreign currency transactions | | | (829,947 | ) |
| | |
|
|
|
| | | | 25,833,405 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | (5,725,296 | ) |
Foreign currencies | | | 53,444 | |
| | |
|
|
|
| | | | (5,671,852 | ) |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 20,161,553 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 21,383,264 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,221,711 | | | $ | 2,512,539 | |
Net realized gain (loss) on investment and foreign currency transactions | | | 25,833,405 | | | | (18,096,558 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | (5,671,852 | ) | | | 86,318,689 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 21,383,264 | | | | 70,734,670 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | | | | | | |
Class I | | | (2,389,158 | ) | | | (4,665,219 | ) |
Class II | | | (122,040 | ) | | | (129,607 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DISTRIBUTIONS | | | (2,511,198 | ) | | | (4,794,826 | ) |
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 10,982,406 | | | | 27,320,659 | |
Series shares issued in reinvestment of distributions | | | 2,511,198 | | | | 4,794,826 | |
Series shares repurchased | | | (33,792,253 | ) | | | (141,293,319 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (20,298,649 | ) | | | (109,177,834 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (1,426,583 | ) | | | (43,237,990 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 173,661,900 | | | | 216,899,890 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 172,235,317 | | | $ | 173,661,900 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.3% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Australia — 5.1% | | | | | | | | |
Bendigo and Adelaide Bank Ltd. | | | 1,500 | | | $ | 15,265 | |
BHP Billiton Ltd. | | | 41,242 | | | | 1,908,746 | |
Caltex Australia Ltd. | | | 59,500 | | | | 874,508 | |
Challenger Ltd. | | | 190,900 | | | | 917,685 | |
Downer EDI Ltd. | | | 109,200 | | | | 512,655 | |
Emeco Holdings Ltd. | | | 753,600 | | | | 832,443 | |
Goodman Fielder Ltd. | | | 339,700 | | | | 467,313 | |
Metcash Ltd. | | | 160,856 | | | | 676,190 | |
National Australia Bank Ltd. | | | 50,000 | | | | 1,212,016 | |
OneSteel Ltd. | | | 306,900 | | | | 812,993 | |
Pacific Brands Ltd.* | | | 502,100 | | | | 503,276 | |
Tabcorp Holdings Ltd. | | | 158,667 | | | | 1,153,842 | |
Telstra Corp. Ltd. | | | 288,500 | | | | 823,266 | |
| | | | | | |
|
|
|
| | | | | | | | 10,710,198 | |
| | | | | | |
|
|
|
Austria — 0.7% | | | | | | | | |
OMV AG | | | 21,900 | | | | 910,146 | |
Voestalpine AG | | | 12,200 | | | | 581,201 | |
| | | | | | |
|
|
|
| | | | | | | | 1,491,347 | |
| | | | | | |
|
|
|
Belgium — 0.6% | | | | | | | | |
AGFA-Gevaert NV* | | | 84,400 | | | | 360,910 | |
Delhaize Group SA | | | 10,700 | | | | 790,279 | |
Dexia NV/SA* | | | 25,980 | | | | 90,265 | |
| | | | | | |
|
|
|
| | | | | | | | 1,241,454 | |
| | | | | | |
|
|
|
Bermuda — 0.5% | | | | | | | | |
Seadrill Ltd. | | | 29,895 | | | | 1,010,324 | |
| | | | | | |
|
|
|
Brazil — 1.8% | | | | | | | | |
BM&FBOVESPA SA | | | 186,250 | | | | 1,473,170 | |
Embraer SA, ADR | | | 30,840 | | | | 906,696 | |
Natura Cosmeticos SA | | | 50,600 | | | | 1,453,683 | |
| | | | | | |
|
|
|
| | | | | | | | 3,833,549 | |
| | | | | | |
|
|
|
Canada — 2.2% | | | | | | | | |
Canadian National Railway Co. | | | 24,560 | | | | 1,638,898 | |
Canadian Natural Resources Ltd. | | | 40,578 | | | | 1,809,951 | |
Cenovus Energy, Inc. | | | 11,583 | | | | 387,692 | |
Potash Corp. of Saskatchewan, Inc. | | | 5,760 | | | | 891,821 | |
| | | | | | |
|
|
|
| | | | | | | | 4,728,362 | |
| | | | | | |
|
|
|
China — 2.0% | | | | | | | | |
China Merchants Bank Co. Ltd. (Class H Stock) | | | 584,382 | | | | 1,475,089 | |
Industrial & Commercial Bank of China Ltd. (Class H Stock) | | | 2,454,520 | | | | 1,828,385 | |
Sinopharm Group Co. (Class H Stock) | | | 292,398 | | | | 1,019,451 | |
| | | | | | |
|
|
|
| | | | | | | | 4,322,925 | |
| | | | | | |
|
|
|
Denmark — 2.0% | | | | | | | | |
Danske Bank A/S* | | | 13,800 | | | | 353,779 | |
H. Lundbeck A/S | | | 25,300 | | | | 480,777 | |
Novo Nordisk A/S (Class B Stock) | | | 24,023 | | | | 2,708,916 | |
Vestas Wind Systems A/S* | | | 20,164 | | | | 636,581 | |
| | | | | | |
|
|
|
| | | | | | | | 4,180,053 | |
| | | | | | |
|
|
|
Finland — 0.4% | | | | | | | | |
Nokia Oyj | | | 49,100 | | | | 507,843 | |
Tieto Oyj | | | 21,500 | | | | 406,826 | |
| | | | | | |
|
|
|
| | | | | | | | 914,669 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
France — 9.4% | | | | | | | | |
Air Liquide SA | | | 11,784 | | | $ | 1,490,302 | |
AXA SA | | | 25,100 | | | | 417,590 | |
BNP Paribas | | | 43,180 | | | | 2,747,183 | |
Casino Guichard Perrachon SA | | | 10,000 | | | | 974,837 | |
Ciments Francais SA | | | 4,200 | | | | 406,906 | |
Credit Agricole SA | | | 74,500 | | | | 946,171 | |
France Telecom SA | | | 20,300 | | | | 423,047 | |
Lafarge SA | | | 25,498 | | | | 1,598,715 | |
Lagardere SCA | | | 7,500 | | | | 308,988 | |
LVMH Moet Hennessy Louis Vuitton SA | | | 15,355 | | | | 2,525,892 | |
Publicis Groupe SA | | | 21,355 | | | | 1,112,938 | |
Rallye SA | | | 12,800 | | | | 550,516 | |
Renault SA* | | | 2,100 | | | | 122,072 | |
Sanofi-Aventis SA | | | 28,100 | | | | 1,796,781 | |
SCOR SE | | | 19,100 | | | | 484,946 | |
Societe Generale | | | 6,000 | | | | 322,478 | |
Thales SA | | | 9,300 | | | | 325,419 | |
Total SA | | | 37,400 | | | | 1,981,626 | |
Vivendi SA | | | 46,600 | | | | 1,257,894 | |
| | | | | | |
|
|
|
| | | | | | | | 19,794,301 | |
| | | | | | |
|
|
|
Germany — 8.0% | | | | | | | | |
Allianz SE | | | 9,800 | | | | 1,164,612 | |
BASF SE | | | 12,500 | | | | 997,221 | |
Deutsche Bank AG | | | 26,830 | | | | 1,401,859 | |
E.ON AG | | | 39,700 | | | | 1,216,735 | |
Fresenius Medical Care AG & Co. KGaA | | | 28,730 | | | | 1,659,693 | |
Hannover Rueckversicherung AG | | | 9,300 | | | | 498,785 | |
MTU Aero Engines Holding AG | | | 7,300 | | | | 493,703 | |
Muenchener Rueckversicherungs-Gesellschaft AG | | | 5,500 | | | | 833,823 | |
Rheinmetall AG | | | 8,800 | | | | 707,570 | |
RWE AG | | | 15,100 | | | | 1,006,694 | |
SAP AG | | | 44,392 | | | | 2,260,146 | |
Siemens AG | | | 8,100 | | | | 1,003,394 | |
ThyssenKrupp AG | | | 13,800 | | | | 571,396 | |
Volkswagen AG (PRFC Shares) | | | 16,196 | | | | 2,627,443 | |
Vossloh AG | | | 3,200 | | | | 408,376 | |
| | | | | | |
|
|
|
| | | | | | | | 16,851,450 | |
| | | | | | |
|
|
|
Guernsey — 0.3% | | | | | | | | |
Amdocs Ltd.* | | | 20,860 | | | | 573,024 | |
| | | | | | |
|
|
|
Hong Kong — 3.2% | | | | | | | | |
Chaoda Modern Agriculture | | | | | | | | |
Holdings Ltd. | | | 567,462 | | | | 425,626 | |
CNOOC Ltd. | | | 989,489 | | | | 2,347,439 | |
First Pacific Co. Ltd. | | | 986,400 | | | | 888,328 | |
Hong Kong Exchanges and Clearing Ltd. | | | 101,477 | | | | 2,301,667 | |
Kingboard Chemical Holdings Ltd. | | | 120,000 | | | | 718,660 | |
Solomon Systech International Ltd. | | | 525,000 | | | | 29,719 | |
| | | | | | |
|
|
|
| | | | | | | | 6,711,439 | |
| | | | | | |
|
|
|
Ireland — 0.8% | | | | | | | | |
Beazley PLC | | | 207,230 | | | | 371,554 | |
Covidien PLC | | | 25,550 | | | | 1,166,613 | |
Irish Life & Permanent Group
Holdings PLC* | | | 45,500 | | | | 65,666 | |
| | | | | | |
|
|
|
| | | | | | | | 1,603,833 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Israel — 1.8% | | | | | | | | |
Bank Hapoalim BM* | | | 134,400 | | | $ | 699,554 | |
Elbit Systems Ltd. | | | 10,100 | | | | 538,800 | |
Teva Pharmaceutical Industries
Ltd., ADR | | | 49,609 | | | | 2,586,117 | |
| | | | | | |
|
|
|
| | | | | | | | 3,824,471 | |
| | | | | | |
|
|
|
Italy — 1.8% | | | | | | | | |
Banco Popolare Scarl | | | 23,700 | | | | 107,363 | |
Enel SpA | | | 258,300 | | | | 1,290,930 | |
ENI SpA | | | 50,600 | | | | 1,104,865 | |
Finmeccanica SpA | | | 48,400 | | | | 550,081 | |
Fondiaria-Sai SpA | | | 17,000 | | | | 142,324 | |
Telecom Italia SpA | | | 485,300 | | | | 627,110 | |
| | | | | | |
|
|
|
| | | | | | | | 3,822,673 | |
| | | | | | |
|
|
|
Japan — 16.9% | | | | | | | | |
Aoyama Trading Co. Ltd. | | | 30,100 | | | | 543,498 | |
Astellas Pharma, Inc. | | | 11,300 | | | | 430,761 | |
Canon, Inc. | | | 33,770 | | | | 1,751,099 | |
Circle K Sunkus Co. Ltd. | | | 31,000 | | | | 497,512 | |
COMSYS Holdings Corp. | | | 50,500 | | | | 538,650 | |
Dai-ichi Life Insurance Co. Ltd. (The) | | | 724 | | | | 1,176,199 | |
Fanuc Corp. | | | 9,512 | | | | 1,460,951 | |
Fukuoka Financial Group, Inc. | | | 180,000 | | | | 782,609 | |
Fuyo General Lease Co. Ltd. | | | 21,500 | | | | 704,662 | |
Hitachi Capital Corp. | | | 31,300 | | | | 483,822 | |
Itochu Techno-Solutions Corp. | | | 12,200 | | | | 457,556 | |
JX Holdings, Inc. | | | 86,000 | | | | 583,643 | |
KDDI Corp. | | | 150 | | | | 866,486 | |
Keihin Corp. | | | 32,500 | | | | 732,541 | |
Keiyo Bank Ltd. (The) | | | 121,000 | | | | 599,113 | |
Komatsu Ltd. | | | 90,500 | | | | 2,738,742 | |
Konami Corp. | | | 20,100 | | | | 427,301 | |
Kurabo Industries Ltd. | | | 108,000 | | | | 195,541 | |
Kyoei Steel Ltd. | | | 14,600 | | | | 238,268 | |
Kyorin Holdings, Inc. | | | 25,000 | | | | 437,554 | |
Kyowa Exeo Corp. | | | 58,800 | | | | 606,178 | |
Marubeni Corp. | | | 205,300 | | | | 1,443,851 | |
Miraca Holdings, Inc. | | | 12,300 | | | | 495,394 | |
Mitsubishi Corp. | | | 12,900 | | | | 349,233 | |
Mitsubishi UFJ Financial Group, Inc. | | | 344,290 | | | | 1,861,600 | |
Mitsui & Co. Ltd. | | | 19,800 | | | | 327,033 | |
Mizuho Financial Group, Inc. | | | 507,200 | | | | 955,802 | |
Nichirei Corp. | | | 134,000 | | | | 618,919 | |
Nippon Electric Glass Co. Ltd. | | | 2,000 | | | | 28,871 | |
Nippon Shokubai Co. Ltd. | | | 61,000 | | | | 631,112 | |
Nippon Telegraph & Telephone Corp. | | | 19,900 | | | | 900,758 | |
Nissan Shatai Co. Ltd. | | | 56,000 | | | | 489,026 | |
NTT DoCoMo, Inc. | | | 500 | | | | 873,260 | |
Sankyo Co. Ltd. | | | 10,300 | | | | 581,667 | |
Sankyu, Inc. | | | 134,000 | | | | 609,016 | |
Sanwa Holdings Corp. | | | 6,000 | | | | 18,993 | |
Seino Holdings Co. Ltd. | | | 60,000 | | | | 412,366 | |
Shimachu Co. Ltd. | | | 22,500 | | | | 526,820 | |
Shizuoka Gas Co. Ltd. | | | 77,000 | | | | 460,919 | |
Sumitomo Corp. | | | 92,200 | | | | 1,304,813 | |
Sumitomo Mitsui Financial Group, Inc. | | | 30,100 | | | | 1,072,167 | |
Sumitomo Trust & Banking Co.
Ltd. (The) | | | 43,000 | | | | 271,166 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Japan (continued) | | | | | | | | |
Takeda Pharmaceutical Co. Ltd. | | | 22,500 | | | $ | 1,107,125 | |
Toppan Forms Co. Ltd. | | | 50,100 | | | | 514,020 | |
Toyota Motor Corp. | | | 52,780 | | | | 2,093,258 | |
Toyota Tsusho Corp. | | | 37,300 | | | | 656,965 | |
Tsuruha Holdings, Inc. | | | 10,000 | | | | 477,276 | |
Yokohama Rubber Co. Ltd. (The) | | | 82,700 | | | | 427,811 | |
| | | | | | |
|
|
|
| | | | | | | | 35,761,927 | |
| | | | | | |
|
|
|
Liechtenstein — 0.2% | | | | | | | | |
Verwaltungs-und Privat-Bank AG | | | 2,900 | | | | 356,064 | |
| | | | | | |
|
|
|
Luxembourg — 1.0% | | | | | | | | |
ArcelorMittal | | | 57,200 | | | | 2,169,278 | |
| | | | | | |
|
|
|
Mexico — 1.6% | | | | | | | | |
America Movil SAB de CV (Class L Stock), ADR | | | 24,993 | | | | 1,433,099 | |
Wal-Mart de Mexico SAB de CV (Class
V Stock) | | | 655,060 | | | | 1,871,827 | |
| | | | | | |
|
|
|
| | | | | | | | 3,304,926 | |
| | | | | | |
|
|
|
Netherlands — 3.2% | | | | | | | | |
Brit Insurance Holdings NV* | | | 25,400 | | | | 412,641 | |
CSM NV | | | 14,800 | | | | 517,969 | |
ING Groep NV, CVA* | | | 185,700 | | | | 1,806,551 | |
Koninklijke Ahold NV | | | 41,900 | | | | 552,970 | |
Koninklijke DSM NV | | | 11,200 | | | | 637,654 | |
Koninklijke Philips Electronics NV | | | 20,450 | | | | 626,347 | |
Nutreco NV | | | 7,000 | | | | 531,223 | |
Schlumberger Ltd. | | | 21,300 | | | | 1,778,550 | |
| | | | | | |
|
|
|
| | | | | | | | 6,863,905 | |
| | | | | | |
|
|
|
New Zealand — 0.3% | | | | | | | | |
Air New Zealand Ltd. | | | 580,000 | | | | 677,903 | |
| | | | | | |
|
|
|
Norway — 0.5% | | | | | | | | |
DnB NOR ASA | | | 44,800 | | | | 628,807 | |
Statoil ASA | | | 21,037 | | | | 499,692 | |
| | | | | | |
|
|
|
| | | | | | | | 1,128,499 | |
| | | | | | |
|
|
|
Singapore — 0.1% | | | | | | | | |
M1 Ltd. | | | 174,000 | | | | 318,619 | |
| | | | | | |
|
|
|
South Korea — 0.7% | | | | | | | | |
Hyundai Motor Co. | | | 10,138 | | | | 1,549,866 | |
| | | | | | |
|
|
|
Spain — 2.9% | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA | | | 69,800 | | | | 705,154 | |
Banco Espanol de Credito SA | | | 40,600 | | | | 336,376 | |
Banco Santander SA | | | 154,600 | | | | 1,637,872 | |
Repsol YPF SA | | | 38,000 | | | | 1,058,757 | |
Telefonica SA | | | 107,296 | | | | 2,432,452 | |
| | | | | | |
|
|
|
| | | | | | | | 6,170,611 | |
| | | | | | |
|
|
|
Sweden — 2.4% | | | | | | | | |
Boliden AB | | | 64,600 | | | | 1,313,006 | |
Electrolux AB (Class B Stock) | | | 26,800 | | | | 761,086 | |
Hennes & Mauritz AB (Class B Stock) | | | 52,874 | | | | 1,760,986 | |
Meda AB | | | 59,500 | | | | 452,953 | |
NCC AB (Class B Stock) | | | 11,400 | | | | 250,522 | |
Svenska Cellulosa AB SCA (Class
B Stock) | | | 27,500 | | | | 434,233 | |
| | | | | | |
|
|
|
| | | | | | | | 4,972,786 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Switzerland — 6.7% | | | | | | | | |
Baloise Holding AG | | | 8,500 | | | $ | 827,273 | |
Clariant AG* | | | 30,800 | | | | 623,906 | |
Credit Suisse Group AG | | | 23,900 | | | | 962,901 | |
Georg Fischer AG* | | | 1,400 | | | | 789,839 | |
Julius Baer Group Ltd. | | | 26,232 | | | | 1,228,836 | |
Logitech International SA* | | | 45,570 | | | | 867,536 | |
Nestle SA | | | 35,100 | | | | 2,055,321 | |
Novartis AG | | | 74,452 | | | | 4,375,548 | |
Roche Holding AG | | | 900 | | | | 131,872 | |
Swiss Reinsurance Co. Ltd. | | | 15,300 | | | | 823,091 | |
Swisscom AG | | | 370 | | | | 162,681 | |
Zurich Financial Services AG | | | 5,500 | | | | 1,424,706 | |
| | | | | | |
|
|
|
| | | | | | | | 14,273,510 | |
| | | | | | |
|
|
|
Taiwan — 1.0% | | | | | | | | |
HTC Corp. | | | 66,000 | | | | 2,037,282 | |
| | | | | | |
|
|
|
Turkey — 0.6% | | | | | | | | |
Turkiye Garanti Bankasi A/S | | | 238,300 | | | | 1,206,934 | |
| | | | | | |
|
|
|
United Kingdom — 18.7% | | | | | | | | |
ARM Holdings PLC | | | 143,700 | | | | 948,366 | |
AstraZeneca PLC | | | 37,100 | | | | 1,690,150 | |
Aviva PLC | | | 72,600 | | | | 444,836 | |
BAE Systems PLC | | | 179,700 | | | | 924,556 | |
Barclays PLC | | | 125,400 | | | | 511,551 | |
BG Group PLC | | | 81,150 | | | | 1,639,701 | |
BP PLC | | | 163,400 | | | | 1,186,013 | |
British American Tobacco PLC | | | 58,712 | | | | 2,255,020 | |
British Sky Broadcasting Group PLC | | | 82,445 | | | | 946,048 | |
BT Group PLC | | | 327,600 | | | | 923,450 | |
Carnival PLC | | | 51,855 | | | | 2,410,845 | |
Dairy Crest Group PLC | | | 40,400 | | | | 266,688 | |
Davis Service Group PLC | | | 74,900 | | | | 509,843 | |
Drax Group PLC | | | 106,300 | | | | 610,388 | |
DS Smith PLC | | | 260,700 | | | | 821,851 | |
GlaxoSmithKline PLC | | | 83,600 | | | | 1,616,215 | |
Home Retail Group PLC | | | 149,600 | | | | 439,657 | |
Kingfisher PLC | | | 394,130 | | | | 1,618,551 | |
Legal & General Group PLC | | | 425,200 | | | | 641,380 | |
Logica PLC | | | 308,700 | | | | 630,491 | |
Marston's PLC | | | 104,410 | | | | 186,388 | |
NEXT PLC | | | 16,100 | | | | 495,751 | |
Northern Foods PLC | | | 162,900 | | | | 159,370 | |
Old Mutual PLC | | | 354,100 | | | | 679,603 | |
Pearson PLC | | | 62,251 | | | | 978,313 | |
Reckitt Benckiser Group PLC | | | 33,286 | | | | 1,829,329 | |
Rexam PLC | | | 112,000 | | | | 580,954 | |
Royal Dutch Shell PLC (Class
B Stock) | | | 105,500 | | | | 3,478,835 | |
RSA Insurance Group PLC | | | 195,300 | | | | 381,222 | |
SABMiller PLC | | | 34,440 | | | | 1,211,629 | |
Smith & Nephew PLC | | | 86,450 | | | | 911,809 | |
Standard Chartered PLC | | | 85,121 | | | | 2,289,933 | |
Tate & Lyle PLC | | | 67,800 | | | | 547,558 | |
Tesco PLC | | | 328,421 | | | | 2,176,160 | |
Thomas Cook Group PLC | | | 150,100 | | | | 443,935 | |
Tullett Prebon PLC | | | 119,900 | | | | 715,587 | |
Vodafone Group PLC | | | 549,400 | | | | 1,420,183 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
United Kingdom (continued) | | | | | | | | |
WM Morrison Supermarkets PLC | | | 5,400 | | | $ | 22,529 | |
| | | | | | |
|
|
|
| | | | | | | | 39,544,688 | |
| | | | | | |
|
|
|
United States — 0.9% | | | | | | | | |
Southern Copper Corp. | | | 24,950 | | | | 1,216,063 | |
Thomson Reuters Corp. | | | 18,400 | | | | 689,144 | |
| | | | | | |
|
|
|
| | | | | | | | 1,905,207 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $178,813,519) | | | | 207,856,077 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 0.5% | | | | | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $1,030,082)(w)(Note 4) | | | 1,030,082 | | | | 1,030,082 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 98.8%
(cost $179,843,601) | | | | 208,886,159 | |
OTHER ASSETS IN EXCESS OF
LIABILITIES(x) — 1.2% | | | | 2,581,843 | |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 211,468,002 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| CVA | | Certificate Van Aandelen |
| PRFC | | Preference Shares |
| EUR | | Euro |
| MXN | | Mexican Peso |
| * | Non-income producing security. |
| (w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| (x) | Other assets in excess of liabilities includes net unrealized depreciation on forward foreign currency exchange contracts as follows: |
Forward foreign currency exchange contracts outstanding at December 31, 2010:
| | | | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Depreciation
| |
Euro, Expiring 01/25/11 | | | State Street Bank | | | EU | R 3,943 | | | $ | 5,362,151 | | | $ | 5,268,436 | | | $ | (93,715 | ) |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | | | | |
Sale Contracts
| | Counterparty
| | | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Depreciation
| |
Euro, Expiring 01/25/11 | | | State Street Bank | | | EUR | 3,943 | | | $ | 5,070,489 | | | $ | 5,268,436 | | | $ | (197,947 | ) |
Mexican Peso, Expiring 05/24/11 | | | State Street Bank | | | MXN | 33,800 | | | | 2,701,746 | | | | 2,704,515 | | | | (2,769 | ) |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | $ | 7,772,235 | | | $ | 7,972,951 | | | $ | (200,716 | ) |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | |
Australia | | $ | 10,710,198 | | | $ | — | | | $ | — | |
Austria | | | 1,491,347 | | | | — | | | | — | |
Belgium | | | 1,241,454 | | | | — | | | | — | |
Bermuda | | | 1,010,324 | | | | — | | | | — | |
Brazil | | | 3,833,549 | | | | — | | | | — | |
Canada | | | 4,728,362 | | | | — | | | | — | |
China | | | 4,322,925 | | | | — | | | | — | |
Denmark | | | 4,180,053 | | | | — | | | | — | |
Finland | | | 914,669 | | | | — | | | | — | |
France | | | 19,794,301 | | | | — | | | | — | |
Germany | | | 16,851,450 | | | | — | | | | — | |
Guernsey | | | 573,024 | | | | — | | | | — | |
Hong Kong | | | 6,711,439 | | | | — | | | | — | |
Ireland | | | 1,603,833 | | | | — | | | | — | |
Israel | | | 3,824,471 | | | | — | | | | — | |
Italy | | | 3,822,673 | | | | — | | | | — | |
Japan | | | 35,761,927 | | | | — | | | | — | |
Liechtenstein | | | 356,064 | | | | — | | | | — | |
Luxembourg | | | 2,169,278 | | | | — | | | | — | |
Mexico | | | 3,304,926 | | | | — | | | | — | |
Netherlands | | | 6,863,905 | | | | — | | | | — | |
New Zealand | | | 677,903 | | | | — | | | | — | |
Norway | | | 1,128,499 | | | | — | | | | — | |
Singapore | | | 318,619 | | | | — | | | | — | |
South Korea | | | 1,549,866 | | | | — | | | | — | |
Spain | | | 6,170,611 | | | | — | | | | — | |
Sweden | | | 4,972,786 | | | | — | | | | — | |
Switzerland | | | 14,273,510 | | | | — | | | | — | |
Taiwan | | | 2,037,282 | | | | — | | | | — | |
Turkey | | | 1,206,934 | | | | — | | | | — | |
United Kingdom | | | 39,544,688 | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
United States | | $ | 1,905,207 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 1,030,082 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Foreign Forward Currency Contracts | | | — | | | | (294,431 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 208,886,159 | | | $ | (294,431 | ) | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts which are valued at the unrealized appreciation/depreciation on the instrument. |
Fair Value of Level 2 investments at 12/31/09 was $176,510,264. $157,369,722 was transferred out of Level 2 into Level 1 at 12/31/10 as a result of no longer using third-party vendor modeling tools due to the lack of any significant market movements between the time at which the Portfolio valued its securities and the earlier closing of foreign markets.
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Banks | | | 12.7 | % |
Oil & Gas | | | 9.6 | |
Pharmaceuticals | | | 9.0 | |
Insurance | | | 6.0 | |
Telecommunications | | | 5.7 | |
Food | | | 4.8 | |
Retail | | | 4.3 | |
Auto Manufacturers | | | 3.2 | |
Diversified Financial Services | | | 3.0 | |
Chemicals | | | 2.9 | |
Mining | | | 2.1 | |
Computers | | | 2.1 | |
Iron/Steel | | | 2.1 | |
Distribution/Wholesale | | | 2.0 | |
Media | | | 1.9 | |
Holding Companies - Diversified | | | 1.9 | |
Aerospace/Defense | | | 1.7 | |
Electric | | | 1.7 | |
Leisure Time | | | 1.3 | |
Machinery—Construction & Mining | | | 1.3 | |
Software | | | 1.3 | |
Agriculture | | | 1.3 | |
Transportation | | | 1.3 | |
Household Products/ Wares | | | 1.1 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | |
Machinery & Equipment | | | 1.0 | % |
Healthcare Products | | | 1.0 | |
Building Materials | | | 1.0 | |
Engineering & Construction | | | 1.0 | |
Auto Parts & Equipment | | | 0.9 | |
Entertainment | | | 0.9 | |
Commercial Services | | | 0.8 | |
Office Equipment | | | 0.8 | |
Healthcare—Services | | | 0.8 | |
Cosmetics/Personal Care | | | 0.7 | |
Beverages | | | 0.7 | |
Miscellaneous Manufacturing | | | 0.7 | |
Forest & Paper Products | | | 0.6 | |
Advertising | | | 0.5 | |
| | | | |
Electronic Components & Equipment | | | 0.5 | % |
Affiliated Money Market Mutual Fund | | | 0.5 | |
Semiconductors | | | 0.5 | |
Home Furnishings | | | 0.4 | |
Airlines | | | 0.3 | |
Electronics | | | 0.3 | |
Containers & Packaging | | | 0.3 | |
Gas | | | 0.2 | |
Textiles | | | 0.1 | |
| | |
|
|
|
| | | | 98.8 | |
Other assets in excess of liabilities | | | 1.2 | |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A13
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2010 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
| |
Foreign exchange contracts | | | — | | | $ | — | | | Unrealized depreciation on foreign currency forward contracts | | $ | 294,431 | |
| | | | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2010 are as follows:
| | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging
instruments, carried at fair value
| | Rights
| | | Warrants
| | | Forward
Currency
Contracts
| | | Total
| |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | (145,620 | ) | | $ | (145,620 | ) |
Equity contracts | | | 292,488 | | | | 4,892 | | | | — | | | | 297,380 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 292,488 | | | $ | 4,892 | | | $ | (145,620 | ) | | $ | 151,760 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging
instruments, carried at fair value
| | | | | | | | | | | Forward
Currency
Contracts
| |
Foreign exchange contracts | | | | | | | | | | | | | | $ | (263,722 | ) |
| | | | | | �� | | | | | | | | |
|
|
|
For the year ended December 31, 2010, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $3,237,624 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $9,513,818.
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments at value: | | | | |
Unaffiliated investments (cost $178,813,519) | | $ | 207,856,077 | |
Affiliated investments (cost $1,030,082) | | | 1,030,082 | |
Foreign currency, at value (cost $1,924,180) | | | 1,945,659 | |
Tax reclaim receivable | | | 1,175,981 | |
Dividends receivable | | | 517,224 | |
Receivable for investments sold | | | 256,543 | |
Receivable for Series shares sold | | | 9,717 | |
Prepaid expenses | | | 3,186 | |
| | |
|
|
|
Total Assets | | | 212,794,469 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 526,061 | |
Unrealized depreciation on foreign currency forward contracts | | | 294,431 | |
Management fee payable | | | 159,932 | |
Accrued expenses and other liabilities | | | 149,594 | |
Payable for Series shares repurchased | | | 131,849 | |
Payable to custodian | | | 63,723 | |
Affiliated transfer agent fees payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 1,326,467 | |
| | |
|
|
|
| NET ASSETS | | $ | 211,468,002 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 229,823,891 | |
Retained earnings | | | (18,355,889 | ) |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 211,468,002 | |
| | |
|
|
|
Net asset value and redemption price per share, $211,468,002 / 30,780,840 outstanding shares of beneficial interest | | $ | 6.87 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $535,559 foreign withholding tax) | | $ | 5,661,474 | |
Affiliated dividend income | | | 7,206 | |
| | |
|
|
|
| | | | 5,668,680 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,817,232 | |
Custodian’s fees and expenses | | | 166,000 | |
Shareholders’ reports | | | 52,000 | |
Audit fee | | | 24,000 | |
Trustees’ fees | | | 10,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,000) (Note 4) | | | 10,000 | |
Legal fees and expenses | | | 7,000 | |
Commitment fee on syndicated credit agreement | | | 4,000 | |
Insurance expenses | | | 3,000 | |
Loan interest expense (Note 8) | | | 1,738 | |
Miscellaneous | | | 29,825 | |
| | |
|
|
|
Total expenses | | | 2,124,795 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 3,543,885 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 2,482,851 | |
Foreign currency transactions | | | (157,206 | ) |
| | |
|
|
|
| | | | 2,325,645 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 15,628,319 | |
Foreign currencies | | | (215,995 | )�� |
| | |
|
|
|
| | | | 15,412,324 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 17,737,969 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 21,281,854 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | | | | | | | | |
Net investment income | | $ | 3,543,885 | | | $ | 4,430,203 | |
Net realized gain (loss) on investment and foreign currency transactions | | | 2,325,645 | | | | (35,611,091 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 15,412,324 | | | | 104,186,468 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 21,281,854 | | | | 73,005,580 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (4,428,920 | ) | | | (7,801,297 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [4,060,251 and 5,386,533 shares, respectively] | | | 25,034,179 | | | | 27,653,179 | |
Series shares issued in reinvestment of distributions [781,115 and 1,434,062, respectively] | | | 4,428,920 | | | | 7,801,297 | |
Series shares repurchased [6,078,825 and 23,029,776 shares, respectively] | | | (38,110,702 | ) | | | (135,909,297 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (8,647,603 | ) | | | (100,454,821 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE (DECREASE) IN NET ASSETS | | | 8,205,331 | | | | (35,250,538 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 203,262,671 | | | | 238,513,209 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 211,468,002 | | | $ | 203,262,671 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.2% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 1.5% | |
ITT Corp. | | | 70,637 | | | $ | 3,680,894 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 1.9% | |
C.H. Robinson Worldwide, Inc. | | | 22,761 | | | | 1,825,204 | |
Expeditors International of Washington, Inc. | | | 51,676 | | | | 2,821,510 | |
| | | | | | |
|
|
|
| | | | | | | | 4,646,714 | |
| | | | | | |
|
|
|
Beverages — 0.5% | |
Hansen Natural Corp.(a) | | | 24,796 | | | | 1,296,335 | |
| | | | | | |
|
|
|
Biotechnology — 1.9% | |
Alexion Pharmaceuticals, Inc.(a) | | | 16,620 | | | | 1,338,741 | |
BioMarin Pharmaceutical, Inc.(a)(b) | | | 51,253 | | | | 1,380,243 | |
United Therapeutics Corp.(a) | | | 28,372 | | | | 1,793,678 | |
| | | | | | |
|
|
|
| | | | | | | | 4,512,662 | |
| | | | | | |
|
|
|
Building Products — 0.1% | |
Owens Corning(a) | | | 6,700 | | | | 208,705 | |
| | | | | | |
|
|
|
Capital Markets — 2.6% | |
Eaton Vance Corp. | | | 122,973 | | | | 3,717,474 | |
TD Ameritrade Holding Corp.(b) | | | 135,007 | | | | 2,563,783 | |
| | | | | | |
|
|
|
| | | | | | | | 6,281,257 | |
| | | | | | |
|
|
|
Chemicals — 2.7% | |
Ecolab, Inc. | | | 82,740 | | | | 4,171,751 | |
FMC Corp. | | | 22,191 | | | | 1,772,839 | |
Lubrizol Corp. | | | 6,681 | | | | 714,065 | |
| | | | | | |
|
|
|
| | | | | | | | 6,658,655 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 3.3% | |
Copart, Inc.(a) | | | 50,622 | | | | 1,890,732 | |
Iron Mountain, Inc. | | | 156,836 | | | | 3,922,468 | |
Stericycle, Inc.(a)(b) | | | 26,717 | | | | 2,161,940 | |
| | | | | | |
|
|
|
| | | | | | | | 7,975,140 | |
| | | | | | |
|
|
|
Communications Equipment — 2.3% | |
Ciena Corp.(a) | | | 18,229 | | | | 383,721 | |
Juniper Networks, Inc.(a) | | | 100,175 | | | | 3,698,461 | |
Riverbed Technology, Inc.(a)(b) | | | 39,978 | | | | 1,406,026 | |
| | | | | | |
|
|
|
| | | | | | | | 5,488,208 | |
| | | | | | |
|
|
|
Computers & Peripherals — 1.5% | |
NetApp, Inc.(a) | | | 64,358 | | | | 3,537,116 | |
| | | | | | |
|
|
|
Electrical Equipment — 3.4% | | | | | | | | |
AMETEK, Inc. | | | 106,276 | | | | 4,171,333 | |
Roper Industries, Inc.(b) | | | 54,164 | | | | 4,139,754 | |
| | | | | | |
|
|
|
| | | | | | | | 8,311,087 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 3.0% | |
Amphenol Corp. (Class A Stock) | | | 58,548 | | | | 3,090,163 | |
Anixter International, Inc. | | | 31,234 | | | | 1,865,607 | |
FLIR Systems, Inc.(a) | | | 82,062 | | | | 2,441,345 | |
| | | | | | |
|
|
|
| | | | | | | | 7,397,115 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.9% | |
Cameron International Corp.(a) | | | 71,304 | | | | 3,617,252 | |
Core Laboratories NV(b) | | | 10,637 | | | | 947,225 | |
| | | | | | |
|
|
|
| | | | | | | | 4,564,477 | |
| | | | | | |
|
|
|
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Food Products — 5.0% | |
Bunge Ltd. | | | 39,400 | | | $ | 2,581,488 | |
ConAgra Foods, Inc. | | | 107,151 | | | | 2,419,470 | |
J.M. Smucker Co. (The) | | | 35,607 | | | | 2,337,599 | |
Mead Johnson Nutrition Co. | | | 31,991 | | | | 1,991,440 | |
Ralcorp Holdings, Inc.(a)(b) | | | 42,166 | | | | 2,741,212 | |
| | | | | | |
|
|
|
| | | | | | | | 12,071,209 | |
| | | | | | |
|
|
|
| | | | | | | | | |
Healthcare Equipment & Supplies — 2.1% | |
C.R. Bard, Inc.(b) | | | 34,108 | | | | 3,130,091 | |
IDEXX Laboratories, Inc.(a)(b) | | | 27,220 | | | | 1,884,168 | |
Neogen Corp.(a) | | | 1,880 | | | | 77,137 | |
| | | | | | |
|
|
|
| | | | | | | | 5,091,396 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 5.8% | |
DaVita, Inc.(a) | | | 62,191 | | | | 4,321,653 | |
Henry Schein, Inc.(a) | | | 54,483 | | | | 3,344,711 | |
Laboratory Corp. of America Holdings(a)(b) | | | 38,328 | | | | 3,369,798 | |
Universal Health Services, Inc. (Class B Stock) | | | 69,795 | | | | 3,030,499 | |
| | | | | | |
|
|
|
| | | | | | | | 14,066,661 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 5.3% | |
Darden Restaurants, Inc. | | | 68,725 | | | | 3,191,589 | |
Tim Hortons, Inc.(b) | | | 96,675 | | | | 3,985,910 | |
WMS Industries, Inc.(a) | | | 34,789 | | | | 1,573,854 | |
Yum! Brands, Inc. | | | 85,616 | | | | 4,199,465 | |
| | | | | | |
|
|
|
| | | | | | | | 12,950,818 | |
| | | | | | |
|
|
|
Household Products — 1.7% | |
Church & Dwight Co., Inc. | | | 60,095 | | | | 4,147,757 | |
| | | | | | |
|
|
|
Insurance — 1.2% | |
W.R. Berkley Corp.(b) | | | 102,987 | | | | 2,819,784 | |
| | | | | | |
|
|
|
Internet Software & Services — 2.6% | |
Akamai Technologies, Inc.(a) | | | 42,972 | | | | 2,021,833 | |
VeriSign, Inc.(b) | | | 128,287 | | | | 4,191,136 | |
| | | | | | |
|
|
|
| | | | | | | | 6,212,969 | |
| | | | | | |
|
|
|
IT Services — 2.5% | |
Alliance Data Systems Corp.(a)(b) | | | 43,851 | | | | 3,114,737 | |
Amdocs Ltd.(a) | | | 43,637 | | | | 1,198,708 | |
Teradata Corp.(a) | | | 40,533 | | | | 1,668,338 | |
| | | | | | |
|
|
|
| | | | | | | | 5,981,783 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 3.4% | |
Agilent Technologies, Inc.(a) | | | 64,451 | | | | 2,670,205 | |
Thermo Fisher Scientific, Inc.(a) | | | 46,687 | | | | 2,584,593 | |
Waters Corp.(a) | | | 37,861 | | | | 2,942,178 | |
| | | | | | |
|
|
|
| | | | | | | | 8,196,976 | |
| | | | | | |
|
|
|
Machinery — 2.7% | |
Danaher Corp. | | | 79,740 | | | | 3,761,336 | |
IDEX Corp. | | | 73,092 | | | | 2,859,359 | |
| | | | | | |
|
|
|
| | | | | | | | 6,620,695 | |
| | | | | | |
|
|
|
Metals & Mining — 3.2% | |
Agnico-Eagle Mines Ltd. | | | 37,934 | | | | 2,909,538 | |
Reliance Steel & Aluminum Co. | | | 32,413 | | | | 1,656,304 | |
Silver Wheaton Corp.(a) | | | 79,832 | | | | 3,116,641 | |
| | | | | | |
|
|
|
| | | | | | | | 7,682,483 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Multiline Retail — 2.2% | |
Dollar Tree, Inc.(a) | | | 67,643 | | | $ | 3,793,419 | |
Nordstrom, Inc. | | | 38,212 | | | | 1,619,425 | |
| | | | | | |
|
|
|
| | | | | | | | 5,412,844 | |
| | | | | | |
|
|
|
| | | | | | | | | |
Oil, Gas & Consumable Fuels — 5.0% | |
Cimarex Energy Co. | | | 22,633 | | | | 2,003,700 | |
Denbury Resources, Inc.(a) | | | 99,735 | | | | 1,903,941 | |
Newfield Exploration Co.(a) | | | 45,130 | | | | 3,254,324 | |
Southwestern Energy Co.(a) | | | 134,956 | | | | 5,051,403 | |
| | | | | | |
|
|
|
| | | | | | | | 12,213,368 | |
| | | | | | |
|
|
|
Pharmaceuticals — 1.9% | |
Perrigo Co. | | | 44,642 | | | | 2,827,178 | |
Valeant Pharmaceuticals
International, Inc.(b) | | | 60,522 | | | | 1,712,167 | |
| | | | | | |
|
|
|
| | | | | | | | 4,539,345 | |
| | | | | | |
|
|
|
Professional Services — 1.5% | |
Robert Half International, Inc.(b) | | | 123,393 | | | | 3,775,826 | |
| | | | | | |
|
|
|
| | | | | | | | | |
Real Estate Investment Trusts — 1.5% | | | | | |
Annaly Capital Management, Inc.(b) | | | 202,863 | | | | 3,635,305 | |
| | | | | | |
|
|
|
Road & Rail — 0.5% | | | | | | | | |
JB Hunt Transport Services, Inc. | | | 30,783 | | | | 1,256,254 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 5.8% | |
Altera Corp. | | | 92,986 | | | | 3,308,442 | |
Broadcom Corp. (Class A Stock) | | | 102,961 | | | | 4,483,951 | |
Marvell Technology Group Ltd.(a) | | | 119,096 | | | | 2,209,231 | |
Maxim Integrated Products, Inc. | | | 82,630 | | | | 1,951,721 | |
SemiLEDs Corp.(a) | | | 1,300 | | | | 37,765 | |
Xilinx, Inc.(b) | | | 68,682 | | | | 1,990,404 | |
| | | | | | |
|
|
|
| | | | | | | | 13,981,514 | |
| | | | | | |
|
|
|
Software — 3.4% | | | | | | | | |
Check Point Software Technologies(a)(b) | | | 93,733 | | | | 4,336,089 | |
Nuance Communications, Inc.(a)(b) | | | 73,508 | | | | 1,336,375 | |
Red Hat, Inc.(a) | | | 56,213 | | | | 2,566,123 | |
| | | | | | |
|
|
|
| | | | | | | | 8,238,587 | |
| | | | | | |
|
|
|
Specialty Retail — 6.0% | | | | | | | | |
Bed Bath & Beyond, Inc.(a) | | | 62,684 | | | | 3,080,919 | |
GameStop Corp. (Class A Stock)(a)(b) | | | 78,960 | | | | 1,806,605 | |
Guess?, Inc. | | | 65,464 | | | | 3,097,756 | |
Ross Stores, Inc. | | | 46,989 | | | | 2,972,054 | |
TJX Cos., Inc. | | | 74,597 | | | | 3,311,361 | |
Williams-Sonoma, Inc. | | | 5,870 | | | | 209,500 | |
| | | | | | |
|
|
|
| | | | | | | | 14,478,195 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 1.2% | | | | | |
Phillips-Van Heusen Corp. | | | 47,718 | | | | 3,006,711 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.8% | | | | | |
Fastenal Co.(b) | | | 33,300 | | | | 1,995,003 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 6.3% | | | | | |
American Tower Corp. (Class A Stock)(a) | | | 98,803 | | | | 5,102,187 | |
Crown Castle International Corp.(a) | | | 117,675 | | | | 5,157,695 | |
NII Holdings, Inc.(a) | | | 115,159 | | | | 5,143,001 | |
| | | | | | |
|
|
|
| | | | | | | | 15,402,883 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $176,480,666) | | | | 238,336,731 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
| SHORT-TERM INVESTMENT — 20.7% | | | | | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $50,229,627; includes $45,656,256 of cash collateral received for securities on loan)(Note 4)(c)(d) | | | 50,229,627 | | | $ | 50,229,627 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 118.9%
(cost $226,710,293) | | | | 288,566,358 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (18.9)% | | | | (45,818,409 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 242,747,949 | |
| | | | | | |
|
|
|
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $44,295,813; cash collateral of $45,656,256 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2-Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value |
| Level 2—other | significant observable inputs (including, but not limited to quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 238,336,731 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 50,229,627 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 288,566,358 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Affiliated Money Market Mutual Fund (including 18.8% of collateral received for securities on loan) | | | 20.7 | % |
Wireless Telecommunication Services | | | 6.3 | |
Specialty Retail | | | 6.0 | |
Healthcare Providers & Services | | | 5.8 | |
Semiconductors & Semiconductor Equipment | | | 5.8 | |
Hotels, Restaurants & Leisure | | | 5.3 | |
Food Products | | | 5.0 | |
Oil, Gas & Consumable Fuels | | | 5.0 | |
Electrical Equipment | | | 3.4 | |
Life Sciences Tools & Services | | | 3.4 | |
Software | | | 3.4 | |
Commercial Services & Supplies | | | 3.3 | |
Metals & Mining | | | 3.2 | |
Electronic Equipment & Instruments | | | 3.0 | |
Chemicals | | | 2.7 | |
Machinery | | | 2.7 | |
Capital Markets | | | 2.6 | |
Internet Software & Services | | | 2.6 | |
IT Services | | | 2.5 | |
Communications Equipment | | | 2.3 | |
Multiline Retail | | | 2.2 | |
Healthcare Equipment & Supplies | | | 2.1 | |
Air Freight & Logistics | | | 1.9 | |
Biotechnology | | | 1.9 | |
Energy Equipment & Services | | | 1.9 | |
Pharmaceuticals | | | 1.9 | |
Household Products | | | 1.7 | |
Aerospace & Defense | | | 1.5 | |
Computers & Peripherals | | | 1.5 | |
Professional Services | | | 1.5 | |
Real Estate Investment Trusts | | | 1.5 | |
Insurance | | | 1.2 | |
Textiles, Apparel & Luxury Goods | | | 1.2 | |
Trading Companies & Distributors | | | 0.8 | |
Beverages | | | 0.5 | |
Road & Rail | | | 0.5 | |
Building Products | | | 0.1 | |
| | |
|
|
|
| | | | 118.9 | |
Liabilities in excess of other assets | | | (18.9 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $44,295,813: | | | | |
Unaffiliated investments (cost $176,480,666) | | $ | 238,336,731 | |
Affiliated investments (cost $50,229,627) | | | 50,229,627 | |
Dividends and interest receivable | | | 213,677 | |
Receivable for investments sold | | | 2,999 | |
Prepaid expenses | | | 2,029 | |
Receivable for Series shares sold | | | 1,301 | |
| | |
|
|
|
Total Assets | | | 288,786,364 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 45,656,256 | |
Accrued expenses and other liabilities | | | 150,414 | |
Management fee payable | | | 123,428 | |
Payable for Series shares repurchased | | | 85,134 | |
Shareholder servicing fees payable | | | 18,029 | |
Deferred trustees’ fees | | | 4,160 | |
Affiliated transfer agent fee payable | | | 877 | |
Distribution fee payable | | | 64 | |
Administration fee payable | | | 39 | |
Payable to custodian | | | 14 | |
| | |
|
|
|
Total Liabilities | | | 46,038,415 | |
| | |
|
|
|
| NET ASSETS | | $ | 242,747,949 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 198,432,427 | |
Retained earnings | | | 44,315,522 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 242,747,949 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $242,444,975 / 31,321,061 outstanding shares of beneficial interest | | $ | 7 .74 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $302,974 / 40,520 outstanding shares of beneficial interest | | $ | 7 .48 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $14,052) | | $ | 2,688,154 | |
Affiliated income from securities loaned, net | | | 42,185 | |
Affiliated dividend income | | | 7,119 | |
| | |
|
|
|
| | | | 2,737,458 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,186,370 | |
Distribution fee—Class II | | | 702 | |
Administration fee—Class II | | | 422 | |
Shareholders’ reports | | | 84,000 | |
Custodian’s fees and expenses | | | 51,000 | |
Audit fee | | | 19,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,800) (Note 4) | | | 11,000 | |
Trustees’ fees | | | 10,000 | |
Legal fees and expenses | | | 4,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Insurance expenses | | | 2,000 | |
Loan interest expense (Note 8) | | | 61 | |
Miscellaneous | | | 5,325 | |
| | |
|
|
|
Total expenses | | | 1,376,880 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 1,360,578 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | |
Net realized gain on investment transactions | | | 22,125,238 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on investments | | | 11,739,681 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 33,864,919 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 35,225,497 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,360,578 | | | $ | 803,314 | |
Net realized gain (loss) on investments | | | 22,125,238 | | | | (14,201,132 | ) |
Net change in unrealized appreciation on investments | | | 11,739,681 | | | | 56,597,184 | |
| | |
|
|
| |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 35,225,497 | | | | 43,199,366 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | (802,873 | ) | | | (903,679 | ) |
Class II | | | (618 | ) | | | (638 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | (803,491 | ) | | | (904,317 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 8,450,511 | | | | 5,689,964 | |
Series shares issued in reinvestment of distributions | | | 803,491 | | | | 904,317 | |
Net asset value of shares issued in merger (Note 10) | | | 87,093,383 | | | | — | |
Series shares repurchased | | | (30,651,077 | ) | | | (18,713,861 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 65,696,308 | | | | (12,119,580 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 100,118,314 | | | | 30,175,469 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 142,629,635 | | | | 112,454,166 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 242,747,949 | | | $ | 142,629,635 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.7% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 1.1% | |
AAR Corp.* | | | 27,824 | | | $ | 764,325 | |
Kaman Corp. | | | 26,757 | | | | 777,826 | |
Spirit Aerosystems Holdings, Inc. (Class A Stock)* | | | 35,860 | | | | 746,247 | |
TransDigm Group, Inc.* | | | 5,136 | | | | 369,843 | |
| | | | | | |
|
|
|
| | | | | | | | 2,658,241 | |
| | | | | | |
|
|
|
Airlines — 0.6% | |
AirTran Holdings, Inc.*(a) | | | 68,029 | | | | 502,734 | |
JetBlue Airways Corp.*(a) | | | 147,706 | | | | 976,337 | |
| | | | | | |
|
|
|
| | | | | | | | 1,479,071 | |
| | | | | | |
|
|
|
Auto Components — 1.2% | |
Cooper Tire & Rubber Co. | | | 33,930 | | | | 800,070 | |
Dana Holding Corp.* | | | 14,724 | | | | 253,400 | |
Superior Industries International, Inc. | | | 30,740 | | | | 652,303 | |
TRW Automotive Holdings Corp.* | | | 15,416 | | | | 812,423 | |
Visteon Corp.* | | | 5,233 | | | | 388,550 | |
| | | | | | |
|
|
|
| | | | | | | | 2,906,746 | |
| | | | | | |
|
|
|
Automotive Parts — 0.4% | |
Tenneco, Inc.* | | | 20,981 | | | | 863,578 | |
| | | | | | |
|
|
|
Banks — 1.1% | |
Bridge Capital Holdings*(a) | | | 6,962 | | | | 60,569 | |
Dime Community Bancshares, Inc. | | | 16,033 | | | | 233,922 | |
East West Bancorp, Inc. | | | 18,905 | | | | 369,593 | |
Hancock Holding Co.(a) | | | 17,451 | | | | 608,342 | |
Lakeland Financial Corp. | | | 11,094 | | | | 238,077 | |
Pinnacle Financial Partners, Inc.* | | | 23,551 | | | | 319,823 | |
Sierra Bancorp | | | 6,351 | | | | 68,146 | |
Trico Bancshares | | | 14,783 | | | | 238,745 | |
UMB Financial Corp. | | | 12,135 | | | | 502,632 | |
| | | | | | |
|
|
|
| | | | | | | | 2,639,849 | |
| | | | | | |
|
|
|
Building Materials — 0.7% | |
Comfort Systems USA, Inc. | | | 75,290 | | | | 991,569 | |
Universal Forest Products, Inc. | | | 14,471 | | | | 562,922 | |
| | | | | | |
|
|
|
| | | | | | | | 1,554,491 | |
| | | | | | |
|
|
|
Building Products — 0.6% | |
Gibraltar Industries, Inc.*(a) | | | 71,200 | | | | 966,184 | |
Simpson Manufacturing Co., Inc. | | | 15,680 | | | | 484,669 | |
| | | | | | |
|
|
|
| | | | | | | | 1,450,853 | |
| | | | | | |
|
|
|
Capital Markets — 3.5% | |
Affiliated Managers Group, Inc.* | | | 13,870 | | | | 1,376,181 | |
Artio Global Investors, Inc. | | | 93,750 | | | | 1,382,813 | |
Cohen & Steers, Inc.(a) | | | 6,114 | | | | 159,575 | |
Duff & Phelps Corp. (Class A Stock) | | | 36,180 | | | | 609,995 | |
HFF, Inc. (Class A Stock)* | | | 103,870 | | | | 1,003,384 | |
MF Global Holdings Ltd.*(a) | | | 50,862 | | | | 425,206 | |
Raymond James Financial, Inc. | | | 29,110 | | | | 951,897 | |
Stifel Financial Corp.*(a) | | | 24,428 | | | | 1,515,513 | |
Teton Advisors, Inc. (Class A Stock) | | | 313 | | | | 3,208 | |
Waddell & Reed Financial, Inc. (Class A Stock) | | | 17,750 | | | | 626,398 | |
| | | | | | |
|
|
|
| | | | | | | | 8,054,170 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Chemicals — 2.5% | |
Ferro Corp.* | | | 53,560 | | | $ | 784,118 | |
Fuller (H.B.) Co. | | | 36,730 | | | | 753,700 | |
Koppers Holdings, Inc. | | | 22,550 | | | | 806,839 | |
Minerals Technologies, Inc. | | | 19,014 | | | | 1,243,706 | |
PolyOne Corp.* | | | 135,547 | | | | 1,692,982 | |
Schulman, (A.), Inc. | | | 22,160 | | | | 507,242 | |
| | | | | | |
|
|
|
| | | | | | | | 5,788,587 | |
| | | | | | |
|
|
|
Clothing & Apparel — 0.6% | |
G-III Apparel Group Ltd.* | | | 17,819 | | | | 626,338 | |
Iconix Brand Group, Inc.* | | | 38,267 | | | | 738,936 | |
| | | | | | |
|
|
|
| | | | | | | | 1,365,274 | |
| | | | | | |
|
|
|
Commercial Banks — 7.3% | |
Bancorp, Inc. (The)*(a) | | | 189,249 | | | | 1,924,662 | |
CoBiz Financial, Inc. | | | 24,721 | | | | 150,304 | |
Cullen / Frost Bankers, Inc. | | | 15,430 | | | | 943,082 | |
CVB Financial Corp.(a) | | | 53,392 | | | | 462,909 | |
First Midwest Bancorp, Inc. | | | 45,455 | | | | 523,642 | |
First Republic Bank* | | | 5,500 | | | | 160,160 | |
First Security Group, Inc.* | | | 161,124 | | | | 146,623 | |
FirstMerit Corp. | | | 87,840 | | | | 1,738,353 | |
FNB Corp. | | | 37,046 | | | | 363,792 | |
Heritage Financial Corp.* | | | 13,244 | | | | 184,356 | |
IBERIABANK Corp. | | | 32,617 | | | | 1,928,643 | |
PrivateBancorp, Inc. | | | 23,572 | | | | 338,965 | |
Sandy Spring Bancorp, Inc. | | | 12,038 | | | | 221,860 | |
Signature Bank*(a) | | | 69,690 | | | | 3,484,500 | |
Simmons First National Corp. (Class A Stock) | | | 7,689 | | | | 219,136 | |
SVB Financial Group*(a) | | | 28,280 | | | | 1,500,254 | |
Tompkins Financial Corp. | | | 8,479 | | | | 332,038 | |
Umpqua Holdings Corp. | | | 65,460 | | | | 797,303 | |
Webster Financial Corp. | | | 27,047 | | | | 532,826 | |
Wintrust Financial Corp.(a) | | | 32,970 | | | | 1,088,999 | |
| | | | | | |
|
|
|
| | | | | | | | 17,042,407 | |
| | | | | | |
|
|
|
Commercial Services — 0.8% | |
Convergys Corp.* | | | 39,976 | | | | 526,484 | |
Monro Muffler Brake, Inc. | | | 14,475 | | | | 500,690 | |
On Assignment, Inc.* | | | 44,343 | | | | 361,396 | |
Team Health Holdings, Inc.* | | | 36,569 | | | | 568,282 | |
| | | | | | |
|
|
|
| | | | | | | | 1,956,852 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 1.1% | |
EnergySolutions, Inc. | | | 77,518 | | | | 431,775 | |
Fleetcor Technologies, Inc.* | | | 12,082 | | | | 373,575 | |
Medifast, Inc.*(a) | | | 9,984 | | | | 288,338 | |
PHH Corp.*(a) | | | 25,403 | | | | 588,080 | |
United Stationers, Inc.* | | | 12,170 | | | | 776,568 | |
| | | | | | |
|
|
|
| | | | | | | | 2,458,336 | |
| | | | | | |
|
|
|
Communication Equipment — 1.3% | | | | | | | | |
Bel Fuse, Inc. (Class B Stock) | | | 11,040 | | | | 263,856 | |
Black Box Corp. | | | 16,860 | | | | 645,570 | |
Digi International, Inc.* | | | 46,750 | | | | 518,925 | |
Plantronics, Inc. | | | 40,446 | | | | 1,505,400 | |
| | | | | | |
|
|
|
| | | | | | | | 2,933,751 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Computer Hardware — 0.7% | | | | | | | | |
Electronics for Imaging, Inc.* | | | 65,581 | | | $ | 938,464 | |
MTS Systems Corp. | | | 16,551 | | | | 620,001 | |
| | | | | | |
|
|
|
| | | | | | | | 1,558,465 | |
| | | | | | |
|
|
|
Computer Services & Software — 1.1% | | | | | | | | |
Avid Technology, Inc.* | | | 38,541 | | | | 672,926 | |
Mentor Graphics Corp.* | | | 63,571 | | | | 762,852 | |
Monotype Imaging Holdings, Inc.* | | | 27,842 | | | | 309,046 | |
NetScout Systems, Inc.* | | | 16,247 | | | | 373,843 | |
Parametric Technology Corp.* | | | 17,222 | | | | 388,012 | |
| | | | | | |
|
|
|
| | | | | | | | 2,506,679 | |
| | | | | | |
|
|
|
Computers & Peripherals — 0.1% | | | | | | | | |
Rimage Corp.* | | | 17,290 | | | | 257,794 | |
| | | | | | |
|
|
|
Construction & Engineering — 1.3% | | | | | | | | |
EMCOR Group, Inc.* | | | 35,143 | | | | 1,018,444 | |
Granite Construction, Inc. | | | 5,960 | | | | 163,483 | |
Meritage Homes Corp.* | | | 29,960 | | | | 665,112 | |
Michael Baker Corp.* | | | 6,782 | | | | 210,920 | |
Tutor Perini Corp. | | | 43,090 | | | | 922,557 | |
| | | | | | |
|
|
|
| | | | | | | | 2,980,516 | |
| | | | | | |
|
|
|
Consumer Finance — 0.2% | | | | | | | | |
First Cash Financial Services, Inc.* | | | 12,109 | | | | 375,258 | |
| | | | | | |
|
|
|
Consumer Products & Services — 0.2% | | | | | | | | |
Elizabeth Arden, Inc.* | | | 19,408 | | | | 446,578 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.3% | | | | | | | | |
AptarGroup, Inc. | | | 13,690 | | | | 651,233 | |
| | | | | | |
|
|
|
Distribution/Wholesale — 0.4% | | | | | | | | |
Watsco, Inc. | | | 15,860 | | | | 1,000,449 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.6% | | | | | | | | |
Sotheby’s | | | 5,700 | | | | 256,500 | |
Steiner Leisure Ltd. (Bahamas)* | | | 23,970 | | | | 1,119,399 | |
| | | | | | |
|
|
|
| | | | | | | | 1,375,899 | |
| | | | | | |
|
|
|
Diversified Financial Services — 0.2% | | | | | | | | |
Boston Private Financial Holdings, Inc. | | | 30,524 | | | | 199,932 | |
KBW, Inc. | | | 13,118 | | | | 366,255 | |
| | | | | | |
|
|
|
| | | | | | | | 566,187 | |
| | | | | | |
|
|
|
Electric Utilities — 2.1% | | | | | | | | |
Cleco Corp. | | | 45,844 | | | | 1,410,161 | |
IDACORP, Inc. | | | 4,511 | | | | 166,817 | |
MGE Energy, Inc. | | | 19,325 | | | | 826,337 | |
MYR Group, Inc.* | | | 15,358 | | | | 322,518 | |
NorthWestern Corp. | | | 8,726 | | | | 251,571 | |
Portland General Electric Co. | | | 46,539 | | | | 1,009,896 | |
UniSource Energy Corp. | | | 25,630 | | | | 918,579 | |
| | | | | | |
|
|
|
| | | | | | | | 4,905,879 | |
| | | | | | |
|
|
|
Electrical Equipment — 1.6% | | | | | | | | |
EnerSys* | | | 28,955 | | | | 930,035 | |
GrafTech International Ltd.* | | | 27,130 | | | | 538,259 | |
Regal-Beloit Corp. | | | 33,005 | | | | 2,203,414 | |
| | | | | | |
|
|
|
| | | | | | | | 3,671,708 | |
| | | | | | |
|
|
|
Electronic Components & Equipment — 1.0% | | | | | |
AVX Corp. | | | 34,760 | | | | 536,347 | |
Empire District Electric Co. (The) | | | 6,059 | | | | 134,510 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Electronic Components & Equipment (continued) | | | | | |
Park Electrochemical Corp. | | | 35,026 | | | $ | 1,050,780 | |
Watts Water Technologies, Inc. (Class A Stock) | | | 15,439 | | | | 564,913 | |
| | | | | | |
|
|
|
| | | | | | | | 2,286,550 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 0.2% | | | | | |
Littelfuse, Inc. | | | 8,536 | | | | 401,704 | |
| | | | | | |
|
|
|
Electronics — 0.6% | | | | | | | | |
Belden, Inc. | | | 7,787 | | | | 286,717 | |
Checkpoint Systems, Inc.* | | | 35,664 | | | | 732,895 | |
Newport Corp.* | | | 19,496 | | | | 338,646 | |
| | | | | | |
|
|
|
| | | | | | | | 1,358,258 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 2.1% | | | | | | | | |
Gulf Island Fabrication, Inc. | | | 18,280 | | | | 515,130 | |
ION Geophysical Corp.* | | | 31,500 | | | | 267,120 | |
Key Energy Services, Inc.*(a) | | | 79,500 | | | | 1,031,910 | |
Matrix Service Co.* | | | 87,620 | | | | 1,067,211 | |
Natural Gas Services Group, Inc.* | | | 30,570 | | | | 578,079 | |
T-3 Energy Services, Inc.* | | | 8,775 | | | | 349,508 | |
TETRA Technologies, Inc.* | | | 41,580 | | | | 493,555 | |
Tidewater, Inc. | | | 11,140 | | | | 599,778 | |
| | | | | | |
|
|
|
| | | | | | | | 4,902,291 | |
| | | | | | |
|
|
|
Entertainment & Leisure — 0.8% | | | | | | | | |
Gaylord Entertainment Co.*(a) | | | 24,809 | | | | 891,636 | |
Polaris Industries, Inc. | | | 5,457 | | | | 425,755 | |
WMS Industries, Inc.* | | | 14,555 | | | | 658,468 | |
| | | | | | |
|
|
|
| | | | | | | | 1,975,859 | |
| | | | | | |
|
|
|
Environmental Control — 0.2% | | | | | | | | |
Darling International, Inc.* | | | 31,956 | | | | 424,376 | |
| | | | | | |
|
|
|
Environmental Services — 0.3% | | | | | | | | |
Waste Connections, Inc. | | | 23,325 | | | | 642,137 | |
| | | | | | |
|
|
|
Exchange Traded Funds — 1.0% | | | | | | | | |
iShares Nasdaq Biotechnology Index Fund(a) | | | 13,060 | | | | 1,220,065 | |
iShares Russell 2000 Value Index Fund(a) | | | 15,590 | | | | 1,108,293 | |
| | | | | | |
|
|
|
| | | | | | | | 2,328,358 | |
| | | | | | |
|
|
|
Financial – Bank & Trust — 2.5% | | | | | | | | |
Bank of the Ozarks, Inc. | | | 17,349 | | | | 752,079 | |
Capital City Bank Group, Inc.(a) | | | 3,639 | | | | 45,851 | |
Columbia Banking System, Inc. | | | 6,187 | | | | 130,298 | |
First Financial Bankshares, Inc.(a) | | | 14,863 | | | | 760,688 | |
Glacier Bancorp, Inc. | | | 57,468 | | | | 868,342 | |
Northwest Bancshares, Inc. | | | 35,076 | | | | 412,494 | |
PacWest Bancorp(a) | | | 4,794 | | | | 102,496 | |
Prosperity Bancshares, Inc. | | | 22,010 | | | | 864,553 | |
Retail Opportunity Investments Corp. | | | 47,477 | | | | 470,497 | |
SCBT Financial Corp. | | | 14,747 | | | | 482,964 | |
Southcoast Financial Corp.* | | | 10,215 | | | | 31,360 | |
Summit State Bank | | | 8,456 | | | | 59,107 | |
Texas Capital Bancshares, Inc.* | | | 22,070 | | | | 469,429 | |
WSFS Financial Corp. | | | 6,249 | | | | 296,453 | |
| | | | | | |
|
|
|
| | | | | | | | 5,746,611 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Financial Services — 2.2% | | | | | | | | |
Apollo Investment Corp. | | | 48,314 | | | $ | 534,836 | |
BGC Partners, Inc. (Class A Stock) | | | 23,444 | | | | 194,820 | |
Brookline Bancorp, Inc. | | | 44,634 | | | | 484,279 | |
Cypress Sharpridge Investments, Inc. | | | 67,558 | | | | 872,174 | |
First of Long Island Corp. (The) | | | 6,548 | | | | 189,303 | |
Home BancShares, Inc. | | | 15,333 | | | | 337,786 | |
Knight Capital Group, Inc. (Class A Stock)*(a) | | | 38,143 | | | | 525,992 | |
MB Financial, Inc. | | | 36,597 | | | | 633,860 | |
Ocwen Financial Corp.*(a) | | | 32,040 | | | | 305,661 | |
Piper Jaffray Cos.* | | | 7,946 | | | | 278,189 | |
RSC Holdings, Inc.* | | | 86,016 | | | | 837,796 | |
| | | | | | |
|
|
|
| | | | | | | | 5,194,699 | |
| | | | | | |
|
|
|
Food & Beverage — 0.1% | | | | | | | | |
DineEquity, Inc.*(a) | | | 6,884 | | | | 339,932 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 0.7% | | | | | | | | |
Pantry, Inc. (The)* | | | 52,951 | | | | 1,051,607 | |
Weis Markets, Inc. | | | 14,220 | | | | 573,492 | |
| | | | | | |
|
|
|
| | | | | | | | 1,625,099 | |
| | | | | | |
|
|
|
Foods — 0.7% | | | | | | | | |
Hain Celestial Group, Inc. (The)* | | | 24,364 | | | | 659,290 | |
Snyders-Lance, Inc.(a) | | | 12,786 | | | | 299,704 | |
TreeHouse Foods, Inc.* | | | 13,312 | | | | 680,110 | |
| | | | | | |
|
|
|
| | | | | | | | 1,639,104 | |
| | | | | | |
|
|
|
Gas Utilities — 0.8% | | | | | | | | |
Laclede Group, Inc. (The) | | | 14,155 | | | | 517,223 | |
New Jersey Resources Corp. | | | 10,090 | | | | 434,980 | |
Northwest Natural Gas Co. | | | 12,340 | | | | 573,440 | |
WGL Holdings, Inc. | | | 6,530 | | | | 233,578 | |
| | | | | | |
|
|
|
| | | | | | | | 1,759,221 | |
| | | | | | |
|
|
|
Healthcare Products — 0.8% | | | | | | | | |
American Medical Systems Holdings, Inc.* | | | 33,599 | | | | 633,677 | |
PSS World Medical, Inc.* | | | 28,383 | | | | 641,456 | |
West Pharmaceutical Services, Inc. | | | 13,757 | | | | 566,788 | |
| | | | | | |
|
|
|
| | | | | | | | 1,841,921 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.9% | | | | | | | | |
Cross Country Healthcare, Inc.* | | | 27,360 | | | | 231,739 | |
HealthSouth Corp.* | | | 18,011 | | | | 373,008 | |
ICON PLC, ADR (Ireland)* | | | 33,146 | | | | 725,897 | |
LifePoint Hospitals, Inc.* | | | 22,210 | | | | 816,218 | |
Lincare Holdings, Inc. | | | 40,177 | | | | 1,077,949 | |
RehabCare Group, Inc.* | | | 47,650 | | | | 1,129,305 | |
| | | | | | |
|
|
|
| | | | | | | | 4,354,116 | |
| | | | | | |
|
|
|
Healthcare Services — 0.8% | | | | | | | | |
Amedisys, Inc.*(a) | | | 24,082 | | | | 806,747 | |
Hill-Rom Holdings, Inc. | | | 12,901 | | | | 507,912 | |
LHC Group, Inc.* | | | 17,952 | | | | 538,560 | |
| | | | | | |
|
|
|
| | | | | | | | 1,853,219 | |
| | | | | | |
|
|
|
Healthcare Technology — 0.1% | | | | | | | | |
MedQuist, Inc. | | | 16,190 | | | | 140,044 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Hotels, Restaurants & Leisure — 0.6% | | | | | | | | |
Brinker International, Inc. | | | 12,160 | | | $ | 253,901 | |
California Pizza Kitchen, Inc.* | | | 29,460 | | | | 509,069 | |
Morgans Hotel Group Co.* | | | 18,600 | | | | 168,702 | |
Orient-Express Hotels Ltd. (Class A Stock) (Bermuda)* | | | 41,224 | | | | 535,499 | |
| | | | | | |
|
|
|
| | | | | | | | 1,467,171 | |
| | | | | | |
|
|
|
Household Products — 0.3% | | | | | | | | |
Central Garden & Pet Co. (Class A Stock)* | | | 65,220 | | | | 644,374 | |
| | | | | | �� |
|
|
|
Insurance — 6.1% | | | | | | | | |
Allied World Assurance Co. Holdings Ltd. (Switzerland) | | | 35,320 | | | | 2,099,421 | |
Alterra Capital Holdings Ltd. (Bermuda) | | | 33,960 | | | | 734,895 | |
American Equity Investment Life
Holding Co. | | | 102,285 | | | | 1,283,677 | |
Arch Capital Group Ltd. (Bermuda)* | | | 9,710 | | | | 854,966 | |
Aspen Insurance Holdings Ltd. (Bermuda) | | | 13,260 | | | | 379,501 | |
CNA Surety Corp.* | | | 45,102 | | | | 1,068,015 | |
Donegal Group, Inc. (Class A Stock) | | | 15,733 | | | | 227,814 | |
EMC Insurance Group, Inc. | | | 20,960 | | | | 474,534 | |
Enstar Group Ltd. (Bermuda)* | | | 4,207 | | | | 355,828 | |
Fidelity National Financial, Inc. (Class A Stock) | | | 8,050 | | | | 110,124 | |
Meadowbrook Insurance Group, Inc. | | | 280,789 | | | | 2,878,087 | |
MGIC Investment Corp.*(a) | | | 62,179 | | | | 633,604 | |
PMI Group, Inc. (The)*(a) | | | 75,073 | | | | 247,741 | |
ProAssurance Corp.* | | | 15,331 | | | | 929,059 | |
RLI Corp. | | | 10,427 | | | | 548,147 | |
Symetra Financial Corp. | | | 39,316 | | | | 538,629 | |
Tower Group, Inc. | | | 36,119 | | | | 923,924 | |
| | | | | | |
|
|
|
| | | | | | | | 14,287,966 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.4% | | | | | | | | |
HSN, Inc.* | | | 27,423 | | | | 840,241 | |
| | | | | | |
|
|
|
Investment Companies — 0.4% | | | | | | | | |
Golub Capital BDC, Inc. | | | 14,164 | | | | 242,488 | |
PennantPark Investment Corp. | | | 32,927 | | | | 403,026 | |
Solar Capital Ltd. | | | 12,477 | | | | 309,180 | |
| | | | | | |
|
|
|
| | | | | | | | 954,694 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.5% | | | | | | | | |
Callaway Golf Co.(a) | | | 155,055 | | | | 1,251,294 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.1% | | | | | | | | |
Enzo Biochem, Inc.* | | | 33,770 | | | | 178,306 | |
| | | | | | |
|
|
|
Machinery — 4.0% | | | | | | | | |
Albany International Corp. (Class A Stock) | | | 40,230 | | | | 953,049 | |
Altra Holdings, Inc.* | | | 109,336 | | | | 2,171,413 | |
Kaydon Corp. | | | 20,550 | | | | 836,796 | |
Mueller Industries, Inc. | | | 17,825 | | | | 582,877 | |
Mueller Water Products, Inc. (Class A Stock) | | | 181,490 | | | | 756,813 | |
Oshkosh Corp.* | | | 5,241 | | | | 184,693 | |
RBC Bearings, Inc.* | | | 34,220 | | | | 1,337,318 | |
Snap-on, Inc. | | | 21,860 | | | | 1,236,839 | |
WABCO Holdings, Inc.* | | | 21,640 | | | | 1,318,525 | |
| | | | | | |
|
|
|
| | | | | | | | 9,378,323 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Machinery & Equipment — 1.3% | | | | | | | | |
Actuant Corp. (Class A Stock) | | | 25,283 | | | $ | 673,033 | |
Applied Industrial Technologies, Inc. | | | 12,283 | | | | 398,952 | |
Graco, Inc. | | | 13,678 | | | | 539,597 | |
Robbins & Myers, Inc.(a) | | | 31,324 | | | | 1,120,773 | |
Tennant Co. | | | 9,111 | | | | 349,954 | |
| | | | | | |
|
|
|
| | | | | | | | 3,082,309 | |
| | | | | | |
|
|
|
Manufacturing — 0.5% | | | | | | | | |
AZZ, Inc. | | | 6,841 | | | | 273,708 | |
Carlisle Cos., Inc. | | | 21,554 | | | | 856,556 | |
| | | | | | |
|
|
|
| | | | | | | | 1,130,264 | |
| | | | | | |
|
|
|
Marine — 0.6% | | | | | | | | |
Diana Shipping, Inc. (Greece)* | | | 33,430 | | | | 401,829 | |
Kirby Corp.* | | | 24,010 | | | | 1,057,640 | |
| | | | | | |
|
|
|
| | | | | | | | 1,459,469 | |
| | | | | | |
|
|
|
Metals & Mining — 3.2% | | | | | | | | |
Carpenter Technology Corp. | | | 24,290 | | | | 977,429 | |
Commercial Metals Co. | | | 66,069 | | | | 1,096,085 | |
Haynes International, Inc. | | | 32,656 | | | | 1,366,000 | |
Horsehead Holding Corp.* | | | 34,800 | | | | 453,792 | |
Kaiser Aluminum Corp.(a) | | | 23,419 | | | | 1,173,058 | |
Metals USA Holdings Corp.* | | | 23,416 | | | | 356,860 | |
Olympic Steel, Inc. | | | 34,682 | | | | 994,680 | |
RTI International Metals, Inc.* | | | 17,060 | | | | 460,279 | |
Schnitzer Steel Industries, Inc. (Class A Stock) | | | 4,039 | | | | 268,149 | |
Taseko Mines Ltd. (Canada)*(a) | | | 74,333 | | | | 390,248 | |
| | | | | | |
|
|
|
| | | | | | | | 7,536,580 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 5.3% | | | | | | | | |
Approach Resources, Inc.* | | | 14,139 | | | | 326,611 | |
Bill Barrett Corp.* | | | 29,260 | | | | 1,203,464 | |
Brigham Exploration Co.* | | | 32,879 | | | | 895,624 | |
Carrizo Oil & Gas, Inc.* | | | 38,780 | | | | 1,337,522 | |
Denbury Resources, Inc.*(a) | | | 31,640 | | | | 604,008 | |
Golar LNG Ltd. (Bermuda) | | | 24,030 | | | | 360,690 | |
Kodiak Oil & Gas Corp. (Canada)* | | | 19,532 | | | | 128,911 | |
Northern Oil and Gas, Inc.* | | | 10,566 | | | | 287,501 | |
Oil States International, Inc.*(a) | | | 10,246 | | | | 656,666 | |
Petroleum Development Corp.* | | | 10,421 | | | | 439,870 | |
Petroquest Energy, Inc.* | | | 37,730 | | | | 284,107 | |
Resolute Energy Corp.* | | | 84,184 | | | | 1,242,556 | |
Rex Energy Corp.* | | | 88,473 | | | | 1,207,656 | |
Rosetta Resources, Inc.* | | | 36,230 | | | | 1,363,697 | |
SM Energy Co. | | | 13,550 | | | | 798,502 | |
South Jersey Industries, Inc. | | | 2,811 | | | | 148,477 | |
Southwest Gas Corp. | | | 30,330 | | | | 1,112,201 | |
| | | | | | |
|
|
|
| | | | | | | | 12,398,063 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.4% | | | | | | | | |
Louisiana-Pacific Corp.*(a) | | | 94,300 | | | | 892,078 | |
| | | | | | |
|
|
|
Pharmaceuticals — 0.2% | | | | | | | | |
Herbalife Ltd. (Cayman Islands) | | | 7,871 | | | | 538,140 | |
| | | | | | |
|
|
|
Professional Services — 0.6% | | | | | | | | |
CDI Corp. | | | 440 | | | | 8,179 | |
Hudson Highland Group, Inc.* | | | 48,890 | | | | 285,029 | |
Korn/Ferry International* | | | 13,290 | | | | 307,132 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Professional Services (continued) | | | | | | | | |
TrueBlue, Inc.* | | | 48,320 | | | $ | 869,277 | |
| | | | | | |
|
|
|
| | | | | | | | 1,469,617 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 9.4% | | | | | | | | |
Acadia Realty Trust | | | 35,914 | | | | 655,071 | |
American Campus Communities, Inc. | | | 51,736 | | | | 1,643,135 | |
BioMed Realty Trust, Inc. | | | 126,660 | | | | 2,362,209 | |
Campus Crest Communities, Inc.(a) | | | 38,360 | | | | 537,807 | |
Capstead Mortgage Corp. | | | 27,723 | | | | 349,033 | |
Cogdell Spencer, Inc. | | | 117,151 | | | | 679,476 | |
Coresite Realty Corp. | | | 13,854 | | | | 188,969 | |
Corporate Office Properties Trust | | | 12,330 | | | | 430,933 | |
Cousins Properties, Inc. | | | 62,393 | | | | 520,358 | |
DuPont Fabros Technology, Inc. | | | 20,042 | | | | 426,293 | |
EastGroup Properties, Inc. | | | 12,300 | | | | 520,536 | |
Education Realty Trust, Inc. | | | 49,096 | | | | 381,476 | |
Entertainment Properties Trust(a) | | | 27,531 | | | | 1,273,309 | |
Hatteras Financial Corp.(a) | | | 7,692 | | | | 232,837 | |
Hersha Hospitality Trust | | | 91,320 | | | | 602,712 | |
LaSalle Hotel Properties | | | 32,060 | | | | 846,384 | |
Medical Properties Trust, Inc. | | | 65,657 | | | | 711,065 | |
MFA Financial, Inc. | | | 161,783 | | | | 1,320,149 | |
Mid-America Apartment
Communities, Inc. | | | 15,540 | | | | 986,635 | |
National Retail Properties, Inc.(a) | | | 52,746 | | | | 1,397,769 | |
Omega Healthcare Investors, Inc. | | | 53,250 | | | | 1,194,930 | |
Parkway Properties, Inc. | | | 51,042 | | | | 894,256 | |
Pebblebrook Hotel Trust | | | 71,057 | | | | 1,443,878 | |
PS Business Parks, Inc. | | | 11,942 | | | | 665,408 | |
Redwood Trust, Inc. | | | 22,430 | | | | 334,880 | |
Saul Centers, Inc. | | | 5,070 | | | | 240,065 | |
Senior Housing Properties Trust | | | 9,310 | | | | 204,261 | |
Two Harbors Investment Corp. | | | 28,205 | | | | 276,127 | |
U-Store-It Trust | | | 41,610 | | | | 396,543 | |
Washington Real Estate Investment Trust | | | 6,320 | | | | 195,857 | |
| | | | | | |
|
|
|
| | | | | | | | 21,912,361 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 1.1% | |
CB Richard Ellis Group, Inc.
(Class A Stock)* | | | 42,950 | | | | 879,616 | |
Jones Lang LaSalle, Inc. | | | 19,120 | | | | 1,604,550 | |
| | | | | | |
|
|
|
| | | | | | | | 2,484,166 | |
| | | | | | |
|
|
|
Retail & Merchandising — 0.9% | | | | | | | | |
American Eagle Outfitters, Inc. | | | 23,309 | | | | 341,011 | |
Big Lots, Inc.* | | | 6,453 | | | | 196,558 | |
Cash America International, Inc. | | | 4,932 | | | | 182,139 | |
EZCORP, Inc. (Class A Stock)* | | | 7,848 | | | | 212,916 | |
Vera Bradley, Inc.* | | | 6,305 | | | | 208,065 | |
World Fuel Services Corp. | | | 26,224 | | | | 948,260 | |
| | | | | | |
|
|
|
| | | | | | | | 2,088,949 | |
| | | | | | |
|
|
|
Road & Rail — 1.4% | | | | | | | | |
Con-Way, Inc. | | | 15,070 | | | | 551,110 | |
Genesee & Wyoming, Inc.
(Class A Stock)* | | | 27,170 | | | | 1,438,652 | |
Landstar System, Inc. | | | 12,570 | | | | 514,616 | |
Old Dominion Freight Line, Inc.*(a) | | | 23,155 | | | | 740,728 | |
| | | | | | |
|
|
|
| | | | | | | | 3,245,106 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Semiconductors & Semiconductor Equipment — 2.5% | |
Entegris, Inc.* | | | 77,446 | | | $ | 578,522 | |
Exar Corp.* | | | 96,630 | | | | 674,477 | |
Fairchild Semiconductor International, Inc.* | | | 33,342 | | | | 520,469 | |
Micrel, Inc. | | | 23,055 | | | | 299,484 | |
MKS Instruments, Inc.*(a) | | | 27,224 | | | | 666,716 | |
ON Semiconductor Corp.*(a) | | | 52,250 | | | | 516,230 | |
Semtech Corp.* | | | 32,358 | | | | 732,585 | |
Standard Microsystems Corp.* | | | 21,158 | | | | 609,985 | |
Varian Semiconductor Equipment Associates, Inc.* | | | 16,410 | | | | 606,678 | |
Verigy Ltd. (Singapore)*(a) | | | 44,150 | | | | 574,833 | |
| | | | | | |
|
|
|
| | | | | | | | 5,779,979 | |
| | | | | | |
|
|
|
Software — 0.9% | | | | | | | | |
EPIQ Systems, Inc. | | | 22,830 | | | | 313,456 | |
Lawson Software, Inc.* | | | 196,430 | | | | 1,816,977 | |
| | | | | | |
|
|
|
| | | | | | | | 2,130,433 | |
| | | | | | |
|
|
|
Specialty Retail — 1.7% | | | | | | | | |
Cato Corp. (The) (Class A Stock) | | | 42,760 | | | | 1,172,051 | |
Children’s Place Retail Stores, Inc. (The)* | | | 28,819 | | | | 1,430,575 | |
Jos. A. Bank Clothiers, Inc.*(a) | | | 19,271 | | | | 777,007 | |
MarineMax, Inc.* | | | 59,060 | | | | 552,211 | |
| | | | | | |
|
|
|
| | | | | | | | 3,931,844 | |
| | | | | | |
|
|
|
Telecommunications — 1.5% | | | | | | | | |
Anixter International, Inc. | | | 16,360 | | | | 977,183 | |
Knology, Inc.*(a) | | | 38,772 | | | | 606,006 | |
Polycom, Inc.* | | | 12,629 | | | | 492,279 | |
Premiere Global Services, Inc.* | | | 83,956 | | | | 570,901 | |
SYNNEX Corp.* | | | 23,711 | | | | 739,783 | |
| | | | | | |
|
|
|
| | | | | | | | 3,386,152 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 2.5% | | | | | |
Fossil, Inc.* | | | 29,881 | | | | 2,106,013 | |
G & K Services, Inc. (Class A Stock) | | | 21,417 | | | | 662,000 | |
Hanesbrands, Inc.* | | | 45,280 | | | | 1,150,112 | |
Timberland Co. (The) (Class A Stock)* | | | 50,580 | | | | 1,243,762 | |
Warnaco Group, Inc. (The)* | | | 11,778 | | | | 648,614 | |
| | | | | | |
|
|
|
| | | | | | | | 5,810,501 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 0.6% | | | | | |
First Financial Holdings, Inc. | | | 11,780 | | | | 135,588 | |
Flushing Financial Corp. | | | 25,085 | | | | 351,190 | |
People’s United Financial, Inc. | | | 29,760 | | | | 416,937 | |
Westfield Financial, Inc. | | | 43,560 | | | | 402,930 | |
| | | | | | |
|
|
|
| | | | | | | | 1,306,645 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.3% | | | | | |
Beacon Roofing Supply, Inc.* | | | 38,104 | | | | 680,918 | |
| | | | | | |
|
|
|
Transportation — 0.5% | | | | | | | | |
Aegean Marine Petroleum Network, Inc. (Marshall Island) | | | 76,966 | | | | 802,755 | |
Heartland Express, Inc. | | | 22,178 | | | | 355,292 | |
Scorpio Tankers, Inc.* | | | 8,478 | | | | 85,713 | |
| | | | | | |
|
|
|
| | | | | | | | 1,243,760 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Utilities — 1.5% | | | | | | | | |
Avista Corp. | | | 11,198 | | | $ | 252,179 | |
El Paso Electric Co.* | | | 88,045 | | | | 2,423,879 | |
Westar Energy, Inc.(a) | | | 31,139 | | | | 783,457 | |
| | | | | | |
|
|
|
| | | | | | | | 3,459,515 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $172,863,629) | | | | 227,231,565 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 16.3% | | | | | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios
2 — Prudential Core Taxable Money Market Fund
(cost $37,974,899; includes $32,149,369 of cash collateral for securities on loan)(b)(w)(Note 4) | | | 37,974,899 | | | | 37,974,899 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $37,974,899) | | | | | |
TOTAL INVESTMENTS — 114.0%
(cost $210,838,528) | | | | 265,206,464 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (14.0)% | | | | (32,492,438 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 232,714,026 | |
| | | | | | |
|
|
|
The following abbreviation is used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| * | 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 $30,978,569; cash collateral of $32,149,369 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value. |
| Level 2—other | significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 227,231,565 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 37,974,899 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 265,206,464 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 were as follows:
| | | | |
Affiliated Money Market Mutual Fund (13.8% represents investments purchased with collateral from securities on loan) | | | 16.3 | % |
Real Estate Investment Trusts | | | 9.4 | |
Commercial Banks | | | 7.3 | |
Insurance | | | 6.1 | |
Oil, Gas & Consumable Fuels | | | 5.3 | |
Machinery | | | 4.0 | |
Capital Markets | | | 3.5 | |
Metals & Mining | | | 3.2 | |
Textiles, Apparel & Luxury Goods | | | 2.5 | |
Chemicals | | | 2.5 | |
Semiconductors & Semiconductor Equipment | | | 2.5 | |
Financial—Bank & Trust | | | 2.5 | |
Financial Services | | | 2.2 | |
Electric Utilities | | | 2.1 | |
Energy Equipment & Services | | | 2.1 | |
Healthcare Providers & Services | | | 1.9 | |
Specialty Retail | | | 1.7 | |
Electrical Equipment | | | 1.6 | |
Utilities | | | 1.5 | |
Telecommunications | | | 1.5 | |
Road & Rail | | | 1.4 | |
Machinery & Equipment | | | 1.3 | |
Construction & Engineering | | | 1.3 | |
Communication Equipment | | | 1.3 | |
Auto Components | | | 1.2 | |
Aerospace & Defense | | | 1.1 | |
Banks | | | 1.1 | |
Computer Services & Software | | | 1.1 | |
Real Estate Management & Development | | | 1.1 | |
Commercial Services & Supplies | | | 1.1 | |
Exchange Traded Funds | | | 1.0 | |
Electronic Components & Equipment | | | 1.0 | |
Software | | | 0.9 | |
Retail & Merchandising | | | 0.9 | |
Entertainment & Leisure | | | 0.8 | |
Commercial Services | | | 0.8 | |
Healthcare Services | | | 0.8 | |
| | | | |
Healthcare Products | | | 0.8 | % |
Gas Utilities | | | 0.8 | |
Foods | | | 0.7 | |
Food & Staples Retailing | | | 0.7 | |
Computer Hardware | | | 0.7 | |
Building Materials | | | 0.7 | |
Airlines | | | 0.6 | |
Professional Services | | | 0.6 | |
Hotels, Restaurants & Leisure | | | 0.6 | |
Marine | | | 0.6 | |
Building Products | | | 0.6 | |
Diversified Consumer Services | | | 0.6 | |
Clothing & Apparel | | | 0.6 | |
Electronics | | | 0.6 | |
Thrifts & Mortgage Finance | | | 0.6 | |
Leisure Equipment & Products | | | 0.5 | |
Transportation | | | 0.5 | |
Manufacturing | | | 0.5 | |
Distribution/Wholesale | | | 0.4 | |
Paper & Forest Products | | | 0.4 | |
Automotive Parts | | | 0.4 | |
Internet & Catalog Retail | | | 0.4 | |
Investment Companies | | | 0.4 | |
Trading Companies & Distributors | | | 0.3 | |
Containers & Packaging | | | 0.3 | |
Household Products | | | 0.3 | |
Environmental Services | | | 0.3 | |
Diversified Financial Services | | | 0.2 | |
Pharmaceuticals | | | 0.2 | |
Consumer Products & Services | | | 0.2 | |
Environmental Control | | | 0.2 | |
Electronic Equipment & Instruments | | | 0.2 | |
Consumer Finance | | | 0.2 | |
Food & Beverage | | | 0.1 | |
Computers & Peripherals | | | 0.1 | |
Life Sciences Tools & Services | | | 0.1 | |
Healthcare Technology | | | 0.1 | |
| | |
|
|
|
| | | | 114.0 | |
Liabilities in excess of other assets | | | (14.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $30,978,569: | | | | |
Unaffiliated investments (cost $172,863,629) | | $ | 227,231,565 | |
Affiliated investments (cost $37,974,899) | | | 37,974,899 | |
Dividends and interest receivable | | | 313,730 | |
Receivable for investments sold | | | 150,608 | |
Receivable for Series shares sold | | | 178 | |
Prepaid expenses | | | 4,150 | |
| | |
|
|
|
Total Assets | | | 265,675,130 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 32,149,369 | |
Payable for investments purchased | | | 280,344 | |
Management fee payable | | | 175,539 | |
Payable to custodian | | | 131,817 | |
Accrued expenses and other liabilities | | | 117,539 | |
Payable for Series shares repurchased | | | 104,088 | |
Deferred trustees’ fees | | | 1,531 | |
Affiliated transfer agent fees payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 32,961,104 | |
| | |
|
|
|
| NET ASSETS | | $ | 232,714,026 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 217,205,755 | |
Retained earnings | | | 15,508,271 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 232,714,026 | |
| | |
|
|
|
Net asset value and redemption price per share, $232,714,026 / 18,950,252 outstanding shares of beneficial interest | | $ | 12.28 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income | | $ | 3,287,467 | |
Affiliated income from securities lending, net | | | 149,647 | |
Affiliated dividend income | | | 7,996 | |
| | |
|
|
|
| | | | 3,445,110 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,906,545 | |
Custodian's fees and expenses | | | 98,000 | |
Shareholders’ reports | | | 66,000 | |
Audit fee | | | 22,000 | |
Trustees’ fees | | | 10,000 | |
Transfer agent's fees and expenses (including affiliated expense of $5,000) (Note 4) | | | 10,000 | |
Legal fees and expenses | | | 6,000 | |
Insurance expenses | | | 3,000 | |
Commitment fee on syndicated credit agreement | | | 1,000 | |
Loan interest expense (Note 8) | | | 24 | |
Miscellaneous | | | 5,147 | |
| | |
|
|
|
Total expenses | | | 2,127,716 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 1,317,394 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | | |
Net realized gain on investment transactions | | | 16,187,070 | |
Net change in unrealized appreciation on investments | | | 32,605,529 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 48,792,599 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 50,109,993 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,317,394 | | | $ | 1,373,195 | |
Net realized gain (loss) on investment transactions | | | 16,187,070 | | | | (33,228,182 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 32,605,529 | | | | 85,129,259 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 50,109,993 | | | | 53,274,272 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (1,372,937 | ) | | | (3,031,501 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [1,142,327 and 1,174,838 shares, respectively] | | | 12,196,190 | | | | 9,089,265 | |
Series shares issued in reinvestment of distributions [134,866 and 384,221 shares, respectively] | | | 1,372,937 | | | | 3,031,501 | |
Series shares repurchased [3,572,385 and 6,912,276 shares, respectively] | | | (37,617,557 | ) | | | (56,495,635 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (24,048,430 | ) | | | (44,374,869 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 24,688,626 | | | | 5,867,902 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 208,025,400 | | | | 202,157,498 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 232,714,026 | | | $ | 208,025,400 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A25
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of nineteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to five Portfolios which are listed below along with each Portfolio’s investment objective.
SP Growth Asset Allocation Portfolio: Provide long-term growth of capital with consideration also given to current income by investing in large-cap equity portfolios, fixed income portfolios, international equity portfolios and small/mid-cap equity portfolios. The Portfolio will achieve this by investing in certain other Series Fund Portfolios and Advanced Series Trust Portfolios.
SP International Growth Portfolio: Long-term growth of capital by investing primarily in equity-related securities of foreign issuers.
SP International Value Portfolio: Long-term capital appreciation by investing primarily in the stocks and other equity securities of companies in developed countries outside the United States.
SP Prudential U.S. Emerging Growth Portfolio: Long-term capital appreciation by investing primarily in equity securities of small and medium-sized U.S. companies that the Portfolio manager believes have the potential for above-average growth.
SP Small Cap Value Portfolio: Long-term growth of capital by investing primarily in common stocks of companies with small to medium market capitalization.
The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | | Accounting Policies |
The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.
Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the official NASDAQ closing price (“NCOP”) on the day of valuation, or if there was no NCOP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadvisers, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations
B1
are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.
Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued at amortized cost, which approximates fair value. The amortized cost method values 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. Short-term debt securities, which mature in more than sixty days are valued at fair value.
Each Portfolio may hold 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.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults 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 Series Fund may by delayed or limited.
Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange.
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series
B2
Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The 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. 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.
Warrants and Rights: Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.
Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to broker-dealers. The loans are secured by collateral at least equal at all times to the market value of the securities loaned. Loans are subject to termination at the option of the borrower or Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.
For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.
B3
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management, Inc. (“Thornburg”), and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rate specified below.
| | | | | | | | |
Portfolio
| | Management Fee
| | | Effective
Management Fee
| |
SP Growth Asset Allocation Portfolio | | | 0.05 | % | | | 0.05 | % |
SP International Growth Portfolio | | | 0.85 | | | | 0.85 | |
SP International Value Portfolio | | | 0.90 | | | | 0.90 | |
SP Prudential U.S. Emerging Growth Portfolio | | | 0.60 | | | | 0.60 | |
SP Small Cap Value Portfolio | | | 0.90 | | | | 0.90 | |
At December 31, 2010 the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:
| | |
Portfolio
| | Subadvisor(s)
|
SP Growth Asset Allocation Portfolio | | QMA |
SP International Growth Portfolio | | William Blair, Marsico |
SP International Value Portfolio | | LSV, Thornburg |
SP Prudential U.S. Emerging Growth Portfolio | | Jennison |
SP Small Cap Value Portfolio | | GSAM, ClearBridge |
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
| Note 4: | | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent fees and expenses in the Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
B4
Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Series Fund’s security lending agent. For the year ended December 31, 2010, PIM was compensated as follows for these services by the Series Fund Portfolios:
| | | | |
| | | PIM
| |
SP International Growth Portfolio | | $ | 4,968 | |
SP Prudential U.S. Emerging Growth Portfolio | | | 19,772 | |
SP Small Cap Value Portfolio | | | 52,914 | |
Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2010 were as follows:
| | | | | | |
Portfolio
| | Cost of Purchase
| | Proceeds from Sales
| |
SP International Growth Portfolio | | $220,580,334 | | $ | 241,894,387 | |
SP International Value Portfolio | | 49,456,650 | | | 59,606,149 | |
SP Prudential U.S. Emerging Growth Portfolio | | 142,170,127 | | | 164,615,945 | |
SP Small Cap Value Portfolio | | 79,821,130 | | | 103,057,594 | |
A summary of cost of purchases and proceeds of sales of shares of affiliated mutual funds, other than short-term investments, for the year ended December 31, 2010 is presented in the table below for the SP Growth Asset Allocation Portfolio:
| | | | | | | | | | | | | | | | | | | | |
Affiliated Mutual Funds
| | Value,
Beginning of
Year
| | | Cost of
Purchases
| | | Proceeds of
Sales
| | | Distributions
Received
| | | Value, End of
Year
| |
AST Global Real Estate Portfolio | | $ | 7,602,981 | | | $ | 442,580 | | | $ | 1,460,000 | | | $ | 142,580 | | | $ | 7,836,216 | |
AST Large-Cap Value Portfolio | | | 221,145,705 | | | | 34,592,854 | | | | 47,810,000 | | | | 2,412,854 | | | | 233,842,651 | |
AST Marsico Capital Growth Portfolio | | | 124,461,509 | | | | 17,969,486 | | | | 30,690,000 | | | | 819,486 | | | | 132,682,594 | |
AST PIMCO Total Return Portfolio | | | 108,585,318 | | | | 19,329,774 | | | | 44,530,000 | | | | 3,059,773 | | | | 87,124,616 | |
AST Small-Cap Growth Portfolio | | | 21,400,344 | | | | 1,544,927 | | | | 8,725,000 | | | | 44,927 | | | | 20,595,730 | |
AST Western Asset Core Plus Bond Portfolio | | | 27,039,775 | | | | 20,980,698 | | | | 12,410,000 | | | | 860,698 | | | | 37,493,207 | |
PSF High Yield Bond Portfolio | | | 2,672,652 | | | | 6,656,960 | | | | 1,460,000 | | | | 656,960 | | | | 8,178,911 | |
PSF Jennison Portfolio (Class I) | | | 126,022,371 | | | | 18,205,767 | | | | 25,265,000 | | | | 495,767 | | | | 132,006,136 | |
PSF Money Market Portfolio | | | 64,510 | | | | 22 | | | | — | | | | 22 | | | | 64,532 | |
PSF Natural Resources Portfolio (Class I) | | | 7,302,512 | | | | 684,091 | | | | 1,410,000 | | | | 34,091 | | | | 8,504,512 | |
PSF SP International Growth Portfolio (Class I) | | | 61,129,215 | | | | 5,533,358 | | | | 12,285,000 | | | | 933,358 | | | | 61,218,085 | |
PSF SP International Value Portfolio | | | 60,375,765 | | | | 5,857,070 | | | | 9,675,000 | | | | 1,307,070 | | | | 61,315,321 | |
PSF SP Small Cap Value Portfolio | | | 21,625,900 | | | | 2,486,676 | | | | 8,505,000 | | | | 136,676 | | | | 20,239,430 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 789,428,557 | | | $ | 134,284,263 | | | $ | 204,225,000 | | | $ | 10,904,262 | | | $ | 811,101,941 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
B5
After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid 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.
Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.
Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that as of December 31, 2010, no provision for income tax would be required in the Portfolio’s financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statues of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2010, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.
Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios were as follows:
International Growth Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 2,187,399 | | | $ | 10,261,944 | |
Series shares issued in reinvestment of distributions | | | 577,091 | | | | 2,389,158 | |
Series shares repurchased | | | (6,676,025 | ) | | | (30,838,048 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (3,911,535 | ) | | $ | (18,186,946 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 7,117,878 | | | $ | 26,400,946 | |
Series shares issued in reinvestment of distributions | | | 1,184,066 | | | | 4,665,219 | |
Series shares repurchased | | | (33,262,684 | ) | | | (138,967,214 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (24,960,740 | ) | | $ | (107,901,049 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 156,320 | | | $ | 720,462 | |
Series shares issued in reinvestment of distributions | | | 29,912 | | | | 122,040 | |
Series shares repurchased | | | (660,258 | ) | | | (2,954,205 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (474,026 | ) | | $ | (2,111,703 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 236,769 | | | $ | 919,713 | |
Series shares issued in reinvestment of distributions | | | 33,404 | | | | 129,607 | |
Series shares repurchased | | | (607,512 | ) | | | (2,326,105 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (337,339 | ) | | $ | (1,276,785 | ) |
| | |
|
|
| |
|
|
|
B6
SP Prudential U.S. Emerging Growth Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 1,199,031 | | | $ | 8,449,288 | |
Series shares issued in reinvestment of distributions | | | 119,475 | | | | 802,873 | |
Series shares issued in merger (Note 10) | | | 12,441,912 | | | | 87,093,383 | |
Series shares repurchased | | | (4,501,221 | ) | | | (30,617,709 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 9,259,197 | | | $ | 65,727,835 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 1,056,236 | | | $ | 5,684,842 | |
Series shares issued in reinvestment of distributions | | | 170,506 | | | | 903,679 | |
Series shares repurchased | | | (3,659,643 | ) | | | (18,695,363 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,432,901 | ) | | $ | (12,106,842 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 198 | | | $ | 1,223 | |
Series shares issued in reinvestment of distributions | | | 95 | | | | 618 | |
Series shares repurchased | | | (5,286 | ) | | | (33,368 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (4,993 | ) | | $ | (31,527 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 943 | | | $ | 5,122 | |
Series shares issued in reinvestment of distributions | | | 124 | | | | 638 | |
Series shares repurchased | | | (3,558 | ) | | | (18,498 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,491 | ) | | $ | (12,738 | ) |
| | |
|
|
| |
|
|
|
The Portfolios, along with other affiliated registered investment companies (the “Funds”), were a party to a Syndicated Credit Agreement (“SCA”) with two banks. The purpose of the SCA was to provide an alternative source of temporary funding for capital share redemptions. The SCA provided for a commitment of $500 million through October 20, 2010, which was subsequently extended through December 17, 2010 under the same terms. The Portfolios paid an annualized commitment fee of 0.15% of the unused portion. Effective December 17, 2010, the Funds entered into a new Syndicated Credit Agreement (“New SCA”) with a group of banks. The New SCA provides for a commitment of $750 million with an annualized commitment fee of 0.10% of the unused portion. The expiration date of the New SCA is December 16, 2011. Interest on any borrowings under these SCA’s is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The following Portfolios utilized the line of credit during the year ended December 31, 2010. The average balance is for the number of days the Portfolios had utilized the credit facility.
| | | | | | | | | | | | | | | | |
Portfolio
| | Approximate
Average
Balance
Outstanding
| | | Number of
Days
Outstanding
| | | Weighted
Average
Interest
Rate
| | | Outstanding
Borrowings at
December 31,
2010
| |
SP International Growth Portfolio | | $ | 166,727 | | | | 11 | | | | 1.44 | % | | $ | — | |
SP International Value Portfolio | | | 885,796 | | | | 48 | | | | 1.47 | % | | | — | |
SP Small Cap Value Portfolio | | | 291,000 | | | | 2 | | | | 1.46 | % | | | — | |
| Note 9: | | Ownership and Affiliates |
As of December 31, 2010, all of Class I shares of record of each Portfolio were owned by The Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
On December 7, 2009, The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of the following portfolio for shares
B7
of the acquiring portfolio and the assumption of the liabilities of the portfolio. Shareholders approved the Plan at a meeting on March 25, 2010 and the reorganization took place on April 30, 2010.
The purpose of the transaction was to combine two Portfolios with the same Investment Manager and with substantially similar investment objectives, policies and restrictions. The Acquiring Portfolio had a lower contractual investment management fee and annualized operating expense ratio as well as stronger historical investment performance.
The acquisition was accomplished by a tax-free exchange of the following shares on April 30, 2010:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Shares
| | | Acquiring Portfolio
| | Shares
| | | Value
| |
SP Mid Cap Growth
Portfolio | | | 17,418,677 | | | SP Prudential U.S. Emerging Growth Portfolio | | | 12,441,912 | | | $ | 87,093,383 | |
For financial reporting purposes, assets received and shares issued by the SP Prudential U.S. Emerging Growth Portfolio were recorded at fair value; however, the cost basis of the investments received from the SP Mid Cap Growth Portfolio was carried forward to reflect the tax-free status of the acquisition. The net assets and net unrealized depreciation immediately before the acquisition were as follows:
| | | | | | | | | | | | | | |
Merged Portfolio
| | Net Assets
| | | Unrealized
Appreciation
| | | Acquiring Portfolio
| | Net Assets
| |
| SP Mid Cap Growth Portfolio | | $ | 87,093,383 | | | $ | 20,508,236 | | | SP Prudential U.S. Emerging Growth Portfolio | | $ | 150,463,756 | |
Assuming the acquisition had been completed on January 1, 2010, the SP Prudential U.S. Emerging Growth Portfolio’s results of operations for the year ended December 31, 2010 were as follows:
| | | | |
Net investment income | | $ | 1,150,672 | (a) |
Net realized and unrealized gain on investments | | | 42,736,685 | (b) |
| | |
|
|
|
| | | $ | 43,887,357 | |
| | |
|
|
|
| | (a) | $1,360,578 as reported in the Statement of Operations, plus $(267,235) Net Investment Loss from SP Mid Cap Growth Portfolio pre-merger, plus $57,329 of pro-forma eliminated expenses. |
| | (b) | $33,864,919 as reported in the Statement of Operations, plus $8,871,766 Net Realized and Unrealized Gain on Investments from SP Mid Cap Growth Portfolio pre-merger. |
Because both the SP Prudential U.S. Emerging Growth Portfolio and SP Mid Cap Growth Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the SP Mid Cap Growth Portfolio that have been included in SP Prudential U.S. Emerging Growth Portfolio’s Statement of Operations since April 30, 2010.
In December 2010, the Board of Trustees approved an Agreement and Plan of Reorganization that provides for the reorganization of the SP Growth Asset Allocation Portfolio, a series of The Prudential Series Fund into the AST BlackRock Global Strategies Portfolio, a series of Advanced Series Trust. Such reorganization is subject to the approval of shareholders.
B8
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP Growth Asset Allocation Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 8.03 | | | $ | 6.60 | | | $ | 11.59 | | | $ | 11.17 | | | $ | 10.23 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .10 | | | | .16 | | | | .16 | | | | .18 | | | | .16 | |
Net realized and unrealized gain (loss) on investments | | | .99 | | | | 1.53 | | | | (4.01 | ) | | | .85 | | | | 1.13 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.09 | | | | 1.69 | | | | (3.85 | ) | | | 1.03 | | | | 1.29 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.16 | ) | | | (.26 | ) | | | (1.14 | ) | | | (.61 | ) | | | (.35 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 8.96 | | | $ | 8.03 | | | $ | 6.60 | | | $ | 11.59 | | | $ | 11.17 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 13.90 | % | | | 26.22 | % | | | (36.36 | )% | | | 9.23 | % | | | 12.88 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 814.4 | | | $ | 792.8 | | | $ | 694.8 | | | $ | 1,252.7 | | | $ | 1,283.9 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .08 | % | | | .07 | % | | | .07 | % | | | .06 | % | | | .05 | % |
Net investment income | | | 1.10 | % | | | 2.15 | % | | | 1.57 | % | | | 1.32 | % | | | 1.50 | % |
Portfolio turnover rate | | | 17 | % | | | 22 | % | | | 29 | % | | | 21 | % | | | 25 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP International Growth Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010(c)
| | | 2009(c)
| | | 2008
| | | 2007(c)
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 4.63 | | | $ | 3.45 | | | $ | 8.52 | | | $ | 8.30 | | | $ | 7.55 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .04 | | | | .05 | | | | .10 | | | | .10 | | | | .05 | |
Net realized and unrealized gain (loss) on investments | | | .59 | | | | 1.22 | | | | (3.74 | ) | | | 1.50 | | | | 1.45 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .63 | | | | 1.27 | | | | (3.64 | ) | | | 1.60 | | | | 1.50 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.07 | ) | | | (.09 | ) | | | (1.43 | ) | | | (1.38 | ) | | | (.75 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 5.19 | | | $ | 4.63 | | | $ | 3.45 | | | $ | 8.52 | | | $ | 8.30 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 14.01 | % | | | 37.15 | % | | | (50.30 | )% | | | 19.55 | % | | | 21.05 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 162.1 | | | $ | 162.5 | | | $ | 207.5 | | | $ | 500.0 | | | $ | 456.0 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.10 | % | | | .99 | % | | | .99 | % | | | .94 | % | | | .97 | % |
Net investment income | | | .77 | % | | | 1.18 | % | | | 1.36 | % | | | 1.14 | % | | | .69 | % |
Portfolio turnover rate | | | 141 | % | | | 89 | % | | | 101 | % | | | 81 | % | | | 111 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | SP International Growth Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010(c)
| | | 2009(c)
| | | 2008
| | | 2007(c)
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 4.54 | | | $ | 3.37 | | | $ | 8.36 | | | $ | 8.17 | | | $ | 7.45 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .02 | | | | .03 | | | | .07 | | | | .07 | | | | .02 | |
Net realized and unrealized gain (loss) on investments | | | .59 | | | | 1.19 | | | | (3.65 | ) | | | 1.47 | | | | 1.42 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .61 | | | | 1.22 | | | | (3.58 | ) | | | 1.54 | | | | 1.44 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.05 | ) | | | (.05 | ) | | | (1.41 | ) | | | (1.35 | ) | | | (.72 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 5.10 | | | $ | 4.54 | | | $ | 3.37 | | | $ | 8.36 | | | $ | 8.17 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 13.81 | % | | | 36.44 | % | | | (50.49 | )% | | | 19.12 | % | | | 20.42 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 10.1 | | | $ | 11.1 | | | $ | 9.4 | | | $ | 31.5 | | | $ | 23.8 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.50 | % | | | 1.39 | % | | | 1.39 | % | | | 1.34 | % | | | 1.37 | % |
Net investment income | | | .39 | % | | | .70 | % | | | 1.10 | % | | | .70 | % | | | .28 | % |
Portfolio turnover rate | | | 141 | % | | | 89 | % | | | 101 | % | | | 81 | % | | | 111 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
| (c) | Calculation based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP International Value Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008(c)
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 6.35 | | | $ | 4.95 | | | $ | 10.63 | | | $ | 11.40 | | | $ | 9.08 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .12 | | | | .14 | | | | .18 | | | | .24 | | | | .24 | |
Net realized and unrealized gain (loss) on investments | | | .54 | | | | 1.43 | | | | (4.27 | ) | | | 1.79 | | | | 2.35 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .66 | | | | 1.57 | | | | (4.09 | ) | | | 2.03 | | | | 2.59 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.14 | ) | | | (.17 | ) | | | (1.59 | ) | | | (2.80 | ) | | | (.27 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 6.87 | | | $ | 6.35 | | | $ | 4.95 | | | $ | 10.63 | | | $ | 11.40 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 10.81 | % | | | 32.35 | % | | | (44.06 | )% | | | 18.08 | % | | | 29.09 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 211.5 | | | $ | 203.3 | | | $ | 238.5 | | | $ | 493.6 | | | $ | 487.4 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.05 | % | | | 1.03 | % | | | 1.02 | % | | | .99 | % | | | .99 | % |
Net investment income | | | 1.76 | % | | | 1.82 | % | | | 2.32 | % | | | 1.80 | % | | | 2.28 | % |
Portfolio turnover rate | | | 25 | % | | | 67 | % | | | 34 | % | | | 46 | % | | | 113 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
| (c) | Calculated based upon average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP Prudential U.S. Emerging Growth Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 6.45 | | | $ | 4.58 | | | $ | 8.41 | | | $ | 7.99 | | | $ | 7.87 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .03 | | | | .04 | | | | .04 | | | | .02 | | | | .03 | |
Net realized and unrealized gain (loss) on investments | | | 1.28 | | | | 1.87 | | | | (2.64 | ) | | | 1.31 | | | | .71 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.31 | | | | 1.91 | | | | (2.60 | ) | | | 1.33 | | | | .74 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.02 | ) | | | (.04 | ) | | | (1.23 | ) | | | (.91 | ) | | | (.62 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 7.74 | | | $ | 6.45 | | | $ | 4.58 | | | $ | 8.41 | | | $ | 7.99 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 20.43 | % | | | 41.89 | % | | | (36.23 | )% | | | 16.82 | % | | | 9.59 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 242.4 | | | $ | 142.3 | | | $ | 112.3 | | | $ | 205.8 | | | $ | 202.6 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .70 | % | | | .71 | % | | | .68 | % | | | .65 | % | | | .67 | % |
Net investment income | | | .69 | % | | | .66 | % | | | .55 | % | | | .24 | % | | | .32 | % |
Portfolio turnover rate | | | 73 | % | | | 50 | % | | | 59 | % | | | 54 | % | | | 70 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | SP Prudential U.S. Emerging Growth Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 6.25 | | | $ | 4.44 | | | $ | 8.17 | | | $ | 7.79 | | | $ | 7.72 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | .01 | | | | .01 | | | | .01 | | | | (.01 | ) | | | (.01 | ) |
Net realized and unrealized gain (loss) on investments | | | 1.24 | | | | 1.81 | | | | (2.53 | ) | | | 1.27 | | | | .70 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.25 | | | | 1.82 | | | | (2.52 | ) | | | 1.26 | | | | .69 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.02 | ) | | | (.01 | ) | | | (1.21 | ) | | | (.88 | ) | | | (.62 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 7.48 | | | $ | 6.25 | | | $ | 4.44 | | | $ | 8.17 | | | $ | 7.79 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a): | | | 19.96 | % | | | 41.14 | % | | | (36.24 | )% | | | 16.34 | % | | | 9.10 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 0.3 | | | $ | 0.3 | | | $ | 0.2 | | | $ | 0.4 | | | $ | 0.3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.10 | % | | | 1.11 | % | | | 1.08 | % | | | 1.05 | % | | | 1.07 | % |
Net investment income (loss) | | | .24 | % | | | .25 | % | | | .15 | % | | | (.16 | )% | | | (.04 | )% |
Portfolio turnover rate | | | 73 | % | | | 50 | % | | | 59 | % | | | 54 | % | | | 70 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP Small Cap Value Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| | | 2008
| | | 2007
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 9.79 | | | $ | 7.60 | | | $ | 12.22 | | | $ | 13.68 | | | $ | 14.27 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .07 | | | | .07 | | | | .12 | | | | .13 | | | | .10 | |
Net realized and unrealized gain (loss) on investments | | | 2.49 | | | | 2.24 | | | | (3.47 | ) | | | (.64 | ) | | | 1.78 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.56 | | | | 2.31 | | | | (3.35 | ) | | | (.51 | ) | | | 1.88 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | (.07 | ) | | | (.12 | ) | | | (1.27 | ) | | | (.95 | ) | | | (2.47 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 12.28 | | | $ | 9.79 | | | $ | 7.60 | | | $ | 12.22 | | | $ | 13.68 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 26.27 | % | | | 30.80 | % | | | (30.50 | )% | | | (3.63 | )% | | | 14.60 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 232.7 | | | $ | 208.0 | | | $ | 202.2 | | | $ | 309.4 | | | $ | 369.0 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.00 | % | | | 1.00 | % | | | .98 | % | | | .96 | % | | | .96 | % |
Net investment income | | | .62 | % | | | .70 | % | | | 1.17 | % | | | .81 | % | | | .71 | % |
Portfolio turnover rate | | | 39 | % | | | 52 | % | | | 56 | % | | | 45 | % | | | 55 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of the SP Growth Asset Allocation Portfolio, SP International Growth Portfolio, SP International Value Portfolio, SP Prudential U.S. Emerging Growth Portfolio, and SP Small Cap Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the portfolios of investments, as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2010, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 17, 2011
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.
| | | | |
Independent Trustees (1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (43) No. of Portfolios Overseen: 80 | | Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Member of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors of the National Association of Broadcasters Education Foundation (Since 2010); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None |
Saul K. Fenster, Ph.D. (77) No. of Portfolios Overseen: 80 | | President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering. | | Formerly Director (2000-2006) of IDT Corporation. |
Delayne Dedrick Gold (72) No. of Portfolios Overseen: 80 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None |
W. Scott McDonald, Jr. (73) No. of Portfolios Overseen: 80 | | Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd. | | None |
Thomas T. Mooney (69) No. of Portfolios Overseen: 80 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None |
Thomas M. O’Brien (60) No. of Portfolios Overseen: 80 | | President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
F. Don Schwartz (75) No. of Portfolios Overseen: 80 | | Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | | None. |
E1
| | | | |
Interested Trustees (1) | | | | |
Stephen Pelletier (57) No. of Portfolios Overseen: 80 | | President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998). | | None |
Robert F. Gunia (64) No. of Portfolios Overseen: 80 | | Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | | Director (since May 1989) of The Asia Pacific Fund, Inc. |
Timothy S. Cronin (45) Number of Portfolios Overseen: 80 | | Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.
| | |
Fund Officers (a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Kathryn L. Quirk (58) Chief Legal Officer | | Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. |
Deborah A. Docs (53) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Jonathan D. Shain (52) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Claudia DiGiacomo (36) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
John P. Schwartz (39) Assistant Secretary | | Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005). |
Andrew R. French (48) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). |
Timothy J. Knierim (52) Chief Compliance Officer | | Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007). |
Valerie M. Simpson (52) Deputy Chief Compliance Officer | | Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. |
Theresa C. Thompson (48) Deputy Chief Compliance Officer | | Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004). |
Noreen M. Fierro (46) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group. |
Grace C. Torres (51) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. |
M. Sadiq Peshimam (47) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (52) Assistant Treasurer | | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). |
Alan Fu (53) Assistant Treasurer | | Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.
E2
(1) The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Noreen M. Fierro, 2006; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.
E3
Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.
Life insurance and annuity contracts contain exclusions, limitations, reductions of benefits and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
| | | | |
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 | | | | PRST STD POSTAGES & FEES PAID VON HOFFMANN CORPORATION |
| | | | |
| | | | |
| | | | |
The 2010 Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available. You may call 888-778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we may send a single copy of prospectuses and shareholder reports to each household (“householding”) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling 877-778-5008, you can revoke or “opt out” of householding at any time.
Prudential Investments, Prudential, the Prudential logo and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0172280-00002-00 PSF-AR-B
| | |
| | |
| ANNUAL REPORT | | DECEMBER 31, 2010 |
The Prudential Series Fund
| | |
Enroll in e-delivery. Save paper, save time! Make Life Easier with eDelivery You can stop receiving printed reports and start reviewing them online by using eDelivery. To receive your semiannual/annual reports online, go to www.prudential.com/edelivery and enroll. | | n Jennison 20/20 Focus Portfolio |
0172223-00002-00
This report is only authorized for distribution when preceded or accompanied by a current prospectus. Investors should carefully consider the contract and the underlying portfolios’ investment objectives, risks, and charges and expenses before investing. The contract prospectus and the underlying portfolio prospectuses contain information on the investment objectives, risks, and charges and expenses, as well as other important information. Read them carefully before investing or sending money.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call 888-778-2888 and owners of variable life insurance contracts should call 800-778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. The description is also available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Commission at www.sec.gov and on the Fund’s website.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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-SEC-0330. Form N-Q is also available on the Fund’s website at www.prudential.com or by calling the telephone numbers referenced above.
Life insurance policies and annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102- 3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.
The Prudential Series Fund Class II Portfolios are available through life insurance contracts issued by various insurance companies other than The Prudential Insurance Company of America and its affiliates and distributed by Prudential Annuities Distributors, Inc., member SIPC, a Prudential Financial Company. Each company is solely responsible for its own financial condition and contractual obligations.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling 800-778-2255.
| | | | |
The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2010 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
| | A1 | Schedule of Investments and Financial Statements |
| | B1 | Notes to Financial Statements |
| | D1 | Report of Independent Registered Public Accounting Firm |
| | E1 | Information about Trustees and Officers |
| | | | |
The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2010 |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Diversification does 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,
Stephen Pelletier
President,
The Prudential Series Fund | January 31, 2011 |
PRESIDENT
STEPHEN PELLETIER
| | |
The Prudential Series Fund, Jennison 20/20 Focus Portfolio Subadvised by: Jennison Associates LLC | | December 31, 2010 |
Investment Manager’s Report - As of December 31, 2010
| | | | | | | | | | | | |
| Average Annual Total Return Percentages | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 7.84 | % | | | 5.50 | % | | | 6.25 | % |
Portfolio: Class II | | | 7.36 | | | | 5.08 | | | | 5.84 | |
Russell 1000® Index | | | 16.10 | | | | 2.59 | | | | 1.83 | |
S&P 500 Index | | | 15.08 | | | | 2.29 | | | | 1.42 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such
$10,000 INVESTED OVER 10 YEARS
fee waivers and/or expense reimbursements, total returns would be lower.
In the year ended December 31, 2010, the Jennison 20/20 Focus Portfolio Class I shares returned 7.84% and Class II shares returned 7.36%.
The growth portion of the Portfolio underperformed the Russell 1000® Growth style Index and the S&P 500 Index.
In healthcare, stock selection and an overweight position were detrimental to returns, especially earlier in the period when uncertainty about U.S. regulatory reform and Europe’s sovereign debt crisis took a toll. Baxter International, a medical equipment company fell on weakness in its blood plasma business, while a large pharmacy-benefits manager fell on management’s comments that generic launches will likely contribute less to earnings in 2011 than in 2010.
Although a relatively small weight in the growth portion, holdings in financials hurt returns.
The growth portion trailed in consumer discretionary and industrials. An overweight stance in information technology was the primary detractor from relative performance. Amazon.com, an e-commerce company, gained on strong sales of its e-reader.
The growth portion had many holdings with significant returns in this sector. The strong launch of a new computer tablet, international opportunities, and continuing, long-term growth in personal computers made 2010 another good year for Apple, a provider of products that simplify storing, managing, protecting, and archiving enterprise data rose on growth in the storage business spurred by increased digital content. Adobe Systems, a software company, offset a portion of the gains, as it declined after issuing disappointing guidance for its fiscal fourth quarter. Energy positions substantially benefitted returns.
The value portion of the Portfolio underperformed the Russell 1000® Value style Index and the S&P 500 Index.
Stock selection in the consumer discretionary and energy sectors was detrimental to returns. A major tax preparer, H&R Block, did not reach the previously announced guidance for fiscal 2010 earnings. In energy, Petrobras Brazilian exploration and production company fell on uncertainty surrounding the company’s recapitalization plan, and a natural gas exploration and production company missed second-quarter earnings due to higher-than-expected operating costs.
Other sources of relative loss included information technology, industrials, consumer staples, and utilities.
A bright spot included Liberty Global, an international cable operator, which advanced 55%, and with its free cash flow, repurchased stock that amounted to 10% of the company in 2010. IAC/InterActiveCorp., an Internet firm that surpassed consensus expectations on a fairly regular basis and is enjoying faster growth than industry peers benefitted the value portion.
Security selection in materials and telecommunication services and underweight stances in healthcare and financials benefited relative return. Freeport-McMoRan Copper & Gold gained more than 45% as commodity prices for those metals increased substantially, largely on inflation concerns, and also on higher demand, especially from industrializing China.
The Portfolio no longer holds positions in Adobe Systems, Baxter International, and Petrobras.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment advisor and a Prudential Financial company
| | |
The Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2010 |
| | | | |
| Jennison 20/20 Focus | | | | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Apache Corp. | | | 4.3% | |
| Apple, Inc. | | | 3.4% | |
| Schlumberger Ltd. | | | 3.1% | |
| Flextronics International Ltd. | | | 3.1% | |
| Bunge Ltd. | | | 3.0% | |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors/Industries are subject to change.
| | |
The Prudential Series Fund Fees and Expenses — unaudited | | December 31, 2010 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2010 through December 31, 2010.
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 the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning Account Value
July 1, 2010 | | | Ending Account Value
December 31, 2010 | | | Annualized Expense Ratio based on the
Six-Month period | | | Expenses Paid
During the
Six-Month period* | |
| Jennison 20/20 Focus (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,248.00 | | | | 0.79 | % | | $ | 4.48 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.22 | | | | 0.79 | % | | $ | 4.02 | |
| Jennison 20/20 Focus (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,244.70 | | | | 1.19 | % | | $ | 6.73 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.21 | | | | 1.19 | % | | $ | 6.06 | |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2010, and divided by the 365 days in the Portfolio's fiscal year ended December 31, 2010 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| | | | | | |
| | | JENNISON 20/20 FOCUS PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 99.3% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Aerospace & Defense — 2.7% | | | | | | | | |
Precision Castparts Corp. | | | 106,611 | | | $ | 14,841,317 | |
| | | | | | |
|
|
|
Biotechnology — 2.1% | | | | | | | | |
Celgene Corp.(a) | | | 190,750 | | | | 11,280,955 | |
| | | | | | |
|
|
|
Capital Markets — 2.4% | | | | | | | | |
Goldman Sachs Group, Inc. (The) | | | 78,219 | | | | 13,153,307 | |
| | | | | | |
|
|
|
Chemicals — 4.1% | | | | | | | | |
Dow Chemical Co. (The) | | | 351,270 | | | | 11,992,358 | |
Monsanto Co. | | | 149,591 | | | | 10,417,517 | |
| | | | | | |
|
|
|
| | | | | | | | 22,409,875 | |
| | | | | | |
|
|
|
Communications Equipment — 2.6% | | | | | | | | |
Juniper Networks, Inc.(a) | | | 378,111 | | | | 13,959,858 | |
| | | | | | |
|
|
|
Computers & Peripherals — 6.2% | | | | | | | | |
Apple, Inc.(a) | | | 57,888 | | | | 18,672,353 | |
NetApp, Inc.(a)(b) | | | 269,863 | | | | 14,831,671 | |
| | | | | | |
|
|
|
| | | | | | | | 33,504,024 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 2.3% | | | | | |
H&R Block, Inc.(b) | | | 1,044,813 | | | | 12,443,723 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments — 3.1% | | | | | |
Flextronics International Ltd.(a) | | | 2,130,980 | | | | 16,728,193 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 3.1% | | | | | |
Schlumberger Ltd. | | | 201,819 | | | | 16,851,886 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 2.7% | | | | | | | | |
CVS Caremark Corp. | | | 423,945 | | | | 14,740,568 | |
| | | | | | |
|
|
|
Food Products — 9.3% | | | | | | | | |
Bunge Ltd.(b) | | | 247,853 | | | | 16,239,329 | |
ConAgra Foods, Inc. | | | 375,829 | | | | 8,486,219 | |
Kraft Foods, Inc. (Class A Stock) | | | 419,955 | | | | 13,232,782 | |
Tyson Foods, Inc. (Class A Stock) | | | 733,034 | | | | 12,622,845 | |
| | | | | | |
|
|
|
| | | | | | | | 50,581,175 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 2.5% | | | | | |
Express Scripts, Inc.(a) | | | 251,904 | | | | 13,615,411 | |
| | | | | | |
|
|
|
Hotels Restaurants & Leisure — 1.7% | | | | | |
McDonald’s Corp | | | 121,096 | | | | 9,295,329 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 2.8% | | | | | | | | |
Amazon.com, Inc.(a) | | | 84,922 | | | | 15,285,960 | |
| | | | | | |
|
|
|
Internet Software & Services — 6.5% | | | | | | | | |
Baidu, Inc. (China), ADR(a) | | | 107,079 | | | | 10,336,336 | |
Google, Inc. (Class A Stock)(a) | | | 24,488 | | | | 14,545,137 | |
IAC/InterActiveCorp(a) | | | 366,184 | | | | 10,509,481 | |
| | | | | | |
|
|
|
| | | | | | | | 35,390,954 | |
| | | | | | |
|
|
|
Media — 7.4% | | | | | | | | |
Liberty Global, Inc., Ser. C(a) | | | 343,795 | | | | 11,651,213 | |
Viacom, Inc. (Class B Stock) | | | 379,315 | | | | 15,024,667 | |
Walt Disney Co. (The) | | | 355,896 | | | | 13,349,659 | |
| | | | | | |
|
|
|
| | | | | | | | 40,025,539 | |
| | | | | | |
|
|
|
Metals & Mining — 5.4% | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc. | | | 120,789 | | | | 14,505,551 | |
Goldcorp, Inc. (Canada) | | | 326,641 | | | | 15,018,953 | |
| | | | | | |
|
|
|
| | | | | | | | 29,524,504 | |
| | | | | | |
|
|
|
| | | | | | | | |
| COMMON STOCKS | |
| (continued) | | Shares
| | | Value
(Note 2)
| |
| | | | | | | | | |
Oil, Gas & Consumable Fuels — 17.0% | | | | | |
Anadarko Petroleum Corp. | | | 212,195 | | | $ | 16,160,771 | |
Apache Corp.(b) | | | 196,931 | | | | 23,480,083 | |
Canadian Natural Resources Ltd. | | | 344,769 | | | | 15,314,639 | |
Occidental Petroleum Corp. | | | 93,453 | | | | 9,167,740 | |
Southwestern Energy Co.(a) | | | 373,412 | | | | 13,976,811 | |
Williams Cos., Inc. (The) | | | 565,192 | | | | 13,971,546 | |
| | | | | | |
|
|
|
| | | | | | | | 92,071,590 | |
| | | | | | |
|
|
|
Pharmaceuticals — 1.4% | | | | | | | | |
Teva Pharmaceutical Industries Ltd. (Israel), ADR | | | 151,297 | | | | 7,887,113 | |
| | | | | | |
|
|
|
Software — 11.4% | | | | | | | | |
CA, Inc. | | | 599,438 | | | | 14,650,265 | |
Oracle Corp. | | | 445,091 | | | | 13,931,348 | |
Salesforce.com, Inc.(a) | | | 90,242 | | | | 11,911,944 | |
Symantec Corp.(a) | | | 613,821 | | | | 10,275,363 | |
VMware, Inc. (Class A Stock)(a) | | | 124,491 | | | | 11,068,495 | |
| | | | | | |
|
|
|
| | | | | | | | 61,837,415 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 2.6% | | | | | |
NIKE, Inc. (Class B Stock) | | | 163,014 | | | | 13,924,656 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $421,266,276) | | | | | | | 539,353,352 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 7.6% | | | | | |
Affiliated Money Market Mutual Fund | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $41,461,220; includes $29,112,070 of cash collateral received for securities on loan) (Note 4)(c)(d) | | | 41,461,220 | | | | 41,461,220 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 106.9%
(cost $462,727,496) | | | | | | | 580,814,572 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (6.9)% | | | | | | | (37,771,181 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | | | | $ | 543,043,391 | |
| | | | | | |
|
|
|
The following abbreviations are used in portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $28,451,569; cash collateral of $29,112,070 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2- Prudential Core Taxable Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | JENNISON 20/20 FOCUS PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2010 |
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 for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value |
| Level 2— | other significant observable inputs (including but not limited to quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures |
The following is a summary of the inputs used as of December 31, 2010 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
| Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 539,353,352 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 41,461,220 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 580,814,572 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2010 was as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 17.0 | % |
Software | | | 11.4 | |
Food Products | | | 9.3 | |
Affiliated Money Market Mutual Fund (including 5.4% of collateral received for securities on loan) | | | 7.6 | |
Media | | | 7.4 | |
Internet Software & Services | | | 6.5 | |
Computers & Peripherals | | | 6.2 | |
Metals & Mining | | | 5.4 | |
Chemicals | | | 4.1 | |
Electronic Equipment & Instruments | | | 3.1 | |
Energy Equipment & Services | | | 3.1 | |
Internet & Catalog Retail | | | 2.8 | |
Aerospace & Defense | | | 2.7 | |
Food & Staples Retailing | | | 2.7 | |
Communications Equipment | | | 2.6 | |
Textiles, Apparel & Luxury Goods | | | 2.6 | |
Healthcare Providers & Services | | | 2.5 | |
Capital Markets | | | 2.4 | |
Diversified Consumer Services | | | 2.3 | |
Biotechnology | | | 2.1 | |
Hotels Restaurants & Leisure | | | 1.7 | |
Pharmaceuticals | | | 1.4 | |
| | |
|
|
|
| | | | 106.9 | |
Liabilities in excess of other assets | | | (6.9 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | JENNISON 20/20 FOCUS PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2010
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $28,451,569: | | | | |
Unaffiliated investments (cost $421,266,276) | | $ | 539,353,352 | |
Affiliated investments (cost $41,461,220) | | | 41,461,220 | |
Cash | | | 82,926 | |
Receivable for investments sold | | | 5,828,356 | |
Dividends and interest receivable | | | 574,903 | |
Receivable for Series shares sold | | | 348,973 | |
Foreign tax reclaim receivable | | | 40,377 | |
Prepaid expenses | | | 2,708 | |
| | |
|
|
|
Total Assets | | | 587,692,815 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 29,112,070 | |
Payable for Series shares repurchased | | | 12,233,686 | |
Payable for investments purchased | | | 2,722,303 | |
Management fee payable | | | 349,119 | |
Distribution fee payable | | | 102,228 | |
Accrued expenses and other liabilities | | | 67,804 | |
Administration fee payable | | | 61,337 | |
Affiliated transfer agent fee payable | | | 877 | |
| | |
|
|
|
Total Liabilities | | | 44,649,424 | |
| | |
|
|
|
| NET ASSETS | | $ | 543,043,391 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 458,019,758 | |
Retained earnings | | | 85,023,633 | |
| | |
|
|
|
Net assets, December 31, 2010 | | $ | 543,043,391 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $66,870,063 / 4,301,345 outstanding shares of beneficial interest | | $ | 15.55 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $476,173,328 / 31,101,515 outstanding shares of beneficial interest | | $ | 15.31 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2010
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $86,081) | | $ | 4,807,872 | |
Affiliated income from securities loaned, net | | | 43,103 | |
Affiliated dividend income | | | 44,043 | |
| | |
|
|
|
| | | | 4,895,018 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 3,201,348 | |
Distribution fee—Class II | | | 904,303 | |
Administration fee—Class II | | | 542,582 | |
Shareholders’ reports | | | 72,000 | |
Custodian’s fees and expenses | | | 52,000 | |
Audit fee | | | 19,000 | |
Trustees’ fees | | | 13,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,000) (Note 4) | | | 11,000 | |
Legal fees and expenses | | | 7,000 | |
Insurance expenses | | | 5,000 | |
Commitment fee on syndicated credit agreement | | | 5,000 | |
Loan interest expense (Note 8) | | | 6 | |
Miscellaneous | | | 9,225 | |
| | |
|
|
|
Total expenses | | | 4,841,464 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 53,554 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 34,547,825 | |
Foreign currency transactions | | | 121 | |
| | |
|
|
|
| | | | 34,547,946 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 21,264,720 | |
Foreign currencies | | | 132 | |
| | |
|
|
|
| | | | 21,264,852 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 55,812,798 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 55,866,352 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2010
| | | 2009
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 53,554 | | | $ | (125,183 | ) |
Net realized gain (loss) on investments and foreign currency transactions | | | 34,547,946 | | | | (846,227 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 21,264,852 | | | | 128,233,452 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 55,866,352 | | | | 127,262,042 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | – | | | | (271,462 | ) |
Class II | | | – | | | | (8,120 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DISTRIBUTIONS | | | – | | | | (279,582 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 229,942,326 | | | | 136,748,176 | |
Series shares issued in reinvestment of distributions | | | – | | | | 279,582 | |
Series shares repurchased | | | (98,141,605 | ) | | | (111,650,583 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 131,800,721 | | | | 25,377,175 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 187,667,073 | | | | 152,359,635 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 355,376,318 | | | | 203,016,683 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 543,043,391 | | | $ | 355,376,318 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of nineteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.
The Portfolio has the following as investment objectives:
Long-term growth of capital by investing primarily in approximately 40 equity and equity related securities of U.S. companies that the Portfolio manager believes to have strong capital appreciation potential. Up to 20% of the Portfolio’s total assets may be invested in foreign securities.
The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolio to meet their obligations may be affected by the economic or political developments in a specific industry, region or country.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | | Accounting Policies |
The following is a summary of significant accounting policies followed by the Series Fund and the Portfolio in preparation of its financial statements.
Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the NASDAQ official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadviser, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange, or at the last bid price in the absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair valuation of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities of 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.
B1
Investments in open-end, non exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.
Short-term debt securities that are held in the Portfolio which mature in more than 60 days are valued at fair value and those short-term debt securities of sufficient credit quality which mature in 60 days or less are valued at amortized cost which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost.
Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities—at the current daily rates of exchange.
(ii) purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.
Securities Lending: The Portfolio may lend its portfolio securities to broker-dealers. The loans are secured by collateral at least equal at all times to the market value of the securities loaned. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.
For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. Federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.
B2
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Jennison 20/20 Focus Portfolio makes distributions, if any, at least annually. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
The Series Fund 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 “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolio bears all other costs and expenses.
The management fee paid to PI is computed daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of .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 .15% of the average daily net assets of the Class II shares.
PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
| Note 4: | | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prudential Investment Management, Inc. (“PIM”) an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s security lending agent. For the year ended December 31, 2010, PIM was compensated $14,476 for these services by the Jennison 20/20 Focus Portfolio.
The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2010 were $584,345,066 and $455,278,443, respectively.
After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After
B3
each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.
Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of December 31, 2010, no provision for income tax would be required in the Portfolios’ financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 292,710 | | | $ | 4,148,442 | |
Series shares repurchased | | | (883,082 | ) | | | (12,391,656 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (590,372 | ) | | $ | (8,243,214 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 487,920 | | | $ | 5,417,265 | |
Series shares issued in reinvestment of distributions | | | 23,834 | | | | 271,462 | |
Series shares repurchased | | | (708,606 | ) | | | (7,635,195 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (196,852 | ) | | $ | (1,946,468 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2010: | | | | | | | | |
Series shares sold | | | 17,285,111 | | | $ | 225,793,884 | |
Series shares repurchased | | | (6,166,456 | ) | | | (85,749,949 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 11,118,655 | | | $ | 140,043,935 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2009: | | | | | | | | |
Series shares sold | | | 11,910,373 | | | $ | 131,330,911 | |
Series shares issued in reinvestment of distributions | | | 720 | | | | 8,120 | |
Series shares repurchased | | | (9,174,043 | ) | | | (104,015,388 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 2,737,050 | | | $ | 27,323,643 | |
| | |
|
|
| |
|
|
|
The Portfolio, along with other affiliated registered investment companies (the “Funds”), was a party to a Syndicated Credit Agreement (“SCA”) with two banks. The purpose of the SCA was to provide an alternative source of temporary funding for capital share redemptions. The SCA provided for a commitment of $500 million through October 20, 2010, which was subsequently extended through December 17, 2010 under the same terms.
B4
The Funds paid an annualized commitment fee of .15% of the unused portion of the SCA. Effective December 17, 2010 the Funds entered into a new Syndicated Credit Agreement (“New SCA”) with a group of banks. The New SCA provides for a commitment of $750 million with an annualized commitment fee of .10% of the unused portion. The expiration date of the New SCA is December 16, 2011. Interest on any borrowings under these SCA’s is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolio utilized the line of credit during the year ended December 31, 2010. The average daily balance for the 1 day the Portfolio had loan outstanding during the period was approximately $164,000 at a weighted average interest rate of 1.39%.
| Note 9: | | Ownership and Affiliates |
As of December 31, 2010, all of Class I shares of the Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
B5
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2010(c)
| | | 2009
| | | 2008
| | | 2007(c)
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 14.42 | | | $ | 9.18 | | | $ | 15.99 | | | $ | 16.01 | | | $ | 15.00 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.05 | | | | 0.03 | | | | 0.06 | | | | 0.07 | | | | 0.08 | |
Net realized and unrealized gain (loss) on investments | | | 1.08 | | | | 5.26 | | | | (5.94 | ) | | | 1.63 | | | | 1.95 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.13 | | | | 5.29 | | | | (5.88 | ) | | | 1.70 | | | | 2.03 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | (0.05 | ) | | | (0.93 | ) | | | (1.72 | ) | | | (1.02 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 15.55 | | | $ | 14.42 | | | $ | 9.18 | | | $ | 15.99 | | | $ | 16.01 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 7.84 | % | | | 57.83 | % | | | (39.15 | )% | | | 10.59 | % | | | 14.13 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 66.8 | | | $ | 70.5 | | | $ | 46.7 | | | $ | 86.6 | | | $ | 93.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.80 | % | | | 0.81 | % | | | 0.82 | % | | | 0.82 | % | | | 0.82 | % |
Net investment income | | | 0.36 | % | | | 0.27 | % | | | 0.41 | % | | | 0.41 | % | | | 0.58 | % |
Portfolio turnover rate | | | 112 | % | | | 106 | % | | | 125 | % | | | 115 | % | | | 119 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2010(c)
| | | 2009
| | | 2008
| | | 2007(c)
| | | 2006
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 14.25 | | | $ | 9.06 | | | $ | 15.78 | | | $ | 15.81 | | | $ | 14.83 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (0.01 | ) | | | (0.01 | ) | | | — | (d) | | | — | (d) | | | 0.03 | |
Net realized and unrealized gain (loss) on investments | | | 1.07 | | | | 5.20 | | | | (5.87 | ) | | | 1.60 | | | | 1.91 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.06 | | | | 5.19 | | | | (5.87 | ) | | | 1.60 | | | | 1.94 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | — | (d) | | | (0.85 | ) | | | (1.63 | ) | | | (0.96 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 15.31 | | | $ | 14.25 | | | $ | 9.06 | | | $ | 15.78 | | | $ | 15.81 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 7.44 | % | | | 57.29 | % | | | (39.40 | )% | | | 10.12 | % | | | 13.61 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 476.2 | | | $ | 284.9 | | | $ | 156.3 | | | $ | 293.3 | | | $ | 218.4 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.20 | % | | | 1.21 | % | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % |
Net investment income (loss) | | | (0.05 | )% | | | (0.13 | )% | | | — | %(e) | | | — | %(e) | | | 0.19 | % |
Portfolio turnover rate | | | 112 | % | | | 106 | % | | | 125 | % | | | 115 | % | | | 119 | % |
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions 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 years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Less than $0.005 per share. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Report of Independent Registered Public Accounting Firm
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of The Prudential Series Fund – Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2010, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 16, 2011
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.
| | | | |
Independent Trustees (1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (43) No. of Portfolios Overseen: 80 | | Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Member of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors of the National Association of Broadcasters Education Foundation (Since 2010); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None |
Saul K. Fenster, Ph.D. (77) No. of Portfolios Overseen: 80 | | President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering. | | Formerly Director (2000-2006) of IDT Corporation. |
Delayne Dedrick Gold (72) No. of Portfolios Overseen: 80 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None |
W. Scott McDonald, Jr. (73) No. of Portfolios Overseen: 80 | | Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd. | | None |
Thomas T. Mooney (69) No. of Portfolios Overseen: 80 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None |
Thomas M. O’Brien (60) No. of Portfolios Overseen: 80 | | President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
F. Don Schwartz (75) No. of Portfolios Overseen: 80 | | Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | | None. |
E1
| | | | |
Interested Trustees (1) | | | | |
Stephen Pelletier (57) No. of Portfolios Overseen: 80 | | President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998). | | None |
Robert F. Gunia (64) No. of Portfolios Overseen: 80 | | Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | | Director (since May 1989) of The Asia Pacific Fund, Inc. |
Timothy S. Cronin (45) Number of Portfolios Overseen: 80 | | Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.
| | |
Fund Officers (a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Kathryn L. Quirk (58) Chief Legal Officer | | Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc. |
Deborah A. Docs (53) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Jonathan D. Shain (52) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Claudia DiGiacomo (36) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
John P. Schwartz (39) Assistant Secretary | | Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005). |
Andrew R. French (48) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006). |
Timothy J. Knierim (52) Chief Compliance Officer | | Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007). |
Valerie M. Simpson (52) Deputy Chief Compliance Officer | | Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. |
Theresa C. Thompson (48) Deputy Chief Compliance Officer | | Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004). |
Noreen M. Fierro (46) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group. |
Grace C. Torres (51) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. |
M. Sadiq Peshimam (47) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (52) Assistant Treasurer | | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). |
Alan Fu (53) Assistant Treasurer | | Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.
E2
(1) The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Noreen M. Fierro, 2006; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.
E3
The 2010 Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available. You may call 888-778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we may send a single copy of prospectuses and shareholder reports to each household (“householding”) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling 877-778-5008, you can revoke or “opt out” of householding at any time.
Prudential Investments, Prudential, the Prudential logo and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
0172223-00002-00 PSF-AR J2020F
Item 2 – Code of Ethics — See Exhibit (a)
As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers.
Item 3 – Audit Committee Financial Expert –
The registrant’s Board has determined that Mr. Thomas M. O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.
Item 4 – Principal Accountant Fees and Services –
(a) Audit Fees
For the fiscal years ended December 31, 2010 and December 31, 2009, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $447,500 and $525,681, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
(b) Audit-Related Fees
Not applicable for the fiscal year ended December 31, 2010. During the fiscal year ended December 31, 2009, KPMG, the Registrant’s principal accountant, billed the Registrant $41,103 for professional services rendered in connection with agreed upon procedures performed related to a custody conversion.
(c) Tax Fees
Not applicable for the fiscal year ended December 31, 2010. During the fiscal year ended December 31, 2009, KPMG, the Registrant’s principal accountant, billed the Registrant $45,500 for professional tax consulting services rendered on behalf of certain portfolios of the Registrant.
(d) All Other Fees
None.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PRUDENTIAL MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent Accountants
The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
| | • | | a review of the nature of the professional services expected to be provided, |
| | • | | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
| | • | | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
| | • | | Annual Fund financial statement audits |
| | • | | Seed audits (related to new product filings, as required) |
| | • | | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
| | • | | Accounting consultations |
| | • | | Fund merger support services |
| | • | | Agreed Upon Procedure Reports |
| | • | | Other Internal Control Reports |
Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
| | • | | Tax compliance services related to the filing or amendment of the following: |
| | • | | Federal, state and local income tax compliance; and, |
| | • | | Sales and use tax compliance |
| | • | | Timely RIC qualification reviews |
| | • | | Tax distribution analysis and planning |
| | • | | Tax authority examination services |
| | • | | Tax appeals support services |
| | • | | Accounting methods studies |
| | • | | Fund merger support services |
| | • | | Tax consulting services and related projects |
Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Other Non-audit Services
Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Proscribed Services
The Fund’s independent accountants will not render services in the following categories of non-audit services:
| | • | | Bookkeeping or other services related to the accounting records or financial statements of the Fund |
| | • | | Financial information systems design and implementation |
| | • | | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
| | • | | Internal audit outsourcing services |
| | • | | Management functions or human resources |
| | • | | Broker or dealer, investment adviser, or investment banking services |
| | • | | Legal services and expert services unrelated to the audit |
| | • | | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex
Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.
(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –
One hundred percent of the services described in Item 4(b) and 4(c) was approved by the audit committee.
(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
(g) Non-Audit Fees
Not applicable to Registrant for the fiscal years 2010 and 2009. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2010 and 2009 was $0 and $0, respectively.
(h) Principal Accountant’s Independence
Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
Item 5 – Audit Committee of Listed Registrants – Not applicable.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 – Controls and Procedures
| | (a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the |
| | registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
| | (b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Exhibits
| | | | |
| (a) | | (1) | | Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH |
| | |
| | (2) | | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. |
| | |
| | (3) | | Any written solicitation to purchase securities under Rule 23c-1. – Not applicable. |
| |
| (b) | | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
Registrant: | | The Prudential Series Fund |
| | |
| |
| By: | | /s/ Deborah A. Docs |
| | Deborah A. Docs |
| | Secretary |
| |
| Date: | | February 11, 2011 |
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/ Stephen Pelletier |
| | Stephen Pelletier |
| | President and Principal Executive Officer |
| |
Date: | | February 11, 2011 |
| |
By: | | /s/ Grace C. Torres |
| | Grace C. Torres |
| | Treasurer and Principal Financial Officer |
| |
Date: | | February 11, 2011 |
